******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230320_204915 produced at 2023-03-20 21:36:03.268547 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 US10U False False 0.05 -0.10 -0.17 0.0 4.962485e+07 -4.962485e+07 -0.10 -0.10 -3.43 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.572425e+07 -5.572425e+07 -0.17 -0.17 -2.49 999999999 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.18 -0.12 0.0 1.036540e+07 -1.036540e+07 -0.18 -0.18 -11.73 999999999 -17 -17 caleb_strategy_v1 EUR False False 0.06 -0.22 -0.11 0.0 5.520700e+07 -5.520700e+07 -0.22 -0.22 -2.04 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.10 0.0 5.373465e+07 -5.373465e+07 -0.05 -0.05 -1.82 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.02 -0.06 -0.09 0.0 1.505236e+07 -1.505236e+07 -0.06 -0.06 -6.04 999999999 -4 -4 caleb_strategy_v1 JPY False False 0.04 -0.20 -0.05 0.0 3.948479e+07 -3.948479e+07 -0.20 -0.20 -1.27 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.04 -0.13 -0.05 0.0 4.398124e+07 -4.398124e+07 -0.13 -0.13 -1.13 999999999 -3 -3 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.03 0.0 2.551199e+07 -2.551199e+07 -0.13 -0.13 -1.31 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.143881e+07 -1.143881e+07 -0.06 -0.06 -2.81 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 8.125160e+06 -8.125160e+06 0.00 0.00 -3.74 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 6.359875e+07 -6.359875e+07 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 4.193954e+07 -4.193954e+07 -0.04 -0.04 -0.53 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.02 0.0 4.491010e+07 -4.491010e+07 -0.18 -0.18 -0.34 999999999 -4 -4 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.462934e+07 -1.462934e+07 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.594085e+06 -6.594085e+06 0.00 0.00 -1.99 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.611296e+06 -3.611296e+06 -0.05 -0.05 -3.55 999999999 -14 -14 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.342969e+07 -2.342969e+07 -0.02 -0.02 -0.61 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.01 0.0 9.977411e+07 -9.977411e+07 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.07 -0.01 0.0 6.650447e+06 -6.650447e+06 -0.07 -0.07 -1.42 999999999 -11 -11 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.708983e+07 -4.708983e+07 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.764472e+07 -5.764472e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.668908e+06 -9.668908e+06 -0.01 -0.01 -0.69 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.424525e+07 -1.424525e+07 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.774240e+07 -1.774240e+07 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.491818e+07 -1.491818e+07 -0.06 -0.06 -0.33 999999999 -4 -4 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.761579e+07 -2.761579e+07 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.146339e+06 -1.146339e+06 -0.01 -0.01 -3.65 999999999 -8 -8 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.667477e+07 -1.667477e+07 0.03 0.03 0.09 999999999 2 2 caleb_strategy_v1 SP500 False False 0.08 0.08 0.00 0.0 8.162238e+07 -8.162238e+07 0.08 0.08 0.06 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.11 0.01 0.0 2.742528e+07 -2.742528e+07 0.11 0.11 0.31 999999999 4 4 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 4.055513e+07 -4.055513e+07 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.278615e+07 -4.278615e+07 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.679435e+07 -2.679435e+07 0.00 0.00 0.39 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.073518e+07 -3.073518e+07 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.550428e+06 -8.550428e+06 0.02 0.02 1.50 999999999 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.580621e+07 -1.580621e+07 0.00 0.00 0.45 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 3.042019e+07 -3.042019e+07 0.00 0.00 0.41 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.740121e+07 -2.740121e+07 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 2.040303e+07 -2.040303e+07 0.06 0.06 0.40 999999999 3 3 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.146646e+07 -1.146646e+07 0.06 0.06 2.04 999999999 5 5 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.558368e+07 -2.558368e+07 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.353387e+06 -4.353387e+06 0.00 0.00 3.76 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 3.002892e+07 -3.002892e+07 0.00 0.00 0.78 999999999 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.795967e+07 -5.795967e+07 0.00 0.00 0.33 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.069316e+07 -1.069316e+07 0.01 0.01 2.03 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.02 0.0 9.406700e+06 -9.406700e+06 0.04 0.04 2.54 999999999 4 4 caleb_strategy_v1 GBP False False 0.03 0.25 0.03 0.0 3.150077e+07 -3.150077e+07 0.25 0.25 1.04 999999999 8 8 caleb_strategy_v1 NASDAQ False False 0.10 0.21 0.04 0.0 1.040104e+08 -1.040104e+08 0.21 0.21 0.40 999999999 2 2 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.083713e+07 -5.083713e+07 0.05 0.05 0.94 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.05 0.0 1.864133e+07 -1.864133e+07 0.09 0.09 2.50 999999999 5 5 caleb_strategy_v1 OAT False False 0.06 0.12 0.06 0.0 5.751888e+07 -5.751888e+07 0.12 0.12 1.03 999999999 2 2 caleb_strategy_v1 FTSE100 True False 0.04 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.54 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.10 0.19 0.0 5.202781e+07 -5.202781e+07 0.10 0.10 3.69 999999999 2 2 caleb_strategy_v1 BUND False False 0.06 0.18 0.22 0.0 6.027532e+07 -6.027532e+07 0.18 0.18 3.64 999999999 3 3 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 31.30 999999999 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 12.1 Shocked risk 26.9 Sum abs risk 41.0 Leverage 2.38 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2440813.45, 'annual_cash_vol_target': 610203.3625, 'daily_cash_vol_target': 38137.71015625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6740 0.7668 12.2689 BITCOIN 1148.9195 27980.0000 4.1062 65.6995 BOBL 0.6185 119.2900 0.5185 8.2961 BTP 0.8657 116.5600 0.7427 11.8827 BUND 1.1241 138.2000 0.8134 13.0143 BUXL 2.5852 145.8200 1.7729 28.3660 CAC 88.7464 7047.0000 1.2594 20.1496 CAD 0.0032 0.7330 0.4393 7.0293 CANOLA 7.2901 730.2000 0.9984 15.9739 CHF 0.0071 1.0881 0.6508 10.4134 COCOA 37.7819 2792.0000 1.3532 21.6515 COFFEE 3.5095 178.3500 1.9678 31.4842 COPPER 0.0555 3.9595 1.4011 22.4175 CORN 4.3171 559.7500 0.7713 12.3402 COTTON2 1.4998 77.1600 1.9438 31.1006 CRUDE_W 1.3423 66.9400 2.0052 32.0827 DAX 182.1719 15119.0000 1.2049 19.2787 DOW 288.2148 32465.0000 0.8878 14.2043 EUR 0.0063 1.0780 0.5818 9.3094 EUROSTX 55.5721 4068.0000 1.3661 21.8573 FEEDCOW 1.2404 214.7000 0.5778 9.2441 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.1005 742.5000 2.0337 32.5398 GASOILINE 0.0495 2.4373 2.0290 32.4634 GAS_US 0.1404 2.3600 5.9511 95.2180 GBP 0.0085 1.2302 0.6873 10.9975 GOLD_micro 20.6935 1983.2000 1.0434 16.6950 HEATOIL 0.0512 2.4865 2.0580 32.9284 JPY 0.0001 0.0077 0.7047 11.2745 LEANHOG 1.4759 91.8500 1.6068 25.7090 LIVECOW 0.7998 155.6750 0.5137 8.2199 MXP 0.0005 0.0522 1.0125 16.2003 NASDAQ 140.1488 12693.5000 1.1041 17.6656 NIKKEI 290.1764 26850.0000 1.0807 17.2917 NZD 0.0048 0.6244 0.7734 12.3748 OAT 0.9938 131.8800 0.7535 12.0565 OJ 5.0454 238.0500 2.1195 33.9116 PALLAD 35.4729 1407.0000 2.5212 40.3388 PLAT 18.9671 996.0000 1.9043 30.4692 REDWHEAT 11.9023 814.0000 1.4622 23.3953 ROBUSTA 26.8574 2087.0000 1.2869 20.5903 RUSSELL 24.5317 1762.9000 1.3916 22.2649 SILVER-mini 0.4342 22.8750 1.8979 30.3668 SOYBEAN 9.7399 1308.0000 0.7446 11.9143 SOYMEAL 5.0324 455.0000 1.1060 17.6964 SOYOIL 0.7911 57.9500 1.3652 21.8433 SP400 31.9534 2435.3000 1.3121 20.9935 SP500 38.2945 3984.5000 0.9611 15.3774 SUGAR11 0.2891 20.5000 1.4104 22.5671 US10 0.7024 114.9375 0.6111 9.7778 US10U 0.8829 121.1250 0.7289 11.6623 US20 1.2098 131.1562 0.9224 14.7582 US30 1.6939 141.4688 1.1974 19.1577 US5 0.5341 109.6172 0.4873 7.7961 VIX 0.9195 25.3000 3.6345 58.1517 WHEAT 9.9981 728.2500 1.3729 21.9664 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.05 0.77 516.86 1.00 516.86 38137.71 73.79 1.12 8.28 BITCOIN 27.98 4.11 114.89 1.00 114.89 38137.71 331.94 -4.67 -154.87 BOBL 1192.90 0.52 618.53 1.07 655.50 38137.71 58.18 8.78 51.07 BTP 1165.60 0.74 865.65 1.07 923.20 38137.71 41.31 11.26 46.53 BUND 1382.00 0.81 1124.11 1.07 1191.31 38137.71 32.01 15.76 50.46 BUXL 1458.20 1.77 2585.20 1.07 2757.07 38137.71 13.83 -3.02 -4.18 CAC 704.70 1.26 887.46 1.07 946.46 38137.71 40.29 2.18 8.79 CAD 732.95 0.44 322.01 1.00 322.01 38137.71 118.44 3.71 43.95 CANOLA 146.04 1.00 145.80 0.73 106.47 38137.71 358.19 11.44 409.87 CHF 1360.12 0.65 885.22 1.00 885.22 38137.71 43.08 -15.44 -66.53 COCOA 279.20 1.35 377.82 1.00 377.82 38137.71 100.94 -12.77 -128.89 COFFEE 668.81 1.97 1316.06 1.00 1316.06 38137.71 28.98 7.63 22.11 COPPER 989.88 1.40 1386.91 1.00 1386.91 38137.71 27.50 2.70 7.43 CORN 279.88 0.77 215.86 1.00 215.86 38137.71 176.68 12.81 226.29 COTTON2 385.80 1.94 749.91 1.00 749.91 38137.71 50.86 5.90 30.01 CRUDE_W 669.40 2.01 1342.26 1.00 1342.26 38137.71 28.41 0.84 2.38 DAX 151.19 1.20 182.17 1.07 194.28 38137.71 196.30 -1.87 -36.65 DOW 162.33 0.89 144.11 1.00 144.11 38137.71 264.65 -1.88 -49.78 EUR 1347.50 0.58 784.02 1.00 784.02 38137.71 48.64 -11.23 -54.61 EUROSTX 406.80 1.37 555.72 1.07 592.67 38137.71 64.35 0.98 6.33 FEEDCOW 1073.50 0.58 620.22 1.00 620.22 38137.71 61.49 -6.84 -42.08 FTSE100 707.00 0.82 576.59 1.22 666.67 38137.71 57.21 7.70 44.04 GASOIL 742.50 2.03 1510.05 1.00 1510.05 38137.71 25.26 2.26 5.70 GASOILINE 1023.67 2.03 2076.98 1.00 2076.98 38137.71 18.36 -7.01 -12.87 GAS_US 236.00 5.95 1404.47 1.00 1404.47 38137.71 27.15 -16.82 -45.67 GBP 768.88 0.69 528.48 1.00 528.48 38137.71 72.16 8.08 58.33 GOLD_micro 198.32 1.04 206.93 1.00 206.93 38137.71 184.30 -9.06 -167.01 HEATOIL 1044.33 2.06 2149.26 1.00 2149.26 38137.71 17.74 1.00 1.78 JPY 963.75 0.70 679.11 1.00 679.11 38137.71 56.16 -3.50 -19.67 LEANHOG 367.40 1.61 590.34 1.00 590.34 38137.71 64.60 -20.00 -129.21 LIVECOW 622.70 0.51 319.91 1.00 319.91 38137.71 119.21 -4.08 -48.60 MXP 261.00 1.01 264.27 1.00 264.27 38137.71 144.31 11.51 166.09 NASDAQ 2538.70 1.10 2802.98 1.00 2802.98 38137.71 13.61 5.40 7.35 NIKKEI 26850.00 1.08 29017.64 0.01 218.34 38137.71 174.67 9.43 164.79 NZD 624.45 0.77 482.96 1.00 482.96 38137.71 78.97 5.56 43.94 OAT 1318.80 0.75 993.76 1.07 1059.82 38137.71 35.99 14.14 50.87 OJ 357.08 2.12 756.81 1.00 756.81 38137.71 50.39 -3.90 -19.64 PALLAD 1407.00 2.52 3547.29 1.00 3547.29 38137.71 10.75 -5.53 -5.95 PLAT 498.00 1.90 948.35 1.00 948.35 38137.71 40.21 4.18 16.79 REDWHEAT 407.00 1.46 595.12 1.00 595.12 38137.71 64.08 2.66 17.02 ROBUSTA 208.70 1.29 268.57 1.00 268.57 38137.71 142.00 8.16 115.86 RUSSELL 88.14 1.39 122.66 1.00 122.66 38137.71 310.93 -2.20 -68.49 SILVER-mini 571.88 1.90 1085.38 1.00 1085.38 38137.71 35.14 -7.80 -27.40 SOYBEAN 654.00 0.74 487.00 1.00 487.00 38137.71 78.31 0.85 6.66 SOYMEAL 455.00 1.11 503.24 1.00 503.24 38137.71 75.78 5.59 42.38 SOYOIL 347.70 1.37 474.68 1.00 474.68 38137.71 80.34 2.51 20.19 SP400 2435.30 1.31 3195.34 1.00 3195.34 38137.71 11.94 -0.88 -1.05 SP500 1992.25 0.96 1914.72 1.00 1914.72 38137.71 19.92 1.00 2.00 SUGAR11 229.60 1.41 323.84 1.00 323.84 38137.71 117.77 15.88 187.06 US10 1149.38 0.61 702.40 1.00 702.40 38137.71 54.30 -0.95 -5.17 US10U 1211.25 0.73 882.87 1.00 882.87 38137.71 43.20 -5.44 -23.51 US20 1311.56 0.92 1209.77 1.00 1209.77 38137.71 31.52 -7.84 -24.71 US30 1414.69 1.20 1693.89 1.00 1693.89 38137.71 22.51 1.75 3.94 US5 1096.17 0.49 534.12 1.00 534.12 38137.71 71.40 -1.23 -8.76 VIX 253.00 3.63 919.52 1.00 919.52 38137.71 41.48 -15.00 -62.22 WHEAT 364.12 1.37 499.91 1.00 499.91 38137.71 76.29 -8.11 -61.91 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 8.277 0.006 2.5 0.132 BITCOIN -154.866 0.009 2.5 -3.649 BOBL 51.073 0.029 2.5 3.685 BTP 46.527 0.008 2.5 0.940 BUND 50.455 0.029 2.5 3.641 BUXL -4.181 0.034 2.5 -0.351 CAC 8.788 0.011 2.5 0.247 CAD 43.945 0.007 2.5 0.785 CANOLA 409.869 0.004 2.5 3.762 CHF -66.533 0.015 2.5 -2.490 COCOA -128.894 0.009 2.5 -2.808 COFFEE 22.112 0.005 2.5 0.287 COPPER 7.427 0.011 2.5 0.203 CORN 226.292 0.004 2.5 2.041 COTTON2 30.012 0.006 2.5 0.452 CRUDE_W 2.379 0.053 2.5 0.314 DAX -36.651 0.022 2.5 -1.990 DOW -49.775 0.011 2.5 -1.418 EUR -54.606 0.015 2.5 -2.044 EUROSTX 6.334 0.011 2.5 0.178 FEEDCOW -42.082 0.011 2.5 -1.131 FTSE100 44.035 0.041 2.5 4.540 GASOIL 5.700 0.029 2.5 0.407 GASOILINE -12.869 0.016 2.5 -0.528 GAS_US -45.673 0.006 2.5 -0.688 GBP 58.328 0.007 2.5 1.041 GOLD_micro -167.014 0.009 2.5 -3.737 HEATOIL 1.776 0.029 2.5 0.127 JPY -19.670 0.026 2.5 -1.273 LEANHOG -129.205 0.019 2.5 -6.036 LIVECOW -48.598 0.011 2.5 -1.306 MXP 166.092 0.005 2.5 2.033 NASDAQ 7.352 0.022 2.5 0.399 NIKKEI 164.788 0.076 2.5 31.299 NZD 43.937 0.006 2.5 0.702 OAT 50.867 0.008 2.5 1.027 OJ -19.642 0.007 2.5 -0.343 PALLAD -5.948 0.010 2.5 -0.143 PLAT 16.794 0.010 2.5 0.404 REDWHEAT 17.018 0.002 2.5 0.091 ROBUSTA 115.863 0.005 2.5 1.502 RUSSELL -68.492 0.021 2.5 -3.548 SILVER-mini -27.398 0.009 2.5 -0.613 SOYBEAN 6.657 0.024 2.5 0.393 SOYMEAL 42.385 0.024 2.5 2.499 SOYOIL 20.186 0.004 2.5 0.185 SP400 -1.048 0.021 2.5 -0.054 SP500 2.000 0.011 2.5 0.057 SUGAR11 187.059 0.005 2.5 2.538 US10 -5.169 0.015 2.5 -0.198 US10U -23.515 0.058 2.5 -3.426 US20 -24.708 0.029 2.5 -1.821 US30 3.944 0.034 2.5 0.331 US5 -8.757 0.015 2.5 -0.336 VIX -62.224 0.075 2.5 -11.726 WHEAT -61.905 0.002 2.5 -0.330 ==================== Position diags ==================== AUD 1.18 BITCOIN 7.82 BOBL 4.20 BTP 0.83 BUND 2.31 BUXL 1.16 CAC 1.13 CAD 2.11 CANOLA 3.29 CHF 1.61 COCOA 2.20 COFFEE 0.38 COPPER 0.75 CORN 1.59 COTTON2 0.77 CRUDE_W 3.75 DAX 10.66 DOW 7.54 EUR 1.82 EUROSTX 1.81 FEEDCOW 1.65 FTSE100 5.90 GASOIL 1.80 GASOILINE 0.75 GAS_US 0.41 GBP 1.29 GOLD_micro 4.12 HEATOIL 1.27 JPY 3.64 LEANHOG 3.02 LIVECOW 3.20 MXP 1.77 NASDAQ 0.74 NIKKEI 33.18 NZD 1.26 OAT 0.73 OJ 0.88 PALLAD 0.26 PLAT 0.97 REDWHEAT 0.34 ROBUSTA 1.84 RUSSELL 16.10 SILVER-mini 0.79 SOYBEAN 4.62 SOYMEAL 4.47 SOYOIL 0.74 SP400 0.62 SP500 0.57 SUGAR11 1.60 US10 2.08 US10U 6.29 US20 2.32 US30 1.89 US5 2.74 VIX 7.82 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 0.0 0.3 0.0 0 BITCOIN -3.6 -4.4 -2.9 -8.0 -8 BOBL 3.7 3.3 4.1 2.0 2 BTP 0.9 0.9 1.0 1.0 1 BUND 3.6 3.4 3.9 3.0 3 BUXL -0.4 -0.5 -0.2 0.0 0 CAC 0.2 0.1 0.4 0.0 0 CAD 0.8 0.6 1.0 0.0 0 CANOLA 3.8 3.4 4.1 NaN 0 CHF -2.5 -2.7 -2.3 -3.0 -3 COCOA -2.8 -3.0 -2.6 -5.0 -5 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.2 0.1 0.3 0.0 0 CORN 2.0 1.9 2.2 5.0 5 COTTON2 0.5 0.4 0.5 NaN 0 CRUDE_W 0.3 -0.1 0.7 4.0 4 DAX -2.0 -3.1 -0.9 0.0 0 DOW -1.4 -2.2 -0.7 -11.0 -11 EUR -2.0 -2.2 -1.9 -4.0 -4 EUROSTX 0.2 -0.0 0.4 0.0 0 FEEDCOW -1.1 -1.3 -1.0 -3.0 -3 FTSE100 4.5 3.9 5.1 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.5 -0.6 -0.5 -1.0 -1 GAS_US -0.7 -0.7 -0.6 -1.0 -1 GBP 1.0 0.9 1.2 8.0 8 GOLD_micro -3.7 -4.1 -3.3 0.0 0 HEATOIL 0.1 0.0 0.3 0.0 0 JPY -1.3 -1.6 -0.9 -5.0 -5 LEANHOG -6.0 -6.3 -5.7 -4.0 -4 LIVECOW -1.3 -1.6 -1.0 -5.0 -5 MXP 2.0 1.9 2.2 1.0 1 NASDAQ 0.4 0.3 0.5 2.0 2 NIKKEI 31.3 28.0 34.6 0.0 0 NZD 0.7 0.6 0.8 0.0 0 OAT 1.0 1.0 1.1 2.0 2 OJ -0.3 -0.4 -0.3 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT 0.4 0.3 0.5 3.0 3 REDWHEAT 0.1 0.1 0.1 2.0 2 ROBUSTA 1.5 1.3 1.7 2.0 2 RUSSELL -3.5 -5.2 -1.9 -14.0 -14 SILVER-mini -0.6 -0.7 -0.5 -1.0 -1 SOYBEAN 0.4 -0.1 0.9 0.0 0 SOYMEAL 2.5 2.1 2.9 5.0 5 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.1 -0.1 0.0 0.0 0 SP500 0.1 0.0 0.1 1.0 1 SUGAR11 2.5 2.4 2.7 4.0 4 US10 -0.2 -0.4 0.0 NaN 0 US10U -3.4 -4.1 -2.8 -2.0 -2 US20 -1.8 -2.1 -1.6 -1.0 -1 US30 0.3 0.1 0.5 0.0 0 US5 -0.3 -0.6 -0.1 -4.0 -4 VIX -11.7 -12.5 -10.9 -17.0 -17 WHEAT -0.3 -0.4 -0.3 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -0.2 -0.3 0.1 -0.0 0.1 0.0 0.1 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.7 2.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.3 -0.2 -0.1 BITCOIN -0.1 0.1 0.3 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.0 -0.3 0.0 0.3 -0.2 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.1 0.0 1.1 -4.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 -0.0 0.3 0.2 BOBL 0.2 0.2 0.2 0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.1 0.2 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 1.9 2.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.6 0.0 0.0 -0.0 -0.2 BTP 0.1 0.0 0.1 0.0 0.1 -0.0 0.2 -0.1 0.1 0.0 -0.0 0.0 -0.2 0.0 0.1 0.6 0.5 0.2 0.2 0.0 -0.0 0.0 -0.1 0.0 -1.4 2.2 0.0 0.0 0.0 0.0 -0.1 0.0 2.7 -0.2 -0.1 0.2 0.1 BUND 0.2 0.1 0.2 0.0 0.1 -0.0 0.2 -0.1 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.2 0.7 0.6 0.2 0.3 -0.0 -0.1 0.0 -0.2 0.0 1.0 2.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 2.8 0.0 0.0 0.0 -0.1 BUXL 0.2 0.0 0.1 0.0 0.1 -0.0 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 0.3 0.0 0.1 0.1 -0.0 -0.1 0.0 -0.2 0.0 0.6 -2.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.0 -0.0 -0.0 -0.1 CAC -0.2 -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 -0.0 0.3 -0.0 0.2 -0.3 0.0 -0.1 -0.0 0.1 0.2 -0.0 0.1 -0.0 -1.8 1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.8 -0.1 -0.1 0.2 0.2 CAD -0.2 -0.2 0.0 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 2.4 2.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.2 -0.2 -0.4 -0.1 -0.3 CANOLA -0.0 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.2 1.2 0.5 0.3 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 1.9 2.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.0 -0.2 -0.2 -0.3 CHF -0.0 -0.2 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.0 -0.0 -0.9 -0.6 -0.3 -0.3 -0.0 0.0 0.0 0.0 0.0 -0.8 -2.4 0.0 -0.0 0.0 0.0 -0.0 0.0 -2.5 0.0 0.1 0.0 0.0 COCOA -0.1 0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.3 -0.0 0.0 0.0 0.2 0.0 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.1 0.0 -3.1 -2.2 0.0 0.0 0.1 0.0 0.0 0.0 -2.1 0.1 0.2 0.1 0.3 COFFEE -0.1 0.3 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.2 0.0 0.2 0.2 0.1 0.0 0.1 0.0 -0.0 -0.0 -0.1 -0.0 1.8 2.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.9 0.1 -0.1 0.3 0.2 COPPER -0.2 -0.3 0.3 -0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.2 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.6 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.3 -0.4 -0.1 0.1 CORN -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 1.5 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 1.1 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.4 -0.3 -0.3 COTTON2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.3 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 3.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.4 0.1 CRUDE_W -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 0.6 0.5 0.2 0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.0 2.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.3 -0.1 0.0 DAX -0.3 -0.2 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.4 -0.0 0.1 -0.0 0.2 -0.3 -0.2 -0.1 -0.1 0.1 0.2 -0.0 0.1 -0.0 -2.7 2.2 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.5 -0.0 0.0 0.1 0.1 DOW -0.2 -0.3 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.2 -0.0 0.0 -0.1 -0.3 -0.5 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.3 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 0.0 0.0 -0.0 -0.2 EUR -0.1 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-0.0 0.0 -0.0 0.1 -0.0 -0.7 0.0 -0.1 0.0 0.2 GAS_US 0.2 -0.0 -0.3 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.4 -0.0 -0.3 -0.0 -0.4 -1.5 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 0.8 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.3 0.4 0.1 -0.3 GBP 0.0 -0.2 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.2 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.0 0.0 -0.1 0.0 1.7 2.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.3 -0.0 -0.1 GOLD_micro 0.2 -0.2 0.3 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.2 0.0 -0.0 0.0 0.1 -0.9 -0.4 -0.3 -0.3 0.1 0.1 0.0 0.0 0.0 0.2 -2.7 0.0 0.0 0.0 0.0 0.0 0.0 -1.9 0.1 0.4 0.2 0.2 HEATOIL -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.2 -0.1 0.2 -0.1 -0.2 1.7 0.9 0.5 0.5 -0.2 -0.1 -0.0 0.1 -0.0 -1.0 -2.7 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 2.8 0.0 -0.1 -0.1 -0.1 JPY -0.0 -0.3 0.2 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 0.0 -0.2 -0.0 -0.1 -1.0 -0.5 -0.3 -0.3 -0.0 -0.0 0.0 -0.1 0.0 0.4 2.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 -2.2 0.2 0.3 -0.1 0.1 LEANHOG -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 1.9 -2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.3 LIVECOW -0.2 0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.2 -0.0 0.1 1.6 -0.8 0.3 -0.1 0.0 0.1 -0.0 0.1 -0.0 -3.3 2.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -2.8 -0.0 -0.3 0.1 0.3 MXP -0.2 -0.2 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.3 -0.0 0.4 -0.0 0.2 1.3 0.8 0.4 0.4 0.1 0.2 -0.0 0.2 -0.0 -3.6 2.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.2 -0.0 0.0 0.3 0.2 NASDAQ -0.1 0.2 0.2 -0.0 -0.0 0.0 -0.2 0.0 -0.1 0.1 -0.0 0.0 -0.3 0.0 0.2 -0.5 -0.2 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 0.2 1.9 0.1 0.0 0.0 0.0 0.0 0.0 -0.3 0.3 0.5 0.3 0.2 NIKKEI -0.1 0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.7 0.5 0.3 0.3 0.0 0.0 -0.0 0.0 -0.0 1.1 -1.9 0.0 -0.0 0.0 -0.0 -0.0 -0.0 2.6 0.1 0.4 0.3 -0.2 NZD -0.0 -0.3 0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.2 0.0 -0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.0 2.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.6 0.0 0.1 -0.1 -0.0 OAT 0.1 -0.0 0.1 0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.3 -0.0 -0.2 0.8 0.5 0.2 0.3 -0.0 -0.1 0.0 -0.2 0.0 0.6 2.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 0.0 -0.1 -0.0 -0.1 OJ -0.0 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 -0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.5 0.3 0.3 PALLAD 0.0 -0.2 -0.3 -0.0 0.0 0.0 0.1 0.0 0.0 -0.0 -0.4 -0.0 -0.3 -0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 3.7 -2.6 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.3 -0.3 PLAT 0.2 -0.3 -0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 2.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.1 -0.2 REDWHEAT -0.2 -0.0 -0.2 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 0.0 -0.3 -0.0 -0.3 -0.0 -0.2 0.8 0.2 0.2 0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.3 2.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.4 0.2 -0.4 -0.1 -0.2 ROBUSTA -0.1 0.3 0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.0 0.0 0.2 0.4 0.4 0.2 0.2 0.1 0.1 -0.0 0.1 0.0 -1.5 2.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.5 -0.0 0.2 0.3 0.3 RUSSELL -0.3 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.4 2.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.2 0.0 -0.0 SILVER-mini 0.1 -0.3 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 -0.1 -0.0 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.8 -3.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.2 -0.1 SOYBEAN -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.2 1.6 0.8 0.4 0.4 -0.1 -0.1 -0.0 0.0 -0.0 -1.2 -2.5 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.0 -0.4 -0.3 -0.1 SOYMEAL -0.1 0.0 0.3 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 0.3 -0.0 0.3 0.0 0.3 1.6 0.8 0.4 0.4 0.1 0.2 -0.0 0.2 -0.0 -2.8 -2.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.7 -0.1 0.0 0.1 0.3 SOYOIL -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.0 -0.3 0.1 0.6 0.1 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.4 2.7 -0.1 0.0 -0.0 -0.0 0.0 -0.0 1.0 -0.1 -0.4 -0.3 -0.3 SP400 -0.2 -0.2 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -1.1 2.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.0 SP500 -0.2 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.6 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 2.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.2 0.2 0.1 -0.0 SUGAR11 0.0 0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.3 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.3 2.3 0.1 -0.0 0.1 -0.0 0.1 0.0 2.7 0.0 0.4 0.3 0.3 US10 0.2 -0.1 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.6 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 2.3 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.4 0.0 0.0 0.0 0.0 US10U 0.2 -0.1 0.3 0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.0 0.1 0.1 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.6 -2.9 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 -0.0 0.2 0.1 0.1 US20 0.2 -0.1 0.3 0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 0.0 -0.3 -2.7 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.7 -0.0 0.1 0.1 0.1 US30 0.1 -0.0 0.2 0.0 0.1 -0.0 0.2 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.9 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.3 -0.1 0.1 0.1 0.2 US5 0.2 -0.1 0.3 0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.9 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.0 0.2 2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.7 0.0 0.0 0.0 0.0 VIX 0.2 1.0 -0.1 -0.0 0.0 -0.2 0.1 -0.2 0.0 0.0 -0.4 0.0 -0.5 0.0 -0.2 -1.5 -1.6 -0.8 -0.8 -0.0 -0.2 0.0 -0.2 0.0 NaN -3.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 NaN NaN NaN NaN NaN WHEAT -0.2 -0.0 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -0.9 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.3 2.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 0.1 -0.4 -0.2 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -16.9 -19.7 6.9 -1.1 5.5 0.2 2.5 -1.6 -1.2 11.5 2.5 -5.5 -4.1 -12.1 -8.0 -3.4 -2.8 -3.5 -3.2 -9.6 -3.4 -2.2 -4.5 -12.1 6.2 11.7 -3.6 3.1 -1.5 -0.9 -1.9 -4.4 -0.8 -13.6 -15.8 -11.3 -6.6 BITCOIN -10.8 8.0 20.0 -0.3 6.4 0.9 4.7 1.4 0.8 13.9 9.3 12.6 -12.1 10.5 12.1 -3.1 -1.4 -2.4 -1.6 9.0 4.6 20.0 -5.6 11.4 5.2 -18.1 3.7 10.9 2.6 7.4 -0.3 4.0 1.6 20.0 -0.5 20.0 14.5 BOBL 17.6 14.5 14.1 0.1 10.4 -1.4 8.8 -3.8 3.4 12.9 -13.2 10.6 -14.1 1.8 -6.5 -0.8 4.6 -3.9 -0.0 -3.4 -9.5 20.0 -14.0 8.2 12.4 10.8 -0.7 12.9 -3.3 10.6 -6.3 3.9 4.1 20.0 2.0 -0.3 -12.2 BTP 7.0 0.1 8.6 0.5 7.4 -1.2 8.1 -3.7 3.9 13.9 -0.5 13.7 -9.7 3.2 3.5 7.9 12.4 9.0 11.3 3.9 -1.0 20.0 -10.7 11.3 -11.4 11.4 3.4 11.1 0.9 10.2 -4.8 6.1 20.0 -11.8 -3.3 11.1 4.9 BUND 13.4 8.7 13.6 0.1 10.4 -1.4 8.8 -3.8 3.4 12.8 -12.7 10.8 -13.8 0.4 -6.5 8.6 14.3 10.4 12.2 -3.4 -9.5 20.0 -15.2 7.6 8.1 12.3 -0.2 12.8 -2.9 10.6 -6.5 4.3 20.0 10.4 0.7 1.2 -7.4 BUXL 17.7 2.3 7.5 0.5 7.4 -1.2 8.1 -3.7 3.9 10.8 -11.7 11.2 -13.4 2.3 -8.2 3.3 0.7 3.1 2.9 -3.2 -9.6 19.1 -15.3 7.9 5.0 -10.8 -0.3 8.6 -3.0 9.4 -6.0 4.4 2.4 0.7 -0.7 -0.8 -8.6 CAC -20.0 -14.9 10.1 -0.9 -3.2 1.3 -6.2 0.6 -4.8 -6.8 14.1 -8.5 10.6 -3.6 9.4 -4.1 0.5 -3.6 -2.2 5.4 12.8 -15.2 11.5 -7.4 -16.5 8.9 1.5 -5.5 4.7 -7.7 4.2 -4.1 6.1 -9.8 -4.5 11.8 11.3 CAD -14.9 -10.7 1.1 -1.1 5.5 0.2 2.5 -1.6 -1.2 9.2 -9.3 -5.1 -10.2 -10.7 -9.2 -2.7 -1.6 -2.4 -2.1 -12.0 -10.0 -4.6 -11.8 -13.0 17.3 10.4 -4.4 2.5 -3.4 -1.8 -4.0 -5.0 1.2 -19.1 -17.4 -8.5 -17.3 CANOLA -20.0 -12.8 -12.8 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -13.8 -8.9 -15.4 -10.9 -14.0 -12.9 16.2 12.6 13.5 11.4 -20.0 -17.3 -20.0 -8.5 -20.0 8.5 11.5 -5.4 -9.2 -3.5 -9.4 -1.4 -7.7 7.8 -20.0 -20.0 -20.0 -20.0 CHF -2.1 -13.1 7.6 -1.1 5.5 0.2 2.5 -1.6 -1.2 -2.3 9.2 -1.0 2.7 -4.0 -0.3 -13.8 -13.7 -14.5 -14.4 -0.0 2.8 1.6 1.3 0.2 -5.8 -11.5 0.2 -0.6 1.3 2.0 -0.6 0.7 -19.7 3.4 4.6 3.6 1.4 COCOA -11.4 0.5 15.0 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 9.9 11.4 -0.8 1.5 0.3 7.4 0.2 -2.5 -0.8 -1.3 7.2 9.4 3.9 5.1 2.0 -20.0 -10.4 3.9 8.2 5.2 1.5 3.2 1.0 -15.1 10.7 8.3 10.5 20.0 COFFEE -11.0 18.6 6.9 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 0.9 -5.5 -9.0 -7.8 3.5 7.2 2.9 3.1 2.3 2.9 3.7 -2.8 -3.5 -8.3 -0.2 11.1 10.0 1.1 0.6 -1.0 -1.8 -2.9 -0.9 -6.4 12.7 -2.7 20.0 14.4 COPPER -15.3 -16.1 18.0 -0.3 6.4 0.9 4.7 1.4 0.8 -4.2 8.0 -11.3 -2.3 -11.1 3.8 -0.8 -0.5 -0.9 -0.8 -0.1 6.4 -11.2 2.6 -9.1 -4.7 11.1 -2.0 -2.1 1.4 -4.9 1.4 -5.1 2.8 -20.0 -20.0 -10.6 4.8 CORN -20.0 -17.3 -20.0 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -1.6 -3.0 -11.8 -0.7 -13.3 -14.5 18.6 19.8 20.0 20.0 -20.0 -14.7 -13.1 -0.4 -20.0 7.0 11.0 -5.9 -0.3 -4.5 -3.0 -1.2 -5.5 20.0 -1.5 -20.0 -20.0 -20.0 COTTON2 -8.0 -2.6 -0.3 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -13.5 -9.6 -12.9 -10.5 -12.1 -7.1 -4.6 9.5 -2.9 1.8 -9.6 -10.4 -18.5 -10.1 -14.3 4.4 12.0 -4.3 -9.0 -2.5 -8.9 -0.1 -7.0 -1.5 -20.0 -4.2 -15.4 3.6 CRUDE_W -14.1 -9.6 -5.9 -3.1 -8.3 -1.9 -8.6 1.4 -5.5 -12.2 -1.7 -13.9 -0.3 -11.9 -8.4 6.8 11.5 7.9 9.1 -11.4 -5.4 -20.0 1.0 -20.0 -8.2 10.8 -3.7 -9.6 -1.2 -10.6 1.8 -7.3 -0.2 -18.0 -17.1 -7.1 2.0 DAX -20.0 -13.2 15.9 -0.9 -3.2 1.3 -6.2 0.6 -4.8 -8.4 14.2 -9.0 5.4 -4.2 9.3 -8.8 -5.6 -9.0 -7.8 4.4 11.7 -15.7 8.3 -7.9 -17.8 9.9 1.6 -6.3 4.9 -7.9 3.4 -4.1 -3.9 -5.1 1.5 9.3 8.8 DOW -18.1 -18.0 -0.9 -0.9 -3.2 1.3 -6.2 0.6 -4.8 -5.9 6.1 -11.7 0.6 -13.3 -11.1 -7.0 -4.6 -7.1 -6.4 -11.6 -2.7 -13.9 0.4 -17.4 -2.2 10.8 -2.8 -1.6 0.4 -5.8 1.2 -6.0 -2.0 0.7 1.9 -2.8 -10.8 EUR -4.7 -19.0 17.3 -1.1 5.5 0.2 2.5 -1.6 -1.2 7.7 8.7 4.4 -2.2 -9.0 0.2 -7.1 -8.6 -7.9 -8.4 -0.2 4.2 3.5 -1.5 -1.6 -6.8 -11.1 -0.0 4.1 2.2 1.5 -1.7 -1.1 -10.2 -5.8 3.5 -1.5 7.5 EUROSTX -20.0 -14.4 11.9 -0.9 -3.2 1.3 -6.2 0.6 -4.8 -5.2 14.2 -7.4 10.0 -3.4 9.5 5.9 6.4 8.4 7.5 4.9 12.3 -12.8 10.4 -6.7 -18.6 -8.5 1.5 -4.9 5.1 -7.4 4.4 -4.2 19.0 -2.9 0.7 9.0 8.7 FEEDCOW 13.2 19.0 13.4 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -8.0 9.0 3.6 5.3 9.1 11.7 -20.0 -20.0 -20.0 -20.0 18.2 12.9 3.4 6.1 15.1 -14.6 12.2 5.5 -1.2 4.5 1.0 2.5 4.3 -20.0 12.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -3.0 -13.6 -9.0 -3.1 -8.3 -1.9 -8.6 1.4 -5.5 -12.6 -9.4 -11.8 7.4 -12.9 -8.5 20.0 20.0 20.0 20.0 -11.4 -6.9 -20.0 6.6 -15.2 -1.9 -15.4 -4.9 -9.5 -3.8 -8.7 0.7 -6.1 20.0 2.3 -0.3 -6.3 -11.8 GASOILINE -9.1 -4.8 0.4 -3.1 -8.3 -1.9 -8.6 1.4 -5.5 -11.0 0.6 -12.7 2.8 -9.6 3.1 15.0 11.1 2.9 3.5 -3.2 0.6 -19.0 6.0 -11.7 -13.7 -13.1 -0.7 -6.9 2.4 -8.2 6.1 -5.1 -4.8 0.6 -3.5 3.0 16.8 GAS_US 19.4 -2.5 -20.0 -3.1 -8.3 -1.9 -8.6 1.4 -5.5 -13.8 -15.9 -8.9 -12.6 -8.9 -15.1 -18.2 -6.3 -10.3 -7.1 -20.0 -20.0 -12.5 -20.0 -12.5 6.9 -9.3 -4.9 -7.3 -6.5 -4.8 -2.4 -3.1 -20.0 20.0 17.4 4.9 -20.0 GBP 2.4 -11.9 8.5 -1.1 5.5 0.2 2.5 -1.6 -1.2 13.4 10.0 11.8 -2.5 -1.1 -0.2 -1.9 -2.0 -2.2 -2.2 0.6 1.1 12.8 -4.3 4.0 11.6 9.4 -0.8 10.3 -2.0 6.9 -6.4 1.7 0.8 11.0 15.8 -0.1 -3.8 GOLD_micro 12.1 -15.4 14.6 -0.3 6.4 0.9 4.7 1.4 0.8 13.0 7.7 13.7 -1.6 4.1 4.9 -11.8 -10.5 -12.2 -11.9 7.8 6.4 20.0 3.1 16.2 1.2 -13.8 2.9 13.1 2.2 11.2 1.3 6.1 -15.3 20.0 20.0 14.5 10.3 HEATOIL -8.1 -14.5 -9.2 -3.1 -8.3 -1.9 -8.6 1.4 -5.5 -12.3 -8.9 -13.7 6.5 -14.6 -9.0 20.0 20.0 20.0 20.0 -13.2 -7.2 -20.0 5.7 -18.2 -10.6 -13.6 -4.5 -6.7 -1.7 -8.2 4.1 -6.7 20.0 0.5 -8.9 -10.0 -3.6 JPY -0.7 -16.8 9.0 -1.1 5.5 0.2 2.5 -1.6 -1.2 13.9 4.8 12.6 -7.2 -5.1 -2.4 -14.6 -12.2 -13.9 -13.4 -2.5 -0.6 16.6 -8.5 2.3 3.1 9.9 -0.5 10.0 -0.3 7.1 -4.5 1.6 -17.6 20.0 14.2 -5.1 4.8 LEANHOG -9.3 -7.4 -14.9 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -13.9 -12.2 -14.1 -8.3 -13.7 -14.8 -20.0 -20.0 -20.0 -20.0 -16.7 -12.8 -20.0 -6.1 -20.0 12.5 -11.1 -5.7 -11.5 -4.5 -9.2 -2.4 -6.8 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -20.0 2.6 10.5 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -13.9 11.7 -14.8 7.5 -4.4 6.1 20.0 -20.0 15.7 -6.6 0.9 8.7 -20.0 7.6 -13.5 -20.0 12.0 0.3 -10.2 3.9 -9.8 4.2 -5.5 -20.0 -20.0 -16.3 5.9 19.0 MXP -20.0 -14.5 2.5 -1.1 5.5 0.2 2.5 -1.6 -1.2 -10.3 13.8 -10.3 15.0 -0.1 9.9 18.0 20.0 20.0 20.0 8.5 14.2 -12.9 14.6 -3.1 -20.0 9.7 3.7 -4.5 6.1 -5.2 6.0 -1.1 20.0 -20.0 0.8 20.0 16.5 NASDAQ -4.7 11.6 11.2 -0.9 -3.2 1.3 -6.2 0.6 -4.8 12.8 -1.9 8.9 -10.1 5.8 8.9 -7.1 -4.9 -6.7 -6.1 8.0 3.7 14.7 -6.3 8.3 1.5 10.2 4.8 7.8 3.6 6.1 0.6 4.4 -2.0 20.0 20.0 20.0 11.5 NIKKEI -4.2 7.9 -1.2 -0.9 -3.2 1.3 -6.2 0.6 -4.8 -7.4 2.4 -7.3 3.8 -0.9 4.9 12.1 14.9 17.6 17.1 2.8 2.8 -11.1 1.4 -2.8 8.2 -9.4 1.6 -6.1 0.8 -5.4 -0.6 -0.9 20.0 5.5 20.0 20.0 -11.5 NZD -4.3 -20.0 7.7 -1.1 5.5 0.2 2.5 -1.6 -1.2 9.5 7.5 6.4 -1.8 -9.0 -5.6 0.7 0.4 0.3 0.2 -4.8 -0.3 4.6 -2.8 -4.0 0.2 10.8 -2.1 5.1 -0.3 2.5 -1.5 -1.6 4.8 1.3 3.7 -7.5 -1.1 OAT 11.7 -2.5 6.9 0.5 7.4 -1.2 8.1 -3.7 3.9 13.7 -11.4 12.4 -13.3 -0.3 -6.6 9.6 12.1 10.5 11.6 -3.4 -9.0 20.0 -14.8 7.7 4.7 12.7 -0.0 10.4 -2.7 9.8 -7.0 4.3 20.0 2.6 -4.3 -0.1 -7.2 OJ -14.2 -5.4 -7.0 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 3.1 13.9 -0.4 14.8 8.3 10.4 20.0 17.8 20.0 20.0 16.4 20.0 3.3 20.0 9.3 -20.0 -14.3 5.5 -0.2 6.8 0.7 6.8 2.9 20.0 20.0 20.0 20.0 20.0 PALLAD 3.9 -13.7 -20.0 -0.3 6.4 0.9 4.7 1.4 0.8 -3.5 -15.4 -4.0 -13.9 -11.7 -14.4 -2.5 -2.0 -2.7 -2.5 -20.0 -20.0 -4.7 -20.0 -13.0 20.0 -11.1 -5.5 -1.2 -5.5 -0.9 -4.0 -3.3 0.0 -17.7 -20.0 -20.0 -20.0 PLAT 13.6 -18.6 -2.0 -0.3 6.4 0.9 4.7 1.4 0.8 7.6 2.8 8.7 0.3 -2.8 -6.3 -1.7 -1.2 -1.9 -1.5 -3.2 -1.0 7.7 1.0 1.9 -0.9 11.2 -2.5 4.0 -1.0 2.8 -0.0 -0.5 1.6 -10.6 4.1 -9.4 -11.5 REDWHEAT -17.4 -0.7 -9.0 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 10.7 -11.6 -4.4 -10.6 -6.7 -8.8 9.6 3.8 8.2 6.4 -11.5 -12.1 1.2 -8.1 -8.9 2.3 12.9 -4.0 3.6 -3.0 0.6 -0.3 -3.2 -3.3 20.0 -19.6 -6.4 -11.6 ROBUSTA -9.0 18.9 20.0 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -9.2 3.2 -10.1 0.2 5.2 10.4 5.2 8.9 7.9 9.0 13.1 10.7 -9.8 4.8 2.1 -8.7 9.6 3.7 -3.0 2.7 -3.1 1.0 0.6 3.5 -5.4 13.0 20.0 20.0 RUSSELL -20.0 -8.7 6.8 -0.9 -3.2 1.3 -6.2 0.6 -4.8 -11.4 -0.7 -13.9 -8.0 -12.6 -5.1 -5.6 -4.0 -5.7 -5.2 -9.8 -1.8 -20.0 -3.2 -20.0 -3.2 10.0 -1.5 -5.9 1.1 -8.4 0.7 -6.1 -0.5 -20.0 -9.7 2.5 -2.7 SILVER-mini 4.8 -20.0 1.7 -0.3 6.4 0.9 4.7 1.4 0.8 13.4 3.4 11.8 -2.4 -4.1 -6.0 -5.5 -4.6 -5.6 -5.3 -5.6 -1.9 16.1 -0.8 1.4 3.7 -11.3 -2.5 8.1 -1.3 5.5 -1.1 0.1 -4.5 14.1 -5.6 -10.5 -8.2 SOYBEAN -19.9 -6.6 -7.4 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -14.1 0.2 -15.0 2.6 -12.0 -9.4 20.0 20.0 20.0 20.0 -11.3 -4.6 -20.0 2.7 -20.0 -7.7 -11.7 -4.4 -9.8 -1.3 -9.8 2.2 -7.5 20.0 -20.0 -20.0 -19.6 -3.9 SOYMEAL -13.0 2.3 20.0 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -13.7 14.0 -8.6 13.9 4.9 12.8 19.8 18.7 20.0 20.0 12.5 20.0 -14.0 20.0 -0.4 -20.0 -12.0 3.7 -10.9 8.3 -6.5 10.2 -1.6 20.0 -14.2 0.3 7.8 20.0 SOYOIL -14.4 -10.7 -14.7 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 1.2 -8.1 -9.4 0.9 -10.8 -14.1 0.8 13.9 3.5 8.2 -16.2 -11.6 -10.7 -1.3 -16.9 -2.8 12.9 -5.6 1.0 -3.7 -3.2 0.1 -5.5 7.7 -9.2 -20.0 -20.0 -20.0 SP400 -20.0 -13.1 7.0 -0.9 -3.2 1.3 -6.2 0.6 -4.8 -9.8 5.3 -13.2 -0.8 -12.0 -4.7 -6.1 -3.9 -5.7 -4.9 -9.0 1.2 -20.0 1.9 -20.0 -6.7 10.2 -1.8 -5.4 1.2 -8.4 1.5 -6.4 -0.0 -20.0 -17.1 -0.3 -2.9 SP500 -17.3 -4.5 4.9 -0.9 -3.2 1.3 -6.2 0.6 -4.8 1.4 -0.2 -5.7 -6.8 -8.9 -1.7 -7.4 -5.4 -7.2 -6.5 -4.6 -1.0 -6.1 -3.5 -9.5 1.6 10.2 -0.1 1.6 1.5 -2.3 -0.2 -3.0 -2.6 16.0 11.9 10.4 -1.6 SUGAR11 4.3 7.4 12.1 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 -11.3 13.7 5.1 11.0 11.9 13.6 20.0 20.0 20.0 20.0 16.1 16.8 0.8 12.8 10.0 -20.0 10.7 6.0 -2.1 7.8 -0.1 6.9 2.9 20.0 10.0 20.0 20.0 20.0 US10 18.5 -4.8 17.5 0.5 7.4 -1.2 8.1 -3.7 3.9 11.2 -8.1 11.5 -12.0 2.7 -1.5 -7.8 -3.7 -8.0 -7.1 -0.6 -5.7 20.0 -11.8 9.8 -0.8 9.7 1.5 8.3 -0.9 9.6 -3.9 5.5 -10.2 4.5 14.1 3.6 3.8 US10U 16.5 -3.8 15.1 0.5 7.4 -1.2 8.1 -3.7 3.9 11.2 -7.2 11.9 -11.7 3.2 -0.1 0.8 2.9 0.8 1.1 -0.1 -5.4 20.0 -12.3 9.6 -4.4 -14.1 2.2 7.9 -0.1 9.4 -3.3 5.8 2.5 -2.9 13.1 6.5 8.1 US20 15.8 -3.6 14.6 0.5 7.4 -1.2 8.1 -3.7 3.9 10.8 -4.8 12.3 -10.3 4.9 2.3 -2.5 -1.6 -4.5 -3.8 1.0 -4.6 20.0 -12.0 10.7 -2.1 -12.3 2.0 6.7 -0.4 8.9 -3.5 5.7 -5.3 -2.8 12.6 7.5 7.7 US30 10.9 -2.7 13.5 0.5 7.4 -1.2 8.1 -3.7 3.9 9.4 -3.9 11.4 -11.4 1.9 -0.5 -1.3 -0.6 -1.4 -1.3 0.3 -4.8 14.3 -14.3 7.2 -7.2 10.0 2.6 5.8 0.3 8.1 -4.0 5.4 -2.4 -20.0 6.3 7.7 11.5 US5 20.0 -3.9 20.0 0.5 7.4 -1.2 8.1 -3.7 3.9 11.4 -8.7 11.4 -12.4 3.1 -1.9 -11.1 -4.3 -10.2 -8.6 -0.7 -5.8 20.0 -11.5 10.2 1.5 10.8 0.9 8.3 -1.3 9.4 -4.4 5.1 -11.9 10.5 15.4 0.1 2.0 VIX 20.0 20.0 -2.1 -2.0 4.7 -4.6 5.6 -4.6 2.5 9.7 -12.2 10.2 -13.2 7.1 -5.7 -9.6 -20.0 -18.4 -20.0 -0.9 -9.0 14.7 -10.4 9.3 NaN -13.5 -2.3 5.5 -6.1 6.6 -6.4 3.2 NaN NaN NaN NaN NaN WHEAT -18.8 -0.9 -11.7 -3.0 -8.7 -2.2 -8.7 -1.3 -6.1 6.1 -13.7 -6.8 -14.1 -10.2 -11.9 -11.8 -7.5 -10.8 -9.2 -18.0 -19.1 -6.5 -15.0 -15.3 8.4 11.9 -4.7 -0.4 -3.9 -1.9 -1.6 -4.5 -20.0 13.4 -20.0 -12.0 -14.7 End of report for caleb_strategy_v1