******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230321_204911 produced at 2023-03-21 21:35:56.907596 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.887039e+07 -4.887039e+07 -0.10 -0.10 -3.44 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.566013e+07 -5.566013e+07 -0.17 -0.17 -2.47 999999999 -3 -3 caleb_strategy_v1 EUR False False 0.06 -0.22 -0.11 0.0 5.502971e+07 -5.502971e+07 -0.22 -0.22 -2.00 999999999 -4 -4 caleb_strategy_v1 VIX False False 0.01 -0.16 -0.11 0.0 9.680023e+06 -9.680023e+06 -0.16 -0.16 -11.45 999999999 -17 -17 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.10 0.0 5.292491e+07 -5.292491e+07 -0.05 -0.05 -1.83 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.485355e+07 -1.485355e+07 -0.06 -0.06 -6.22 999999999 -4 -4 caleb_strategy_v1 JPY False False 0.04 -0.19 -0.05 0.0 3.888532e+07 -3.888532e+07 -0.19 -0.19 -1.24 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.04 -0.13 -0.05 0.0 4.374821e+07 -4.374821e+07 -0.13 -0.13 -1.18 999999999 -3 -3 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.03 0.0 2.539582e+07 -2.539582e+07 -0.13 -0.13 -1.32 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 7.904267e+06 -7.904267e+06 0.00 0.00 -3.52 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.145741e+07 -1.145741e+07 -0.06 -0.06 -2.67 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 6.207780e+07 -6.207780e+07 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 4.188944e+07 -4.188944e+07 -0.04 -0.04 -0.51 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.646182e+07 -4.646182e+07 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.305615e+07 -2.305615e+07 -0.02 -0.02 -0.62 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.648108e+06 -3.648108e+06 -0.05 -0.05 -3.22 999999999 -14 -14 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.972864e+06 -9.972864e+06 -0.01 -0.01 -0.70 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.451393e+07 -1.451393e+07 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.705204e+06 -6.705204e+06 0.00 0.00 -1.73 999999999 0 0 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.01 0.0 1.008227e+08 -1.008227e+08 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.07 -0.01 0.0 6.667421e+06 -6.667421e+06 -0.07 -0.07 -0.86 999999999 -11 -11 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.659560e+07 -5.659560e+07 -0.06 -0.06 -0.15 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.01 0.0 4.431699e+07 -4.431699e+07 -0.18 -0.18 -0.33 999999999 -4 -4 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.374889e+07 -1.374889e+07 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.801093e+07 -1.801093e+07 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.451495e+07 -1.451495e+07 -0.06 -0.06 -0.33 999999999 -4 -4 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.721388e+07 -2.721388e+07 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.150011e+06 -1.150011e+06 -0.01 -0.01 -3.70 999999999 -8 -8 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.635537e+07 -1.635537e+07 0.03 0.03 0.10 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.11 0.01 0.0 2.781176e+07 -2.781176e+07 0.11 0.11 0.39 999999999 4 4 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 4.074863e+07 -4.074863e+07 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.281019e+07 -4.281019e+07 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.636586e+07 -2.636586e+07 0.00 0.00 0.33 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.116086e+07 -3.116086e+07 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.667281e+06 -8.667281e+06 0.02 0.02 1.50 999999999 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.582765e+07 -1.582765e+07 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 3.045343e+07 -3.045343e+07 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.211750e+07 -8.211750e+07 0.08 0.08 0.10 999999999 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.749960e+07 -2.749960e+07 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 1.989285e+07 -1.989285e+07 0.06 0.06 0.41 999999999 3 3 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.130183e+07 -1.130183e+07 0.06 0.06 2.05 999999999 5 5 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.517416e+07 -2.517416e+07 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.268409e+06 -4.268409e+06 0.00 0.00 3.81 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 2.969693e+07 -2.969693e+07 0.00 0.00 0.80 999999999 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.722093e+07 -5.722093e+07 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.073140e+07 -1.073140e+07 0.01 0.01 2.06 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.02 0.0 9.475034e+06 -9.475034e+06 0.04 0.04 2.55 999999999 4 4 caleb_strategy_v1 GBP False False 0.03 0.25 0.03 0.0 3.112198e+07 -3.112198e+07 0.25 0.25 1.06 999999999 8 8 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.04 0.0 1.850186e+07 -1.850186e+07 0.09 0.09 2.41 999999999 5 5 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.024329e+07 -5.024329e+07 0.05 0.05 0.93 999999999 1 1 caleb_strategy_v1 NASDAQ False False 0.10 0.21 0.05 0.0 1.047252e+08 -1.047252e+08 0.21 0.21 0.44 999999999 2 2 caleb_strategy_v1 OAT False False 0.06 0.11 0.06 0.0 5.667670e+07 -5.667670e+07 0.11 0.11 1.00 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 4.57 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.10 0.19 0.0 5.138885e+07 -5.138885e+07 0.10 0.10 3.76 999999999 2 2 caleb_strategy_v1 BUND False False 0.06 0.18 0.21 0.0 5.921173e+07 -5.921173e+07 0.18 0.18 3.61 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 30.71 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 12.2 Shocked risk 26.2 Sum abs risk 40.9 Leverage 2.35 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2458671.9, 'annual_cash_vol_target': 614667.975, 'daily_cash_vol_target': 38416.7484375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6691 0.7681 12.2895 BITCOIN 1123.8883 28275.0000 3.9748 63.5976 BOBL 0.6380 117.9800 0.5408 8.6522 BTP 0.8766 115.3500 0.7600 12.1598 BUND 1.1422 135.9400 0.8402 13.4434 BUXL 2.6205 142.5200 1.8387 29.4185 CAC 89.3274 7154.0000 1.2486 19.9782 CAD 0.0032 0.7302 0.4396 7.0339 CANOLA 7.4364 717.9000 1.0359 16.5737 CHF 0.0070 1.0948 0.6399 10.2390 COCOA 37.0453 2817.0000 1.3151 21.0410 COFFEE 3.4517 180.3000 1.9144 30.6304 COPPER 0.0552 4.0075 1.3764 22.0222 CORN 4.2975 555.7500 0.7733 12.3726 COTTON2 1.4767 77.8300 1.8973 30.3565 CRUDE_W 1.3578 68.3800 1.9857 31.7713 DAX 186.5118 15394.0000 1.2116 19.3854 DOW 289.3000 32786.0000 0.8824 14.1182 EUR 0.0062 1.0824 0.5726 9.1623 EUROSTX 55.9558 4135.0000 1.3532 21.6516 FEEDCOW 1.2164 215.1250 0.5654 9.0468 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.8526 748.7500 1.9837 31.7385 GASOILINE 0.0486 2.4522 1.9810 31.6961 GAS_US 0.1396 2.4520 5.6936 91.0970 GBP 0.0084 1.2243 0.6886 11.0177 GOLD_micro 21.8919 1943.4000 1.1265 18.0236 HEATOIL 0.0503 2.5061 2.0084 32.1350 JPY 0.0001 0.0076 0.7228 11.5643 LEANHOG 1.4420 91.3000 1.5794 25.2708 LIVECOW 0.8073 156.1000 0.5172 8.2750 MXP 0.0005 0.0528 1.0019 16.0312 NASDAQ 139.4180 12874.2500 1.0829 17.3267 NIKKEI 287.0262 27115.0000 1.0586 16.9368 NZD 0.0049 0.6190 0.7856 12.5696 OAT 1.0276 130.1200 0.7897 12.6356 OJ 4.9160 237.9000 2.0664 33.0626 PALLAD 34.6920 1391.5000 2.4931 39.8902 PLAT 18.9844 978.2000 1.9408 31.0520 REDWHEAT 11.7886 804.2500 1.4658 23.4526 ROBUSTA 27.6317 2131.0000 1.2967 20.7465 RUSSELL 24.9009 1793.9000 1.3881 22.2094 SILVER-mini 0.4264 22.6750 1.8803 30.0847 SOYBEAN 9.7345 1296.5000 0.7508 12.0133 SOYMEAL 4.9058 454.9000 1.0784 17.2549 SOYOIL 0.8209 56.3400 1.4571 23.3135 SP400 32.5491 2478.9000 1.3130 21.0088 SP500 38.6804 4038.0000 0.9579 15.3266 SUGAR11 0.2897 20.8000 1.3930 22.2873 US10 0.7031 114.2344 0.6155 9.8481 US10U 0.8893 120.1562 0.7402 11.8425 US20 1.2050 130.1250 0.9260 14.8159 US30 1.6657 140.6875 1.1840 18.9437 US5 0.5383 108.9609 0.4940 7.9041 VIX 0.9473 23.8000 3.9804 63.6864 WHEAT 10.1311 713.7500 1.4194 22.7108 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.10 0.77 513.93 1.00 513.93 38416.75 74.75 1.06 7.90 BITCOIN 28.28 3.97 112.39 1.00 112.39 38416.75 341.82 -4.60 -157.10 BOBL 1179.80 0.54 637.99 1.06 679.17 38416.75 56.56 9.21 52.12 BTP 1153.50 0.76 876.65 1.06 933.23 38416.75 41.17 11.15 45.90 BUND 1359.40 0.84 1142.18 1.06 1215.91 38416.75 31.60 15.85 50.09 BUXL 1425.20 1.84 2620.45 1.06 2789.60 38416.75 13.77 -3.37 -4.65 CAC 715.40 1.25 893.27 1.06 950.93 38416.75 40.40 2.33 9.42 CAD 730.15 0.44 320.99 1.00 320.99 38416.75 119.68 3.75 44.92 CANOLA 143.58 1.04 148.73 0.73 108.21 38416.75 355.01 11.68 414.58 CHF 1368.50 0.64 875.75 1.00 875.75 38416.75 43.87 -15.03 -65.92 COCOA 281.70 1.32 370.45 1.00 370.45 38416.75 103.70 -11.82 -122.54 COFFEE 676.12 1.91 1294.37 1.00 1294.37 38416.75 29.68 7.70 22.86 COPPER 1001.88 1.38 1378.97 1.00 1378.97 38416.75 27.86 2.85 7.93 CORN 277.88 0.77 214.88 1.00 214.88 38416.75 178.78 12.71 227.15 COTTON2 389.15 1.90 738.33 1.00 738.33 38416.75 52.03 5.89 30.63 CRUDE_W 683.80 1.99 1357.83 1.00 1357.83 38416.75 28.29 1.05 2.97 DAX 153.94 1.21 186.51 1.06 198.55 38416.75 193.49 -1.65 -31.94 DOW 163.93 0.88 144.65 1.00 144.65 38416.75 265.58 -1.13 -30.08 EUR 1353.00 0.57 774.78 1.00 774.78 38416.75 49.58 -10.78 -53.45 EUROSTX 413.50 1.35 559.56 1.06 595.68 38416.75 64.49 0.92 5.95 FEEDCOW 1075.62 0.57 608.18 1.00 608.18 38416.75 63.17 -6.97 -44.01 FTSE100 707.00 0.82 576.59 1.22 666.67 38416.75 57.62 7.70 44.36 GASOIL 748.75 1.98 1485.26 1.00 1485.26 38416.75 25.87 2.26 5.84 GASOILINE 1029.92 1.98 2040.28 1.00 2040.28 38416.75 18.83 -6.59 -12.42 GAS_US 245.20 5.69 1396.06 1.00 1396.06 38416.75 27.52 -16.84 -46.34 GBP 765.19 0.69 526.91 1.00 526.91 38416.75 72.91 8.14 59.37 GOLD_micro 194.34 1.13 218.92 1.00 218.92 38416.75 175.48 -8.95 -157.12 HEATOIL 1052.56 2.01 2114.00 1.00 2114.00 38416.75 18.17 1.09 1.99 JPY 956.06 0.72 691.01 1.00 691.01 38416.75 55.60 -3.44 -19.10 LEANHOG 365.20 1.58 576.81 1.00 576.81 38416.75 66.60 -20.00 -133.21 LIVECOW 624.40 0.52 322.93 1.00 322.93 38416.75 118.96 -4.14 -49.20 MXP 263.85 1.00 264.36 1.00 264.36 38416.75 145.32 11.61 168.64 NASDAQ 2574.85 1.08 2788.36 1.00 2788.36 38416.75 13.78 5.91 8.15 NIKKEI 27115.00 1.06 28702.62 0.01 218.86 38416.75 175.53 9.21 161.67 NZD 618.95 0.79 486.25 1.00 486.25 38416.75 79.01 5.58 44.12 OAT 1301.20 0.79 1027.59 1.06 1093.92 38416.75 35.12 14.12 49.57 OJ 356.85 2.07 737.40 1.00 737.40 38416.75 52.10 -3.91 -20.37 PALLAD 1391.50 2.49 3469.20 1.00 3469.20 38416.75 11.07 -5.53 -6.12 PLAT 489.10 1.94 949.22 1.00 949.22 38416.75 40.47 4.26 17.23 REDWHEAT 402.12 1.47 589.43 1.00 589.43 38416.75 65.18 2.90 18.88 ROBUSTA 213.10 1.30 276.32 1.00 276.32 38416.75 139.03 8.33 115.77 RUSSELL 89.70 1.39 124.50 1.00 124.50 38416.75 308.56 -2.01 -62.14 SILVER-mini 566.88 1.88 1065.89 1.00 1065.89 38416.75 36.04 -7.70 -27.76 SOYBEAN 648.25 0.75 486.73 1.00 486.73 38416.75 78.93 0.72 5.65 SOYMEAL 454.90 1.08 490.58 1.00 490.58 38416.75 78.31 5.21 40.81 SOYOIL 338.04 1.46 492.56 1.00 492.56 38416.75 77.99 2.51 19.58 SP400 2478.90 1.31 3254.91 1.00 3254.91 38416.75 11.80 -0.85 -1.00 SP500 2019.00 0.96 1934.02 1.00 1934.02 38416.75 19.86 1.77 3.51 SUGAR11 232.96 1.39 324.50 1.00 324.50 38416.75 118.39 15.88 188.04 US10 1142.34 0.62 703.12 1.00 703.12 38416.75 54.64 -0.85 -4.66 US10U 1201.56 0.74 889.35 1.00 889.35 38416.75 43.20 -5.46 -23.58 US20 1301.25 0.93 1204.95 1.00 1204.95 38416.75 31.88 -7.77 -24.79 US30 1406.88 1.18 1665.71 1.00 1665.71 38416.75 23.06 1.66 3.84 US5 1089.61 0.49 538.27 1.00 538.27 38416.75 71.37 -1.19 -8.52 VIX 238.00 3.98 947.34 1.00 947.34 38416.75 40.55 -14.98 -60.73 WHEAT 356.88 1.42 506.56 1.00 506.56 38416.75 75.84 -8.23 -62.41 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 7.904 0.006 2.5 0.126 BITCOIN -157.102 0.009 2.5 -3.702 BOBL 52.119 0.029 2.5 3.761 BTP 45.905 0.008 2.5 0.927 BUND 50.088 0.029 2.5 3.614 BUXL -4.648 0.034 2.5 -0.390 CAC 9.420 0.011 2.5 0.265 CAD 44.924 0.007 2.5 0.802 CANOLA 414.581 0.004 2.5 3.806 CHF -65.923 0.015 2.5 -2.467 COCOA -122.538 0.009 2.5 -2.669 COFFEE 22.860 0.005 2.5 0.296 COPPER 7.926 0.011 2.5 0.217 CORN 227.147 0.004 2.5 2.049 COTTON2 30.635 0.006 2.5 0.461 CRUDE_W 2.971 0.053 2.5 0.393 DAX -31.938 0.022 2.5 -1.735 DOW -30.083 0.011 2.5 -0.857 EUR -53.455 0.015 2.5 -2.001 EUROSTX 5.950 0.011 2.5 0.167 FEEDCOW -44.012 0.011 2.5 -1.183 FTSE100 44.358 0.041 2.5 4.573 GASOIL 5.837 0.029 2.5 0.416 GASOILINE -12.417 0.016 2.5 -0.510 GAS_US -46.338 0.006 2.5 -0.698 GBP 59.371 0.007 2.5 1.060 GOLD_micro -157.124 0.009 2.5 -3.516 HEATOIL 1.986 0.029 2.5 0.142 JPY -19.103 0.026 2.5 -1.237 LEANHOG -133.205 0.019 2.5 -6.223 LIVECOW -49.197 0.011 2.5 -1.322 MXP 168.642 0.005 2.5 2.065 NASDAQ 8.147 0.022 2.5 0.442 NIKKEI 161.668 0.076 2.5 30.706 NZD 44.120 0.006 2.5 0.705 OAT 49.571 0.008 2.5 1.001 OJ -20.365 0.007 2.5 -0.355 PALLAD -6.118 0.010 2.5 -0.147 PLAT 17.230 0.010 2.5 0.415 REDWHEAT 18.879 0.002 2.5 0.101 ROBUSTA 115.774 0.005 2.5 1.501 RUSSELL -62.136 0.021 2.5 -3.218 SILVER-mini -27.760 0.009 2.5 -0.621 SOYBEAN 5.647 0.024 2.5 0.333 SOYMEAL 40.814 0.024 2.5 2.406 SOYOIL 19.583 0.004 2.5 0.180 SP400 -1.003 0.021 2.5 -0.052 SP500 3.506 0.011 2.5 0.100 SUGAR11 188.040 0.005 2.5 2.552 US10 -4.661 0.015 2.5 -0.179 US10U -23.580 0.058 2.5 -3.436 US20 -24.786 0.029 2.5 -1.827 US30 3.836 0.034 2.5 0.322 US5 -8.523 0.015 2.5 -0.327 VIX -60.733 0.075 2.5 -11.445 WHEAT -62.408 0.002 2.5 -0.333 ==================== Position diags ==================== AUD 1.19 BITCOIN 8.05 BOBL 4.08 BTP 0.83 BUND 2.28 BUXL 1.16 CAC 1.14 CAD 2.14 CANOLA 3.26 CHF 1.64 COCOA 2.26 COFFEE 0.38 COPPER 0.76 CORN 1.61 COTTON2 0.78 CRUDE_W 3.74 DAX 10.51 DOW 7.57 EUR 1.86 EUROSTX 1.81 FEEDCOW 1.70 FTSE100 5.94 GASOIL 1.85 GASOILINE 0.77 GAS_US 0.41 GBP 1.30 GOLD_micro 3.93 HEATOIL 1.30 JPY 3.60 LEANHOG 3.11 LIVECOW 3.20 MXP 1.78 NASDAQ 0.75 NIKKEI 33.34 NZD 1.26 OAT 0.71 OJ 0.91 PALLAD 0.27 PLAT 0.97 REDWHEAT 0.35 ROBUSTA 1.80 RUSSELL 15.98 SILVER-mini 0.81 SOYBEAN 4.65 SOYMEAL 4.62 SOYOIL 0.72 SP400 0.61 SP500 0.57 SUGAR11 1.61 US10 2.10 US10U 6.29 US20 2.35 US30 1.94 US5 2.74 VIX 7.64 WHEAT 0.40 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 0.0 0.2 0.0 0 BITCOIN -3.7 -4.5 -2.9 -8.0 -8 BOBL 3.8 3.4 4.2 2.0 2 BTP 0.9 0.8 1.0 1.0 1 BUND 3.6 3.4 3.8 3.0 3 BUXL -0.4 -0.5 -0.3 0.0 0 CAC 0.3 0.2 0.4 0.0 0 CAD 0.8 0.6 1.0 0.0 0 CANOLA 3.8 3.5 4.1 NaN 0 CHF -2.5 -2.6 -2.3 -3.0 -3 COCOA -2.7 -2.9 -2.4 -5.0 -5 COFFEE 0.3 0.3 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 0.4 0.0 0.8 4.0 4 DAX -1.7 -2.8 -0.7 0.0 0 DOW -0.9 -1.6 -0.1 -11.0 -11 EUR -2.0 -2.2 -1.8 -4.0 -4 EUROSTX 0.2 -0.0 0.3 0.0 0 FEEDCOW -1.2 -1.4 -1.0 -3.0 -3 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.5 -0.6 -0.4 -1.0 -1 GAS_US -0.7 -0.7 -0.7 -1.0 -1 GBP 1.1 0.9 1.2 8.0 8 GOLD_micro -3.5 -3.9 -3.1 0.0 0 HEATOIL 0.1 0.0 0.3 0.0 0 JPY -1.2 -1.6 -0.9 -5.0 -5 LEANHOG -6.2 -6.5 -5.9 -4.0 -4 LIVECOW -1.3 -1.6 -1.0 -5.0 -5 MXP 2.1 1.9 2.2 1.0 1 NASDAQ 0.4 0.4 0.5 2.0 2 NIKKEI 30.7 27.4 34.0 0.0 0 NZD 0.7 0.6 0.8 0.0 0 OAT 1.0 0.9 1.1 2.0 2 OJ -0.4 -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 -3.2 -4.8 -1.6 -14.0 -14 SILVER-mini -0.6 -0.7 -0.5 -1.0 -1 SOYBEAN 0.3 -0.1 0.8 0.0 0 SOYMEAL 2.4 1.9 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 0.2 1.0 1 SUGAR11 2.6 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 -11.4 -12.2 -10.7 -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 0.0 0.0 0.1 -0.0 -0.0 0.0 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 -0.4 -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 1.0 -4.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.0 0.3 0.3 BOBL 0.2 0.1 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.0 0.2 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 1.8 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 0.2 0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.0 0.0 -0.2 0.0 0.1 0.7 0.5 0.2 0.2 0.1 -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 0.1 0.1 BUND 0.2 0.0 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.1 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 0.2 0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 0.2 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 -0.1 -0.0 -0.0 -0.1 CAC -0.2 -0.3 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 0.0 -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 -0.2 -0.0 2.4 2.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.2 -0.3 -0.1 -0.3 CANOLA -0.0 -0.2 -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 2.2 2.8 -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 0.0 -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 0.1 0.1 0.1 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 0.1 -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 -2.0 0.2 0.3 0.2 0.3 COFFEE -0.1 0.2 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 1.7 2.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.9 0.0 0.0 0.3 0.2 COPPER -0.2 -0.2 0.3 -0.0 0.0 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 -0.3 -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 -0.0 -0.5 0.1 CRUDE_W -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 0.5 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 -0.3 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 0.1 -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 -0.1 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 0.1 0.0 -0.0 -0.2 EUR -0.0 -0.3 0.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.2 0.0 -0.1 -0.0 0.0 -0.5 -0.4 -0.2 -0.2 0.0 0.1 0.0 -0.0 0.0 -1.0 -2.3 0.0 0.0 0.0 0.0 -0.0 -0.0 -1.2 0.0 0.1 -0.0 0.1 EUROSTX -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 0.4 0.3 0.2 0.2 0.1 0.1 -0.0 0.1 -0.0 -2.5 -1.8 0.0 0.0 0.1 -0.0 0.1 -0.0 2.5 -0.0 -0.0 0.1 0.1 FEEDCOW 0.1 0.3 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 0.0 0.1 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.2 0.1 0.0 0.1 0.0 -2.5 2.7 0.1 -0.0 0.1 0.0 0.0 0.0 -2.7 0.0 0.4 0.3 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.2 -0.0 0.2 -0.1 -0.2 1.7 0.9 0.4 0.4 -0.2 -0.1 -0.0 0.1 -0.0 -0.2 -3.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 0.0 -0.0 -0.1 -0.2 GASOILINE -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 1.3 0.5 0.1 0.1 -0.0 0.0 -0.0 0.1 -0.0 -1.7 -2.6 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.6 0.0 -0.1 0.0 0.2 GAS_US 0.2 -0.0 -0.3 -0.1 -0.0 -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 0.9 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.2 0.4 0.1 -0.3 GBP 0.0 -0.1 0.1 -0.0 0.0 0.0 0.0 -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 1.6 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 0.0 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 0.1 -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 -0.1 -0.2 0.0 -0.1 -0.0 -0.2 -0.0 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 -0.2 0.2 -0.0 0.0 0.0 0.0 -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 -0.0 0.1 LEANHOG -0.1 -0.1 -0.3 -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 -0.2 -0.0 -0.1 -0.0 2.0 -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 0.2 -0.0 0.2 -0.0 0.1 1.6 -0.8 0.4 -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 -0.1 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 -0.0 0.2 0.2 -0.0 0.0 0.0 -0.1 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 0.1 0.0 -0.1 0.0 0.1 1.9 0.1 0.1 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 0.2 -0.0 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.1 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 -0.1 -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 0.0 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 -0.1 -0.0 0.0 -0.0 -0.4 -0.3 -0.3 PLAT 0.1 -0.2 -0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 -0.1 -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 0.2 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 0.3 0.3 0.3 RUSSELL -0.3 -0.2 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -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 -0.3 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 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.7 -3.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -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 -0.2 -0.1 -0.0 0.0 -0.0 -1.1 -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 -0.2 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 -0.1 -0.2 -0.3 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 -0.3 0.0 0.6 0.1 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.3 2.7 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 1.0 -0.0 -0.4 -0.3 -0.3 SP400 -0.2 -0.3 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -1.0 2.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.4 -0.0 -0.1 SP500 -0.2 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.5 -0.2 -0.1 -0.1 -0.0 -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 0.3 0.3 0.2 -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 0.1 -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 0.4 -0.0 0.1 0.1 0.1 US20 0.2 -0.1 0.3 0.0 0.0 -0.0 0.1 -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 0.2 -0.0 0.2 0.0 0.0 -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 -0.0 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 0.1 -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 0.0 -0.2 0.0 0.0 -0.4 0.0 -0.5 0.0 -0.2 -1.5 -1.6 -0.7 -0.8 -0.0 -0.1 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 0.0 -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 -14.9 -18.1 6.8 -1.0 2.8 0.2 2.1 -1.6 -0.9 6.3 2.3 -5.1 -4.1 -12.0 -8.4 -3.4 -2.8 -3.5 -3.2 -9.7 -3.7 -3.4 -4.6 -11.7 6.3 11.7 -3.6 0.5 -1.6 -1.3 -1.9 -4.2 -0.8 -11.3 -16.8 -12.1 -7.0 BITCOIN -7.9 8.1 20.0 -0.2 4.1 1.0 4.2 1.4 1.1 14.0 9.7 13.7 -11.9 11.7 12.6 -3.2 -1.4 -2.5 -1.6 10.5 5.3 20.0 -5.4 14.3 4.7 -18.1 4.0 9.9 2.7 7.9 -0.2 4.8 1.5 17.5 1.1 20.0 15.8 BOBL 20.0 7.9 17.1 0.8 4.0 -1.1 6.9 -3.6 4.0 7.9 -12.5 10.4 -13.9 4.9 -4.3 -0.5 4.6 -3.6 0.0 -1.1 -8.1 18.2 -13.1 9.9 12.2 10.8 0.2 4.9 -2.8 8.3 -5.9 4.7 4.2 20.0 3.3 2.2 -11.5 BTP 8.4 0.1 9.6 0.8 4.0 -1.1 6.9 -3.6 4.0 8.8 -0.3 12.5 -9.7 3.7 3.9 8.0 12.4 9.0 11.2 4.3 -0.6 17.1 -10.4 10.9 -11.3 11.4 3.6 5.2 1.1 8.2 -4.7 6.0 20.0 -14.3 -3.9 10.6 4.4 BUND 19.0 3.2 15.7 0.8 4.0 -1.1 6.9 -3.6 4.0 7.2 -12.2 10.2 -13.7 3.0 -4.8 8.2 14.2 10.2 12.0 -1.4 -8.4 16.4 -14.5 8.9 8.3 12.3 0.7 4.3 -2.4 8.1 -6.2 4.9 20.0 6.1 0.2 2.6 -7.4 BUXL 19.7 1.7 8.9 0.8 4.0 -1.1 6.9 -3.6 4.0 5.9 -11.5 9.6 -13.4 2.8 -7.9 2.6 0.6 2.8 2.7 -2.7 -9.2 13.7 -15.0 7.2 5.2 -10.8 0.0 3.6 -2.9 7.5 -6.0 4.4 2.3 -4.9 -2.2 -0.6 -9.4 CAC -20.0 -16.5 10.4 -0.9 1.3 1.2 -3.9 0.6 -4.2 -1.1 14.0 -5.7 10.6 -3.0 9.2 -4.1 0.5 -3.6 -2.2 5.2 12.5 -9.2 11.4 -6.1 -16.3 8.9 1.4 -1.0 4.6 -5.7 4.2 -3.8 6.1 -12.9 -6.7 11.7 10.8 CAD -13.6 -11.3 1.3 -1.0 2.8 0.2 2.1 -1.6 -0.9 6.4 -9.5 -4.5 -10.3 -10.6 -9.3 -2.7 -1.6 -2.4 -2.1 -12.0 -10.1 -4.8 -11.9 -12.4 17.4 10.4 -4.5 0.5 -3.5 -1.9 -4.1 -4.8 1.2 -17.4 -16.6 -8.6 -16.8 CANOLA -20.0 -14.1 -13.4 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -14.0 -9.4 -15.6 -11.0 -14.5 -13.3 16.0 12.7 13.5 11.5 -20.0 -18.2 -20.0 -8.9 -20.0 9.5 11.2 -5.4 -9.7 -3.4 -9.4 -1.4 -7.7 7.9 -20.0 -20.0 -20.0 -20.0 CHF 0.0 -10.9 7.3 -1.0 2.8 0.2 2.1 -1.6 -0.9 0.6 9.2 0.2 2.8 -3.2 -0.2 -13.4 -13.7 -14.3 -14.3 0.4 2.9 3.5 1.3 1.1 -5.9 -11.5 0.5 2.4 1.4 2.8 -0.5 1.2 -19.7 7.2 5.3 5.1 1.7 COCOA -10.6 1.3 15.2 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 12.7 11.6 3.4 1.7 2.5 8.0 1.1 -2.3 -0.4 -1.1 8.2 9.9 10.0 5.4 5.0 -20.0 -10.4 4.2 10.2 5.2 4.0 3.2 2.2 -14.8 20.0 13.7 13.0 20.0 COFFEE -11.5 17.5 7.4 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 9.8 -5.4 -7.3 -7.7 3.3 7.3 3.0 3.1 2.3 2.9 3.9 -2.7 -0.6 -8.3 0.8 10.8 10.0 1.2 2.7 -0.9 -0.4 -2.9 -0.4 -6.4 12.0 0.4 20.0 14.7 COPPER -13.6 -15.5 18.0 -0.2 4.1 1.0 4.2 1.4 1.1 3.7 8.0 -8.3 -2.2 -10.2 3.4 -0.7 -0.5 -0.9 -0.7 -0.0 6.3 -6.0 2.6 -7.5 -4.8 11.1 -2.0 1.7 1.3 -2.9 1.4 -4.5 2.8 -20.0 -20.0 -10.0 4.5 CORN -20.0 -18.1 -20.0 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -4.4 -3.6 -12.5 -0.8 -13.6 -14.6 18.1 19.7 20.0 20.0 -20.0 -15.2 -14.2 -0.7 -20.0 7.3 11.0 -5.9 -1.9 -4.6 -3.3 -1.3 -5.4 20.0 -3.1 -20.0 -20.0 -20.0 COTTON2 -9.8 -3.5 -0.6 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -11.8 -9.8 -13.2 -10.6 -12.6 -7.9 -4.6 9.4 -3.0 1.6 -10.4 -10.9 -17.4 -10.4 -14.9 4.7 12.0 -4.4 -6.2 -2.6 -8.0 -0.2 -7.0 -1.6 -15.3 -0.6 -16.5 3.2 CRUDE_W -14.0 -9.3 -6.2 -3.2 -5.2 -2.0 -7.4 1.3 -5.5 -8.2 -2.1 -12.5 -0.5 -11.6 -8.6 6.6 11.5 7.8 9.0 -11.9 -5.8 -20.0 0.7 -20.0 -8.0 10.8 -3.9 -4.8 -1.4 -8.5 1.7 -7.0 -0.2 -13.2 -16.0 -6.8 1.4 DAX -20.0 -15.1 15.3 -0.9 1.3 1.2 -3.9 0.6 -4.2 -2.3 14.2 -5.9 5.5 -3.4 9.2 -8.1 -5.6 -8.7 -7.7 4.2 11.2 -9.0 8.1 -6.2 -17.9 9.9 1.5 -0.7 4.9 -5.5 3.4 -3.7 -3.8 -6.7 0.9 9.5 8.5 DOW -15.3 -18.5 -1.2 -0.9 1.3 1.2 -3.9 0.6 -4.2 2.6 6.0 -8.2 0.5 -12.0 -10.9 -6.9 -4.6 -7.1 -6.4 -11.1 -2.9 -7.4 0.2 -14.7 -2.2 10.8 -2.7 3.4 0.4 -3.0 1.2 -5.1 -2.0 7.5 1.0 -1.9 -10.7 EUR -2.2 -16.7 17.2 -1.0 2.8 0.2 2.1 -1.6 -0.9 12.0 8.8 8.3 -2.2 -7.5 0.3 -7.0 -8.6 -7.9 -8.3 0.5 4.4 7.3 -1.4 0.4 -7.1 -11.1 0.4 6.8 2.3 3.4 -1.6 -0.0 -10.2 0.9 5.9 -0.8 7.8 EUROSTX -20.0 -16.3 11.8 -0.9 1.3 1.2 -3.9 0.6 -4.2 0.5 14.2 -4.2 10.0 -2.4 9.5 5.1 6.4 8.1 7.3 4.8 12.0 -6.8 10.3 -5.1 -18.6 -8.5 1.4 0.0 5.1 -5.1 4.5 -3.8 18.8 -4.3 -0.1 9.2 8.2 FEEDCOW 10.9 19.0 13.7 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -7.2 9.1 2.9 5.5 8.7 11.4 -20.0 -20.0 -20.0 -20.0 18.1 13.2 3.3 6.3 14.3 -14.9 12.2 5.5 -0.6 4.6 1.0 2.6 4.0 -20.0 4.0 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 -4.2 -13.2 -9.0 -3.2 -5.2 -2.0 -7.4 1.3 -5.5 -10.3 -9.7 -11.9 7.3 -13.2 -9.1 20.0 20.0 20.0 20.0 -12.2 -7.4 -19.4 6.5 -15.8 -1.8 -15.4 -5.0 -6.3 -3.9 -7.7 0.6 -6.2 20.0 1.9 -0.6 -7.4 -11.5 GASOILINE -9.4 -4.3 0.5 -3.2 -5.2 -2.0 -7.4 1.3 -5.5 -8.9 0.4 -12.2 2.7 -10.0 2.6 15.9 11.2 3.6 3.8 -3.9 0.3 -16.2 5.9 -11.8 -13.7 -13.1 -0.9 -3.9 2.2 -6.9 6.1 -5.0 -4.4 1.2 -3.2 2.5 16.7 GAS_US 17.3 -0.2 -20.0 -3.2 -5.2 -2.0 -7.4 1.3 -5.5 -9.4 -15.9 -10.0 -12.7 -9.5 -15.2 -18.6 -6.5 -10.7 -7.3 -20.0 -20.0 -11.9 -20.0 -12.9 7.2 -9.3 -5.1 -4.9 -6.6 -4.6 -2.5 -3.4 -20.0 15.2 17.1 6.2 -20.0 GBP 3.5 -9.7 8.4 -1.0 2.8 0.2 2.1 -1.6 -0.9 11.1 10.1 11.7 -2.5 0.1 0.3 -1.9 -2.0 -2.2 -2.2 1.3 1.4 12.2 -4.2 5.0 11.3 9.4 -0.4 7.1 -1.8 6.7 -6.4 2.3 0.8 13.3 13.4 1.0 -3.6 GOLD_micro 14.3 -11.5 14.4 -0.2 4.1 1.0 4.2 1.4 1.1 8.3 7.9 11.4 -1.5 4.7 5.2 -11.6 -10.5 -12.1 -11.8 8.0 6.4 20.0 3.1 15.2 0.9 -13.8 3.2 6.9 2.3 9.3 1.3 6.1 -15.3 20.0 20.0 15.6 11.0 HEATOIL -8.8 -14.2 -8.9 -3.2 -5.2 -2.0 -7.4 1.3 -5.5 -9.9 -9.3 -13.1 6.4 -14.5 -9.6 20.0 20.0 20.0 20.0 -13.8 -7.7 -19.2 5.5 -18.2 -10.5 -13.6 -4.6 -4.0 -1.8 -6.9 4.0 -6.5 20.0 1.1 -8.6 -10.4 -3.8 JPY 2.5 -14.9 9.1 -1.0 2.8 0.2 2.1 -1.6 -0.9 9.9 4.9 11.4 -7.1 -4.2 -2.4 -14.5 -12.3 -13.9 -13.5 -1.7 -0.4 14.0 -8.2 3.1 2.9 9.9 -0.2 5.6 -0.3 6.3 -4.5 1.9 -17.7 18.6 14.9 -3.4 4.7 LEANHOG -12.1 -8.8 -15.8 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -14.0 -12.4 -14.7 -8.5 -14.3 -15.0 -20.0 -20.0 -20.0 -20.0 -18.9 -13.9 -20.0 -6.6 -20.0 13.4 -11.1 -5.7 -9.7 -4.4 -9.0 -2.4 -7.0 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -20.0 0.4 9.9 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -11.9 11.2 -14.1 7.4 -6.1 4.9 20.0 -19.6 18.4 -4.7 -0.4 8.0 -20.0 7.3 -14.6 -20.0 12.0 -0.2 -7.3 3.5 -9.1 4.0 -5.8 -20.0 -20.0 -15.1 3.9 18.4 MXP -20.0 -9.2 2.5 -1.0 2.8 0.2 2.1 -1.6 -0.9 -6.0 13.6 -8.4 15.0 -0.0 9.6 18.0 20.0 20.0 20.0 8.2 14.0 -8.0 14.5 -2.2 -20.0 9.7 3.6 -1.0 6.1 -3.7 6.1 -0.9 20.0 -20.0 0.3 20.0 15.9 NASDAQ -1.5 11.1 11.9 -0.9 1.3 1.2 -3.9 0.6 -4.2 13.7 -1.5 11.4 -10.0 7.8 9.7 -7.1 -5.0 -6.8 -6.1 9.3 4.3 19.1 -6.0 11.2 1.0 10.2 5.0 9.3 3.7 7.2 0.6 5.1 -2.1 20.0 20.0 20.0 12.8 NIKKEI -4.8 6.8 -0.9 -0.9 1.3 1.2 -3.9 0.6 -4.2 -5.0 2.4 -6.3 3.8 -1.5 4.7 11.4 14.8 17.2 16.9 2.6 2.8 -7.8 1.4 -2.5 8.0 -9.4 1.5 -2.6 0.8 -4.1 -0.6 -0.9 20.0 -5.1 20.0 20.0 -11.2 NZD -2.4 -17.1 7.3 -1.0 2.8 0.2 2.1 -1.6 -0.9 3.3 7.4 4.4 -1.8 -9.0 -6.1 0.8 0.5 0.4 0.3 -4.8 -0.5 1.5 -2.8 -4.3 0.2 10.8 -2.1 0.7 -0.4 1.2 -1.5 -1.8 4.9 -3.2 3.0 -8.3 -1.5 OAT 14.0 -2.4 8.9 0.8 4.0 -1.1 6.9 -3.6 4.0 7.9 -11.3 10.7 -13.3 0.0 -6.3 9.4 12.1 10.4 11.6 -2.8 -8.4 15.1 -14.1 6.9 4.8 12.7 0.2 4.2 -2.6 7.6 -7.0 4.3 20.0 -3.1 -5.7 -0.2 -7.7 OJ -17.6 -7.0 -5.7 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 1.0 13.8 -1.1 14.8 8.1 10.3 20.0 17.8 20.0 20.0 16.3 20.0 1.9 20.0 8.6 -20.0 -14.3 5.5 -0.5 6.9 0.5 7.0 2.7 20.0 16.7 20.0 20.0 20.0 PALLAD 4.9 -14.0 -20.0 -0.2 4.1 1.0 4.2 1.4 1.1 -6.1 -15.4 -5.5 -14.0 -12.0 -14.5 -2.4 -2.0 -2.7 -2.5 -20.0 -20.0 -6.9 -20.0 -13.7 20.0 -11.1 -5.6 -2.0 -5.6 -1.5 -4.1 -3.4 0.0 -20.0 -20.0 -20.0 -20.0 PLAT 12.7 -15.0 -2.2 -0.2 4.1 1.0 4.2 1.4 1.1 3.9 2.8 8.0 0.3 -2.2 -6.2 -1.7 -1.2 -1.9 -1.5 -2.9 -0.9 5.7 0.9 1.7 -0.8 11.2 -2.5 1.2 -1.0 2.0 -0.1 -0.5 1.6 -11.1 3.0 -8.8 -12.0 REDWHEAT -14.4 -1.3 -9.1 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 6.6 -11.6 -4.1 -10.6 -6.7 -8.6 9.9 3.9 8.4 6.6 -11.5 -12.3 -0.9 -8.3 -8.7 2.2 12.9 -4.0 0.3 -3.1 -0.2 -0.4 -3.2 -3.0 20.0 -18.0 -5.6 -11.1 ROBUSTA -9.9 17.7 20.0 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -0.4 3.4 -7.0 0.3 5.5 10.4 5.5 8.9 7.9 9.0 12.6 10.5 -3.4 4.8 3.3 -8.8 9.6 3.8 1.5 2.8 -1.2 1.1 1.0 3.6 4.5 15.8 20.0 20.0 RUSSELL -20.0 -10.7 6.5 -0.9 1.3 1.2 -3.9 0.6 -4.2 -6.9 -1.1 -11.9 -8.1 -12.2 -5.6 -5.5 -4.0 -5.7 -5.2 -10.0 -2.2 -19.8 -3.3 -20.0 -2.9 10.0 -1.7 -1.9 0.9 -6.5 0.7 -5.8 -0.5 -18.8 -12.3 2.1 -2.8 SILVER-mini 9.0 -20.0 1.2 -0.2 4.1 1.0 4.2 1.4 1.1 12.0 3.5 12.1 -2.4 -3.0 -5.4 -5.6 -4.6 -5.6 -5.3 -4.7 -1.7 15.5 -0.7 2.8 3.3 -11.3 -2.2 6.0 -1.2 5.4 -1.1 0.6 -4.6 15.5 -5.6 -8.2 -8.1 SOYBEAN -20.0 -8.1 -8.4 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -14.1 -0.7 -15.4 2.4 -12.9 -10.2 20.0 20.0 20.0 20.0 -13.2 -5.5 -20.0 2.3 -20.0 -7.1 -11.7 -4.6 -10.1 -1.5 -9.8 1.8 -7.6 20.0 -20.0 -20.0 -19.7 -5.4 SOYMEAL -15.2 0.8 20.0 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -13.9 13.8 -11.0 13.8 2.7 12.1 19.4 18.7 20.0 20.0 11.3 20.0 -16.5 20.0 -2.9 -20.0 -12.0 3.1 -9.9 8.0 -7.3 10.1 -2.5 20.0 -18.0 0.8 7.7 20.0 SOYOIL -13.4 -10.2 -15.3 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -6.9 -8.5 -11.1 0.7 -11.6 -14.3 0.6 13.8 3.4 8.1 -16.2 -11.7 -13.5 -1.5 -17.1 -2.4 12.9 -5.6 -2.8 -3.8 -4.1 -0.0 -5.6 7.5 -6.8 -20.0 -20.0 -20.0 SP400 -20.0 -15.1 6.5 -0.9 1.3 1.2 -3.9 0.6 -4.2 -5.0 4.9 -10.8 -0.9 -11.4 -5.1 -5.9 -3.9 -5.7 -4.9 -9.1 0.8 -19.4 1.7 -20.0 -6.4 10.2 -2.0 -1.3 1.0 -6.4 1.4 -6.0 -0.0 -20.0 -19.0 -0.5 -3.3 SP500 -14.4 -5.4 5.0 -0.9 1.3 1.2 -3.9 0.6 -4.2 10.0 -0.2 -1.0 -6.8 -7.4 -1.3 -7.3 -5.4 -7.2 -6.5 -3.8 -0.9 0.4 -3.4 -6.6 1.4 10.2 0.3 6.9 1.5 0.8 -0.2 -1.7 -2.6 20.0 12.3 11.3 -1.0 SUGAR11 4.5 7.5 11.5 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -4.3 13.8 6.1 11.1 11.8 13.6 20.0 20.0 20.0 20.0 15.9 16.8 2.4 12.9 9.8 -20.0 10.7 6.0 0.3 7.9 0.5 7.0 2.9 20.0 10.5 20.0 20.0 20.0 US10 20.0 -4.6 18.3 0.8 4.0 -1.1 6.9 -3.6 4.0 8.1 -7.9 10.4 -11.9 3.3 -0.8 -7.7 -3.7 -8.0 -7.1 0.0 -5.3 17.0 -11.7 9.6 -0.9 9.7 1.8 4.2 -0.7 7.9 -3.9 5.4 -10.2 4.7 11.3 3.6 3.9 US10U 18.6 -3.6 16.1 0.8 4.0 -1.1 6.9 -3.6 4.0 7.6 -7.0 10.5 -11.7 3.7 0.4 0.9 2.9 0.8 1.1 0.4 -5.0 15.2 -12.1 9.0 -4.4 -14.1 2.4 3.5 0.1 7.6 -3.3 5.6 2.6 -4.7 10.0 6.0 8.0 US20 18.4 -3.5 15.2 0.8 4.0 -1.1 6.9 -3.6 4.0 7.6 -4.6 11.1 -10.2 5.4 2.8 -2.5 -1.6 -4.5 -3.8 1.5 -4.3 15.7 -11.8 10.2 -2.0 -12.3 2.2 2.9 -0.3 7.2 -3.4 5.5 -5.2 -6.4 9.6 6.9 7.5 US30 13.1 -2.8 13.9 0.8 4.0 -1.1 6.9 -3.6 4.0 6.8 -3.7 10.6 -11.3 2.3 -0.2 -1.2 -0.6 -1.3 -1.3 0.8 -4.6 11.5 -14.4 7.1 -7.2 10.0 2.8 2.6 0.5 6.6 -3.9 5.3 -2.3 -20.0 3.9 7.1 11.1 US5 20.0 -3.8 20.0 0.8 4.0 -1.1 6.9 -3.6 4.0 7.9 -8.4 9.9 -12.4 3.7 -1.3 -10.8 -4.4 -10.2 -8.6 -0.1 -5.4 16.9 -11.2 9.6 1.3 10.8 1.2 4.1 -1.2 7.7 -4.3 5.1 -11.9 13.2 12.3 0.4 2.2 VIX 20.0 20.0 -1.2 -2.0 0.5 -4.7 3.8 -4.7 2.2 3.7 -12.1 7.2 -13.2 6.0 -5.4 -9.8 -20.0 -18.2 -20.0 -0.9 -8.5 8.2 -10.1 7.4 NaN -13.5 -2.2 0.5 -6.1 4.5 -6.6 2.8 NaN NaN NaN NaN NaN WHEAT -16.1 -1.1 -12.0 -3.2 -7.9 -2.3 -8.5 -1.3 -6.3 -2.9 -13.8 -8.6 -14.2 -10.9 -12.2 -11.7 -7.5 -10.8 -9.3 -18.3 -19.1 -11.2 -15.0 -16.4 8.5 11.9 -4.9 -4.6 -3.9 -3.6 -1.6 -4.9 -20.0 4.5 -20.0 -12.2 -14.6 End of report for caleb_strategy_v1