******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230322_204910 produced at 2023-03-22 21:35:58.892688 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.16 0.0 4.907456e+07 -4.907456e+07 -0.10 -0.10 -3.17 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.549806e+07 -5.549806e+07 -0.17 -0.17 -2.44 999999999 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.17 -0.12 0.0 9.722877e+06 -9.722877e+06 -0.17 -0.17 -11.89 999999999 -17 -17 caleb_strategy_v1 EUR False False 0.06 -0.22 -0.10 0.0 5.506184e+07 -5.506184e+07 -0.22 -0.22 -1.84 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.09 0.0 5.311525e+07 -5.311525e+07 -0.05 -0.05 -1.74 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.438663e+07 -1.438663e+07 -0.06 -0.06 -6.27 999999999 -4 -4 caleb_strategy_v1 FEEDCOW False False 0.04 -0.13 -0.05 0.0 4.332429e+07 -4.332429e+07 -0.13 -0.09 -1.25 999999999 -3 -2 caleb_strategy_v1 JPY False False 0.04 -0.19 -0.04 0.0 3.896715e+07 -3.896715e+07 -0.19 -0.19 -1.05 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.222420e+07 -6.222420e+07 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.03 0.0 2.518265e+07 -2.518265e+07 -0.13 -0.13 -1.34 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 7.973969e+06 -7.973969e+06 0.00 0.00 -3.36 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.157870e+07 -1.157870e+07 -0.06 -0.06 -2.46 999999999 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 4.206286e+07 -4.206286e+07 -0.04 -0.04 -0.48 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.659088e+07 -4.659088e+07 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.344988e+07 -2.344988e+07 -0.02 -0.02 -0.60 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.514154e+06 -3.514154e+06 -0.05 -0.05 -3.83 999999999 -14 -14 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 1.046520e+07 -1.046520e+07 -0.01 -0.01 -0.75 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.447236e+07 -1.447236e+07 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.616206e+06 -6.616206e+06 0.00 0.00 -1.92 999999999 0 0 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.01 0.0 9.740224e+07 -9.740224e+07 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.07 -0.01 0.0 6.506057e+06 -6.506057e+06 -0.07 -0.07 -1.00 999999999 -11 -11 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.811537e+07 -5.811537e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.01 0.0 4.435936e+07 -4.435936e+07 -0.18 -0.18 -0.26 999999999 -4 -4 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.324086e+07 -1.324086e+07 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.774857e+07 -1.774857e+07 0.00 0.00 0.12 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.413045e+07 -1.413045e+07 -0.06 -0.06 -0.34 999999999 -4 -4 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.706066e+07 -2.706066e+07 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.142135e+06 -1.142135e+06 -0.01 -0.01 -3.74 999999999 -8 -8 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.611738e+07 -1.611738e+07 0.03 0.03 0.11 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.11 0.01 0.0 2.771222e+07 -2.771222e+07 0.11 0.11 0.44 999999999 4 4 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 4.072211e+07 -4.072211e+07 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.254408e+07 -4.254408e+07 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.568393e+07 -2.568393e+07 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.068879e+07 -3.068879e+07 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.536766e+06 -8.536766e+06 0.02 0.02 1.52 999999999 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.580875e+07 -1.580875e+07 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 3.018731e+07 -3.018731e+07 0.00 0.00 0.39 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.012800e+07 -8.012800e+07 0.08 0.08 0.09 999999999 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.685390e+07 -2.685390e+07 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 1.997426e+07 -1.997426e+07 0.06 0.06 0.43 999999999 3 3 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.117526e+07 -1.117526e+07 0.06 0.06 2.09 999999999 5 5 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.510600e+07 -2.510600e+07 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.155942e+06 -4.155942e+06 0.00 0.00 4.01 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 2.944095e+07 -2.944095e+07 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.725050e+07 -5.725050e+07 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.063868e+07 -1.063868e+07 0.01 0.01 2.10 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.02 0.0 9.565697e+06 -9.565697e+06 0.04 0.04 2.58 999999999 4 4 caleb_strategy_v1 GBP False False 0.03 0.25 0.03 0.0 3.100428e+07 -3.100428e+07 0.25 0.25 1.11 999999999 8 8 caleb_strategy_v1 NASDAQ False False 0.10 0.20 0.04 0.0 1.023988e+08 -1.023988e+08 0.20 0.20 0.42 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.04 0.0 1.802968e+07 -1.802968e+07 0.09 0.09 2.12 999999999 5 5 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 4.998950e+07 -4.998950e+07 0.05 0.05 0.94 999999999 1 1 caleb_strategy_v1 OAT False False 0.06 0.11 0.06 0.0 5.665824e+07 -5.665824e+07 0.11 0.11 1.03 999999999 2 2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.61 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.10 0.21 0.0 5.135711e+07 -5.135711e+07 0.10 0.10 4.10 999999999 2 2 caleb_strategy_v1 BUND False False 0.06 0.18 0.22 0.0 5.923717e+07 -5.923717e+07 0.18 0.12 3.73 999999999 3 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.24 0.0 0.000000e+00 0.000000e+00 0.00 0.00 29.67 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 11.9 Shocked risk 26.0 Sum abs risk 40.3 Leverage 2.33 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2478690.32, 'annual_cash_vol_target': 619672.58, 'daily_cash_vol_target': 38729.53625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6708 0.7569 12.1101 BITCOIN 1123.9703 28310.0000 3.9702 63.5236 BOBL 0.6184 118.2900 0.5227 8.3639 BTP 0.8587 115.1400 0.7458 11.9325 BUND 1.1114 136.4400 0.8145 13.0325 BUXL 2.5371 143.3200 1.7703 28.3241 CAC 86.4809 7068.5000 1.2235 19.5755 CAD 0.0032 0.7298 0.4324 6.9177 CANOLA 7.5857 705.6000 1.0751 17.2010 CHF 0.0069 1.1005 0.6297 10.0752 COCOA 37.4567 2870.0000 1.3051 20.8818 COFFEE 3.4213 177.5000 1.9275 30.8398 COPPER 0.0542 4.0375 1.3437 21.4984 CORN 4.2067 554.0000 0.7593 12.1493 COTTON2 1.4522 78.3700 1.8530 29.6478 CRUDE_W 1.3314 68.6900 1.9382 31.0112 DAX 181.6138 15239.0000 1.1918 19.0683 DOW 299.9725 32253.0000 0.9301 14.8810 EUR 0.0063 1.0918 0.5798 9.2764 EUROSTX 54.5634 4088.0000 1.3347 21.3555 FEEDCOW 1.1957 214.7750 0.5567 8.9072 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.5644 748.2500 1.9465 31.1434 GASOILINE 0.0481 2.4824 1.9374 30.9977 GAS_US 0.1378 2.5940 5.3126 85.0024 GBP 0.0083 1.2296 0.6768 10.8280 GOLD_micro 22.0241 1976.5000 1.1143 17.8288 HEATOIL 0.0492 2.5108 1.9612 31.3798 JPY 0.0001 0.0077 0.7302 11.6829 LEANHOG 1.4421 89.1500 1.6177 25.8825 LIVECOW 0.7946 156.0500 0.5092 8.1472 MXP 0.0005 0.0527 0.9805 15.6875 NASDAQ 142.4100 12690.7500 1.1222 17.9545 NIKKEI 280.5543 26975.0000 1.0401 16.6408 NZD 0.0049 0.6223 0.7918 12.6687 OAT 1.0014 130.5000 0.7674 12.2779 OJ 4.7909 239.1500 2.0033 32.0528 PALLAD 35.2246 1440.5000 2.4453 39.1248 PLAT 18.7788 990.2000 1.8965 30.3435 REDWHEAT 11.5353 799.0000 1.4437 23.0996 ROBUSTA 27.1845 2116.0000 1.2847 20.5554 RUSSELL 26.4557 1742.1000 1.5186 24.2978 SILVER-mini 0.4264 23.2500 1.8341 29.3452 SOYBEAN 10.3291 1273.2500 0.8112 12.9798 SOYMEAL 4.9769 446.9000 1.1136 17.8183 SOYOIL 0.8452 54.7000 1.5452 24.7236 SP400 33.4502 2414.3000 1.3855 22.1681 SP500 39.9578 3972.2500 1.0059 16.0948 SUGAR11 0.2911 21.1700 1.3752 22.0037 US10 0.7316 115.4844 0.6335 10.1358 US10U 0.9263 121.6406 0.7615 12.1835 US20 1.2247 131.6562 0.9302 14.8832 US30 1.6686 141.9062 1.1758 18.8133 US5 0.5590 109.9531 0.5084 8.1346 VIX 0.9270 24.1000 3.8465 61.5447 WHEAT 10.1576 700.5000 1.4501 23.2009 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.75 0.76 507.68 1.00 507.68 38729.54 76.29 1.06 8.10 BITCOIN 28.31 3.97 112.40 1.00 112.40 38729.54 344.58 -4.61 -158.73 BOBL 1182.90 0.52 618.35 1.07 662.21 38729.54 58.49 9.72 56.83 BTP 1151.40 0.75 858.69 1.07 919.60 38729.54 42.12 11.06 46.58 BUND 1364.40 0.81 1111.35 1.07 1190.18 38729.54 32.54 15.87 51.63 BUXL 1433.20 1.77 2537.13 1.07 2717.09 38729.54 14.25 -3.52 -5.02 CAC 706.85 1.22 864.81 1.07 926.15 38729.54 41.82 2.30 9.61 CAD 729.75 0.43 315.51 1.00 315.51 38729.54 122.75 3.73 45.84 CANOLA 141.12 1.08 151.71 0.73 110.89 38729.54 349.26 12.50 436.57 CHF 1375.62 0.63 866.23 1.00 866.23 38729.54 44.71 -14.60 -65.29 COCOA 287.00 1.31 374.57 1.00 374.57 38729.54 103.40 -10.94 -113.11 COFFEE 665.62 1.93 1282.98 1.00 1282.98 38729.54 30.19 7.64 23.05 COPPER 1009.37 1.34 1356.25 1.00 1356.25 38729.54 28.56 3.16 9.03 CORN 277.00 0.76 210.34 1.00 210.34 38729.54 184.13 12.60 232.00 COTTON2 391.85 1.85 726.09 1.00 726.09 38729.54 53.34 5.74 30.60 CRUDE_W 686.90 1.94 1331.35 1.00 1331.35 38729.54 29.09 1.15 3.34 DAX 152.39 1.19 181.61 1.07 194.50 38729.54 199.13 -1.78 -35.43 DOW 161.27 0.93 149.99 1.00 149.99 38729.54 258.22 -1.35 -34.99 EUR 1364.81 0.58 791.29 1.00 791.29 38729.54 48.94 -10.05 -49.19 EUROSTX 408.80 1.33 545.63 1.07 584.34 38729.54 66.28 0.66 4.38 FEEDCOW 1073.88 0.56 597.83 1.00 597.83 38729.54 64.78 -7.17 -46.42 FTSE100 707.00 0.82 576.59 1.23 666.67 38729.54 58.09 7.70 44.72 GASOIL 748.25 1.95 1456.44 1.00 1456.44 38729.54 26.59 2.04 5.42 GASOILINE 1042.61 1.94 2019.91 1.00 2019.91 38729.54 19.17 -6.09 -11.67 GAS_US 259.40 5.31 1378.10 1.00 1378.10 38729.54 28.10 -17.61 -49.50 GBP 768.50 0.68 520.08 1.00 520.08 38729.54 74.47 8.32 61.96 GOLD_micro 197.65 1.11 220.24 1.00 220.24 38729.54 175.85 -8.53 -150.06 HEATOIL 1054.54 1.96 2068.19 1.00 2068.19 38729.54 18.73 1.11 2.07 JPY 965.88 0.73 705.27 1.00 705.27 38729.54 54.91 -2.94 -16.16 LEANHOG 356.60 1.62 576.86 1.00 576.86 38729.54 67.14 -20.00 -134.28 LIVECOW 624.20 0.51 317.84 1.00 317.84 38729.54 121.85 -4.11 -50.05 MXP 263.70 0.98 258.55 1.00 258.55 38729.54 149.80 11.45 171.52 NASDAQ 2538.15 1.12 2848.20 1.00 2848.20 38729.54 13.60 5.73 7.79 NIKKEI 26975.00 1.04 28055.43 0.01 213.11 38729.54 181.74 8.60 156.21 NZD 622.30 0.79 492.73 1.00 492.73 38729.54 78.60 5.62 44.14 OAT 1305.00 0.77 1001.41 1.07 1072.44 38729.54 36.11 14.12 50.99 OJ 358.72 2.00 718.63 1.00 718.63 38729.54 53.89 -3.97 -21.37 PALLAD 1440.50 2.45 3522.46 1.00 3522.46 38729.54 11.00 -5.21 -5.73 PLAT 495.10 1.90 938.94 1.00 938.94 38729.54 41.25 4.32 17.83 REDWHEAT 399.50 1.44 576.77 1.00 576.77 38729.54 67.15 3.16 21.19 ROBUSTA 211.60 1.28 271.84 1.00 271.84 38729.54 142.47 8.22 117.05 RUSSELL 87.10 1.52 132.28 1.00 132.28 38729.54 292.79 -2.53 -73.96 SILVER-mini 581.25 1.83 1066.06 1.00 1066.06 38729.54 36.33 -7.33 -26.63 SOYBEAN 636.62 0.81 516.45 1.00 516.45 38729.54 74.99 0.56 4.20 SOYMEAL 446.90 1.11 497.69 1.00 497.69 38729.54 77.82 4.63 35.99 SOYOIL 328.20 1.55 507.14 1.00 507.14 38729.54 76.37 2.22 16.96 SP400 2414.30 1.39 3345.02 1.00 3345.02 38729.54 11.58 -1.07 -1.24 SP500 1986.12 1.01 1997.89 1.00 1997.89 38729.54 19.39 1.55 3.00 SUGAR11 237.10 1.38 326.07 1.00 326.07 38729.54 118.78 15.99 189.95 US10 1154.84 0.63 731.58 1.00 731.58 38729.54 52.94 -0.62 -3.28 US10U 1216.41 0.76 926.25 1.00 926.25 38729.54 41.81 -5.21 -21.78 US20 1316.56 0.93 1224.67 1.00 1224.67 38729.54 31.62 -7.46 -23.61 US30 1419.06 1.18 1668.58 1.00 1668.58 38729.54 23.21 1.74 4.03 US5 1099.53 0.51 559.01 1.00 559.01 38729.54 69.28 -0.97 -6.71 VIX 241.00 3.85 927.02 1.00 927.02 38729.54 41.78 -15.10 -63.09 WHEAT 350.25 1.45 507.88 1.00 507.88 38729.54 76.26 -8.39 -63.98 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 8.101 0.006 2.5 0.129 BITCOIN -158.730 0.009 2.5 -3.740 BOBL 56.826 0.029 2.5 4.100 BTP 46.581 0.008 2.5 0.941 BUND 51.630 0.029 2.5 3.725 BUXL -5.023 0.034 2.5 -0.422 CAC 9.608 0.011 2.5 0.270 CAD 45.839 0.007 2.5 0.818 CANOLA 436.571 0.004 2.5 4.007 CHF -65.288 0.015 2.5 -2.443 COCOA -113.107 0.009 2.5 -2.464 COFFEE 23.050 0.005 2.5 0.299 COPPER 9.035 0.011 2.5 0.247 CORN 231.998 0.004 2.5 2.093 COTTON2 30.599 0.006 2.5 0.461 CRUDE_W 3.342 0.053 2.5 0.442 DAX -35.433 0.022 2.5 -1.924 DOW -34.989 0.011 2.5 -0.997 EUR -49.191 0.015 2.5 -1.841 EUROSTX 4.376 0.011 2.5 0.123 FEEDCOW -46.421 0.011 2.5 -1.247 FTSE100 44.719 0.041 2.5 4.610 GASOIL 5.418 0.029 2.5 0.386 GASOILINE -11.675 0.016 2.5 -0.479 GAS_US -49.500 0.006 2.5 -0.745 GBP 61.963 0.007 2.5 1.106 GOLD_micro -150.057 0.009 2.5 -3.357 HEATOIL 2.071 0.029 2.5 0.148 JPY -16.164 0.026 2.5 -1.046 LEANHOG -134.278 0.019 2.5 -6.273 LIVECOW -50.048 0.011 2.5 -1.345 MXP 171.516 0.005 2.5 2.100 NASDAQ 7.790 0.022 2.5 0.423 NIKKEI 156.208 0.076 2.5 29.669 NZD 44.142 0.006 2.5 0.705 OAT 50.986 0.008 2.5 1.030 OJ -21.375 0.007 2.5 -0.373 PALLAD -5.728 0.010 2.5 -0.138 PLAT 17.830 0.010 2.5 0.429 REDWHEAT 21.188 0.002 2.5 0.113 ROBUSTA 117.048 0.005 2.5 1.518 RUSSELL -73.958 0.021 2.5 -3.831 SILVER-mini -26.625 0.009 2.5 -0.596 SOYBEAN 4.203 0.024 2.5 0.248 SOYMEAL 35.992 0.024 2.5 2.122 SOYOIL 16.961 0.004 2.5 0.156 SP400 -1.239 0.021 2.5 -0.064 SP500 2.995 0.011 2.5 0.085 SUGAR11 189.946 0.005 2.5 2.577 US10 -3.275 0.015 2.5 -0.126 US10U -21.778 0.058 2.5 -3.173 US20 -23.607 0.029 2.5 -1.740 US30 4.030 0.034 2.5 0.338 US5 -6.708 0.015 2.5 -0.257 VIX -63.089 0.075 2.5 -11.889 WHEAT -63.976 0.002 2.5 -0.342 ==================== Position diags ==================== AUD 1.22 BITCOIN 8.12 BOBL 4.22 BTP 0.85 BUND 2.35 BUXL 1.20 CAC 1.18 CAD 2.19 CANOLA 3.21 CHF 1.67 COCOA 2.25 COFFEE 0.39 COPPER 0.78 CORN 1.66 COTTON2 0.80 CRUDE_W 3.84 DAX 10.81 DOW 7.36 EUR 1.83 EUROSTX 1.86 FEEDCOW 1.74 FTSE100 5.99 GASOIL 1.90 GASOILINE 0.79 GAS_US 0.42 GBP 1.33 GOLD_micro 3.93 HEATOIL 1.34 JPY 3.55 LEANHOG 3.14 LIVECOW 3.27 MXP 1.83 NASDAQ 0.74 NIKKEI 34.52 NZD 1.26 OAT 0.73 OJ 0.94 PALLAD 0.26 PLAT 0.99 REDWHEAT 0.36 ROBUSTA 1.85 RUSSELL 15.17 SILVER-mini 0.81 SOYBEAN 4.42 SOYMEAL 4.59 SOYOIL 0.70 SP400 0.60 SP500 0.55 SUGAR11 1.61 US10 2.03 US10U 6.09 US20 2.33 US30 1.95 US5 2.66 VIX 7.87 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 -3.7 -4.6 -2.9 -8.0 -8 BOBL 4.1 3.7 4.5 2.0 2 BTP 0.9 0.9 1.0 1.0 1 BUND 3.7 3.5 4.0 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 4.0 3.7 4.3 NaN 0 CHF -2.4 -2.6 -2.3 -3.0 -3 COCOA -2.5 -2.7 -2.2 -5.0 -5 COFFEE 0.3 0.3 0.3 NaN 0 COPPER 0.2 0.2 0.3 0.0 0 CORN 2.1 1.9 2.3 5.0 5 COTTON2 0.5 0.4 0.5 NaN 0 CRUDE_W 0.4 0.1 0.8 4.0 4 DAX -1.9 -3.0 -0.8 0.0 0 DOW -1.0 -1.7 -0.3 -11.0 -11 EUR -1.8 -2.0 -1.7 -4.0 -4 EUROSTX 0.1 -0.1 0.3 0.0 0 FEEDCOW -1.2 -1.4 -1.1 -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 -0.8 -0.7 -1.0 -1 GBP 1.1 1.0 1.2 8.0 8 GOLD_micro -3.4 -3.8 -3.0 0.0 0 HEATOIL 0.1 0.0 0.3 0.0 0 JPY -1.0 -1.4 -0.7 -5.0 -5 LEANHOG -6.3 -6.6 -6.0 -4.0 -4 LIVECOW -1.3 -1.7 -1.0 -5.0 -5 MXP 2.1 1.9 2.3 1.0 1 NASDAQ 0.4 0.3 0.5 2.0 2 NIKKEI 29.7 26.2 33.1 0.0 0 NZD 0.7 0.6 0.8 0.0 0 OAT 1.0 1.0 1.1 2.0 2 OJ -0.4 -0.5 -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 -3.8 -5.3 -2.3 -14.0 -14 SILVER-mini -0.6 -0.7 -0.5 -1.0 -1 SOYBEAN 0.2 -0.2 0.7 0.0 0 SOYMEAL 2.1 1.7 2.6 5.0 5 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.1 -0.1 -0.0 0.0 0 SP500 0.1 0.0 0.1 1.0 1 SUGAR11 2.6 2.4 2.7 4.0 4 US10 -0.1 -0.3 0.1 NaN 0 US10U -3.2 -3.8 -2.6 -2.0 -2 US20 -1.7 -2.0 -1.5 -1.0 -1 US30 0.3 0.1 0.5 0.0 0 US5 -0.3 -0.5 0.0 -4.0 -4 VIX -11.9 -12.7 -11.1 -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 0.1 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 0.1 -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 -0.3 -0.1 0.1 0.1 BUND 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 0.7 0.6 0.2 0.3 -0.0 -0.1 0.0 -0.2 0.0 1.1 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 0.1 -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 0.7 -2.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 -0.2 -0.1 -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 -0.1 -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 -0.2 -0.0 2.5 2.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.2 -0.4 -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 2.4 3.0 -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 0.1 0.1 0.1 0.0 COCOA -0.1 0.0 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.3 0.0 0.0 0.0 0.2 0.2 -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 0.4 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 0.1 0.0 0.3 0.2 COPPER -0.1 -0.2 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 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 1.4 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 -0.1 -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 1.2 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 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 0.5 0.5 0.2 0.2 -0.2 -0.1 -0.0 0.0 -0.0 -0.9 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 0.0 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 -0.1 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 0.1 -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 -0.2 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 -0.2 0.3 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.2 0.0 -0.1 -0.0 0.0 -0.5 -0.4 -0.1 -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 0.1 0.2 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 0.3 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 0.2 0.0 0.1 0.0 -2.6 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 -0.0 -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 -0.1 -0.1 -0.2 GASOILINE -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 1.4 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 -0.5 0.0 -0.0 0.0 0.2 GAS_US 0.2 -0.0 -0.3 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.4 -0.0 -0.3 -0.0 -0.4 -1.6 -0.3 -0.3 -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 0.1 0.3 0.1 -0.3 GBP 0.1 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.3 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 0.2 0.0 -0.0 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 0.1 -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 -0.0 -0.1 -0.2 0.0 -0.1 -0.0 -0.2 -0.0 0.2 -0.1 -0.3 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 0.1 -0.2 0.2 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 0.0 -0.2 -0.0 -0.0 -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 -0.2 -0.3 -0.1 -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 2.2 -2.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.3 LIVECOW -0.2 -0.0 0.1 -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 0.0 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 -0.1 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 0.3 -0.5 -0.2 -0.1 -0.1 0.1 0.1 0.0 -0.1 0.0 0.1 1.9 0.1 0.0 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 0.6 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 -0.2 0.4 0.3 -0.2 NZD -0.0 -0.2 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.2 0.0 -0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.1 2.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.6 -0.0 0.0 -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 0.2 -0.0 -0.1 0.0 -0.2 0.0 0.7 2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 -0.1 -0.1 -0.0 -0.1 OJ -0.0 -0.2 -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 0.1 -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 -0.1 -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 -0.0 -0.1 -0.2 REDWHEAT -0.1 -0.0 -0.2 -0.1 -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 -0.2 -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 -0.3 -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 0.2 0.3 0.3 RUSSELL -0.3 -0.2 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 2.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.4 0.0 -0.0 SILVER-mini 0.2 -0.3 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 -0.1 -0.0 -0.1 -0.3 -0.2 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 0.6 -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 -0.2 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.2 1.6 0.8 0.4 0.4 -0.2 -0.1 -0.0 0.0 -0.0 -1.0 -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 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 0.3 -0.0 0.3 -0.0 0.3 1.5 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 -0.2 -0.0 0.1 0.3 SOYOIL -0.1 -0.1 -0.3 -0.1 -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 -0.1 -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 -0.1 -0.2 -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 0.2 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 -0.0 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 -0.2 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 -0.0 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 -0.1 0.0 -0.6 -2.9 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.0 0.1 0.1 0.1 US20 0.2 -0.0 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 -0.0 0.0 -0.1 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 0.1 -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 0.0 0.1 0.2 US5 0.2 -0.0 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 -0.1 -0.0 -0.2 -0.1 -0.0 -0.1 -0.2 -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 -13.0 -18.0 6.6 -0.7 4.0 0.3 2.8 -1.7 -0.4 6.8 2.2 -4.1 -4.2 -11.8 -8.7 -3.5 -2.8 -3.5 -3.3 -9.7 -3.9 -2.9 -4.7 -11.0 6.5 11.7 -3.6 0.6 -1.7 -1.1 -2.0 -4.0 -0.8 -12.8 -17.4 -13.4 -7.4 BITCOIN -7.8 8.1 20.0 -0.1 4.4 1.0 4.4 1.4 1.2 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 1.4 17.1 0.9 20.0 15.8 BOBL 20.0 8.0 17.8 1.1 3.9 -1.0 6.4 -3.5 4.2 7.4 -12.2 9.9 -13.8 5.7 -3.5 1.1 4.7 -2.8 0.3 -0.3 -8.0 16.0 -13.4 10.3 12.2 10.8 0.6 3.5 -2.6 7.3 -5.9 4.8 4.5 15.5 2.0 2.7 -11.2 BTP 10.1 0.3 10.3 1.1 3.9 -1.0 6.4 -3.5 4.2 6.1 -0.2 11.3 -9.6 4.1 4.3 8.1 12.3 9.0 11.2 4.8 -0.4 13.9 -10.4 10.7 -11.2 11.4 3.7 2.3 1.2 6.6 -4.6 5.8 20.0 -20.0 -4.9 10.3 4.0 BUND 20.0 3.4 16.3 1.1 3.9 -1.0 6.4 -3.5 4.2 6.8 -12.0 9.7 -13.6 3.7 -4.2 8.0 14.1 10.1 11.9 -0.7 -8.2 14.2 -14.7 9.1 8.4 12.3 1.0 3.1 -2.3 7.0 -6.1 5.0 20.0 -3.9 -1.0 2.9 -7.4 BUXL 20.0 2.3 9.2 1.1 3.9 -1.0 6.4 -3.5 4.2 5.3 -11.4 9.0 -13.3 3.5 -7.5 2.7 0.7 2.9 2.7 -2.2 -9.1 11.5 -15.3 7.3 5.4 -10.8 0.3 2.4 -2.7 6.4 -5.9 4.4 2.3 -16.7 -3.2 -0.3 -9.9 CAC -20.0 -14.9 10.8 -1.1 -1.0 1.1 -3.9 0.6 -4.2 -2.7 13.8 -5.9 10.6 -3.7 8.7 -4.1 0.5 -3.6 -2.2 4.6 12.5 -8.9 11.6 -6.5 -16.3 8.9 1.0 -1.8 4.5 -5.4 4.2 -4.0 6.1 -10.0 -7.3 11.8 10.5 CAD -12.2 -11.7 1.3 -0.7 4.0 0.3 2.8 -1.7 -0.4 4.5 -9.7 -4.5 -10.4 -10.6 -9.5 -2.8 -1.6 -2.4 -2.1 -12.1 -10.5 -5.2 -12.2 -12.1 17.5 10.4 -4.5 -0.4 -3.6 -2.0 -4.2 -4.7 1.2 -17.7 -18.0 -8.7 -16.8 CANOLA -20.0 -15.5 -14.2 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -14.0 -9.8 -15.7 -11.2 -14.9 -13.7 16.4 12.8 13.8 11.7 -20.0 -19.1 -20.0 -9.3 -20.0 10.4 12.0 -5.4 -10.0 -3.4 -9.4 -1.4 -7.8 8.1 -20.0 -20.0 -20.0 -20.0 CHF 3.1 -10.3 7.1 -0.7 4.0 0.3 2.8 -1.7 -0.4 3.5 9.4 2.5 2.9 -1.7 0.3 -13.3 -13.7 -14.3 -14.3 1.0 3.1 6.7 1.4 2.6 -5.9 -11.5 0.8 5.5 1.6 4.3 -0.5 1.9 -19.6 8.4 6.4 5.9 1.9 COCOA -9.5 2.0 14.5 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 13.6 11.9 7.6 2.0 5.1 8.9 2.1 -2.2 0.0 -0.8 9.5 10.3 17.1 5.6 8.8 -20.0 -10.4 4.5 12.7 5.1 6.7 3.2 3.6 -14.4 20.0 20.0 16.8 20.0 COFFEE -12.6 16.9 7.9 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 5.8 -5.4 -7.2 -7.7 2.1 7.2 3.1 3.1 2.4 2.9 3.6 -2.7 -1.6 -8.3 0.4 10.6 10.0 1.1 0.2 -1.0 -0.9 -3.0 -0.6 -6.3 17.4 0.2 20.0 14.9 COPPER -12.4 -15.4 17.9 0.3 6.7 1.1 5.5 1.5 2.0 9.6 8.0 -5.0 -2.2 -9.0 3.2 -0.7 -0.5 -0.8 -0.7 0.3 6.3 -1.3 2.7 -5.6 -4.7 11.1 -1.9 4.1 1.3 -1.0 1.4 -3.7 2.8 -20.0 -20.0 -10.1 3.8 CORN -20.0 -19.4 -20.0 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -8.8 -4.2 -13.3 -1.0 -14.0 -14.8 17.7 19.7 20.0 20.0 -20.0 -15.9 -15.4 -1.1 -20.0 7.5 11.0 -5.9 -2.7 -4.7 -3.6 -1.4 -5.4 20.0 7.4 -20.0 -20.0 -20.0 COTTON2 -10.7 -4.3 -2.4 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -8.9 -9.9 -12.6 -10.7 -12.7 -8.4 -4.6 9.3 -3.0 1.5 -10.9 -11.3 -15.1 -10.7 -14.8 4.8 12.0 -4.5 -3.5 -2.7 -6.7 -0.3 -6.7 -1.8 -8.5 2.9 -16.6 2.6 CRUDE_W -14.7 -9.6 -6.6 -3.4 -3.1 -2.1 -6.2 1.2 -5.4 -6.3 -2.4 -11.3 -0.7 -11.3 -8.8 6.6 11.4 7.8 9.0 -12.5 -6.3 -20.0 0.5 -20.0 -7.8 10.8 -4.0 -2.3 -1.5 -6.9 1.6 -6.7 -0.2 -11.4 -14.7 -7.0 0.9 DAX -20.0 -15.5 15.4 -1.1 -1.0 1.1 -3.9 0.6 -4.2 -3.2 14.0 -5.5 5.5 -3.7 8.7 -8.1 -5.6 -8.7 -7.7 3.8 11.1 -7.9 8.2 -6.3 -18.1 9.9 1.2 -1.2 4.8 -4.9 3.5 -3.8 -3.8 -7.8 1.5 10.1 8.5 DOW -12.7 -19.2 -1.6 -1.1 -1.0 1.1 -3.9 0.6 -4.2 -3.2 5.7 -9.4 0.4 -12.4 -11.2 -6.9 -4.6 -7.1 -6.4 -11.0 -3.1 -8.9 0.0 -14.3 -2.1 10.8 -2.9 -1.6 0.2 -3.9 1.1 -5.2 -2.1 8.8 0.1 -1.6 -10.9 EUR 1.2 -15.1 17.2 -0.7 4.0 0.3 2.8 -1.7 -0.4 13.4 9.0 10.9 -2.0 -5.2 0.8 -6.8 -8.6 -7.8 -8.3 1.8 4.7 13.2 -1.2 3.6 -7.6 -11.1 1.0 11.6 2.4 6.5 -1.5 1.6 -10.1 7.9 9.5 0.4 8.3 EUROSTX -20.0 -15.8 12.1 -1.1 -1.0 1.1 -3.9 0.6 -4.2 -0.7 14.1 -3.9 10.1 -2.6 9.1 4.3 6.3 7.7 7.2 4.4 12.0 -6.1 10.5 -5.1 -18.7 -8.5 1.1 -0.8 5.0 -4.6 4.5 -3.8 18.6 -3.3 0.6 9.7 8.1 FEEDCOW 8.0 18.8 14.0 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -7.2 9.1 0.9 5.6 8.1 11.0 -20.0 -20.0 -20.0 -20.0 17.9 13.5 2.2 6.6 13.2 -15.1 12.2 5.5 -0.9 4.7 0.7 2.7 3.8 -20.0 -8.0 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 -6.6 -13.2 -9.5 -3.4 -3.1 -2.1 -6.2 1.2 -5.4 -10.5 -10.0 -12.6 7.2 -13.7 -9.8 20.0 20.0 20.0 20.0 -13.2 -8.0 -18.7 6.3 -16.8 -1.8 -15.4 -5.2 -4.8 -3.9 -7.1 0.5 -6.3 20.0 1.7 -3.3 -8.5 -11.6 GASOILINE -9.9 -4.4 0.3 -3.4 -3.1 -2.1 -6.2 1.2 -5.4 -4.8 0.4 -11.0 2.7 -9.8 2.3 16.8 11.4 4.4 4.2 -4.1 0.0 -12.2 5.9 -11.1 -13.7 -13.1 -1.1 -0.8 2.1 -5.2 6.1 -4.7 -3.9 0.5 -1.2 2.6 16.7 GAS_US 15.1 -0.2 -20.0 -3.4 -3.1 -2.1 -6.2 1.2 -5.4 -12.4 -16.0 -11.9 -12.8 -10.6 -15.4 -20.0 -6.8 -11.8 -8.0 -20.0 -20.0 -13.2 -20.0 -13.9 7.6 -9.3 -5.2 -5.6 -6.7 -5.1 -2.6 -3.9 -20.0 7.6 11.9 6.7 -20.0 GBP 5.0 -8.5 8.6 -0.7 4.0 0.3 2.8 -1.7 -0.4 12.5 10.3 12.8 -2.4 1.5 1.0 -1.9 -2.0 -2.2 -2.2 2.1 1.7 13.2 -4.1 6.4 11.1 9.4 0.1 7.5 -1.6 7.2 -6.3 3.1 0.8 12.9 12.1 1.6 -3.3 GOLD_micro 17.1 -10.5 14.3 0.3 6.7 1.1 5.5 1.5 2.0 10.2 8.3 11.9 -1.2 6.3 6.1 -11.3 -10.5 -12.0 -11.8 9.2 6.9 20.0 3.3 16.6 0.5 -13.8 3.5 7.0 2.5 8.9 1.4 6.3 -15.3 20.0 20.0 16.1 11.5 HEATOIL -9.6 -14.2 -9.2 -3.4 -3.1 -2.1 -6.2 1.2 -5.4 -8.9 -9.6 -12.7 6.3 -14.5 -10.1 20.0 20.0 20.0 20.0 -14.5 -8.3 -16.8 5.4 -18.1 -10.4 -13.6 -4.7 -2.6 -2.0 -5.9 3.8 -6.3 20.0 1.3 -8.5 -10.8 -4.0 JPY 6.0 -13.6 9.6 -0.7 4.0 0.3 2.8 -1.7 -0.4 12.6 5.1 12.9 -7.1 -2.7 -2.0 -14.2 -12.3 -13.9 -13.4 -0.5 0.0 15.8 -7.8 5.1 2.6 9.9 0.3 7.4 -0.1 7.1 -4.4 2.8 -17.6 20.0 15.2 -1.5 5.0 LEANHOG -14.5 -11.2 -16.8 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -14.1 -12.7 -15.1 -8.7 -14.7 -15.3 -20.0 -20.0 -20.0 -20.0 -20.0 -14.9 -20.0 -7.1 -20.0 14.4 -11.1 -5.7 -9.6 -4.3 -9.1 -2.3 -7.2 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -20.0 -1.4 9.5 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -10.9 10.7 -13.7 7.3 -7.4 3.9 20.0 -18.5 20.0 -2.9 -1.6 7.4 -20.0 7.2 -15.3 -20.0 12.0 -0.7 -5.5 3.2 -8.2 3.9 -5.9 -20.0 -20.0 -13.7 2.8 17.9 MXP -20.0 -7.6 2.7 -0.7 4.0 0.3 2.8 -1.7 -0.4 -4.0 13.4 -7.3 14.9 -0.1 9.3 17.7 20.0 19.9 20.0 8.0 14.1 -5.5 14.8 -1.8 -20.0 9.7 3.5 -0.1 6.2 -2.8 6.3 -0.9 20.0 -20.0 -4.1 20.0 15.6 NASDAQ 0.2 10.2 12.3 -1.1 -1.0 1.1 -3.9 0.6 -4.2 9.9 -1.3 10.6 -9.9 8.1 10.1 -7.2 -5.0 -6.8 -6.2 9.6 4.5 16.1 -5.7 11.3 0.6 10.2 5.1 5.2 3.7 6.2 0.7 5.1 -2.1 20.0 20.0 20.0 13.7 NIKKEI -5.3 5.7 -0.4 -1.1 -1.0 1.1 -3.9 0.6 -4.2 -4.7 2.3 -6.6 3.8 -2.6 4.3 10.5 14.7 16.6 16.6 2.1 2.6 -7.7 1.4 -3.1 7.7 -9.4 1.2 -2.8 0.7 -4.0 -0.6 -1.3 20.0 -14.0 20.0 20.0 -10.6 NZD -0.9 -16.7 7.0 -0.7 4.0 0.3 2.8 -1.7 -0.4 4.4 7.4 4.5 -1.8 -8.8 -6.3 0.8 0.5 0.4 0.3 -4.5 -0.6 1.4 -2.8 -3.8 0.4 10.8 -2.1 1.4 -0.4 1.2 -1.6 -1.6 4.9 -4.9 0.8 -8.4 -2.1 OAT 16.6 -2.2 9.4 1.1 3.9 -1.0 6.4 -3.5 4.2 7.3 -11.1 10.2 -13.2 0.6 -5.8 9.2 12.1 10.3 11.5 -2.2 -8.3 12.9 -14.4 7.2 5.0 12.7 0.5 2.9 -2.5 6.6 -7.0 4.3 20.0 -12.8 -6.6 -0.2 -7.9 OJ -20.0 -9.1 -5.1 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -0.5 13.8 -1.0 14.8 8.1 10.3 20.0 17.8 20.0 20.0 16.3 20.0 1.9 20.0 8.4 -20.0 -14.3 5.5 -0.2 7.0 0.5 7.1 2.6 20.0 20.0 20.0 20.0 20.0 PALLAD 8.6 -11.9 -20.0 0.3 6.7 1.1 5.5 1.5 2.0 -1.3 -15.4 -2.7 -14.0 -11.2 -14.3 -2.2 -2.0 -2.6 -2.4 -20.0 -20.0 -3.1 -20.0 -11.8 20.0 -11.1 -5.5 0.8 -5.7 -0.5 -4.3 -3.0 0.0 -20.0 -20.0 -19.3 -20.0 PLAT 12.8 -14.0 -2.2 0.3 6.7 1.1 5.5 1.5 2.0 5.3 2.9 8.7 0.3 -0.9 -5.9 -1.6 -1.2 -1.8 -1.5 -2.4 -0.8 6.1 1.0 2.3 -0.6 11.2 -2.3 2.2 -1.0 2.3 -0.1 -0.2 1.6 -17.0 -1.8 -8.1 -12.9 REDWHEAT -11.9 -2.0 -9.3 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 3.6 -11.6 -4.0 -10.7 -6.8 -8.5 10.2 4.0 8.5 6.7 -11.8 -12.6 -3.3 -8.6 -9.1 2.0 12.9 -4.1 -1.9 -3.2 -1.2 -0.4 -3.3 -2.8 20.0 -13.4 -5.1 -10.6 ROBUSTA -10.9 17.0 20.0 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -0.2 3.5 -5.3 0.4 5.0 10.4 5.7 8.9 7.9 8.9 12.5 10.6 -1.7 4.9 3.6 -8.7 9.6 3.7 1.3 2.9 -0.6 1.1 1.1 3.6 5.5 12.4 20.0 20.0 RUSSELL -20.0 -12.3 6.6 -1.1 -1.0 1.1 -3.9 0.6 -4.2 -11.5 -1.6 -13.1 -8.2 -13.0 -6.7 -5.5 -4.1 -5.7 -5.2 -10.5 -2.7 -20.0 -3.3 -20.0 -2.5 10.0 -2.0 -4.7 0.7 -6.8 0.6 -6.0 -0.5 -20.0 -15.8 1.1 -3.2 SILVER-mini 12.8 -19.1 1.0 0.3 6.7 1.1 5.5 1.5 2.0 13.5 3.8 13.5 -2.3 -1.1 -4.3 -5.5 -4.6 -5.5 -5.3 -3.1 -1.2 18.7 -0.6 5.6 3.0 -11.3 -1.6 7.6 -1.1 6.4 -1.1 1.6 -4.6 16.5 -4.6 -6.7 -8.3 SOYBEAN -20.0 -9.4 -9.5 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -14.1 -1.5 -15.6 2.1 -13.6 -10.8 20.0 20.0 20.0 20.0 -15.0 -6.4 -20.0 1.6 -20.0 -6.5 -11.7 -4.6 -12.0 -1.6 -10.5 1.4 -7.8 20.0 -20.0 -20.0 -20.0 -7.2 SOYMEAL -13.3 -1.1 19.6 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -14.0 13.4 -12.7 13.7 -0.9 11.0 18.8 18.6 20.0 20.0 8.9 19.1 -20.0 20.0 -6.8 -20.0 -12.0 2.1 -12.4 7.1 -9.1 9.4 -3.9 20.0 -20.0 -0.1 6.5 20.0 SOYOIL -13.4 -9.8 -15.8 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -11.7 -9.0 -12.7 0.5 -12.5 -14.6 0.4 13.7 3.2 7.9 -17.0 -12.0 -20.0 -1.9 -19.4 -1.9 12.9 -5.7 -7.0 -3.8 -5.8 -0.1 -6.1 7.3 -17.0 -20.0 -20.0 -20.0 SP400 -20.0 -16.9 6.1 -1.1 -1.0 1.1 -3.9 0.6 -4.2 -8.1 4.4 -11.7 -1.1 -12.0 -6.1 -5.7 -3.9 -5.6 -4.9 -9.8 0.0 -19.9 1.4 -20.0 -6.0 10.2 -2.3 -3.5 0.8 -6.4 1.3 -6.1 -0.0 -20.0 -20.0 -1.5 -3.9 SP500 -12.4 -6.4 5.2 -1.1 -1.0 1.1 -3.9 0.6 -4.2 4.0 -0.3 -1.7 -6.8 -7.6 -1.6 -7.2 -5.4 -7.2 -6.5 -3.8 -1.1 -1.5 -3.4 -6.3 1.4 10.2 0.2 1.4 1.5 -0.1 -0.2 -1.7 -2.7 20.0 11.8 11.8 -0.9 SUGAR11 4.9 8.6 11.0 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 7.9 14.0 9.4 11.3 12.7 13.9 20.0 20.0 20.0 20.0 16.1 16.9 7.2 13.0 11.1 -20.0 10.7 6.1 4.0 7.9 2.2 7.1 3.4 20.0 20.0 20.0 20.0 20.0 US10 20.0 -3.0 20.0 1.1 3.9 -1.0 6.4 -3.5 4.2 11.8 -7.5 12.0 -11.8 5.1 0.3 -7.7 -3.8 -8.0 -7.2 1.2 -4.6 17.9 -11.0 10.7 -1.1 9.7 2.1 5.9 -0.5 7.9 -3.6 5.7 -10.3 11.4 11.6 4.3 3.9 US10U 20.0 -2.3 17.8 1.1 3.9 -1.0 6.4 -3.5 4.2 11.2 -6.7 11.9 -11.6 5.2 1.5 0.9 2.8 0.8 1.1 1.4 -4.3 15.8 -11.3 9.9 -4.6 -14.1 2.7 5.3 0.3 7.5 -3.1 5.8 2.5 0.1 9.4 6.4 7.9 US20 20.0 -2.5 16.4 1.1 3.9 -1.0 6.4 -3.5 4.2 10.0 -4.3 11.9 -10.1 6.6 3.6 -2.0 -1.6 -4.2 -3.6 2.4 -3.8 15.6 -11.4 10.8 -2.1 -12.3 2.5 4.2 -0.1 6.9 -3.2 5.6 -5.1 -4.8 8.4 6.9 7.2 US30 15.0 -2.4 14.7 1.1 3.9 -1.0 6.4 -3.5 4.2 7.9 -3.4 10.9 -11.3 3.0 0.2 -1.1 -0.6 -1.3 -1.2 1.3 -4.3 10.8 -14.1 7.4 -7.2 10.0 3.0 3.4 0.6 6.2 -3.8 5.3 -2.3 -20.0 1.6 6.6 10.7 US5 20.0 -2.3 20.0 1.1 3.9 -1.0 6.4 -3.5 4.2 11.3 -8.0 11.5 -12.3 5.6 -0.0 -10.5 -4.4 -10.1 -8.6 1.1 -4.6 17.8 -10.6 10.8 1.1 10.8 1.6 5.6 -0.9 7.7 -4.1 5.4 -12.0 20.0 12.8 1.4 2.1 VIX 20.0 20.0 -2.3 -1.9 -0.1 -4.7 3.0 -4.8 2.1 -0.9 -12.0 5.8 -13.1 5.5 -5.0 -9.9 -20.0 -18.0 -20.0 -0.8 -8.5 5.7 -10.2 6.6 NaN -13.5 -2.1 -0.1 -6.1 3.5 -6.7 2.7 NaN NaN NaN NaN NaN WHEAT -14.5 -1.8 -11.8 -3.4 -9.2 -2.3 -8.9 -1.2 -6.5 -9.9 -14.0 -10.8 -14.2 -11.8 -12.6 -11.7 -7.6 -10.8 -9.4 -19.2 -19.6 -17.0 -15.2 -18.5 8.6 11.9 -5.0 -7.8 -3.9 -5.4 -1.7 -5.4 -20.0 2.3 -20.0 -12.8 -14.8 End of report for caleb_strategy_v1