******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230323_204913 produced at 2023-03-23 21:36:05.779254 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.15 0.0 4.963051e+07 -4.963051e+07 -0.10 -0.10 -2.99 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.13 0.0 5.594873e+07 -5.594873e+07 -0.17 -0.17 -2.41 999999999 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.17 -0.12 0.0 1.003401e+07 -1.003401e+07 -0.17 -0.16 -11.90 999999999 -17 -16 caleb_strategy_v1 EUR False False 0.06 -0.22 -0.10 0.0 5.531399e+07 -5.531399e+07 -0.22 -0.22 -1.76 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.09 0.0 5.362304e+07 -5.362304e+07 -0.05 -0.05 -1.72 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.452291e+07 -1.452291e+07 -0.06 -0.06 -6.37 999999999 -4 -4 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.06 0.0 4.360426e+07 -4.360426e+07 -0.09 -0.09 -1.29 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.20 -0.04 0.0 3.935911e+07 -3.935911e+07 -0.20 -0.16 -0.99 999999999 -5 -4 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.04 0.0 2.529220e+07 -2.529220e+07 -0.13 -0.13 -1.39 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 8.126734e+06 -8.126734e+06 0.00 0.00 -3.18 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.165489e+07 -1.165489e+07 -0.06 -0.06 -2.32 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 6.440912e+07 -6.440912e+07 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.02 0.0 3.519824e+06 -3.519824e+06 -0.05 -0.05 -4.48 999999999 -14 -14 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 4.251308e+07 -4.251308e+07 -0.04 -0.04 -0.45 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.01 0.0 1.419792e+07 -1.419792e+07 -0.06 -0.06 -0.35 999999999 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.371398e+07 -2.371398e+07 -0.02 -0.02 -0.59 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 1.021275e+07 -1.021275e+07 -0.01 -0.01 -0.77 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.490781e+07 -1.490781e+07 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.756130e+06 -6.756130e+06 0.00 0.00 -2.01 999999999 0 0 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.01 0.0 9.760612e+07 -9.760612e+07 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.07 -0.01 0.0 6.561916e+06 -6.561916e+06 -0.07 -0.08 -1.01 999999999 -11 -12 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.799007e+07 -5.799007e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.01 0.0 4.488898e+07 -4.488898e+07 -0.18 -0.18 -0.16 999999999 -4 -4 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.279884e+07 -1.279884e+07 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.820373e+07 -1.820373e+07 0.00 0.00 0.12 999999999 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.723400e+07 -2.723400e+07 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.155739e+06 -1.155739e+06 -0.01 -0.01 -3.78 999999999 -8 -8 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.634081e+07 -1.634081e+07 0.03 0.03 0.13 999999999 2 2 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.00 0.0 2.551664e+07 -2.551664e+07 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.00 0.0 4.715501e+07 -4.715501e+07 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 2.013708e+07 -2.013708e+07 0.06 0.06 0.45 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.11 0.01 0.0 2.764430e+07 -2.764430e+07 0.11 0.11 0.38 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.251990e+07 -4.251990e+07 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.139989e+07 -3.139989e+07 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.644684e+06 -8.644684e+06 0.02 0.02 1.55 999999999 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.571927e+07 -1.571927e+07 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 3.011218e+07 -3.011218e+07 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.075955e+07 -8.075955e+07 0.08 0.08 0.08 999999999 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.662871e+07 -2.662871e+07 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 4.159340e+07 -4.159340e+07 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.539782e+07 -2.539782e+07 0.00 0.00 0.73 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.073476e+07 -1.073476e+07 0.01 0.01 2.08 999999999 1 1 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.767269e+07 -5.767269e+07 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.120701e+07 -1.120701e+07 0.06 0.06 2.10 999999999 5 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.252754e+06 -4.252754e+06 0.00 0.00 5.00 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.02 0.0 9.541001e+06 -9.541001e+06 0.04 0.04 2.60 999999999 4 4 caleb_strategy_v1 CAD False False 0.03 0.00 0.03 0.0 2.966126e+07 -2.966126e+07 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.03 0.0 1.764685e+07 -1.764685e+07 0.09 0.09 1.42 999999999 5 5 caleb_strategy_v1 GBP False False 0.03 0.25 0.04 0.0 3.124202e+07 -3.124202e+07 0.25 0.25 1.14 999999999 8 8 caleb_strategy_v1 NASDAQ False False 0.10 0.21 0.05 0.0 1.042765e+08 -1.042765e+08 0.21 0.21 0.44 999999999 2 2 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.141025e+07 -5.141025e+07 0.05 0.05 0.92 999999999 1 1 caleb_strategy_v1 OAT False False 0.06 0.12 0.06 0.0 5.833530e+07 -5.833530e+07 0.12 0.12 1.01 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 4.58 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.11 0.21 0.0 5.273585e+07 -5.273585e+07 0.11 0.16 3.97 999999999 2 3 caleb_strategy_v1 BUND False False 0.06 0.12 0.22 0.0 6.101753e+07 -6.101753e+07 0.12 0.12 3.60 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.25 0.0 0.000000e+00 0.000000e+00 0.00 0.00 29.27 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 11.8 Shocked risk 26.2 Sum abs risk 39.6 Leverage 2.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2461628.52, 'annual_cash_vol_target': 615407.13, 'daily_cash_vol_target': 38462.945625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6704 0.7754 12.4056 BITCOIN 1161.0534 28450.0000 4.0810 65.2965 BOBL 0.6453 118.9500 0.5425 8.6801 BTP 0.8831 115.9600 0.7616 12.1855 BUND 1.1543 137.6300 0.8387 13.4191 BUXL 2.5546 145.2800 1.7584 28.1341 CAC 84.9327 7082.5000 1.1992 19.1871 CAD 0.0031 0.7302 0.4286 6.8582 CANOLA 6.4295 715.8000 0.8982 14.3717 CHF 0.0068 1.1018 0.6176 9.8809 COCOA 36.9878 2869.0000 1.2892 20.6276 COFFEE 3.3873 174.8000 1.9378 31.0054 COPPER 0.0542 4.0955 1.3234 21.1740 CORN 4.1397 551.7500 0.7503 12.0046 COTTON2 1.4242 77.3900 1.8403 29.4451 CRUDE_W 1.3016 68.0500 1.9127 30.6027 DAX 178.3975 15239.0000 1.1707 18.7306 DOW 290.4625 32306.0000 0.8991 14.3856 EUR 0.0064 1.0893 0.5858 9.3720 EUROSTX 53.4368 4106.0000 1.3014 20.8229 FEEDCOW 1.1757 214.6750 0.5477 8.7625 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.2085 741.2500 1.9168 30.6692 GASOILINE 0.0471 2.4917 1.8912 30.2588 GAS_US 0.1353 2.5140 5.3811 86.0971 GBP 0.0083 1.2305 0.6711 10.7379 GOLD_micro 21.7283 2000.5000 1.0861 17.3783 HEATOIL 0.0481 2.4921 1.9289 30.8627 JPY 0.0001 0.0078 0.7081 11.3297 LEANHOG 1.4097 89.3750 1.5772 25.2357 LIVECOW 0.7805 155.6500 0.5014 8.0227 MXP 0.0005 0.0528 0.9801 15.6819 NASDAQ 140.0936 12834.5000 1.0915 17.4646 NIKKEI 274.3143 27045.0000 1.0143 16.2286 NZD 0.0050 0.6252 0.7940 12.7043 OAT 1.0395 131.5800 0.7900 12.6400 OJ 4.7253 244.6500 1.9314 30.9031 PALLAD 34.7169 1427.5000 2.4320 38.9122 PLAT 18.3737 991.4000 1.8533 29.6530 REDWHEAT 11.3578 804.5000 1.4118 22.5886 ROBUSTA 26.8700 2128.0000 1.2627 20.2030 RUSSELL 25.6727 1732.9000 1.4815 23.7038 SILVER-mini 0.4168 23.3500 1.7852 28.5635 SOYBEAN 10.4359 1256.2500 0.8307 13.2914 SOYMEAL 5.3478 434.4000 1.2311 19.6972 SOYOIL 0.8989 52.5100 1.7118 27.3890 SP400 32.6502 2402.7000 1.3589 21.7424 SP500 39.0479 3976.0000 0.9821 15.7135 SUGAR11 0.2869 20.9700 1.3682 21.8911 US10 0.7182 116.0781 0.6187 9.8991 US10U 0.9079 122.1719 0.7432 11.8908 US20 1.2019 132.0000 0.9105 14.5679 US30 1.6462 141.9688 1.1595 18.5525 US5 0.5505 110.5000 0.4982 7.9711 VIX 0.9123 24.7000 3.6937 59.0995 WHEAT 9.9194 699.0000 1.4191 22.7053 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.40 0.78 519.80 1.00 519.80 38462.95 74.00 1.34 9.88 BITCOIN 28.45 4.08 116.11 1.00 116.11 38462.95 331.28 -4.85 -160.53 BOBL 1189.50 0.54 645.31 1.08 694.46 38462.95 55.39 9.95 55.09 BTP 1159.60 0.76 883.14 1.08 950.40 38462.95 40.47 11.31 45.77 BUND 1376.30 0.84 1154.29 1.08 1242.20 38462.95 30.96 16.12 49.90 BUXL 1452.80 1.76 2554.58 1.08 2749.12 38462.95 13.99 -3.24 -4.53 CAC 708.25 1.20 849.33 1.08 914.01 38462.95 42.08 2.29 9.63 CAD 730.15 0.43 312.97 1.00 312.97 38462.95 122.90 3.92 48.21 CANOLA 143.16 0.90 128.59 0.73 93.87 38462.95 409.76 13.30 545.13 CHF 1377.25 0.62 850.53 1.00 850.53 38462.95 45.22 -14.22 -64.31 COCOA 286.90 1.29 369.88 1.00 369.88 38462.95 103.99 -10.26 -106.69 COFFEE 655.50 1.94 1270.25 1.00 1270.25 38462.95 30.28 7.52 22.78 COPPER 1023.88 1.32 1354.97 1.00 1354.97 38462.95 28.39 3.58 10.17 CORN 275.88 0.75 206.99 1.00 206.99 38462.95 185.82 12.55 233.19 COTTON2 386.95 1.84 712.11 1.00 712.11 38462.95 54.01 5.68 30.66 CRUDE_W 680.50 1.91 1301.57 1.00 1301.57 38462.95 29.55 0.98 2.88 DAX 152.39 1.17 178.40 1.08 191.98 38462.95 200.35 -1.85 -37.09 DOW 161.53 0.90 145.23 1.00 145.23 38462.95 264.84 -1.33 -35.28 EUR 1361.62 0.59 797.58 1.00 797.58 38462.95 48.22 -9.74 -46.99 EUROSTX 410.60 1.30 534.37 1.08 575.06 38462.95 66.88 0.65 4.34 FEEDCOW 1073.38 0.55 587.84 1.00 587.84 38462.95 65.43 -7.35 -48.07 FTSE100 707.00 0.82 576.59 1.23 666.67 38462.95 57.69 7.70 44.41 GASOIL 741.25 1.92 1420.85 1.00 1420.85 38462.95 27.07 1.77 4.79 GASOILINE 1046.51 1.89 1979.14 1.00 1979.14 38462.95 19.43 -5.58 -10.84 GAS_US 251.40 5.38 1352.80 1.00 1352.80 38462.95 28.43 -18.04 -51.29 GBP 769.06 0.67 516.13 1.00 516.13 38462.95 74.52 8.55 63.72 GOLD_micro 200.05 1.09 217.28 1.00 217.28 38462.95 177.02 -8.04 -142.24 HEATOIL 1046.68 1.93 2018.97 1.00 2018.97 38462.95 19.05 1.00 1.90 JPY 968.88 0.71 686.07 1.00 686.07 38462.95 56.06 -2.72 -15.23 LEANHOG 357.50 1.58 563.86 1.00 563.86 38462.95 68.21 -20.00 -136.43 LIVECOW 622.60 0.50 312.18 1.00 312.18 38462.95 123.21 -4.20 -51.73 MXP 264.25 0.98 259.00 1.00 259.00 38462.95 148.51 11.46 170.15 NASDAQ 2566.90 1.09 2801.87 1.00 2801.87 38462.95 13.73 5.94 8.16 NIKKEI 27045.00 1.01 27431.43 0.01 207.20 38462.95 185.63 8.30 154.10 NZD 625.20 0.79 496.42 1.00 496.42 38462.95 77.48 5.87 45.50 OAT 1315.80 0.79 1039.48 1.08 1118.64 38462.95 34.38 14.48 49.78 OJ 366.98 1.93 708.79 1.00 708.79 38462.95 54.27 -4.03 -21.85 PALLAD 1427.50 2.43 3471.69 1.00 3471.69 38462.95 11.08 -5.13 -5.69 PLAT 495.70 1.85 918.69 1.00 918.69 38462.95 41.87 4.42 18.52 REDWHEAT 402.25 1.41 567.89 1.00 567.89 38462.95 67.73 3.50 23.71 ROBUSTA 212.80 1.26 268.70 1.00 268.70 38462.95 143.14 8.34 119.44 RUSSELL 86.64 1.48 128.36 1.00 128.36 38462.95 299.64 -2.88 -86.44 SILVER-mini 583.75 1.79 1042.12 1.00 1042.12 38462.95 36.91 -7.12 -26.28 SOYBEAN 628.12 0.83 521.79 1.00 521.79 38462.95 73.71 0.43 3.19 SOYMEAL 434.40 1.23 534.78 1.00 534.78 38462.95 71.92 3.35 24.09 SOYOIL 315.06 1.71 539.32 1.00 539.32 38462.95 71.32 2.05 14.64 SP400 2402.70 1.36 3265.02 1.00 3265.02 38462.95 11.78 -1.21 -1.42 SP500 1988.00 0.98 1952.40 1.00 1952.40 38462.95 19.70 1.47 2.91 SUGAR11 234.86 1.37 321.34 1.00 321.34 38462.95 119.70 16.00 191.54 US10 1160.78 0.62 718.17 1.00 718.17 38462.95 53.56 -0.48 -2.57 US10U 1221.72 0.74 907.95 1.00 907.95 38462.95 42.36 -4.84 -20.51 US20 1320.00 0.91 1201.85 1.00 1201.85 38462.95 32.00 -7.30 -23.36 US30 1419.69 1.16 1646.17 1.00 1646.17 38462.95 23.37 1.90 4.44 US5 1105.00 0.50 550.51 1.00 550.51 38462.95 69.87 -0.59 -4.11 VIX 247.00 3.69 912.35 1.00 912.35 38462.95 42.16 -14.98 -63.16 WHEAT 349.50 1.42 495.97 1.00 495.97 38462.95 77.55 -8.52 -66.08 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 9.883 0.006 2.5 0.158 BITCOIN -160.530 0.009 2.5 -3.782 BOBL 55.087 0.029 2.5 3.975 BTP 45.773 0.008 2.5 0.924 BUND 49.904 0.029 2.5 3.601 BUXL -4.528 0.034 2.5 -0.380 CAC 9.628 0.011 2.5 0.271 CAD 48.207 0.007 2.5 0.861 CANOLA 545.128 0.004 2.5 5.004 CHF -64.309 0.015 2.5 -2.407 COCOA -106.693 0.009 2.5 -2.324 COFFEE 22.785 0.005 2.5 0.295 COPPER 10.173 0.011 2.5 0.278 CORN 233.193 0.004 2.5 2.103 COTTON2 30.659 0.006 2.5 0.462 CRUDE_W 2.883 0.053 2.5 0.381 DAX -37.093 0.022 2.5 -2.014 DOW -35.284 0.011 2.5 -1.006 EUR -46.993 0.015 2.5 -1.759 EUROSTX 4.336 0.011 2.5 0.122 FEEDCOW -48.067 0.011 2.5 -1.292 FTSE100 44.411 0.041 2.5 4.578 GASOIL 4.790 0.029 2.5 0.342 GASOILINE -10.839 0.016 2.5 -0.445 GAS_US -51.290 0.006 2.5 -0.772 GBP 63.719 0.007 2.5 1.138 GOLD_micro -142.240 0.009 2.5 -3.183 HEATOIL 1.899 0.029 2.5 0.135 JPY -15.235 0.026 2.5 -0.986 LEANHOG -136.427 0.019 2.5 -6.374 LIVECOW -51.734 0.011 2.5 -1.390 MXP 170.154 0.005 2.5 2.083 NASDAQ 8.156 0.022 2.5 0.443 NIKKEI 154.097 0.076 2.5 29.268 NZD 45.496 0.006 2.5 0.727 OAT 49.778 0.008 2.5 1.005 OJ -21.846 0.007 2.5 -0.381 PALLAD -5.689 0.010 2.5 -0.137 PLAT 18.521 0.010 2.5 0.446 REDWHEAT 23.708 0.002 2.5 0.127 ROBUSTA 119.439 0.005 2.5 1.549 RUSSELL -86.439 0.021 2.5 -4.477 SILVER-mini -26.281 0.009 2.5 -0.588 SOYBEAN 3.195 0.024 2.5 0.188 SOYMEAL 24.092 0.024 2.5 1.420 SOYOIL 14.636 0.004 2.5 0.134 SP400 -1.424 0.021 2.5 -0.074 SP500 2.905 0.011 2.5 0.083 SUGAR11 191.544 0.005 2.5 2.599 US10 -2.565 0.015 2.5 -0.098 US10U -20.512 0.058 2.5 -2.989 US20 -23.361 0.029 2.5 -1.722 US30 4.442 0.034 2.5 0.373 US5 -4.115 0.015 2.5 -0.158 VIX -63.157 0.075 2.5 -11.902 WHEAT -66.083 0.002 2.5 -0.353 ==================== Position diags ==================== AUD 1.18 BITCOIN 7.81 BOBL 4.00 BTP 0.82 BUND 2.23 BUXL 1.17 CAC 1.18 CAD 2.19 CANOLA 3.76 CHF 1.69 COCOA 2.27 COFFEE 0.39 COPPER 0.78 CORN 1.68 COTTON2 0.81 CRUDE_W 3.90 DAX 10.88 DOW 7.55 EUR 1.80 EUROSTX 1.88 FEEDCOW 1.76 FTSE100 5.95 GASOIL 1.93 GASOILINE 0.80 GAS_US 0.43 GBP 1.33 GOLD_micro 3.96 HEATOIL 1.36 JPY 3.63 LEANHOG 3.19 LIVECOW 3.31 MXP 1.82 NASDAQ 0.75 NIKKEI 35.26 NZD 1.24 OAT 0.69 OJ 0.95 PALLAD 0.27 PLAT 1.01 REDWHEAT 0.36 ROBUSTA 1.86 RUSSELL 15.52 SILVER-mini 0.83 SOYBEAN 4.35 SOYMEAL 4.24 SOYOIL 0.65 SP400 0.61 SP500 0.56 SUGAR11 1.62 US10 2.05 US10U 6.17 US20 2.36 US30 1.96 US5 2.68 VIX 7.94 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.2 0.0 0.3 0.0 0 BITCOIN -3.8 -4.6 -3.0 -8.0 -8 BOBL 4.0 3.6 4.4 2.0 2 BTP 0.9 0.8 1.0 1.0 1 BUND 3.6 3.4 3.8 2.0 2 BUXL -0.4 -0.5 -0.3 0.0 0 CAC 0.3 0.2 0.4 0.0 0 CAD 0.9 0.6 1.1 0.0 0 CANOLA 5.0 4.6 5.4 NaN 0 CHF -2.4 -2.6 -2.2 -3.0 -3 COCOA -2.3 -2.6 -2.1 -5.0 -5 COFFEE 0.3 0.3 0.3 NaN 0 COPPER 0.3 0.2 0.4 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 -0.0 0.8 4.0 4 DAX -2.0 -3.1 -0.9 0.0 0 DOW -1.0 -1.8 -0.3 -11.0 -11 EUR -1.8 -1.9 -1.6 -4.0 -4 EUROSTX 0.1 -0.1 0.3 0.0 0 FEEDCOW -1.3 -1.5 -1.1 -2.0 -2 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL 0.3 0.1 0.5 0.0 0 GASOILINE -0.4 -0.5 -0.4 -1.0 -1 GAS_US -0.8 -0.8 -0.7 -1.0 -1 GBP 1.1 1.0 1.3 8.0 8 GOLD_micro -3.2 -3.6 -2.8 0.0 0 HEATOIL 0.1 -0.0 0.3 0.0 0 JPY -1.0 -1.3 -0.6 -5.0 -5 LEANHOG -6.4 -6.7 -6.1 -4.0 -4 LIVECOW -1.4 -1.7 -1.1 -5.0 -5 MXP 2.1 1.9 2.3 1.0 1 NASDAQ 0.4 0.4 0.5 2.0 2 NIKKEI 29.3 25.7 32.8 0.0 0 NZD 0.7 0.6 0.9 0.0 0 OAT 1.0 0.9 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 0.2 2.0 2 ROBUSTA 1.5 1.4 1.7 2.0 2 RUSSELL -4.5 -6.0 -2.9 -14.0 -14 SILVER-mini -0.6 -0.7 -0.5 -1.0 -1 SOYBEAN 0.2 -0.2 0.6 0.0 0 SOYMEAL 1.4 1.0 1.8 5.0 5 SOYOIL 0.1 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 2.8 4.0 4 US10 -0.1 -0.3 0.1 NaN 0 US10U -3.0 -3.6 -2.4 -2.0 -2 US20 -1.7 -2.0 -1.5 -1.0 -1 US30 0.4 0.2 0.6 0.0 0 US5 -0.2 -0.4 0.1 -4.0 -4 VIX -11.9 -12.7 -11.1 -17.0 -17 WHEAT -0.4 -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 -0.1 -0.3 0.1 -0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.8 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 0.1 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 0.9 -4.8 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 -0.1 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 0.6 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 0.1 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 -0.1 -0.1 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 0.2 -0.0 -1.8 1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.8 -0.2 -0.1 0.2 0.1 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 -0.1 -0.4 -0.1 -0.2 CANOLA -0.0 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.2 1.3 0.5 0.3 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 2.5 3.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.2 -0.0 -0.2 -0.2 -0.3 CHF 0.1 -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 0.2 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 0.1 0.0 0.2 0.3 -0.1 0.0 -0.0 0.1 0.1 0.0 0.1 0.0 -3.1 -2.2 0.1 0.0 0.1 0.0 0.0 0.0 -1.9 0.2 0.4 0.3 0.3 COFFEE -0.1 0.2 0.1 -0.1 -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 0.2 0.0 0.0 0.0 0.2 -0.0 -0.1 -0.0 0.1 -0.0 -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 0.0 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 1.2 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 -0.1 -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 -0.3 -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 -0.1 -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 0.2 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 0.2 -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 -0.4 -0.4 -0.1 -0.2 0.0 0.1 0.0 -0.0 0.0 -1.1 -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 -0.3 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 0.3 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 -0.1 0.0 -0.1 -0.0 -0.3 -0.0 0.2 -0.1 -0.3 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 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 1.5 0.5 0.1 0.1 -0.1 -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 0.1 -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 1.0 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.1 0.2 0.1 -0.3 GBP 0.1 -0.1 0.2 -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 1.5 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 -0.1 0.3 0.0 0.1 0.0 0.2 0.0 0.0 0.0 0.2 0.0 -0.0 0.0 0.2 -0.9 -0.4 -0.3 -0.2 0.1 0.1 0.0 0.0 0.0 0.0 -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 -0.1 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 0.0 -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 0.3 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 -0.2 -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 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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 -0.0 -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 -0.4 -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 -0.1 -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 -0.2 -0.1 -0.1 ROBUSTA -0.1 0.2 0.3 -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 0.4 0.2 0.2 0.1 0.1 0.0 0.1 0.0 -1.4 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 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.3 -0.2 -0.1 -0.1 -0.2 -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 -0.1 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 -0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.1 -0.0 0.0 -0.0 -0.8 -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 -0.1 0.3 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 0.3 -0.0 0.3 -0.0 0.2 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 -0.1 0.0 0.3 SOYOIL -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 -0.3 0.0 0.6 0.1 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 2.7 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.9 -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 -0.9 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 -0.1 -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 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 2.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.3 0.2 0.2 -0.0 SUGAR11 0.0 0.1 0.2 -0.1 -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 -0.0 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 0.1 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 0.1 0.1 0.1 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.7 -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 -0.0 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 -0.1 -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 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 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 0.1 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 -0.8 -0.2 -0.2 -0.2 0.0 -0.0 0.0 -0.1 0.0 0.1 2.4 0.0 0.0 -0.0 0.0 -0.0 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 -0.1 -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 0.1 -0.4 -0.2 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -10.5 -17.7 6.7 -0.5 3.9 0.3 3.3 -1.7 0.2 7.0 2.1 -1.3 -4.2 -11.3 -8.7 -3.5 -2.8 -3.5 -3.3 -8.9 -3.8 -1.3 -4.6 -9.2 6.6 11.7 -3.5 0.7 -1.8 -0.6 -2.1 -3.6 -0.8 -10.9 -17.2 -14.2 -7.5 BITCOIN -5.0 7.5 20.0 0.8 8.9 1.2 7.0 1.5 3.0 12.9 10.2 13.7 -11.5 12.5 13.0 -3.2 -1.5 -2.5 -1.7 11.7 6.0 20.0 -4.7 15.6 4.0 -18.1 4.4 6.4 2.9 7.0 -0.0 5.3 1.4 15.7 -5.4 20.0 17.3 BOBL 20.0 9.6 20.0 1.3 4.0 -0.8 6.0 -3.5 4.3 8.6 -12.0 10.1 -13.7 6.5 -2.7 1.1 4.6 -2.9 0.3 0.3 -7.2 14.6 -12.6 10.0 12.2 10.8 0.9 4.4 -2.4 6.8 -5.8 4.9 4.4 19.3 2.1 3.2 -11.0 BTP 12.1 0.8 11.8 1.3 4.0 -0.8 6.0 -3.5 4.3 7.6 0.0 11.4 -9.5 4.8 4.8 8.2 12.3 9.0 11.2 5.1 -0.1 13.0 -9.9 10.6 -11.0 11.4 3.9 3.9 1.3 6.3 -4.5 5.8 20.0 -20.0 -5.2 10.3 3.8 BUND 20.0 5.0 18.7 1.3 4.0 -0.8 6.0 -3.5 4.3 8.3 -11.8 10.0 -13.5 4.5 -3.6 7.7 14.0 9.9 11.8 -0.1 -7.5 13.4 -14.0 9.1 8.5 12.3 1.3 4.4 -2.1 6.7 -6.0 5.1 20.0 2.3 -1.1 3.3 -7.4 BUXL 20.0 3.6 10.6 1.3 4.0 -0.8 6.0 -3.5 4.3 5.3 -11.2 9.0 -13.3 4.2 -7.1 2.7 0.7 2.9 2.7 -1.6 -8.7 10.8 -15.0 7.3 5.5 -10.8 0.6 3.3 -2.6 6.0 -5.9 4.5 2.2 -9.1 -4.1 0.1 -10.4 CAC -20.0 -15.8 10.9 -1.2 -1.0 1.0 -3.4 0.6 -4.0 1.2 13.8 -4.1 10.6 -3.0 8.7 -4.1 0.5 -3.6 -2.2 4.7 12.5 -5.9 11.8 -5.3 -16.2 8.9 1.0 -1.0 4.4 -4.2 4.3 -3.7 6.1 -15.3 -7.0 12.1 10.4 CAD -10.6 -11.9 1.2 -0.5 3.9 0.3 3.3 -1.7 0.2 6.1 -9.8 -2.8 -10.4 -10.1 -9.3 -2.8 -1.6 -2.5 -2.1 -11.9 -10.6 -3.9 -12.3 -11.0 17.6 10.4 -4.5 -0.1 -3.7 -1.6 -4.3 -4.3 1.2 -13.3 -18.6 -9.0 -16.4 CANOLA -20.0 -20.0 -18.1 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -14.1 -10.1 -15.8 -11.3 -15.3 -14.0 17.7 13.0 14.3 12.0 -20.0 -20.0 -20.0 -11.6 -20.0 11.0 12.9 -5.5 -7.3 -3.5 -8.4 -1.5 -7.6 8.6 -20.0 -20.0 -20.0 -20.0 CHF 6.0 -9.6 7.0 -0.5 3.9 0.3 3.3 -1.7 0.2 3.8 9.6 4.6 3.0 -0.3 0.9 -13.2 -13.7 -14.3 -14.3 1.8 3.4 9.0 1.5 4.1 -5.9 -11.5 1.2 6.3 1.7 5.3 -0.4 2.7 -19.6 6.0 8.5 7.0 2.2 COCOA -8.7 3.0 14.6 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 13.6 12.1 10.2 2.2 7.1 9.7 3.4 -2.0 0.6 -0.5 10.9 10.9 20.0 5.9 11.7 -20.0 -10.4 4.7 11.1 5.0 7.6 3.1 4.5 -14.0 20.0 20.0 20.0 20.0 COFFEE -13.1 16.1 8.0 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -1.7 -5.4 -8.3 -7.7 -0.0 6.9 3.1 3.1 2.4 2.9 3.0 -2.8 -4.2 -8.3 -0.7 10.5 10.0 0.8 -3.3 -1.0 -2.2 -3.0 -1.1 -6.3 19.9 0.6 20.0 15.3 COPPER -11.5 -15.1 17.8 0.8 8.9 1.2 7.0 1.5 3.0 12.6 8.2 -0.6 -2.1 -6.6 3.4 -0.5 -0.5 -0.8 -0.7 1.1 6.5 4.6 2.8 -2.7 -4.6 11.1 -1.5 7.3 1.4 1.5 1.5 -2.5 2.8 -20.0 -20.0 -10.9 3.4 CORN -19.5 -20.0 -20.0 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -11.9 -4.8 -14.1 -1.1 -14.5 -15.0 17.4 19.7 20.0 20.0 -20.0 -16.7 -17.3 -1.5 -20.0 7.7 11.0 -5.9 -3.5 -4.7 -3.9 -1.5 -5.4 20.0 14.2 -20.0 -20.0 -20.0 COTTON2 -13.0 -5.9 -2.8 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -11.7 -10.1 -13.6 -10.8 -13.4 -9.3 -4.6 9.1 -3.1 1.4 -11.7 -11.9 -15.4 -11.0 -15.5 5.0 12.0 -4.7 -4.2 -2.8 -6.5 -0.4 -6.7 -2.0 -7.0 3.6 -16.6 1.9 CRUDE_W -16.4 -10.5 -6.9 -3.5 -3.1 -2.1 -5.8 1.1 -5.3 -7.1 -2.8 -11.1 -0.9 -11.3 -9.1 6.5 11.4 7.7 8.9 -13.4 -6.9 -18.8 0.3 -20.0 -7.6 10.8 -4.2 -2.4 -1.6 -6.1 1.5 -6.5 -0.2 -11.7 -14.4 -7.2 0.3 DAX -20.0 -16.3 15.6 -1.2 -1.0 1.0 -3.4 0.6 -4.0 0.2 14.0 -3.9 5.6 -3.1 8.6 -7.8 -5.6 -8.6 -7.6 3.8 11.1 -5.4 8.4 -5.3 -18.2 9.9 1.1 -0.8 4.8 -3.9 3.5 -3.5 -3.8 -16.0 1.0 10.9 8.6 DOW -11.9 -20.0 -2.0 -1.2 -1.0 1.0 -3.4 0.6 -4.0 -3.4 5.5 -9.7 0.3 -12.4 -11.4 -6.8 -4.6 -7.1 -6.4 -11.5 -3.6 -9.0 -0.1 -14.3 -1.9 10.8 -3.1 -2.1 0.0 -3.8 1.0 -5.1 -2.1 11.7 -0.9 -1.5 -11.0 EUR 3.1 -14.5 17.3 -0.5 3.9 0.3 3.3 -1.7 0.2 11.1 9.2 11.2 -1.9 -3.3 1.2 -6.6 -8.6 -7.7 -8.2 2.8 5.0 14.9 -1.0 5.7 -8.0 -11.1 1.5 9.8 2.5 7.3 -1.4 2.7 -10.1 7.0 11.7 1.5 8.7 EUROSTX -20.0 -16.5 12.3 -1.2 -1.0 1.0 -3.4 0.6 -4.0 5.2 14.0 -1.5 10.2 -1.3 9.2 3.8 6.2 7.4 7.0 4.7 12.1 -2.7 10.7 -3.6 -18.8 -8.5 1.1 0.3 5.1 -3.2 4.6 -3.3 18.5 -9.0 1.5 10.7 8.0 FEEDCOW 6.0 18.7 14.2 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -4.9 9.1 -0.8 5.7 7.5 10.6 -20.0 -20.0 -20.0 -20.0 17.5 13.7 1.0 6.9 12.0 -15.5 12.2 5.4 -1.0 4.8 0.4 2.8 3.5 -20.0 -6.2 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 -9.0 -13.6 -9.9 -3.5 -3.1 -2.1 -5.8 1.1 -5.3 -12.3 -10.3 -13.6 7.1 -14.2 -10.4 20.0 20.0 20.0 20.0 -14.2 -8.6 -18.7 6.1 -17.8 -1.7 -15.4 -5.3 -4.6 -4.0 -6.8 0.4 -6.3 20.0 -1.9 -1.5 -9.2 -12.1 GASOILINE -10.9 -4.6 0.8 -3.5 -3.1 -2.1 -5.8 1.1 -5.3 -2.4 0.4 -9.8 2.6 -9.4 2.1 17.9 11.5 5.2 4.7 -4.3 -0.2 -8.8 5.9 -10.1 -13.8 -13.1 -1.1 0.8 2.1 -3.8 6.2 -4.3 -3.3 7.2 1.4 3.0 16.9 GAS_US 12.3 -0.8 -20.0 -3.5 -3.1 -2.1 -5.8 1.1 -5.3 -13.5 -16.1 -13.3 -12.9 -11.7 -15.6 -20.0 -7.2 -12.9 -8.6 -20.0 -20.0 -15.3 -20.0 -15.3 8.0 -9.3 -5.4 -6.6 -6.6 -5.9 -2.6 -4.4 -20.0 4.0 7.9 7.4 -20.0 GBP 7.0 -7.4 8.9 -0.5 3.9 0.3 3.3 -1.7 0.2 12.3 10.5 13.6 -2.3 3.2 1.8 -1.7 -1.9 -2.1 -2.2 3.1 2.1 14.1 -4.0 7.8 10.8 9.4 0.6 7.0 -1.4 7.5 -6.1 3.8 0.8 10.4 12.3 2.3 -3.1 GOLD_micro 20.0 -9.1 14.7 0.8 8.9 1.2 7.0 1.5 3.0 12.6 8.7 13.1 -1.0 8.1 7.1 -11.2 -10.5 -12.0 -11.8 10.8 7.7 20.0 3.6 18.9 0.1 -13.8 3.8 7.7 2.6 8.9 1.4 6.6 -15.3 20.0 20.0 17.0 11.9 HEATOIL -11.8 -14.8 -9.2 -3.5 -3.1 -2.1 -5.8 1.1 -5.3 -10.2 -9.9 -13.1 6.2 -14.6 -10.6 20.0 20.0 20.0 20.0 -15.2 -8.9 -16.2 5.2 -18.5 -10.2 -13.6 -4.8 -2.7 -2.1 -5.5 3.6 -6.2 20.0 4.3 -7.1 -11.2 -4.0 JPY 9.3 -12.6 9.4 -0.5 3.9 0.3 3.3 -1.7 0.2 13.4 5.3 13.7 -7.0 -1.3 -1.6 -14.1 -12.3 -13.8 -13.4 0.6 0.4 17.5 -7.9 7.1 2.4 9.9 0.7 7.9 0.1 7.5 -4.3 3.5 -17.7 17.7 15.3 0.5 5.0 LEANHOG -16.6 -12.3 -18.0 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -14.0 -12.9 -15.4 -8.9 -15.1 -15.4 -20.0 -20.0 -20.0 -20.0 -20.0 -16.2 -20.0 -7.7 -20.0 15.2 -11.1 -5.7 -7.7 -4.3 -8.5 -2.3 -7.2 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -20.0 -2.6 8.9 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -12.5 10.2 -14.4 7.2 -9.1 2.7 20.0 -17.4 20.0 -1.1 -2.9 6.8 -20.0 7.1 -16.7 -20.0 12.0 -1.1 -5.5 2.8 -7.9 3.7 -6.1 -20.0 -20.0 -14.3 3.3 17.3 MXP -20.0 -6.0 3.0 -0.5 3.9 0.3 3.3 -1.7 0.2 4.6 13.3 -4.9 14.8 0.7 9.3 17.4 20.0 19.7 20.0 8.1 14.0 -1.8 14.8 -0.3 -20.0 9.7 3.6 0.9 6.3 -1.6 6.5 -0.5 20.0 -20.0 -5.9 20.0 15.5 NASDAQ 3.2 9.4 13.3 -1.2 -1.0 1.0 -3.4 0.6 -4.0 11.8 -1.0 11.9 -9.8 9.5 10.8 -7.2 -5.0 -6.8 -6.2 10.5 5.0 17.4 -5.5 12.9 0.2 10.2 5.2 5.7 3.8 6.4 0.8 5.4 -2.1 20.0 20.0 20.0 14.6 NIKKEI -6.0 4.9 0.1 -1.2 -1.0 1.0 -3.4 0.6 -4.0 -1.3 2.2 -6.1 3.9 -3.2 4.1 9.7 14.6 16.2 16.4 1.9 2.6 -6.2 1.4 -3.0 7.4 -9.4 1.1 -1.6 0.7 -3.4 -0.6 -1.3 20.0 -17.3 20.0 19.6 -10.3 NZD 0.0 -16.1 6.9 -0.5 3.9 0.3 3.3 -1.7 0.2 9.1 7.4 8.2 -1.7 -7.5 -5.9 0.9 0.5 0.4 0.3 -3.7 -0.4 4.4 -2.7 -2.0 0.4 10.8 -1.8 3.7 -0.3 2.6 -1.6 -0.8 4.9 -0.3 0.9 -7.8 -2.4 OAT 19.9 -0.8 11.6 1.3 4.0 -0.8 6.0 -3.5 4.3 9.3 -11.0 10.6 -13.2 1.3 -5.3 9.1 12.1 10.2 11.4 -1.4 -7.6 12.4 -13.7 7.3 5.1 12.7 0.8 4.6 -2.3 6.4 -6.9 4.5 19.9 -6.2 -6.6 0.2 -8.1 OJ -14.7 -11.1 -5.1 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 10.0 13.8 1.4 14.8 8.8 10.5 20.0 17.9 20.0 20.0 16.7 20.0 5.6 20.0 9.6 -20.0 -14.3 5.5 1.4 7.1 1.1 7.3 2.8 20.0 20.0 20.0 20.0 20.0 PALLAD 9.5 -12.8 -20.0 0.8 8.9 1.2 7.0 1.5 3.0 -1.5 -15.3 -1.9 -14.1 -10.8 -14.2 -2.3 -2.0 -2.6 -2.5 -20.0 -20.0 -2.2 -20.0 -11.0 20.0 -11.1 -5.4 0.7 -5.8 -0.2 -4.4 -2.8 0.0 -20.0 -20.0 -19.3 -20.0 PLAT 13.0 -13.0 -2.0 0.8 8.9 1.2 7.0 1.5 3.0 4.4 2.9 9.4 0.3 0.3 -5.6 -1.6 -1.2 -1.8 -1.5 -2.0 -0.7 6.5 1.0 2.9 -0.3 11.2 -2.1 2.4 -0.9 2.5 -0.1 0.1 1.6 -20.0 -6.7 -7.7 -13.7 REDWHEAT -9.6 -2.7 -9.4 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 0.5 -11.7 -1.5 -10.8 -6.8 -8.3 10.5 4.1 8.7 6.8 -11.8 -12.8 -3.3 -8.8 -8.8 1.8 12.9 -4.1 -1.0 -3.3 -1.2 -0.5 -3.2 -2.6 20.0 -8.1 -4.5 -9.9 ROBUSTA -11.8 16.0 20.0 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 6.1 3.6 -3.2 0.6 4.4 10.4 5.8 8.9 7.9 8.9 12.4 10.8 0.4 5.1 4.2 -8.5 9.6 3.8 2.1 3.0 0.1 1.2 1.3 3.6 7.2 13.8 20.0 20.0 RUSSELL -20.0 -14.6 6.4 -1.2 -1.0 1.0 -3.4 0.6 -4.0 -13.1 -2.2 -14.0 -8.4 -13.7 -7.7 -5.4 -4.1 -5.7 -5.2 -11.8 -3.5 -20.0 -3.7 -20.0 -2.0 10.0 -2.3 -5.3 0.4 -6.9 0.5 -6.1 -0.5 -19.4 -20.0 -0.2 -3.7 SILVER-mini 15.7 -17.6 0.8 0.8 8.9 1.2 7.0 1.5 3.0 13.9 4.1 14.4 -2.2 0.5 -3.3 -5.5 -4.6 -5.6 -5.3 -1.7 -0.7 20.0 -0.5 8.0 2.6 -11.3 -1.1 7.4 -0.9 6.9 -1.1 2.3 -4.6 15.0 -5.0 -6.6 -8.6 SOYBEAN -20.0 -11.4 -10.5 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -14.1 -2.3 -15.7 1.7 -14.2 -11.5 20.0 20.0 20.0 20.0 -17.6 -7.7 -20.0 1.0 -20.0 -5.7 -11.7 -4.7 -12.3 -1.8 -10.8 1.1 -8.0 20.0 -20.0 -20.0 -20.0 -8.6 SOYMEAL -17.5 -4.7 15.9 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -14.1 12.8 -13.8 13.5 -3.8 9.4 17.8 18.6 20.0 20.0 5.5 16.6 -20.0 18.4 -11.7 -20.0 -12.0 0.8 -15.9 5.8 -11.3 8.0 -5.4 20.0 -20.0 -5.5 3.6 20.0 SOYOIL -15.1 -10.3 -16.4 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -13.3 -9.4 -13.8 0.1 -13.3 -14.8 0.1 13.5 3.0 7.7 -18.1 -12.3 -20.0 -2.3 -20.0 -1.1 12.9 -5.7 -10.7 -3.7 -7.8 -0.3 -6.6 7.0 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -19.3 5.8 -1.2 -1.0 1.0 -3.4 0.6 -4.0 -9.4 3.8 -12.6 -1.2 -12.7 -7.0 -5.7 -3.9 -5.6 -4.9 -11.1 -0.7 -20.0 1.1 -20.0 -5.5 10.2 -2.5 -4.1 0.6 -6.3 1.2 -6.1 -0.0 -20.0 -20.0 -2.9 -4.5 SP500 -10.8 -7.7 5.3 -1.2 -1.0 1.0 -3.4 0.6 -4.0 2.5 -0.4 -1.9 -6.9 -7.6 -1.9 -7.2 -5.4 -7.2 -6.5 -4.0 -1.2 -2.2 -3.5 -6.3 1.4 10.2 0.1 0.0 1.4 -0.5 -0.2 -1.7 -2.7 20.0 10.6 11.7 -0.8 SUGAR11 4.6 8.4 10.7 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 6.6 14.1 10.1 11.4 12.7 14.0 20.0 20.0 20.0 20.0 16.3 17.2 7.2 13.3 11.2 -20.0 10.7 6.1 2.7 8.0 2.3 7.2 3.5 20.0 18.4 20.0 20.0 20.0 US10 20.0 -1.4 20.0 1.3 4.0 -0.8 6.0 -3.5 4.3 13.3 -7.0 13.3 -11.7 7.2 1.8 -7.8 -3.8 -8.0 -7.2 2.7 -4.0 20.0 -10.9 13.1 -1.4 9.7 2.5 7.0 -0.2 8.2 -3.4 6.1 -10.4 11.0 13.4 5.6 4.2 US10U 20.0 -0.9 17.7 1.3 4.0 -0.8 6.0 -3.5 4.3 13.2 -6.3 13.3 -11.5 7.1 2.7 1.4 2.9 1.0 1.2 2.7 -3.8 18.1 -11.3 11.8 -4.8 -14.1 3.1 6.3 0.5 7.7 -2.9 6.1 2.6 1.6 10.2 7.2 8.0 US20 20.0 -1.3 16.5 1.3 4.0 -0.8 6.0 -3.5 4.3 11.5 -4.0 13.1 -10.1 7.9 4.5 -1.9 -1.6 -4.1 -3.6 3.4 -3.3 16.6 -11.4 12.0 -2.3 -12.3 2.8 4.6 0.1 6.8 -3.1 5.8 -5.2 -5.3 8.3 7.3 7.1 US30 17.4 -1.8 13.9 1.3 4.0 -0.8 6.0 -3.5 4.3 7.3 -3.1 11.6 -11.2 3.9 0.7 -0.6 -0.5 -1.1 -1.1 2.0 -4.0 10.9 -14.1 8.0 -7.4 10.0 3.2 3.4 0.8 5.9 -3.7 5.4 -2.2 -20.0 0.6 6.3 10.3 US5 20.0 -0.5 20.0 1.3 4.0 -0.8 6.0 -3.5 4.3 13.2 -7.4 13.0 -12.2 7.6 1.6 -9.9 -4.4 -9.9 -8.5 2.7 -4.0 20.0 -10.5 13.2 0.7 10.8 2.1 6.8 -0.7 8.0 -3.9 5.8 -12.0 20.0 15.5 3.0 2.6 VIX 20.0 20.0 -2.4 -1.7 1.1 -4.6 3.0 -4.8 2.2 -2.3 -11.8 6.2 -13.0 5.8 -4.4 -9.8 -20.0 -17.7 -20.0 -0.4 -8.3 6.1 -10.2 6.8 NaN -13.5 -1.8 1.3 -6.1 3.5 -6.8 2.8 NaN NaN NaN NaN NaN WHEAT -14.4 -3.3 -12.7 -3.6 -9.1 -2.3 -9.0 -1.2 -6.6 -12.7 -14.1 -12.5 -14.3 -12.7 -13.1 -11.8 -7.6 -10.9 -9.4 -20.0 -20.0 -20.0 -15.9 -20.0 8.6 11.9 -5.1 -7.7 -4.0 -6.2 -1.7 -5.8 -20.0 11.6 -20.0 -13.4 -14.9 End of report for caleb_strategy_v1