******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230324_204902 produced at 2023-03-24 21:36:06.855192 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.988856e+07 -4.988856e+07 -0.10 -0.10 -2.98 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.594500e+07 -5.594500e+07 -0.17 -0.17 -2.44 999999999 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.16 -0.12 0.0 9.987903e+06 -9.987903e+06 -0.16 -0.16 -12.01 999999999 -16 -16 caleb_strategy_v1 EUR False False 0.06 -0.22 -0.10 0.0 5.510418e+07 -5.510418e+07 -0.22 -0.22 -1.78 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.09 0.0 5.400347e+07 -5.400347e+07 -0.05 -0.05 -1.69 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.487586e+07 -1.487586e+07 -0.06 -0.06 -6.13 999999999 -4 -4 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.06 0.0 4.364612e+07 -4.364612e+07 -0.09 -0.09 -1.32 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.16 -0.04 0.0 3.946241e+07 -3.946241e+07 -0.16 -0.16 -0.94 999999999 -4 -4 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.03 0.0 2.555273e+07 -2.555273e+07 -0.13 -0.13 -1.31 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 8.068187e+06 -8.068187e+06 0.00 0.00 -3.17 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.154520e+07 -1.154520e+07 -0.06 -0.06 -2.25 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 6.414384e+07 -6.414384e+07 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.02 0.0 3.562624e+06 -3.562624e+06 -0.05 -0.05 -4.38 999999999 -14 -14 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 4.270599e+07 -4.270599e+07 -0.04 -0.04 -0.41 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.392510e+07 -2.392510e+07 -0.02 -0.02 -0.57 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 1.042819e+07 -1.042819e+07 -0.01 -0.01 -0.78 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.552915e+07 -1.552915e+07 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.697683e+06 -6.697683e+06 0.00 0.00 -2.07 999999999 0 0 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.01 0.0 9.863972e+07 -9.863972e+07 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.08 -0.01 0.0 6.612196e+06 -6.612196e+06 -0.08 -0.08 -0.98 999999999 -12 -12 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.795022e+07 -5.795022e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.309108e+07 -1.309108e+07 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.807024e+07 -1.807024e+07 0.00 0.00 0.10 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.485955e+07 -1.485955e+07 -0.06 -0.06 -0.27 999999999 -4 -4 caleb_strategy_v1 US5 False False 0.05 -0.18 -0.00 0.0 4.505385e+07 -4.505385e+07 -0.18 -0.18 -0.11 999999999 -4 -4 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.718748e+07 -2.718748e+07 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.138621e+06 -1.138621e+06 -0.01 -0.01 -3.82 999999999 -8 -8 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.699982e+07 -1.699982e+07 0.03 0.03 0.15 999999999 2 2 caleb_strategy_v1 US10 False False 0.05 0.00 -0.00 0.0 4.734699e+07 -4.734699e+07 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 2.008588e+07 -2.008588e+07 0.06 0.06 0.47 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.11 0.01 0.0 2.774191e+07 -2.774191e+07 0.11 0.11 0.34 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.278989e+07 -4.278989e+07 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.596855e+07 -2.596855e+07 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.118716e+07 -3.118716e+07 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.887196e+06 -8.887196e+06 0.02 0.02 1.53 999999999 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.561782e+07 -1.561782e+07 0.00 0.00 0.45 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 3.030004e+07 -3.030004e+07 0.00 0.00 0.33 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.161544e+07 -8.161544e+07 0.08 0.08 0.10 999999999 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.743361e+07 -2.743361e+07 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 4.153643e+07 -4.153643e+07 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.02 0.0 1.800269e+07 -1.800269e+07 0.09 0.09 1.09 999999999 5 5 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.087051e+07 -1.087051e+07 0.01 0.01 2.06 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.317827e+06 -4.317827e+06 0.00 0.00 4.01 999999999 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.822030e+07 -5.822030e+07 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.143003e+07 -1.143003e+07 0.06 0.06 1.96 999999999 5 5 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.526328e+07 -2.526328e+07 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.02 0.0 9.515333e+06 -9.515333e+06 0.04 0.04 2.62 999999999 4 4 caleb_strategy_v1 CAD False False 0.03 0.00 0.03 0.0 2.972318e+07 -2.972318e+07 0.00 0.00 0.87 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.25 0.04 0.0 3.121475e+07 -3.121475e+07 0.25 0.25 1.13 999999999 8 8 caleb_strategy_v1 NASDAQ False False 0.11 0.21 0.05 0.0 1.051747e+08 -1.051747e+08 0.21 0.21 0.47 999999999 2 2 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.137332e+07 -5.137332e+07 0.05 0.05 0.97 999999999 1 1 caleb_strategy_v1 OAT False False 0.06 0.12 0.06 0.0 5.816014e+07 -5.816014e+07 0.12 0.12 1.04 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 4.56 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.16 0.22 0.0 5.256918e+07 -5.256918e+07 0.16 0.16 4.22 999999999 3 3 caleb_strategy_v1 BUND False False 0.06 0.12 0.23 0.0 6.078132e+07 -6.078132e+07 0.12 0.12 3.72 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 28.97 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 11.7 Shocked risk 26.5 Sum abs risk 39.4 Leverage 2.33 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2452967.3, 'annual_cash_vol_target': 613241.825, 'daily_cash_vol_target': 38327.6140625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6669 0.7701 12.3223 BITCOIN 1153.2335 27930.0000 4.1290 66.0642 BOBL 0.6179 119.1300 0.5187 8.2988 BTP 0.8670 116.4200 0.7447 11.9153 BUND 1.1016 137.7400 0.7998 12.7961 BUXL 2.4643 145.3600 1.6953 27.1254 CAC 83.7263 7067.5000 1.1847 18.9547 CAD 0.0031 0.7291 0.4222 6.7558 CANOLA 8.5852 726.6000 1.1816 18.9050 CHF 0.0067 1.0978 0.6116 9.7861 COCOA 36.2124 2832.0000 1.2787 20.4590 COFFEE 3.4903 179.4500 1.9450 31.1199 COPPER 0.0538 4.0755 1.3191 21.1048 CORN 4.5678 560.7500 0.8146 13.0334 COTTON2 1.3970 76.6200 1.8233 29.1727 CRUDE_W 1.2720 68.0500 1.8692 29.9073 DAX 175.8078 15178.0000 1.1583 18.5329 DOW 284.9514 32439.0000 0.8784 14.0548 EUR 0.0065 1.0814 0.5995 9.5926 EUROSTX 52.8584 4095.0000 1.2908 20.6529 FEEDCOW 1.1594 214.1250 0.5415 8.6632 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.9787 743.2500 1.8808 30.0920 GASOILINE 0.0462 2.4942 1.8512 29.6188 GAS_US 0.1326 2.5580 5.1856 82.9700 GBP 0.0082 1.2251 0.6676 10.6821 GOLD_micro 21.4972 1979.1000 1.0862 17.3794 HEATOIL 0.0471 2.4991 1.8838 30.1406 JPY 0.0001 0.0077 0.6957 11.1318 LEANHOG 1.4606 91.2250 1.6011 25.6171 LIVECOW 0.7986 156.7000 0.5096 8.1541 MXP 0.0005 0.0533 0.9726 15.5612 NASDAQ 137.9452 12899.5000 1.0694 17.1101 NIKKEI 268.9318 27110.0000 0.9920 15.8720 NZD 0.0050 0.6197 0.8035 12.8563 OAT 0.9992 131.8000 0.7581 12.1301 OJ 4.8902 253.9500 1.9257 30.8106 PALLAD 33.9849 1421.5000 2.3908 38.2524 PLAT 18.0281 985.4000 1.8295 29.2723 REDWHEAT 12.4576 834.0000 1.4937 23.8994 ROBUSTA 28.2271 2180.0000 1.2948 20.7171 RUSSELL 25.1507 1747.8000 1.4390 23.0239 SILVER-mini 0.4077 23.4750 1.7367 27.7869 SOYBEAN 11.0577 1274.0000 0.8679 13.8872 SOYMEAL 5.4956 441.6000 1.2445 19.9115 SOYOIL 0.9327 53.5200 1.7427 27.8825 SP400 32.1763 2419.6000 1.3298 21.2771 SP500 38.3656 4004.0000 0.9582 15.3309 SUGAR11 0.2839 20.8400 1.3625 21.7999 US10 0.6975 116.1406 0.6006 9.6091 US10U 0.8880 122.3750 0.7257 11.6107 US20 1.1947 132.4688 0.9019 14.4304 US30 1.6608 142.8125 1.1629 18.6068 US5 0.5332 110.5156 0.4825 7.7200 VIX 0.8927 24.5000 3.6435 58.2963 WHEAT 11.3112 729.0000 1.5516 24.8257 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.90 0.77 513.61 1.00 513.61 38327.61 74.62 1.18 8.82 BITCOIN 27.93 4.13 115.32 1.00 115.32 38327.61 332.35 -4.88 -162.06 BOBL 1191.30 0.52 617.90 1.09 674.34 38327.61 56.84 10.29 58.50 BTP 1164.20 0.74 866.98 1.09 946.18 38327.61 40.51 11.82 47.86 BUND 1377.40 0.80 1101.59 1.09 1202.22 38327.61 31.88 16.19 51.61 BUXL 1453.60 1.70 2464.34 1.09 2689.46 38327.61 14.25 -3.18 -4.54 CAC 706.75 1.18 837.26 1.09 913.75 38327.61 41.95 2.33 9.79 CAD 729.10 0.42 307.85 1.00 307.85 38327.61 124.50 3.91 48.62 CANOLA 145.32 1.18 171.70 0.73 125.56 38327.61 305.25 14.33 437.28 CHF 1372.31 0.61 839.35 1.00 839.35 38327.61 45.66 -14.30 -65.29 COCOA 283.20 1.28 362.12 1.00 362.12 38327.61 105.84 -9.75 -103.15 COFFEE 672.94 1.94 1308.86 1.00 1308.86 38327.61 29.28 7.58 22.18 COPPER 1018.88 1.32 1343.95 1.00 1343.95 38327.61 28.52 3.71 10.59 CORN 280.38 0.81 228.39 1.00 228.39 38327.61 167.82 12.98 217.76 COTTON2 383.10 1.82 698.50 1.00 698.50 38327.61 54.87 5.44 29.88 CRUDE_W 680.50 1.87 1271.99 1.00 1271.99 38327.61 30.13 0.85 2.57 DAX 151.78 1.16 175.81 1.09 191.87 38327.61 199.76 -1.91 -38.15 DOW 162.20 0.88 142.48 1.00 142.48 38327.61 269.01 -1.27 -34.26 EUR 1351.69 0.60 810.39 1.00 810.39 38327.61 47.30 -10.05 -47.53 EUROSTX 409.50 1.29 528.58 1.09 576.87 38327.61 66.44 0.53 3.52 FEEDCOW 1070.62 0.54 579.69 1.00 579.69 38327.61 66.12 -7.43 -49.14 FTSE100 707.00 0.82 576.59 1.23 666.67 38327.61 57.49 7.70 44.25 GASOIL 743.25 1.88 1397.87 1.00 1397.87 38327.61 27.42 1.70 4.67 GASOILINE 1047.56 1.85 1939.22 1.00 1939.22 38327.61 19.76 -5.06 -10.00 GAS_US 255.80 5.19 1326.48 1.00 1326.48 38327.61 28.89 -17.98 -51.94 GBP 765.69 0.67 511.20 1.00 511.20 38327.61 74.98 8.43 63.23 GOLD_micro 197.91 1.09 214.97 1.00 214.97 38327.61 178.29 -7.96 -141.88 HEATOIL 1049.62 1.88 1977.27 1.00 1977.27 38327.61 19.38 0.96 1.86 JPY 968.00 0.70 673.47 1.00 673.47 38327.61 56.91 -2.54 -14.45 LEANHOG 364.90 1.60 584.23 1.00 584.23 38327.61 65.60 -20.00 -131.21 LIVECOW 626.80 0.51 319.44 1.00 319.44 38327.61 119.98 -4.07 -48.79 MXP 266.65 0.97 259.34 1.00 259.34 38327.61 147.79 11.38 168.21 NASDAQ 2579.90 1.07 2758.90 1.00 2758.90 38327.61 13.89 6.26 8.70 NIKKEI 27110.00 0.99 26893.18 0.01 205.47 38327.61 186.53 8.18 152.51 NZD 619.70 0.80 497.94 1.00 497.94 38327.61 76.97 5.77 44.44 OAT 1318.00 0.76 999.22 1.09 1090.50 38327.61 35.15 14.61 51.36 OJ 380.92 1.93 733.53 1.00 733.53 38327.61 52.25 -4.11 -21.49 PALLAD 1421.50 2.39 3398.49 1.00 3398.49 38327.61 11.28 -5.09 -5.74 PLAT 492.70 1.83 901.40 1.00 901.40 38327.61 42.52 4.55 19.33 REDWHEAT 417.00 1.49 622.88 1.00 622.88 38327.61 61.53 4.63 28.50 ROBUSTA 218.00 1.29 282.27 1.00 282.27 38327.61 135.78 8.71 118.30 RUSSELL 87.39 1.44 125.75 1.00 125.75 38327.61 304.78 -2.77 -84.55 SILVER-mini 586.88 1.74 1019.21 1.00 1019.21 38327.61 37.61 -6.79 -25.52 SOYBEAN 637.00 0.87 552.88 1.00 552.88 38327.61 69.32 0.58 4.05 SOYMEAL 441.60 1.24 549.56 1.00 549.56 38327.61 69.74 2.66 18.54 SOYOIL 321.12 1.74 559.60 1.00 559.60 38327.61 68.49 2.20 15.04 SP400 2419.60 1.33 3217.63 1.00 3217.63 38327.61 11.91 -1.18 -1.41 SP500 2002.00 0.96 1918.28 1.00 1918.28 38327.61 19.98 1.74 3.48 SUGAR11 233.41 1.36 318.02 1.00 318.02 38327.61 120.52 16.03 193.19 US10 1161.41 0.60 697.50 1.00 697.50 38327.61 54.95 -0.36 -1.96 US10U 1223.75 0.73 888.04 1.00 888.04 38327.61 43.16 -4.74 -20.45 US20 1324.69 0.90 1194.73 1.00 1194.73 38327.61 32.08 -7.14 -22.91 US30 1428.12 1.16 1660.80 1.00 1660.80 38327.61 23.08 1.91 4.41 US5 1105.16 0.48 533.24 1.00 533.24 38327.61 71.88 -0.39 -2.79 VIX 245.00 3.64 892.66 1.00 892.66 38327.61 42.94 -14.84 -63.72 WHEAT 364.50 1.55 565.56 1.00 565.56 38327.61 67.77 -7.55 -51.14 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 8.817 0.006 2.5 0.141 BITCOIN -162.062 0.009 2.5 -3.818 BOBL 58.497 0.029 2.5 4.221 BTP 47.863 0.008 2.5 0.967 BUND 51.605 0.029 2.5 3.724 BUXL -4.536 0.034 2.5 -0.381 CAC 9.786 0.011 2.5 0.275 CAD 48.620 0.007 2.5 0.868 CANOLA 437.282 0.004 2.5 4.014 CHF -65.290 0.015 2.5 -2.443 COCOA -103.146 0.009 2.5 -2.247 COFFEE 22.183 0.005 2.5 0.288 COPPER 10.592 0.011 2.5 0.289 CORN 217.758 0.004 2.5 1.964 COTTON2 29.877 0.006 2.5 0.450 CRUDE_W 2.575 0.053 2.5 0.340 DAX -38.154 0.022 2.5 -2.072 DOW -34.261 0.011 2.5 -0.976 EUR -47.529 0.015 2.5 -1.779 EUROSTX 3.516 0.011 2.5 0.099 FEEDCOW -49.143 0.011 2.5 -1.321 FTSE100 44.255 0.041 2.5 4.562 GASOIL 4.667 0.029 2.5 0.333 GASOILINE -10.004 0.016 2.5 -0.411 GAS_US -51.943 0.006 2.5 -0.782 GBP 63.235 0.007 2.5 1.129 GOLD_micro -141.884 0.009 2.5 -3.175 HEATOIL 1.855 0.029 2.5 0.132 JPY -14.450 0.026 2.5 -0.935 LEANHOG -131.207 0.019 2.5 -6.130 LIVECOW -48.793 0.011 2.5 -1.311 MXP 168.214 0.005 2.5 2.059 NASDAQ 8.699 0.022 2.5 0.472 NIKKEI 152.510 0.076 2.5 28.967 NZD 44.437 0.006 2.5 0.710 OAT 51.357 0.008 2.5 1.037 OJ -21.492 0.007 2.5 -0.375 PALLAD -5.739 0.010 2.5 -0.138 PLAT 19.334 0.010 2.5 0.465 REDWHEAT 28.499 0.002 2.5 0.152 ROBUSTA 118.300 0.005 2.5 1.534 RUSSELL -84.550 0.021 2.5 -4.379 SILVER-mini -25.521 0.009 2.5 -0.571 SOYBEAN 4.055 0.024 2.5 0.239 SOYMEAL 18.538 0.024 2.5 1.093 SOYOIL 15.038 0.004 2.5 0.138 SP400 -1.410 0.021 2.5 -0.073 SP500 3.485 0.011 2.5 0.099 SUGAR11 193.186 0.005 2.5 2.621 US10 -1.956 0.015 2.5 -0.075 US10U -20.454 0.058 2.5 -2.980 US20 -22.912 0.029 2.5 -1.689 US30 4.413 0.034 2.5 0.370 US5 -2.794 0.015 2.5 -0.107 VIX -63.723 0.075 2.5 -12.009 WHEAT -51.142 0.002 2.5 -0.273 ==================== Position diags ==================== AUD 1.19 BITCOIN 7.83 BOBL 4.10 BTP 0.82 BUND 2.30 BUXL 1.20 CAC 1.18 CAD 2.22 CANOLA 2.80 CHF 1.71 COCOA 2.31 COFFEE 0.38 COPPER 0.78 CORN 1.51 COTTON2 0.83 CRUDE_W 3.98 DAX 10.85 DOW 7.67 EUR 1.77 EUROSTX 1.87 FEEDCOW 1.78 FTSE100 5.93 GASOIL 1.96 GASOILINE 0.81 GAS_US 0.44 GBP 1.34 GOLD_micro 3.99 HEATOIL 1.38 JPY 3.68 LEANHOG 3.06 LIVECOW 3.22 MXP 1.81 NASDAQ 0.75 NIKKEI 35.43 NZD 1.23 OAT 0.71 OJ 0.91 PALLAD 0.27 PLAT 1.02 REDWHEAT 0.33 ROBUSTA 1.76 RUSSELL 15.79 SILVER-mini 0.84 SOYBEAN 4.09 SOYMEAL 4.11 SOYOIL 0.63 SP400 0.62 SP500 0.57 SUGAR11 1.64 US10 2.11 US10U 6.29 US20 2.36 US30 1.94 US5 2.76 VIX 8.09 WHEAT 0.36 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 -3.8 -4.6 -3.0 -8.0 -8 BOBL 4.2 3.8 4.6 3.0 3 BTP 1.0 0.9 1.0 1.0 1 BUND 3.7 3.5 4.0 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 4.0 3.7 4.3 NaN 0 CHF -2.4 -2.6 -2.3 -3.0 -3 COCOA -2.2 -2.5 -2.0 -5.0 -5 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.3 0.2 0.4 0.0 0 CORN 2.0 1.8 2.1 5.0 5 COTTON2 0.4 0.4 0.5 NaN 0 CRUDE_W 0.3 -0.1 0.7 4.0 4 DAX -2.1 -3.2 -1.0 0.0 0 DOW -1.0 -1.7 -0.2 -12.0 -12 EUR -1.8 -2.0 -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 -0.3 -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 -0.9 -1.3 -0.6 -4.0 -4 LEANHOG -6.1 -6.4 -5.8 -4.0 -4 LIVECOW -1.3 -1.6 -1.0 -5.0 -5 MXP 2.1 1.9 2.2 1.0 1 NASDAQ 0.5 0.4 0.5 2.0 2 NIKKEI 29.0 25.4 32.5 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 0.5 0.4 0.6 3.0 3 REDWHEAT 0.2 0.1 0.2 2.0 2 ROBUSTA 1.5 1.4 1.7 2.0 2 RUSSELL -4.4 -6.0 -2.8 -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 1.1 0.7 1.5 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 0.2 1.0 1 SUGAR11 2.6 2.5 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 -1.9 -1.5 -1.0 -1 US30 0.4 0.2 0.6 0.0 0 US5 -0.1 -0.4 0.2 -4.0 -4 VIX -12.0 -12.8 -11.2 -16.0 -16 WHEAT -0.3 -0.3 -0.2 -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 0.0 -0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.8 2.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.4 -0.2 -0.1 BITCOIN -0.0 0.1 0.3 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.3 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 0.8 -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 0.2 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.0 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 -0.1 BTP 0.2 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 -0.2 -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 -0.2 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 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 2.5 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 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.2 1.3 0.5 0.3 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 2.7 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 0.0 -0.0 0.0 0.0 0.2 0.0 0.1 0.0 0.0 -0.9 -0.6 -0.3 -0.3 0.0 0.0 0.0 0.0 0.0 -0.8 -2.4 0.0 0.0 0.0 0.0 -0.0 0.0 -2.5 -0.1 0.2 0.1 0.0 COCOA -0.1 0.1 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 -0.1 -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 -0.2 -0.0 -0.0 -0.1 -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 1.4 3.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.1 -0.5 0.0 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 -0.2 -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 0.2 -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 -0.1 -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 0.1 -0.2 0.3 -0.0 0.0 0.0 0.1 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0.1 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 -0.1 -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 0.2 0.1 0.1 -0.3 GBP 0.1 -0.1 0.2 -0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.0 -0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 1.5 2.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.2 0.0 -0.0 GOLD_micro 0.2 -0.1 0.3 0.0 0.1 0.0 0.2 0.0 0.1 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 -0.2 -0.3 -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 0.5 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 0.2 -0.2 0.2 -0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -0.2 -0.0 -0.0 -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 0.4 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 -0.1 -0.0 2.4 -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 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 0.2 -0.0 0.0 1.6 -0.7 0.4 0.0 -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 0.2 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 0.1 0.2 0.2 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.1 -0.3 0.0 0.3 -0.5 -0.2 -0.1 -0.1 0.1 0.1 0.0 -0.1 0.0 -0.0 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 0.5 0.5 0.3 0.3 0.0 0.0 -0.0 0.0 -0.0 1.0 -1.9 0.0 -0.0 0.0 -0.0 -0.0 -0.0 2.6 -0.2 0.4 0.3 -0.1 NZD 0.0 -0.2 0.1 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.0 -0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 2.3 -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 0.7 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 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.5 0.3 0.3 PALLAD 0.1 -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 -0.0 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 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -0.3 -0.0 -0.2 0.9 0.2 0.2 0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.2 2.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.3 0.2 0.0 -0.0 -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 -0.3 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 -0.1 -0.0 -0.1 -0.0 -0.2 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 0.1 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 0.5 -3.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 SOYBEAN -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.1 -0.0 0.0 -0.0 -0.7 -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 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.3 -0.0 0.2 1.4 0.8 0.4 0.4 0.0 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 -0.2 0.0 0.3 SOYOIL -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -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 -0.0 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 -0.0 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 -0.8 2.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.4 -0.1 -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 -0.0 -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 -0.1 -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 0.1 -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 -1.5 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 -0.1 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 -0.1 -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 0.1 -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 -0.2 -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 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -0.9 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.3 2.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 0.1 -0.3 -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 -9.5 -18.2 6.4 -0.5 0.8 0.3 2.2 -1.7 0.1 -3.3 1.9 -2.9 -4.3 -11.7 -9.1 -3.4 -2.8 -3.5 -3.3 -9.3 -4.2 -4.0 -4.8 -9.8 6.9 11.7 -3.6 -1.7 -1.9 -1.5 -2.1 -3.7 -0.8 -6.2 -17.1 -15.2 -7.7 BITCOIN -3.5 7.6 20.0 1.1 6.7 1.3 6.8 1.5 3.4 10.9 10.5 13.7 -11.3 12.8 13.3 -3.3 -1.5 -2.6 -1.7 12.4 6.5 19.3 -4.4 16.2 3.7 -18.1 4.6 4.8 3.0 6.4 0.1 5.4 1.4 20.0 -6.8 20.0 18.1 BOBL 20.0 10.4 19.5 1.6 4.6 -0.7 6.0 -3.4 4.5 10.5 -11.6 11.2 -13.6 7.9 -1.7 1.7 4.7 -2.5 0.5 1.3 -7.0 16.0 -13.0 11.3 12.1 10.8 1.2 4.8 -2.2 6.7 -5.7 5.1 4.6 15.4 1.9 3.7 -10.8 BTP 15.3 1.6 11.9 1.6 4.6 -0.7 6.0 -3.4 4.5 12.0 0.3 13.0 -9.4 6.1 5.5 8.2 12.3 9.0 11.2 6.1 0.4 14.9 -9.8 12.0 -10.9 11.4 4.1 5.6 1.5 6.8 -4.2 6.0 20.0 -13.7 -6.3 10.7 3.8 BUND 20.0 5.6 17.9 1.6 4.6 -0.7 6.0 -3.4 4.5 9.3 -11.6 10.8 -13.5 5.5 -2.9 7.6 14.0 9.8 11.7 0.7 -7.4 14.2 -14.5 10.1 8.6 12.3 1.6 4.7 -1.9 6.5 -5.9 5.2 20.0 2.5 -2.7 3.5 -7.4 BUXL 20.0 4.3 10.0 1.6 4.6 -0.7 6.0 -3.4 4.5 5.4 -11.1 9.3 -13.3 4.9 -6.8 2.6 0.7 2.8 2.7 -1.1 -8.7 10.7 -15.4 7.8 5.7 -10.8 0.9 3.4 -2.4 5.7 -5.9 4.6 2.2 -6.4 -6.9 -0.2 -11.1 CAC -20.0 -16.7 11.1 -1.2 0.6 1.0 -2.2 0.6 -3.6 4.8 13.7 -3.3 10.7 -2.7 8.6 -4.1 0.5 -3.6 -2.2 4.5 12.5 -4.8 11.9 -4.7 -16.2 8.9 0.8 -1.4 4.4 -3.7 4.3 -3.5 6.2 -20.0 -6.3 11.9 10.1 CAD -9.9 -12.3 0.7 -0.5 0.8 0.3 2.2 -1.7 0.1 -5.1 -10.0 -3.4 -10.5 -10.3 -9.6 -2.8 -1.7 -2.5 -2.2 -12.1 -10.9 -5.1 -12.6 -11.2 17.6 10.4 -4.5 -1.3 -3.8 -2.0 -4.4 -4.3 1.1 -5.1 -19.0 -9.4 -15.9 CANOLA -20.0 -14.4 -14.0 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -7.3 -10.3 -13.8 -11.4 -14.4 -13.8 17.9 13.0 14.5 12.2 -20.0 -18.6 -20.0 -9.2 -20.0 12.0 13.2 -5.5 -4.6 -3.5 -7.4 -1.5 -7.4 8.8 -20.0 -20.0 -20.0 -20.0 CHF 8.4 -9.6 7.2 -0.5 0.8 0.3 2.2 -1.7 0.1 0.7 9.6 4.7 3.1 0.3 1.0 -13.0 -13.7 -14.2 -14.3 2.1 3.5 7.9 1.6 4.3 -5.9 -11.5 1.4 3.5 1.8 4.7 -0.4 2.8 -19.6 -6.5 10.8 8.3 2.5 COCOA -5.4 4.2 15.2 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 13.9 12.4 12.2 2.5 8.9 10.4 3.7 -2.0 0.7 -0.4 12.3 11.6 20.0 6.3 14.2 -20.0 -10.4 4.9 9.5 5.0 7.9 3.1 5.1 -13.8 20.0 20.0 20.0 20.0 COFFEE -12.8 15.7 8.6 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 6.3 -5.3 -5.9 -7.6 -0.8 6.9 3.1 3.1 2.4 2.9 2.9 -2.6 -1.7 -7.9 -0.0 10.4 10.0 0.9 0.9 -1.0 -1.0 -3.1 -0.7 -6.3 14.0 0.3 18.8 15.5 COPPER -9.6 -14.8 18.0 1.1 6.7 1.3 6.8 1.5 3.4 11.1 8.3 1.8 -2.1 -4.8 3.6 -0.5 -0.5 -0.8 -0.7 1.7 6.6 6.7 2.9 -0.9 -4.5 11.1 -1.3 6.2 1.4 2.5 1.5 -1.7 2.9 -20.0 -20.0 -10.7 2.8 CORN -13.1 -18.2 -20.0 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 4.4 -5.2 -10.9 -1.2 -13.8 -14.7 17.2 19.6 20.0 20.0 -20.0 -15.2 -9.7 -1.6 -19.0 8.0 11.0 -5.9 0.5 -4.8 -2.4 -1.6 -4.9 20.0 13.8 -19.3 -20.0 -20.0 COTTON2 -14.4 -6.9 -3.4 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -13.0 -10.3 -14.2 -10.9 -13.9 -10.0 -4.6 9.0 -3.2 1.3 -12.5 -12.5 -16.4 -11.4 -16.5 5.6 12.0 -4.8 -5.1 -2.9 -6.6 -0.4 -6.7 -2.2 -2.4 -4.2 -17.7 0.9 CRUDE_W -17.9 -11.5 -7.3 -3.6 -2.6 -2.2 -5.2 1.0 -5.2 -5.9 -3.1 -10.8 -1.1 -11.1 -9.3 6.3 11.3 7.6 8.9 -14.0 -7.5 -16.8 0.0 -19.8 -7.5 10.8 -4.3 -2.0 -1.8 -5.4 1.4 -6.3 -0.2 -11.7 -13.3 -7.1 -0.6 DAX -20.0 -17.4 15.7 -1.2 0.6 1.0 -2.2 0.6 -3.6 2.9 13.9 -3.7 5.6 -3.0 8.4 -7.6 -5.6 -8.5 -7.6 3.5 11.0 -5.2 8.5 -5.0 -18.3 9.9 1.0 -1.9 4.7 -3.7 3.6 -3.4 -3.8 -20.0 -0.1 10.9 8.2 DOW -11.1 -20.0 -2.3 -1.2 0.6 1.0 -2.2 0.6 -3.6 0.1 5.3 -8.8 0.2 -12.1 -11.4 -6.7 -4.7 -7.0 -6.4 -11.5 -3.9 -7.0 -0.3 -13.4 -1.8 10.8 -3.1 -0.5 -0.1 -3.0 1.0 -4.8 -2.1 7.0 -1.5 -1.6 -11.1 EUR 4.4 -14.4 17.4 -0.5 0.8 0.3 2.2 -1.7 0.1 5.1 9.3 8.8 -1.9 -3.1 1.0 -6.5 -8.6 -7.6 -8.2 3.0 5.0 10.8 -0.9 5.3 -8.4 -11.1 1.7 3.6 2.6 5.6 -1.4 2.6 -10.0 2.2 11.6 2.4 8.8 EUROSTX -20.0 -17.5 12.5 -1.2 0.6 1.0 -2.2 0.6 -3.6 7.1 14.0 -0.5 10.2 -0.7 9.2 3.1 6.1 7.1 6.8 4.7 12.1 -1.7 10.8 -2.8 -18.8 -8.5 1.0 -0.4 5.1 -2.7 4.7 -3.1 18.3 -15.1 1.4 10.8 7.7 FEEDCOW 3.6 18.5 14.5 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -6.9 9.1 -3.2 5.8 6.7 10.1 -20.0 -20.0 -20.0 -20.0 17.0 13.8 -0.9 7.1 10.5 -15.6 12.2 5.3 -1.7 4.8 -0.1 2.9 3.1 -20.0 -7.8 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 -10.8 -13.9 -10.2 -3.6 -2.6 -2.2 -5.2 1.0 -5.2 -11.2 -10.6 -13.2 7.0 -14.2 -10.8 20.0 20.0 20.0 20.0 -14.6 -9.0 -16.2 5.9 -17.4 -1.7 -15.4 -5.3 -3.3 -4.1 -5.8 0.3 -6.1 20.0 -1.5 -1.8 -9.4 -12.0 GASOILINE -11.8 -5.0 0.9 -3.6 -2.6 -2.2 -5.2 1.0 -5.2 0.9 0.4 -8.8 2.5 -9.0 2.0 18.9 11.7 6.1 5.1 -4.4 -0.3 -6.3 5.9 -9.2 -14.0 -13.1 -1.2 1.3 2.0 -2.7 6.3 -3.9 -2.8 10.1 4.7 2.9 17.0 GAS_US 10.2 -0.6 -20.0 -3.6 -2.6 -2.2 -5.2 1.0 -5.2 -12.7 -16.1 -13.8 -13.0 -12.5 -15.7 -20.0 -7.5 -13.9 -9.3 -20.0 -20.0 -14.6 -20.0 -15.8 8.4 -9.3 -5.5 -4.9 -6.7 -5.5 -2.7 -4.6 -20.0 10.7 5.7 7.3 -20.0 GBP 8.6 -6.6 9.0 -0.5 0.8 0.3 2.2 -1.7 0.1 7.1 10.6 12.6 -2.3 3.8 2.1 -1.6 -1.9 -2.1 -2.1 3.4 2.2 11.2 -3.9 7.6 10.4 9.4 0.8 3.1 -1.3 6.0 -6.1 3.7 0.8 6.4 11.9 2.9 -3.0 GOLD_micro 20.0 -8.2 15.2 1.1 6.7 1.3 6.8 1.5 3.4 10.0 9.0 13.1 -0.8 9.1 7.8 -11.0 -10.5 -11.9 -11.7 11.7 8.2 20.0 3.9 19.1 -0.2 -13.8 4.0 5.0 2.7 7.8 1.5 6.5 -15.2 19.6 20.0 17.2 12.0 HEATOIL -13.2 -15.4 -9.5 -3.6 -2.6 -2.2 -5.2 1.0 -5.2 -9.4 -10.2 -13.0 6.1 -14.5 -11.1 20.0 20.0 20.0 20.0 -15.7 -9.4 -14.5 5.0 -18.2 -10.1 -13.6 -4.8 -1.9 -2.2 -4.8 3.5 -6.0 20.0 1.7 -6.0 -11.2 -4.1 JPY 12.8 -11.9 9.5 -0.5 0.8 0.3 2.2 -1.7 0.1 13.1 5.5 14.2 -6.9 -0.1 -1.1 -14.2 -12.3 -13.9 -13.5 1.7 0.8 17.9 -7.8 8.6 2.0 9.9 1.2 6.8 0.3 7.5 -4.2 4.0 -17.8 17.9 18.2 2.7 5.1 LEANHOG -15.3 -11.8 -18.2 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -11.4 -13.0 -14.1 -9.1 -14.7 -15.4 -20.0 -20.0 -20.0 -20.0 -20.0 -16.2 -20.0 -7.8 -20.0 15.9 -11.1 -5.8 -4.3 -4.3 -7.2 -2.3 -6.9 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -20.0 -4.2 8.4 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -5.0 9.9 -12.6 7.2 -9.2 2.2 20.0 -16.4 20.0 0.6 -3.1 6.3 -16.0 6.8 -14.9 -20.0 12.0 -1.2 -1.2 2.7 -5.9 3.7 -5.6 -20.0 -13.9 -15.0 3.4 16.5 MXP -20.0 -6.5 3.0 -0.5 0.8 0.3 2.2 -1.7 0.1 10.6 13.2 -2.9 14.8 1.5 9.4 17.1 20.0 19.6 20.0 8.2 13.9 1.5 14.8 1.0 -20.0 9.7 3.6 2.6 6.4 -0.4 6.6 -0.1 20.0 -20.0 -6.8 20.0 16.3 NASDAQ 5.8 9.2 13.7 -1.2 0.6 1.0 -2.2 0.6 -3.6 13.6 -0.7 13.6 -9.7 11.0 11.4 -7.2 -5.1 -6.8 -6.2 11.7 5.6 19.1 -5.2 14.7 -0.1 10.2 5.3 5.9 3.9 6.6 0.9 5.7 -2.2 20.0 20.0 20.0 15.5 NIKKEI -6.9 4.4 0.5 -1.2 0.6 1.0 -2.2 0.6 -3.6 7.1 2.2 -5.5 3.9 -3.4 3.9 9.2 14.5 15.8 16.2 1.9 2.6 -4.3 1.4 -2.6 7.1 -9.4 1.0 -0.4 0.7 -2.6 -0.6 -1.2 20.0 -20.0 20.0 19.0 -9.6 NZD 0.4 -15.9 6.9 -0.5 0.8 0.3 2.2 -1.7 0.1 -1.4 7.3 5.9 -1.7 -7.8 -6.3 0.9 0.5 0.5 0.3 -3.8 -0.5 1.4 -2.7 -2.6 0.6 10.8 -1.8 -0.3 -0.4 1.1 -1.7 -1.0 4.9 -0.0 0.2 -7.9 -2.9 OAT 20.0 -0.1 11.0 1.6 4.6 -0.7 6.0 -3.4 4.5 11.5 -10.7 11.9 -13.1 2.4 -4.7 9.0 12.0 10.2 11.4 -0.6 -7.5 13.8 -14.0 8.6 5.2 12.7 1.2 5.3 -2.1 6.5 -6.8 4.8 19.8 -2.9 -7.7 0.6 -8.3 OJ -6.0 -13.1 -6.1 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 12.3 14.0 6.1 14.8 10.2 11.1 20.0 18.0 20.0 20.0 16.9 20.0 12.2 20.0 11.9 -20.0 -14.3 5.6 4.1 7.2 2.4 7.3 3.2 20.0 20.0 20.0 20.0 20.0 PALLAD 10.1 -12.6 -20.0 1.1 6.7 1.3 6.8 1.5 3.4 -5.6 -15.3 -2.1 -14.1 -10.7 -14.1 -2.4 -2.1 -2.7 -2.5 -20.0 -20.0 -2.5 -20.0 -10.8 20.0 -11.1 -5.4 0.2 -5.9 -0.4 -4.6 -2.7 0.0 -20.0 -20.0 -18.3 -20.0 PLAT 12.7 -12.2 -2.0 1.1 6.7 1.3 6.8 1.5 3.4 0.7 3.0 8.5 0.3 1.1 -5.4 -1.7 -1.2 -1.8 -1.5 -1.7 -0.6 5.5 1.0 2.9 -0.1 11.2 -2.0 1.1 -0.9 2.1 -0.1 0.2 1.6 -20.0 -6.9 -7.2 -14.0 REDWHEAT -4.5 -0.7 -8.0 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 9.9 -11.4 4.5 -10.8 -5.1 -7.3 10.7 4.2 8.9 6.9 -9.4 -11.3 4.6 -8.0 -4.6 1.5 12.9 -3.6 6.9 -3.2 2.3 -0.5 -1.7 -2.4 20.0 0.3 -3.5 -8.8 ROBUSTA -13.1 14.7 20.0 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 11.1 3.9 3.0 0.8 5.7 10.8 6.1 8.9 7.9 8.9 12.5 10.5 7.1 5.1 6.5 -8.3 9.6 4.0 6.4 3.1 2.5 1.3 2.2 3.6 14.6 15.2 20.0 20.0 RUSSELL -20.0 -16.1 5.9 -1.2 0.6 1.0 -2.2 0.6 -3.6 -11.7 -2.6 -14.4 -8.5 -14.1 -8.5 -5.3 -4.1 -5.6 -5.2 -12.6 -4.1 -19.9 -4.0 -20.0 -1.5 10.0 -2.5 -3.6 0.3 -6.1 0.4 -6.0 -0.5 -17.1 -20.0 -1.5 -4.2 SILVER-mini 19.2 -16.1 1.1 1.1 6.7 1.3 6.8 1.5 3.4 14.0 4.4 14.9 -2.1 2.0 -2.4 -5.3 -4.6 -5.5 -5.3 -0.3 -0.2 20.0 -0.3 10.1 2.3 -11.3 -0.7 6.9 -0.7 7.1 -1.0 3.0 -4.6 13.7 -2.5 -5.4 -9.0 SOYBEAN -20.0 -12.1 -11.3 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -10.4 -2.9 -14.4 1.4 -14.0 -11.7 20.0 20.0 20.0 20.0 -18.0 -8.1 -20.0 0.5 -20.0 -5.0 -11.7 -4.8 -7.8 -1.9 -9.4 0.9 -7.8 20.0 -20.0 -20.0 -20.0 -10.1 SOYMEAL -19.8 -7.6 14.6 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -10.6 12.4 -12.9 13.3 -5.3 8.1 16.9 18.5 20.0 19.8 3.6 15.3 -20.0 17.6 -13.4 -20.0 -12.0 0.1 -11.1 5.2 -10.6 7.6 -5.9 20.0 -20.0 -10.2 1.4 20.0 SOYOIL -17.2 -10.2 -17.0 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -10.0 -9.7 -13.2 -0.1 -13.3 -14.8 -0.0 13.4 2.9 7.6 -18.7 -12.5 -20.0 -2.6 -20.0 -0.3 12.9 -5.7 -8.1 -3.7 -7.7 -0.4 -6.8 6.8 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -20.0 5.4 -1.2 0.6 1.0 -2.2 0.6 -3.6 -6.2 3.4 -12.6 -1.4 -12.9 -7.7 -5.6 -3.9 -5.6 -4.9 -11.8 -1.3 -19.0 0.9 -20.0 -5.0 10.2 -2.7 -2.7 0.4 -5.6 1.2 -6.0 -0.0 -19.0 -20.0 -4.4 -5.2 SP500 -9.0 -8.4 5.2 -1.2 0.6 1.0 -2.2 0.6 -3.6 6.2 -0.4 -0.1 -6.9 -6.9 -1.7 -7.1 -5.4 -7.2 -6.5 -3.7 -1.2 0.2 -3.5 -5.0 1.5 10.2 0.3 2.2 1.4 0.6 -0.2 -1.1 -2.7 20.0 10.3 11.6 -0.6 SUGAR11 4.0 7.8 11.0 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 2.3 14.1 8.6 11.5 12.0 14.0 20.0 20.0 20.0 20.0 16.0 17.3 5.3 13.5 10.4 -20.0 10.7 6.1 0.9 8.1 1.7 7.4 3.2 20.0 5.3 20.0 20.0 20.0 US10 20.0 -0.3 20.0 1.6 4.6 -0.7 6.0 -3.4 4.5 13.8 -6.5 14.2 -11.6 8.8 3.0 -8.0 -3.9 -8.1 -7.3 4.0 -3.5 20.0 -10.9 14.7 -1.6 9.7 2.8 6.3 0.0 7.8 -3.2 6.2 -10.5 8.6 12.9 5.9 4.1 US10U 20.0 0.0 17.7 1.6 4.6 -0.7 6.0 -3.4 4.5 13.8 -5.9 14.2 -11.4 8.5 3.8 1.3 2.9 1.0 1.2 3.7 -3.4 18.8 -11.3 13.0 -4.9 -14.1 3.3 5.9 0.7 7.4 -2.7 6.2 2.5 -1.2 8.9 7.1 7.7 US20 20.0 -0.4 16.8 1.6 4.6 -0.7 6.0 -3.4 4.5 11.8 -3.7 13.5 -10.0 8.9 5.3 -1.8 -1.6 -3.9 -3.5 4.2 -2.9 16.4 -11.2 12.5 -2.4 -12.3 3.0 4.7 0.3 6.5 -3.0 5.8 -5.1 -8.9 6.8 6.7 6.6 US30 19.8 -1.2 14.5 1.6 4.6 -0.7 6.0 -3.4 4.5 9.3 -2.9 12.1 -11.2 4.5 1.0 -0.8 -0.6 -1.1 -1.1 2.4 -3.7 10.7 -13.8 8.1 -7.5 10.0 3.4 4.1 0.9 5.7 -3.6 5.4 -2.2 -20.0 -2.0 5.1 9.4 US5 20.0 0.8 20.0 1.6 4.6 -0.7 6.0 -3.4 4.5 13.8 -6.8 14.0 -12.0 9.3 2.9 -9.8 -4.5 -9.8 -8.5 4.0 -3.5 20.0 -10.5 15.0 0.5 10.8 2.4 6.1 -0.4 7.7 -3.7 5.9 -12.0 15.6 15.9 3.5 2.6 VIX 20.0 20.0 -2.6 -1.6 0.8 -4.6 2.7 -4.9 2.2 -4.5 -11.6 6.0 -12.9 5.8 -3.9 -9.5 -20.0 -17.3 -19.8 -0.2 -8.1 5.4 -10.4 6.6 NaN -13.5 -1.7 0.9 -6.1 3.1 -6.9 2.8 NaN NaN NaN NaN NaN WHEAT -7.5 -0.2 -9.5 -3.6 -1.2 -2.4 -6.0 -1.3 -6.0 -0.8 -14.1 -6.9 -14.3 -12.0 -12.7 -11.7 -7.7 -10.9 -9.5 -17.3 -17.9 -10.2 -14.0 -15.5 8.5 11.9 -5.0 -0.0 -4.1 -3.6 -1.8 -5.1 -20.0 15.4 -15.3 -12.6 -14.3 End of report for caleb_strategy_v1