******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230328_204903 produced at 2023-03-28 21:35:55.818965 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.869061e+07 -4.869061e+07 -0.10 -0.10 -3.10 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.541413e+07 -5.541413e+07 -0.17 -0.17 -2.50 999999999 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.12 0.0 9.513415e+06 -9.513415e+06 -0.15 -0.15 -12.78 999999999 -16 -16 caleb_strategy_v1 EUR False False 0.06 -0.22 -0.10 0.0 5.501269e+07 -5.501269e+07 -0.22 -0.22 -1.81 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.09 0.0 5.250304e+07 -5.250304e+07 -0.05 -0.05 -1.72 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.495485e+07 -1.495485e+07 -0.06 -0.06 -6.06 999999999 -4 -4 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.06 0.0 4.380009e+07 -4.380009e+07 -0.09 -0.09 -1.28 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.16 -0.03 0.0 3.908378e+07 -3.908378e+07 -0.16 -0.16 -0.87 999999999 -4 -4 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 8.048632e+06 -8.048632e+06 0.00 0.00 -3.29 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 6.158789e+07 -6.158789e+07 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.02 0.0 2.565996e+07 -2.565996e+07 -0.13 -0.13 -0.95 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.160596e+07 -1.160596e+07 -0.06 -0.06 -2.10 999999999 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.378354e+07 -2.378354e+07 -0.02 -0.02 -0.57 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.563188e+06 -3.563188e+06 -0.05 -0.05 -3.99 999999999 -13 -13 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.01 0.0 4.440159e+07 -4.440159e+07 -0.04 -0.04 -0.28 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.638645e+06 -9.638645e+06 -0.01 -0.01 -0.89 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.552444e+07 -1.552444e+07 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.682019e+06 -6.682019e+06 0.00 0.00 -2.24 999999999 0 0 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.01 0.0 9.881429e+07 -9.881429e+07 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.08 -0.01 0.0 6.579809e+06 -6.579809e+06 -0.08 -0.09 -0.84 999999999 -12 -14 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.720168e+07 -5.720168e+07 -0.06 -0.06 -0.15 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.336241e+07 -1.336241e+07 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.796934e+07 -1.796934e+07 0.00 0.00 0.01 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.495687e+07 -1.495687e+07 -0.06 -0.06 -0.27 999999999 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.00 0.0 4.417754e+07 -4.417754e+07 -0.18 -0.18 -0.10 999999999 -4 -4 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.715868e+07 -2.715868e+07 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.112928e+06 -1.112928e+06 -0.01 -0.01 -4.06 999999999 -8 -8 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.737057e+07 -1.737057e+07 0.03 0.03 0.21 999999999 2 2 caleb_strategy_v1 US10 False False 0.05 0.00 -0.00 0.0 4.631730e+07 -4.631730e+07 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 1.969540e+07 -1.969540e+07 0.06 0.06 0.46 999999999 3 3 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.359059e+07 -4.359059e+07 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.01 0.0 1.834009e+07 -1.834009e+07 0.09 0.09 0.80 999999999 5 5 caleb_strategy_v1 US30 False False 0.06 0.00 0.01 0.0 5.623974e+07 -5.623974e+07 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.636892e+07 -2.636892e+07 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.103695e+07 -3.103695e+07 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.818593e+06 -8.818593e+06 0.02 0.02 1.69 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 3.073176e+07 -3.073176e+07 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.067215e+07 -8.067215e+07 0.08 0.08 0.09 999999999 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.623006e+07 -2.623006e+07 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 4.120460e+07 -4.120460e+07 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.676058e+07 -1.676058e+07 0.00 0.00 0.58 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.02 0.0 2.897249e+07 -2.897249e+07 0.12 0.12 0.80 999999999 4 4 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.090104e+07 -1.090104e+07 0.01 0.01 2.19 999999999 1 1 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.523984e+07 -2.523984e+07 0.00 0.00 0.74 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.443783e+06 -4.443783e+06 0.00 0.00 3.91 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.157869e+07 -1.157869e+07 0.06 0.06 2.01 999999999 5 5 caleb_strategy_v1 CAD False False 0.03 0.00 0.03 0.0 2.973599e+07 -2.973599e+07 0.00 0.00 1.05 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.03 0.0 9.668700e+06 -9.668700e+06 0.04 0.04 2.69 999999999 4 4 caleb_strategy_v1 GBP False False 0.03 0.25 0.04 0.0 3.120138e+07 -3.120138e+07 0.25 0.25 1.20 999999999 8 8 caleb_strategy_v1 NASDAQ False False 0.10 0.21 0.05 0.0 1.025813e+08 -1.025813e+08 0.21 0.21 0.48 999999999 2 2 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.037895e+07 -5.037895e+07 0.05 0.05 1.03 999999999 1 1 caleb_strategy_v1 OAT False False 0.06 0.11 0.06 0.0 5.700361e+07 -5.700361e+07 0.11 0.11 1.09 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 4.60 999999999 0 0 caleb_strategy_v1 BUND False False 0.06 0.12 0.23 0.0 5.955189e+07 -5.955189e+07 0.12 0.12 3.88 999999999 2 2 caleb_strategy_v1 BOBL False False 0.05 0.16 0.24 0.0 5.174942e+07 -5.174942e+07 0.16 0.10 4.63 999999999 3 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 29.51 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 27.1 Sum abs risk 39.9 Leverage 2.36 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2475451.7, 'annual_cash_vol_target': 618862.925, 'daily_cash_vol_target': 38678.9328125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6723 0.7549 12.0782 BITCOIN 1124.9354 27550.0000 4.0833 65.3320 BOBL 0.6091 118.1900 0.5154 8.2458 BTP 0.8586 115.0600 0.7462 11.9397 BUND 1.0902 136.0100 0.8016 12.8250 BUXL 2.4582 140.6600 1.7476 27.9620 CAC 80.2733 7088.5000 1.1324 18.1191 CAD 0.0032 0.7361 0.4348 6.9572 CANOLA 9.0798 748.6000 1.2129 19.4064 CHF 0.0065 1.0974 0.5961 9.5380 COCOA 34.9225 2873.0000 1.2155 19.4487 COFFEE 3.4057 173.1500 1.9669 31.4701 COPPER 0.0518 4.0800 1.2697 20.3149 CORN 4.8878 573.2500 0.8527 13.6425 COTTON2 1.5776 82.9800 1.9012 30.4186 CRUDE_W 1.3829 71.7200 1.9282 30.8518 DAX 176.2059 15261.0000 1.1546 18.4738 DOW 276.4184 32576.0000 0.8485 13.5765 EUR 0.0063 1.0894 0.5783 9.2523 EUROSTX 52.3422 4104.0000 1.2754 20.4063 FEEDCOW 1.2456 216.8500 0.5744 9.1907 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.7662 760.7500 1.8096 28.9529 GASOILINE 0.0487 2.6170 1.8626 29.8009 GAS_US 0.1281 2.3860 5.3705 85.9277 GBP 0.0080 1.2358 0.6456 10.3299 GOLD_micro 21.1888 1992.4000 1.0635 17.0157 HEATOIL 0.0468 2.5692 1.8226 29.1610 JPY 0.0001 0.0077 0.6902 11.0432 LEANHOG 1.4649 92.5500 1.5828 25.3253 LIVECOW 0.9036 158.8000 0.5690 9.1038 MXP 0.0005 0.0540 0.9309 14.8945 NASDAQ 136.7979 12696.7500 1.0774 17.2388 NIKKEI 259.8119 27195.0000 0.9554 15.2859 NZD 0.0049 0.6248 0.7857 12.5713 OAT 0.9889 130.1900 0.7596 12.1534 OJ 4.6966 256.2000 1.8332 29.3309 PALLAD 32.5359 1416.0000 2.2977 36.7638 PLAT 17.4241 975.1000 1.7869 28.5905 REDWHEAT 12.3517 860.0000 1.4362 22.9799 ROBUSTA 28.8280 2183.0000 1.3206 21.1291 RUSSELL 24.5391 1764.1000 1.3910 22.2564 SILVER-mini 0.3922 23.5500 1.6652 26.6437 SOYBEAN 11.9248 1305.5000 0.9134 14.6149 SOYMEAL 5.8508 454.0000 1.2887 20.6197 SOYOIL 0.9367 55.1300 1.6991 27.1858 SP400 31.1450 2446.1000 1.2733 20.3720 SP500 36.9410 3994.0000 0.9249 14.7986 SUGAR11 0.2844 21.3700 1.3306 21.2897 US10 0.7072 114.6562 0.6168 9.8689 US10U 0.9021 120.5312 0.7485 11.9756 US20 1.2112 129.9688 0.9319 14.9107 US30 1.7047 139.2188 1.2245 19.5914 US5 0.5377 109.3594 0.4916 7.8664 VIX 0.8700 23.5500 3.6944 59.1100 WHEAT 10.9295 740.5000 1.4760 23.6155 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.30 0.75 507.51 1.00 507.51 38678.93 76.21 1.47 11.20 BITCOIN 27.55 4.08 112.49 1.00 112.49 38678.93 343.83 -5.01 -172.38 BOBL 1181.90 0.52 609.11 1.08 655.57 38678.93 59.00 10.88 64.17 BTP 1150.60 0.75 858.61 1.08 924.10 38678.93 41.86 12.15 50.84 BUND 1360.10 0.80 1090.21 1.08 1173.36 38678.93 32.96 16.32 53.80 BUXL 1406.60 1.75 2458.21 1.08 2645.71 38678.93 14.62 -3.21 -4.69 CAC 708.85 1.13 802.73 1.08 863.96 38678.93 44.77 2.33 10.44 CAD 736.10 0.43 320.08 1.00 320.08 38678.93 120.84 4.88 58.91 CANOLA 149.72 1.21 181.60 0.73 132.30 38678.93 292.35 14.57 425.92 CHF 1371.75 0.60 817.74 1.00 817.74 38678.93 47.30 -14.14 -66.89 COCOA 287.30 1.22 349.23 1.00 349.23 38678.93 110.76 -8.71 -96.45 COFFEE 649.31 1.97 1277.12 1.00 1277.12 38678.93 30.29 6.90 20.89 COPPER 1020.00 1.27 1295.08 1.00 1295.08 38678.93 29.87 4.25 12.68 CORN 286.62 0.85 244.39 1.00 244.39 38678.93 158.27 14.11 223.26 COTTON2 414.90 1.90 788.79 1.00 788.79 38678.93 49.04 7.87 38.57 CRUDE_W 717.20 1.93 1382.93 1.00 1382.93 38678.93 27.97 2.16 6.03 DAX 152.61 1.15 176.21 1.08 189.65 38678.93 203.95 -2.02 -41.16 DOW 162.88 0.85 138.21 1.00 138.21 38678.93 279.86 -1.06 -29.62 EUR 1361.81 0.58 787.50 1.00 787.50 38678.93 49.12 -9.84 -48.33 EUROSTX 410.40 1.28 523.42 1.08 563.35 38678.93 68.66 0.04 0.29 FEEDCOW 1084.25 0.57 622.81 1.00 622.81 38678.93 62.10 -7.68 -47.67 FTSE100 707.00 0.82 576.59 1.23 666.67 38678.93 58.02 7.70 44.66 GASOIL 760.75 1.81 1376.62 1.00 1376.62 38678.93 28.10 1.76 4.96 GASOILINE 1099.14 1.86 2047.21 1.00 2047.21 38678.93 18.89 -3.59 -6.79 GAS_US 238.60 5.37 1281.40 1.00 1281.40 38678.93 30.18 -19.56 -59.05 GBP 772.38 0.65 498.66 1.00 498.66 38678.93 77.57 8.69 67.39 GOLD_micro 199.24 1.06 211.89 1.00 211.89 38678.93 182.54 -8.05 -146.93 HEATOIL 1079.06 1.82 1966.66 1.00 1966.66 38678.93 19.67 1.68 3.30 JPY 967.50 0.69 667.77 1.00 667.77 38678.93 57.92 -2.31 -13.36 LEANHOG 370.20 1.58 585.96 1.00 585.96 38678.93 66.01 -19.65 -129.73 LIVECOW 635.20 0.57 361.42 1.00 361.42 38678.93 107.02 -3.30 -35.34 MXP 269.85 0.93 251.21 1.00 251.21 38678.93 153.97 11.62 178.85 NASDAQ 2539.35 1.08 2735.96 1.00 2735.96 38678.93 14.14 6.27 8.86 NIKKEI 27195.00 0.96 25981.19 0.01 197.65 38678.93 195.69 7.94 155.38 NZD 624.80 0.79 490.91 1.00 490.91 38678.93 78.79 5.89 46.39 OAT 1301.90 0.76 988.90 1.08 1064.33 38678.93 36.34 14.81 53.81 OJ 384.30 1.83 704.49 1.00 704.49 38678.93 54.90 -3.91 -21.47 PALLAD 1416.00 2.30 3253.59 1.00 3253.59 38678.93 11.89 -5.14 -6.11 PLAT 487.55 1.79 871.21 1.00 871.21 38678.93 44.40 4.29 19.04 REDWHEAT 430.00 1.44 617.59 1.00 617.59 38678.93 62.63 6.16 38.61 ROBUSTA 218.30 1.32 288.28 1.00 288.28 38678.93 134.17 9.72 130.38 RUSSELL 88.20 1.39 122.70 1.00 122.70 38678.93 315.24 -2.45 -77.09 SILVER-mini 588.75 1.67 980.40 1.00 980.40 38678.93 39.45 -6.44 -25.41 SOYBEAN 652.75 0.91 596.24 1.00 596.24 38678.93 64.87 0.83 5.36 SOYMEAL 454.00 1.29 585.08 1.00 585.08 38678.93 66.11 2.05 13.53 SOYOIL 330.78 1.70 562.03 1.00 562.03 38678.93 68.82 2.35 16.14 SP400 2446.10 1.27 3114.50 1.00 3114.50 38678.93 12.42 -0.93 -1.16 SP500 1997.00 0.92 1847.05 1.00 1847.05 38678.93 20.94 1.44 3.02 SUGAR11 239.34 1.33 318.47 1.00 318.47 38678.93 121.45 16.31 198.09 US10 1146.56 0.62 707.21 1.00 707.21 38678.93 54.69 -0.44 -2.39 US10U 1205.31 0.75 902.14 1.00 902.14 38678.93 42.87 -4.96 -21.27 US20 1299.69 0.93 1211.20 1.00 1211.20 38678.93 31.93 -7.29 -23.27 US30 1392.19 1.22 1704.68 1.00 1704.68 38678.93 22.69 1.26 2.85 US5 1093.59 0.49 537.66 1.00 537.66 38678.93 71.94 -0.38 -2.71 VIX 235.50 3.69 870.02 1.00 870.02 38678.93 44.46 -15.25 -67.79 WHEAT 370.25 1.48 546.48 1.00 546.48 38678.93 70.78 -7.03 -49.73 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 11.198 0.006 2.5 0.179 BITCOIN -172.376 0.009 2.5 -4.061 BOBL 64.172 0.029 2.5 4.630 BTP 50.841 0.008 2.5 1.027 BUND 53.798 0.029 2.5 3.882 BUXL -4.694 0.034 2.5 -0.394 CAC 10.435 0.011 2.5 0.293 CAD 58.914 0.007 2.5 1.052 CANOLA 425.917 0.004 2.5 3.910 CHF -66.886 0.015 2.5 -2.503 COCOA -96.448 0.009 2.5 -2.101 COFFEE 20.890 0.005 2.5 0.271 COPPER 12.682 0.011 2.5 0.347 CORN 223.259 0.004 2.5 2.014 COTTON2 38.575 0.006 2.5 0.581 CRUDE_W 6.027 0.053 2.5 0.796 DAX -41.157 0.022 2.5 -2.235 DOW -29.625 0.011 2.5 -0.844 EUR -48.328 0.015 2.5 -1.809 EUROSTX 0.287 0.011 2.5 0.008 FEEDCOW -47.669 0.011 2.5 -1.281 FTSE100 44.660 0.041 2.5 4.604 GASOIL 4.955 0.029 2.5 0.353 GASOILINE -6.790 0.016 2.5 -0.279 GAS_US -59.049 0.006 2.5 -0.889 GBP 67.392 0.007 2.5 1.203 GOLD_micro -146.925 0.009 2.5 -3.287 HEATOIL 3.295 0.029 2.5 0.235 JPY -13.365 0.026 2.5 -0.865 LEANHOG -129.729 0.019 2.5 -6.061 LIVECOW -35.343 0.011 2.5 -0.950 MXP 178.851 0.005 2.5 2.190 NASDAQ 8.858 0.022 2.5 0.481 NIKKEI 155.383 0.076 2.5 29.512 NZD 46.389 0.006 2.5 0.741 OAT 53.810 0.008 2.5 1.087 OJ -21.466 0.007 2.5 -0.374 PALLAD -6.109 0.010 2.5 -0.147 PLAT 19.038 0.010 2.5 0.458 REDWHEAT 38.610 0.002 2.5 0.206 ROBUSTA 130.377 0.005 2.5 1.690 RUSSELL -77.086 0.021 2.5 -3.993 SILVER-mini -25.410 0.009 2.5 -0.569 SOYBEAN 5.360 0.024 2.5 0.316 SOYMEAL 13.527 0.024 2.5 0.798 SOYOIL 16.142 0.004 2.5 0.148 SP400 -1.157 0.021 2.5 -0.060 SP500 3.018 0.011 2.5 0.086 SUGAR11 198.090 0.005 2.5 2.688 US10 -2.388 0.015 2.5 -0.092 US10U -21.271 0.058 2.5 -3.099 US20 -23.273 0.029 2.5 -1.715 US30 2.849 0.034 2.5 0.239 US5 -2.708 0.015 2.5 -0.104 VIX -67.793 0.075 2.5 -12.775 WHEAT -49.727 0.002 2.5 -0.265 ==================== Position diags ==================== AUD 1.22 BITCOIN 8.10 BOBL 4.26 BTP 0.85 BUND 2.38 BUXL 1.23 CAC 1.26 CAD 2.16 CANOLA 2.68 CHF 1.77 COCOA 2.41 COFFEE 0.39 COPPER 0.82 CORN 1.43 COTTON2 0.74 CRUDE_W 3.69 DAX 11.08 DOW 7.98 EUR 1.84 EUROSTX 1.93 FEEDCOW 1.67 FTSE100 5.98 GASOIL 2.00 GASOILINE 0.78 GAS_US 0.45 GBP 1.38 GOLD_micro 4.08 HEATOIL 1.40 JPY 3.75 LEANHOG 3.08 LIVECOW 2.88 MXP 1.89 NASDAQ 0.77 NIKKEI 37.17 NZD 1.26 OAT 0.73 OJ 0.96 PALLAD 0.29 PLAT 1.07 REDWHEAT 0.33 ROBUSTA 1.74 RUSSELL 16.33 SILVER-mini 0.88 SOYBEAN 3.82 SOYMEAL 3.90 SOYOIL 0.63 SP400 0.64 SP500 0.60 SUGAR11 1.65 US10 2.10 US10U 6.25 US20 2.35 US30 1.90 US5 2.76 VIX 8.38 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.2 0.1 0.3 0.0 0 BITCOIN -4.1 -4.9 -3.3 -8.0 -8 BOBL 4.6 4.2 5.1 3.0 3 BTP 1.0 0.9 1.1 1.0 1 BUND 3.9 3.6 4.1 2.0 2 BUXL -0.4 -0.5 -0.3 0.0 0 CAC 0.3 0.2 0.4 0.0 0 CAD 1.1 0.8 1.3 0.0 0 CANOLA 3.9 3.6 4.2 NaN 0 CHF -2.5 -2.7 -2.3 -3.0 -3 COCOA -2.1 -2.3 -1.9 -5.0 -5 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.3 0.3 0.4 0.0 0 CORN 2.0 1.9 2.2 5.0 5 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 0.8 0.4 1.2 4.0 4 DAX -2.2 -3.3 -1.1 0.0 0 DOW -0.8 -1.6 -0.0 -12.0 -12 EUR -1.8 -2.0 -1.6 -4.0 -4 EUROSTX 0.0 -0.2 0.2 0.0 0 FEEDCOW -1.3 -1.4 -1.1 -2.0 -2 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.3 -0.4 -0.2 -1.0 -1 GAS_US -0.9 -0.9 -0.8 -1.0 -1 GBP 1.2 1.1 1.3 8.0 8 GOLD_micro -3.3 -3.7 -2.9 0.0 0 HEATOIL 0.2 0.1 0.4 0.0 0 JPY -0.9 -1.2 -0.5 -4.0 -4 LEANHOG -6.1 -6.4 -5.8 -4.0 -4 LIVECOW -0.9 -1.2 -0.7 -5.0 -5 MXP 2.2 2.0 2.4 1.0 1 NASDAQ 0.5 0.4 0.6 2.0 2 NIKKEI 29.5 25.8 33.2 0.0 0 NZD 0.7 0.6 0.9 0.0 0 OAT 1.1 1.0 1.2 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 0.2 0.2 2.0 2 ROBUSTA 1.7 1.5 1.9 2.0 2 RUSSELL -4.0 -5.6 -2.4 -13.0 -13 SILVER-mini -0.6 -0.7 -0.5 -1.0 -1 SOYBEAN 0.3 -0.1 0.7 0.0 0 SOYMEAL 0.8 0.4 1.2 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 2.7 2.5 2.9 4.0 4 US10 -0.1 -0.3 0.1 NaN 0 US10U -3.1 -3.7 -2.5 -2.0 -2 US20 -1.7 -2.0 -1.5 -1.0 -1 US30 0.2 0.0 0.4 0.0 0 US5 -0.1 -0.4 0.2 -4.0 -4 VIX -12.8 -13.6 -11.9 -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 0.2 0.1 0.0 -0.1 0.0 0.7 -4.8 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.2 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 0.2 0.2 -0.0 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 0.7 0.0 0.1 0.1 -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 -1.3 2.2 0.1 -0.0 0.0 0.0 -0.1 0.0 2.7 -0.0 -0.1 0.2 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 -0.0 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 0.1 -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 -0.0 -0.1 -0.0 -0.2 CAC -0.2 -0.3 0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 -0.0 0.3 -0.0 0.2 -0.3 0.0 -0.1 -0.0 0.0 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 -0.2 0.1 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 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 2.5 2.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.0 -0.3 -0.1 -0.2 CANOLA -0.0 -0.1 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.2 -0.0 -0.2 1.3 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 -0.1 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 -0.2 0.2 0.1 0.0 COCOA -0.0 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.3 0.0 0.1 0.0 0.3 0.3 -0.1 0.0 -0.0 0.2 0.2 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 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.3 0.1 0.1 0.1 0.0 -0.0 -0.0 -0.1 -0.0 1.6 2.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.9 -0.0 -0.1 0.2 0.2 COPPER -0.1 -0.2 0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.0 -0.0 -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 -0.1 -0.4 -0.1 0.0 CORN -0.0 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.3 1.3 0.8 0.4 0.4 -0.2 -0.2 0.0 -0.0 -0.0 1.1 2.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 2.7 0.1 -0.1 -0.3 -0.3 COTTON2 -0.0 -0.0 -0.0 -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 2.4 3.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.0 -0.1 -0.4 -0.0 CRUDE_W -0.2 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.2 0.5 0.5 0.2 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.9 2.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 DAX -0.3 -0.3 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 -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 -0.1 0.1 0.1 DOW -0.2 -0.3 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 -0.3 -0.5 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.2 2.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.3 -0.0 0.0 -0.0 -0.2 EUR 0.1 -0.2 0.3 -0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.2 0.0 -0.0 -0.0 0.0 -0.4 -0.4 -0.1 -0.2 0.1 0.1 0.0 -0.0 0.0 -1.2 -2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -1.2 0.0 0.2 0.0 0.1 EUROSTX -0.2 -0.3 0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 -0.0 0.3 -0.0 0.2 0.2 0.3 0.1 0.1 0.0 0.1 -0.0 0.1 -0.0 -2.5 -1.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.4 -0.0 -0.1 0.1 0.1 FEEDCOW -0.0 0.2 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.2 0.0 0.1 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.2 0.1 0.0 0.1 0.0 -2.8 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 -0.2 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 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 -0.1 -0.0 0.0 -0.0 2.7 -0.1 -0.1 -0.1 -0.2 GASOILINE -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 1.7 0.5 0.2 0.1 -0.0 0.0 0.0 0.1 -0.0 -1.8 -2.6 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.2 0.0 0.2 0.1 0.3 GAS_US -0.0 -0.0 -0.3 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.4 -0.1 -0.3 -0.1 -0.4 -1.6 -0.3 -0.3 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.2 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.3 -0.1 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 0.1 -0.1 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 1.4 2.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.2 0.1 -0.0 GOLD_micro 0.2 -0.1 0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.0 -0.0 0.0 0.2 -0.9 -0.4 -0.2 -0.2 0.2 0.1 0.0 0.1 0.0 -0.1 -2.7 0.1 0.0 0.0 0.0 0.0 0.0 -1.9 0.1 0.4 0.2 0.2 HEATOIL -0.2 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 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 -0.9 -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 0.1 -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 0.2 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 -2.2 0.2 0.4 0.1 0.1 LEANHOG -0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.5 -2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.3 LIVECOW -0.2 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 1.6 -0.6 0.4 0.1 -0.0 0.1 0.0 0.1 -0.0 -3.3 2.6 -0.0 0.0 0.0 0.0 0.0 -0.0 -2.8 0.0 -0.2 0.0 0.2 MXP -0.2 -0.1 0.1 -0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.0 0.4 0.0 0.2 1.2 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 -0.2 0.3 0.3 NASDAQ 0.1 0.1 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.0 0.3 -0.5 -0.2 -0.1 -0.1 0.2 0.1 0.0 -0.1 0.0 -0.1 1.9 0.1 0.0 0.1 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 -0.0 0.0 -0.0 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 0.9 -1.9 0.0 0.0 0.0 -0.0 -0.0 -0.0 2.6 -0.1 0.3 0.2 -0.1 NZD 0.0 -0.2 0.1 -0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.2 0.0 -0.0 -0.0 -0.2 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 0.7 -0.0 -0.0 -0.1 -0.1 OAT 0.2 0.0 0.2 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.3 0.0 -0.1 0.7 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 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.4 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 0.1 -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 -0.3 -0.1 -0.2 REDWHEAT 0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.1 0.9 0.2 0.2 0.2 -0.1 -0.1 0.0 -0.1 0.0 0.0 2.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.2 0.3 -0.0 -0.1 ROBUSTA -0.1 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 0.0 0.0 0.0 0.3 0.7 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 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.3 -0.2 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 2.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.4 -0.1 -0.1 SILVER-mini 0.2 -0.2 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.0 -0.0 -0.3 -0.2 -0.1 -0.1 0.0 0.0 0.0 -0.0 0.0 0.3 -3.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.2 SOYBEAN -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -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 -0.2 SOYMEAL -0.2 -0.2 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.3 -0.0 0.3 -0.0 0.1 1.3 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 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.0 -0.3 -0.0 0.5 0.1 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 0.0 2.7 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.8 -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 -0.0 0.0 0.1 -0.0 -0.0 -0.1 -0.2 -0.3 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 -0.7 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 -0.2 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 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 0.1 0.2 0.2 -0.0 SUGAR11 0.0 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 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 -0.1 0.0 -0.3 0.0 0.1 -0.6 -0.2 -0.2 -0.2 0.1 -0.0 0.0 -0.1 0.0 -0.3 2.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.5 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 -0.1 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 0.3 -0.0 0.1 0.1 0.1 US20 0.2 0.0 0.3 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.0 -0.3 0.0 0.1 -0.1 -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 0.0 0.1 0.1 US30 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 0.0 -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 -0.1 0.0 0.1 US5 0.2 0.1 0.3 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.0 -0.3 0.0 0.1 -0.8 -0.2 -0.2 -0.2 0.1 -0.0 0.0 -0.1 0.0 0.0 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 -1.7 -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 -0.0 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 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 1.1 2.5 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -2.7 0.0 -0.1 -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 -7.2 -18.6 5.9 -0.0 4.8 0.5 3.7 -1.7 1.0 2.2 1.7 -1.4 -4.4 -11.5 -9.6 -3.4 -2.8 -3.5 -3.3 -9.1 -4.5 -2.2 -5.0 -8.7 7.3 11.7 -3.7 1.0 -2.1 -0.9 -2.3 -3.4 -0.9 -6.6 -17.5 -16.3 -8.1 BITCOIN 1.9 8.4 20.0 1.6 3.7 1.5 5.6 1.6 3.8 5.8 10.8 12.2 -11.0 12.4 13.2 -3.3 -1.5 -2.7 -1.8 13.1 7.2 13.3 -4.1 15.2 3.4 -18.1 4.8 1.5 3.2 4.5 0.2 5.0 1.3 2.4 -7.7 20.0 18.9 BOBL 20.0 12.3 20.0 1.8 -0.4 -0.5 3.6 -3.3 4.0 -0.2 -11.1 10.3 -13.4 8.7 -0.5 2.9 4.8 -1.8 0.8 2.2 -6.3 10.5 -12.8 10.5 11.9 10.8 1.6 0.8 -1.9 4.7 -5.6 4.9 4.8 9.9 6.6 5.8 -10.2 BTP 17.8 2.1 13.6 1.8 -0.4 -0.5 3.6 -3.3 4.0 -1.5 1.0 11.6 -9.3 6.5 6.2 8.6 12.3 9.1 11.1 6.6 0.9 9.0 -9.5 10.7 -10.8 11.4 4.3 -0.5 1.7 4.1 -4.1 5.4 19.9 -1.0 -6.9 11.7 3.5 BUND 20.0 7.2 20.0 1.8 -0.4 -0.5 3.6 -3.3 4.0 -2.9 -11.2 9.5 -13.4 6.0 -2.0 7.4 13.9 9.6 11.6 1.4 -6.8 8.3 -14.3 8.9 8.6 12.3 1.9 -0.0 -1.6 4.3 -5.9 4.8 20.0 3.6 0.7 5.0 -7.3 BUXL 20.0 5.7 12.0 1.8 -0.4 -0.5 3.6 -3.3 4.0 -8.8 -10.9 6.4 -13.2 4.3 -6.6 2.5 0.7 2.8 2.7 -1.0 -8.3 3.0 -15.2 5.3 5.9 -10.8 1.0 -2.4 -2.3 2.7 -6.0 3.8 2.2 -3.5 -4.3 -0.0 -12.5 CAC -20.0 -17.1 11.5 -1.1 2.4 1.0 -0.3 0.6 -2.6 6.7 13.4 -3.4 10.7 -3.0 8.1 -4.1 0.5 -3.6 -2.2 4.0 12.4 -4.4 12.3 -4.6 -16.0 8.9 0.5 -1.0 4.3 -3.2 4.4 -3.5 6.2 -16.4 -10.9 10.5 8.9 CAD -5.0 -11.6 1.5 -0.0 4.8 0.5 3.7 -1.7 1.0 11.8 -9.9 4.5 -10.6 -8.4 -8.7 -2.7 -1.7 -2.5 -2.2 -10.1 -10.1 3.6 -12.1 -6.4 17.6 10.4 -4.1 5.7 -3.9 1.6 -4.6 -2.7 1.1 1.9 -15.9 -9.0 -14.5 CANOLA -20.0 -13.0 -14.2 -3.1 8.5 -2.5 0.8 -1.5 -3.4 6.2 -10.2 -8.6 -11.5 -11.4 -12.8 18.0 13.2 14.8 12.4 -20.0 -18.2 -17.9 -9.2 -20.0 12.1 13.2 -5.5 0.6 -3.7 -4.1 -1.7 -6.3 8.9 -20.0 -20.0 -20.0 -20.0 CHF 10.0 -9.0 6.8 -0.0 4.8 0.5 3.7 -1.7 1.0 5.6 9.9 5.4 3.2 1.4 1.6 -12.8 -13.7 -14.0 -14.2 2.8 3.8 6.7 1.8 4.9 -5.9 -11.5 1.8 1.6 2.0 3.9 -0.3 3.1 -19.6 -17.5 10.5 8.2 2.2 COCOA -0.4 6.9 15.7 -3.1 8.5 -2.5 0.8 -1.5 -3.4 14.1 12.9 14.3 3.1 11.5 11.7 4.5 -1.8 1.3 -0.1 15.3 13.2 20.0 7.1 19.2 -20.0 -10.4 5.2 8.4 4.9 8.3 3.0 6.0 -13.7 20.0 20.0 20.0 20.0 COFFEE -11.6 14.6 7.6 -3.1 8.5 -2.5 0.8 -1.5 -3.4 -4.2 -5.4 -7.6 -7.6 -4.5 6.5 3.5 3.2 2.6 3.0 2.1 -2.8 -4.9 -8.0 -1.5 9.8 10.0 0.5 -3.8 -1.2 -2.7 -3.2 -1.4 -6.4 -3.8 -6.5 12.5 14.8 COPPER -7.4 -13.3 17.9 1.6 3.7 1.5 5.6 1.6 3.8 11.5 8.5 4.9 -2.0 -1.8 3.9 -0.6 -0.5 -0.8 -0.7 2.8 7.0 8.3 3.1 1.8 -4.5 11.1 -0.8 4.3 1.6 3.3 1.6 -0.5 2.9 -9.2 -20.0 -9.5 1.9 CORN -3.1 -15.7 -20.0 -3.1 8.5 -2.5 0.8 -1.5 -3.4 12.9 -5.6 3.5 -1.4 -10.1 -13.2 16.5 19.6 20.0 20.0 -16.8 -13.6 6.5 -1.7 -9.7 7.3 11.0 -5.3 6.9 -4.9 2.0 -1.7 -2.8 20.0 19.8 -6.2 -20.0 -20.0 COTTON2 -10.4 -4.1 -0.8 -3.1 8.5 -2.5 0.8 -1.5 -3.4 8.4 -10.3 -6.3 -11.0 -10.2 -9.1 -4.1 8.8 -3.1 1.2 -9.7 -10.7 -0.1 -10.0 -9.0 9.9 12.0 -4.4 8.1 -3.2 -0.1 -1.1 -4.4 -2.8 -0.7 -6.6 -15.3 -0.5 CRUDE_W -16.9 -10.6 -7.8 -3.6 2.9 -2.4 -1.8 1.0 -4.1 11.9 -3.2 -5.4 -1.4 -7.9 -8.2 6.2 11.2 7.5 8.8 -11.2 -6.8 -0.9 -0.1 -11.7 -7.7 10.8 -3.9 5.9 -1.9 -0.3 1.4 -4.2 -0.2 8.1 -5.7 -5.7 -1.2 DAX -20.0 -17.2 15.3 -1.1 2.4 1.0 -0.3 0.6 -2.6 6.7 13.6 -3.6 5.7 -3.3 7.8 -7.2 -5.6 -8.3 -7.6 2.8 10.4 -4.0 8.3 -4.7 -18.3 9.9 0.6 -0.6 4.6 -3.0 3.6 -3.4 -3.8 -16.8 -4.6 9.8 7.0 DOW -11.8 -20.0 -2.8 -1.1 2.4 1.0 -0.3 0.6 -2.6 6.4 5.1 -6.4 0.1 -10.9 -11.0 -6.7 -4.7 -7.0 -6.4 -11.1 -4.2 -2.5 -0.5 -10.7 -1.4 10.8 -3.0 1.7 -0.2 -0.9 0.9 -3.8 -2.1 -0.4 0.1 -1.6 -11.1 EUR 6.4 -12.5 16.8 -0.0 4.8 0.5 3.7 -1.7 1.0 8.5 9.6 9.6 -1.7 -1.3 1.3 -6.4 -8.5 -7.5 -8.1 4.2 5.5 11.3 -0.7 6.9 -9.1 -11.1 2.2 5.2 2.8 5.8 -1.3 3.4 -9.9 1.1 9.7 3.1 8.5 EUROSTX -20.0 -17.7 12.2 -1.1 2.4 1.0 -0.3 0.6 -2.6 7.3 13.8 -0.9 10.3 -1.0 8.8 2.1 6.0 6.4 6.5 4.1 11.6 -2.0 10.8 -2.8 -18.8 -8.5 0.7 -0.5 4.9 -2.5 4.8 -3.1 18.0 -11.8 -4.0 9.8 6.5 FEEDCOW -0.7 17.0 14.1 -3.1 8.5 -2.5 0.8 -1.5 -3.4 10.9 9.5 0.4 6.2 7.8 10.4 -20.0 -20.0 -20.0 -20.0 16.4 13.4 8.0 7.0 12.2 -16.8 12.2 5.5 3.6 5.0 2.4 3.1 3.8 -20.0 4.1 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 -13.6 -13.7 -9.5 -3.6 2.9 -2.4 -1.8 1.0 -4.1 -0.6 -11.0 -11.5 6.9 -13.2 -11.3 20.0 20.0 20.0 20.0 -14.6 -9.6 -9.5 5.5 -15.2 -1.4 -15.4 -5.4 1.0 -4.3 -3.3 0.1 -5.3 20.0 -11.0 -4.9 -10.1 -11.9 GASOILINE -12.2 -4.8 0.3 -3.6 2.9 -2.4 -1.8 1.0 -4.1 12.5 1.0 -2.1 2.5 -5.0 2.9 20.0 12.1 7.6 6.0 -2.2 0.1 7.0 5.6 -2.5 -14.5 -13.1 -0.3 10.3 2.2 3.6 6.5 -1.0 -1.7 20.0 11.0 4.1 17.8 GAS_US -3.7 -1.7 -20.0 -3.6 2.9 -2.4 -1.8 1.0 -4.1 -13.9 -16.2 -15.0 -13.2 -13.9 -16.0 -20.0 -8.2 -15.9 -10.5 -20.0 -20.0 -18.1 -20.0 -18.5 9.9 -9.3 -5.8 -6.7 -6.6 -6.6 -2.8 -5.4 -20.0 -20.0 -6.1 4.0 -20.0 GBP 11.1 -4.6 9.3 -0.0 4.8 0.5 3.7 -1.7 1.0 12.8 11.0 14.2 -2.1 6.6 3.5 -1.6 -1.9 -2.0 -2.1 4.9 2.9 13.1 -3.6 9.5 9.9 9.4 1.6 6.4 -0.9 6.9 -5.8 4.6 0.9 5.8 8.1 4.2 -3.0 GOLD_micro 20.0 -6.2 15.3 1.6 3.7 1.5 5.6 1.6 3.8 5.3 9.6 11.9 -0.4 9.9 8.6 -10.7 -10.5 -11.8 -11.7 12.6 9.0 16.9 4.3 17.9 -0.9 -13.8 4.2 2.2 2.9 5.6 1.6 6.0 -15.2 13.0 20.0 17.4 12.7 HEATOIL -14.2 -14.8 -10.3 -3.6 2.9 -2.4 -1.8 1.0 -4.1 10.4 -10.5 -9.4 5.9 -12.4 -11.2 20.0 20.0 20.0 20.0 -14.8 -9.6 -4.9 4.6 -13.9 -9.8 -13.6 -4.7 3.1 -2.4 -1.5 3.5 -4.6 20.0 1.8 -4.0 -11.1 -3.5 JPY 16.5 -10.9 9.3 -0.0 4.8 0.5 3.7 -1.7 1.0 10.7 5.8 13.7 -6.8 1.2 -0.6 -14.2 -12.4 -13.9 -13.5 3.0 1.4 14.4 -7.6 9.2 1.8 9.9 1.7 3.9 0.5 6.1 -4.1 4.2 -17.8 15.5 17.3 4.0 4.6 LEANHOG -13.3 -11.0 -19.5 -3.1 8.5 -2.5 0.8 -1.5 -3.4 -5.1 -13.0 -10.6 -9.4 -12.9 -14.8 -20.0 -20.0 -20.0 -20.0 -20.0 -16.8 -19.9 -8.4 -20.0 16.5 -11.1 -5.8 -0.7 -4.5 -4.5 -2.5 -6.1 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -20.0 -6.6 6.5 -3.1 8.5 -2.5 0.8 -1.5 -3.4 11.5 9.9 -4.1 7.3 -5.5 3.0 20.0 -14.7 20.0 3.4 -1.4 5.6 1.6 6.0 -6.5 -20.0 12.0 -0.6 8.4 2.9 0.9 3.9 -2.9 -20.0 4.4 -12.6 2.8 16.5 MXP -20.0 -5.8 3.4 -0.0 4.8 0.5 3.7 -1.7 1.0 13.7 13.3 2.8 14.8 4.2 10.0 16.7 20.0 19.3 20.0 9.5 14.6 9.1 15.4 5.0 -20.0 9.7 4.0 5.7 6.6 2.4 6.9 1.3 20.0 8.6 -8.2 20.0 18.0 NASDAQ 6.1 8.7 15.5 -1.1 2.4 1.0 -0.3 0.6 -2.6 4.8 -0.2 11.4 -9.5 10.8 12.0 -7.3 -5.1 -6.9 -6.3 12.2 6.2 12.2 -4.8 13.6 -0.6 10.2 5.4 0.4 4.0 4.2 1.1 5.2 -2.3 20.0 20.0 20.0 16.3 NIKKEI -10.4 3.4 1.6 -1.1 2.4 1.0 -0.3 0.6 -2.6 11.7 2.2 -4.0 4.1 -3.2 3.9 8.0 14.3 14.9 15.7 2.0 2.7 -0.8 1.5 -1.2 6.6 -9.4 1.1 1.1 0.7 -0.9 -0.6 -0.7 20.0 -12.3 15.7 17.1 -9.2 NZD 2.2 -15.3 6.3 -0.0 4.8 0.5 3.7 -1.7 1.0 3.0 7.3 6.6 -1.7 -7.3 -6.4 0.9 0.5 0.5 0.3 -3.4 -0.6 2.0 -2.8 -1.9 0.8 10.8 -1.7 2.2 -0.4 1.4 -1.7 -0.7 5.0 -6.6 -2.0 -8.4 -4.1 OAT 20.0 1.4 12.9 1.8 -0.4 -0.5 3.6 -3.3 4.0 -2.1 -10.4 10.2 -13.0 2.9 -4.0 9.0 12.0 10.1 11.3 0.1 -6.9 8.1 -13.9 7.6 5.4 12.7 1.5 -0.2 -1.9 4.2 -6.8 4.4 19.7 2.6 -5.0 2.1 -8.5 OJ 0.4 -2.9 -4.9 -3.1 8.5 -2.5 0.8 -1.5 -3.4 13.3 14.3 11.2 14.9 12.2 12.2 20.0 18.1 20.0 20.0 19.0 20.0 18.1 20.0 15.9 -20.0 -14.3 5.8 4.2 7.3 3.5 7.5 3.8 20.0 20.0 13.5 20.0 20.0 PALLAD 11.3 -14.9 -20.0 1.6 3.7 1.5 5.6 1.6 3.8 -6.1 -15.3 -3.0 -14.2 -10.7 -14.1 -2.4 -2.1 -2.7 -2.5 -20.0 -20.0 -3.2 -20.0 -10.5 20.0 -11.1 -5.4 -0.3 -6.1 -0.6 -4.8 -2.7 0.0 -20.0 -20.0 -17.9 -20.0 PLAT 9.7 -10.1 -2.5 1.6 3.7 1.5 5.6 1.6 3.8 -8.9 2.9 4.3 0.3 1.0 -5.5 -1.8 -1.2 -1.9 -1.6 -1.9 -0.6 0.5 1.0 1.4 0.4 11.2 -2.1 -3.1 -1.0 -0.2 -0.2 -0.5 1.6 -20.0 -13.5 -7.2 -14.6 REDWHEAT 4.8 -1.8 -7.3 -3.1 8.5 -2.5 0.8 -1.5 -3.4 13.6 -10.8 10.9 -10.8 -0.8 -4.5 11.0 4.3 9.1 7.2 -6.0 -10.2 17.7 -7.7 3.1 0.1 12.9 -2.0 13.1 -2.7 7.8 -0.4 1.6 -2.4 20.0 14.9 -1.1 -5.7 ROBUSTA -11.5 14.3 20.0 -3.1 8.5 -2.5 0.8 -1.5 -3.4 9.9 4.6 8.0 1.3 8.5 11.8 8.6 9.1 8.8 9.4 13.8 11.1 13.9 5.4 10.9 -8.5 9.6 4.4 6.1 3.2 4.8 1.4 3.7 3.9 20.0 16.2 20.0 20.0 RUSSELL -20.0 -17.9 5.7 -1.1 2.4 1.0 -0.3 0.6 -2.6 -2.8 -3.3 -13.0 -8.7 -13.9 -9.5 -5.1 -4.1 -5.5 -5.2 -13.1 -4.9 -13.3 -4.4 -19.4 -0.7 10.0 -2.8 -0.7 0.0 -4.1 0.3 -5.4 -0.5 -15.7 -20.0 -3.5 -4.5 SILVER-mini 20.0 -12.8 0.6 1.6 3.7 1.5 5.6 1.6 3.8 13.6 5.0 15.2 -1.9 4.2 -0.7 -5.4 -4.6 -5.5 -5.3 1.9 0.7 20.0 -0.0 12.5 1.6 -11.3 0.1 5.1 -0.4 6.6 -0.9 3.7 -4.6 10.8 2.9 -4.0 -9.0 SOYBEAN -20.0 -12.6 -12.1 -3.1 8.5 -2.5 0.8 -1.5 -3.4 2.0 -3.5 -9.3 0.9 -11.8 -11.1 20.0 20.0 20.0 20.0 -17.0 -8.4 -19.1 -0.1 -20.0 -4.9 -11.7 -4.9 0.1 -2.1 -5.4 0.7 -6.7 20.0 -20.0 -20.0 -20.0 -12.4 SOYMEAL -20.0 -12.5 12.1 -3.1 8.5 -2.5 0.8 -1.5 -3.4 -2.1 11.8 -9.2 13.1 -5.9 5.6 15.5 18.3 19.2 19.4 1.8 13.2 -15.6 16.1 -11.9 -20.0 -12.0 -0.5 -1.1 4.6 -6.7 7.3 -5.6 20.0 -20.0 -11.5 -3.0 20.0 SOYOIL -17.4 -11.1 -17.8 -3.1 8.5 -2.5 0.8 -1.5 -3.4 -1.8 -10.0 -9.9 -0.6 -11.7 -14.0 -0.2 13.2 2.6 7.3 -19.1 -13.2 -18.3 -3.1 -20.0 0.2 12.9 -5.7 -1.8 -3.9 -5.2 -0.6 -6.2 6.0 -18.4 -20.0 -20.0 -20.0 SP400 -20.0 -20.0 4.9 -1.1 2.4 1.0 -0.3 0.6 -2.6 2.8 2.7 -11.0 -1.6 -12.5 -8.5 -5.3 -4.0 -5.5 -4.9 -12.3 -2.1 -11.7 0.5 -19.1 -4.2 10.2 -2.9 0.1 0.1 -3.6 1.1 -5.3 -0.0 -13.7 -20.0 -6.7 -5.6 SP500 -9.2 -9.3 5.4 -1.1 2.4 1.0 -0.3 0.6 -2.6 4.5 -0.4 1.3 -6.9 -6.1 -1.7 -7.1 -5.5 -7.2 -6.6 -3.3 -1.3 1.1 -3.6 -3.6 1.6 10.2 0.4 1.0 1.4 0.9 -0.1 -0.5 -2.7 5.4 9.2 11.0 -0.4 SUGAR11 2.4 6.3 11.0 -3.1 8.5 -2.5 0.8 -1.5 -3.4 10.7 14.3 11.1 11.7 12.9 14.4 20.0 20.0 20.0 20.0 16.3 17.5 9.8 13.8 11.8 -20.0 10.7 6.2 5.2 8.2 3.4 7.5 3.8 20.0 11.4 20.0 20.0 20.0 US10 20.0 2.1 20.0 1.8 -0.4 -0.5 3.6 -3.3 4.0 -2.3 -6.0 10.9 -11.4 8.8 3.9 -8.1 -4.0 -8.1 -7.3 4.4 -2.8 11.3 -10.4 12.0 -1.9 9.7 3.0 -0.0 0.3 4.6 -3.1 5.4 -10.6 3.5 9.6 5.7 4.5 US10U 20.0 1.9 19.4 1.8 -0.4 -0.5 3.6 -3.3 4.0 -3.4 -5.5 10.6 -11.3 8.3 4.4 1.4 2.8 1.0 1.2 3.8 -2.9 8.7 -10.8 10.1 -5.1 -14.1 3.5 -0.6 0.9 4.1 -2.6 5.3 2.5 -0.8 5.0 6.2 7.5 US20 20.0 1.2 18.1 1.8 -0.4 -0.5 3.6 -3.3 4.0 -8.6 -3.4 10.6 -9.8 8.3 5.5 -1.7 -1.6 -3.8 -3.5 4.0 -2.5 6.5 -10.8 9.2 -2.5 -12.3 3.1 -1.4 0.5 3.2 -2.9 4.8 -5.1 -8.3 3.6 5.4 5.9 US30 17.5 -0.3 16.2 1.8 -0.4 -0.5 3.6 -3.3 4.0 -10.9 -2.7 7.4 -11.1 2.9 0.5 -0.7 -0.6 -1.1 -1.1 1.7 -3.5 1.1 -13.2 4.4 -7.6 10.0 3.2 -3.8 1.0 1.4 -3.6 3.9 -2.2 -13.2 -6.8 2.5 7.6 US5 20.0 3.4 20.0 1.8 -0.4 -0.5 3.6 -3.3 4.0 -1.8 -6.2 10.9 -11.9 9.2 4.0 -9.3 -4.5 -9.7 -8.5 4.4 -2.8 11.7 -10.1 12.3 0.1 10.8 2.6 0.1 -0.2 4.7 -3.6 5.3 -12.1 3.7 13.2 3.7 3.1 VIX 20.0 20.0 -2.0 -1.6 -2.2 -4.8 0.6 -5.2 1.4 -13.0 -11.5 2.5 -12.9 3.8 -4.0 -10.7 -20.0 -17.3 -19.7 -0.6 -8.1 -0.6 -10.5 3.8 NaN -13.5 -1.7 -2.5 -6.2 0.7 -7.3 1.9 NaN NaN NaN NaN NaN WHEAT -1.7 -4.7 -10.2 -3.1 8.5 -2.5 0.8 -1.5 -3.4 10.8 -13.9 3.0 -14.4 -10.1 -11.5 -11.7 -7.8 -11.0 -9.6 -16.0 -18.0 0.7 -14.5 -10.6 7.5 11.9 -4.7 4.8 -4.2 0.2 -2.0 -3.5 -20.0 4.4 -5.7 -11.8 -12.5 End of report for caleb_strategy_v1