******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230329_204911 produced at 2023-03-29 21:35:55.180515 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 US10U False False 0.05 -0.10 -0.16 0.0 4.834114e+07 -4.834114e+07 -0.10 -0.10 -3.27 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.506501e+07 -5.506501e+07 -0.17 -0.17 -2.52 999999999 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.12 0.0 9.209269e+06 -9.209269e+06 -0.15 -0.15 -13.48 999999999 -16 -16 caleb_strategy_v1 EUR False False 0.05 -0.22 -0.10 0.0 5.463615e+07 -5.463615e+07 -0.22 -0.22 -1.82 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.09 0.0 5.207802e+07 -5.207802e+07 -0.05 -0.05 -1.78 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.458235e+07 -1.458235e+07 -0.06 -0.06 -6.07 999999999 -4 -4 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.06 0.0 4.389451e+07 -4.389451e+07 -0.09 -0.09 -1.26 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.15 -0.04 0.0 3.826411e+07 -3.826411e+07 -0.15 -0.15 -1.10 999999999 -4 -4 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.069614e+07 -6.069614e+07 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 7.963309e+06 -7.963309e+06 0.00 0.00 -3.43 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.144839e+07 -1.144839e+07 -0.06 -0.06 -2.07 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.02 0.0 2.561742e+07 -2.561742e+07 -0.13 -0.10 -0.79 999999999 -5 -4 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.376303e+07 -2.376303e+07 -0.02 -0.02 -0.57 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.01 0.0 4.344175e+07 -4.344175e+07 -0.04 -0.04 -0.26 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.827233e+06 -9.827233e+06 -0.01 -0.01 -0.91 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.806454e+07 -5.806454e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.595857e+07 -4.595857e+07 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.579420e+07 -1.579420e+07 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.733057e+06 -6.733057e+06 0.00 0.00 -1.77 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.569545e+06 -3.569545e+06 -0.05 -0.05 -3.78 999999999 -13 -13 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.01 0.0 4.383620e+07 -4.383620e+07 -0.18 -0.18 -0.13 999999999 -4 -4 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.494249e+07 -1.494249e+07 -0.06 -0.06 -0.26 999999999 -4 -4 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.330228e+07 -1.330228e+07 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.816105e+07 -1.816105e+07 0.00 0.00 0.04 999999999 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.686940e+07 -2.686940e+07 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.719465e+07 -1.719465e+07 0.03 0.03 0.23 999999999 2 2 caleb_strategy_v1 DOW False False 0.01 -0.08 -0.00 0.0 6.589343e+06 -6.589343e+06 -0.08 -0.09 -0.72 999999999 -12 -13 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.00 0.0 9.925546e+07 -9.925546e+07 0.00 0.00 -0.04 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.145641e+06 -1.145641e+06 -0.01 -0.01 -3.99 999999999 -8 -8 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.131695e+07 -3.131695e+07 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.668704e+07 -1.668704e+07 0.00 0.00 0.62 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.545340e+07 -2.545340e+07 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.128836e+07 -8.128836e+07 0.08 0.08 0.11 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 2.974454e+07 -2.974454e+07 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.609293e+07 -2.609293e+07 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.01 0.0 1.818981e+07 -1.818981e+07 0.09 0.09 0.79 999999999 5 5 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.227548e+07 -4.227548e+07 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 1.962437e+07 -1.962437e+07 0.06 0.06 0.47 999999999 3 3 caleb_strategy_v1 US30 False False 0.06 0.00 0.01 0.0 5.586505e+07 -5.586505e+07 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 8.719714e+06 -8.719714e+06 0.02 0.02 1.76 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.11 0.02 0.0 2.856278e+07 -2.856278e+07 0.11 0.11 0.87 999999999 4 4 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.096018e+07 -4.096018e+07 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.090867e+07 -1.090867e+07 0.01 0.01 2.25 999999999 1 1 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.496334e+07 -2.496334e+07 0.00 0.00 0.75 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.433249e+06 -4.433249e+06 0.00 0.00 4.03 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.145641e+07 -1.145641e+07 0.06 0.06 2.12 999999999 5 5 caleb_strategy_v1 CAD False False 0.03 0.00 0.03 0.0 2.960810e+07 -2.960810e+07 0.00 0.00 1.18 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.03 0.0 9.559342e+06 -9.559342e+06 0.04 0.04 2.82 999999999 4 4 caleb_strategy_v1 GBP False False 0.03 0.25 0.04 0.0 3.093331e+07 -3.093331e+07 0.25 0.25 1.26 999999999 8 8 caleb_strategy_v1 NASDAQ False False 0.10 0.21 0.05 0.0 1.038922e+08 -1.038922e+08 0.21 0.21 0.49 999999999 2 2 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.001675e+07 -5.001675e+07 0.05 0.05 1.06 999999999 1 1 caleb_strategy_v1 OAT False False 0.06 0.11 0.06 0.0 5.645567e+07 -5.645567e+07 0.11 0.11 1.11 999999999 2 2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.63 999999999 0 0 caleb_strategy_v1 BUND False False 0.06 0.12 0.23 0.0 5.891479e+07 -5.891479e+07 0.12 0.12 3.95 999999999 2 2 caleb_strategy_v1 BOBL False False 0.05 0.10 0.25 0.0 5.124631e+07 -5.124631e+07 0.10 0.15 4.81 999999999 2 3 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 30.67 999999999 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 12.4 Shocked risk 28.4 Sum abs risk 40.4 Leverage 2.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2492054.35, 'annual_cash_vol_target': 623013.5875, 'daily_cash_vol_target': 38938.34921875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0050 0.6696 0.7461 11.9369 BITCOIN 1110.7885 28550.0000 3.8907 62.2508 BOBL 0.5959 117.9500 0.5052 8.0829 BTP 0.8375 115.1200 0.7275 11.6403 BUND 1.0668 135.6000 0.7867 12.5875 BUXL 2.4024 139.7000 1.7197 27.5149 CAC 80.9733 7208.0000 1.1234 17.9741 CAD 0.0032 0.7378 0.4285 6.8557 CANOLA 8.9210 752.0000 1.1863 18.9809 CHF 0.0064 1.0978 0.5829 9.3257 COCOA 34.6391 2853.0000 1.2141 19.4261 COFFEE 3.4073 169.1500 2.0143 32.2295 COPPER 0.0506 4.0830 1.2393 19.8292 CORN 4.7761 571.0000 0.8364 13.3832 COTTON2 1.5417 83.1700 1.8537 29.6590 CRUDE_W 1.3590 71.1800 1.9093 30.5487 DAX 176.1423 15497.0000 1.1366 18.1859 DOW 273.4841 32842.0000 0.8327 13.3236 EUR 0.0062 1.0892 0.5673 9.0764 EUROSTX 52.7207 4180.0000 1.2613 20.1802 FEEDCOW 1.2639 218.7750 0.5777 9.2432 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.2431 741.2500 1.9215 30.7441 GASOILINE 0.0484 2.5776 1.8767 30.0271 GAS_US 0.1263 2.4490 5.1561 82.4972 GBP 0.0079 1.2334 0.6367 10.1875 GOLD_micro 20.8026 1984.5000 1.0483 16.7721 HEATOIL 0.0466 2.5084 1.8574 29.7178 JPY 0.0001 0.0076 0.7464 11.9428 LEANHOG 1.4604 90.8500 1.6075 25.7200 LIVECOW 0.8960 159.6000 0.5614 8.9829 MXP 0.0005 0.0544 0.9130 14.6080 NASDAQ 136.0685 12945.2500 1.0511 16.8177 NIKKEI 270.5438 27785.0000 0.9737 15.5793 NZD 0.0048 0.6221 0.7779 12.4464 OAT 0.9666 129.9400 0.7439 11.9019 OJ 4.8434 262.4000 1.8458 29.5329 PALLAD 32.4711 1447.0000 2.2440 35.9045 PLAT 17.1118 978.1000 1.7495 27.9919 REDWHEAT 12.0881 857.0000 1.4105 22.5683 ROBUSTA 28.3078 2173.0000 1.3027 20.8433 RUSSELL 24.1309 1779.1000 1.3564 21.7017 SILVER-mini 0.3853 23.6875 1.6267 26.0271 SOYBEAN 11.5708 1300.5000 0.8897 14.2355 SOYMEAL 5.6879 453.3000 1.2548 20.0765 SOYOIL 0.9162 55.2500 1.6583 26.5321 SP400 30.8677 2473.5000 1.2479 19.9670 SP500 36.8473 4051.5000 0.9095 14.5516 SUGAR11 0.2760 21.2700 1.2974 20.7582 US10 0.6919 114.5312 0.6041 9.6662 US10U 0.8827 120.4688 0.7327 11.7235 US20 1.1847 129.7812 0.9128 14.6054 US30 1.6679 139.2188 1.1980 19.1683 US5 0.5266 109.2422 0.4820 7.7122 VIX 0.8544 22.9500 3.7228 59.5651 WHEAT 10.7274 744.7500 1.4404 23.0463 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.60 0.75 499.56 1.00 499.56 38938.35 77.95 1.39 10.82 BITCOIN 28.55 3.89 111.08 1.00 111.08 38938.35 350.55 -4.84 -169.53 BOBL 1179.50 0.51 595.86 1.08 645.84 38938.35 60.29 11.06 66.65 BTP 1151.20 0.73 837.52 1.08 907.77 38938.35 42.89 12.27 52.62 BUND 1356.00 0.79 1066.79 1.08 1156.27 38938.35 33.68 16.24 54.70 BUXL 1397.00 1.72 2402.39 1.08 2603.90 38938.35 14.95 -3.45 -5.16 CAC 720.80 1.12 809.73 1.08 877.65 38938.35 44.37 2.88 12.78 CAD 737.85 0.43 316.15 1.00 316.15 38938.35 123.16 5.36 66.05 CANOLA 150.40 1.19 178.42 0.73 131.09 38938.35 297.03 14.78 439.12 CHF 1372.25 0.58 799.83 1.00 799.83 38938.35 48.68 -13.85 -67.43 COCOA 285.30 1.21 346.39 1.00 346.39 38938.35 112.41 -8.43 -94.81 COFFEE 634.31 2.01 1277.72 1.00 1277.72 38938.35 30.47 6.49 19.77 COPPER 1020.75 1.24 1265.04 1.00 1265.04 38938.35 30.78 4.74 14.58 CORN 285.50 0.84 238.81 1.00 238.81 38938.35 163.05 14.43 235.23 COTTON2 415.85 1.85 770.86 1.00 770.86 38938.35 50.51 8.16 41.20 CRUDE_W 711.80 1.91 1359.04 1.00 1359.04 38938.35 28.65 2.31 6.62 DAX 154.97 1.14 176.14 1.08 190.92 38938.35 203.96 -1.60 -32.57 DOW 164.21 0.83 136.74 1.00 136.74 38938.35 284.76 -0.88 -25.13 EUR 1361.56 0.57 772.38 1.00 772.38 38938.35 50.41 -9.64 -48.59 EUROSTX 418.00 1.26 527.21 1.08 571.43 38938.35 68.14 0.19 1.32 FEEDCOW 1093.88 0.58 631.93 1.00 631.93 38938.35 61.62 -7.59 -46.77 FTSE100 707.00 0.82 576.59 1.23 666.67 38938.35 58.41 7.70 44.96 GASOIL 741.25 1.92 1424.31 1.00 1424.31 38938.35 27.34 1.36 3.71 GASOILINE 1082.59 1.88 2031.69 1.00 2031.69 38938.35 19.17 -3.33 -6.39 GAS_US 244.90 5.16 1262.72 1.00 1262.72 38938.35 30.84 -19.60 -60.43 GBP 770.88 0.64 490.83 1.00 490.83 38938.35 79.33 8.89 70.56 GOLD_micro 198.45 1.05 208.03 1.00 208.03 38938.35 187.18 -8.18 -153.13 HEATOIL 1053.53 1.86 1956.79 1.00 1956.79 38938.35 19.90 1.41 2.80 JPY 953.56 0.75 711.76 1.00 711.76 38938.35 54.71 -3.11 -17.03 LEANHOG 363.40 1.61 584.17 1.00 584.17 38938.35 66.66 -19.50 -129.98 LIVECOW 638.40 0.56 358.42 1.00 358.42 38938.35 108.64 -2.71 -29.40 MXP 271.85 0.91 248.20 1.00 248.20 38938.35 156.88 11.71 183.71 NASDAQ 2589.05 1.05 2721.37 1.00 2721.37 38938.35 14.31 6.27 8.98 NIKKEI 27785.00 0.97 27054.38 0.01 206.52 38938.35 188.55 8.56 161.47 NZD 622.10 0.78 483.93 1.00 483.93 38938.35 80.46 5.82 46.86 OAT 1299.40 0.74 966.58 1.08 1047.65 38938.35 37.17 14.75 54.81 OJ 393.60 1.85 726.51 1.00 726.51 38938.35 53.60 -3.64 -19.51 PALLAD 1447.00 2.24 3247.11 1.00 3247.11 38938.35 11.99 -4.99 -5.99 PLAT 489.05 1.75 855.59 1.00 855.59 38938.35 45.51 4.26 19.39 REDWHEAT 428.50 1.41 604.41 1.00 604.41 38938.35 64.42 6.67 42.95 ROBUSTA 217.30 1.30 283.08 1.00 283.08 38938.35 137.55 9.88 135.93 RUSSELL 88.96 1.36 120.65 1.00 120.65 38938.35 322.73 -2.26 -73.07 SILVER-mini 592.19 1.63 963.31 1.00 963.31 38938.35 40.42 -6.27 -25.35 SOYBEAN 650.25 0.89 578.54 1.00 578.54 38938.35 67.30 0.87 5.82 SOYMEAL 453.30 1.25 568.79 1.00 568.79 38938.35 68.46 1.97 13.46 SOYOIL 331.50 1.66 549.71 1.00 549.71 38938.35 70.83 2.34 16.60 SP400 2473.50 1.25 3086.77 1.00 3086.77 38938.35 12.61 -0.66 -0.83 SP500 2025.75 0.91 1842.36 1.00 1842.36 38938.35 21.13 1.78 3.77 SUGAR11 238.22 1.30 309.07 1.00 309.07 38938.35 125.99 16.48 207.67 US10 1145.31 0.60 691.93 1.00 691.93 38938.35 56.28 -0.53 -3.01 US10U 1204.69 0.73 882.70 1.00 882.70 38938.35 44.11 -5.09 -22.45 US20 1297.81 0.91 1184.69 1.00 1184.69 38938.35 32.87 -7.36 -24.20 US30 1392.19 1.20 1667.87 1.00 1667.87 38938.35 23.35 1.07 2.49 US5 1092.42 0.48 526.56 1.00 526.56 38938.35 73.95 -0.47 -3.51 VIX 229.50 3.72 854.39 1.00 854.39 38938.35 45.57 -15.70 -71.55 WHEAT 372.38 1.44 536.37 1.00 536.37 38938.35 72.60 -6.80 -49.38 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 10.822 0.006 2.5 0.173 BITCOIN -169.527 0.009 2.5 -3.994 BOBL 66.655 0.029 2.5 4.810 BTP 52.617 0.008 2.5 1.063 BUND 54.704 0.029 2.5 3.947 BUXL -5.163 0.034 2.5 -0.433 CAC 12.785 0.011 2.5 0.359 CAD 66.053 0.007 2.5 1.179 CANOLA 439.120 0.004 2.5 4.031 CHF -67.429 0.015 2.5 -2.524 COCOA -94.812 0.009 2.5 -2.065 COFFEE 19.765 0.005 2.5 0.256 COPPER 14.585 0.011 2.5 0.399 CORN 235.233 0.004 2.5 2.122 COTTON2 41.202 0.006 2.5 0.620 CRUDE_W 6.617 0.053 2.5 0.874 DAX -32.566 0.022 2.5 -1.769 DOW -25.129 0.011 2.5 -0.716 EUR -48.589 0.015 2.5 -1.818 EUROSTX 1.320 0.011 2.5 0.037 FEEDCOW -46.772 0.011 2.5 -1.257 FTSE100 44.960 0.041 2.5 4.635 GASOIL 3.707 0.029 2.5 0.264 GASOILINE -6.391 0.016 2.5 -0.262 GAS_US -60.433 0.006 2.5 -0.910 GBP 70.562 0.007 2.5 1.260 GOLD_micro -153.132 0.009 2.5 -3.426 HEATOIL 2.800 0.029 2.5 0.200 JPY -17.032 0.026 2.5 -1.102 LEANHOG -129.985 0.019 2.5 -6.073 LIVECOW -29.404 0.011 2.5 -0.790 MXP 183.709 0.005 2.5 2.249 NASDAQ 8.975 0.022 2.5 0.487 NIKKEI 161.471 0.076 2.5 30.669 NZD 46.856 0.006 2.5 0.749 OAT 54.805 0.008 2.5 1.107 OJ -19.505 0.007 2.5 -0.340 PALLAD -5.990 0.010 2.5 -0.144 PLAT 19.394 0.010 2.5 0.467 REDWHEAT 42.951 0.002 2.5 0.229 ROBUSTA 135.929 0.005 2.5 1.762 RUSSELL -73.069 0.021 2.5 -3.785 SILVER-mini -25.350 0.009 2.5 -0.567 SOYBEAN 5.825 0.024 2.5 0.343 SOYMEAL 13.458 0.024 2.5 0.794 SOYOIL 16.605 0.004 2.5 0.152 SP400 -0.834 0.021 2.5 -0.043 SP500 3.767 0.011 2.5 0.107 SUGAR11 207.674 0.005 2.5 2.818 US10 -3.006 0.015 2.5 -0.115 US10U -22.446 0.058 2.5 -3.270 US20 -24.201 0.029 2.5 -1.784 US30 2.490 0.034 2.5 0.209 US5 -3.507 0.015 2.5 -0.135 VIX -71.553 0.075 2.5 -13.484 WHEAT -49.383 0.002 2.5 -0.264 ==================== Position diags ==================== AUD 1.25 BITCOIN 8.26 BOBL 4.35 BTP 0.87 BUND 2.43 BUXL 1.26 CAC 1.25 CAD 2.20 CANOLA 2.73 CHF 1.82 COCOA 2.45 COFFEE 0.40 COPPER 0.84 CORN 1.47 COTTON2 0.76 CRUDE_W 3.79 DAX 11.08 DOW 8.11 EUR 1.89 EUROSTX 1.92 FEEDCOW 1.66 FTSE100 6.02 GASOIL 1.95 GASOILINE 0.79 GAS_US 0.46 GBP 1.42 GOLD_micro 4.19 HEATOIL 1.42 JPY 3.54 LEANHOG 3.11 LIVECOW 2.92 MXP 1.92 NASDAQ 0.78 NIKKEI 35.81 NZD 1.29 OAT 0.75 OJ 0.93 PALLAD 0.29 PLAT 1.10 REDWHEAT 0.34 ROBUSTA 1.78 RUSSELL 16.72 SILVER-mini 0.90 SOYBEAN 3.97 SOYMEAL 4.04 SOYOIL 0.65 SP400 0.65 SP500 0.60 SUGAR11 1.71 US10 2.16 US10U 6.43 US20 2.42 US30 1.96 US5 2.84 VIX 8.59 WHEAT 0.39 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.2 0.0 0.3 0.0 0 BITCOIN -4.0 -4.8 -3.2 -8.0 -8 BOBL 4.8 4.4 5.2 2.0 2 BTP 1.1 1.0 1.1 1.0 1 BUND 3.9 3.7 4.2 2.0 2 BUXL -0.4 -0.6 -0.3 0.0 0 CAC 0.4 0.2 0.5 0.0 0 CAD 1.2 1.0 1.4 0.0 0 CANOLA 4.0 3.8 4.3 NaN 0 CHF -2.5 -2.7 -2.3 -3.0 -3 COCOA -2.1 -2.3 -1.8 -5.0 -5 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.4 0.3 0.5 0.0 0 CORN 2.1 2.0 2.3 5.0 5 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 0.9 0.5 1.3 4.0 4 DAX -1.8 -2.9 -0.7 0.0 0 DOW -0.7 -1.5 0.1 -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 0.3 0.1 0.5 0.0 0 GASOILINE -0.3 -0.3 -0.2 -1.0 -1 GAS_US -0.9 -1.0 -0.9 -1.0 -1 GBP 1.3 1.1 1.4 8.0 8 GOLD_micro -3.4 -3.8 -3.0 0.0 0 HEATOIL 0.2 0.1 0.3 0.0 0 JPY -1.1 -1.5 -0.7 -4.0 -4 LEANHOG -6.1 -6.4 -5.8 -4.0 -4 LIVECOW -0.8 -1.1 -0.5 -5.0 -5 MXP 2.2 2.1 2.4 1.0 1 NASDAQ 0.5 0.4 0.6 2.0 2 NIKKEI 30.7 27.1 34.2 0.0 0 NZD 0.7 0.6 0.9 0.0 0 OAT 1.1 1.0 1.2 2.0 2 OJ -0.3 -0.4 -0.2 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 0.3 2.0 2 ROBUSTA 1.8 1.6 1.9 2.0 2 RUSSELL -3.8 -5.5 -2.1 -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 0.2 0.1 0.2 0.0 0 SP400 -0.0 -0.1 0.0 0.0 0 SP500 0.1 0.0 0.2 1.0 1 SUGAR11 2.8 2.6 3.0 4.0 4 US10 -0.1 -0.3 0.1 NaN 0 US10U -3.3 -3.9 -2.6 -2.0 -2 US20 -1.8 -2.0 -1.5 -1.0 -1 US30 0.2 0.0 0.4 0.0 0 US5 -0.1 -0.4 0.1 -4.0 -4 VIX -13.5 -14.3 -12.6 -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 0.9 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 0.0 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 -0.0 0.0 0.7 -4.8 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.3 0.3 BOBL 0.2 0.2 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.3 0.0 -0.3 0.0 -0.0 0.3 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 0.2 0.7 0.5 0.2 0.2 0.1 0.0 0.0 -0.1 0.0 -1.4 2.2 0.1 -0.0 0.0 0.0 -0.1 0.0 2.7 0.1 -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 0.8 -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 0.1 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 0.1 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 -0.1 -0.2 0.1 0.1 CAD -0.0 -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 0.1 -0.3 -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 2.8 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 -0.1 0.2 0.1 0.0 COCOA 0.0 0.1 0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.3 0.0 0.1 0.0 0.3 0.4 -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 -0.2 0.1 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 -0.5 2.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.4 -0.0 -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 0.0 -0.0 -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 2.6 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 0.1 -0.1 -0.1 -0.0 DAX -0.3 -0.3 0.3 -0.0 0.1 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 -2.8 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 -0.1 -0.3 -0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.1 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 -0.1 2.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 -0.1 -0.1 -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 -1.3 -2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -1.2 0.1 0.2 0.0 0.1 EUROSTX -0.2 -0.3 0.2 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.0 0.3 0.0 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 -2.5 -1.8 0.0 0.0 0.1 -0.0 0.1 -0.0 2.4 -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 0.2 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.1 0.0 -2.9 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 -0.1 -3.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 2.7 -0.2 -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 -0.1 -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 -0.4 -0.4 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.3 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.3 -0.1 0.0 -0.3 GBP 0.2 -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 -0.8 -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 0.0 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 -0.0 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 -2.3 -0.0 0.3 0.0 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 2.6 -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 0.1 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 0.1 0.0 0.1 0.0 -0.0 0.1 0.0 0.1 -0.2 0.1 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 0.1 0.5 0.3 0.2 NIKKEI -0.1 0.0 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -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 -0.0 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 -0.1 -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 0.0 -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 0.4 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 -0.2 -0.3 PLAT 0.1 -0.1 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 0.0 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 -0.2 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 0.4 -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 0.2 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 0.2 0.3 0.3 RUSSELL -0.3 -0.3 0.1 -0.0 0.1 0.0 0.1 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 -0.0 2.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -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 -0.0 -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 1.2 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 -0.1 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 0.1 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 -0.6 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 0.1 0.0 0.1 0.0 -0.0 0.1 -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 -0.0 0.2 0.1 -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 0.0 -0.1 0.0 -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 0.0 -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 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 -1.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 -0.0 -0.2 0.0 0.1 US5 0.2 0.1 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -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 -1.8 -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 -0.2 -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 -0.1 0.0 -0.0 -0.0 -2.7 -0.0 -0.0 -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 -5.1 -18.9 5.6 0.2 4.2 0.5 3.9 -1.7 1.4 -2.4 1.6 -1.3 -4.4 -11.4 -9.8 -3.4 -2.8 -3.4 -3.3 -9.1 -4.7 -2.3 -5.2 -8.3 7.4 11.7 -3.7 0.2 -2.1 -0.9 -2.3 -3.3 -0.9 -8.1 -18.2 -16.9 -8.3 BITCOIN 4.6 9.1 20.0 1.8 3.5 1.6 5.4 1.6 4.0 10.4 11.1 13.3 -10.8 13.1 13.6 -3.7 -1.6 -2.8 -1.9 13.8 7.7 14.6 -3.8 16.0 3.2 -18.1 4.9 3.1 3.3 4.8 0.3 5.2 1.2 2.4 -5.1 20.0 19.7 BOBL 20.0 13.1 20.0 1.8 -1.5 -0.5 2.4 -3.4 3.6 -6.0 -10.9 8.9 -13.3 8.3 -0.2 3.4 4.8 -1.4 0.9 2.2 -6.3 6.6 -13.0 9.2 11.8 10.8 1.7 -0.7 -1.9 3.5 -5.6 4.5 4.9 3.4 8.7 7.0 -9.8 BTP 18.6 2.4 13.5 1.8 -1.5 -0.5 2.4 -3.4 3.6 -4.7 1.4 10.7 -9.2 6.4 6.4 8.5 12.3 9.1 11.1 6.7 1.1 6.6 -9.6 9.9 -10.9 11.4 4.3 -1.3 1.8 3.0 -4.0 5.0 19.9 5.4 -6.9 12.9 3.6 BUND 20.0 7.9 20.0 1.8 -1.5 -0.5 2.4 -3.4 3.6 -9.1 -11.0 7.9 -13.3 5.5 -1.9 7.3 13.8 9.5 11.5 1.3 -6.8 4.6 -14.5 7.5 8.6 12.3 1.9 -1.7 -1.6 2.9 -5.9 4.3 20.0 -0.3 1.9 6.1 -7.1 BUXL 20.0 6.1 12.6 1.8 -1.5 -0.5 2.4 -3.4 3.6 -12.3 -10.8 4.4 -13.3 3.4 -6.7 2.4 0.7 2.8 2.7 -1.4 -8.5 -0.9 -15.5 3.5 6.0 -10.8 0.9 -4.0 -2.3 1.1 -6.1 3.1 2.2 -8.9 -4.1 0.6 -12.9 CAC -20.0 -17.5 11.2 -0.7 6.4 1.1 2.1 0.6 -1.5 12.0 13.5 -0.6 10.7 -1.5 8.3 -4.1 0.5 -3.6 -2.2 4.4 12.2 0.8 12.2 -2.5 -15.9 8.9 0.6 3.0 4.3 -1.2 4.5 -2.7 6.2 -9.5 -11.7 10.3 8.3 CAD -2.2 -11.6 1.4 0.2 4.2 0.5 3.9 -1.7 1.4 13.3 -9.8 8.3 -10.6 -7.0 -8.0 -2.7 -1.7 -2.5 -2.2 -9.1 -10.0 7.6 -12.1 -3.9 17.5 10.4 -3.7 7.4 -3.9 3.3 -4.7 -1.6 1.1 5.0 -13.0 -7.9 -13.5 CANOLA -20.0 -13.4 -15.0 -2.9 6.7 -2.5 1.6 -1.6 -2.7 11.4 -10.1 -6.8 -11.6 -10.1 -12.3 18.3 13.3 15.1 12.6 -20.0 -18.6 -11.5 -9.6 -20.0 12.5 13.2 -5.5 1.3 -3.8 -3.0 -1.7 -5.8 8.8 -20.0 -20.0 -20.0 -20.0 CHF 11.3 -8.7 6.4 0.2 4.2 0.5 3.9 -1.7 1.4 6.4 9.9 5.3 3.3 2.1 1.7 -12.7 -13.7 -13.9 -14.2 3.0 4.0 5.7 1.9 4.9 -5.8 -11.5 2.0 0.9 2.1 3.4 -0.3 3.0 -19.5 -10.2 11.1 7.3 2.1 COCOA 1.8 8.4 15.7 -2.9 6.7 -2.5 1.6 -1.6 -2.7 12.7 13.1 14.2 3.4 12.2 12.0 4.8 -1.7 1.5 0.1 16.1 13.7 20.0 7.4 19.8 -20.0 -10.4 5.3 5.6 4.9 7.3 3.1 6.1 -13.8 20.0 20.0 20.0 20.0 COFFEE -13.1 13.5 7.6 -2.9 6.7 -2.5 1.6 -1.6 -2.7 -10.9 -5.5 -10.5 -7.6 -6.8 6.0 3.7 3.2 2.7 3.1 1.0 -3.1 -9.7 -8.1 -3.9 10.0 10.0 -0.1 -8.5 -1.4 -5.2 -3.2 -2.6 -6.7 -9.1 -9.4 9.1 14.4 COPPER -4.4 -12.5 18.1 1.8 3.5 1.6 5.4 1.6 4.0 11.5 8.6 7.6 -1.9 -0.7 4.0 -0.6 -0.5 -0.8 -0.7 3.2 7.2 8.1 3.3 2.5 -4.4 11.1 -0.6 3.4 1.6 3.2 1.7 -0.1 2.9 -0.7 -20.0 -8.4 1.5 CORN -0.1 -15.9 -20.0 -2.9 6.7 -2.5 1.6 -1.6 -2.7 12.5 -5.9 7.0 -1.5 -8.9 -12.6 16.4 19.6 20.0 20.0 -16.0 -13.7 8.4 -1.8 -7.6 7.3 11.0 -5.1 5.6 -5.0 2.6 -1.8 -2.2 20.0 18.1 -1.6 -20.0 -20.0 COTTON2 -8.5 -3.9 -0.7 -2.9 6.7 -2.5 1.6 -1.6 -2.7 12.2 -10.3 -1.7 -11.0 -7.9 -8.2 -4.2 8.8 -3.1 1.2 -8.8 -10.6 5.2 -10.2 -6.1 10.4 12.0 -4.0 9.4 -3.2 2.3 -1.1 -3.0 -3.1 7.6 -6.9 -13.5 -0.4 CRUDE_W -16.0 -10.9 -8.1 -3.6 0.9 -2.4 -1.7 1.0 -3.9 11.3 -3.2 -4.3 -1.6 -6.8 -7.7 6.2 11.2 7.4 8.7 -10.8 -6.9 1.3 -0.2 -9.9 -7.8 10.8 -3.8 4.7 -1.9 0.5 1.4 -3.6 -0.2 13.9 -3.1 -5.0 -1.3 DAX -20.0 -17.9 15.2 -0.7 6.4 1.1 2.1 0.6 -1.5 12.1 13.7 -0.6 5.8 -1.7 8.1 -7.1 -5.6 -8.2 -7.5 3.3 10.4 1.0 8.3 -2.6 -18.4 9.9 0.7 3.3 4.6 -0.9 3.7 -2.6 -3.7 -10.7 -5.1 9.5 6.6 DOW -10.2 -20.0 -2.9 -0.7 6.4 1.1 2.1 0.6 -1.5 11.8 5.0 -4.2 0.1 -9.9 -10.5 -6.7 -4.7 -7.0 -6.4 -10.4 -4.2 1.2 -0.6 -8.6 -1.1 10.8 -2.8 4.7 -0.1 0.9 1.0 -2.9 -2.1 -8.9 -2.4 -2.1 -11.4 EUR 8.8 -11.5 16.5 0.2 4.2 0.5 3.9 -1.7 1.4 9.2 9.7 10.3 -1.6 0.4 1.5 -6.3 -8.5 -7.5 -8.1 4.9 5.8 11.6 -0.6 7.8 -9.4 -11.1 2.5 4.9 3.0 5.9 -1.2 3.8 -9.9 9.5 7.7 2.8 8.5 EUROSTX -20.0 -18.0 12.0 -0.7 6.4 1.1 2.1 0.6 -1.5 12.1 13.9 2.2 10.4 0.8 9.2 1.6 5.9 6.1 6.4 4.6 11.6 2.9 10.7 -0.7 -18.8 -8.5 0.9 4.0 5.0 -0.3 4.9 -2.2 17.8 -6.0 -4.6 9.7 6.0 FEEDCOW -3.4 16.9 14.2 -2.9 6.7 -2.5 1.6 -1.6 -2.7 13.1 9.8 4.3 6.4 9.0 10.8 -20.0 -20.0 -20.0 -20.0 17.0 13.6 13.6 7.2 14.3 -17.0 12.2 5.6 6.0 5.0 4.0 3.1 4.3 -20.0 19.4 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 -13.5 -13.3 -10.6 -3.6 0.9 -2.4 -1.7 1.0 -3.9 -6.9 -11.3 -12.5 6.8 -13.5 -11.7 20.0 20.0 20.0 20.0 -14.4 -9.5 -10.2 5.1 -14.7 -1.2 -15.4 -5.4 -2.0 -4.3 -3.7 0.0 -5.3 20.0 -19.5 -5.9 -10.4 -11.7 GASOILINE -10.5 -5.1 0.1 -3.6 0.9 -2.4 -1.7 1.0 -3.9 10.2 1.3 -1.2 2.4 -4.0 3.1 20.0 12.3 8.3 6.4 -1.7 0.2 7.2 5.6 -1.2 -14.7 -13.1 -0.1 6.9 2.3 3.8 6.6 -0.4 -1.2 20.0 12.1 4.7 18.2 GAS_US -4.7 -1.3 -20.0 -3.6 0.9 -2.4 -1.7 1.0 -3.9 -12.1 -16.3 -14.8 -13.3 -14.1 -16.1 -20.0 -8.6 -17.0 -11.2 -20.0 -20.0 -16.7 -20.0 -18.6 10.5 -9.3 -5.9 -4.6 -6.6 -6.0 -2.9 -5.4 -20.0 -20.0 -6.8 3.3 -20.0 GBP 13.5 -3.7 9.4 0.2 4.2 0.5 3.9 -1.7 1.4 11.5 11.2 14.3 -2.0 8.2 4.1 -1.5 -1.9 -2.0 -2.1 5.5 3.2 12.5 -3.5 9.9 9.7 9.4 1.9 4.8 -0.7 6.5 -5.7 4.8 0.9 5.2 8.2 5.1 -3.1 GOLD_micro 20.0 -4.9 15.5 1.8 3.5 1.6 5.4 1.6 4.0 3.5 9.8 11.5 -0.2 10.1 8.9 -10.7 -10.5 -11.7 -11.7 13.0 9.4 14.5 4.6 17.3 -1.1 -13.8 4.3 1.3 3.0 4.8 1.7 5.8 -15.2 2.3 20.0 16.5 12.8 HEATOIL -14.7 -15.1 -11.1 -3.6 0.9 -2.4 -1.7 1.0 -3.9 1.7 -10.8 -10.4 5.8 -12.5 -11.6 20.0 20.0 20.0 20.0 -15.0 -9.9 -6.8 4.4 -14.0 -9.4 -13.6 -4.8 -0.5 -2.5 -2.3 3.5 -4.7 20.0 -0.5 -5.3 -11.5 -3.4 JPY 17.2 -10.6 10.0 0.2 4.2 0.5 3.9 -1.7 1.4 -1.7 5.8 10.7 -6.8 0.6 -0.9 -14.2 -12.4 -14.0 -13.6 2.5 1.2 6.8 -7.0 6.6 1.8 9.9 1.6 -2.5 0.5 3.2 -4.2 3.4 -17.9 -3.6 14.1 3.1 4.0 LEANHOG -13.0 -13.3 -20.0 -2.9 6.7 -2.5 1.6 -1.6 -2.7 -4.1 -13.1 -11.1 -9.5 -13.0 -14.8 -20.0 -20.0 -20.0 -20.0 -20.0 -17.4 -20.0 -8.7 -20.0 17.3 -11.1 -5.8 -2.0 -4.6 -4.4 -2.5 -6.0 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -20.0 -6.8 6.3 -2.9 6.7 -2.5 1.6 -1.6 -2.7 13.3 10.0 -0.0 7.4 -3.2 3.6 20.0 -13.8 20.0 4.8 -0.3 5.8 7.4 6.1 -3.1 -20.0 12.0 -0.2 10.0 3.0 3.4 3.9 -1.5 -20.0 16.6 -8.4 4.1 17.1 MXP -20.0 -6.0 3.4 0.2 4.2 0.5 3.9 -1.7 1.4 14.0 13.4 6.2 14.8 6.0 10.5 16.6 20.0 19.2 20.0 10.4 15.0 13.1 15.7 7.4 -20.0 9.7 4.2 7.1 6.7 3.8 7.0 2.1 20.0 17.8 -9.9 20.0 18.8 NASDAQ 8.2 8.6 15.7 -0.7 6.4 1.1 2.1 0.6 -1.5 11.6 0.1 13.3 -9.4 12.2 12.5 -7.3 -5.1 -6.9 -6.3 13.1 6.8 15.2 -4.5 15.1 -0.8 10.2 5.5 3.8 4.1 5.1 1.2 5.5 -2.3 4.5 20.0 20.0 16.7 NIKKEI -10.9 3.1 2.1 -0.7 6.4 1.1 2.1 0.6 -1.5 13.8 2.6 -0.2 4.3 -1.2 4.6 7.7 14.2 14.6 15.5 3.0 2.9 6.8 1.6 2.1 6.4 -9.4 1.6 8.3 0.9 2.9 -0.5 0.9 20.0 -0.7 13.9 17.3 -8.8 NZD 4.0 -14.9 5.9 0.2 4.2 0.5 3.9 -1.7 1.4 0.9 7.3 6.4 -1.6 -7.1 -6.5 0.9 0.5 0.5 0.3 -3.3 -0.6 1.5 -2.8 -1.8 0.9 10.8 -1.6 0.9 -0.4 1.2 -1.8 -0.7 5.0 -10.3 -5.6 -8.2 -4.7 OAT 20.0 1.9 13.0 1.8 -1.5 -0.5 2.4 -3.4 3.6 -7.6 -10.2 8.7 -13.0 2.5 -3.9 8.9 12.0 10.1 11.3 0.1 -6.9 4.7 -14.1 6.4 5.4 12.7 1.5 -1.8 -1.9 2.8 -6.9 3.9 19.6 1.0 -3.9 3.2 -8.5 OJ 0.4 0.9 -6.7 -2.9 6.7 -2.5 1.6 -1.6 -2.7 13.2 14.4 12.4 15.0 12.8 12.6 20.0 18.2 20.0 20.0 19.3 20.0 20.0 20.0 17.4 -20.0 -14.3 5.8 5.3 7.3 4.2 7.5 4.1 20.0 20.0 16.9 20.0 20.0 PALLAD 12.6 -13.6 -20.0 1.8 3.5 1.6 5.4 1.6 4.0 7.4 -15.3 -0.8 -14.2 -10.0 -13.9 -2.4 -2.1 -2.7 -2.5 -20.0 -20.0 -0.0 -20.0 -8.9 20.0 -11.1 -5.3 1.9 -6.2 0.4 -5.0 -2.2 0.0 -20.0 -20.0 -17.1 -20.0 PLAT 8.9 -9.3 -2.6 1.8 3.5 1.6 5.4 1.6 4.0 -9.9 2.8 2.8 0.2 0.8 -5.6 -1.8 -1.2 -1.9 -1.6 -2.0 -0.7 -0.8 0.9 0.6 0.6 11.2 -2.2 -2.8 -1.1 -0.8 -0.2 -0.8 1.6 -20.0 -15.6 -6.8 -15.0 REDWHEAT 9.1 -1.8 -7.1 -2.9 6.7 -2.5 1.6 -1.6 -2.7 13.2 -10.5 12.3 -10.8 0.9 -3.2 11.3 4.4 9.3 7.3 -4.6 -9.8 19.7 -7.7 5.7 -0.3 12.9 -1.4 11.0 -2.4 8.4 -0.3 2.6 -2.5 20.0 19.4 -0.4 -4.5 ROBUSTA -11.1 14.2 20.0 -2.9 6.7 -2.5 1.6 -1.6 -2.7 7.6 4.8 7.8 1.5 8.8 12.0 9.3 9.2 9.0 9.5 14.2 11.4 12.2 5.7 11.3 -8.2 9.6 4.5 3.6 3.3 4.2 1.5 3.8 3.7 20.0 12.7 20.0 20.0 RUSSELL -20.0 -18.9 5.0 -0.7 6.4 1.1 2.1 0.6 -1.5 2.5 -3.6 -11.9 -8.8 -13.5 -9.8 -5.1 -4.1 -5.5 -5.2 -13.1 -5.3 -9.6 -4.6 -17.8 -0.2 10.0 -2.8 0.7 -0.1 -3.0 0.3 -5.0 -0.5 -20.0 -20.0 -6.2 -4.9 SILVER-mini 20.0 -11.2 0.5 1.8 3.5 1.6 5.4 1.6 4.0 13.9 5.3 15.5 -1.8 6.3 0.3 -5.4 -4.7 -5.5 -5.3 3.3 1.3 20.0 0.2 14.1 1.2 -11.3 0.5 5.1 -0.2 6.7 -0.9 4.2 -4.6 7.4 5.0 -3.2 -9.0 SOYBEAN -20.0 -13.9 -13.0 -2.9 6.7 -2.5 1.6 -1.6 -2.7 3.1 -3.7 -7.9 0.7 -10.9 -10.9 20.0 20.0 20.0 20.0 -17.5 -9.0 -15.1 -0.3 -20.0 -4.5 -11.7 -4.9 0.5 -2.3 -4.3 0.6 -6.3 20.0 -20.0 -20.0 -20.0 -13.7 SOYMEAL -20.0 -13.7 12.0 -2.9 6.7 -2.5 1.6 -1.6 -2.7 1.1 11.7 -7.4 13.0 -5.5 4.8 14.9 18.3 18.9 19.3 1.5 13.2 -11.2 16.4 -10.9 -20.0 -12.0 -0.6 0.7 4.5 -4.9 7.3 -5.2 19.9 -20.0 -9.0 -3.8 20.0 SOYOIL -16.6 -11.5 -18.2 -2.9 6.7 -2.5 1.6 -1.6 -2.7 -0.3 -10.1 -8.6 -0.9 -11.0 -13.6 -0.2 13.0 2.5 7.1 -19.4 -13.7 -14.5 -3.4 -20.0 0.7 12.9 -5.7 -0.7 -4.0 -4.2 -0.6 -5.9 5.5 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -20.0 4.7 -0.7 6.4 1.1 2.1 0.6 -1.5 9.8 2.5 -9.4 -1.7 -11.8 -8.6 -5.2 -4.0 -5.5 -4.9 -12.0 -2.3 -6.7 0.4 -16.7 -3.8 10.2 -2.9 1.9 0.1 -2.3 1.0 -4.7 -0.0 -17.9 -20.0 -9.4 -6.1 SP500 -6.6 -9.6 5.5 -0.7 6.4 1.1 2.1 0.6 -1.5 11.6 -0.3 4.7 -6.8 -4.7 -1.1 -7.1 -5.5 -7.2 -6.6 -2.4 -1.0 5.7 -3.5 -1.2 1.7 10.2 0.8 5.8 1.6 3.2 -0.1 0.6 -2.7 -3.4 8.8 9.7 -0.3 SUGAR11 1.8 7.8 11.4 -2.9 6.7 -2.5 1.6 -1.6 -2.7 12.1 14.5 12.3 11.8 13.4 14.6 20.0 20.0 20.0 20.0 16.9 18.1 10.7 14.4 12.5 -20.0 10.7 6.3 4.5 8.2 3.7 7.6 4.1 20.0 12.9 20.0 20.0 20.0 US10 20.0 3.0 20.0 1.8 -1.5 -0.5 2.4 -3.4 3.6 -6.4 -5.7 9.5 -11.4 8.5 4.1 -8.0 -4.0 -8.1 -7.3 4.4 -2.7 7.6 -10.5 10.7 -2.0 9.7 3.1 -1.0 0.4 3.4 -3.1 5.0 -10.7 2.8 8.9 5.2 4.6 US10U 20.0 2.7 19.6 1.8 -1.5 -0.5 2.4 -3.4 3.6 -6.8 -5.3 9.3 -11.3 7.9 4.5 1.3 2.8 1.0 1.2 3.8 -2.8 5.8 -10.9 8.9 -5.1 -14.1 3.5 -1.2 1.0 3.0 -2.6 4.9 2.5 0.5 4.3 5.7 7.4 US20 20.0 1.8 18.1 1.8 -1.5 -0.5 2.4 -3.4 3.6 -12.4 -3.2 9.4 -9.8 7.8 5.5 -1.5 -1.6 -3.7 -3.4 3.9 -2.4 3.5 -10.9 7.9 -2.5 -12.3 3.1 -2.1 0.6 2.1 -2.9 4.3 -5.0 -5.4 3.3 4.7 5.5 US30 17.1 -0.1 16.2 1.8 -1.5 -0.5 2.4 -3.4 3.6 -12.9 -2.6 6.1 -11.1 2.3 0.3 -0.6 -0.6 -1.0 -1.1 1.5 -3.6 -0.9 -13.4 3.2 -7.6 10.0 3.2 -3.8 1.0 0.4 -3.7 3.3 -2.2 -8.2 -8.7 1.7 6.9 US5 20.0 4.5 20.0 1.8 -1.5 -0.5 2.4 -3.4 3.6 -6.2 -6.0 9.3 -11.8 8.7 4.2 -9.2 -4.6 -9.6 -8.5 4.4 -2.7 7.6 -10.2 10.9 -0.1 10.8 2.7 -0.9 -0.1 3.4 -3.6 4.8 -12.2 2.2 12.0 3.1 3.3 VIX 20.0 20.0 -1.8 -1.8 -3.7 -4.8 -0.6 -5.3 0.8 -13.7 -11.6 -0.1 -12.9 2.1 -4.4 -11.8 -20.0 -17.5 -19.8 -1.3 -8.3 -4.3 -10.7 1.8 NaN -13.5 -1.9 -4.3 -6.3 -0.8 -7.4 1.1 NaN NaN NaN NaN NaN WHEAT 1.4 -5.4 -10.4 -2.9 6.7 -2.5 1.6 -1.6 -2.7 13.0 -13.7 7.0 -14.4 -9.1 -10.9 -11.8 -7.8 -11.0 -9.6 -15.2 -18.1 4.4 -14.8 -8.2 7.3 11.9 -4.5 5.5 -4.3 1.5 -2.0 -2.7 -20.0 -0.6 -2.3 -11.4 -11.7 End of report for caleb_strategy_v1