******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230330_204853 produced at 2023-03-30 21:35:55.826895 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.848068e+07 -4.848068e+07 -0.10 -0.10 -3.32 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.544130e+07 -5.544130e+07 -0.17 -0.17 -2.45 999999999 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.13 0.0 9.284176e+06 -9.284176e+06 -0.15 -0.15 -14.08 999999999 -16 -16 caleb_strategy_v1 EUR False False 0.06 -0.22 -0.10 0.0 5.503436e+07 -5.503436e+07 -0.22 -0.22 -1.74 999999999 -4 -4 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.472205e+07 -1.472205e+07 -0.06 -0.06 -6.06 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.09 0.0 5.232397e+07 -5.232397e+07 -0.05 -0.05 -1.80 999999999 -1 -1 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.433093e+07 -4.433093e+07 -0.09 -0.09 -1.23 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.15 -0.05 0.0 3.836253e+07 -3.836253e+07 -0.15 -0.15 -1.25 999999999 -4 -4 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.094045e+07 -6.094045e+07 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 8.035434e+06 -8.035434e+06 0.00 0.00 -3.42 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.160723e+07 -1.160723e+07 -0.06 -0.05 -2.01 999999999 -5 -4 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.571192e+06 -3.571192e+06 -0.05 -0.05 -3.60 999999999 -13 -13 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.605664e+07 -4.605664e+07 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.405194e+07 -2.405194e+07 -0.02 -0.02 -0.55 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.01 0.0 4.344994e+07 -4.344994e+07 -0.04 -0.04 -0.25 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.465036e+06 -9.465036e+06 -0.01 -0.01 -0.93 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.892035e+07 -5.892035e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 LIVECOW False False 0.03 -0.10 -0.01 0.0 2.585904e+07 -2.585904e+07 -0.10 -0.10 -0.56 999999999 -4 -4 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.819464e+06 -6.819464e+06 0.00 0.00 -1.33 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.01 0.0 4.392776e+07 -4.392776e+07 -0.18 -0.18 -0.14 999999999 -4 -4 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.518023e+07 -1.518023e+07 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.839006e+07 -1.839006e+07 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.722194e+07 -1.722194e+07 0.03 0.03 0.24 999999999 2 2 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.00 0.0 9.977876e+07 -9.977876e+07 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.131383e+06 -1.131383e+06 -0.01 -0.01 -4.03 999999999 -8 -8 caleb_strategy_v1 DOW False False 0.01 -0.09 -0.00 0.0 6.635774e+06 -6.635774e+06 -0.09 -0.09 -0.37 999999999 -13 -13 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.473009e+07 -1.473009e+07 -0.06 -0.06 -0.27 999999999 -4 -4 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.317388e+07 -1.317388e+07 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.01 0.0 1.826290e+07 -1.826290e+07 0.09 0.09 0.75 999999999 5 5 caleb_strategy_v1 US30 False False 0.06 0.00 0.01 0.0 5.623005e+07 -5.623005e+07 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.704468e+07 -2.704468e+07 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.187457e+07 -8.187457e+07 0.08 0.08 0.13 999999999 1 1 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 2.002729e+07 -2.002729e+07 0.06 0.06 0.48 999999999 3 3 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.240843e+07 -4.240843e+07 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.620469e+07 -2.620469e+07 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 2.989223e+07 -2.989223e+07 0.00 0.00 0.33 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 3.166257e+07 -3.166257e+07 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.686625e+07 -1.686625e+07 0.00 0.00 0.67 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.550888e+07 -2.550888e+07 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.139422e+07 -1.139422e+07 0.06 0.06 2.15 999999999 5 5 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.136181e+07 -4.136181e+07 0.00 0.00 0.44 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.392459e+06 -4.392459e+06 0.00 0.00 4.17 999999999 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.516574e+07 -2.516574e+07 0.00 0.00 0.78 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 8.894321e+06 -8.894321e+06 0.02 0.02 1.79 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.03 0.0 2.905023e+07 -2.905023e+07 0.12 0.12 1.02 999999999 4 4 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.03 0.0 9.691554e+06 -9.691554e+06 0.04 0.04 2.58 999999999 4 4 caleb_strategy_v1 MXP False False 0.01 0.01 0.03 0.0 1.092800e+07 -1.092800e+07 0.01 0.01 2.31 999999999 1 1 caleb_strategy_v1 GBP False False 0.03 0.25 0.04 0.0 3.117082e+07 -3.117082e+07 0.25 0.25 1.32 999999999 8 8 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 2.977166e+07 -2.977166e+07 0.00 0.00 1.31 999999999 0 0 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 4.981329e+07 -4.981329e+07 0.05 0.05 1.03 999999999 1 1 caleb_strategy_v1 NASDAQ False False 0.10 0.21 0.05 0.0 1.049875e+08 -1.049875e+08 0.21 0.21 0.51 999999999 2 2 caleb_strategy_v1 OAT False False 0.06 0.11 0.06 0.0 5.642779e+07 -5.642779e+07 0.11 0.11 1.12 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 0.24 0.0 5.890388e+07 -5.890388e+07 0.12 0.12 4.00 999999999 2 2 caleb_strategy_v1 BOBL False False 0.05 0.15 0.25 0.0 5.118406e+07 -5.118406e+07 0.15 0.15 4.91 999999999 3 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 30.65 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 12.8 Shocked risk 29.9 Sum abs risk 40.6 Leverage 2.44 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2488104.62, 'annual_cash_vol_target': 622026.155, 'daily_cash_vol_target': 38876.6346875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6729 0.7334 11.7346 BITCOIN 1099.1114 28150.0000 3.9045 62.4717 BOBL 0.5855 117.6200 0.4978 7.9647 BTP 0.8326 114.4700 0.7273 11.6375 BUND 1.0430 135.3600 0.7706 12.3292 BUXL 2.3393 140.0400 1.6704 26.7267 CAC 79.9583 7276.0000 1.0989 17.5829 CAD 0.0032 0.7408 0.4257 6.8104 CANOLA 8.8032 743.9000 1.1834 18.9342 CHF 0.0063 1.1036 0.5748 9.1970 COCOA 34.3810 2888.0000 1.1905 19.0476 COFFEE 3.3442 169.2500 1.9759 31.6143 COPPER 0.0497 4.1165 1.2083 19.3336 CORN 4.7476 567.0000 0.8373 13.3970 COTTON2 1.5128 83.9300 1.8024 28.8388 CRUDE_W 1.3479 72.2800 1.8649 29.8379 DAX 174.9987 15671.0000 1.1167 17.8673 DOW 270.1753 33021.0000 0.8182 13.0911 EUR 0.0061 1.0954 0.5601 8.9618 EUROSTX 52.1231 4226.0000 1.2334 19.7343 FEEDCOW 1.2749 220.6000 0.5779 9.2469 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.5904 743.7500 1.8273 29.2365 GASOILINE 0.0475 2.5740 1.8471 29.5531 GAS_US 0.1244 2.3550 5.2844 84.5511 GBP 0.0078 1.2409 0.6290 10.0642 GOLD_micro 20.4554 1999.3000 1.0231 16.3700 HEATOIL 0.0460 2.5123 1.8321 29.3140 JPY 0.0001 0.0076 0.7290 11.6641 LEANHOG 1.4478 91.5750 1.5810 25.2953 LIVECOW 0.9096 160.8500 0.5655 9.0476 MXP 0.0005 0.0544 0.8936 14.2977 NASDAQ 134.1679 13061.0000 1.0272 16.4359 NIKKEI 270.5438 27785.0000 0.9737 15.5793 NZD 0.0048 0.6262 0.7686 12.2971 OAT 0.9474 129.6700 0.7306 11.6896 OJ 4.7356 251.8000 1.8807 30.0915 PALLAD 32.0282 1466.0000 2.1847 34.9557 PLAT 17.1931 996.6000 1.7252 27.6027 REDWHEAT 11.8326 857.0000 1.3807 22.0912 ROBUSTA 28.7857 2213.0000 1.3008 20.8121 RUSSELL 23.7032 1777.1000 1.3338 21.3410 SILVER-mini 0.3796 23.9375 1.5858 25.3722 SOYBEAN 11.3550 1304.0000 0.8708 13.9325 SOYMEAL 5.5659 454.4000 1.2249 19.5983 SOYOIL 0.9060 54.6300 1.6585 26.5358 SP400 30.3147 2482.6000 1.2211 19.5374 SP500 36.3561 4074.2500 0.8923 14.2774 SUGAR11 0.2996 21.5300 1.3916 22.2663 US10 0.6758 114.5938 0.5897 9.4358 US10U 0.8625 120.6250 0.7150 11.4401 US20 1.1584 130.1875 0.8898 14.2369 US30 1.6347 139.9062 1.1685 18.6953 US5 0.5136 109.2969 0.4699 7.5190 VIX 0.8363 23.1000 3.6202 57.9233 WHEAT 10.7318 733.0000 1.4641 23.4254 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.90 0.73 493.51 1.00 493.51 38876.63 78.78 1.63 12.86 BITCOIN 28.15 3.90 109.91 1.00 109.91 38876.63 353.71 -4.83 -170.94 BOBL 1176.20 0.50 585.51 1.08 633.95 38876.63 61.32 11.11 68.10 BTP 1144.70 0.73 832.59 1.08 901.48 38876.63 43.13 11.78 50.81 BUND 1353.60 0.77 1043.05 1.08 1129.34 38876.63 34.42 16.11 55.46 BUXL 1400.40 1.67 2339.25 1.08 2532.79 38876.63 15.35 -3.56 -5.46 CAC 727.60 1.10 799.58 1.08 865.74 38876.63 44.91 3.33 14.94 CAD 740.75 0.43 315.30 1.00 315.30 38876.63 123.30 5.95 73.38 CANOLA 148.78 1.18 176.06 0.73 129.33 38876.63 300.60 15.12 454.36 CHF 1379.44 0.57 792.92 1.00 792.92 38876.63 49.03 -13.36 -65.49 COCOA 288.80 1.19 343.81 1.00 343.81 38876.63 113.08 -8.15 -92.19 COFFEE 634.69 1.98 1254.07 1.00 1254.07 38876.63 31.00 6.13 18.99 COPPER 1029.12 1.21 1243.54 1.00 1243.54 38876.63 31.26 5.20 16.25 CORN 283.50 0.84 237.38 1.00 237.38 38876.63 163.77 14.56 238.53 COTTON2 419.65 1.80 756.39 1.00 756.39 38876.63 51.40 8.61 44.26 CRUDE_W 722.80 1.86 1347.93 1.00 1347.93 38876.63 28.84 2.69 7.76 DAX 156.71 1.12 175.00 1.08 189.48 38876.63 205.18 -1.20 -24.55 DOW 165.10 0.82 135.09 1.00 135.09 38876.63 287.79 -0.45 -12.94 EUR 1369.31 0.56 766.97 1.00 766.97 38876.63 50.69 -9.16 -46.45 EUROSTX 422.60 1.23 521.23 1.08 564.36 38876.63 68.89 0.34 2.33 FEEDCOW 1103.00 0.58 637.46 1.00 637.46 38876.63 60.99 -7.48 -45.60 FTSE100 707.00 0.82 576.59 1.23 666.67 38876.63 58.31 7.70 44.89 GASOIL 743.75 1.83 1359.04 1.00 1359.04 38876.63 28.61 1.60 4.57 GASOILINE 1081.08 1.85 1996.83 1.00 1996.83 38876.63 19.47 -3.11 -6.05 GAS_US 235.50 5.28 1244.49 1.00 1244.49 38876.63 31.24 -19.78 -61.79 GBP 775.56 0.63 487.84 1.00 487.84 38876.63 79.69 9.31 74.20 GOLD_micro 199.93 1.02 204.55 1.00 204.55 38876.63 190.06 -8.04 -152.81 HEATOIL 1055.17 1.83 1933.20 1.00 1933.20 38876.63 20.11 1.33 2.68 JPY 954.50 0.73 695.84 1.00 695.84 38876.63 55.87 -3.45 -19.25 LEANHOG 366.30 1.58 579.10 1.00 579.10 38876.63 67.13 -19.33 -129.79 LIVECOW 643.40 0.57 363.83 1.00 363.83 38876.63 106.86 -1.94 -20.72 MXP 271.90 0.89 242.97 1.00 242.97 38876.63 160.00 11.78 188.56 NASDAQ 2612.20 1.03 2683.36 1.00 2683.36 38876.63 14.49 6.45 9.35 NIKKEI 27785.00 0.97 27054.38 0.01 206.52 38876.63 188.25 8.57 161.37 NZD 626.15 0.77 481.24 1.00 481.24 38876.63 80.78 6.03 48.70 OAT 1296.70 0.73 947.37 1.08 1025.75 38876.63 37.90 14.65 55.53 OJ 377.70 1.88 710.35 1.00 710.35 38876.63 54.73 -3.40 -18.62 PALLAD 1466.00 2.18 3202.82 1.00 3202.82 38876.63 12.14 -4.84 -5.88 PLAT 498.30 1.73 859.65 1.00 859.65 38876.63 45.22 4.39 19.86 REDWHEAT 428.50 1.38 591.63 1.00 591.63 38876.63 65.71 6.95 45.67 ROBUSTA 221.30 1.30 287.86 1.00 287.86 38876.63 135.06 10.20 137.72 RUSSELL 88.86 1.33 118.52 1.00 118.52 38876.63 328.03 -2.12 -69.52 SILVER-mini 598.44 1.59 948.98 1.00 948.98 38876.63 40.97 -6.05 -24.78 SOYBEAN 652.00 0.87 567.75 1.00 567.75 38876.63 68.47 0.98 6.73 SOYMEAL 454.40 1.22 556.59 1.00 556.59 38876.63 69.85 1.82 12.70 SOYOIL 327.78 1.66 543.62 1.00 543.62 38876.63 71.51 2.35 16.79 SP400 2482.60 1.22 3031.47 1.00 3031.47 38876.63 12.82 -0.42 -0.53 SP500 2037.12 0.89 1817.81 1.00 1817.81 38876.63 21.39 2.15 4.59 SUGAR11 241.14 1.39 335.58 1.00 335.58 38876.63 115.85 16.42 190.21 US10 1145.94 0.59 675.80 1.00 675.80 38876.63 57.53 -0.60 -3.45 US10U 1206.25 0.72 862.48 1.00 862.48 38876.63 45.08 -5.05 -22.77 US20 1301.88 0.89 1158.42 1.00 1158.42 38876.63 33.56 -7.26 -24.37 US30 1399.06 1.17 1634.74 1.00 1634.74 38876.63 23.78 1.19 2.83 US5 1092.97 0.47 513.63 1.00 513.63 38876.63 75.69 -0.48 -3.67 VIX 231.00 3.62 836.27 1.00 836.27 38876.63 46.49 -16.08 -74.74 WHEAT 366.50 1.46 536.59 1.00 536.59 38876.63 72.45 -6.86 -49.71 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 12.858 0.006 2.5 0.205 BITCOIN -170.942 0.009 2.5 -4.028 BOBL 68.103 0.029 2.5 4.914 BTP 50.810 0.008 2.5 1.026 BUND 55.456 0.029 2.5 4.002 BUXL -5.459 0.034 2.5 -0.458 CAC 14.943 0.011 2.5 0.420 CAD 73.379 0.007 2.5 1.310 CANOLA 454.358 0.004 2.5 4.171 CHF -65.491 0.015 2.5 -2.451 COCOA -92.191 0.009 2.5 -2.008 COFFEE 18.991 0.005 2.5 0.246 COPPER 16.248 0.011 2.5 0.444 CORN 238.526 0.004 2.5 2.152 COTTON2 44.264 0.006 2.5 0.666 CRUDE_W 7.757 0.053 2.5 1.025 DAX -24.555 0.022 2.5 -1.334 DOW -12.940 0.011 2.5 -0.369 EUR -46.452 0.015 2.5 -1.738 EUROSTX 2.328 0.011 2.5 0.065 FEEDCOW -45.598 0.011 2.5 -1.225 FTSE100 44.889 0.041 2.5 4.628 GASOIL 4.565 0.029 2.5 0.326 GASOILINE -6.050 0.016 2.5 -0.248 GAS_US -61.794 0.006 2.5 -0.930 GBP 74.203 0.007 2.5 1.325 GOLD_micro -152.808 0.009 2.5 -3.419 HEATOIL 2.679 0.029 2.5 0.191 JPY -19.252 0.026 2.5 -1.246 LEANHOG -129.792 0.019 2.5 -6.064 LIVECOW -20.719 0.011 2.5 -0.557 MXP 188.560 0.005 2.5 2.308 NASDAQ 9.345 0.022 2.5 0.508 NIKKEI 161.366 0.076 2.5 30.649 NZD 48.696 0.006 2.5 0.778 OAT 55.532 0.008 2.5 1.122 OJ -18.622 0.007 2.5 -0.325 PALLAD -5.881 0.010 2.5 -0.142 PLAT 19.857 0.010 2.5 0.478 REDWHEAT 45.674 0.002 2.5 0.244 ROBUSTA 137.717 0.005 2.5 1.785 RUSSELL -69.515 0.021 2.5 -3.601 SILVER-mini -24.776 0.009 2.5 -0.554 SOYBEAN 6.726 0.024 2.5 0.397 SOYMEAL 12.702 0.024 2.5 0.749 SOYOIL 16.787 0.004 2.5 0.154 SP400 -0.534 0.021 2.5 -0.028 SP500 4.593 0.011 2.5 0.131 SUGAR11 190.206 0.005 2.5 2.581 US10 -3.453 0.015 2.5 -0.132 US10U -22.770 0.058 2.5 -3.318 US20 -24.368 0.029 2.5 -1.796 US30 2.829 0.034 2.5 0.237 US5 -3.667 0.015 2.5 -0.141 VIX -74.737 0.075 2.5 -14.084 WHEAT -49.712 0.002 2.5 -0.265 ==================== Position diags ==================== AUD 1.26 BITCOIN 8.33 BOBL 4.43 BTP 0.87 BUND 2.48 BUXL 1.29 CAC 1.26 CAD 2.20 CANOLA 2.76 CHF 1.83 COCOA 2.46 COFFEE 0.40 COPPER 0.85 CORN 1.48 COTTON2 0.77 CRUDE_W 3.81 DAX 11.14 DOW 8.20 EUR 1.90 EUROSTX 1.94 FEEDCOW 1.64 FTSE100 6.01 GASOIL 2.04 GASOILINE 0.80 GAS_US 0.47 GBP 1.42 GOLD_micro 4.25 HEATOIL 1.43 JPY 3.62 LEANHOG 3.14 LIVECOW 2.87 MXP 1.96 NASDAQ 0.79 NIKKEI 35.75 NZD 1.29 OAT 0.77 OJ 0.95 PALLAD 0.29 PLAT 1.09 REDWHEAT 0.35 ROBUSTA 1.75 RUSSELL 16.99 SILVER-mini 0.92 SOYBEAN 4.04 SOYMEAL 4.12 SOYOIL 0.66 SP400 0.66 SP500 0.61 SUGAR11 1.57 US10 2.21 US10U 6.57 US20 2.47 US30 2.00 US5 2.90 VIX 8.76 WHEAT 0.39 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 -4.0 -4.9 -3.2 -8.0 -8 BOBL 4.9 4.5 5.4 3.0 3 BTP 1.0 0.9 1.1 1.0 1 BUND 4.0 3.8 4.2 2.0 2 BUXL -0.5 -0.6 -0.3 0.0 0 CAC 0.4 0.3 0.5 0.0 0 CAD 1.3 1.1 1.5 0.0 0 CANOLA 4.2 3.9 4.4 NaN 0 CHF -2.5 -2.6 -2.3 -3.0 -3 COCOA -2.0 -2.3 -1.8 -5.0 -5 COFFEE 0.2 0.2 0.3 NaN 0 COPPER 0.4 0.4 0.5 0.0 0 CORN 2.2 2.0 2.3 5.0 5 COTTON2 0.7 0.6 0.7 NaN 0 CRUDE_W 1.0 0.6 1.4 4.0 4 DAX -1.3 -2.4 -0.2 0.0 0 DOW -0.4 -1.2 0.5 -13.0 -13 EUR -1.7 -1.9 -1.5 -4.0 -4 EUROSTX 0.1 -0.1 0.3 0.0 0 FEEDCOW -1.2 -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 -0.2 -0.3 -0.2 -1.0 -1 GAS_US -0.9 -1.0 -0.9 -1.0 -1 GBP 1.3 1.2 1.5 8.0 8 GOLD_micro -3.4 -3.8 -3.0 0.0 0 HEATOIL 0.2 0.0 0.3 0.0 0 JPY -1.2 -1.6 -0.9 -4.0 -4 LEANHOG -6.1 -6.4 -5.8 -4.0 -4 LIVECOW -0.6 -0.8 -0.3 -4.0 -4 MXP 2.3 2.1 2.5 1.0 1 NASDAQ 0.5 0.4 0.6 2.0 2 NIKKEI 30.6 27.1 34.2 0.0 0 NZD 0.8 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 2.0 2.0 2 RUSSELL -3.6 -5.3 -1.9 -13.0 -13 SILVER-mini -0.6 -0.6 -0.5 -1.0 -1 SOYBEAN 0.4 -0.0 0.8 0.0 0 SOYMEAL 0.7 0.3 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 0.1 0.2 1.0 1 SUGAR11 2.6 2.4 2.7 4.0 4 US10 -0.1 -0.4 0.1 NaN 0 US10U -3.3 -4.0 -2.7 -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 -14.1 -15.0 -13.2 -16.0 -16 WHEAT -0.3 -0.3 -0.2 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -0.0 -0.3 0.1 0.0 0.1 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 -0.2 -0.4 -0.2 -0.1 BITCOIN 0.1 0.2 0.3 0.0 0.0 0.0 0.1 0.0 0.1 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 -0.2 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 1.7 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 0.0 -0.1 0.0 -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 0.0 -0.0 0.0 0.0 -0.1 0.0 2.6 -0.0 -0.2 0.2 0.1 BUND 0.2 0.1 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 0.6 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 0.0 -0.1 0.0 -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 0.1 0.0 -0.0 0.1 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 1.4 0.5 0.3 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 2.9 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 0.2 -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 0.1 -0.9 -0.6 -0.3 -0.3 0.0 0.1 0.0 0.0 0.0 -0.8 -2.4 0.0 0.0 0.0 0.0 -0.0 0.0 -2.5 -0.0 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 -0.1 -0.2 0.1 0.2 COPPER -0.0 -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 -0.1 -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 2.7 3.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.5 0.0 -0.1 -0.3 -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 -1.0 2.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.0 DAX -0.3 -0.3 0.3 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 0.4 0.0 0.2 0.0 0.2 -0.3 -0.2 -0.1 -0.1 0.1 0.1 0.0 0.1 -0.0 -2.8 2.2 0.0 0.0 0.1 0.0 0.1 -0.0 -0.5 -0.0 -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 -0.2 -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 0.1 -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 0.1 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 -0.1 -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 0.2 -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 -0.1 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 -0.3 -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 -0.2 0.0 -0.3 GBP 0.2 -0.0 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 -0.2 -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 -0.3 -0.2 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.1 -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 0.3 2.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -2.3 -0.1 0.2 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 2.7 -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 -0.5 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 -0.0 0.1 0.3 MXP -0.2 -0.1 0.1 0.0 0.0 0.0 0.1 -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 -0.3 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 -0.0 0.5 0.3 0.3 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 0.1 -0.2 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.2 0.0 -0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.2 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 0.0 -0.1 0.0 -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 0.5 0.3 0.3 PALLAD 0.2 -0.2 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 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 -0.1 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 -0.0 0.9 0.2 0.2 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 2.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.2 0.4 0.0 -0.0 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 0.8 0.4 0.2 0.2 0.2 0.1 0.0 0.1 0.0 -1.3 2.1 0.1 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 -0.3 -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 0.2 0.0 -0.0 0.0 0.0 -0.3 -0.2 -0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.2 -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 -0.2 1.6 0.8 0.4 0.4 -0.2 -0.1 -0.0 -0.0 -0.0 -0.6 -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 2.6 -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 0.0 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 0.2 2.7 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.7 -0.1 -0.4 -0.3 -0.3 SP400 -0.2 -0.3 0.1 -0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.5 2.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.4 -0.2 -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 -0.1 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 0.1 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 0.1 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 -0.7 -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 0.1 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 0.1 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 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.4 -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 0.0 -0.1 0.0 -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 -0.7 -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 -2.0 -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 -1.0 -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 -0.1 -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 -2.1 -19.2 5.4 0.6 6.7 0.7 5.3 -1.6 2.3 3.9 1.6 0.8 -4.5 -10.6 -9.8 -3.4 -2.9 -3.5 -3.3 -8.7 -4.7 -0.0 -5.3 -7.1 7.6 11.7 -3.6 1.9 -2.2 0.0 -2.4 -2.8 -0.9 -10.6 -19.1 -17.3 -8.7 BITCOIN 6.6 9.5 20.0 2.1 4.9 1.7 5.8 1.6 4.3 6.5 11.4 13.5 -10.6 13.4 13.8 -3.7 -1.6 -2.9 -1.9 14.3 8.1 13.5 -3.6 15.9 3.1 -18.1 5.0 2.3 3.4 4.4 0.4 5.1 1.1 -5.9 -5.8 20.0 20.0 BOBL 20.0 13.9 20.0 1.8 -1.6 -0.4 1.7 -3.4 3.2 -11.0 -10.7 7.4 -13.3 7.6 0.1 3.9 4.9 -1.1 1.1 2.0 -6.2 2.8 -13.1 7.6 11.6 10.8 1.7 -2.1 -1.8 2.3 -5.7 4.0 5.0 -2.4 8.6 5.8 -9.7 BTP 17.2 2.4 13.9 1.8 -1.6 -0.4 1.7 -3.4 3.2 -10.7 1.7 8.6 -9.2 6.3 6.5 8.4 12.2 9.0 11.0 6.4 1.1 2.6 -9.5 8.1 -11.0 11.4 4.2 -3.9 1.9 1.2 -4.1 4.2 19.8 -0.5 -8.3 11.1 3.5 BUND 20.0 8.6 20.0 1.8 -1.6 -0.4 1.7 -3.4 3.2 -11.8 -10.9 6.8 -13.3 5.4 -1.7 7.1 13.7 9.3 11.4 1.2 -6.8 2.0 -14.7 6.3 8.6 12.3 2.0 -2.4 -1.5 1.9 -6.0 3.9 20.0 -2.8 2.3 5.0 -7.1 BUXL 20.0 6.7 11.6 1.8 -1.6 -0.4 1.7 -3.4 3.2 -13.5 -10.7 3.2 -13.3 3.1 -6.7 2.3 0.8 2.7 2.6 -1.6 -8.6 -2.3 -15.9 2.5 6.1 -10.8 0.9 -3.5 -2.3 0.4 -6.2 2.7 2.2 -8.3 -3.7 0.3 -13.4 CAC -20.0 -18.2 11.9 -0.4 7.8 1.2 3.7 0.6 -0.5 13.4 13.5 2.3 10.8 0.3 8.7 -4.1 0.5 -3.6 -2.2 5.0 12.4 5.7 12.4 -0.1 -15.8 8.9 0.8 5.7 4.4 0.8 4.7 -1.8 6.2 -4.7 -11.8 10.2 8.1 CAD 2.6 -11.2 1.9 0.6 6.7 0.7 5.3 -1.6 2.3 13.8 -9.6 10.9 -10.6 -5.0 -7.0 -2.7 -1.7 -2.5 -2.2 -7.6 -9.5 12.3 -12.0 -0.7 17.5 10.4 -3.1 9.6 -3.7 5.4 -4.7 -0.3 1.0 6.3 -12.3 -7.0 -12.7 CANOLA -20.0 -13.6 -15.8 -2.8 5.8 -2.5 2.3 -1.6 -2.0 10.0 -10.1 -6.1 -11.6 -9.3 -12.0 18.9 13.4 15.4 12.9 -20.0 -19.1 -10.1 -9.9 -20.0 13.0 13.2 -5.5 0.5 -3.9 -2.7 -1.8 -5.5 8.9 -20.0 -20.0 -20.0 -20.0 CHF 13.3 -8.4 6.2 0.6 6.7 0.7 5.3 -1.6 2.3 11.6 10.1 6.8 3.4 3.6 2.2 -12.6 -13.7 -13.9 -14.2 3.6 4.2 7.7 2.0 5.8 -5.7 -11.5 2.3 3.9 2.2 4.4 -0.2 3.5 -19.5 -4.5 11.3 6.8 1.9 COCOA 4.8 9.1 16.0 -2.8 5.8 -2.5 2.3 -1.6 -2.0 13.6 13.3 14.8 3.7 13.0 12.5 5.0 -1.6 1.7 0.2 17.3 14.4 20.0 7.8 20.0 -20.0 -10.4 5.4 6.2 4.9 7.3 3.0 6.3 -13.9 20.0 20.0 20.0 20.0 COFFEE -12.7 11.1 7.6 -2.8 5.8 -2.5 2.3 -1.6 -2.0 -12.5 -5.6 -12.1 -7.7 -8.5 5.5 3.7 3.2 2.8 3.1 0.1 -3.5 -12.0 -8.3 -5.6 10.2 10.0 -0.5 -8.2 -1.5 -6.2 -3.2 -3.4 -6.9 -20.0 -10.9 6.2 14.0 COPPER -2.5 -12.2 18.3 2.1 4.9 1.7 5.8 1.6 4.3 13.4 8.8 10.6 -1.8 0.8 4.3 -0.6 -0.5 -0.8 -0.7 3.9 7.4 9.7 3.4 3.9 -4.1 11.1 -0.3 4.9 1.7 4.1 1.7 0.6 2.9 3.0 -20.0 -7.2 1.1 CORN 2.0 -16.0 -20.0 -2.8 5.8 -2.5 2.3 -1.6 -2.0 8.5 -6.1 7.0 -1.6 -8.4 -12.3 16.3 19.5 20.0 20.0 -15.4 -13.6 6.6 -1.9 -6.7 7.5 11.0 -5.0 3.0 -5.0 2.1 -1.9 -2.0 20.0 11.0 -0.8 -20.0 -20.0 COTTON2 -6.2 -3.5 -0.5 -2.8 5.8 -2.5 2.3 -1.6 -2.0 13.5 -10.2 2.3 -11.0 -5.3 -7.3 -3.9 8.8 -3.0 1.2 -7.7 -10.4 9.5 -10.3 -3.2 10.9 12.0 -3.5 10.0 -3.1 4.3 -1.1 -1.7 -3.4 12.3 -3.9 -11.8 -0.1 CRUDE_W -14.1 -11.0 -8.2 -3.6 -0.1 -2.5 -1.9 0.9 -3.8 13.1 -3.1 -2.6 -1.7 -5.4 -7.1 6.3 11.2 7.5 8.7 -9.9 -6.8 4.7 -0.3 -7.4 -7.9 10.8 -3.5 5.8 -1.9 1.8 1.4 -2.7 -0.2 20.0 0.4 -3.7 -1.1 DAX -20.0 -18.6 15.3 -0.4 7.8 1.2 3.7 0.6 -0.5 13.4 13.8 2.8 6.0 0.4 8.6 -6.9 -5.6 -8.1 -7.5 4.0 10.5 6.1 8.5 -0.1 -18.6 9.9 1.0 6.6 4.7 1.3 3.8 -1.5 -3.7 -5.1 -3.8 8.2 6.5 DOW -7.6 -20.0 -3.1 -0.4 7.8 1.2 3.7 0.6 -0.5 13.3 5.0 -1.5 0.1 -8.6 -9.9 -6.7 -4.7 -7.0 -6.5 -9.5 -4.1 5.3 -0.6 -6.1 -0.9 10.8 -2.4 7.1 -0.1 2.9 1.0 -1.7 -2.2 -9.5 -3.3 -1.2 -11.5 EUR 11.6 -10.8 16.5 0.6 6.7 0.7 5.3 -1.6 2.3 12.5 9.9 12.3 -1.5 3.4 2.2 -6.3 -8.5 -7.4 -8.1 5.8 6.2 14.3 -0.4 9.5 -9.7 -11.1 2.9 7.5 3.1 7.0 -1.1 4.6 -9.9 12.9 7.9 3.1 8.4 EUROSTX -20.0 -18.6 12.5 -0.4 7.8 1.2 3.7 0.6 -0.5 13.4 14.0 5.5 10.6 3.0 9.7 1.2 5.8 5.8 6.2 5.3 11.8 7.6 10.9 1.7 -18.8 -8.5 1.2 7.2 5.1 2.0 5.1 -1.1 17.6 -2.8 -4.2 9.3 5.7 FEEDCOW -4.6 17.4 14.5 -2.8 5.8 -2.5 2.3 -1.6 -2.0 13.8 10.2 8.3 6.7 10.5 11.5 -20.0 -20.0 -20.0 -20.0 18.1 14.2 20.0 7.5 17.5 -17.2 12.2 5.7 8.1 5.0 5.6 3.1 5.0 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -13.7 -14.2 -10.9 -3.6 -0.1 -2.5 -1.9 0.9 -3.8 -8.5 -11.5 -12.4 6.7 -13.3 -12.0 20.0 20.0 20.0 20.0 -15.0 -10.2 -9.6 5.1 -14.6 -1.0 -15.4 -5.5 -2.0 -4.4 -3.4 -0.0 -5.1 20.0 -6.8 -5.8 -9.4 -11.4 GASOILINE -10.1 -5.3 0.9 -3.6 -0.1 -2.5 -1.9 0.9 -3.8 8.9 1.4 -0.9 2.4 -3.3 3.3 20.0 12.4 9.0 6.8 -1.4 0.3 6.6 5.7 -0.4 -14.8 -13.1 0.1 4.8 2.4 3.5 6.8 0.0 -0.8 19.9 13.0 5.1 18.6 GAS_US -5.8 -3.1 -20.0 -3.6 -0.1 -2.5 -1.9 0.9 -3.8 -13.4 -16.3 -15.2 -13.4 -14.6 -16.2 -20.0 -9.0 -18.1 -11.9 -20.0 -20.0 -17.7 -20.0 -19.6 11.1 -9.3 -5.9 -5.4 -6.6 -6.2 -2.9 -5.6 -20.0 -20.0 -7.5 2.2 -20.0 GBP 16.4 -2.9 9.8 0.6 6.7 0.7 5.3 -1.6 2.3 13.3 11.5 14.9 -2.0 9.8 5.0 -1.5 -1.9 -2.0 -2.1 6.4 3.7 14.6 -3.3 11.3 9.5 9.4 2.3 7.1 -0.5 7.4 -5.4 5.4 0.9 4.2 9.2 6.8 -3.1 GOLD_micro 20.0 -3.7 15.7 2.1 4.9 1.7 5.8 1.6 4.3 5.2 10.1 12.1 -0.0 10.8 9.4 -10.6 -10.5 -11.7 -11.7 13.7 9.9 14.7 4.9 17.6 -1.4 -13.8 4.4 2.1 3.1 4.7 1.7 5.7 -15.2 -1.5 20.0 16.6 13.0 HEATOIL -14.1 -15.6 -11.7 -3.6 -0.1 -2.5 -1.9 0.9 -3.8 -0.9 -11.0 -11.0 5.7 -12.6 -11.9 20.0 20.0 20.0 20.0 -15.2 -10.2 -7.3 4.1 -13.9 -9.1 -13.6 -4.8 -1.1 -2.6 -2.5 3.4 -4.6 20.0 -0.0 -5.1 -11.2 -3.4 JPY 18.6 -10.1 9.1 0.6 6.7 0.7 5.3 -1.6 2.3 -9.0 5.9 9.0 -6.7 1.3 -1.2 -14.2 -12.5 -14.0 -13.6 2.4 1.3 3.5 -7.1 5.4 1.9 9.9 1.5 -3.5 0.5 1.7 -4.3 2.8 -18.0 -11.2 10.8 1.3 3.5 LEANHOG -12.8 -14.1 -20.0 -2.8 5.8 -2.5 2.3 -1.6 -2.0 -0.3 -13.2 -11.0 -9.7 -12.9 -14.8 -20.0 -20.0 -20.0 -20.0 -20.0 -17.9 -18.0 -9.1 -20.0 17.8 -11.1 -5.8 -1.4 -4.6 -3.9 -2.6 -5.8 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -18.7 -6.9 6.1 -2.8 5.8 -2.5 2.3 -1.6 -2.0 13.8 10.3 5.1 7.6 -0.0 4.7 20.0 -12.9 20.0 6.2 1.1 6.1 14.0 6.2 1.0 -20.0 12.0 0.4 12.6 3.1 6.1 4.0 0.3 -20.0 20.0 -0.8 5.0 17.8 MXP -20.0 -6.1 4.2 0.6 6.7 0.7 5.3 -1.6 2.3 14.0 13.6 8.6 14.9 7.6 11.0 16.5 20.0 19.1 20.0 11.4 15.5 15.0 16.1 9.4 -20.0 9.7 4.4 6.5 6.7 4.5 7.0 2.7 20.0 13.4 -13.9 20.0 19.4 NASDAQ 9.9 8.7 17.0 -0.4 7.8 1.2 3.7 0.6 -0.5 13.3 0.7 14.2 -9.2 13.0 13.0 -7.3 -5.2 -7.0 -6.4 14.2 7.4 18.4 -4.2 17.0 -1.1 10.2 5.6 5.6 4.1 5.8 1.2 5.8 -2.3 -1.6 20.0 20.0 17.2 NIKKEI -10.9 3.1 2.1 -0.7 6.1 1.1 1.9 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 -0.2 14.1 17.3 -8.8 NZD 6.6 -14.6 5.8 0.6 6.7 0.7 5.3 -1.6 2.3 7.5 7.3 8.9 -1.6 -5.1 -6.3 0.8 0.5 0.5 0.3 -2.8 -0.5 3.8 -2.8 -0.7 1.1 10.8 -1.4 3.6 -0.4 2.4 -1.8 -0.1 5.0 -6.7 -7.7 -8.3 -5.3 OAT 20.0 2.6 13.0 1.8 -1.6 -0.4 1.7 -3.4 3.2 -11.0 -10.1 7.5 -13.0 3.0 -3.6 9.0 12.0 10.0 11.3 0.0 -6.9 2.1 -14.3 5.3 5.4 12.7 1.6 -2.7 -1.8 1.7 -7.0 3.5 19.6 -1.6 -3.6 2.2 -8.5 OJ 4.9 1.3 -6.5 -2.8 5.8 -2.5 2.3 -1.6 -2.0 13.6 14.6 13.5 15.0 13.5 13.0 20.0 18.3 20.0 20.0 20.0 20.0 20.0 20.0 19.7 -20.0 -14.3 5.9 5.0 7.3 4.5 7.5 4.4 20.0 20.0 20.0 20.0 20.0 PALLAD 15.8 -13.4 -20.0 2.1 4.9 1.7 5.8 1.6 4.3 10.6 -15.2 1.4 -14.3 -9.2 -13.7 -2.3 -2.1 -2.6 -2.5 -20.0 -20.0 2.9 -20.0 -7.2 20.0 -11.1 -5.1 3.6 -6.3 1.3 -5.1 -1.7 0.0 -20.0 -20.0 -17.7 -20.0 PLAT 10.1 -7.6 -3.0 2.1 4.9 1.7 5.8 1.6 4.3 1.2 2.9 4.5 0.2 2.6 -5.3 -1.9 -1.2 -1.9 -1.6 -1.6 -0.6 1.8 1.0 1.4 0.8 11.2 -2.1 1.6 -1.1 0.6 -0.2 -0.4 1.5 -20.0 -16.9 -8.1 -15.1 REDWHEAT 13.1 -1.8 -7.2 -2.8 5.8 -2.5 2.3 -1.6 -2.0 13.1 -10.2 13.3 -10.8 2.3 -2.1 11.5 4.5 9.4 7.4 -3.4 -9.4 20.0 -7.7 7.7 -0.8 12.9 -0.9 8.8 -2.2 8.3 -0.3 3.4 -2.5 20.0 20.0 0.6 -3.4 ROBUSTA -10.9 13.5 20.0 -2.8 5.8 -2.5 2.3 -1.6 -2.0 11.7 5.1 10.3 1.7 10.1 12.4 10.0 9.3 9.3 9.7 14.6 11.6 14.4 5.9 12.6 -8.0 9.6 4.7 5.5 3.4 5.0 1.5 4.3 3.7 20.0 12.2 20.0 20.0 RUSSELL -20.0 -20.0 5.0 -0.4 7.8 1.2 3.7 0.6 -0.5 3.8 -3.8 -11.3 -8.8 -13.2 -10.0 -5.1 -4.1 -5.5 -5.2 -13.2 -5.6 -7.4 -4.8 -16.5 0.2 10.0 -2.8 0.8 -0.2 -2.4 0.3 -4.6 -0.5 -20.0 -20.0 -9.1 -5.4 SILVER-mini 20.0 -9.4 0.4 2.1 4.9 1.7 5.8 1.6 4.3 14.0 5.7 15.7 -1.7 8.2 1.2 -5.3 -4.7 -5.5 -5.3 4.6 1.9 20.0 0.4 15.6 0.9 -11.3 0.9 5.7 -0.1 6.9 -0.8 4.6 -4.6 9.3 7.6 -2.8 -9.1 SOYBEAN -20.0 -14.9 -13.9 -2.8 5.8 -2.5 2.3 -1.6 -2.0 7.4 -3.9 -6.5 0.5 -9.9 -10.5 20.0 20.0 20.0 20.0 -17.5 -9.3 -10.8 -0.5 -20.0 -4.0 -11.7 -4.9 1.0 -2.4 -3.2 0.6 -5.8 20.0 -20.0 -20.0 -20.0 -14.8 SOYMEAL -20.0 -14.4 12.2 -2.8 5.8 -2.5 2.3 -1.6 -2.0 6.2 11.5 -5.8 12.9 -5.0 4.2 14.6 18.2 18.7 19.1 1.4 13.1 -7.5 16.7 -9.6 -20.0 -12.0 -0.7 1.6 4.5 -3.5 7.4 -4.7 19.6 -20.0 -8.2 -4.9 20.0 SOYOIL -15.8 -11.8 -18.3 -2.8 5.8 -2.5 2.3 -1.6 -2.0 -1.7 -10.3 -8.1 -1.1 -10.6 -13.4 -0.4 12.9 2.3 7.0 -19.6 -14.2 -13.5 -3.7 -20.0 1.3 12.9 -5.8 -1.4 -4.1 -3.9 -0.7 -5.7 5.0 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -20.0 4.6 -0.4 7.8 1.2 3.7 0.6 -0.5 12.9 2.3 -7.9 -1.7 -11.0 -8.5 -5.2 -4.0 -5.4 -4.9 -11.6 -2.5 -2.7 0.3 -14.4 -3.4 10.2 -2.8 2.7 0.0 -1.2 1.0 -4.2 -0.0 -16.6 -20.0 -11.5 -6.4 SP500 -4.5 -9.8 6.0 -0.4 7.8 1.2 3.7 0.6 -0.5 13.2 0.0 8.1 -6.8 -3.2 -0.4 -7.1 -5.5 -7.2 -6.6 -1.4 -0.7 9.7 -3.5 1.2 1.7 10.2 1.3 8.2 1.7 5.1 -0.0 1.7 -2.8 -6.4 8.9 9.1 -0.2 SUGAR11 0.7 5.9 10.0 -2.8 5.8 -2.5 2.3 -1.6 -2.0 13.4 14.6 13.5 12.0 14.1 14.9 20.0 20.0 20.0 20.0 16.8 17.2 17.2 13.5 14.8 -20.0 10.7 6.3 9.7 7.8 6.3 7.2 5.0 20.0 20.0 20.0 20.0 20.0 US10 20.0 4.1 20.0 1.8 -1.6 -0.4 1.7 -3.4 3.2 -7.2 -5.5 8.5 -11.3 8.3 4.3 -8.1 -4.1 -8.2 -7.4 4.5 -2.5 5.6 -10.6 9.7 -2.1 9.7 3.1 -0.9 0.5 2.7 -3.1 4.7 -10.8 6.8 9.6 5.7 4.8 US10U 20.0 3.6 20.0 1.8 -1.6 -0.4 1.7 -3.4 3.2 -6.5 -5.0 8.4 -11.2 8.0 4.7 1.4 2.8 1.1 1.2 4.0 -2.6 4.6 -11.0 8.3 -5.2 -14.1 3.5 -0.8 1.1 2.5 -2.6 4.6 2.5 4.4 5.1 6.4 7.5 US20 20.0 2.5 18.2 1.8 -1.6 -0.4 1.7 -3.4 3.2 -10.9 -3.0 8.6 -9.7 8.0 5.6 -1.3 -1.5 -3.5 -3.3 4.0 -2.3 3.0 -11.0 7.3 -2.6 -12.3 3.2 -1.1 0.6 1.9 -2.9 4.1 -5.0 -1.0 4.7 5.3 5.3 US30 17.3 0.3 16.8 1.8 -1.6 -0.4 1.7 -3.4 3.2 -9.7 -2.3 5.1 -11.0 2.8 0.5 -0.4 -0.5 -1.0 -1.0 1.5 -3.5 -0.5 -13.6 3.0 -7.7 10.0 3.2 -1.9 1.1 0.5 -3.7 3.1 -2.2 -3.4 -8.5 2.2 6.3 US5 20.0 5.8 20.0 1.8 -1.6 -0.4 1.7 -3.4 3.2 -6.7 -5.7 8.5 -11.7 8.4 4.4 -9.1 -4.6 -9.6 -8.5 4.5 -2.6 5.6 -10.3 9.9 -0.2 10.8 2.7 -0.8 -0.0 2.8 -3.6 4.5 -12.3 6.7 12.0 3.8 3.6 VIX 20.0 20.0 -1.6 -1.9 -3.0 -4.9 -1.0 -5.4 0.5 -13.0 -11.6 -1.2 -12.9 1.0 -4.6 -12.8 -20.0 -17.7 -19.9 -1.6 -8.4 -5.3 -10.9 0.7 NaN -13.5 -2.0 -3.6 -6.4 -1.2 -7.6 0.7 NaN NaN NaN NaN NaN WHEAT 4.3 -5.9 -10.7 -2.8 5.8 -2.5 2.3 -1.6 -2.0 8.8 -13.6 7.2 -14.4 -8.9 -10.6 -11.9 -7.9 -11.1 -9.7 -14.7 -17.9 2.7 -14.8 -7.6 7.1 11.9 -4.5 2.1 -4.3 1.0 -2.1 -2.5 -20.0 -6.1 -2.8 -11.9 -11.3 End of report for caleb_strategy_v1