******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230331_204901 produced at 2023-03-31 21:35:55.394884 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.856776e+07 -4.856776e+07 -0.10 -0.10 -3.32 999999999 -2 -2 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.14 0.0 9.159852e+06 -9.159852e+06 -0.15 -0.15 -14.96 999999999 -16 -16 caleb_strategy_v1 CHF False False 0.06 -0.17 -0.14 0.0 5.522469e+07 -5.522469e+07 -0.17 -0.17 -2.46 999999999 -3 -3 caleb_strategy_v1 EUR False False 0.05 -0.22 -0.10 0.0 5.461587e+07 -5.461587e+07 -0.22 -0.22 -1.75 999999999 -4 -4 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.466378e+07 -1.466378e+07 -0.06 -0.06 -6.17 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.09 0.0 5.258898e+07 -5.258898e+07 -0.05 -0.05 -1.78 999999999 -1 -1 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.445134e+07 -4.445134e+07 -0.09 -0.09 -1.22 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.15 -0.05 0.0 3.817524e+07 -3.817524e+07 -0.15 -0.15 -1.43 999999999 -4 -4 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.133778e+07 -6.133778e+07 0.00 0.00 -0.47 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 7.965664e+06 -7.965664e+06 0.00 0.00 -3.58 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.02 0.0 1.159713e+07 -1.159713e+07 -0.05 -0.05 -1.97 999999999 -4 -4 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.616638e+06 -3.616638e+06 -0.05 -0.07 -2.80 999999999 -13 -20 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.607486e+07 -4.607486e+07 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.436531e+07 -2.436531e+07 -0.02 -0.02 -0.52 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.01 0.0 4.415538e+07 -4.415538e+07 -0.04 -0.04 -0.21 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.753138e+06 -9.753138e+06 -0.01 -0.01 -0.93 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.882750e+07 -5.882750e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 LIVECOW False False 0.03 -0.10 -0.01 0.0 2.598432e+07 -2.598432e+07 -0.10 -0.10 -0.35 999999999 -4 -4 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.855578e+06 -6.855578e+06 0.00 0.00 -0.96 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.01 0.0 4.389827e+07 -4.389827e+07 -0.18 -0.18 -0.13 999999999 -4 -4 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.546251e+07 -1.546251e+07 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.851158e+07 -1.851158e+07 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.724237e+07 -1.724237e+07 0.03 0.03 0.26 999999999 2 2 caleb_strategy_v1 SP400 False False 0.10 0.00 -0.00 0.0 1.010310e+08 -1.010310e+08 0.00 0.00 -0.00 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.146886e+06 -1.146886e+06 -0.01 -0.01 -3.81 999999999 -8 -8 caleb_strategy_v1 DOW False False 0.01 -0.09 0.00 0.0 6.686091e+06 -6.686091e+06 -0.09 -0.03 0.23 999999999 -13 -4 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.470186e+07 -1.470186e+07 -0.06 -0.06 -0.28 999999999 -4 -4 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.346679e+07 -1.346679e+07 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.01 0.0 1.842794e+07 -1.842794e+07 0.09 0.07 0.72 999999999 5 4 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.686623e+07 -2.686623e+07 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.290106e+07 -4.290106e+07 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.643730e+07 -2.643730e+07 0.00 0.00 0.50 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 2.006148e+07 -2.006148e+07 0.06 0.06 0.51 999999999 3 3 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.666412e+07 -1.666412e+07 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 3.034577e+07 -3.034577e+07 0.00 0.03 0.41 999999999 0 1 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.551781e+07 -2.551781e+07 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.01 0.0 8.273932e+07 -8.273932e+07 0.08 0.17 0.17 999999999 1 2 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.663525e+07 -5.663525e+07 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.098884e+07 -4.098884e+07 0.00 0.00 0.48 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.424046e+06 -4.424046e+06 0.00 0.00 4.35 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.02 0.0 3.188202e+07 -3.188202e+07 0.00 0.00 0.49 999999999 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.508236e+07 -2.508236e+07 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 8.847175e+06 -8.847175e+06 0.02 0.02 1.87 999999999 2 2 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 1.134960e+07 -1.134960e+07 0.06 0.06 2.22 999999999 5 5 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.03 0.0 9.828020e+06 -9.828020e+06 0.04 0.04 2.63 999999999 4 4 caleb_strategy_v1 MXP False False 0.01 0.01 0.03 0.0 1.095975e+07 -1.095975e+07 0.01 0.03 2.40 999999999 1 3 caleb_strategy_v1 GBP False False 0.03 0.25 0.04 0.0 3.095709e+07 -3.095709e+07 0.25 0.25 1.34 999999999 8 8 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 2.967030e+07 -2.967030e+07 0.00 0.00 1.44 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.04 0.0 2.941976e+07 -2.941976e+07 0.12 0.12 1.22 999999999 4 4 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.025254e+07 -5.025254e+07 0.05 0.05 1.05 999999999 1 1 caleb_strategy_v1 NASDAQ False False 0.11 0.21 0.06 0.0 1.064267e+08 -1.064267e+08 0.21 0.21 0.54 999999999 2 2 caleb_strategy_v1 OAT False False 0.06 0.11 0.06 0.0 5.665455e+07 -5.665455e+07 0.11 0.11 1.14 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 4.64 999999999 0 0 caleb_strategy_v1 BUND False False 0.06 0.12 0.24 0.0 5.906344e+07 -5.906344e+07 0.12 0.12 4.07 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 30.73 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.15 0.26 0.0 5.123779e+07 -5.123779e+07 0.15 0.15 5.09 999999999 3 3 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 13.5 Shocked risk 31.8 Sum abs risk 41.3 Leverage 2.49 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2494581.72, 'annual_cash_vol_target': 623645.43, 'daily_cash_vol_target': 38977.839375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6702 0.7252 11.6037 BITCOIN 1075.4813 28610.0000 3.7591 60.1458 BOBL 0.5776 118.0500 0.4893 7.8291 BTP 0.8430 115.7800 0.7281 11.6491 BUND 1.0318 136.0800 0.7582 12.1314 BUXL 2.3051 141.3200 1.6311 26.0983 CAC 79.0113 7345.5000 1.0756 17.2103 CAD 0.0031 0.7402 0.4185 6.6965 CANOLA 8.6747 751.2000 1.1548 18.4764 CHF 0.0062 1.1021 0.5648 9.0373 COCOA 33.5635 2893.0000 1.1602 18.5626 COFFEE 3.2784 169.7500 1.9313 30.9009 COPPER 0.0491 4.0900 1.2011 19.2174 CORN 4.6603 566.2500 0.8230 13.1682 COTTON2 1.4870 83.1400 1.7886 28.6173 CRUDE_W 1.3353 73.3900 1.8194 29.1102 DAX 172.4869 15795.0000 1.0920 17.4726 DOW 270.3474 33358.0000 0.8104 12.9671 EUR 0.0061 1.0900 0.5638 9.0209 EUROSTX 51.4529 4265.0000 1.2064 19.3024 FEEDCOW 1.2601 221.7750 0.5682 9.0912 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.5380 757.0000 1.7884 28.6139 GASOILINE 0.0474 2.6226 1.8076 28.9216 GAS_US 0.1238 2.4330 5.0886 81.4175 GBP 0.0078 1.2356 0.6306 10.0898 GOLD_micro 20.1339 1987.1000 1.0132 16.2117 HEATOIL 0.0460 2.5481 1.8057 28.8905 JPY 0.0001 0.0076 0.7176 11.4811 LEANHOG 1.4174 91.4500 1.5500 24.7993 LIVECOW 0.9181 162.0500 0.5665 9.0646 MXP 0.0005 0.0547 0.8710 13.9362 NASDAQ 134.4308 13274.5000 1.0127 16.2032 NIKKEI 270.5438 27785.0000 0.9737 15.5793 NZD 0.0047 0.6257 0.7552 12.0828 OAT 0.9429 130.5300 0.7223 11.5574 OJ 4.6352 257.1500 1.8025 28.8406 PALLAD 31.0981 1467.5000 2.1191 33.9060 PLAT 16.8500 1000.9000 1.6835 26.9358 REDWHEAT 11.5761 860.2500 1.3457 21.5306 ROBUSTA 28.4694 2207.0000 1.2900 20.6394 RUSSELL 23.6403 1804.4000 1.3101 20.9623 SILVER-mini 0.3825 24.3125 1.5734 25.1745 SOYBEAN 11.6419 1319.0000 0.8826 14.1221 SOYMEAL 5.5338 459.7000 1.2038 19.2605 SOYOIL 0.9356 55.9900 1.6710 26.7358 SP400 30.3784 2520.3000 1.2053 19.2856 SP500 36.4411 4128.0000 0.8828 14.1244 SUGAR11 0.2969 21.8900 1.3561 21.6983 US10 0.6633 114.9375 0.5771 9.2336 US10U 0.8483 121.1562 0.7002 11.2031 US20 1.1445 131.1875 0.8724 13.9586 US30 1.6189 141.2812 1.1458 18.3334 US5 0.5036 109.5078 0.4599 7.3579 VIX 0.8180 22.8500 3.5797 57.2752 WHEAT 10.4568 733.5000 1.4256 22.8097 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.20 0.73 486.05 1.00 486.05 38977.84 80.19 1.50 12.05 BITCOIN 28.61 3.76 107.55 1.00 107.55 38977.84 362.42 -4.46 -161.61 BOBL 1180.50 0.49 577.64 1.08 625.43 38977.84 62.32 11.32 70.53 BTP 1157.80 0.73 842.96 1.08 912.70 38977.84 42.71 12.16 51.94 BUND 1360.80 0.76 1031.77 1.08 1117.14 38977.84 34.89 16.15 56.36 BUXL 1413.20 1.63 2305.13 1.08 2495.85 38977.84 15.62 -3.57 -5.58 CAC 734.55 1.08 790.11 1.08 855.48 38977.84 45.56 3.79 17.25 CAD 740.15 0.42 309.77 1.00 309.77 38977.84 125.83 6.41 80.69 CANOLA 150.24 1.15 173.49 0.73 127.44 38977.84 305.85 15.51 474.22 CHF 1377.62 0.56 778.12 1.00 778.12 38977.84 50.09 -13.15 -65.86 COCOA 289.30 1.16 335.64 1.00 335.64 38977.84 116.13 -7.77 -90.24 COFFEE 636.56 1.93 1229.40 1.00 1229.40 38977.84 31.70 6.05 19.17 COPPER 1022.50 1.20 1228.11 1.00 1228.11 38977.84 31.74 5.51 17.49 CORN 283.12 0.82 233.02 1.00 233.02 38977.84 167.28 14.70 245.96 COTTON2 415.70 1.79 743.51 1.00 743.51 38977.84 52.42 8.85 46.41 CRUDE_W 733.90 1.82 1335.25 1.00 1335.25 38977.84 29.19 3.17 9.27 DAX 157.95 1.09 172.49 1.08 186.76 38977.84 208.71 -0.85 -17.73 DOW 166.79 0.81 135.17 1.00 135.17 38977.84 288.35 0.28 7.95 EUR 1362.44 0.56 768.15 1.00 768.15 38977.84 50.74 -9.23 -46.84 EUROSTX 426.50 1.21 514.53 1.08 557.10 38977.84 69.97 0.55 3.86 FEEDCOW 1108.88 0.57 630.06 1.00 630.06 38977.84 61.86 -7.31 -45.22 FTSE100 707.00 0.82 576.59 1.23 666.67 38977.84 58.47 7.70 45.01 GASOIL 757.00 1.79 1353.80 1.00 1353.80 38977.84 28.79 1.97 5.68 GASOILINE 1101.49 1.81 1991.06 1.00 1991.06 38977.84 19.58 -2.58 -5.05 GAS_US 243.30 5.09 1238.05 1.00 1238.05 38977.84 31.48 -19.66 -61.88 GBP 772.25 0.63 486.99 1.00 486.99 38977.84 80.04 9.38 75.08 GOLD_micro 198.71 1.01 201.34 1.00 201.34 38977.84 193.59 -8.27 -160.15 HEATOIL 1070.20 1.81 1932.42 1.00 1932.42 38977.84 20.17 1.81 3.65 JPY 952.31 0.72 683.35 1.00 683.35 38977.84 57.04 -3.88 -22.14 LEANHOG 365.80 1.55 566.97 1.00 566.97 38977.84 68.75 -19.20 -132.01 LIVECOW 648.20 0.57 367.23 1.00 367.23 38977.84 106.14 -1.23 -13.03 MXP 273.40 0.87 238.14 1.00 238.14 38977.84 163.68 11.96 195.82 NASDAQ 2654.90 1.01 2688.62 1.00 2688.62 38977.84 14.50 6.84 9.91 NIKKEI 27785.00 0.97 27054.38 0.01 206.52 38977.84 188.74 8.57 161.79 NZD 625.70 0.76 472.51 1.00 472.51 38977.84 82.49 6.21 51.25 OAT 1305.30 0.72 942.87 1.08 1020.88 38977.84 38.18 14.77 56.39 OJ 385.72 1.80 695.28 1.00 695.28 38977.84 56.06 -3.24 -18.14 PALLAD 1467.50 2.12 3109.81 1.00 3109.81 38977.84 12.53 -4.78 -5.99 PLAT 500.45 1.68 842.50 1.00 842.50 38977.84 46.26 4.56 21.09 REDWHEAT 430.12 1.35 578.80 1.00 578.80 38977.84 67.34 7.33 49.38 ROBUSTA 220.70 1.29 284.69 1.00 284.69 38977.84 136.91 10.54 144.27 RUSSELL 90.22 1.31 118.20 1.00 118.20 38977.84 329.76 -1.64 -54.06 SILVER-mini 607.81 1.57 956.34 1.00 956.34 38977.84 40.76 -5.72 -23.31 SOYBEAN 659.50 0.88 582.10 1.00 582.10 38977.84 66.96 1.26 8.43 SOYMEAL 459.70 1.20 553.38 1.00 553.38 38977.84 70.44 1.74 12.24 SOYOIL 335.94 1.67 561.35 1.00 561.35 38977.84 69.44 2.62 18.18 SP400 2520.30 1.21 3037.84 1.00 3037.84 38977.84 12.83 -0.00 -0.00 SP500 2064.00 0.88 1822.05 1.00 1822.05 38977.84 21.39 2.85 6.10 SUGAR11 245.17 1.36 332.48 1.00 332.48 38977.84 117.23 16.55 193.99 US10 1149.38 0.58 663.30 1.00 663.30 38977.84 58.76 -0.53 -3.10 US10U 1211.56 0.70 848.33 1.00 848.33 38977.84 45.95 -4.96 -22.81 US20 1311.88 0.87 1144.49 1.00 1144.49 38977.84 34.06 -7.10 -24.18 US30 1412.81 1.15 1618.85 1.00 1618.85 38977.84 24.08 1.39 3.35 US5 1095.08 0.46 503.59 1.00 503.59 38977.84 77.40 -0.43 -3.34 VIX 228.50 3.58 817.96 1.00 817.96 38977.84 47.65 -16.66 -79.37 WHEAT 366.75 1.43 522.84 1.00 522.84 38977.84 74.55 -6.98 -52.05 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 12.048 0.006 2.5 0.192 BITCOIN -161.609 0.009 2.5 -3.808 BOBL 70.531 0.029 2.5 5.089 BTP 51.942 0.008 2.5 1.049 BUND 56.363 0.029 2.5 4.067 BUXL -5.580 0.034 2.5 -0.468 CAC 17.252 0.011 2.5 0.485 CAD 80.686 0.007 2.5 1.441 CANOLA 474.216 0.004 2.5 4.353 CHF -65.857 0.015 2.5 -2.465 COCOA -90.237 0.009 2.5 -1.966 COFFEE 19.167 0.005 2.5 0.248 COPPER 17.494 0.011 2.5 0.478 CORN 245.957 0.004 2.5 2.219 COTTON2 46.414 0.006 2.5 0.699 CRUDE_W 9.266 0.053 2.5 1.224 DAX -17.730 0.022 2.5 -0.963 DOW 7.950 0.011 2.5 0.227 EUR -46.843 0.015 2.5 -1.753 EUROSTX 3.862 0.011 2.5 0.109 FEEDCOW -45.216 0.011 2.5 -1.215 FTSE100 45.006 0.041 2.5 4.640 GASOIL 5.685 0.029 2.5 0.405 GASOILINE -5.045 0.016 2.5 -0.207 GAS_US -61.884 0.006 2.5 -0.932 GBP 75.082 0.007 2.5 1.341 GOLD_micro -160.155 0.009 2.5 -3.583 HEATOIL 3.647 0.029 2.5 0.260 JPY -22.142 0.026 2.5 -1.433 LEANHOG -132.013 0.019 2.5 -6.168 LIVECOW -13.026 0.011 2.5 -0.350 MXP 195.816 0.005 2.5 2.397 NASDAQ 9.909 0.022 2.5 0.538 NIKKEI 161.786 0.076 2.5 30.728 NZD 51.252 0.006 2.5 0.819 OAT 56.390 0.008 2.5 1.139 OJ -18.139 0.007 2.5 -0.316 PALLAD -5.990 0.010 2.5 -0.144 PLAT 21.089 0.010 2.5 0.507 REDWHEAT 49.376 0.002 2.5 0.264 ROBUSTA 144.268 0.005 2.5 1.870 RUSSELL -54.061 0.021 2.5 -2.800 SILVER-mini -23.313 0.009 2.5 -0.522 SOYBEAN 8.432 0.024 2.5 0.497 SOYMEAL 12.244 0.024 2.5 0.722 SOYOIL 18.181 0.004 2.5 0.167 SP400 -0.001 0.021 2.5 -0.000 SP500 6.100 0.011 2.5 0.174 SUGAR11 193.992 0.005 2.5 2.632 US10 -3.097 0.015 2.5 -0.119 US10U -22.810 0.058 2.5 -3.323 US20 -24.177 0.029 2.5 -1.782 US30 3.346 0.034 2.5 0.281 US5 -3.341 0.015 2.5 -0.128 VIX -79.367 0.075 2.5 -14.957 WHEAT -52.054 0.002 2.5 -0.278 ==================== Position diags ==================== AUD 1.28 BITCOIN 8.54 BOBL 4.50 BTP 0.86 BUND 2.52 BUXL 1.31 CAC 1.28 CAD 2.25 CANOLA 2.81 CHF 1.87 COCOA 2.53 COFFEE 0.41 COPPER 0.87 CORN 1.51 COTTON2 0.79 CRUDE_W 3.86 DAX 11.33 DOW 8.22 EUR 1.90 EUROSTX 1.97 FEEDCOW 1.66 FTSE100 6.03 GASOIL 2.05 GASOILINE 0.80 GAS_US 0.47 GBP 1.43 GOLD_micro 4.33 HEATOIL 1.44 JPY 3.69 LEANHOG 3.21 LIVECOW 2.85 MXP 2.00 NASDAQ 0.79 NIKKEI 35.85 NZD 1.32 OAT 0.77 OJ 0.98 PALLAD 0.30 PLAT 1.11 REDWHEAT 0.36 ROBUSTA 1.78 RUSSELL 17.08 SILVER-mini 0.91 SOYBEAN 3.95 SOYMEAL 4.15 SOYOIL 0.64 SP400 0.66 SP500 0.61 SUGAR11 1.59 US10 2.25 US10U 6.69 US20 2.51 US30 2.02 US5 2.97 VIX 8.98 WHEAT 0.40 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 -3.8 -4.7 -3.0 -8.0 -8 BOBL 5.1 4.6 5.5 3.0 3 BTP 1.0 1.0 1.1 1.0 1 BUND 4.1 3.8 4.3 2.0 2 BUXL -0.5 -0.6 -0.3 0.0 0 CAC 0.5 0.4 0.6 0.0 0 CAD 1.4 1.2 1.7 0.0 0 CANOLA 4.4 4.1 4.6 NaN 0 CHF -2.5 -2.7 -2.3 -3.0 -3 COCOA -2.0 -2.2 -1.7 -4.0 -4 COFFEE 0.2 0.2 0.3 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.2 2.1 2.4 5.0 5 COTTON2 0.7 0.6 0.8 NaN 0 CRUDE_W 1.2 0.8 1.6 4.0 4 DAX -1.0 -2.1 0.2 0.0 0 DOW 0.2 -0.6 1.0 -13.0 -13 EUR -1.8 -1.9 -1.6 -4.0 -4 EUROSTX 0.1 -0.1 0.3 0.0 0 FEEDCOW -1.2 -1.4 -1.0 -2.0 -2 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.2 -0.3 -0.1 -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 -3.6 -4.0 -3.2 0.0 0 HEATOIL 0.3 0.1 0.4 0.0 0 JPY -1.4 -1.8 -1.1 -4.0 -4 LEANHOG -6.2 -6.5 -5.8 -4.0 -4 LIVECOW -0.4 -0.6 -0.1 -4.0 -4 MXP 2.4 2.2 2.6 1.0 1 NASDAQ 0.5 0.5 0.6 2.0 2 NIKKEI 30.7 27.1 34.3 0.0 0 NZD 0.8 0.7 1.0 0.0 0 OAT 1.1 1.1 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 0.3 0.2 0.3 2.0 2 ROBUSTA 1.9 1.7 2.0 2.0 2 RUSSELL -2.8 -4.5 -1.1 -13.0 -13 SILVER-mini -0.5 -0.6 -0.4 -1.0 -1 SOYBEAN 0.5 0.1 0.9 0.0 0 SOYMEAL 0.7 0.3 1.1 5.0 5 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.0 -0.1 0.1 0.0 0 SP500 0.2 0.1 0.2 1.0 1 SUGAR11 2.6 2.5 2.8 4.0 4 US10 -0.1 -0.3 0.1 NaN 0 US10U -3.3 -4.0 -2.7 -2.0 -2 US20 -1.8 -2.0 -1.5 -1.0 -1 US30 0.3 0.1 0.5 0.0 0 US5 -0.1 -0.4 0.2 -4.0 -4 VIX -15.0 -15.9 -14.1 -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 0.1 0.3 -0.2 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.0 0.0 0.6 -4.8 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 -0.0 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 0.4 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 0.1 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 -0.0 0.0 2.6 0.1 -0.2 0.1 0.1 BUND 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 0.6 0.6 0.2 0.2 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 0.1 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 0.1 -0.2 0.0 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 0.0 2.4 2.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 -0.2 -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 3.0 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 0.3 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 0.1 0.2 0.3 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 0.3 0.0 0.1 0.1 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 0.1 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 1.7 2.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.0 -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 0.1 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 0.1 -0.4 -0.1 0.0 CORN 0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.1 -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 1.2 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 2.8 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 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 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 -0.0 -0.3 -0.1 0.0 0.1 0.0 0.2 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 -0.0 0.0 -0.0 -0.0 -0.1 2.1 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.3 -0.1 -0.1 -0.0 -0.2 EUR 0.2 -0.2 0.3 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.3 0.0 -0.0 0.0 0.1 -0.4 -0.3 -0.1 -0.2 0.1 0.1 0.0 -0.0 0.0 -1.4 -2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -1.2 0.1 0.1 0.0 0.1 EUROSTX -0.2 -0.3 0.2 0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.3 0.0 0.3 0.0 0.3 0.1 0.2 0.1 0.1 0.1 0.2 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 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.1 0.0 -3.0 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 -0.0 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 -0.0 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 -1.9 -2.6 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 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 -0.0 -0.0 -0.4 -0.0 -0.3 -0.1 -0.4 -1.6 -0.4 -0.4 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 1.4 -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 -0.0 0.0 0.1 -0.1 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 1.3 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 -0.0 0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.3 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 -0.1 0.4 0.2 0.2 HEATOIL -0.1 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 0.0 -0.0 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 -0.8 -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 -0.1 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 -0.2 0.2 -0.0 0.0 LEANHOG -0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.1 -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 -0.1 -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 0.2 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 0.1 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 0.3 1.2 0.8 0.4 0.4 0.1 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 0.0 0.1 0.0 0.1 0.0 2.2 0.0 -0.3 0.3 0.3 NASDAQ 0.2 0.1 0.3 0.0 0.1 0.0 0.2 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 -0.0 0.0 -0.2 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.3 -0.1 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 0.1 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 -0.0 0.0 -0.1 OJ 0.0 0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.5 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 -0.3 -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 0.2 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 0.2 -0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 1.0 0.2 0.2 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.2 2.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.1 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 0.2 0.0 0.0 0.1 -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 0.1 2.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.4 -0.2 -0.1 SILVER-mini 0.2 -0.1 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 -0.0 0.0 0.1 -0.3 -0.2 -0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.1 -3.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.0 -0.2 SOYBEAN -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.1 -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 0.1 -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 -0.1 -0.2 -0.1 0.3 SOYOIL -0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.1 -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 0.3 2.7 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.6 -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 0.0 -0.2 0.1 0.0 0.1 0.0 0.2 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 0.1 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 1.5 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 0.1 -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 0.1 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 0.1 -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 0.1 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 -0.2 -2.2 -1.6 -0.7 -0.8 -0.0 -0.1 -0.0 -0.2 -0.0 NaN -3.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 NaN NaN NaN NaN NaN WHEAT 0.1 -0.1 -0.2 -0.0 0.0 -0.1 0.1 -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 1.0 2.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -2.7 -0.1 -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 0.2 -18.7 5.1 0.9 5.3 0.8 5.4 -1.6 2.7 -0.5 1.5 2.2 -4.5 -10.3 -9.9 -3.4 -2.9 -3.5 -3.3 -8.6 -4.9 -0.6 -5.4 -6.9 7.9 11.7 -3.6 0.4 -2.3 -0.2 -2.5 -2.7 -0.9 -14.1 -20.0 -17.5 -9.1 BITCOIN 12.6 9.9 20.0 2.4 4.7 1.8 5.8 1.7 4.5 10.3 11.6 14.2 -10.5 13.9 14.1 -3.9 -1.7 -2.9 -2.0 15.0 8.6 13.8 -3.4 16.4 2.9 -18.1 5.1 2.6 3.5 4.3 0.5 5.2 1.1 -7.0 -0.4 20.0 20.0 BOBL 20.0 15.2 20.0 1.9 -0.2 -0.3 1.7 -3.4 3.1 -7.9 -10.4 7.2 -13.2 7.5 0.5 4.4 4.9 -0.7 1.2 2.1 -6.1 2.4 -13.1 7.0 11.5 10.8 1.8 -0.8 -1.7 2.1 -5.8 3.8 5.1 -3.9 10.7 4.7 -9.4 BTP 17.2 3.1 14.3 1.9 -0.2 -0.3 1.7 -3.4 3.1 -0.6 2.2 9.8 -9.1 7.6 7.0 8.4 12.2 9.0 11.0 6.6 1.4 5.0 -9.2 8.4 -11.1 11.4 4.3 1.0 2.0 2.4 -4.0 4.4 19.7 6.2 -7.3 10.0 3.6 BUND 20.0 9.7 18.2 1.9 -0.2 -0.3 1.7 -3.4 3.1 -7.5 -10.7 6.6 -13.3 5.6 -1.3 7.1 13.7 9.3 11.3 1.3 -6.7 2.0 -14.7 5.8 8.5 12.3 2.0 -0.8 -1.5 1.8 -6.0 3.7 20.0 -3.4 3.6 4.1 -6.9 BUXL 20.0 7.5 9.2 1.9 -0.2 -0.3 1.7 -3.4 3.1 -9.5 -10.6 2.6 -13.3 3.1 -6.6 2.3 0.8 2.7 2.6 -1.7 -8.6 -2.0 -16.0 2.0 6.1 -10.8 0.9 -1.7 -2.3 0.4 -6.3 2.5 2.2 -8.4 -3.5 0.2 -13.7 CAC -20.0 -18.0 12.6 0.2 10.4 1.3 6.0 0.7 1.0 13.8 13.7 6.0 11.0 2.8 9.4 -4.1 0.5 -3.6 -2.2 6.1 12.8 10.9 12.6 2.9 -15.8 8.9 1.2 8.0 4.5 2.9 4.8 -0.7 6.2 -5.6 -11.6 8.6 7.5 CAD 6.7 -10.9 1.8 0.9 5.3 0.8 5.4 -1.6 2.7 13.2 -9.4 12.2 -10.5 -3.5 -6.2 -2.7 -1.7 -2.5 -2.2 -6.6 -9.3 13.8 -12.1 1.4 17.4 10.4 -2.7 8.2 -3.6 6.0 -4.7 0.6 1.0 11.3 -10.4 -7.2 -11.7 CANOLA -20.0 -13.6 -16.3 -2.5 6.2 -2.5 3.3 -1.7 -1.2 12.6 -10.0 -4.9 -11.7 -8.3 -11.5 19.6 13.5 15.8 13.1 -20.0 -19.4 -6.1 -10.3 -20.0 13.4 13.2 -5.5 1.0 -4.0 -2.0 -1.9 -5.1 9.1 -17.5 -20.0 -20.0 -20.0 CHF 14.2 -7.9 6.4 0.9 5.3 0.8 5.4 -1.6 2.7 11.3 10.2 7.4 3.5 4.6 2.6 -12.6 -13.7 -13.8 -14.1 4.0 4.4 7.7 2.1 6.2 -5.6 -11.5 2.5 3.3 2.3 4.3 -0.1 3.7 -19.5 -1.1 10.9 6.4 1.7 COCOA 7.5 11.0 16.8 -2.5 6.2 -2.5 3.3 -1.7 -1.2 13.9 13.5 15.2 4.0 13.7 13.0 5.2 -1.5 1.9 0.3 18.5 15.2 20.0 8.3 20.0 -20.0 -10.4 5.5 5.7 4.9 7.0 3.0 6.3 -13.9 20.0 20.0 20.0 20.0 COFFEE -12.3 9.0 7.3 -2.5 6.2 -2.5 3.3 -1.7 -1.2 -12.2 -5.7 -12.8 -7.7 -9.9 5.1 3.8 3.2 2.9 3.1 -0.7 -3.8 -12.3 -8.4 -6.7 10.4 10.0 -0.9 -6.4 -1.7 -6.3 -3.2 -3.9 -7.0 -20.0 -10.4 4.3 13.6 COPPER -1.3 -10.9 18.5 2.4 4.7 1.8 5.8 1.7 4.5 10.4 8.9 11.1 -1.8 1.5 4.4 -0.7 -0.5 -0.8 -0.7 4.2 7.6 8.4 3.5 4.2 -3.8 11.1 -0.2 2.7 1.8 3.5 1.8 0.8 2.9 7.7 -20.0 -7.9 0.8 CORN 5.6 -16.3 -20.0 -2.5 6.2 -2.5 3.3 -1.7 -1.2 6.6 -6.4 6.8 -1.7 -8.0 -12.0 16.4 19.5 20.0 20.0 -15.0 -13.8 5.0 -2.1 -6.1 7.8 11.0 -4.9 1.6 -5.1 1.7 -2.0 -1.8 20.0 3.2 -1.8 -20.0 -20.0 COTTON2 -4.3 -3.8 -0.7 -2.5 6.2 -2.5 3.3 -1.7 -1.2 11.8 -10.2 3.9 -11.0 -3.8 -6.7 -3.7 8.7 -3.0 1.1 -7.0 -10.3 9.8 -10.4 -1.7 11.5 12.0 -3.2 7.2 -3.1 4.5 -1.2 -1.0 -3.7 14.0 -4.7 -10.9 -0.2 CRUDE_W -11.3 -10.7 -8.1 -3.5 2.3 -2.6 -0.6 0.9 -3.3 13.8 -3.0 -0.4 -1.8 -3.6 -6.2 6.4 11.2 7.5 8.7 -8.8 -6.5 9.0 -0.3 -4.4 -8.1 10.8 -3.2 7.4 -1.9 3.4 1.4 -1.6 -0.2 20.0 2.6 -2.4 -0.9 DAX -20.0 -18.8 15.5 0.2 10.4 1.3 6.0 0.7 1.0 13.9 13.9 6.8 6.1 3.2 9.4 -6.8 -5.7 -8.1 -7.5 5.1 10.9 11.2 8.7 2.8 -18.7 9.9 1.4 8.8 4.8 3.6 3.9 -0.3 -3.7 -5.9 -5.1 6.9 5.9 DOW -3.5 -20.0 -3.0 0.2 10.4 1.3 6.0 0.7 1.0 13.8 5.1 2.4 0.2 -6.7 -8.9 -6.7 -4.8 -7.0 -6.5 -8.0 -3.7 10.8 -0.6 -2.7 -0.7 10.8 -1.7 11.0 0.1 5.7 1.0 -0.0 -2.2 -8.0 -4.5 -0.8 -11.5 EUR 12.8 -9.7 16.7 0.9 5.3 0.8 5.4 -1.6 2.7 7.6 10.1 11.8 -1.4 4.9 2.4 -6.2 -8.5 -7.4 -8.0 6.2 6.3 12.2 -0.3 9.4 -9.9 -11.1 3.1 3.9 3.2 6.0 -1.0 4.6 -9.8 10.2 7.1 2.5 8.2 EUROSTX -20.0 -18.9 13.2 0.2 10.4 1.3 6.0 0.7 1.0 13.9 14.2 9.1 10.7 5.6 10.5 0.7 5.8 5.5 6.0 6.5 12.2 12.6 11.2 4.6 -18.8 -8.5 1.6 9.4 5.2 4.3 5.1 0.2 17.5 -4.8 -4.9 8.2 5.1 FEEDCOW -3.2 18.5 15.3 -2.5 6.2 -2.5 3.3 -1.7 -1.2 14.0 10.5 10.9 7.0 11.6 12.0 -20.0 -20.0 -20.0 -20.0 19.8 15.1 20.0 7.9 20.0 -17.5 12.2 5.7 8.6 4.9 6.6 3.0 5.6 -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 -12.3 -13.9 -11.2 -3.5 2.3 -2.6 -0.6 0.9 -3.3 0.8 -11.6 -11.4 6.6 -12.7 -12.1 20.0 20.0 20.0 20.0 -14.6 -10.3 -6.5 4.9 -13.2 -0.8 -15.4 -5.4 0.6 -4.5 -2.2 -0.1 -4.7 20.0 -7.3 -4.4 -8.9 -11.3 GASOILINE -7.5 -5.2 1.0 -3.5 2.3 -2.6 -0.6 0.9 -3.3 12.3 1.8 1.0 2.4 -1.8 3.7 20.0 12.6 9.6 7.2 -0.6 0.5 9.3 5.8 1.5 -15.0 -13.1 0.5 7.2 2.5 4.9 6.8 1.0 -0.4 20.0 14.0 5.9 19.1 GAS_US -5.7 -2.1 -20.0 -3.5 2.3 -2.6 -0.6 0.9 -3.3 -9.5 -16.4 -14.3 -13.5 -14.5 -16.2 -20.0 -9.4 -19.1 -12.5 -20.0 -20.0 -15.5 -20.0 -19.1 11.7 -9.3 -6.0 -3.1 -6.6 -5.4 -3.0 -5.5 -20.0 -20.0 -9.0 0.3 -20.0 GBP 17.7 -1.3 10.1 0.9 5.3 0.8 5.4 -1.6 2.7 7.6 11.6 14.1 -1.9 10.4 5.6 -1.5 -1.9 -2.0 -2.1 6.8 3.9 12.9 -3.2 11.3 9.2 9.4 2.5 4.2 -0.3 6.5 -5.3 5.4 0.9 2.5 8.4 7.9 -3.2 GOLD_micro 20.0 -2.1 16.2 2.4 4.7 1.8 5.8 1.7 4.5 1.4 10.3 11.7 0.2 10.9 9.7 -10.6 -10.5 -11.6 -11.6 14.0 10.3 12.3 5.1 16.8 -1.6 -13.8 4.5 1.0 3.2 3.9 1.8 5.4 -15.2 -18.7 19.1 16.3 13.1 HEATOIL -11.7 -15.3 -12.0 -3.5 2.3 -2.6 -0.6 0.9 -3.3 9.1 -11.1 -9.6 5.6 -11.6 -12.0 20.0 20.0 20.0 20.0 -14.6 -10.2 -3.6 4.0 -12.0 -8.8 -13.6 -4.7 1.8 -2.7 -1.1 3.4 -4.1 20.0 -0.9 -3.3 -10.8 -3.2 JPY 18.3 -9.3 9.0 0.9 5.3 0.8 5.4 -1.6 2.7 -12.3 5.9 7.3 -6.7 1.6 -1.5 -14.3 -12.5 -14.0 -13.7 2.1 1.2 0.6 -7.2 4.0 1.9 9.9 1.4 -4.3 0.5 0.3 -4.4 2.2 -18.0 -19.2 8.5 -0.2 3.0 LEANHOG -13.2 -15.1 -20.0 -2.5 6.2 -2.5 3.3 -1.7 -1.2 1.1 -13.2 -11.0 -9.8 -12.8 -14.7 -20.0 -20.0 -20.0 -20.0 -20.0 -18.6 -16.6 -9.6 -20.0 18.2 -11.1 -5.8 -1.2 -4.7 -3.5 -2.7 -5.6 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -14.1 -6.8 6.3 -2.5 6.2 -2.5 3.3 -1.7 -1.2 14.0 10.7 8.9 7.8 3.2 5.9 20.0 -12.0 20.0 7.6 3.0 6.6 20.0 6.3 5.7 -20.0 12.0 1.2 14.4 3.2 8.6 3.9 2.1 -20.0 20.0 3.0 6.1 18.3 MXP -20.0 -5.2 5.0 0.9 5.3 0.8 5.4 -1.6 2.7 14.1 13.8 11.5 14.9 9.5 11.7 16.5 20.0 19.0 20.0 12.6 16.2 18.0 16.6 11.9 -20.0 9.7 4.7 6.9 6.7 5.4 7.0 3.5 20.0 20.0 -15.5 20.0 20.0 NASDAQ 14.0 8.7 17.7 0.2 10.4 1.3 6.0 0.7 1.0 13.8 1.4 14.8 -9.0 13.7 13.4 -7.4 -5.2 -7.0 -6.4 15.7 8.2 20.0 -3.8 19.9 -1.4 10.2 5.7 8.2 4.1 7.2 1.3 6.3 -2.4 -6.2 20.0 20.0 17.6 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 8.8 -13.5 5.7 0.9 5.3 0.8 5.4 -1.6 2.7 10.7 7.3 10.3 -1.6 -3.6 -6.1 0.9 0.5 0.5 0.3 -2.4 -0.4 4.6 -2.8 0.1 1.1 10.8 -1.1 3.5 -0.3 2.8 -1.8 0.4 5.0 -11.3 -7.4 -7.6 -5.9 OAT 20.0 3.7 11.6 1.9 -0.2 -0.3 1.7 -3.4 3.1 -5.7 -9.8 7.7 -13.0 4.0 -3.2 9.1 12.0 10.0 11.2 0.2 -6.7 2.8 -14.2 5.2 5.3 12.7 1.7 -0.2 -1.7 2.0 -7.0 3.4 19.5 0.2 -2.1 1.4 -8.5 OJ 8.2 2.8 -5.2 -2.5 6.2 -2.5 3.3 -1.7 -1.2 14.0 14.7 14.4 15.1 14.1 13.4 20.0 18.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.0 5.6 7.3 5.1 7.5 4.8 20.0 20.0 20.0 20.0 20.0 PALLAD 17.1 -12.3 -20.0 2.4 4.7 1.8 5.8 1.7 4.5 12.9 -15.2 3.1 -14.3 -8.4 -13.5 -2.4 -2.1 -2.6 -2.5 -19.5 -20.0 4.8 -20.0 -5.9 20.0 -11.1 -4.9 3.8 -6.4 2.0 -5.3 -1.3 0.0 -10.7 -20.0 -19.5 -20.0 PLAT 10.9 -5.9 -2.9 2.4 4.7 1.8 5.8 1.7 4.5 7.8 2.9 6.4 0.3 4.4 -5.0 -2.0 -1.3 -1.9 -1.6 -1.2 -0.4 4.1 1.0 2.3 1.0 11.2 -1.8 3.6 -1.0 1.9 -0.2 0.2 1.5 -15.8 -17.7 -8.8 -15.3 REDWHEAT 17.2 -1.7 -7.2 -2.5 6.2 -2.5 3.3 -1.7 -1.2 13.9 -9.8 14.3 -10.8 3.7 -0.9 11.9 4.6 9.7 7.6 -2.1 -9.0 20.0 -7.7 9.6 -1.1 12.9 -0.3 7.7 -2.0 8.3 -0.2 4.0 -2.5 18.5 20.0 1.5 -2.2 ROBUSTA -10.5 13.7 20.0 -2.5 6.2 -2.5 3.3 -1.7 -1.2 12.0 5.5 11.6 2.0 11.1 12.8 10.5 9.3 9.5 9.8 15.2 12.0 14.9 6.1 13.6 -7.8 9.6 4.9 4.8 3.5 5.0 1.6 4.6 3.7 20.0 11.9 20.0 20.0 RUSSELL -20.0 -20.0 4.9 0.2 10.4 1.3 6.0 0.7 1.0 11.1 -3.8 -8.8 -8.8 -12.3 -9.9 -5.0 -4.1 -5.5 -5.2 -12.4 -5.6 -2.3 -4.9 -13.8 0.6 10.0 -2.7 3.1 -0.2 -0.8 0.2 -3.9 -0.5 -20.0 -20.0 -11.5 -5.8 SILVER-mini 20.0 -7.1 0.9 2.4 4.7 1.8 5.8 1.7 4.5 14.1 6.2 15.8 -1.5 9.7 2.6 -5.5 -4.7 -5.6 -5.3 6.4 2.7 20.0 0.6 18.1 0.3 -11.3 1.5 7.2 0.2 7.8 -0.7 5.2 -4.7 11.4 12.1 -1.3 -8.8 SOYBEAN -20.0 -14.6 -14.1 -2.5 6.2 -2.5 3.3 -1.7 -1.2 11.8 -3.9 -4.3 0.3 -8.5 -9.9 20.0 20.0 20.0 20.0 -16.2 -9.1 -4.1 -0.7 -16.9 -3.7 -11.7 -4.8 3.0 -2.4 -1.7 0.5 -5.1 20.0 -16.6 -20.0 -20.0 -15.6 SOYMEAL -20.0 -13.5 12.2 -2.5 6.2 -2.5 3.3 -1.7 -1.2 11.6 11.4 -3.5 12.9 -3.9 4.0 14.2 18.2 18.4 19.0 1.8 13.0 -2.1 16.7 -7.3 -20.0 -12.0 -0.6 4.0 4.5 -1.6 7.6 -3.9 19.3 -18.5 -9.8 -6.1 20.0 SOYOIL -12.4 -11.2 -18.4 -2.5 6.2 -2.5 3.3 -1.7 -1.2 2.2 -10.3 -5.8 -1.3 -9.6 -12.8 -0.5 12.8 2.2 6.8 -18.4 -13.8 -7.9 -3.8 -17.1 1.8 12.9 -5.7 1.0 -4.2 -2.6 -0.8 -5.2 4.7 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -20.0 4.6 0.2 10.4 1.3 6.0 0.7 1.0 13.7 2.3 -4.9 -1.7 -9.6 -8.1 -5.1 -4.0 -5.4 -4.9 -10.4 -2.4 3.3 0.3 -10.8 -3.0 10.2 -2.6 4.9 0.0 0.5 1.1 -3.3 -0.0 -13.1 -20.0 -13.3 -6.8 SP500 0.2 -9.8 6.3 0.2 10.4 1.3 6.0 0.7 1.0 13.8 0.5 11.0 -6.6 -0.8 0.7 -7.1 -5.5 -7.2 -6.6 0.2 -0.2 15.8 -3.3 4.8 1.8 10.2 2.0 12.7 2.0 8.2 0.1 3.5 -2.8 -6.3 8.2 8.8 -0.0 SUGAR11 2.0 7.2 10.8 -2.5 6.2 -2.5 3.3 -1.7 -1.2 13.9 14.7 14.3 12.1 14.6 15.1 19.3 20.0 20.0 20.0 18.4 18.0 20.0 13.9 18.4 -20.0 10.7 6.3 11.5 7.4 8.0 6.7 5.8 20.0 20.0 20.0 20.0 20.0 US10 20.0 5.5 20.0 1.9 -0.2 -0.3 1.7 -3.4 3.1 -4.3 -5.1 8.5 -11.3 8.4 4.7 -8.1 -4.1 -8.2 -7.4 4.8 -2.3 5.8 -10.6 9.5 -2.2 9.7 3.2 0.3 0.6 2.7 -3.1 4.5 -10.9 5.4 8.6 6.4 4.9 US10U 20.0 4.9 20.0 1.9 -0.2 -0.3 1.7 -3.4 3.1 -2.2 -4.7 8.7 -11.1 8.4 5.1 1.4 2.8 1.1 1.2 4.3 -2.4 5.6 -11.0 8.4 -5.3 -14.1 3.6 0.9 1.2 2.7 -2.5 4.5 2.4 5.4 3.9 7.0 7.5 US20 20.0 3.7 18.3 1.9 -0.2 -0.3 1.7 -3.4 3.1 -2.9 -2.6 9.4 -9.7 8.9 6.0 -1.1 -1.5 -3.3 -3.2 4.4 -2.0 5.1 -10.9 7.8 -2.7 -12.3 3.3 1.3 0.8 2.5 -2.9 4.2 -4.9 3.3 3.6 5.9 5.2 US30 17.1 1.2 16.8 1.9 -0.2 -0.3 1.7 -3.4 3.1 -1.1 -2.1 6.2 -11.0 4.3 0.9 -0.3 -0.5 -0.9 -1.0 1.8 -3.3 2.2 -13.5 3.7 -7.8 10.0 3.3 1.7 1.2 1.7 -3.7 3.4 -2.2 1.8 -10.5 2.3 5.9 US5 20.0 7.4 20.0 1.9 -0.2 -0.3 1.7 -3.4 3.1 -4.8 -5.3 8.4 -11.7 8.4 4.8 -9.1 -4.7 -9.6 -8.5 4.7 -2.4 5.4 -10.3 9.4 -0.3 10.8 2.8 0.1 0.1 2.6 -3.6 4.3 -12.3 4.2 11.1 4.6 3.7 VIX 17.9 20.0 -2.0 -2.0 -3.2 -5.0 -1.6 -5.5 0.1 -13.8 -11.6 -2.5 -12.9 -0.2 -4.9 -14.0 -20.0 -18.0 -20.0 -2.1 -8.6 -6.6 -11.2 -0.6 NaN -13.5 -2.2 -3.8 -6.5 -1.8 -7.8 0.2 NaN NaN NaN NaN NaN WHEAT 6.5 -7.6 -11.5 -2.5 6.2 -2.5 3.3 -1.7 -1.2 7.7 -13.6 7.6 -14.4 -8.6 -10.3 -12.0 -7.9 -11.2 -9.8 -14.5 -18.2 2.1 -15.2 -7.0 7.0 11.9 -4.4 1.1 -4.4 0.7 -2.2 -2.3 -20.0 -13.8 -3.4 -12.6 -10.8 End of report for caleb_strategy_v1