******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230403_204646 produced at 2023-04-03 21:37:13.600368 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 CHF False False 0.05 -0.16 -0.14 0.0 5.495017e+07 -5.495017e+07 -0.16 -0.11 -2.51 999999999.0 -3 -2 caleb_strategy_v1 VIX False False 0.01 -0.14 -0.14 0.0 8.996234e+06 -8.996234e+06 -0.14 -0.16 -15.93 999999999.0 -16 -18 caleb_strategy_v1 US10U False False 0.05 -0.10 -0.14 0.0 4.845178e+07 -4.845178e+07 -0.10 -0.10 -2.83 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.22 -0.10 0.0 5.444761e+07 -5.444761e+07 -0.22 -0.16 -1.78 999999999.0 -4 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.458504e+07 -1.458504e+07 -0.06 -0.09 -6.33 999999999.0 -4 -6 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.08 0.0 5.251949e+07 -5.251949e+07 -0.05 0.00 -1.62 999999999.0 -1 0 caleb_strategy_v1 JPY False False 0.04 -0.15 -0.06 0.0 3.802501e+07 -3.802501e+07 -0.15 -0.23 -1.51 999999999.0 -4 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.391137e+07 -4.391137e+07 -0.09 -0.09 -1.20 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.144296e+07 -6.144296e+07 0.00 0.00 -0.42 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 7.964055e+06 -7.964055e+06 0.00 -0.02 -3.62 999999999.0 0 -2 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.02 0.0 1.126121e+07 -1.126121e+07 -0.05 -0.06 -1.75 999999999.0 -4 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.346529e+06 -9.346529e+06 -0.01 -0.01 -0.95 999999999.0 -1 -1 caleb_strategy_v1 GASOILINE False False 0.05 -0.05 -0.01 0.0 4.531928e+07 -4.531928e+07 -0.05 0.00 -0.15 999999999.0 -1 0 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.803765e+07 -5.803765e+07 -0.06 0.00 -0.15 999999999.0 -1 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.01 0.0 2.423211e+07 -2.423211e+07 -0.02 0.00 -0.52 999999999.0 -1 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.601081e+06 -3.601081e+06 -0.05 -0.24 -2.22 999999999.0 -13 -66 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.792516e+06 -6.792516e+06 0.00 0.00 -0.86 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 -0.10 0.00 0.0 2.567111e+07 -2.567111e+07 -0.10 -0.03 0.06 999999999.0 -4 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.556329e+07 -1.556329e+07 0.00 0.00 -0.31 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.473830e+07 -1.473830e+07 -0.06 -0.03 -0.28 999999999.0 -4 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.357556e+07 -1.357556e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.00 0.00 0.0 1.004553e+08 -1.004553e+08 0.00 0.40 0.03 999999999.0 0 4 caleb_strategy_v1 US10 False False 0.05 0.00 0.00 0.0 4.595145e+07 -4.595145e+07 0.00 0.00 0.07 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.130102e+06 -1.130102e+06 -0.01 -0.01 -3.83 999999999.0 -8 -5 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.837772e+07 -1.837772e+07 0.00 0.04 0.14 999999999.0 0 2 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 1.986337e+07 -1.986337e+07 0.06 0.02 0.53 999999999.0 3 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.01 0.0 1.828703e+07 -1.828703e+07 0.09 0.04 0.71 999999999.0 5 2 caleb_strategy_v1 US5 False False 0.04 -0.17 0.01 0.0 4.374966e+07 -4.374966e+07 -0.17 -0.04 0.16 999999999.0 -4 -1 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.01 0.0 1.718639e+07 -1.718639e+07 0.03 0.02 0.31 999999999.0 2 1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.709220e+07 -2.709220e+07 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.610052e+07 -2.610052e+07 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.09 0.01 0.0 6.720505e+06 -6.720505e+06 -0.09 0.00 1.03 999999999.0 -13 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.642609e+07 -1.642609e+07 0.00 0.02 0.79 999999999.0 0 1 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.02 0.0 3.090963e+07 -3.090963e+07 0.03 0.00 0.59 999999999.0 1 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.02 0.0 3.179466e+07 -3.179466e+07 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.02 0.0 8.261309e+07 -8.261309e+07 0.08 0.00 0.22 999999999.0 1 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.438701e+06 -4.438701e+06 0.00 0.00 4.66 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.650605e+07 -2.650605e+07 0.00 0.00 0.63 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 8.884776e+06 -8.884776e+06 0.02 0.02 2.08 999999999.0 2 2 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.039846e+07 -4.039846e+07 0.00 0.00 0.47 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.504615e+07 -2.504615e+07 0.00 0.00 0.87 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.364574e+07 -4.364574e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 1.127515e+07 -1.127515e+07 0.06 0.06 2.29 999999999.0 5 5 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.03 0.0 9.808283e+06 -9.808283e+06 0.04 0.03 2.74 999999999.0 4 3 caleb_strategy_v1 MXP False False 0.01 0.01 0.03 0.0 1.084723e+07 -1.084723e+07 0.01 0.00 2.49 999999999.0 1 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.659964e+07 -5.659964e+07 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.25 0.04 0.0 3.092704e+07 -3.092704e+07 0.25 0.22 1.38 999999999.0 8 7 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.971145e+07 -2.971145e+07 0.00 0.00 1.57 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 4.978018e+07 -4.978018e+07 0.05 0.05 1.05 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.05 0.0 3.063098e+07 -3.063098e+07 0.12 0.12 1.52 999999999.0 4 4 caleb_strategy_v1 NASDAQ False False 0.11 0.21 0.06 0.0 1.053554e+08 -1.053554e+08 0.21 0.00 0.56 999999999.0 2 0 caleb_strategy_v1 OAT False False 0.06 0.11 0.07 0.0 5.636151e+07 -5.636151e+07 0.11 0.11 1.18 999999999.0 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 4.67 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.12 0.25 0.0 5.880957e+07 -5.880957e+07 0.12 0.24 4.18 999999999.0 2 4 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.29 0.0 0.000000e+00 0.000000e+00 0.00 0.00 35.06 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.15 0.29 0.0 5.093094e+07 -5.093094e+07 0.15 0.05 5.62 999999999.0 3 1 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 14.5 Shocked risk 35.2 Sum abs risk 42.5 Leverage 2.59 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2512162.42, 'annual_cash_vol_target': 628040.605, 'daily_cash_vol_target': 39252.5378125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6806 0.7670 12.2720 BITCOIN 1059.7450 28390.0000 3.7328 59.7250 BOBL 0.5620 118.1700 0.4756 7.6091 BTP 0.8078 115.5000 0.6994 11.1900 BUND 1.0070 136.4500 0.7380 11.8081 BUXL 2.2636 142.5600 1.5878 25.4049 CAC 77.2250 7377.0000 1.0468 16.7494 CAD 0.0033 0.7464 0.4428 7.0842 CANOLA 8.6847 759.0000 1.1442 18.3078 CHF 0.0061 1.1044 0.5513 8.8215 COCOA 36.1610 2829.0000 1.2782 20.4516 COFFEE 3.3797 174.8500 1.9329 30.9269 COPPER 0.0485 4.0595 1.1936 19.0968 CORN 4.5742 566.5000 0.8074 12.9191 COTTON2 1.4601 82.5300 1.7692 28.3074 CRUDE_W 1.4527 76.9500 1.8879 30.2059 DAX 169.0412 15760.0000 1.0726 17.1615 DOW 274.8848 33766.0000 0.8141 13.0254 EUR 0.0060 1.0942 0.5522 8.8345 EUROSTX 50.2827 4264.0000 1.1792 18.8678 FEEDCOW 1.2905 220.6250 0.5849 9.3588 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.4324 776.5000 2.1162 33.8595 GASOILINE 0.0489 2.7107 1.8047 28.8744 GAS_US 0.1211 2.3480 5.1560 82.4964 GBP 0.0078 1.2431 0.6242 9.9866 GOLD_micro 19.7902 2000.7000 0.9892 15.8266 HEATOIL 0.0467 2.6106 1.7886 28.6170 JPY 0.0001 0.0076 0.7022 11.2347 LEANHOG 1.3896 91.6000 1.5170 24.2719 LIVECOW 0.9305 161.2250 0.5771 9.2343 MXP 0.0005 0.0545 0.8609 13.7743 NASDAQ 134.6215 13233.5000 1.0173 16.2765 NIKKEI 258.6382 28150.0000 0.9188 14.7006 NZD 0.0047 0.6292 0.7478 11.9645 OAT 0.9172 130.7700 0.7014 11.2220 OJ 4.5403 260.6500 1.7419 27.8708 PALLAD 30.3406 1458.0000 2.0810 33.2955 PLAT 16.5007 998.0000 1.6534 26.4541 REDWHEAT 11.3370 863.5000 1.3129 21.0066 ROBUSTA 28.1804 2232.0000 1.2626 20.2010 RUSSELL 23.6078 1809.3000 1.3048 20.8769 SILVER-mini 0.3758 24.3500 1.5433 24.6935 SOYBEAN 11.7246 1331.7500 0.8804 14.0863 SOYMEAL 5.4850 459.4000 1.1940 19.1032 SOYOIL 0.9287 56.8400 1.6339 26.1423 SP400 30.1126 2523.6000 1.1932 19.0918 SP500 36.0964 4150.7500 0.8696 13.9142 SUGAR11 0.2888 22.0000 1.3129 21.0066 US10 0.6528 115.4375 0.5655 9.0485 US10U 0.8350 121.7188 0.6860 10.9766 US20 1.1288 131.9375 0.8555 13.6887 US30 1.6053 142.1875 1.1290 18.0640 US5 0.4959 109.9062 0.4512 7.2187 VIX 0.8012 22.6000 3.5452 56.7224 WHEAT 10.3162 740.5000 1.3931 22.2901 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.60 0.77 522.02 1.00 522.02 39252.54 75.19 2.57 19.34 BITCOIN 28.39 3.73 105.97 1.00 105.97 39252.54 370.40 -4.38 -162.41 BOBL 1181.70 0.48 561.98 1.08 608.48 39252.54 64.51 12.07 77.87 BTP 1155.00 0.70 807.78 1.08 874.61 39252.54 44.88 11.60 52.06 BUND 1364.50 0.74 1007.01 1.08 1090.32 39252.54 36.00 16.08 57.88 BUXL 1425.60 1.59 2263.57 1.08 2450.85 39252.54 16.02 -3.16 -5.06 CAC 737.70 1.05 772.25 1.08 836.14 39252.54 46.94 4.06 19.04 CAD 746.40 0.44 330.48 1.00 330.48 39252.54 118.78 7.41 87.98 CANOLA 151.80 1.14 173.69 0.73 127.59 39252.54 307.64 16.51 507.83 CHF 1380.44 0.55 761.10 1.00 761.10 39252.54 51.57 -13.02 -67.16 COCOA 282.90 1.28 361.61 1.00 361.61 39252.54 108.55 -7.40 -80.35 COFFEE 655.69 1.93 1267.40 1.00 1267.40 39252.54 30.97 6.84 21.19 COPPER 1014.88 1.19 1211.30 1.00 1211.30 39252.54 32.41 5.30 17.17 CORN 283.25 0.81 228.71 1.00 228.71 39252.54 171.63 14.76 253.33 COTTON2 412.65 1.77 730.06 1.00 730.06 39252.54 53.77 9.74 52.37 CRUDE_W 769.50 1.89 1452.72 1.00 1452.72 39252.54 27.02 4.26 11.52 DAX 157.60 1.07 169.04 1.08 183.03 39252.54 214.46 -0.74 -15.83 DOW 168.83 0.81 137.44 1.00 137.44 39252.54 285.59 1.27 36.26 EUR 1367.81 0.55 755.25 1.00 755.25 39252.54 51.97 -9.17 -47.67 EUROSTX 426.40 1.18 502.83 1.08 544.43 39252.54 72.10 0.69 4.95 FEEDCOW 1103.12 0.58 645.24 1.00 645.24 39252.54 60.83 -7.32 -44.54 FTSE100 707.00 0.82 576.59 1.23 666.67 39252.54 58.88 7.70 45.32 GASOIL 776.50 2.12 1643.24 1.00 1643.24 39252.54 23.89 3.48 8.32 GASOILINE 1138.49 1.80 2054.58 1.00 2054.58 39252.54 19.10 -1.86 -3.55 GAS_US 234.80 5.16 1210.63 1.00 1210.63 39252.54 32.42 -19.43 -62.99 GBP 776.94 0.62 484.93 1.00 484.93 39252.54 80.94 9.58 77.55 GOLD_micro 200.07 0.99 197.90 1.00 197.90 39252.54 198.34 -8.16 -161.79 HEATOIL 1096.45 1.79 1961.07 1.00 1961.07 39252.54 20.02 2.53 5.06 JPY 955.25 0.70 670.75 1.00 670.75 39252.54 58.52 -3.98 -23.26 LEANHOG 366.40 1.52 555.83 1.00 555.83 39252.54 70.62 -19.18 -135.42 LIVECOW 644.90 0.58 372.20 1.00 372.20 39252.54 105.46 0.21 2.23 MXP 272.50 0.86 234.59 1.00 234.59 39252.54 167.32 12.16 203.49 NASDAQ 2646.70 1.02 2692.43 1.00 2692.43 39252.54 14.58 7.06 10.29 NIKKEI 28150.00 0.92 25863.82 0.01 194.53 39252.54 201.78 9.15 184.59 NZD 629.20 0.75 470.51 1.00 470.51 39252.54 83.43 6.54 54.53 OAT 1307.70 0.70 917.19 1.08 993.08 39252.54 39.53 14.77 58.40 OJ 390.98 1.74 681.05 1.00 681.05 39252.54 57.64 -3.12 -17.96 PALLAD 1458.00 2.08 3034.06 1.00 3034.06 39252.54 12.94 -4.77 -6.17 PLAT 499.00 1.65 825.04 1.00 825.04 39252.54 47.58 4.60 21.87 REDWHEAT 431.75 1.31 566.85 1.00 566.85 39252.54 69.25 8.27 57.27 ROBUSTA 223.20 1.26 281.80 1.00 281.80 39252.54 139.29 11.49 160.06 RUSSELL 90.46 1.30 118.04 1.00 118.04 39252.54 332.54 -1.29 -42.83 SILVER-mini 608.75 1.54 939.51 1.00 939.51 39252.54 41.78 -5.52 -23.06 SOYBEAN 665.88 0.88 586.23 1.00 586.23 39252.54 66.96 1.59 10.68 SOYMEAL 459.40 1.19 548.50 1.00 548.50 39252.54 71.56 1.69 12.08 SOYOIL 341.04 1.63 557.22 1.00 557.22 39252.54 70.44 3.44 24.22 SP400 2523.60 1.19 3011.26 1.00 3011.26 39252.54 13.04 0.40 0.52 SP500 2075.38 0.87 1804.82 1.00 1804.82 39252.54 21.75 3.48 7.58 SUGAR11 246.40 1.31 323.50 1.00 323.50 39252.54 121.34 16.61 201.58 US10 1154.38 0.57 652.84 1.00 652.84 39252.54 60.13 0.32 1.93 US10U 1217.19 0.69 835.04 1.00 835.04 39252.54 47.01 -4.13 -19.41 US20 1319.38 0.86 1128.78 1.00 1128.78 39252.54 34.77 -6.31 -21.93 US30 1421.88 1.13 1605.30 1.00 1605.30 39252.54 24.45 2.17 5.30 US5 1099.06 0.45 495.86 1.00 495.86 39252.54 79.16 0.54 4.25 VIX 226.00 3.55 801.20 1.00 801.20 39252.54 48.99 -17.25 -84.53 WHEAT 370.25 1.39 515.81 1.00 515.81 39252.54 76.10 -6.80 -51.73 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 19.341 0.006 2.5 0.309 BITCOIN -162.408 0.009 2.5 -3.827 BOBL 77.868 0.029 2.5 5.619 BTP 52.062 0.008 2.5 1.051 BUND 57.875 0.029 2.5 4.176 BUXL -5.061 0.034 2.5 -0.425 CAC 19.040 0.011 2.5 0.535 CAD 87.985 0.007 2.5 1.571 CANOLA 507.833 0.004 2.5 4.662 CHF -67.163 0.015 2.5 -2.514 COCOA -80.349 0.009 2.5 -1.750 COFFEE 21.193 0.005 2.5 0.275 COPPER 17.175 0.011 2.5 0.469 CORN 253.331 0.004 2.5 2.285 COTTON2 52.367 0.006 2.5 0.789 CRUDE_W 11.522 0.053 2.5 1.522 DAX -15.827 0.022 2.5 -0.860 DOW 36.259 0.011 2.5 1.033 EUR -47.668 0.015 2.5 -1.784 EUROSTX 4.946 0.011 2.5 0.139 FEEDCOW -44.542 0.011 2.5 -1.197 FTSE100 45.323 0.041 2.5 4.672 GASOIL 8.322 0.029 2.5 0.594 GASOILINE -3.546 0.016 2.5 -0.146 GAS_US -62.993 0.006 2.5 -0.949 GBP 77.551 0.007 2.5 1.385 GOLD_micro -161.787 0.009 2.5 -3.620 HEATOIL 5.059 0.029 2.5 0.361 JPY -23.265 0.026 2.5 -1.506 LEANHOG -135.420 0.019 2.5 -6.327 LIVECOW 2.235 0.011 2.5 0.060 MXP 203.489 0.005 2.5 2.491 NASDAQ 10.288 0.022 2.5 0.559 NIKKEI 184.587 0.076 2.5 35.059 NZD 54.534 0.006 2.5 0.871 OAT 58.399 0.008 2.5 1.179 OJ -17.964 0.007 2.5 -0.313 PALLAD -6.167 0.010 2.5 -0.148 PLAT 21.874 0.010 2.5 0.526 REDWHEAT 57.274 0.002 2.5 0.306 ROBUSTA 160.062 0.005 2.5 2.075 RUSSELL -42.826 0.021 2.5 -2.218 SILVER-mini -23.062 0.009 2.5 -0.516 SOYBEAN 10.678 0.024 2.5 0.630 SOYMEAL 12.075 0.024 2.5 0.712 SOYOIL 24.216 0.004 2.5 0.222 SP400 0.522 0.021 2.5 0.027 SP500 7.576 0.011 2.5 0.216 SUGAR11 201.581 0.005 2.5 2.735 US10 1.935 0.015 2.5 0.074 US10U -19.406 0.058 2.5 -2.827 US20 -21.927 0.029 2.5 -1.616 US30 5.303 0.034 2.5 0.445 US5 4.249 0.015 2.5 0.163 VIX -84.530 0.075 2.5 -15.930 WHEAT -51.726 0.002 2.5 -0.276 ==================== Position diags ==================== AUD 1.20 BITCOIN 8.73 BOBL 4.65 BTP 0.91 BUND 2.60 BUXL 1.34 CAC 1.32 CAD 2.12 CANOLA 2.82 CHF 1.93 COCOA 2.36 COFFEE 0.40 COPPER 0.89 CORN 1.55 COTTON2 0.81 CRUDE_W 3.57 DAX 11.65 DOW 8.14 EUR 1.95 EUROSTX 2.03 FEEDCOW 1.63 FTSE100 6.07 GASOIL 1.70 GASOILINE 0.78 GAS_US 0.49 GBP 1.45 GOLD_micro 4.44 HEATOIL 1.43 JPY 3.79 LEANHOG 3.30 LIVECOW 2.83 MXP 2.05 NASDAQ 0.79 NIKKEI 38.32 NZD 1.33 OAT 0.80 OJ 1.01 PALLAD 0.31 PLAT 1.14 REDWHEAT 0.37 ROBUSTA 1.81 RUSSELL 17.22 SILVER-mini 0.93 SOYBEAN 3.95 SOYMEAL 4.22 SOYOIL 0.65 SP400 0.68 SP500 0.62 SUGAR11 1.65 US10 2.31 US10U 6.85 US20 2.56 US30 2.05 US5 3.04 VIX 9.23 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.2 0.4 0.0 0 BITCOIN -3.8 -4.7 -3.0 -8.0 -8 BOBL 5.6 5.2 6.1 3.0 3 BTP 1.1 1.0 1.1 1.0 1 BUND 4.2 3.9 4.4 2.0 2 BUXL -0.4 -0.6 -0.3 0.0 0 CAC 0.5 0.4 0.7 0.0 0 CAD 1.6 1.4 1.8 0.0 0 CANOLA 4.7 4.4 4.9 NaN 0 CHF -2.5 -2.7 -2.3 -3.0 -3 COCOA -1.8 -2.0 -1.5 -4.0 -4 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.3 2.1 2.4 5.0 5 COTTON2 0.8 0.7 0.9 NaN 0 CRUDE_W 1.5 1.2 1.9 4.0 4 DAX -0.9 -2.0 0.3 0.0 0 DOW 1.0 0.2 1.8 -13.0 -13 EUR -1.8 -2.0 -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 4.7 4.1 5.3 0.0 0 GASOIL 0.6 0.4 0.8 1.0 1 GASOILINE -0.1 -0.2 -0.1 -1.0 -1 GAS_US -0.9 -1.0 -0.9 -1.0 -1 GBP 1.4 1.2 1.5 8.0 8 GOLD_micro -3.6 -4.1 -3.2 0.0 0 HEATOIL 0.4 0.2 0.5 0.0 0 JPY -1.5 -1.9 -1.1 -4.0 -4 LEANHOG -6.3 -6.7 -6.0 -4.0 -4 LIVECOW 0.1 -0.2 0.3 -4.0 -4 MXP 2.5 2.3 2.7 1.0 1 NASDAQ 0.6 0.5 0.6 2.0 2 NIKKEI 35.1 31.2 38.9 0.0 0 NZD 0.9 0.7 1.0 0.0 0 OAT 1.2 1.1 1.3 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 0.3 0.3 2.0 2 ROBUSTA 2.1 1.9 2.3 2.0 2 RUSSELL -2.2 -3.9 -0.5 -13.0 -13 SILVER-mini -0.5 -0.6 -0.4 -1.0 -1 SOYBEAN 0.6 0.2 1.0 0.0 0 SOYMEAL 0.7 0.3 1.1 5.0 5 SOYOIL 0.2 0.2 0.3 0.0 0 SP400 0.0 -0.0 0.1 0.0 0 SP500 0.2 0.2 0.3 1.0 1 SUGAR11 2.7 2.6 2.9 4.0 4 US10 0.1 -0.2 0.3 NaN 0 US10U -2.8 -3.5 -2.1 -2.0 -2 US20 -1.6 -1.9 -1.4 -1.0 -1 US30 0.4 0.2 0.7 0.0 0 US5 0.2 -0.1 0.5 -4.0 -4 VIX -15.9 -16.9 -15.0 -16.0 -16 WHEAT -0.3 -0.3 -0.2 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.1 -0.3 0.1 0.0 0.1 0.0 0.2 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.9 2.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.4 -0.2 -0.1 BITCOIN 0.2 0.2 0.3 0.0 0.0 0.0 0.0 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 -0.1 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 0.4 0.2 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 1.8 2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 1.0 -0.0 0.1 0.0 -0.2 BTP 0.2 0.1 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 -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 -1.3 2.2 0.1 0.0 0.0 0.0 -0.1 0.0 2.7 -0.1 -0.3 0.1 0.0 BUND 0.2 0.2 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.3 0.0 -0.3 0.0 -0.0 0.6 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 -0.0 0.0 -0.1 BUXL 0.2 0.1 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.3 0.0 -0.3 0.0 -0.2 0.2 0.0 0.1 0.1 -0.0 -0.1 -0.0 -0.2 0.0 0.8 -2.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.6 -0.1 -0.2 -0.0 -0.2 CAC -0.2 -0.3 0.2 0.0 0.1 0.0 0.2 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 -0.1 0.1 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 -0.1 0.0 2.4 2.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 -0.1 -0.1 -0.2 CANOLA -0.0 -0.1 -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 1.4 0.5 0.3 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 3.1 3.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.6 -0.0 -0.2 -0.2 -0.3 CHF 0.1 -0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 0.1 0.0 0.1 -0.9 -0.6 -0.3 -0.3 0.1 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 0.1 0.3 -0.0 0.0 -0.1 0.1 -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 -1.6 0.1 0.4 0.3 0.3 COFFEE -0.1 0.1 0.1 -0.0 0.0 -0.1 0.1 -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 -0.6 -0.1 -0.2 0.0 0.2 COPPER -0.0 -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 0.1 -0.1 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 -0.4 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 0.1 -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 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 -0.1 -0.3 -0.3 COTTON2 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 0.3 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.0 3.0 3.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 -0.1 -0.3 0.0 CRUDE_W -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.6 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 0.1 -0.0 -0.0 DAX -0.2 -0.3 0.3 0.0 0.1 0.0 0.2 0.0 0.0 0.0 0.4 0.0 0.2 0.0 0.3 -0.2 -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 -0.1 -0.2 0.1 0.1 DOW 0.0 -0.3 -0.0 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 -0.1 0.3 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.0 0.0 0.1 -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 -1.1 0.1 0.1 0.0 0.1 EUROSTX -0.2 -0.3 0.2 0.0 0.1 0.0 0.2 0.0 0.0 0.0 0.3 0.0 0.3 0.0 0.3 0.0 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 2.3 -0.0 -0.1 0.1 0.1 FEEDCOW -0.0 0.3 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 -0.1 -0.2 -0.2 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 -0.0 0.2 -0.0 -0.3 1.7 0.9 0.4 0.4 -0.1 -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 0.0 0.0 -0.1 -0.1 GASOILINE -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.0 0.1 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 -0.0 0.1 -0.1 0.0 0.0 -0.0 -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 1.5 -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 0.2 -0.1 -0.1 -0.0 -0.0 0.1 0.1 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 -0.1 GOLD_micro 0.2 -0.0 0.3 0.0 0.0 0.1 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 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 -0.0 0.1 -0.0 -0.3 1.7 0.9 0.5 0.5 -0.2 -0.1 0.0 0.0 -0.0 -0.8 -2.7 -0.1 0.0 -0.0 0.0 0.0 -0.0 2.8 -0.0 -0.0 -0.1 -0.0 JPY 0.2 -0.1 0.1 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 0.1 -0.0 0.0 LEANHOG -0.2 -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 2.8 -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 -2.2 0.0 0.0 0.1 0.3 MXP -0.1 -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 -0.4 0.3 0.3 NASDAQ 0.2 0.2 0.3 0.0 0.1 0.0 0.2 0.0 0.0 0.1 0.1 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 0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.5 0.2 0.3 0.1 0.1 0.0 0.0 0.0 0.8 -1.9 0.0 0.0 0.0 0.0 -0.0 0.0 2.6 -0.0 0.1 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 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.3 0.0 -0.1 0.8 0.5 0.2 0.2 0.0 -0.1 0.0 -0.2 0.0 0.7 2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 -0.0 -0.1 -0.0 -0.1 OJ 0.0 0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.5 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 -0.0 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 0.1 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 0.8 0.0 0.2 0.3 0.3 RUSSELL -0.2 -0.3 0.1 0.0 0.1 0.0 0.2 0.0 0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -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 -0.0 -3.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.0 -0.1 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 -0.5 -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 1.1 0.8 0.4 0.4 0.0 0.2 0.0 0.2 -0.0 -2.8 -2.5 -0.0 0.0 0.1 -0.0 0.1 -0.0 2.7 -0.1 -0.3 -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 -0.1 0.5 0.0 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 0.3 2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.9 -0.1 -0.4 -0.3 -0.3 SP400 -0.2 -0.3 0.1 0.0 0.0 0.0 0.2 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 -0.4 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 -0.1 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 -0.4 -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 1.4 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 -1.2 0.0 0.0 0.1 0.0 US10U 0.2 0.1 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.1 0.1 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 0.6 0.0 -0.0 0.1 0.1 US20 0.2 0.1 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.2 0.0 0.2 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.3 -2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.0 -0.0 0.1 0.0 US30 0.2 0.0 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.0 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 -0.9 2.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.0 0.1 US5 0.2 0.1 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.1 -0.7 -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 -1.4 0.0 0.0 0.1 0.0 VIX 0.1 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 -2.4 -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 -0.0 -0.0 -0.2 -0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 4.8 -17.6 5.7 1.3 6.9 0.9 6.3 -1.5 3.4 9.1 1.6 6.7 -4.5 -8.6 -9.4 -3.4 -2.9 -3.5 -3.3 -7.0 -4.3 5.2 -5.0 -3.7 8.0 11.7 -3.2 6.2 -2.2 2.4 -2.5 -1.6 -0.9 -6.3 -17.2 -16.7 -9.1 BITCOIN 15.8 9.5 20.0 2.5 3.1 1.9 5.2 1.7 4.5 9.4 11.9 14.5 -10.3 14.3 14.3 -4.0 -1.7 -3.0 -2.1 15.4 9.1 12.7 -3.2 16.3 2.7 -18.1 5.2 1.9 3.6 4.0 0.5 5.1 1.0 -11.5 2.7 18.5 20.0 BOBL 20.0 16.4 20.0 2.2 1.7 -0.1 2.8 -3.0 3.7 -6.0 -10.2 7.0 -13.2 7.4 1.0 4.8 5.0 -0.4 1.4 2.2 -6.1 2.5 -13.3 6.6 11.7 10.8 1.9 0.0 -1.7 2.0 -5.8 3.7 7.3 -13.4 6.2 2.6 -10.9 BTP 15.9 3.7 14.2 2.2 1.7 -0.1 2.8 -3.0 3.7 -1.5 2.6 9.3 -9.1 7.9 7.1 8.3 12.2 9.0 11.0 6.8 1.6 4.4 -9.5 8.0 -10.9 11.4 4.3 0.8 2.1 2.1 -4.0 4.2 20.0 -6.4 -15.0 7.1 1.7 BUND 20.0 10.8 18.1 2.2 1.7 -0.1 2.8 -3.0 3.7 -4.1 -10.4 6.8 -13.2 6.0 -0.8 7.0 13.7 9.3 11.3 1.5 -6.6 2.9 -14.9 5.8 8.7 12.3 2.1 0.7 -1.4 2.0 -6.1 3.6 20.0 -10.6 -1.9 2.3 -8.5 BUXL 20.0 8.6 8.5 2.2 1.7 -0.1 2.8 -3.0 3.7 -4.4 -10.4 2.9 -13.2 3.5 -6.4 2.2 0.8 2.7 2.6 -1.5 -8.5 -0.1 -16.2 2.1 6.5 -10.8 1.0 0.6 -2.3 1.1 -6.4 2.5 4.3 -12.9 -10.1 -1.2 -15.9 CAC -20.0 -18.3 13.0 0.7 10.3 1.4 7.3 0.7 2.2 14.0 13.8 9.1 11.1 5.1 10.1 -4.1 0.5 -3.6 -2.2 7.1 13.3 14.5 13.0 5.5 -15.7 8.9 1.5 8.6 4.6 4.4 4.8 0.4 6.2 -6.5 -12.3 7.8 7.2 CAD 12.4 -8.8 3.5 1.3 6.9 0.9 6.3 -1.5 3.4 13.7 -9.0 13.4 -10.4 -0.9 -4.7 -2.7 -1.7 -2.5 -2.2 -4.4 -8.1 18.6 -11.1 4.9 17.3 10.4 -1.8 12.4 -3.2 8.5 -4.5 2.3 1.0 16.9 -6.7 -6.6 -10.7 CANOLA -17.8 -13.0 -16.8 -2.4 5.7 -2.9 4.0 -2.0 -0.3 13.4 -9.8 -3.1 -11.7 -7.2 -11.0 20.0 13.7 16.1 13.3 -20.0 -19.3 -1.5 -10.4 -19.0 13.8 13.2 -5.4 1.9 -4.1 -1.2 -2.0 -4.6 11.6 -6.8 -20.0 -20.0 -20.0 CHF 12.0 -7.3 6.4 1.3 6.9 0.9 6.3 -1.5 3.4 13.6 10.4 8.6 3.6 5.9 3.2 -12.6 -13.7 -13.8 -14.1 4.6 4.8 8.8 2.2 7.1 -5.5 -11.5 2.7 4.1 2.4 4.8 -0.1 4.1 -19.5 2.5 7.7 5.7 1.4 COCOA 6.8 8.5 15.8 -2.4 5.7 -2.9 4.0 -2.0 -0.3 4.3 13.5 13.3 4.3 13.1 12.9 5.1 -1.5 1.9 0.4 17.1 14.3 16.7 7.8 19.2 -20.0 -10.4 5.5 0.8 5.0 5.0 3.1 5.8 -11.6 16.4 19.3 20.0 20.0 COFFEE -11.3 8.5 8.0 -2.4 5.7 -2.9 4.0 -2.0 -0.3 -2.7 -5.7 -8.9 -7.7 -9.6 5.1 3.9 3.2 2.9 3.2 -0.6 -3.7 -6.8 -8.1 -5.2 10.5 10.0 -0.8 0.8 -1.7 -3.5 -3.3 -3.2 -4.7 -20.0 -9.9 3.5 13.7 COPPER -0.6 -9.5 18.4 2.5 3.1 1.9 5.2 1.7 4.5 2.8 8.9 10.0 -1.7 1.5 4.2 -0.7 -0.5 -0.8 -0.7 4.2 7.6 5.3 3.6 3.6 -3.3 11.1 -0.2 -0.5 1.8 2.1 1.8 0.5 2.9 1.4 -20.0 -8.8 0.5 CORN 7.0 -16.3 -20.0 -2.4 5.7 -2.9 4.0 -2.0 -0.3 6.3 -6.6 6.9 -1.8 -7.7 -11.7 16.6 19.6 20.0 20.0 -14.6 -13.9 4.3 -2.3 -5.5 8.0 11.0 -4.8 1.1 -5.2 1.5 -2.0 -1.6 20.0 0.4 -3.3 -20.0 -20.0 COTTON2 -1.9 -3.1 -1.0 -2.4 5.7 -2.9 4.0 -2.0 -0.3 9.5 -10.2 5.8 -11.1 -2.8 -6.3 -3.5 8.6 -2.9 1.1 -6.6 -10.3 8.3 -10.5 -1.0 12.1 12.0 -3.1 4.2 -3.2 3.8 -1.2 -0.7 -1.6 12.4 -8.1 -9.4 0.6 CRUDE_W -6.6 -8.7 -7.8 -3.2 7.1 -2.5 2.1 0.9 -2.0 14.0 -2.5 5.2 -1.8 -0.3 -4.5 6.8 11.2 7.6 8.7 -5.9 -5.3 17.5 -0.1 1.2 -8.4 10.8 -2.3 13.2 -1.6 7.0 1.4 0.4 -0.2 20.0 5.7 -0.7 -0.5 DAX -18.1 -19.3 15.8 0.7 10.3 1.4 7.3 0.7 2.2 13.0 14.1 9.0 6.3 5.2 9.9 -6.6 -5.7 -8.0 -7.4 5.9 11.3 12.8 9.0 4.7 -18.7 9.9 1.7 7.5 5.0 4.4 4.0 0.5 -3.6 -9.1 -7.9 5.4 5.5 DOW 2.6 -18.8 -2.8 0.7 10.3 1.4 7.3 0.7 2.2 14.0 5.4 7.7 0.3 -3.9 -7.3 -6.7 -4.8 -7.0 -6.5 -5.7 -3.0 18.2 -0.4 2.1 -0.6 10.8 -0.6 14.9 0.4 9.1 1.1 2.2 -2.2 -4.0 -2.7 0.1 -11.4 EUR 13.7 -8.8 16.5 1.3 6.9 0.9 6.3 -1.5 3.4 10.5 10.3 12.9 -1.3 6.9 3.0 -6.2 -8.5 -7.3 -8.0 6.9 6.7 12.9 -0.1 10.3 -10.2 -11.1 3.4 4.9 3.3 6.3 -0.9 4.9 -9.8 7.9 4.4 2.4 8.0 EUROSTX -16.3 -19.3 13.5 0.7 10.3 1.4 7.3 0.7 2.2 14.0 14.3 11.4 10.9 7.6 11.1 0.3 5.7 5.2 5.9 7.4 12.7 14.6 11.5 6.6 -18.8 -8.5 2.0 8.5 5.3 5.2 5.2 1.1 17.3 -8.3 -6.9 7.2 4.7 FEEDCOW -0.8 18.5 15.4 -2.4 5.7 -2.9 4.0 -2.0 -0.3 10.8 10.8 10.9 7.2 12.0 12.3 -20.0 -20.0 -20.0 -20.0 20.0 15.2 20.0 8.1 20.0 -17.8 12.2 5.8 5.9 4.9 6.2 3.1 5.7 -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 -5.7 -9.7 -12.3 -3.2 7.1 -2.5 2.1 0.9 -2.0 5.1 -11.4 -3.9 6.6 -9.0 -11.3 20.0 20.0 20.0 20.0 -10.3 -8.0 3.1 4.0 -6.4 -0.9 -15.4 -4.7 6.7 -4.4 2.2 -0.1 -2.5 20.0 0.0 0.3 -6.4 -10.3 GASOILINE -4.7 -4.3 1.0 -3.2 7.1 -2.5 2.1 0.9 -2.0 13.5 2.4 6.1 2.4 1.1 4.5 20.0 12.7 10.0 7.5 1.0 1.0 15.6 5.7 5.2 -15.4 -13.1 1.2 12.6 2.6 7.9 6.5 2.7 -0.1 20.0 14.4 6.9 19.7 GAS_US -6.2 -2.1 -20.0 -3.2 7.1 -2.5 2.1 0.9 -2.0 -12.9 -16.4 -15.0 -13.6 -15.0 -16.3 -20.0 -9.7 -20.0 -13.2 -20.0 -20.0 -16.2 -20.0 -19.9 12.6 -9.3 -6.1 -3.9 -6.6 -5.5 -3.0 -5.7 -20.0 -20.0 -9.0 -2.8 -20.0 GBP 18.1 -0.1 10.2 1.3 6.9 0.9 6.3 -1.5 3.4 11.9 11.9 14.7 -1.8 11.6 6.6 -1.5 -1.9 -1.9 -2.1 7.6 4.4 14.3 -3.0 12.3 8.9 9.4 2.9 6.2 -0.1 7.1 -5.0 5.8 0.9 -0.2 8.0 8.6 -3.4 GOLD_micro 20.0 -0.7 16.1 2.5 3.1 1.9 5.2 1.7 4.5 5.0 10.6 12.3 0.4 11.5 10.2 -10.7 -10.6 -11.6 -11.7 14.5 10.8 12.7 5.4 17.0 -1.8 -13.8 4.6 1.8 3.3 3.9 1.9 5.3 -15.2 -17.2 19.8 16.6 13.4 HEATOIL -9.9 -14.2 -11.9 -3.2 7.1 -2.5 2.1 0.9 -2.0 12.5 -11.1 -4.6 5.5 -9.7 -11.7 20.0 20.0 20.0 20.0 -13.2 -9.9 2.5 3.8 -8.7 -8.4 -13.6 -4.4 6.1 -2.7 1.3 3.4 -2.9 20.0 -1.7 -2.4 -10.1 -3.3 JPY 16.9 -8.6 8.3 1.3 6.9 0.9 6.3 -1.5 3.4 -10.6 5.9 6.9 -6.7 2.3 -1.6 -14.3 -12.5 -14.1 -13.7 2.1 1.3 0.3 -7.2 3.5 2.0 9.9 1.4 -2.6 0.6 0.2 -4.5 2.0 -18.1 -20.0 6.0 -1.4 2.6 LEANHOG -17.3 -15.9 -20.0 -2.4 5.7 -2.9 4.0 -2.0 -0.3 2.6 -13.3 -10.8 -9.9 -12.6 -14.6 -20.0 -20.0 -20.0 -20.0 -20.0 -19.2 -14.6 -10.0 -20.0 18.6 -11.1 -5.8 -0.8 -4.8 -3.1 -2.8 -5.3 -20.0 -16.9 -20.0 -20.0 -20.0 LIVECOW -10.1 -6.7 6.3 -2.4 5.7 -2.9 4.0 -2.0 -0.3 11.4 10.9 9.8 8.0 4.8 6.6 20.0 -11.1 20.0 9.1 4.1 6.8 20.0 6.3 7.7 -20.0 12.0 1.6 10.3 3.3 8.4 3.9 3.0 -16.1 20.0 1.6 6.1 19.0 MXP -10.3 -5.2 5.5 1.3 6.9 0.9 6.3 -1.5 3.4 12.4 13.9 12.4 15.0 10.5 12.1 16.5 20.0 18.9 20.0 13.3 16.6 17.0 17.0 12.8 -20.0 9.7 4.8 4.9 6.8 5.1 7.1 3.7 20.0 20.0 -19.1 20.0 20.0 NASDAQ 17.5 9.5 18.6 0.7 10.3 1.4 7.3 0.7 2.2 11.7 2.0 14.6 -8.8 13.9 13.7 -7.5 -5.2 -7.1 -6.4 16.9 8.9 20.0 -3.4 20.0 -1.7 10.2 5.7 6.8 4.1 7.2 1.3 6.5 -2.4 -8.2 20.0 20.0 17.8 NIKKEI -7.0 3.8 4.7 0.7 10.3 1.4 7.3 0.7 2.2 12.9 4.0 7.5 4.9 4.2 6.7 6.7 14.0 13.5 15.0 6.3 4.3 18.5 2.2 9.8 6.1 -9.4 2.8 10.9 1.4 7.9 -0.2 4.2 20.0 -3.8 5.5 15.7 -8.2 NZD 10.5 -12.8 5.6 1.3 6.9 0.9 6.3 -1.5 3.4 12.5 7.4 11.9 -1.5 -1.6 -5.7 0.9 0.5 0.5 0.3 -1.8 -0.3 6.9 -2.8 1.4 1.1 10.8 -0.8 5.7 -0.2 4.1 -1.8 1.1 5.0 -8.2 -6.2 -7.2 -6.4 OAT 20.0 4.6 11.2 2.2 1.7 -0.1 2.8 -3.0 3.7 -2.8 -9.6 7.9 -12.9 4.9 -2.8 9.1 11.9 10.1 11.2 0.5 -6.7 3.6 -14.4 5.3 5.6 12.7 1.8 1.2 -1.7 2.2 -7.1 3.4 20.0 -8.1 -7.8 -0.5 -10.2 OJ 10.6 3.6 -3.7 -2.4 5.7 -2.9 4.0 -2.0 -0.3 14.0 14.8 14.9 15.1 14.6 13.8 20.0 18.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.1 5.7 7.2 5.5 7.4 5.1 20.0 20.0 20.0 20.0 20.0 PALLAD 18.8 -13.5 -20.0 2.5 3.1 1.9 5.2 1.7 4.5 13.6 -15.1 3.5 -14.3 -8.0 -13.3 -2.5 -2.1 -2.7 -2.5 -19.2 -20.0 4.6 -20.0 -5.2 20.0 -11.1 -4.8 2.8 -6.5 1.9 -5.4 -1.1 0.0 -6.3 -19.5 -20.0 -20.0 PLAT 10.7 -4.4 -3.3 2.5 3.1 1.9 5.2 1.7 4.5 10.2 3.0 7.2 0.3 5.6 -4.8 -2.1 -1.3 -2.0 -1.7 -0.8 -0.3 4.6 1.0 2.7 1.0 11.2 -1.7 3.0 -1.0 2.2 -0.2 0.5 1.5 -17.1 -18.0 -9.2 -15.3 REDWHEAT 19.0 -1.3 -7.0 -2.4 5.7 -2.9 4.0 -2.0 -0.3 14.0 -9.5 14.8 -10.8 5.0 0.2 12.2 4.7 9.9 7.7 -0.8 -8.5 20.0 -7.7 11.4 -1.5 12.9 0.2 7.0 -1.7 8.1 -0.2 4.5 -0.2 19.0 20.0 2.5 -0.9 ROBUSTA -7.8 13.7 20.0 -2.4 5.7 -2.9 4.0 -2.0 -0.3 13.3 5.8 13.0 2.2 12.1 13.2 10.8 9.4 9.7 9.9 16.1 12.5 17.0 6.5 15.2 -7.6 9.6 5.0 5.7 3.6 5.5 1.7 4.9 6.0 20.0 12.3 20.0 20.0 RUSSELL -18.0 -20.0 5.0 0.7 10.3 1.4 7.3 0.7 2.2 11.6 -3.8 -6.1 -8.8 -11.2 -9.7 -5.1 -4.1 -5.5 -5.2 -11.5 -5.6 1.5 -4.9 -11.0 1.0 10.0 -2.5 3.8 -0.2 0.4 0.2 -3.2 -0.5 -20.0 -20.0 -13.1 -6.2 SILVER-mini 20.0 -5.0 0.9 2.5 3.1 1.9 5.2 1.7 4.5 13.4 6.7 15.7 -1.3 10.9 3.8 -5.6 -4.7 -5.6 -5.4 7.9 3.4 20.0 0.9 19.8 -0.2 -11.3 1.8 6.2 0.4 7.7 -0.6 5.6 -4.7 13.5 15.4 0.2 -8.7 SOYBEAN -19.0 -14.4 -14.2 -2.4 5.7 -2.9 4.0 -2.0 -0.3 13.3 -3.8 -1.3 0.2 -6.8 -9.0 20.0 20.0 20.0 20.0 -14.8 -8.9 3.0 -0.7 -12.7 -3.4 -11.7 -4.6 4.9 -2.5 0.0 0.5 -4.2 20.0 -6.4 -20.0 -20.0 -15.0 SOYMEAL -20.0 -14.1 11.9 -2.4 5.7 -2.9 4.0 -2.0 -0.3 11.9 11.4 -1.5 12.9 -2.9 3.9 13.7 18.1 18.1 18.8 2.1 13.0 1.0 16.8 -5.3 -20.0 -12.0 -0.5 4.0 4.6 -0.4 7.8 -3.2 20.0 -12.8 -16.0 -6.3 20.0 SOYOIL -8.5 -11.4 -18.4 -2.4 5.7 -2.9 4.0 -2.0 -0.3 9.7 -10.3 -2.4 -1.5 -8.4 -12.2 -0.6 12.7 2.1 6.7 -17.7 -13.8 -2.5 -4.0 -14.5 2.2 12.9 -5.6 3.0 -4.2 -1.2 -0.9 -4.6 6.6 -20.0 -20.0 -20.0 -20.0 SP400 -17.7 -20.0 4.6 0.7 10.3 1.4 7.3 0.7 2.2 13.0 2.3 -1.7 -1.7 -8.3 -7.7 -5.1 -4.0 -5.4 -4.9 -9.4 -2.3 7.0 0.3 -7.9 -2.6 10.2 -2.4 5.1 0.0 1.6 1.1 -2.5 -0.0 -15.0 -20.0 -14.6 -7.1 SP500 5.4 -8.5 6.8 0.7 10.3 1.4 7.3 0.7 2.2 14.0 1.0 12.7 -6.5 1.6 1.9 -7.2 -5.6 -7.2 -6.7 1.9 0.4 20.0 -3.1 8.2 1.7 10.2 2.8 13.9 2.2 10.3 0.2 5.1 -2.8 -5.4 8.2 8.6 0.1 SUGAR11 3.5 8.5 12.0 -2.4 5.7 -2.9 4.0 -2.0 -0.3 14.0 14.9 14.9 12.2 15.0 15.3 18.4 20.0 20.0 20.0 20.0 19.1 20.0 14.7 20.0 -20.0 10.7 6.3 10.6 7.1 8.5 6.4 6.3 20.0 20.0 20.0 20.0 20.0 US10 20.0 7.4 20.0 2.2 1.7 -0.1 2.8 -3.0 3.7 2.1 -4.6 9.9 -11.1 9.4 5.5 -8.2 -4.2 -8.2 -7.4 5.5 -1.9 8.6 -10.6 10.5 -2.1 9.7 3.4 2.3 0.7 3.4 -3.0 4.7 -8.9 3.3 3.4 6.9 3.5 US10U 20.0 6.6 20.0 2.2 1.7 -0.1 2.8 -3.0 3.7 4.4 -4.2 10.3 -11.0 9.5 5.9 1.6 2.8 1.2 1.3 5.0 -2.0 8.5 -11.0 9.5 -5.1 -14.1 3.8 2.8 1.4 3.5 -2.4 4.7 4.6 3.0 -1.7 7.1 6.1 US20 20.0 5.4 18.2 2.2 1.7 -0.1 2.8 -3.0 3.7 6.1 -2.2 11.3 -9.6 10.2 6.8 -1.2 -1.5 -3.3 -3.2 5.2 -1.6 8.5 -10.9 9.1 -2.5 -12.3 3.5 3.4 0.9 3.6 -2.8 4.5 -2.9 2.6 -2.0 5.7 3.5 US30 14.3 2.5 16.9 2.2 1.7 -0.1 2.8 -3.0 3.7 7.7 -1.7 8.8 -10.9 6.3 1.7 0.0 -0.5 -0.7 -0.9 2.5 -3.0 5.8 -13.4 5.1 -7.5 10.0 3.6 4.3 1.4 3.3 -3.5 3.9 -0.0 0.6 -16.4 1.6 4.0 US5 20.0 9.4 20.0 2.2 1.7 -0.1 2.8 -3.0 3.7 1.7 -4.8 9.8 -11.6 9.3 5.6 -8.7 -4.7 -9.4 -8.5 5.4 -2.0 8.3 -10.2 10.4 -0.2 10.8 3.0 2.0 0.2 3.2 -3.5 4.5 -10.3 2.6 6.4 5.5 2.3 VIX 11.0 20.0 -2.0 -2.1 -3.5 -5.1 -2.1 -5.7 -0.3 -14.0 -11.7 -4.0 -12.9 -1.3 -5.3 -15.1 -20.0 -18.3 -20.0 -2.7 -8.9 -7.9 -11.4 -1.8 NaN -13.5 -2.3 -4.2 -6.6 -2.4 -8.0 -0.3 NaN NaN NaN NaN NaN WHEAT 8.0 -7.7 -11.7 -2.4 5.7 -2.9 4.0 -2.0 -0.3 10.4 -13.5 9.6 -14.4 -8.1 -9.9 -12.1 -8.0 -11.3 -9.9 -13.9 -18.2 3.7 -15.4 -5.6 6.9 11.9 -4.2 2.4 -4.5 1.4 -2.3 -1.9 -20.0 -8.1 -1.6 -12.2 -9.9 End of report for caleb_strategy_v1