******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230404_204633 produced at 2023-04-04 21:37:44.610228 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 VIX False False 0.01 -0.16 -0.15 0.0 9.133946e+06 -9.133946e+06 -0.16 -0.16 -16.66 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.14 0.0 5.512069e+07 -5.512069e+07 -0.11 -0.11 -2.46 999999999.0 -2 -2 caleb_strategy_v1 US10U False False 0.05 -0.10 -0.13 0.0 4.857362e+07 -4.857362e+07 -0.10 -0.10 -2.61 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.10 0.0 5.420680e+07 -5.420680e+07 -0.16 -0.16 -1.79 999999999.0 -3 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.09 0.0 1.419427e+07 -1.419427e+07 -0.09 -0.09 -6.39 999999999.0 -6 -6 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.270346e+07 -5.270346e+07 0.00 0.00 -1.56 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.04 -0.23 -0.06 0.0 3.805398e+07 -3.805398e+07 -0.23 -0.23 -1.55 999999999.0 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.347045e+07 -4.347045e+07 -0.09 -0.09 -1.23 999999999.0 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.03 0.0 7.932069e+06 -7.932069e+06 -0.02 -0.02 -3.63 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.089102e+07 -6.089102e+07 0.00 0.00 -0.46 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.141644e+07 -1.141644e+07 -0.06 -0.06 -1.76 999999999.0 -5 -5 caleb_strategy_v1 RUSSELL False False 0.00 -0.23 -0.01 0.0 3.517659e+06 -3.517659e+06 -0.23 -0.25 -2.25 999999999.0 -66 -70 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.775586e+07 -5.775586e+07 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.391807e+07 -4.391807e+07 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.268676e+06 -9.268676e+06 -0.01 -0.01 -0.98 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.503910e+07 -2.503910e+07 0.00 0.00 -0.46 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.04 0.00 0.0 1.825186e+07 -1.825186e+07 0.04 0.04 0.17 999999999.0 2 2 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.569216e+07 -1.569216e+07 0.00 0.00 -0.31 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.455784e+07 -1.455784e+07 -0.03 -0.03 -0.29 999999999.0 -2 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.331218e+07 -1.331218e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.39 0.00 0.0 9.834545e+07 -9.834545e+07 0.39 0.39 0.04 999999999.0 4 4 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.121435e+06 -1.121435e+06 -0.01 -0.00 -4.12 999999999.0 -5 -4 caleb_strategy_v1 DAX False False 0.01 0.00 -0.00 0.0 6.758852e+06 -6.758852e+06 0.00 0.00 -0.70 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.02 0.01 0.0 2.039386e+07 -2.039386e+07 0.02 0.02 0.54 999999999.0 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.04 0.01 0.0 1.797465e+07 -1.797465e+07 0.04 0.04 0.52 999999999.0 2 2 caleb_strategy_v1 LIVECOW False False 0.03 -0.03 0.01 0.0 2.541654e+07 -2.541654e+07 -0.03 -0.03 0.25 999999999.0 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.604123e+07 -4.604123e+07 0.00 0.00 0.14 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.04 0.01 0.0 4.379675e+07 -4.379675e+07 -0.04 -0.04 0.28 999999999.0 -1 -1 caleb_strategy_v1 REDWHEAT False False 0.02 0.02 0.01 0.0 1.698002e+07 -1.698002e+07 0.02 0.02 0.31 999999999.0 1 1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.679753e+07 -2.679753e+07 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.593813e+07 -2.593813e+07 0.00 0.00 0.28 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.648165e+06 -6.648165e+06 0.00 0.01 1.31 999999999.0 0 1 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.608248e+07 -1.608248e+07 0.02 0.02 0.80 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 3.073048e+07 -3.073048e+07 0.00 0.00 0.69 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.174980e+07 -8.174980e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.412261e+06 -4.412261e+06 0.00 0.00 4.82 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.620313e+07 -2.620313e+07 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.110537e+07 -1.110537e+07 0.06 0.06 2.24 999999999.0 5 5 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 8.797119e+06 -8.797119e+06 0.02 0.02 2.18 999999999.0 2 2 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.941862e+07 -3.941862e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.498263e+07 -2.498263e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.348368e+07 -4.348368e+07 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.078043e+07 -1.078043e+07 0.00 0.00 2.60 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.03 0.0 9.795077e+06 -9.795077e+06 0.03 0.03 2.80 999999999.0 3 3 caleb_strategy_v1 CAC False False 0.03 0.00 0.03 0.0 3.152458e+07 -3.152458e+07 0.00 0.00 0.86 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.681473e+07 -5.681473e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.22 0.04 0.0 3.100043e+07 -3.100043e+07 0.22 0.22 1.45 999999999.0 7 7 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.948422e+07 -2.948422e+07 0.00 0.00 1.62 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 4.953402e+07 -4.953402e+07 0.05 0.05 1.05 999999999.0 1 1 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.06 0.0 1.046045e+08 -1.046045e+08 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.06 0.0 3.043328e+07 -3.043328e+07 0.12 0.12 1.84 999999999.0 4 4 caleb_strategy_v1 OAT False False 0.06 0.11 0.07 0.0 5.611139e+07 -5.611139e+07 0.11 0.11 1.21 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 4.69 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.23 0.25 0.0 5.859131e+07 -5.859131e+07 0.23 0.29 4.28 999999999.0 4 5 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.30 0.0 0.000000e+00 0.000000e+00 0.00 0.00 35.23 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.05 0.30 0.0 5.081689e+07 -5.081689e+07 0.05 0.05 5.89 999999999.0 1 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 15.0 Shocked risk 37.3 Sum abs risk 43.4 Leverage 2.65 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2523553.46, 'annual_cash_vol_target': 630888.365, 'daily_cash_vol_target': 39430.5228125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6762 0.7651 12.2414 BITCOIN 1040.8894 28300.0000 3.6781 58.8489 BOBL 0.5500 118.4400 0.4644 7.4301 BTP 0.7934 115.4500 0.6872 10.9950 BUND 0.9857 136.5600 0.7218 11.5485 BUXL 2.2330 141.9200 1.5734 25.1744 CAC 75.4125 7347.5000 1.0264 16.4219 CAD 0.0033 0.7440 0.4404 7.0460 CANOLA 8.5253 757.9000 1.1249 17.9978 CHF 0.0062 1.1128 0.5527 8.8438 COCOA 35.8913 2881.0000 1.2458 19.9327 COFFEE 3.3334 174.5500 1.9097 30.5552 COPPER 0.0499 3.9790 1.2532 20.0504 CORN 4.7170 560.5000 0.8416 13.4652 COTTON2 1.4552 81.1700 1.7928 28.6847 CRUDE_W 1.3964 76.8000 1.8182 29.0918 DAX 165.9909 15753.0000 1.0537 16.8594 DOW 273.9204 33554.0000 0.8164 13.0617 EUR 0.0060 1.0944 0.5523 8.8368 EUROSTX 49.2948 4254.0000 1.1588 18.5406 FEEDCOW 1.3025 219.4000 0.5937 9.4986 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.9892 775.5000 2.0618 32.9887 GASOILINE 0.0481 2.6388 1.8231 29.1702 GAS_US 0.1185 2.3390 5.0683 81.0930 GBP 0.0077 1.2517 0.6189 9.9031 GOLD_micro 19.8104 2001.7000 0.9897 15.8349 HEATOIL 0.0459 2.6127 1.7552 28.0832 JPY 0.0001 0.0077 0.6922 11.0745 LEANHOG 1.3891 89.5500 1.5512 24.8190 LIVECOW 0.9351 160.3500 0.5832 9.3305 MXP 0.0005 0.0544 0.8471 13.5532 NASDAQ 132.2262 13198.7500 1.0018 16.0289 NIKKEI 258.6382 28150.0000 0.9188 14.7006 NZD 0.0046 0.6304 0.7315 11.7044 OAT 0.8998 130.7800 0.6880 11.0087 OJ 4.4449 264.0000 1.6837 26.9387 PALLAD 29.6993 1457.5000 2.0377 32.6031 PLAT 17.1610 1029.3000 1.6672 26.6759 REDWHEAT 11.1702 857.0000 1.3034 20.8546 ROBUSTA 27.8041 2220.0000 1.2524 20.0390 RUSSELL 24.1654 1775.4000 1.3611 21.7780 SILVER-mini 0.4012 25.2750 1.5872 25.3946 SOYBEAN 11.6988 1322.5000 0.8846 14.1536 SOYMEAL 5.4958 453.6000 1.2116 19.3855 SOYOIL 0.9138 55.9900 1.6321 26.1133 SP400 30.6945 2481.8000 1.2368 19.7885 SP500 35.9053 4126.0000 0.8702 13.9235 SUGAR11 0.2825 22.0700 1.2802 20.4833 US10 0.6463 116.1875 0.5563 8.9008 US10U 0.8248 122.5781 0.6729 10.7662 US20 1.1135 133.0000 0.8372 13.3951 US30 1.5797 143.3750 1.1018 17.6285 US5 0.4915 110.5234 0.4447 7.1151 VIX 0.7920 23.0500 3.4360 54.9760 WHEAT 10.0771 734.7500 1.3715 21.9440 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 676.25 0.77 517.39 1.00 517.39 39430.52 76.21 2.67 20.33 BITCOIN 28.30 3.68 104.09 1.00 104.09 39430.52 378.82 -4.62 -174.88 BOBL 1184.40 0.46 550.01 1.08 595.52 39430.52 66.21 12.33 81.62 BTP 1154.50 0.69 793.36 1.08 858.99 39430.52 45.90 11.29 51.81 BUND 1365.60 0.72 985.66 1.08 1067.21 39430.52 36.95 16.04 59.28 BUXL 1419.20 1.57 2232.97 1.08 2417.72 39430.52 16.31 -3.35 -5.47 CAC 734.75 1.03 754.13 1.08 816.52 39430.52 48.29 6.34 30.61 CAD 744.05 0.44 327.66 1.00 327.66 39430.52 120.34 7.55 90.91 CANOLA 151.58 1.12 170.51 0.73 125.25 39430.52 314.82 16.70 525.62 CHF 1391.00 0.55 768.86 1.00 768.86 39430.52 51.28 -12.84 -65.83 COCOA 288.10 1.25 358.91 1.00 358.91 39430.52 109.86 -7.34 -80.63 COFFEE 654.56 1.91 1250.02 1.00 1250.02 39430.52 31.54 6.83 21.55 COPPER 994.75 1.25 1246.57 1.00 1246.57 39430.52 31.63 4.42 13.97 CORN 280.25 0.84 235.85 1.00 235.85 39430.52 167.18 14.82 247.84 COTTON2 405.85 1.79 727.61 1.00 727.61 39430.52 54.19 9.83 53.25 CRUDE_W 768.00 1.82 1396.40 1.00 1396.40 39430.52 28.24 4.94 13.96 DAX 157.53 1.05 165.99 1.08 179.72 39430.52 219.39 -0.58 -12.82 DOW 167.77 0.82 136.96 1.00 136.96 39430.52 287.90 1.60 46.01 EUR 1367.94 0.55 755.51 1.00 755.51 39430.52 52.19 -9.17 -47.87 EUROSTX 425.40 1.16 492.95 1.08 533.73 39430.52 73.88 0.81 5.97 FEEDCOW 1097.00 0.59 651.25 1.00 651.25 39430.52 60.55 -7.53 -45.60 FTSE100 707.00 0.82 576.59 1.23 666.67 39430.52 59.15 7.70 45.53 GASOIL 775.50 2.06 1598.92 1.00 1598.92 39430.52 24.66 3.94 9.71 GASOILINE 1108.30 1.82 2020.58 1.00 2020.58 39430.52 19.51 -1.48 -2.89 GAS_US 233.90 5.07 1185.48 1.00 1185.48 39430.52 33.26 -19.57 -65.08 GBP 782.31 0.62 484.21 1.00 484.21 39430.52 81.43 9.96 81.07 GOLD_micro 200.17 0.99 198.10 1.00 198.10 39430.52 199.04 -8.14 -162.09 HEATOIL 1097.33 1.76 1926.04 1.00 1926.04 39430.52 20.47 2.97 6.07 JPY 960.31 0.69 664.69 1.00 664.69 39430.52 59.32 -4.04 -23.99 LEANHOG 358.20 1.55 555.64 1.00 555.64 39430.52 70.96 -19.27 -136.74 LIVECOW 641.40 0.58 374.04 1.00 374.04 39430.52 105.42 0.89 9.39 MXP 272.05 0.85 230.45 1.00 230.45 39430.52 171.10 12.39 211.99 NASDAQ 2639.75 1.00 2644.52 1.00 2644.52 39430.52 14.91 7.17 10.69 NIKKEI 28150.00 0.92 25863.82 0.01 194.53 39430.52 202.70 9.15 185.46 NZD 630.45 0.73 461.19 1.00 461.19 39430.52 85.50 6.75 57.71 OAT 1307.80 0.69 899.82 1.08 974.27 39430.52 40.47 14.80 59.92 OJ 396.00 1.68 666.73 1.00 666.73 39430.52 59.14 -3.03 -17.92 PALLAD 1457.50 2.04 2969.93 1.00 2969.93 39430.52 13.28 -4.88 -6.48 PLAT 514.65 1.67 858.05 1.00 858.05 39430.52 45.95 4.93 22.63 REDWHEAT 428.50 1.30 558.51 1.00 558.51 39430.52 70.60 8.30 58.58 ROBUSTA 222.00 1.25 278.04 1.00 278.04 39430.52 141.82 11.87 168.36 RUSSELL 88.77 1.36 120.83 1.00 120.83 39430.52 326.34 -1.33 -43.51 SILVER-mini 631.88 1.59 1002.89 1.00 1002.89 39430.52 39.32 -5.23 -20.55 SOYBEAN 661.25 0.88 584.94 1.00 584.94 39430.52 67.41 1.77 11.94 SOYMEAL 453.60 1.21 549.58 1.00 549.58 39430.52 71.75 1.22 8.76 SOYOIL 335.94 1.63 548.28 1.00 548.28 39430.52 71.92 3.36 24.16 SP400 2481.80 1.24 3069.45 1.00 3069.45 39430.52 12.85 0.61 0.78 SP500 2063.00 0.87 1795.27 1.00 1795.27 39430.52 21.96 3.63 7.98 SUGAR11 247.18 1.28 316.45 1.00 316.45 39430.52 124.60 16.58 206.53 US10 1161.88 0.56 646.35 1.00 646.35 39430.52 61.00 0.58 3.57 US10U 1225.78 0.67 824.82 1.00 824.82 39430.52 47.81 -3.74 -17.88 US20 1330.00 0.84 1113.47 1.00 1113.47 39430.52 35.41 -5.96 -21.12 US30 1433.75 1.10 1579.68 1.00 1579.68 39430.52 24.96 2.42 6.05 US5 1105.23 0.44 491.49 1.00 491.49 39430.52 80.23 0.91 7.29 VIX 230.50 3.44 792.00 1.00 792.00 39430.52 49.79 -17.76 -88.41 WHEAT 367.38 1.37 503.86 1.00 503.86 39430.52 78.26 -6.86 -53.68 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 20.333 0.006 2.5 0.325 BITCOIN -174.883 0.009 2.5 -4.121 BOBL 81.624 0.029 2.5 5.890 BTP 51.807 0.008 2.5 1.046 BUND 59.277 0.029 2.5 4.277 BUXL -5.470 0.034 2.5 -0.459 CAC 30.606 0.011 2.5 0.860 CAD 90.911 0.007 2.5 1.623 CANOLA 525.622 0.004 2.5 4.825 CHF -65.826 0.015 2.5 -2.464 COCOA -80.628 0.009 2.5 -1.756 COFFEE 21.551 0.005 2.5 0.279 COPPER 13.966 0.011 2.5 0.382 CORN 247.843 0.004 2.5 2.236 COTTON2 53.252 0.006 2.5 0.802 CRUDE_W 13.960 0.053 2.5 1.844 DAX -12.817 0.022 2.5 -0.696 DOW 46.005 0.011 2.5 1.311 EUR -47.869 0.015 2.5 -1.792 EUROSTX 5.974 0.011 2.5 0.168 FEEDCOW -45.600 0.011 2.5 -1.225 FTSE100 45.528 0.041 2.5 4.693 GASOIL 9.707 0.029 2.5 0.692 GASOILINE -2.892 0.016 2.5 -0.119 GAS_US -65.079 0.006 2.5 -0.980 GBP 81.068 0.007 2.5 1.447 GOLD_micro -162.086 0.009 2.5 -3.627 HEATOIL 6.072 0.029 2.5 0.433 JPY -23.985 0.026 2.5 -1.553 LEANHOG -136.742 0.019 2.5 -6.389 LIVECOW 9.387 0.011 2.5 0.252 MXP 211.991 0.005 2.5 2.595 NASDAQ 10.694 0.022 2.5 0.581 NIKKEI 185.464 0.076 2.5 35.226 NZD 57.709 0.006 2.5 0.922 OAT 59.918 0.008 2.5 1.210 OJ -17.924 0.007 2.5 -0.313 PALLAD -6.477 0.010 2.5 -0.156 PLAT 22.634 0.010 2.5 0.545 REDWHEAT 58.578 0.002 2.5 0.313 ROBUSTA 168.363 0.005 2.5 2.183 RUSSELL -43.506 0.021 2.5 -2.253 SILVER-mini -20.551 0.009 2.5 -0.460 SOYBEAN 11.938 0.024 2.5 0.704 SOYMEAL 8.759 0.024 2.5 0.516 SOYOIL 24.156 0.004 2.5 0.222 SP400 0.779 0.021 2.5 0.040 SP500 7.977 0.011 2.5 0.227 SUGAR11 206.531 0.005 2.5 2.802 US10 3.567 0.015 2.5 0.137 US10U -17.881 0.058 2.5 -2.605 US20 -21.118 0.029 2.5 -1.556 US30 6.050 0.034 2.5 0.508 US5 7.290 0.015 2.5 0.280 VIX -88.412 0.075 2.5 -16.661 WHEAT -53.683 0.002 2.5 -0.287 ==================== Position diags ==================== AUD 1.22 BITCOIN 8.93 BOBL 4.78 BTP 0.93 BUND 2.67 BUXL 1.37 CAC 1.36 CAD 2.15 CANOLA 2.89 CHF 1.92 COCOA 2.39 COFFEE 0.41 COPPER 0.86 CORN 1.51 COTTON2 0.82 CRUDE_W 3.73 DAX 11.91 DOW 8.20 EUR 1.95 EUROSTX 2.08 FEEDCOW 1.63 FTSE100 6.10 GASOIL 1.76 GASOILINE 0.80 GAS_US 0.50 GBP 1.45 GOLD_micro 4.45 HEATOIL 1.46 JPY 3.84 LEANHOG 3.32 LIVECOW 2.83 MXP 2.09 NASDAQ 0.81 NIKKEI 38.50 NZD 1.37 OAT 0.82 OJ 1.03 PALLAD 0.32 PLAT 1.11 REDWHEAT 0.38 ROBUSTA 1.84 RUSSELL 16.90 SILVER-mini 0.88 SOYBEAN 3.97 SOYMEAL 4.23 SOYOIL 0.66 SP400 0.67 SP500 0.63 SUGAR11 1.69 US10 2.34 US10U 6.97 US20 2.61 US30 2.10 US5 3.08 VIX 9.38 WHEAT 0.42 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 -4.1 -5.0 -3.2 -5.0 -5 BOBL 5.9 5.4 6.4 1.0 1 BTP 1.0 1.0 1.1 1.0 1 BUND 4.3 4.0 4.5 4.0 4 BUXL -0.5 -0.6 -0.3 0.0 0 CAC 0.9 0.7 1.0 0.0 0 CAD 1.6 1.4 1.8 0.0 0 CANOLA 4.8 4.5 5.1 NaN 0 CHF -2.5 -2.7 -2.3 -2.0 -2 COCOA -1.8 -2.0 -1.5 -5.0 -5 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.4 0.3 0.5 0.0 0 CORN 2.2 2.1 2.4 5.0 5 COTTON2 0.8 0.7 0.9 1.0 1 CRUDE_W 1.8 1.5 2.2 4.0 4 DAX -0.7 -1.9 0.5 0.0 0 DOW 1.3 0.5 2.1 0.0 0 EUR -1.8 -2.0 -1.6 -3.0 -3 EUROSTX 0.2 -0.0 0.4 2.0 2 FEEDCOW -1.2 -1.4 -1.1 -2.0 -2 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL 0.7 0.5 0.9 0.0 0 GASOILINE -0.1 -0.2 -0.0 0.0 0 GAS_US -1.0 -1.0 -0.9 -1.0 -1 GBP 1.4 1.3 1.6 7.0 7 GOLD_micro -3.6 -4.1 -3.2 -2.0 -2 HEATOIL 0.4 0.3 0.6 0.0 0 JPY -1.6 -1.9 -1.2 -6.0 -6 LEANHOG -6.4 -6.7 -6.1 -6.0 -6 LIVECOW 0.3 -0.0 0.5 -1.0 -1 MXP 2.6 2.4 2.8 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 35.2 31.4 39.1 0.0 0 NZD 0.9 0.8 1.1 0.0 0 OAT 1.2 1.1 1.3 2.0 2 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.5 0.4 0.7 1.0 1 REDWHEAT 0.3 0.3 0.4 1.0 1 ROBUSTA 2.2 2.0 2.4 2.0 2 RUSSELL -2.3 -3.9 -0.6 -66.0 -66 SILVER-mini -0.5 -0.5 -0.4 0.0 0 SOYBEAN 0.7 0.3 1.1 0.0 0 SOYMEAL 0.5 0.1 0.9 2.0 2 SOYOIL 0.2 0.2 0.3 0.0 0 SP400 0.0 -0.0 0.1 4.0 4 SP500 0.2 0.2 0.3 0.0 0 SUGAR11 2.8 2.6 3.0 3.0 3 US10 0.1 -0.1 0.4 NaN 0 US10U -2.6 -3.3 -1.9 -2.0 -2 US20 -1.6 -1.8 -1.3 0.0 0 US30 0.5 0.3 0.7 0.0 0 US5 0.3 -0.0 0.6 -1.0 -1 VIX -16.7 -17.6 -15.7 -18.0 -18 WHEAT -0.3 -0.3 -0.2 -2.0 -2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 1.0 2.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.2 -0.1 BITCOIN 0.2 0.1 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 0.0 0.3 0.3 BOBL 0.2 0.3 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 -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 -0.1 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 -0.0 0.0 2.7 -0.2 -0.4 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 -0.2 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 0.0 -0.1 BUXL 0.2 0.1 0.1 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.3 0.0 -0.1 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 -0.2 -0.3 -0.0 -0.2 CAC -0.1 -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 0.3 0.4 0.0 -0.0 -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 0.9 -0.1 -0.3 0.1 0.1 CAD 0.2 -0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -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 0.1 -0.1 -0.1 -0.1 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 0.3 -0.2 -0.2 0.0 -0.1 -0.0 3.2 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 0.1 0.1 0.0 COCOA 0.1 0.1 0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.3 0.0 0.1 0.1 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 -1.6 0.1 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 -0.7 -0.1 -0.2 0.0 0.2 COPPER -0.0 -0.2 0.3 0.0 0.0 0.1 0.1 0.0 0.1 -0.0 0.2 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.0 0.0 -0.3 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.2 -0.4 -0.2 -0.0 CORN 0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.0 -0.0 -0.3 1.3 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 1.3 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 -0.1 -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 3.1 3.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 0.0 -0.1 -0.3 0.0 CRUDE_W -0.0 -0.1 -0.1 -0.0 0.1 -0.1 0.1 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 -0.1 -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 0.1 -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 -0.0 0.0 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 -0.1 -0.3 0.2 0.0 0.0 0.0 0.2 0.0 0.0 0.0 0.4 0.0 0.3 0.0 0.3 0.0 0.2 0.1 0.1 0.1 0.2 0.0 0.2 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 -3.1 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 -0.1 -0.2 -0.0 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 -0.0 -0.1 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.7 0.6 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 0.1 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 1.6 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.3 -0.3 -0.1 -0.3 GBP 0.2 0.0 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.0 0.1 0.2 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 1.2 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 0.1 0.1 0.0 0.1 0.0 0.3 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 -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 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.1 -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 0.1 -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 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.9 -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 -0.4 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 -2.0 0.0 0.0 0.1 0.3 MXP -0.0 -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 0.2 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 0.3 0.2 0.4 0.0 0.1 0.0 0.2 0.0 0.0 0.1 0.1 0.1 -0.2 0.1 0.4 -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 0.1 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 -0.1 -0.2 -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 0.1 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 0.1 -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 -0.0 -0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.1 2.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.0 -0.3 -0.1 -0.2 REDWHEAT 0.2 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.0 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 -0.0 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 0.9 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 0.3 0.3 0.3 RUSSELL -0.2 -0.3 0.1 0.0 0.1 0.0 0.2 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 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 0.1 0.1 -0.3 -0.2 -0.1 -0.1 0.1 0.1 0.0 0.0 0.0 -0.2 -3.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.0 -0.1 SOYBEAN -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.2 1.6 0.8 0.4 0.4 -0.2 -0.1 0.0 -0.0 -0.0 -0.5 -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 0.0 -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 -0.4 -0.1 0.3 SOYOIL -0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.0 -0.0 -0.3 -0.1 0.5 0.0 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.4 2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.8 -0.1 -0.4 -0.3 -0.3 SP400 -0.2 -0.3 0.1 0.0 0.0 0.0 0.1 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 -0.3 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 0.1 -0.5 -0.2 -0.1 -0.1 0.0 0.0 0.0 -0.0 0.0 0.2 2.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 -0.1 0.2 0.1 0.0 SUGAR11 0.1 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 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 -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 -1.3 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 0.2 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 -0.0 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 0.1 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 0.0 0.1 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 0.2 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 -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 -2.6 -1.6 -0.8 -0.8 -0.0 -0.2 -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 0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.2 -1.0 -0.3 -0.2 -0.2 -0.2 -0.2 0.0 -0.2 -0.0 1.0 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 4.9 -17.2 4.7 1.7 7.2 1.0 6.8 -1.4 4.0 6.7 1.6 7.6 -4.5 -7.8 -9.3 -3.3 -2.9 -3.4 -3.3 -6.5 -4.3 5.5 -5.0 -2.7 8.3 11.7 -3.0 4.5 -2.2 2.7 -2.6 -1.1 -0.9 -8.9 -16.3 -17.0 -9.4 BITCOIN 17.7 9.1 20.0 2.7 2.6 2.0 4.8 1.7 4.5 7.2 12.1 14.3 -10.2 14.3 14.4 -3.9 -1.7 -3.0 -2.1 15.6 9.5 11.0 -3.0 15.8 2.6 -18.1 5.2 1.1 3.7 3.4 0.6 4.9 1.0 -18.1 0.1 16.4 20.0 BOBL 20.0 17.6 19.7 2.4 3.3 0.0 3.6 -2.9 4.0 -1.5 -9.8 7.9 -13.1 8.0 1.7 5.3 5.0 -0.1 1.5 2.7 -5.8 4.6 -13.4 7.2 11.7 10.8 2.0 1.4 -1.5 2.5 -5.8 3.8 7.5 -12.5 5.8 1.0 -10.7 BTP 14.1 4.2 12.5 2.4 3.3 0.0 3.6 -2.9 4.0 -0.3 3.0 9.0 -9.0 8.6 7.5 8.3 12.1 8.9 10.9 7.0 1.8 4.7 -9.4 8.1 -10.8 11.4 4.4 0.9 2.2 2.2 -4.0 4.1 20.0 -13.3 -17.7 4.7 1.5 BUND 20.0 11.7 16.3 2.4 3.3 0.0 3.6 -2.9 4.0 -1.4 -10.2 7.3 -13.2 6.7 -0.2 6.9 13.6 9.1 11.2 1.9 -6.4 4.2 -15.1 6.2 8.7 12.3 2.3 1.4 -1.3 2.4 -6.1 3.7 20.0 -12.4 -3.9 0.7 -8.5 BUXL 18.5 9.5 7.9 2.4 3.3 0.0 3.6 -2.9 4.0 -3.8 -10.2 2.8 -13.2 3.8 -6.0 2.2 0.8 2.6 2.6 -1.4 -8.4 0.6 -16.3 2.3 6.6 -10.8 1.1 0.6 -2.2 1.3 -6.5 2.6 4.2 -17.9 -13.3 -2.8 -16.3 CAC -11.5 -18.8 13.8 1.1 7.2 1.5 6.9 0.8 2.7 13.5 13.9 11.2 11.2 6.5 10.5 5.3 0.9 -1.8 -1.4 7.9 13.7 14.6 13.4 6.8 -15.6 8.9 1.8 6.6 4.7 4.5 5.0 0.9 7.0 -4.8 -13.1 7.6 6.8 CAD 13.4 -7.8 0.9 1.7 7.2 1.0 6.8 -1.4 4.0 11.6 -8.7 13.2 -10.4 0.6 -3.7 -2.8 -1.7 -2.5 -2.2 -3.2 -7.6 18.8 -11.0 6.7 17.2 10.4 -1.2 9.6 -3.0 8.5 -4.4 3.1 1.0 13.8 -5.4 -6.5 -9.9 CANOLA -12.9 -13.0 -17.4 -2.4 0.3 -2.9 2.0 -2.0 -0.7 13.2 -9.7 -1.6 -11.7 -6.3 -10.5 20.0 13.8 16.4 13.5 -20.0 -19.6 1.1 -10.7 -16.6 14.1 13.2 -5.3 1.8 -4.2 -0.7 -2.1 -4.2 11.6 8.2 -20.0 -20.0 -20.0 CHF 10.4 -6.6 6.4 1.7 7.2 1.0 6.8 -1.4 4.0 13.9 10.7 11.1 3.8 7.9 4.3 -12.5 -13.7 -13.8 -14.1 5.5 5.1 12.7 2.4 9.0 -5.6 -11.5 3.1 8.4 2.5 6.8 0.0 4.9 -19.5 0.6 7.2 5.6 1.4 COCOA 10.9 8.3 16.0 -2.4 0.3 -2.9 2.0 -2.0 -0.7 7.7 13.7 13.9 4.6 13.6 13.3 4.9 -1.4 2.0 0.4 17.7 14.8 17.2 8.2 19.7 -20.0 -10.4 5.6 2.5 5.1 5.0 3.2 5.8 -11.7 16.4 20.0 20.0 20.0 COFFEE -10.8 7.2 7.8 -2.4 0.3 -2.9 2.0 -2.0 -0.7 1.2 -5.7 -5.2 -7.7 -9.4 5.1 4.0 3.3 3.0 3.2 -0.5 -3.7 -3.8 -8.2 -4.3 10.7 10.0 -0.8 2.4 -1.7 -1.9 -3.4 -2.7 -4.9 -18.3 -8.7 3.1 13.4 COPPER -1.8 -10.8 18.2 2.7 2.6 2.0 4.8 1.7 4.5 -8.4 8.8 5.8 -1.7 0.0 3.6 -0.8 -0.5 -0.8 -0.7 3.2 7.0 -1.6 3.4 1.0 -2.7 11.1 -0.6 -7.1 1.6 -1.4 1.7 -0.8 2.9 -16.5 -20.0 -11.2 -0.3 CORN 9.6 -15.8 -20.0 -2.4 0.3 -2.9 2.0 -2.0 -0.7 0.8 -7.0 4.0 -2.0 -8.1 -11.7 16.4 19.5 20.0 20.0 -14.1 -13.5 -0.2 -2.4 -6.2 8.4 11.0 -4.9 -1.9 -5.3 0.1 -2.1 -1.9 20.0 0.5 -3.3 -20.0 -20.0 COTTON2 -1.7 -2.3 -1.3 -2.4 0.3 -2.9 2.0 -2.0 -0.7 5.1 -10.2 5.0 -11.1 -2.7 -6.2 -3.3 8.5 -2.9 1.0 -6.5 -10.2 4.3 -10.5 -1.5 12.4 12.0 -3.1 -0.3 -3.2 2.0 -1.3 -0.9 -2.0 8.7 -7.3 -9.3 0.4 CRUDE_W -3.0 -7.8 -6.7 -2.8 7.3 -2.5 3.5 0.9 -1.0 14.0 -2.1 8.8 -1.9 2.1 -3.1 7.2 11.2 7.7 8.8 -4.4 -5.0 20.0 0.0 4.7 -8.5 10.8 -1.6 12.3 -1.3 8.2 1.5 1.7 -0.2 20.0 7.7 0.2 0.0 DAX -10.5 -19.3 15.7 1.1 7.2 1.5 6.9 0.8 2.7 12.2 14.2 10.0 6.4 6.5 10.4 -6.6 -5.7 -7.9 -7.4 6.5 11.6 12.7 9.2 5.8 -18.8 9.9 1.9 5.9 5.1 4.4 4.1 1.0 -3.6 -8.6 -9.3 4.8 5.1 DOW 7.3 -18.2 -2.8 1.1 7.2 1.5 6.9 0.8 2.7 11.2 5.6 9.1 0.4 -2.5 -6.3 -6.7 -4.8 -7.0 -6.5 -4.5 -2.7 18.2 -0.3 4.1 -0.5 10.8 -0.1 10.6 0.6 9.0 1.1 3.1 -2.2 -3.3 0.2 0.1 -11.4 EUR 13.7 -8.8 16.5 1.3 6.9 0.9 6.3 -1.5 3.4 10.6 10.3 12.9 -1.3 6.9 3.0 -6.3 -8.5 -7.3 -8.0 6.9 6.7 13.0 -0.1 10.4 -10.2 -11.1 3.4 4.9 3.3 6.3 -0.9 4.9 -9.8 8.1 4.4 2.4 8.0 EUROSTX -8.2 -19.0 13.9 1.1 7.2 1.5 6.9 0.8 2.7 13.1 14.4 12.5 11.0 9.0 11.6 0.0 5.6 4.9 5.7 8.1 13.1 14.3 11.9 7.7 -18.7 -8.5 2.2 6.5 5.4 5.2 5.3 1.6 17.1 -7.0 -7.6 6.8 4.3 FEEDCOW -1.3 18.6 15.1 -2.4 0.3 -2.9 2.0 -2.0 -0.7 6.9 10.9 9.4 7.3 11.8 12.3 -20.0 -20.0 -20.0 -20.0 20.0 15.4 19.5 8.2 20.0 -18.3 12.2 5.8 2.8 5.0 5.1 3.2 5.5 -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 -4.6 -9.0 -10.2 -2.8 7.3 -2.5 3.5 0.9 -1.0 5.4 -11.4 -0.1 6.5 -7.3 -11.0 20.0 20.0 20.0 20.0 -9.7 -8.0 5.0 4.1 -4.6 -0.8 -15.4 -4.3 5.4 -4.4 3.1 -0.1 -1.6 20.0 0.9 0.7 -5.5 -10.3 GASOILINE -2.0 -3.5 2.0 -2.8 7.3 -2.5 3.5 0.9 -1.0 12.3 2.8 8.7 2.4 3.0 5.2 20.0 12.8 10.5 7.8 2.1 1.5 17.2 5.9 7.3 -15.7 -13.1 1.7 10.6 2.7 8.4 6.4 3.7 -0.1 19.4 14.2 7.3 20.0 GAS_US -8.7 -2.1 -20.0 -2.8 7.3 -2.5 3.5 0.9 -1.0 -13.7 -16.5 -15.3 -13.6 -15.3 -16.4 -20.0 -10.1 -20.0 -13.8 -20.0 -20.0 -15.8 -20.0 -20.0 13.2 -9.3 -6.1 -3.6 -6.6 -5.3 -3.1 -5.7 -20.0 -20.0 -13.4 -4.8 -20.0 GBP 17.8 1.2 10.6 1.7 7.2 1.0 6.8 -1.4 4.0 13.3 12.1 15.2 -1.7 12.5 7.6 -1.5 -1.9 -1.9 -2.1 8.8 4.9 17.8 -2.7 14.2 8.6 9.4 3.3 9.2 0.2 8.4 -4.6 6.4 0.9 2.8 9.9 10.2 -3.3 GOLD_micro 20.0 -0.7 16.1 2.5 3.3 1.9 5.2 1.7 4.5 5.3 10.6 12.4 0.4 11.6 10.2 -10.7 -10.6 -11.6 -11.7 14.5 10.8 12.8 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 -7.9 -13.4 -11.6 -2.8 7.3 -2.5 3.5 0.9 -1.0 13.3 -11.1 -0.5 5.4 -8.1 -11.4 20.0 20.0 20.0 20.0 -12.4 -9.8 5.9 3.8 -6.4 -8.1 -13.6 -4.1 6.6 -2.6 2.7 3.5 -2.0 20.0 -1.4 -1.6 -9.8 -3.4 JPY 15.3 -7.7 7.4 1.7 7.2 1.0 6.8 -1.4 4.0 -4.3 6.0 7.8 -6.6 3.6 -1.5 -14.4 -12.6 -14.1 -13.7 2.4 1.4 2.3 -7.2 3.8 2.0 9.9 1.6 0.6 0.6 1.1 -4.5 2.1 -18.2 -19.8 3.1 -2.3 2.2 LEANHOG -18.9 -16.2 -20.0 -2.4 0.3 -2.9 2.0 -2.0 -0.7 -7.8 -13.5 -12.4 -10.1 -13.3 -14.9 -20.0 -20.0 -20.0 -20.0 -20.0 -19.7 -17.6 -10.4 -20.0 19.0 -11.1 -5.9 -2.6 -4.9 -3.6 -2.8 -5.4 -20.0 -17.6 -20.0 -20.0 -20.0 LIVECOW -7.3 -7.1 6.0 -2.4 0.3 -2.9 2.0 -2.0 -0.7 7.9 11.0 9.0 8.1 5.4 6.8 20.0 -10.2 20.0 10.5 4.5 7.0 16.4 6.4 7.9 -20.0 12.0 1.8 5.4 3.4 7.0 4.0 3.2 -14.3 20.0 1.9 6.6 19.0 MXP -2.6 -5.3 5.5 1.7 7.2 1.0 6.8 -1.4 4.0 10.9 14.0 12.6 15.0 11.1 12.5 16.5 20.0 18.9 20.0 13.8 17.0 15.2 17.4 13.1 -20.0 9.7 4.9 3.2 6.9 4.5 7.2 3.8 20.0 8.8 -20.0 20.0 20.0 NASDAQ 20.0 10.3 19.9 1.1 7.2 1.5 6.9 0.8 2.7 10.2 2.7 14.3 -8.7 14.0 13.9 -7.5 -5.3 -7.1 -6.5 17.9 9.6 20.0 -3.0 20.0 -2.0 10.2 5.8 4.8 4.1 6.6 1.4 6.4 -2.5 -6.8 20.0 20.0 18.1 NIKKEI -7.0 3.8 4.7 0.7 10.2 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 -3.7 5.5 15.7 -8.2 NZD 9.5 -11.8 5.4 1.7 7.2 1.0 6.8 -1.4 4.0 13.6 7.5 13.3 -1.5 0.4 -5.2 0.8 0.5 0.5 0.4 -1.1 -0.0 8.8 -2.8 2.9 1.2 10.8 -0.4 6.7 -0.1 5.1 -1.8 1.9 5.0 -4.1 -6.3 -6.6 -6.9 OAT 20.0 5.6 9.9 2.4 3.3 0.0 3.6 -2.9 4.0 -0.6 -9.3 8.5 -12.9 6.1 -2.2 9.2 11.9 10.1 11.2 0.9 -6.5 4.7 -14.6 5.7 5.6 12.7 1.9 1.7 -1.5 2.6 -7.1 3.5 20.0 -10.9 -9.5 -2.2 -10.2 OJ 14.6 5.0 -3.3 -2.4 0.3 -2.9 2.0 -2.0 -0.7 14.1 15.0 15.3 15.2 15.0 14.1 20.0 18.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.2 5.7 7.2 5.8 7.3 5.4 20.0 20.0 20.0 20.0 20.0 PALLAD 10.0 -12.4 -20.0 2.7 2.6 2.0 4.8 1.7 4.5 12.8 -15.0 4.3 -14.3 -7.4 -13.1 -2.5 -2.1 -2.6 -2.5 -18.6 -20.0 5.1 -20.0 -4.3 20.0 -11.1 -4.7 2.3 -6.5 2.0 -5.6 -0.8 0.0 -5.1 -19.6 -20.0 -20.0 PLAT 9.4 -2.4 -3.8 2.7 2.6 2.0 4.8 1.7 4.5 13.0 3.2 10.2 0.4 7.7 -4.1 -2.2 -1.3 -2.0 -1.7 0.3 0.1 10.1 1.1 5.2 0.9 11.2 -1.0 9.5 -0.8 5.4 -0.2 2.0 1.5 -4.5 -14.7 -8.4 -15.1 REDWHEAT 20.0 -1.4 -7.0 -2.4 0.3 -2.9 2.0 -2.0 -0.7 12.6 -9.3 14.6 -10.8 5.5 1.0 12.5 4.8 10.1 7.9 -0.0 -8.2 18.0 -7.6 11.5 -1.8 12.9 0.4 4.1 -1.6 6.9 -0.1 4.5 -0.2 20.0 20.0 3.0 -0.3 ROBUSTA -4.1 13.8 20.0 -2.4 0.3 -2.9 2.0 -2.0 -0.7 13.8 6.2 14.0 2.5 12.9 13.6 11.3 9.5 9.9 10.0 17.2 13.2 20.0 6.8 17.3 -7.6 9.6 5.2 6.8 3.7 6.2 1.7 5.4 6.0 20.0 16.3 20.0 20.0 RUSSELL -13.3 -20.0 5.1 1.1 7.2 1.5 6.9 0.8 2.7 3.5 -4.0 -6.8 -8.9 -11.2 -10.0 -5.1 -4.2 -5.5 -5.2 -11.2 -5.7 -1.4 -4.9 -10.6 1.5 10.0 -2.6 -0.0 -0.3 -0.6 0.2 -3.2 -0.5 -20.0 -20.0 -15.2 -6.7 SILVER-mini 20.0 -3.0 1.0 2.7 2.6 2.0 4.8 1.7 4.5 13.8 7.2 15.8 -1.0 12.0 5.0 -5.6 -4.7 -5.6 -5.4 9.4 4.1 20.0 1.2 20.0 -0.8 -11.3 2.3 9.6 0.7 8.9 -0.4 6.2 -4.7 20.0 20.0 3.1 -8.2 SOYBEAN -15.9 -14.7 -14.5 -2.4 0.3 -2.9 2.0 -2.0 -0.7 11.3 -3.7 -0.1 0.0 -5.8 -8.5 20.0 20.0 20.0 20.0 -13.9 -8.8 4.3 -0.8 -10.5 -3.1 -11.7 -4.6 3.5 -2.6 0.4 0.5 -3.7 20.0 3.6 -20.0 -20.0 -15.2 SOYMEAL -20.0 -15.4 11.0 -2.4 0.3 -2.9 2.0 -2.0 -0.7 8.1 11.3 -1.5 12.8 -3.0 3.3 13.2 18.0 17.8 18.7 1.8 12.6 -1.0 16.6 -5.2 -20.0 -12.0 -0.6 0.5 4.5 -1.1 7.8 -3.2 20.0 -11.6 -19.1 -5.9 20.0 SOYOIL -5.3 -11.8 -18.8 -2.4 0.3 -2.9 2.0 -2.0 -0.7 9.2 -10.3 -1.2 -1.7 -7.8 -11.8 -0.8 12.5 1.9 6.5 -17.5 -14.0 -1.7 -4.2 -13.3 2.6 12.9 -5.6 1.7 -4.3 -1.0 -1.0 -4.3 6.2 -19.3 -20.0 -20.0 -20.0 SP400 -12.2 -20.0 4.4 1.1 7.2 1.5 6.9 0.8 2.7 6.9 2.2 -1.8 -1.7 -8.0 -7.7 -5.0 -4.0 -5.3 -4.9 -8.9 -2.3 4.0 0.2 -7.2 -2.1 10.2 -2.4 1.5 -0.0 0.8 1.1 -2.4 -0.0 -20.0 -20.0 -16.5 -7.6 SP500 9.6 -8.0 7.3 1.1 7.2 1.5 6.9 0.8 2.7 11.2 1.4 12.7 -6.4 3.1 2.7 -7.2 -5.6 -7.2 -6.7 2.9 0.8 19.5 -2.9 9.6 1.7 10.2 3.1 9.3 2.4 9.5 0.3 5.5 -2.9 -6.0 9.7 7.6 0.1 SUGAR11 6.9 9.7 13.1 -2.4 0.3 -2.9 2.0 -2.0 -0.7 14.1 15.0 15.3 12.3 15.3 15.5 17.5 20.0 20.0 20.0 20.0 20.0 20.0 15.3 20.0 -20.0 10.7 6.3 9.1 6.9 8.5 6.2 6.6 20.0 20.0 20.0 20.0 20.0 US10 20.0 9.2 20.0 2.4 3.3 0.0 3.6 -2.9 4.0 10.5 -3.9 12.1 -11.0 10.8 6.6 -8.2 -4.2 -8.2 -7.5 6.6 -1.3 13.2 -10.4 12.4 -2.1 9.7 3.6 4.7 0.9 4.5 -2.8 5.0 -9.0 5.6 4.5 7.7 3.6 US10U 20.0 8.3 19.9 2.4 3.3 0.0 3.6 -2.9 4.0 11.3 -3.6 12.4 -10.9 11.0 7.0 1.8 2.8 1.3 1.3 6.1 -1.5 12.8 -10.8 11.5 -5.2 -14.1 4.0 5.1 1.5 4.7 -2.3 5.1 4.6 5.3 -1.6 7.7 6.1 US20 20.0 7.0 18.4 2.4 3.3 0.0 3.6 -2.9 4.0 11.9 -1.6 13.0 -9.5 11.5 7.7 -0.9 -1.5 -3.1 -3.1 6.2 -1.1 12.7 -10.7 11.1 -2.5 -12.3 3.7 5.5 1.1 4.8 -2.6 4.9 -2.8 3.3 -3.0 6.0 3.3 US30 13.4 3.8 16.5 2.4 3.3 0.0 3.6 -2.9 4.0 12.4 -1.3 11.5 -10.8 8.3 2.7 0.1 -0.5 -0.7 -0.9 3.4 -2.6 9.4 -13.4 6.9 -7.5 10.0 3.8 6.4 1.5 4.9 -3.3 4.5 -0.0 -1.5 -17.7 1.3 3.6 US5 20.0 11.3 20.0 2.4 3.3 0.0 3.6 -2.9 4.0 10.3 -4.1 12.0 -11.4 10.8 6.7 -8.5 -4.7 -9.3 -8.4 6.5 -1.4 13.1 -10.0 12.4 -0.3 10.8 3.2 4.4 0.4 4.3 -3.4 4.8 -10.3 5.9 9.0 6.5 2.4 VIX 7.8 20.0 -1.9 -2.2 -1.8 -5.2 -1.7 -5.8 -0.4 -9.7 -11.7 -4.1 -12.9 -1.9 -5.5 -16.4 -20.0 -18.7 -20.0 -2.9 -8.9 -6.6 -11.5 -2.2 NaN -13.5 -2.4 -2.1 -6.7 -2.0 -8.2 -0.4 NaN NaN NaN NaN NaN WHEAT 9.1 -8.3 -13.3 -2.4 0.3 -2.9 2.0 -2.0 -0.7 8.3 -13.4 9.0 -14.4 -8.0 -9.7 -12.3 -8.1 -11.4 -9.9 -13.8 -18.5 2.2 -15.8 -5.6 6.8 11.9 -4.2 0.8 -4.6 0.8 -2.4 -1.9 -20.0 1.0 -0.2 -12.1 -9.5 End of report for caleb_strategy_v1