******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230405_204624 produced at 2023-04-05 21:37:09.955197 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.17 -0.16 0.0 9.188381e+06 -9.188381e+06 -0.17 -0.17 -17.48 999999999.0 -18 -19 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.14 0.0 5.542427e+07 -5.542427e+07 -0.11 -0.11 -2.47 999999999.0 -2 -2 caleb_strategy_v1 US10U False False 0.05 -0.10 -0.12 0.0 4.906242e+07 -4.906242e+07 -0.10 -0.05 -2.44 999999999.0 -2 -1 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.10 0.0 5.457221e+07 -5.457221e+07 -0.16 -0.16 -1.83 999999999.0 -3 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.09 0.0 1.411144e+07 -1.411144e+07 -0.08 -0.10 -6.51 999999999.0 -6 -7 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.340373e+07 -5.340373e+07 0.00 0.00 -1.48 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.04 -0.23 -0.06 0.0 3.840285e+07 -3.840285e+07 -0.23 -0.23 -1.51 999999999.0 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.06 0.0 4.371457e+07 -4.371457e+07 -0.09 -0.09 -1.28 999999999.0 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.03 0.0 8.129226e+06 -8.129226e+06 -0.02 -0.02 -3.28 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.269973e+07 -6.269973e+07 0.00 0.00 -0.42 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.147252e+07 -1.147252e+07 -0.06 -0.06 -1.82 999999999.0 -5 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.423571e+06 -9.423571e+06 -0.01 -0.01 -0.99 999999999.0 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.01 0.0 1.121341e+06 -1.121341e+06 -0.01 -0.01 -4.46 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.523815e+07 -2.523815e+07 0.00 0.00 -0.43 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.23 -0.01 0.0 3.500355e+06 -3.500355e+06 -0.23 -0.27 -2.55 999999999.0 -66 -77 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.670487e+07 -5.670487e+07 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.837593e+06 -6.837593e+06 0.00 0.00 -0.91 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.00 0.0 4.493154e+07 -4.493154e+07 0.00 0.00 -0.08 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.04 0.00 0.0 1.850213e+07 -1.850213e+07 0.04 0.04 0.15 999999999.0 2 2 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.444529e+07 -1.444529e+07 -0.03 -0.01 -0.29 999999999.0 -2 -1 caleb_strategy_v1 SOYMEAL False False 0.02 0.04 0.00 0.0 1.781470e+07 -1.781470e+07 0.04 0.02 0.28 999999999.0 2 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.324323e+07 -1.324323e+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 9.798681e+07 -9.798681e+07 0.39 0.49 0.05 999999999.0 4 5 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.614444e+07 -1.614444e+07 0.00 0.00 -0.30 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.02 0.01 0.0 2.051939e+07 -2.051939e+07 0.02 0.00 0.54 999999999.0 1 0 caleb_strategy_v1 LIVECOW False False 0.03 -0.03 0.01 0.0 2.557200e+07 -2.557200e+07 -0.03 0.00 0.46 999999999.0 -1 0 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.644019e+07 -4.644019e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.02 0.01 0.0 1.677228e+07 -1.677228e+07 0.02 0.00 0.30 999999999.0 1 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.686156e+07 -2.686156e+07 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.677287e+07 -2.677287e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.707119e+06 -6.707119e+06 0.00 0.00 1.87 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.622218e+07 -1.622218e+07 0.02 0.02 0.82 999999999.0 1 1 caleb_strategy_v1 US5 False False 0.04 -0.04 0.02 0.0 4.411382e+07 -4.411382e+07 -0.04 0.00 0.37 999999999.0 -1 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.192807e+07 -8.192807e+07 0.00 0.08 0.24 999999999.0 0 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.382233e+06 -4.382233e+06 0.00 0.00 4.58 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.624967e+07 -2.624967e+07 0.00 0.00 0.76 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.976815e+07 -3.976815e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.076765e+06 -9.076765e+06 0.02 0.03 2.15 999999999.0 2 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 3.135211e+07 -3.135211e+07 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.439746e+07 -4.439746e+07 0.00 0.00 0.53 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.516341e+07 -2.516341e+07 0.00 0.00 0.96 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.756441e+07 -5.756441e+07 0.00 0.00 0.57 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.03 0.0 1.006775e+07 -1.006775e+07 0.03 0.03 2.73 999999999.0 3 3 caleb_strategy_v1 CAC False False 0.03 0.00 0.03 0.0 3.196675e+07 -3.196675e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 1.115162e+07 -1.115162e+07 0.06 0.04 2.26 999999999.0 5 4 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.072709e+07 -1.072709e+07 0.00 0.00 2.52 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.965395e+07 -2.965395e+07 0.00 0.00 1.73 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.22 0.05 0.0 3.109300e+07 -3.109300e+07 0.22 0.22 1.46 999999999.0 7 7 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 5.070212e+07 -5.070212e+07 0.05 0.05 1.07 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.06 0.0 3.063059e+07 -3.063059e+07 0.12 0.15 2.06 999999999.0 4 5 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.06 0.0 1.040519e+08 -1.040519e+08 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.11 0.07 0.0 5.729383e+07 -5.729383e+07 0.11 0.06 1.22 999999999.0 2 1 caleb_strategy_v1 FTSE100 True False 0.04 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 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 30.70 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.30 0.26 0.0 5.981804e+07 -5.981804e+07 0.30 0.30 4.28 999999999.0 5 5 caleb_strategy_v1 BOBL False False 0.05 0.05 0.31 0.0 5.174406e+07 -5.174406e+07 0.05 0.10 6.02 999999999.0 1 2 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 15.3 Shocked risk 37.3 Sum abs risk 43.7 Leverage 2.67 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2508603.04, 'annual_cash_vol_target': 627150.76, 'daily_cash_vol_target': 39196.9225} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6738 0.7564 12.1027 BITCOIN 1022.4523 28130.0000 3.6347 58.1558 BOBL 0.5407 118.6900 0.4556 7.2895 BTP 0.7971 116.3000 0.6853 10.9655 BUND 0.9764 137.2100 0.7116 11.3855 BUXL 2.2249 143.8200 1.5470 24.7520 CAC 73.9557 7332.5000 1.0086 16.1376 CAD 0.0032 0.7439 0.4329 6.9261 CANOLA 8.9889 740.7000 1.2136 19.4171 CHF 0.0060 1.1123 0.5435 8.6953 COCOA 35.2986 2878.0000 1.2265 19.6240 COFFEE 3.4203 179.1000 1.9097 30.5555 COPPER 0.0490 3.9905 1.2286 19.6575 CORN 4.6611 559.5000 0.8331 13.3294 COTTON2 1.4166 81.3900 1.7405 27.8482 CRUDE_W 1.3750 76.8400 1.7894 28.6307 DAX 163.4637 15684.0000 1.0422 16.6757 DOW 265.7335 33651.0000 0.7897 12.6348 EUR 0.0060 1.0952 0.5470 8.7526 EUROSTX 48.4855 4244.0000 1.1424 18.2792 FEEDCOW 1.2744 219.3250 0.5810 9.2966 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.7123 786.5000 2.1249 33.9984 GASOILINE 0.0469 2.6837 1.7462 27.9385 GAS_US 0.1169 2.3640 4.9447 79.1159 GBP 0.0077 1.2480 0.6159 9.8543 GOLD_micro 19.7951 2039.3000 0.9707 15.5309 HEATOIL 0.0451 2.6518 1.7006 27.2104 JPY 0.0001 0.0077 0.6782 10.8510 LEANHOG 1.3635 88.5000 1.5407 24.6513 LIVECOW 0.9225 160.3750 0.5752 9.2037 MXP 0.0005 0.0538 0.8715 13.9438 NASDAQ 134.7200 13051.2500 1.0322 16.5158 NIKKEI 276.9573 27655.0000 1.0015 16.0236 NZD 0.0045 0.6312 0.7165 11.4640 OAT 0.8921 131.4200 0.6788 10.8612 OJ 4.4069 270.0000 1.6322 26.1149 PALLAD 29.8994 1422.5000 2.1019 33.6303 PLAT 17.1740 1029.5000 1.6682 26.6910 REDWHEAT 11.4553 841.5000 1.3613 21.7807 ROBUSTA 28.8828 2277.0000 1.2685 20.2953 RUSSELL 23.7033 1756.2000 1.3497 21.5951 SILVER-mini 0.4044 25.3250 1.5967 25.5468 SOYBEAN 11.5581 1317.0000 0.8776 14.0418 SOYMEAL 5.5089 446.9000 1.2327 19.7232 SOYOIL 0.8982 55.3700 1.6221 25.9544 SP400 30.1926 2458.1000 1.2283 19.6526 SP500 35.2942 4110.5000 0.8586 13.7382 SUGAR11 0.2864 22.5500 1.2701 20.3219 US10 0.6325 116.5000 0.5429 8.6869 US10U 0.8085 123.0781 0.6569 10.5105 US20 1.0976 133.9688 0.8193 13.1084 US30 1.5547 144.4062 1.0766 17.2261 US5 0.4801 110.6641 0.4338 6.9412 VIX 0.7739 23.0500 3.3574 53.7190 WHEAT 10.0448 724.7500 1.3860 22.1755 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.85 0.76 509.71 1.00 509.71 39196.92 76.90 2.47 19.03 BITCOIN 28.13 3.63 102.25 1.00 102.25 39196.92 383.36 -4.94 -189.46 BOBL 1186.90 0.46 540.74 1.10 592.33 39196.92 66.17 12.61 83.47 BTP 1163.00 0.69 797.05 1.10 873.09 39196.92 44.89 11.77 52.85 BUND 1372.10 0.71 976.38 1.10 1069.52 39196.92 36.65 16.20 59.38 BUXL 1438.20 1.55 2224.90 1.10 2437.15 39196.92 16.08 -3.12 -5.03 CAC 733.25 1.01 739.56 1.10 810.11 39196.92 48.38 6.16 29.81 CAD 743.90 0.43 322.02 1.00 322.02 39196.92 121.72 7.94 96.65 CANOLA 148.14 1.21 179.78 0.74 133.71 39196.92 293.14 17.00 498.44 CHF 1390.38 0.54 755.61 1.00 755.61 39196.92 51.87 -12.70 -65.88 COCOA 287.80 1.23 352.99 1.00 352.99 39196.92 111.04 -7.51 -83.34 COFFEE 671.62 1.91 1282.62 1.00 1282.62 39196.92 30.56 7.38 22.55 COPPER 997.62 1.23 1225.68 1.00 1225.68 39196.92 31.98 4.38 13.99 CORN 279.75 0.83 233.06 1.00 233.06 39196.92 168.19 14.87 250.16 COTTON2 406.95 1.74 708.30 1.00 708.30 39196.92 55.34 9.86 54.57 CRUDE_W 768.40 1.79 1374.99 1.00 1374.99 39196.92 28.51 5.47 15.59 DAX 156.84 1.04 163.46 1.10 179.06 39196.92 218.91 -0.76 -16.68 DOW 168.26 0.79 132.87 1.00 132.87 39196.92 295.01 2.22 65.58 EUR 1369.00 0.55 748.89 1.00 748.89 39196.92 52.34 -9.35 -48.95 EUROSTX 424.40 1.14 484.86 1.10 531.11 39196.92 73.80 0.73 5.41 FEEDCOW 1096.62 0.58 637.18 1.00 637.18 39196.92 61.52 -7.76 -47.72 FTSE100 707.00 0.82 576.59 1.25 666.67 39196.92 58.80 7.70 45.26 GASOIL 786.50 2.12 1671.23 1.00 1671.23 39196.92 23.45 4.21 9.88 GASOILINE 1127.15 1.75 1968.19 1.00 1968.19 39196.92 19.92 -0.99 -1.97 GAS_US 236.40 4.94 1168.94 1.00 1168.94 39196.92 33.53 -19.57 -65.62 GBP 780.00 0.62 480.39 1.00 480.39 39196.92 81.59 10.03 81.87 GOLD_micro 203.93 0.97 197.95 1.00 197.95 39196.92 198.01 -7.40 -146.45 HEATOIL 1113.76 1.70 1894.11 1.00 1894.11 39196.92 20.69 3.60 7.45 JPY 963.38 0.68 653.35 1.00 653.35 39196.92 59.99 -3.90 -23.39 LEANHOG 354.00 1.54 545.41 1.00 545.41 39196.92 71.87 -19.38 -139.26 LIVECOW 641.50 0.58 369.01 1.00 369.01 39196.92 106.22 1.62 17.23 MXP 269.10 0.87 234.52 1.00 234.52 39196.92 167.14 12.31 205.79 NASDAQ 2610.25 1.03 2694.40 1.00 2694.40 39196.92 14.55 6.89 10.02 NIKKEI 27655.00 1.00 27695.73 0.01 208.50 39196.92 188.00 8.60 161.66 NZD 631.25 0.72 452.29 1.00 452.29 39196.92 86.66 6.96 60.28 OAT 1314.20 0.68 892.11 1.10 977.22 39196.92 40.11 15.02 60.23 OJ 405.00 1.63 661.03 1.00 661.03 39196.92 59.30 -2.94 -17.42 PALLAD 1422.50 2.10 2989.94 1.00 2989.94 39196.92 13.11 -4.86 -6.37 PLAT 514.75 1.67 858.70 1.00 858.70 39196.92 45.65 4.88 22.28 REDWHEAT 420.75 1.36 572.76 1.00 572.76 39196.92 68.43 8.32 56.95 ROBUSTA 227.70 1.27 288.83 1.00 288.83 39196.92 135.71 12.22 165.87 RUSSELL 87.81 1.35 118.52 1.00 118.52 39196.92 330.73 -1.49 -49.25 SILVER-mini 633.12 1.60 1010.89 1.00 1010.89 39196.92 38.77 -5.00 -19.41 SOYBEAN 658.50 0.88 577.91 1.00 577.91 39196.92 67.83 1.90 12.86 SOYMEAL 446.90 1.23 550.89 1.00 550.89 39196.92 71.15 0.66 4.72 SOYOIL 332.22 1.62 538.91 1.00 538.91 39196.92 72.73 3.28 23.86 SP400 2458.10 1.23 3019.26 1.00 3019.26 39196.92 12.98 0.68 0.88 SP500 2055.25 0.86 1764.71 1.00 1764.71 39196.92 22.21 3.76 8.35 SUGAR11 252.56 1.27 320.78 1.00 320.78 39196.92 122.19 16.49 201.52 US10 1165.00 0.54 632.51 1.00 632.51 39196.92 61.97 0.80 4.93 US10U 1230.78 0.66 808.51 1.00 808.51 39196.92 48.48 -3.46 -16.76 US20 1339.69 0.82 1097.57 1.00 1097.57 39196.92 35.71 -5.64 -20.13 US30 1444.06 1.08 1554.73 1.00 1554.73 39196.92 25.21 2.68 6.76 US5 1106.64 0.43 480.09 1.00 480.09 39196.92 81.65 1.19 9.69 VIX 230.50 3.36 773.89 1.00 773.89 39196.92 50.65 -18.31 -92.73 WHEAT 362.38 1.39 502.24 1.00 502.24 39196.92 78.04 -6.96 -54.32 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 19.026 0.006 2.5 0.304 BITCOIN -189.463 0.009 2.5 -4.464 BOBL 83.475 0.029 2.5 6.023 BTP 52.852 0.008 2.5 1.067 BUND 59.377 0.029 2.5 4.285 BUXL -5.026 0.034 2.5 -0.422 CAC 29.807 0.011 2.5 0.838 CAD 96.651 0.007 2.5 1.726 CANOLA 498.436 0.004 2.5 4.575 CHF -65.882 0.015 2.5 -2.466 COCOA -83.342 0.009 2.5 -1.816 COFFEE 22.555 0.005 2.5 0.292 COPPER 13.992 0.011 2.5 0.382 CORN 250.157 0.004 2.5 2.256 COTTON2 54.569 0.006 2.5 0.822 CRUDE_W 15.585 0.053 2.5 2.059 DAX -16.678 0.022 2.5 -0.906 DOW 65.578 0.011 2.5 1.869 EUR -48.950 0.015 2.5 -1.832 EUROSTX 5.407 0.011 2.5 0.152 FEEDCOW -47.717 0.011 2.5 -1.282 FTSE100 45.259 0.041 2.5 4.666 GASOIL 9.878 0.029 2.5 0.705 GASOILINE -1.972 0.016 2.5 -0.081 GAS_US -65.624 0.006 2.5 -0.988 GBP 81.868 0.007 2.5 1.462 GOLD_micro -146.454 0.009 2.5 -3.277 HEATOIL 7.447 0.029 2.5 0.531 JPY -23.394 0.026 2.5 -1.514 LEANHOG -139.259 0.019 2.5 -6.506 LIVECOW 17.233 0.011 2.5 0.463 MXP 205.790 0.005 2.5 2.519 NASDAQ 10.017 0.022 2.5 0.544 NIKKEI 161.657 0.076 2.5 30.704 NZD 60.283 0.006 2.5 0.963 OAT 60.227 0.008 2.5 1.216 OJ -17.419 0.007 2.5 -0.304 PALLAD -6.374 0.010 2.5 -0.153 PLAT 22.280 0.010 2.5 0.536 REDWHEAT 56.949 0.002 2.5 0.304 ROBUSTA 165.871 0.005 2.5 2.151 RUSSELL -49.254 0.021 2.5 -2.551 SILVER-mini -19.406 0.009 2.5 -0.434 SOYBEAN 12.860 0.024 2.5 0.758 SOYMEAL 4.721 0.024 2.5 0.278 SOYOIL 23.864 0.004 2.5 0.219 SP400 0.878 0.021 2.5 0.045 SP500 8.351 0.011 2.5 0.238 SUGAR11 201.516 0.005 2.5 2.734 US10 4.932 0.015 2.5 0.189 US10U -16.765 0.058 2.5 -2.443 US20 -20.133 0.029 2.5 -1.484 US30 6.758 0.034 2.5 0.567 US5 9.687 0.015 2.5 0.372 VIX -92.731 0.075 2.5 -17.475 WHEAT -54.320 0.002 2.5 -0.290 ==================== Position diags ==================== AUD 1.23 BITCOIN 9.03 BOBL 4.77 BTP 0.91 BUND 2.64 BUXL 1.35 CAC 1.36 CAD 2.17 CANOLA 2.69 CHF 1.94 COCOA 2.42 COFFEE 0.40 COPPER 0.87 CORN 1.52 COTTON2 0.83 CRUDE_W 3.77 DAX 11.89 DOW 8.41 EUR 1.96 EUROSTX 2.07 FEEDCOW 1.65 FTSE100 6.06 GASOIL 1.67 GASOILINE 0.82 GAS_US 0.50 GBP 1.46 GOLD_micro 4.43 HEATOIL 1.48 JPY 3.88 LEANHOG 3.36 LIVECOW 2.85 MXP 2.05 NASDAQ 0.79 NIKKEI 35.71 NZD 1.38 OAT 0.81 OJ 1.03 PALLAD 0.32 PLAT 1.10 REDWHEAT 0.37 ROBUSTA 1.76 RUSSELL 17.13 SILVER-mini 0.87 SOYBEAN 4.00 SOYMEAL 4.20 SOYOIL 0.67 SP400 0.67 SP500 0.63 SUGAR11 1.66 US10 2.38 US10U 7.06 US20 2.63 US30 2.12 US5 3.13 VIX 9.54 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 -4.5 -5.4 -3.6 -5.0 -5 BOBL 6.0 5.5 6.5 1.0 1 BTP 1.1 1.0 1.2 1.0 1 BUND 4.3 4.0 4.5 5.0 5 BUXL -0.4 -0.6 -0.3 0.0 0 CAC 0.8 0.7 1.0 0.0 0 CAD 1.7 1.5 1.9 0.0 0 CANOLA 4.6 4.3 4.8 NaN 0 CHF -2.5 -2.7 -2.3 -2.0 -2 COCOA -1.8 -2.1 -1.6 -5.0 -5 COFFEE 0.3 0.3 0.3 NaN 0 COPPER 0.4 0.3 0.5 0.0 0 CORN 2.3 2.1 2.4 5.0 5 COTTON2 0.8 0.7 0.9 1.0 1 CRUDE_W 2.1 1.7 2.4 4.0 4 DAX -0.9 -2.1 0.3 0.0 0 DOW 1.9 1.0 2.7 0.0 0 EUR -1.8 -2.0 -1.6 -3.0 -3 EUROSTX 0.2 -0.1 0.4 2.0 2 FEEDCOW -1.3 -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 1.5 1.3 1.6 7.0 7 GOLD_micro -3.3 -3.7 -2.8 -2.0 -2 HEATOIL 0.5 0.4 0.7 0.0 0 JPY -1.5 -1.9 -1.1 -6.0 -6 LEANHOG -6.5 -6.8 -6.2 -6.0 -6 LIVECOW 0.5 0.2 0.7 -1.0 -1 MXP 2.5 2.3 2.7 0.0 0 NASDAQ 0.5 0.5 0.6 0.0 0 NIKKEI 30.7 27.1 34.3 0.0 0 NZD 1.0 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 0.6 1.0 1 REDWHEAT 0.3 0.3 0.3 1.0 1 ROBUSTA 2.2 2.0 2.3 2.0 2 RUSSELL -2.6 -4.3 -0.8 -66.0 -66 SILVER-mini -0.4 -0.5 -0.3 0.0 0 SOYBEAN 0.8 0.4 1.2 0.0 0 SOYMEAL 0.3 -0.1 0.7 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 2.7 2.6 2.9 3.0 3 US10 0.2 -0.0 0.4 NaN 0 US10U -2.4 -3.1 -1.7 -2.0 -2 US20 -1.5 -1.7 -1.2 0.0 0 US30 0.6 0.4 0.8 0.0 0 US5 0.4 0.1 0.7 -1.0 -1 VIX -17.5 -18.4 -16.5 -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 -0.2 -0.4 -0.2 -0.1 BITCOIN 0.2 0.1 0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.3 0.0 -0.3 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 -0.2 0.2 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 0.1 0.5 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 1.1 -0.0 0.0 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 -0.0 -0.4 0.0 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 0.2 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 0.9 -2.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.6 -0.1 -0.4 -0.0 -0.2 CAC -0.1 -0.3 0.2 0.0 0.0 0.0 0.2 0.0 0.0 0.0 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 -1.7 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 0.2 -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 3.3 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 -0.8 -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 0.0 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 -0.0 -0.1 0.1 0.2 COPPER -0.0 -0.2 0.3 0.0 0.1 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 -0.2 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.3 -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 -0.1 -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 -0.0 -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 -0.2 0.0 CRUDE_W 0.0 -0.1 -0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.6 0.5 0.2 0.2 -0.0 -0.1 0.0 0.0 0.0 -1.0 2.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 0.1 0.2 0.0 0.0 DAX -0.1 -0.3 0.3 0.0 0.0 0.0 0.1 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 0.2 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 0.0 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 -0.1 -0.5 -0.2 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.1 2.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.3 0.1 0.1 0.0 -0.2 EUR 0.2 -0.1 0.3 0.0 0.0 0.0 0.2 -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 -1.5 -2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.0 0.0 0.1 EUROSTX -0.1 -0.3 0.2 0.0 0.0 0.0 0.1 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 -3.2 2.7 0.1 0.0 0.1 0.0 0.0 0.0 -2.7 0.0 0.3 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 -0.0 -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 0.0 -0.0 -0.0 -3.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 2.7 -0.0 -0.0 -0.1 -0.2 GASOILINE 0.0 -0.0 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 -2.0 -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 1.7 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.3 -0.4 -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 0.1 0.1 0.2 0.0 0.1 0.0 0.3 0.1 0.0 0.1 0.3 -0.8 -0.4 -0.2 -0.2 0.2 0.2 0.0 0.1 0.0 -0.3 -2.7 0.1 0.0 0.0 0.0 0.0 0.0 -1.9 -0.0 0.4 0.2 0.2 HEATOIL -0.1 -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 -0.1 -0.1 0.0 0.1 -0.0 -0.7 -2.7 -0.0 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 0.0 -0.0 0.0 LEANHOG -0.2 -0.3 -0.3 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.1 -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 -0.0 -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 0.2 1.6 -0.4 0.4 0.3 0.1 0.1 0.0 0.1 0.0 -3.3 2.6 0.0 0.0 0.0 0.0 0.0 0.0 -1.7 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 0.1 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 0.3 0.2 0.4 0.0 0.1 0.0 0.2 0.0 0.0 0.0 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 -0.2 0.5 0.3 0.3 NIKKEI -0.0 0.1 0.1 0.0 0.0 0.0 0.1 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 -0.1 -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 -0.0 0.8 0.5 0.2 0.2 0.0 -0.1 0.0 -0.2 0.0 0.8 2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 -0.0 -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 0.2 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 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.0 1.1 0.2 0.2 0.2 0.0 -0.1 0.0 -0.1 0.0 -0.3 2.6 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 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 0.2 0.0 0.1 0.0 0.3 0.9 0.4 0.2 0.2 0.2 0.2 0.0 0.1 0.0 -1.2 2.1 0.1 0.0 0.0 0.0 0.0 0.0 0.8 0.0 0.4 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 -0.1 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 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 -0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 -0.0 0.1 0.2 -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 0.1 -0.1 SOYBEAN -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 -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 -0.4 -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 -0.1 -0.0 0.0 0.3 -0.0 0.3 -0.0 0.1 1.0 0.8 0.4 0.4 0.0 0.1 -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 -0.0 -0.2 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 -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 -0.1 -0.3 0.1 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -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 -0.3 -0.1 SP500 0.1 -0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.0 0.0 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 -0.0 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 1.3 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 0.2 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 -0.3 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 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.4 -2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 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 0.1 -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 0.0 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 -2.8 -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 -0.1 -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 5.5 -17.0 4.0 2.0 6.0 1.2 6.8 -1.3 4.4 2.4 1.6 6.7 -4.5 -7.5 -9.3 -3.3 -2.9 -3.5 -3.3 -6.3 -4.3 4.0 -5.1 -2.5 8.6 11.7 -2.9 2.0 -2.3 2.1 -2.7 -1.0 -0.9 -13.0 -16.9 -17.6 -9.8 BITCOIN 16.6 8.7 20.0 3.1 6.5 2.1 6.7 1.7 5.3 4.4 12.3 14.1 -10.0 14.4 14.6 -3.9 -1.7 -3.0 -2.1 15.8 9.9 9.4 -2.8 15.2 2.8 -18.1 5.2 0.5 3.8 2.9 0.7 4.7 0.9 -19.5 -7.1 12.9 20.0 BOBL 20.0 19.0 20.0 2.6 4.5 0.2 4.3 -2.8 4.2 1.8 -9.5 8.6 -13.0 8.6 2.6 5.7 5.1 0.3 1.7 3.1 -5.6 6.2 -13.5 7.6 11.8 10.8 2.2 2.4 -1.4 2.8 -5.8 3.8 7.6 -4.5 3.4 0.2 -10.6 BTP 13.9 4.9 13.4 2.6 4.5 0.2 4.3 -2.8 4.2 7.9 3.5 10.8 -8.9 9.9 8.0 8.3 12.1 8.9 10.9 7.5 2.1 7.4 -9.2 8.9 -10.7 11.4 4.5 4.1 2.3 3.5 -3.8 4.5 20.0 -3.3 -20.0 3.5 1.5 BUND 19.8 13.0 17.1 2.6 4.5 0.2 4.3 -2.8 4.2 3.0 -9.9 8.3 -13.1 7.6 0.6 6.8 13.5 9.0 11.1 2.3 -6.1 6.2 -15.0 6.9 8.8 12.3 2.4 2.9 -1.1 3.0 -6.0 3.9 20.0 -4.6 -7.8 0.1 -8.4 BUXL 16.4 10.7 8.7 2.6 4.5 0.2 4.3 -2.8 4.2 1.4 -10.0 3.8 -13.2 4.5 -5.4 2.1 0.8 2.6 2.6 -1.0 -8.2 3.0 -16.2 3.0 6.8 -10.8 1.3 2.7 -2.1 2.2 -6.5 2.8 4.2 -10.7 -18.3 -3.3 -16.2 CAC -7.6 -19.3 13.9 1.4 4.7 1.6 6.3 0.8 3.1 12.5 14.1 12.4 11.3 7.7 11.0 4.4 0.8 -1.9 -1.5 8.6 14.1 14.0 13.7 7.9 -15.6 8.9 2.0 4.8 4.9 4.4 5.1 1.4 6.9 -9.3 -12.8 7.2 6.7 CAD 14.9 -7.0 0.6 2.0 6.0 1.2 6.8 -1.3 4.4 10.8 -8.5 13.0 -10.3 1.9 -2.8 -2.7 -1.7 -2.5 -2.2 -2.1 -7.3 18.1 -11.1 8.1 17.2 10.4 -0.8 7.4 -2.8 8.1 -4.3 3.7 1.0 15.8 -3.5 -6.4 -9.2 CANOLA -7.4 -11.7 -16.9 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 7.6 -9.7 -1.7 -11.8 -6.3 -10.3 20.0 13.9 16.6 13.7 -20.0 -18.7 -3.4 -10.4 -15.9 14.6 13.2 -5.3 -0.6 -4.3 -1.3 -2.2 -4.2 11.6 6.8 -20.0 -20.0 -20.0 CHF 9.7 -5.8 6.5 2.0 6.0 1.2 6.8 -1.3 4.4 13.1 11.0 12.5 4.0 9.4 5.3 -12.4 -13.7 -13.7 -14.1 6.4 5.5 14.3 2.6 10.4 -5.7 -11.5 3.4 7.9 2.7 7.3 0.1 5.4 -19.5 0.1 6.4 5.0 1.3 COCOA 13.7 9.2 16.2 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 7.9 13.8 14.1 4.8 13.9 13.5 4.7 -1.4 2.0 0.5 18.4 15.4 16.3 8.5 19.7 -20.0 -10.4 5.7 2.3 5.1 4.7 3.2 5.7 -11.9 4.7 20.0 20.0 20.0 COFFEE -8.5 7.7 9.2 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 9.4 -5.6 1.3 -7.6 -8.2 5.3 4.1 3.3 3.1 3.2 0.1 -3.4 1.6 -7.8 -2.0 10.9 10.0 -0.4 7.7 -1.6 1.2 -3.3 -1.4 -5.1 -10.4 -3.1 3.9 13.4 COPPER -2.1 -11.1 17.4 3.1 6.5 2.1 6.7 1.7 5.3 -10.4 8.7 3.5 -1.8 -1.0 3.2 -0.8 -0.5 -0.8 -0.8 2.6 6.8 -4.6 3.4 -0.6 -2.0 11.1 -0.9 -7.0 1.5 -2.9 1.7 -1.6 2.9 -20.0 -20.0 -14.9 -1.8 CORN 10.0 -16.2 -20.0 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 -2.5 -7.4 1.0 -2.1 -8.8 -11.9 16.3 19.5 19.9 20.0 -14.4 -13.8 -3.6 -2.6 -7.3 8.9 11.0 -5.0 -3.0 -5.4 -1.0 -2.2 -2.2 20.0 -1.2 -0.3 -20.0 -20.0 COTTON2 -1.1 -2.5 -1.8 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 4.3 -10.2 4.9 -11.2 -2.5 -6.1 -3.2 8.4 -2.9 0.9 -6.4 -10.4 2.6 -10.8 -1.6 12.7 12.0 -3.1 -1.0 -3.3 1.2 -1.3 -1.0 -2.4 4.0 -6.4 -8.9 0.3 CRUDE_W 1.8 -6.9 -6.4 -2.3 8.3 -2.3 5.0 1.0 0.1 13.1 -1.6 10.8 -1.9 4.4 -1.7 7.5 11.2 7.8 8.9 -2.7 -4.4 20.0 0.2 7.8 -8.7 10.8 -0.9 10.4 -1.1 8.7 1.5 2.8 -0.6 20.0 8.5 0.6 0.6 DAX -7.7 -19.8 15.7 1.4 4.7 1.6 6.3 0.8 3.1 10.6 14.2 10.5 6.6 7.4 10.8 -6.5 -5.7 -7.9 -7.4 7.0 11.8 11.4 9.4 6.4 -18.8 9.9 2.1 3.7 5.2 3.9 4.2 1.3 -3.6 -14.1 -11.8 3.3 4.7 DOW 10.5 -17.6 -2.6 1.4 4.7 1.6 6.3 0.8 3.1 11.7 5.7 10.9 0.5 -0.9 -5.3 -6.8 -4.9 -7.0 -6.5 -3.3 -2.3 19.2 -0.2 6.3 -0.5 10.8 0.5 9.1 0.8 9.0 1.2 3.9 -2.3 4.8 3.7 0.2 -11.2 EUR 13.3 -7.2 16.0 2.0 6.0 1.2 6.8 -1.3 4.4 8.9 10.7 13.2 -1.0 9.4 4.2 -6.2 -8.4 -7.3 -8.0 8.3 7.4 13.7 0.3 11.9 -10.9 -11.1 3.9 4.3 3.4 6.4 -0.7 5.5 -9.8 -7.2 2.2 3.4 7.6 EUROSTX -4.9 -19.3 14.0 1.4 4.7 1.6 6.3 0.8 3.1 12.2 14.6 13.1 11.2 10.1 12.0 -0.4 5.5 4.6 5.5 8.7 13.4 13.5 12.1 8.6 -18.7 -8.5 2.5 4.6 5.5 4.9 5.4 2.1 16.9 -11.7 -8.4 6.0 3.8 FEEDCOW -0.4 19.5 15.6 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 5.4 11.1 8.3 7.5 11.6 12.4 -20.0 -20.0 -20.0 -20.0 20.0 16.0 16.3 8.7 20.0 -18.7 12.2 5.9 1.5 5.1 4.2 3.2 5.3 -20.0 20.0 16.8 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 -2.6 -7.5 -10.5 -2.3 8.3 -2.3 5.0 1.0 0.1 6.5 -11.4 1.5 6.4 -6.5 -10.9 20.0 20.0 20.0 20.0 -8.8 -7.5 5.0 3.8 -3.5 -0.3 -15.4 -4.1 5.4 -4.4 3.3 -0.1 -1.1 20.0 -1.8 -0.5 -5.7 -10.8 GASOILINE 2.2 -2.4 2.5 -2.3 8.3 -2.3 5.0 1.0 0.1 14.0 3.5 11.6 2.4 5.8 6.2 20.0 13.0 11.2 8.2 3.8 2.1 20.0 6.3 10.5 -16.3 -13.1 2.3 11.1 2.8 9.5 6.1 4.8 -0.1 18.3 14.1 8.1 20.0 GAS_US -9.1 -2.9 -20.0 -2.3 8.3 -2.3 5.0 1.0 0.1 -10.7 -16.5 -14.9 -13.7 -15.4 -16.5 -20.0 -10.4 -20.0 -14.4 -20.0 -20.0 -14.6 -20.0 -20.0 13.7 -9.3 -6.2 -2.5 -6.6 -4.8 -3.1 -5.6 -20.0 -20.0 -17.5 -5.9 -20.0 GBP 17.8 2.3 10.3 2.0 6.0 1.2 6.8 -1.3 4.4 11.1 12.4 14.7 -1.6 12.9 8.3 -1.5 -1.9 -1.9 -2.0 9.6 5.4 17.5 -2.5 15.0 8.3 9.4 3.5 6.9 0.4 7.9 -4.3 6.5 0.9 1.8 9.8 10.6 -3.4 GOLD_micro 20.0 1.8 16.0 3.1 6.5 2.1 6.7 1.7 5.3 13.1 11.2 14.4 0.9 13.3 11.5 -10.6 -10.6 -11.6 -11.6 16.5 11.9 20.0 6.0 20.0 -2.2 -13.8 4.8 5.1 3.5 5.5 2.0 5.8 -15.2 -5.9 20.0 17.0 13.5 HEATOIL -4.6 -13.0 -11.6 -2.3 8.3 -2.3 5.0 1.0 0.1 13.9 -11.0 4.8 5.4 -5.8 -10.8 20.0 20.0 20.0 20.0 -11.1 -9.5 10.7 3.8 -3.1 -7.7 -13.6 -3.6 8.4 -2.5 4.7 3.6 -0.7 20.0 1.0 -0.1 -9.2 -3.5 JPY 15.2 -6.7 7.4 2.0 6.0 1.2 6.8 -1.3 4.4 1.4 6.1 8.9 -6.6 5.3 -1.3 -14.5 -12.6 -14.2 -13.8 2.8 1.6 4.8 -7.2 4.7 2.0 9.9 1.8 3.0 0.8 2.3 -4.5 2.5 -18.2 -16.6 2.2 -2.8 2.0 LEANHOG -20.0 -17.7 -20.0 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 -11.9 -13.7 -13.6 -10.3 -13.9 -15.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.9 -20.0 19.2 -11.1 -5.9 -3.7 -4.9 -4.1 -2.9 -5.5 -20.0 -17.1 -20.0 -20.0 -20.0 LIVECOW -4.5 -6.8 6.0 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 6.7 11.1 8.4 8.2 5.7 7.0 20.0 -9.2 20.0 12.1 5.0 7.2 13.5 6.5 8.0 -20.0 12.0 2.1 3.3 3.5 5.9 4.0 3.3 -12.4 20.0 1.5 6.9 19.1 MXP -0.5 -7.1 4.6 2.0 6.0 1.2 6.8 -1.3 4.4 4.5 14.0 10.6 15.0 10.4 12.5 16.5 20.0 18.8 20.0 13.2 16.6 9.4 17.1 11.3 -20.0 9.7 4.9 -0.9 7.0 2.6 7.3 3.3 20.0 -1.1 -20.0 20.0 20.0 NASDAQ 20.0 10.5 20.0 1.4 4.7 1.6 6.3 0.8 3.1 4.5 3.1 12.9 -8.5 13.4 13.9 -7.5 -5.3 -7.1 -6.5 17.7 9.8 18.2 -2.7 20.0 -2.1 10.2 5.8 1.4 4.2 5.1 1.5 6.1 -2.5 -8.7 20.0 20.0 18.1 NIKKEI -1.9 3.6 6.0 1.4 4.7 1.6 6.3 0.8 3.1 4.4 4.9 8.5 5.3 6.0 7.7 6.1 13.8 12.9 14.6 7.0 4.5 12.1 2.3 9.9 6.0 -9.4 3.2 1.0 1.6 5.3 -0.1 4.4 20.0 -5.5 -5.4 14.8 -7.5 NZD 9.8 -10.8 5.1 2.0 6.0 1.2 6.8 -1.3 4.4 13.9 7.6 14.2 -1.4 2.2 -4.7 0.9 0.5 0.6 0.4 -0.4 0.2 10.1 -2.7 4.1 1.3 10.8 0.0 6.7 0.0 5.8 -1.7 2.5 5.0 -4.1 -6.1 -6.1 -7.1 OAT 19.5 6.8 10.7 2.6 4.5 0.2 4.3 -2.8 4.2 4.2 -9.0 9.6 -12.8 7.3 -1.6 9.3 11.9 10.1 11.2 1.4 -6.2 6.7 -14.5 6.4 5.7 12.7 2.1 3.4 -1.4 3.3 -7.0 3.8 20.0 -3.1 -13.2 -2.8 -10.1 OJ 17.9 6.7 -2.9 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 14.1 15.1 15.5 15.2 15.3 14.4 20.0 18.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.2 6.4 7.0 6.3 7.1 5.7 20.0 20.0 20.0 20.0 20.0 PALLAD 8.4 -11.7 -20.0 3.1 6.5 2.1 6.7 1.7 5.3 -0.7 -15.0 1.9 -14.4 -7.6 -13.0 -2.5 -2.1 -2.7 -2.5 -18.1 -20.0 1.4 -20.0 -4.8 20.0 -11.1 -4.7 -1.2 -6.6 0.6 -5.7 -1.1 0.0 -20.0 -20.0 -20.0 -20.0 PLAT 9.4 -2.4 -3.8 2.8 7.0 2.0 6.5 1.7 5.1 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 1.1 11.2 -1.0 9.5 -0.8 5.4 -0.2 2.0 1.5 -13.9 -18.1 -9.6 -15.5 REDWHEAT 20.0 -0.7 -6.0 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 6.8 -9.1 12.8 -10.8 5.3 1.3 13.1 5.0 10.4 8.1 0.1 -7.7 11.3 -7.4 9.6 -1.9 12.9 0.5 -1.1 -1.6 4.5 -0.1 4.0 -0.2 18.1 20.0 2.2 0.2 ROBUSTA 0.2 13.0 20.0 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 14.0 6.8 14.7 2.9 13.6 14.0 11.6 9.5 10.1 10.1 18.2 13.4 20.0 7.0 20.0 -7.5 9.6 5.3 9.7 3.6 7.8 1.7 6.1 5.8 20.0 20.0 20.0 20.0 RUSSELL -11.6 -20.0 5.0 1.4 4.7 1.6 6.3 0.8 3.1 -3.8 -4.3 -7.9 -9.0 -11.7 -10.4 -5.0 -4.2 -5.4 -5.2 -11.7 -6.1 -5.1 -5.2 -11.4 2.0 10.0 -2.7 -2.9 -0.4 -1.8 0.1 -3.5 -0.5 -20.0 -20.0 -17.2 -7.3 SILVER-mini 20.0 -1.6 1.3 3.1 6.5 2.1 6.7 1.7 5.3 13.3 7.7 15.7 -0.8 12.8 6.2 -5.6 -4.7 -5.6 -5.4 11.2 5.0 20.0 1.6 20.0 -1.1 -11.3 2.8 8.9 0.9 9.1 -0.3 6.6 -4.7 18.6 20.0 3.3 -8.6 SOYBEAN -13.6 -15.0 -14.7 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 9.0 -3.8 0.6 -0.1 -5.3 -8.1 20.0 20.0 20.0 20.0 -13.7 -9.0 2.8 -1.0 -9.7 -2.8 -11.7 -4.5 1.8 -2.7 0.1 0.4 -3.5 20.0 13.7 -20.0 -20.0 -15.5 SOYMEAL -20.0 -16.3 9.9 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 1.9 11.0 -3.4 12.7 -4.0 2.3 12.8 18.0 17.5 18.5 0.9 12.0 -6.0 16.4 -6.8 -20.0 -12.0 -0.9 -3.8 4.3 -2.9 7.7 -3.7 20.0 -12.8 -20.0 -6.7 18.5 SOYOIL -3.4 -12.4 -19.3 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 6.3 -10.4 -0.5 -1.9 -7.7 -11.6 -0.9 12.4 1.8 6.4 -17.6 -14.4 -3.4 -4.5 -13.1 2.9 12.9 -5.6 -0.0 -4.4 -1.3 -1.0 -4.2 5.7 -12.2 -20.0 -20.0 -20.0 SP400 -9.8 -20.0 4.2 1.4 4.7 1.6 6.3 0.8 3.1 1.2 1.9 -1.6 -1.7 -8.3 -8.0 -4.9 -4.0 -5.3 -4.9 -9.1 -2.6 -0.2 0.0 -7.9 -1.6 10.2 -2.5 -1.4 -0.1 -0.4 1.0 -2.6 -0.0 -19.6 -20.0 -18.4 -8.2 SP500 11.5 -7.4 7.8 1.4 4.7 1.6 6.3 0.8 3.1 8.5 1.8 12.2 -6.3 4.0 3.4 -7.3 -5.6 -7.3 -6.7 3.7 1.2 17.1 -2.8 10.2 1.7 10.2 3.4 5.3 2.5 8.1 0.4 5.6 -2.9 -2.4 9.9 6.8 0.1 SUGAR11 9.4 10.6 13.6 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 14.1 15.1 15.5 12.5 15.6 15.6 16.7 20.0 20.0 20.0 20.0 20.0 20.0 15.5 20.0 -20.0 10.7 6.2 10.0 6.5 9.0 5.8 6.9 20.0 20.0 20.0 20.0 20.0 US10 20.0 10.1 20.0 2.6 4.5 0.2 4.3 -2.8 4.2 12.9 -3.3 13.4 -10.9 11.9 7.6 -8.3 -4.3 -8.3 -7.5 7.8 -0.8 16.5 -10.3 14.3 -2.2 9.7 3.8 5.4 1.1 5.2 -2.7 5.3 -9.1 1.3 5.3 8.2 3.6 US10U 20.0 9.2 20.0 2.6 4.5 0.2 4.3 -2.8 4.2 13.2 -3.0 13.6 -10.8 12.1 8.0 1.8 2.8 1.3 1.4 7.3 -0.9 16.2 -10.7 13.5 -5.2 -14.1 4.2 6.0 1.7 5.6 -2.1 5.5 4.6 1.8 -1.3 7.8 6.2 US20 20.0 8.0 19.4 2.6 4.5 0.2 4.3 -2.8 4.2 13.3 -1.1 14.0 -9.3 12.5 8.7 -0.9 -1.5 -3.0 -3.1 7.5 -0.5 16.9 -10.6 13.4 -2.6 -12.3 3.9 7.0 1.3 5.9 -2.4 5.4 -2.8 2.6 -3.1 6.5 3.2 US30 13.6 4.5 17.2 2.6 4.5 0.2 4.3 -2.8 4.2 13.5 -0.9 13.0 -10.7 9.9 3.8 0.0 -0.5 -0.7 -0.9 4.4 -2.2 12.7 -13.3 8.8 -7.5 10.0 4.1 7.8 1.7 6.1 -3.1 5.1 -0.0 -2.3 -18.6 1.0 3.3 US5 20.0 12.2 20.0 2.6 4.5 0.2 4.3 -2.8 4.2 12.8 -3.4 13.3 -11.3 11.9 7.7 -8.4 -4.7 -9.3 -8.4 7.7 -0.8 15.9 -10.0 14.2 -0.3 10.8 3.4 4.8 0.6 4.9 -3.2 5.1 -10.3 0.6 11.0 7.1 2.3 VIX 5.5 20.0 -1.5 -2.2 -1.0 -5.3 -1.4 -6.0 -0.5 -8.4 -11.8 -6.6 -12.9 -2.3 -5.6 -18.0 -20.0 -19.2 -20.0 -3.1 -9.1 -5.7 -11.7 -2.4 NaN -13.5 -2.5 -1.2 -6.9 -1.7 -8.4 -0.5 NaN NaN NaN NaN NaN WHEAT 8.4 -8.4 -12.8 -2.5 -1.9 -3.0 0.6 -2.1 -1.0 3.4 -13.4 6.5 -14.5 -8.4 -9.8 -12.4 -8.1 -11.5 -10.0 -13.8 -18.5 -1.4 -15.9 -6.4 6.8 11.9 -4.3 -2.3 -4.7 -0.6 -2.5 -2.2 -20.0 4.4 0.8 -13.3 -9.4 End of report for caleb_strategy_v1