******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230406_204651 produced at 2023-04-06 21:37:18.340806 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.17 0.0 9.034870e+06 -9.034870e+06 -0.17 -0.17 -18.57 999999999.0 -19 -19 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.14 0.0 5.541321e+07 -5.541321e+07 -0.11 -0.11 -2.50 999999999.0 -2 -2 caleb_strategy_v1 US10U False False 0.05 -0.05 -0.13 0.0 4.898656e+07 -4.898656e+07 -0.05 -0.05 -2.63 999999999.0 -1 -1 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.10 0.0 5.458485e+07 -5.458485e+07 -0.16 -0.16 -1.87 999999999.0 -3 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.402594e+07 -1.402594e+07 -0.10 -0.10 -6.68 999999999.0 -7 -7 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.334603e+07 -5.334603e+07 0.00 0.00 -1.51 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.04 -0.23 -0.06 0.0 3.814944e+07 -3.814944e+07 -0.23 -0.23 -1.65 999999999.0 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.430370e+07 -4.430370e+07 -0.09 -0.09 -1.20 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.229787e+07 -6.229787e+07 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.03 0.0 8.056557e+06 -8.056557e+06 -0.02 -0.02 -3.36 999999999.0 -2 -2 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.139110e+07 -1.139110e+07 -0.06 -0.06 -1.88 999999999.0 -5 -5 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.857541e+06 -6.857541e+06 0.00 0.00 -0.82 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.513694e+07 -2.513694e+07 0.00 0.00 -0.43 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.27 -0.01 0.0 3.513052e+06 -3.513052e+06 -0.27 -0.27 -2.59 999999999.0 -77 -77 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8.939348e+06 -8.939348e+06 -0.01 -0.01 -1.00 999999999.0 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.787093e+07 -5.787093e+07 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.00 0.0 4.494565e+07 -4.494565e+07 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.04 0.00 0.0 1.853307e+07 -1.853307e+07 0.04 0.04 0.15 999999999.0 2 2 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.00 0.0 1.431848e+07 -1.431848e+07 -0.01 -0.01 -0.30 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.00 0.0 1.787870e+07 -1.787870e+07 0.02 0.02 0.23 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.308424e+07 -1.308424e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.119608e+06 -1.119608e+06 -0.01 -0.01 -4.43 999999999.0 -5 -5 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.549261e+07 -1.549261e+07 0.00 0.00 -0.31 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 2.022697e+07 -2.022697e+07 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.49 0.01 0.0 9.790695e+07 -9.790695e+07 0.49 0.49 0.06 999999999.0 5 5 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.637461e+07 -4.637461e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.01 0.0 1.686078e+07 -1.686078e+07 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.665486e+07 -2.665486e+07 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.720909e+07 -2.720909e+07 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.662496e+07 -1.662496e+07 0.02 0.02 0.82 999999999.0 1 1 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.696152e+06 -6.696152e+06 0.00 0.00 2.24 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 3.078622e+07 -3.078622e+07 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.02 0.0 4.404251e+07 -4.404251e+07 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.02 0.0 8.214966e+07 -8.214966e+07 0.08 0.08 0.27 999999999.0 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.429054e+06 -4.429054e+06 0.00 0.00 4.81 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.606978e+07 -2.606978e+07 0.00 0.00 0.77 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.03 0.02 0.0 8.983129e+06 -8.983129e+06 0.03 0.03 2.21 999999999.0 3 3 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.001015e+07 -4.001015e+07 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.367687e+07 -4.367687e+07 0.00 0.00 0.56 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.486579e+07 -2.486579e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.02 0.0 2.598620e+07 -2.598620e+07 0.00 0.00 0.67 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.04 0.03 0.0 1.106473e+07 -1.106473e+07 0.04 0.04 2.26 999999999.0 4 4 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.03 0.0 1.034640e+07 -1.034640e+07 0.03 0.03 2.60 999999999.0 3 3 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.076821e+07 -1.076821e+07 0.00 0.00 2.60 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.04 0.0 5.764954e+07 -5.764954e+07 0.00 0.00 0.63 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.04 0.0 3.193471e+07 -3.193471e+07 0.00 0.00 1.12 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.22 0.05 0.0 3.101508e+07 -3.101508e+07 0.22 0.22 1.49 999999999.0 7 7 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.957428e+07 -2.957428e+07 0.00 0.00 1.81 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.06 0.0 1.048184e+08 -1.048184e+08 0.00 0.00 0.56 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.05 0.06 0.0 5.051988e+07 -5.051988e+07 0.05 0.05 1.11 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.15 0.07 0.0 3.057926e+07 -3.057926e+07 0.15 0.15 2.22 999999999.0 5 5 caleb_strategy_v1 OAT False False 0.06 0.06 0.07 0.0 5.706224e+07 -5.706224e+07 0.06 0.06 1.25 999999999.0 1 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 31.07 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.30 0.26 0.0 5.958889e+07 -5.958889e+07 0.30 0.30 4.38 999999999.0 5 5 caleb_strategy_v1 BOBL False False 0.05 0.10 0.32 0.0 5.153141e+07 -5.153141e+07 0.10 0.10 6.28 999999999.0 2 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 15.7 Shocked risk 39.2 Sum abs risk 44.5 Leverage 2.76 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2512487.6, 'annual_cash_vol_target': 628121.9, 'daily_cash_vol_target': 39257.61875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6697 0.7563 12.1013 BITCOIN 1002.3799 28130.0000 3.5634 57.0141 BOBL 0.5307 118.7000 0.4471 7.1530 BTP 0.7762 116.3700 0.6670 10.6715 BUND 0.9555 137.2600 0.6961 11.1379 BUXL 2.1706 143.5000 1.5126 24.2023 CAC 72.6266 7356.0000 0.9873 15.7970 CAD 0.0032 0.7430 0.4271 6.8333 CANOLA 8.6046 749.3000 1.1483 18.3736 CHF 0.0059 1.1138 0.5314 8.5031 COCOA 34.8980 2862.0000 1.2194 19.5097 COFFEE 3.3939 182.3000 1.8617 29.7870 COPPER 0.0484 4.0210 1.2047 19.2755 CORN 4.6672 556.0000 0.8394 13.4309 COTTON2 1.4546 83.5400 1.7413 27.8601 CRUDE_W 1.3473 76.8300 1.7536 28.0572 DAX 162.7252 15796.0000 1.0302 16.4827 DOW 259.9719 33648.0000 0.7726 12.3620 EUR 0.0059 1.0972 0.5354 8.5659 EUROSTX 47.9657 4269.0000 1.1236 17.9773 FEEDCOW 1.3955 222.6250 0.6268 10.0292 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.4136 773.5000 2.1220 33.9518 GASOILINE 0.0460 2.6887 1.7092 27.3472 GAS_US 0.1168 2.2460 5.2005 83.2075 GBP 0.0076 1.2468 0.6058 9.6926 GOLD_micro 19.6362 2024.2000 0.9701 15.5212 HEATOIL 0.0450 2.6128 1.7208 27.5320 JPY 0.0001 0.0077 0.6795 10.8727 LEANHOG 1.3372 88.1000 1.5179 24.2859 LIVECOW 1.0663 163.2250 0.6533 10.4527 MXP 0.0005 0.0541 0.8515 13.6247 NASDAQ 131.1237 13167.7500 0.9958 15.9327 NIKKEI 261.6933 27645.0000 0.9466 15.1459 NZD 0.0046 0.6248 0.7442 11.9079 OAT 0.8745 131.4400 0.6653 10.6455 OJ 4.7585 259.5000 1.8337 29.3394 PALLAD 29.8599 1454.0000 2.0536 32.8582 PLAT 17.0737 1016.4000 1.6798 26.8771 REDWHEAT 11.1573 847.2500 1.3169 21.0702 ROBUSTA 28.5516 2257.0000 1.2650 20.2404 RUSSELL 23.0483 1765.3000 1.3056 20.8901 SILVER-mini 0.3973 25.2625 1.5728 25.1656 SOYBEAN 11.3747 1310.0000 0.8683 13.8927 SOYMEAL 5.4256 449.2000 1.2078 19.3254 SOYOIL 0.8815 54.7900 1.6088 25.7413 SP400 29.3107 2459.9000 1.1915 19.0647 SP500 34.4294 4128.0000 0.8340 13.3447 SUGAR11 0.2992 23.2100 1.2891 20.6249 US10 0.6172 116.5156 0.5297 8.4754 US10U 0.7886 123.0781 0.6407 10.2515 US20 1.0685 134.0312 0.7972 12.7558 US30 1.5202 144.8438 1.0495 16.7924 US5 0.4685 110.6562 0.4234 6.7743 VIX 0.7598 22.7000 3.3472 53.5555 WHEAT 9.8547 719.5000 1.3697 21.9144 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.70 0.76 506.51 1.00 506.51 39257.62 77.51 2.22 17.18 BITCOIN 28.13 3.56 100.24 1.00 100.24 39257.62 391.64 -4.80 -187.88 BOBL 1187.00 0.45 530.66 1.09 580.36 39257.62 67.64 12.86 86.99 BTP 1163.70 0.67 776.15 1.09 848.84 39257.62 46.25 11.87 54.91 BUND 1372.60 0.70 955.49 1.09 1044.97 39257.62 37.57 16.17 60.76 BUXL 1435.00 1.51 2170.65 1.09 2373.93 39257.62 16.54 -3.17 -5.25 CAC 735.60 0.99 726.27 1.09 794.28 39257.62 49.43 8.05 39.78 CAD 743.05 0.43 317.34 1.00 317.34 39257.62 123.71 8.21 101.51 CANOLA 149.86 1.15 172.09 0.74 127.71 39257.62 307.40 17.06 524.45 CHF 1392.25 0.53 739.90 1.00 739.90 39257.62 53.06 -12.57 -66.69 COCOA 286.20 1.22 348.98 1.00 348.98 39257.62 112.49 -7.68 -86.37 COFFEE 683.62 1.86 1272.70 1.00 1272.70 39257.62 30.85 8.03 24.75 COPPER 1005.25 1.20 1211.04 1.00 1211.04 39257.62 32.42 4.41 14.29 CORN 278.00 0.84 233.36 1.00 233.36 39257.62 168.23 14.90 250.58 COTTON2 417.70 1.74 727.32 1.00 727.32 39257.62 53.98 10.12 54.65 CRUDE_W 768.30 1.75 1347.27 1.00 1347.27 39257.62 29.14 5.76 16.78 DAX 157.96 1.03 162.73 1.09 177.96 39257.62 220.59 -0.69 -15.18 DOW 168.24 0.77 129.99 1.00 129.99 39257.62 302.01 2.60 78.58 EUR 1371.44 0.54 734.22 1.00 734.22 39257.62 53.47 -9.33 -49.90 EUROSTX 426.90 1.12 479.66 1.09 524.58 39257.62 74.84 0.73 5.43 FEEDCOW 1113.12 0.63 697.74 1.00 697.74 39257.62 56.26 -7.97 -44.82 FTSE100 707.00 0.82 576.59 1.25 666.67 39257.62 58.89 7.70 45.33 GASOIL 773.50 2.12 1641.36 1.00 1641.36 39257.62 23.92 4.10 9.82 GASOILINE 1129.25 1.71 1930.12 1.00 1930.12 39257.62 20.34 -0.65 -1.32 GAS_US 224.60 5.20 1168.02 1.00 1168.02 39257.62 33.61 -19.69 -66.17 GBP 779.25 0.61 472.06 1.00 472.06 39257.62 83.16 10.03 83.41 GOLD_micro 202.42 0.97 196.36 1.00 196.36 39257.62 199.92 -7.52 -150.26 HEATOIL 1097.38 1.72 1888.31 1.00 1888.31 39257.62 20.79 3.75 7.79 JPY 958.50 0.68 651.34 1.00 651.34 39257.62 60.27 -4.22 -25.43 LEANHOG 352.40 1.52 534.90 1.00 534.90 39257.62 73.39 -19.48 -143.00 LIVECOW 652.90 0.65 426.54 1.00 426.54 39257.62 92.04 2.71 24.93 MXP 270.55 0.85 230.39 1.00 230.39 39257.62 170.40 12.45 212.10 NASDAQ 2633.55 1.00 2622.47 1.00 2622.47 39257.62 14.97 6.86 10.27 NIKKEI 27645.00 0.95 26169.33 0.01 198.98 39257.62 197.29 8.29 163.57 NZD 624.75 0.74 464.96 1.00 464.96 39257.62 84.43 6.85 57.85 OAT 1314.40 0.67 874.53 1.09 956.43 39257.62 41.05 15.07 61.87 OJ 389.25 1.83 713.77 1.00 713.77 39257.62 55.00 -3.28 -18.05 PALLAD 1454.00 2.05 2985.99 1.00 2985.99 39257.62 13.15 -4.78 -6.28 PLAT 508.20 1.68 853.68 1.00 853.68 39257.62 45.99 4.94 22.72 REDWHEAT 423.62 1.32 557.87 1.00 557.87 39257.62 70.37 8.31 58.50 ROBUSTA 225.70 1.27 285.52 1.00 285.52 39257.62 137.50 12.40 170.54 RUSSELL 88.26 1.31 115.24 1.00 115.24 39257.62 340.66 -1.47 -50.06 SILVER-mini 631.56 1.57 993.35 1.00 993.35 39257.62 39.52 -4.92 -19.43 SOYBEAN 655.00 0.87 568.73 1.00 568.73 39257.62 69.03 1.90 13.10 SOYMEAL 449.20 1.21 542.56 1.00 542.56 39257.62 72.36 0.53 3.85 SOYOIL 328.74 1.61 528.89 1.00 528.89 39257.62 74.23 3.22 23.91 SP400 2459.90 1.19 2931.07 1.00 2931.07 39257.62 13.39 0.81 1.08 SP500 2064.00 0.83 1721.47 1.00 1721.47 39257.62 22.80 4.08 9.31 SUGAR11 259.95 1.29 335.09 1.00 335.09 39257.62 117.15 16.37 191.74 US10 1165.16 0.53 617.20 1.00 617.20 39257.62 63.61 0.92 5.82 US10U 1230.78 0.64 788.59 1.00 788.59 39257.62 49.78 -3.63 -18.05 US20 1340.31 0.80 1068.55 1.00 1068.55 39257.62 36.74 -5.58 -20.51 US30 1448.44 1.05 1520.17 1.00 1520.17 39257.62 25.82 2.90 7.48 US5 1106.56 0.42 468.51 1.00 468.51 39257.62 83.79 1.35 11.31 VIX 227.00 3.35 759.82 1.00 759.82 39257.62 51.67 -19.08 -98.56 WHEAT 359.75 1.37 492.73 1.00 492.73 39257.62 79.67 -7.12 -56.73 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 17.179 0.006 2.5 0.274 BITCOIN -187.876 0.009 2.5 -4.427 BOBL 86.987 0.029 2.5 6.277 BTP 54.912 0.008 2.5 1.109 BUND 60.762 0.029 2.5 4.384 BUXL -5.250 0.034 2.5 -0.441 CAC 39.782 0.011 2.5 1.118 CAD 101.513 0.007 2.5 1.812 CANOLA 524.454 0.004 2.5 4.814 CHF -66.694 0.015 2.5 -2.496 COCOA -86.374 0.009 2.5 -1.882 COFFEE 24.755 0.005 2.5 0.321 COPPER 14.288 0.011 2.5 0.390 CORN 250.579 0.004 2.5 2.260 COTTON2 54.649 0.006 2.5 0.823 CRUDE_W 16.784 0.053 2.5 2.217 DAX -15.181 0.022 2.5 -0.824 DOW 78.576 0.011 2.5 2.239 EUR -49.901 0.015 2.5 -1.868 EUROSTX 5.434 0.011 2.5 0.153 FEEDCOW -44.816 0.011 2.5 -1.204 FTSE100 45.329 0.041 2.5 4.673 GASOIL 9.818 0.029 2.5 0.700 GASOILINE -1.316 0.016 2.5 -0.054 GAS_US -66.172 0.006 2.5 -0.996 GBP 83.406 0.007 2.5 1.489 GOLD_micro -150.257 0.009 2.5 -3.362 HEATOIL 7.791 0.029 2.5 0.556 JPY -25.429 0.026 2.5 -1.646 LEANHOG -143.002 0.019 2.5 -6.681 LIVECOW 24.935 0.011 2.5 0.670 MXP 212.103 0.005 2.5 2.597 NASDAQ 10.274 0.022 2.5 0.558 NIKKEI 163.574 0.076 2.5 31.068 NZD 57.852 0.006 2.5 0.924 OAT 61.865 0.008 2.5 1.249 OJ -18.053 0.007 2.5 -0.315 PALLAD -6.278 0.010 2.5 -0.151 PLAT 22.719 0.010 2.5 0.547 REDWHEAT 58.497 0.002 2.5 0.312 ROBUSTA 170.537 0.005 2.5 2.211 RUSSELL -50.056 0.021 2.5 -2.593 SILVER-mini -19.434 0.009 2.5 -0.435 SOYBEAN 13.101 0.024 2.5 0.772 SOYMEAL 3.848 0.024 2.5 0.227 SOYOIL 23.912 0.004 2.5 0.219 SP400 1.085 0.021 2.5 0.056 SP500 9.305 0.011 2.5 0.265 SUGAR11 191.743 0.005 2.5 2.602 US10 5.823 0.015 2.5 0.223 US10U -18.048 0.058 2.5 -2.630 US20 -20.513 0.029 2.5 -1.512 US30 7.478 0.034 2.5 0.628 US5 11.312 0.015 2.5 0.434 VIX -98.562 0.075 2.5 -18.574 WHEAT -56.730 0.002 2.5 -0.303 ==================== Position diags ==================== AUD 1.24 BITCOIN 9.23 BOBL 4.88 BTP 0.93 BUND 2.71 BUXL 1.39 CAC 1.39 CAD 2.21 CANOLA 2.82 CHF 1.99 COCOA 2.45 COFFEE 0.40 COPPER 0.89 CORN 1.52 COTTON2 0.81 CRUDE_W 3.85 DAX 11.98 DOW 8.61 EUR 2.00 EUROSTX 2.10 FEEDCOW 1.51 FTSE100 6.07 GASOIL 1.71 GASOILINE 0.84 GAS_US 0.51 GBP 1.48 GOLD_micro 4.47 HEATOIL 1.48 JPY 3.90 LEANHOG 3.43 LIVECOW 2.47 MXP 2.09 NASDAQ 0.81 NIKKEI 37.47 NZD 1.35 OAT 0.83 OJ 0.96 PALLAD 0.32 PLAT 1.11 REDWHEAT 0.38 ROBUSTA 1.78 RUSSELL 17.64 SILVER-mini 0.88 SOYBEAN 4.07 SOYMEAL 4.27 SOYOIL 0.68 SP400 0.69 SP500 0.65 SUGAR11 1.59 US10 2.44 US10U 7.25 US20 2.71 US30 2.17 US5 3.21 VIX 9.74 WHEAT 0.43 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 -4.4 -5.3 -3.5 -5.0 -5 BOBL 6.3 5.8 6.8 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.4 4.1 4.7 5.0 5 BUXL -0.4 -0.6 -0.3 0.0 0 CAC 1.1 1.0 1.3 0.0 0 CAD 1.8 1.6 2.0 0.0 0 CANOLA 4.8 4.5 5.1 NaN 0 CHF -2.5 -2.7 -2.3 -2.0 -2 COCOA -1.9 -2.1 -1.6 -5.0 -5 COFFEE 0.3 0.3 0.4 NaN 0 COPPER 0.4 0.3 0.5 0.0 0 CORN 2.3 2.1 2.4 4.0 4 COTTON2 0.8 0.7 0.9 1.0 1 CRUDE_W 2.2 1.8 2.6 5.0 5 DAX -0.8 -2.0 0.4 0.0 0 DOW 2.2 1.4 3.1 0.0 0 EUR -1.9 -2.1 -1.7 -3.0 -3 EUROSTX 0.2 -0.1 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 -0.1 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 -3.4 -3.8 -2.9 -2.0 -2 HEATOIL 0.6 0.4 0.7 0.0 0 JPY -1.6 -2.0 -1.3 -6.0 -6 LEANHOG -6.7 -7.0 -6.3 -7.0 -7 LIVECOW 0.7 0.4 0.9 0.0 0 MXP 2.6 2.4 2.8 0.0 0 NASDAQ 0.6 0.5 0.6 0.0 0 NIKKEI 31.1 27.3 34.8 0.0 0 NZD 0.9 0.8 1.1 0.0 0 OAT 1.2 1.2 1.3 1.0 1 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 0.0 0 REDWHEAT 0.3 0.3 0.3 0.0 0 ROBUSTA 2.2 2.0 2.4 3.0 3 RUSSELL -2.6 -4.4 -0.8 -77.0 -77 SILVER-mini -0.4 -0.5 -0.3 0.0 0 SOYBEAN 0.8 0.4 1.2 0.0 0 SOYMEAL 0.2 -0.2 0.7 1.0 1 SOYOIL 0.2 0.2 0.3 0.0 0 SP400 0.1 -0.0 0.1 5.0 5 SP500 0.3 0.2 0.3 1.0 1 SUGAR11 2.6 2.4 2.8 3.0 3 US10 0.2 -0.0 0.5 NaN 0 US10U -2.6 -3.4 -1.9 -1.0 -1 US20 -1.5 -1.8 -1.2 0.0 0 US30 0.6 0.4 0.8 0.0 0 US5 0.4 0.1 0.8 0.0 0 VIX -18.6 -19.5 -17.6 -19.0 -19 WHEAT -0.3 -0.3 -0.3 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.0 0.0 0.0 0.0 0.1 -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 -0.3 -0.1 BITCOIN 0.2 0.1 0.3 0.0 0.0 0.1 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 -0.1 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 0.1 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 -0.1 -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 0.1 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 -0.1 -0.2 CAC -0.0 -0.3 0.2 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 0.0 0.3 0.0 0.3 0.9 0.1 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 1.1 -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 -0.0 -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 -0.0 -0.1 -0.1 CANOLA -0.0 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.2 1.4 0.5 0.3 0.3 -0.2 -0.2 -0.0 -0.1 -0.0 3.4 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 0.2 -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 0.2 0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.1 0.1 0.3 0.3 -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 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -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 1.8 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 0.1 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 -0.2 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 -0.1 -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 1.4 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 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.0 3.2 3.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.4 0.0 -0.0 -0.2 0.0 CRUDE_W 0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.7 0.5 0.2 0.2 -0.0 -0.0 0.0 0.0 0.0 -1.1 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 -0.0 -0.3 0.3 0.0 0.0 0.0 0.1 0.0 0.1 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 -0.3 0.0 0.1 DOW 0.2 -0.3 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 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 0.1 -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 -1.5 -2.3 0.1 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.0 0.1 0.1 EUROSTX 0.0 -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 -0.1 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 -0.2 0.1 0.1 FEEDCOW 0.0 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.2 0.0 0.2 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.1 0.0 -3.3 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 -0.0 0.0 -0.1 0.0 -0.0 -0.0 2.7 -0.1 -0.0 -0.1 -0.2 GASOILINE 0.1 -0.0 0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.2 1.7 0.6 0.3 0.2 0.1 0.0 0.0 0.1 0.0 -2.1 -2.6 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.3 0.1 0.3 GAS_US -0.1 -0.0 -0.3 -0.0 0.0 -0.1 0.1 0.0 0.0 -0.0 -0.4 -0.1 -0.3 -0.1 -0.4 -1.6 -0.5 -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 0.1 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 0.2 -0.0 GOLD_micro 0.2 0.1 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.3 0.0 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 -0.1 0.4 0.2 0.2 HEATOIL -0.0 -0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.0 -0.3 0.0 0.1 -0.0 -0.3 1.7 0.9 0.5 0.5 -0.1 -0.1 0.0 0.0 -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 -0.1 JPY 0.2 -0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 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 -0.1 -0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.1 -0.0 3.0 -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 0.3 0.0 0.2 0.0 0.2 1.6 -0.3 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 -1.5 0.0 0.2 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 0.1 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 -0.3 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 0.3 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 -0.2 0.2 -0.1 NZD 0.1 -0.1 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 -0.1 -0.1 OJ 0.0 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.5 0.3 0.3 PALLAD 0.1 -0.2 -0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.0 -0.3 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 -0.2 -0.1 -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 -0.4 -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 -0.1 -0.3 0.1 0.0 0.0 0.0 0.2 0.0 0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.3 -0.3 -0.2 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 0.3 2.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.4 -0.3 -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 0.2 0.1 0.0 0.0 0.0 -0.4 -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 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.3 -0.0 0.3 -0.0 0.0 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 0.0 -0.0 0.1 -0.0 2.7 0.0 -0.4 -0.1 0.2 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 -0.1 -0.0 -0.3 -0.1 0.5 0.0 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.5 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.7 0.0 -0.4 -0.3 -0.3 SP400 -0.1 -0.3 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -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 -0.2 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 0.2 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.0 -0.2 0.0 0.1 -0.5 -0.2 -0.1 -0.1 0.1 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 0.2 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.1 0.2 0.1 0.1 0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.7 -2.9 0.1 0.0 0.0 0.0 -0.0 0.0 0.6 0.0 -0.0 0.1 0.1 US20 0.2 0.2 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 0.1 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 0.1 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 0.1 0.2 -0.7 -0.2 -0.2 -0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 2.4 0.0 0.0 0.0 0.0 -0.0 0.0 -1.5 -0.0 0.0 0.1 0.0 VIX 0.0 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 -3.1 -1.6 -0.8 -0.8 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.0 0.1 -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 6.0 -16.8 2.9 2.2 4.0 1.3 6.1 -1.2 4.5 -4.5 1.5 4.1 -4.6 -7.9 -9.5 -3.4 -2.9 -3.5 -3.3 -6.4 -4.4 0.7 -5.2 -3.2 8.9 11.7 -3.0 -1.4 -2.3 0.6 -2.7 -1.3 -1.0 -14.1 -17.5 -18.4 -10.0 BITCOIN 16.2 8.6 20.0 3.2 5.0 2.2 6.4 1.7 5.4 4.4 12.5 14.2 -9.9 14.5 14.7 -3.9 -1.8 -3.1 -2.1 16.1 10.3 8.5 -2.6 14.8 2.7 -18.1 5.3 0.2 3.9 2.6 0.8 4.5 0.9 -18.3 -3.2 11.5 20.0 BOBL 16.5 20.0 19.3 2.8 4.2 0.3 4.5 -2.7 4.4 4.1 -9.1 9.0 -12.9 9.4 3.6 6.1 5.2 0.6 1.9 3.7 -5.3 7.8 -13.5 8.5 11.8 10.8 2.3 2.5 -1.3 3.2 -5.7 4.0 7.8 -5.8 3.8 -1.0 -9.7 BTP 12.5 6.0 12.7 2.8 4.2 0.3 4.5 -2.7 4.4 11.3 4.0 12.1 -8.8 11.0 8.5 8.3 12.1 8.9 10.9 8.1 2.5 8.9 -9.2 9.7 -10.6 11.4 4.7 4.7 2.4 4.1 -3.7 4.7 20.0 -4.1 -20.0 1.4 2.2 BUND 14.8 14.1 15.4 2.8 4.2 0.3 4.5 -2.7 4.4 5.5 -9.5 8.7 -13.0 8.5 1.4 6.7 13.5 8.9 11.0 2.9 -5.9 7.7 -15.1 7.7 8.9 12.3 2.6 3.2 -1.0 3.4 -6.0 4.1 20.0 -5.2 -7.4 -1.2 -7.8 BUXL 10.4 11.6 7.4 2.8 4.2 0.3 4.5 -2.7 4.4 2.4 -9.7 2.8 -13.2 5.1 -4.6 2.1 0.8 2.6 2.6 -0.7 -8.1 4.0 -16.4 3.6 7.0 -10.8 1.4 2.6 -2.0 2.5 -6.5 3.0 4.3 -10.3 -18.1 -4.8 -15.9 CAC -0.1 -19.5 14.1 1.6 4.2 1.7 5.9 0.8 3.4 13.3 14.2 13.4 11.5 8.9 11.4 11.5 1.3 0.6 -0.3 9.2 14.4 13.8 14.1 8.8 -15.6 8.9 2.2 4.4 5.0 4.4 5.2 1.8 8.2 -10.8 -15.3 5.6 6.6 CAD 16.7 -6.0 -0.3 2.2 4.0 1.3 6.1 -1.2 4.5 9.6 -8.2 12.5 -10.3 2.8 -2.0 -2.7 -1.8 -2.5 -2.2 -1.3 -7.0 16.3 -11.1 8.7 17.3 10.4 -0.4 5.0 -2.6 7.3 -4.3 3.9 1.0 17.0 -1.0 -5.9 -8.5 CANOLA -4.1 -13.5 -18.1 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 6.3 -9.6 0.7 -11.8 -5.8 -10.0 20.0 14.0 17.0 14.0 -20.0 -19.5 -2.4 -11.0 -15.0 14.8 13.2 -5.3 -0.1 -4.4 -1.1 -2.3 -3.9 11.6 20.0 -20.0 -20.0 -20.0 CHF 11.2 -4.6 6.5 2.2 4.0 1.3 6.1 -1.2 4.5 13.8 11.3 13.7 4.1 10.8 6.3 -12.5 -13.7 -13.7 -14.1 7.4 6.0 15.4 2.8 11.7 -5.8 -11.5 3.7 7.3 2.8 7.5 0.2 5.8 -19.5 0.0 5.7 5.4 1.1 COCOA 16.8 8.8 16.4 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 1.9 13.9 13.7 5.1 13.8 13.6 4.5 -1.4 2.0 0.5 18.5 15.7 13.7 8.8 18.9 -20.0 -10.4 5.7 1.0 5.2 3.9 3.3 5.5 -12.1 -0.5 20.0 20.0 20.0 COFFEE -5.3 6.6 10.1 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 12.5 -5.5 6.1 -7.6 -6.3 5.8 4.3 3.3 3.2 3.3 1.1 -3.0 7.6 -7.7 0.9 11.1 10.0 0.1 11.7 -1.4 4.6 -3.2 0.3 -5.4 3.7 4.5 5.6 13.4 COPPER 0.0 -11.8 16.5 3.2 5.0 2.2 6.4 1.7 5.4 -7.1 8.7 3.3 -1.7 -1.3 2.9 -0.8 -0.5 -0.8 -0.8 2.4 6.7 -4.0 3.4 -1.0 -1.4 11.1 -1.0 -3.8 1.4 -2.6 1.7 -1.7 2.9 -20.0 -20.0 -17.3 -2.7 CORN 11.1 -16.6 -20.0 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 -9.8 -7.8 -2.2 -2.2 -9.6 -12.1 15.9 19.5 19.7 20.0 -14.6 -13.9 -7.0 -2.8 -8.6 9.3 11.0 -5.1 -4.4 -5.5 -2.1 -2.3 -2.7 20.0 -1.7 3.1 -20.0 -20.0 COTTON2 1.6 -1.1 -1.8 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 9.8 -10.2 8.0 -11.2 -0.9 -5.5 -2.8 8.3 -2.7 0.9 -5.5 -9.8 5.7 -10.4 -0.0 12.9 12.0 -2.7 4.2 -3.2 2.9 -1.3 -0.2 -3.0 13.2 -2.0 -7.7 0.7 CRUDE_W 7.0 -5.8 -6.1 -2.1 5.2 -2.3 4.6 1.0 0.5 12.7 -1.2 12.0 -2.0 6.1 -0.5 7.9 11.2 7.9 8.9 -1.4 -4.0 20.0 0.3 9.7 -8.8 10.8 -0.4 8.2 -0.9 8.4 1.5 3.5 -1.0 20.0 9.7 1.3 1.4 DAX -1.1 -19.5 15.5 1.6 4.2 1.7 5.9 0.8 3.4 12.6 14.4 12.1 6.7 8.7 11.2 -6.4 -5.7 -7.8 -7.4 7.5 12.0 11.7 9.5 7.2 -19.0 9.9 2.3 4.5 5.3 4.3 4.3 1.8 -3.6 -13.1 -15.6 1.1 4.7 DOW 14.1 -16.0 -2.5 1.6 4.2 1.7 5.9 0.8 3.4 11.4 5.9 11.8 0.6 0.2 -4.4 -6.8 -4.9 -7.0 -6.5 -2.2 -2.0 18.5 -0.2 7.7 -0.5 10.8 0.9 7.1 0.9 8.4 1.2 4.4 -2.3 4.6 6.4 0.4 -11.1 EUR 15.0 -5.7 15.0 2.2 4.0 1.3 6.1 -1.2 4.5 9.5 10.9 13.3 -0.9 10.3 4.8 -6.2 -8.4 -7.2 -7.9 9.0 7.8 13.3 0.4 12.4 -11.3 -11.1 4.1 3.9 3.5 6.1 -0.6 5.6 -9.7 -6.4 1.8 3.8 7.2 EUROSTX 1.7 -19.0 14.0 1.6 4.2 1.7 5.9 0.8 3.4 13.1 14.7 13.9 11.3 11.2 12.5 -0.7 5.4 4.3 5.4 9.3 13.7 13.5 12.3 9.4 -18.7 -8.5 2.7 5.0 5.6 5.1 5.5 2.5 16.8 -12.8 -11.4 4.2 3.8 FEEDCOW 1.1 17.9 14.7 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 11.1 11.4 10.8 7.8 12.5 12.8 -20.0 -20.0 -20.0 -20.0 19.7 15.1 19.4 8.2 20.0 -19.3 12.2 5.9 5.0 5.1 5.2 3.2 5.6 -20.0 20.0 18.7 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 -1.2 -7.0 -10.5 -2.1 5.2 -2.3 4.6 1.0 0.5 3.2 -11.5 1.4 6.3 -6.2 -10.9 20.0 20.0 20.0 20.0 -8.6 -7.6 3.6 3.8 -3.3 0.0 -15.4 -4.0 2.8 -4.5 2.7 -0.1 -0.9 20.0 -4.7 -1.8 -5.4 -11.0 GASOILINE 7.2 -1.4 3.0 -2.1 5.2 -2.3 4.6 1.0 0.5 14.1 4.1 13.1 2.4 7.8 7.0 20.0 13.1 11.8 8.6 5.1 2.7 20.0 6.5 12.6 -16.7 -13.1 2.7 9.3 2.9 9.3 6.0 5.4 -0.1 18.6 16.4 8.9 20.0 GAS_US -9.1 -2.3 -20.0 -2.1 5.2 -2.3 4.6 1.0 0.5 -12.7 -16.5 -15.1 -13.8 -15.6 -16.5 -20.0 -10.8 -20.0 -15.0 -20.0 -20.0 -15.8 -20.0 -20.0 14.3 -9.3 -6.2 -4.4 -6.6 -5.3 -3.2 -5.7 -20.0 -20.0 -20.0 -7.4 -20.0 GBP 18.5 3.3 9.6 2.2 4.0 1.3 6.1 -1.2 4.5 9.6 12.6 14.0 -1.5 13.2 8.9 -1.4 -1.9 -1.9 -2.0 10.3 5.8 16.3 -2.3 15.4 8.0 9.4 3.7 4.7 0.6 7.1 -4.1 6.5 1.0 1.6 9.0 10.9 -3.2 GOLD_micro 20.0 3.6 15.6 3.2 5.0 2.2 6.4 1.7 5.4 9.4 11.5 13.8 1.1 13.5 11.8 -10.7 -10.6 -11.6 -11.6 17.0 12.4 18.0 6.3 20.0 -2.3 -13.8 4.9 3.1 3.6 4.8 2.0 5.7 -15.2 -8.4 18.2 16.6 13.4 HEATOIL -1.4 -12.2 -11.9 -2.1 5.2 -2.3 4.6 1.0 0.5 9.3 -10.9 5.8 5.3 -4.9 -10.6 19.9 20.0 20.0 20.0 -10.3 -9.4 9.4 3.7 -2.1 -7.2 -13.6 -3.3 4.8 -2.5 4.2 3.6 -0.3 20.0 0.4 1.2 -8.6 -3.7 JPY 14.0 -5.7 7.3 2.2 4.0 1.3 6.1 -1.2 4.5 -1.7 6.2 7.3 -6.6 5.9 -1.3 -14.5 -12.6 -14.2 -13.8 2.9 1.7 3.7 -7.1 4.4 2.1 9.9 1.8 0.7 0.8 1.8 -4.5 2.4 -18.3 -20.0 -0.7 -3.1 1.9 LEANHOG -20.0 -19.7 -20.0 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 -13.4 -13.8 -14.4 -10.5 -14.5 -15.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.5 -20.0 19.6 -11.1 -5.9 -3.8 -5.0 -4.4 -2.9 -5.6 -20.0 -18.1 -20.0 -20.0 -20.0 LIVECOW 0.0 -8.0 4.7 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 11.5 11.4 10.8 8.5 7.7 8.0 20.0 -8.2 20.0 13.6 5.8 6.7 18.0 5.8 10.1 -20.0 12.0 2.6 10.1 3.5 8.2 3.9 4.4 -10.8 20.0 10.0 9.3 20.0 MXP 3.2 -6.8 5.2 2.2 4.0 1.3 6.1 -1.2 4.5 3.1 14.1 10.4 15.0 10.4 12.6 16.5 20.0 18.8 20.0 13.4 16.9 8.1 17.4 10.9 -20.0 9.7 4.9 -0.2 7.1 2.2 7.5 3.2 20.0 2.3 -20.0 20.0 20.0 NASDAQ 20.0 11.8 20.0 1.6 4.2 1.7 5.9 0.8 3.4 6.4 3.7 12.9 -8.3 13.5 14.0 -7.6 -5.3 -7.2 -6.5 18.6 10.5 17.5 -2.4 20.0 -2.3 10.2 5.8 1.9 4.3 4.7 1.6 5.9 -2.6 -12.2 20.0 20.0 18.2 NIKKEI 3.5 4.4 6.6 1.6 4.2 1.7 5.9 0.8 3.4 1.6 5.1 8.1 5.5 6.1 8.0 5.9 13.7 12.6 14.4 7.4 5.0 9.0 2.5 9.7 6.0 -9.4 3.3 -1.3 1.7 3.7 -0.0 4.1 20.0 -10.6 -11.2 13.0 -8.2 NZD 9.5 -9.9 4.3 2.2 4.0 1.3 6.1 -1.2 4.5 3.8 7.6 10.9 -1.4 2.2 -4.7 0.9 0.5 0.6 0.4 -0.4 0.2 5.8 -2.6 3.2 1.4 10.8 -0.0 0.1 0.0 3.4 -1.8 2.1 5.1 -12.2 -7.6 -6.4 -7.6 OAT 15.0 7.8 9.5 2.8 4.2 0.3 4.5 -2.7 4.4 6.7 -8.6 10.2 -12.8 8.6 -0.9 9.4 11.9 10.1 11.2 2.0 -5.9 8.1 -14.6 7.3 5.7 12.7 2.4 3.6 -1.2 3.8 -6.9 4.1 20.0 -4.6 -12.7 -4.2 -9.5 OJ 15.2 3.6 -7.0 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 7.4 15.1 13.4 15.2 14.5 14.3 20.0 18.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.2 2.8 7.1 5.0 7.2 5.5 20.0 20.0 20.0 20.0 20.0 PALLAD 8.2 -10.7 -20.0 3.2 5.0 2.2 6.4 1.7 5.4 6.8 -15.0 2.7 -14.4 -6.4 -12.8 -2.5 -2.1 -2.6 -2.5 -17.3 -20.0 2.6 -20.0 -3.9 20.0 -11.1 -4.6 0.8 -6.7 1.1 -5.9 -0.8 0.0 -12.2 -20.0 -20.0 -20.0 PLAT 9.3 -0.8 -4.1 3.2 5.0 2.2 6.4 1.7 5.4 7.2 3.5 9.1 0.5 9.1 -3.4 -2.3 -1.3 -2.1 -1.7 1.3 0.6 9.2 1.2 6.2 1.3 11.2 -0.4 5.2 -0.5 5.2 -0.1 2.7 1.4 -8.7 -20.0 -10.9 -16.5 REDWHEAT 20.0 -1.2 -5.6 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 1.9 -9.0 11.9 -10.8 5.5 1.8 13.7 5.1 10.7 8.3 0.5 -7.6 9.3 -7.5 9.3 -2.2 12.9 0.6 -0.8 -1.5 3.6 -0.1 3.8 -0.2 16.5 20.0 2.7 0.6 ROBUSTA 4.1 12.8 20.0 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 11.8 7.2 14.4 3.2 13.8 14.2 12.1 9.6 10.3 10.2 19.4 14.2 20.0 7.4 20.0 -7.4 9.6 5.4 7.5 3.7 7.5 1.8 6.3 5.7 20.0 20.0 20.0 20.0 RUSSELL -9.2 -20.0 4.1 1.6 4.2 1.7 5.9 0.8 3.4 -6.1 -4.6 -6.8 -9.1 -11.9 -10.7 -5.0 -4.2 -5.4 -5.2 -12.0 -6.5 -6.1 -5.5 -11.7 2.5 10.0 -2.8 -2.5 -0.5 -2.1 0.1 -3.5 -0.5 -20.0 -20.0 -18.3 -8.0 SILVER-mini 20.0 0.7 1.6 3.2 5.0 2.2 6.4 1.7 5.4 12.6 8.1 15.4 -0.6 13.3 7.1 -5.5 -4.8 -5.6 -5.4 12.8 5.9 20.0 1.9 20.0 -1.6 -11.3 3.1 6.9 1.1 8.5 -0.2 6.7 -4.7 20.0 20.0 4.3 -8.5 SOYBEAN -11.3 -16.2 -14.8 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 5.1 -3.9 0.6 -0.3 -5.2 -7.9 20.0 20.0 20.0 20.0 -13.7 -9.2 0.3 -1.2 -9.7 -2.5 -11.7 -4.5 0.1 -2.7 -0.4 0.4 -3.5 20.0 20.0 -20.0 -20.0 -15.8 SOYMEAL -20.0 -17.0 9.7 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 -1.5 10.8 -3.9 12.6 -4.4 1.6 12.4 17.9 17.2 18.4 0.4 11.7 -7.0 16.4 -7.3 -20.0 -12.0 -1.1 -3.2 4.1 -3.2 7.7 -3.9 20.0 2.7 -20.0 -8.0 17.2 SOYOIL -2.1 -13.7 -19.7 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 0.6 -10.6 -0.9 -2.2 -7.9 -11.5 -1.1 12.3 1.6 6.2 -17.9 -14.9 -5.9 -4.8 -13.5 3.3 12.9 -5.6 -1.5 -4.5 -1.9 -1.1 -4.2 5.1 2.4 -20.0 -20.0 -20.0 SP400 -6.7 -20.0 3.7 1.6 4.2 1.7 5.9 0.8 3.4 -1.8 1.7 -0.7 -1.8 -8.4 -8.2 -4.9 -4.0 -5.3 -4.9 -9.4 -2.9 -2.0 -0.1 -8.2 -1.1 10.2 -2.5 -1.8 -0.2 -0.9 1.0 -2.7 -0.0 -17.7 -20.0 -19.5 -8.9 SP500 14.3 -6.1 7.4 1.6 4.2 1.7 5.9 0.8 3.4 9.1 2.3 12.5 -6.2 5.1 4.1 -7.3 -5.7 -7.3 -6.7 4.6 1.6 16.7 -2.7 11.2 1.8 10.2 3.6 4.9 2.6 7.6 0.5 5.7 -3.0 -1.7 11.9 6.5 0.1 SUGAR11 12.3 10.7 14.1 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 14.1 15.2 15.7 12.6 15.8 15.8 16.0 20.0 20.0 20.0 20.0 20.0 20.0 15.4 20.0 -20.0 10.7 6.1 11.6 6.0 9.9 5.2 7.3 20.0 20.0 20.0 20.0 20.0 US10 20.0 12.3 17.7 2.8 4.2 0.3 4.5 -2.7 4.4 13.7 -2.7 14.3 -10.7 12.8 8.5 -8.4 -4.3 -8.3 -7.5 8.8 -0.2 17.4 -10.3 15.5 -2.2 9.7 4.0 4.7 1.2 5.3 -2.5 5.5 -9.1 0.7 3.6 8.4 3.3 US10U 19.2 11.3 17.7 2.8 4.2 0.3 4.5 -2.7 4.4 13.8 -2.5 14.4 -10.7 12.9 8.9 0.8 2.7 0.9 1.1 8.3 -0.4 17.3 -10.7 14.8 -5.2 -14.1 4.3 5.3 1.8 5.6 -2.0 5.6 4.3 3.1 -2.1 7.9 5.9 US20 17.7 10.2 17.0 2.8 4.2 0.3 4.5 -2.7 4.4 13.8 -0.5 14.7 -9.2 13.3 9.5 -1.1 -1.5 -3.0 -3.1 8.6 0.1 18.5 -10.5 15.0 -2.7 -12.3 4.1 6.3 1.4 6.1 -2.2 5.6 -2.7 7.6 -4.1 6.7 2.7 US30 11.9 6.3 15.9 2.8 4.2 0.3 4.5 -2.7 4.4 13.9 -0.5 14.0 -10.6 11.1 4.8 -0.2 -0.5 -0.7 -0.9 5.3 -1.7 14.7 -13.4 10.4 -7.4 10.0 4.3 7.7 1.8 6.6 -2.9 5.5 -0.0 5.8 -18.5 1.0 2.8 US5 20.0 14.4 20.0 2.8 4.2 0.3 4.5 -2.7 4.4 13.7 -2.7 14.2 -11.1 12.8 8.6 -8.6 -4.8 -9.3 -8.5 8.6 -0.3 16.7 -9.9 15.3 -0.4 10.8 3.6 4.1 0.7 4.9 -3.1 5.2 -10.4 -1.4 8.8 7.5 2.1 VIX 0.9 20.0 -1.5 -2.3 -1.9 -5.4 -1.8 -6.1 -0.8 -10.7 -11.8 -9.3 -13.0 -3.0 -5.9 -19.9 -20.0 -19.9 -20.0 -3.5 -9.2 -6.3 -11.9 -3.1 NaN -13.5 -2.6 -2.2 -7.0 -2.1 -8.6 -0.8 NaN NaN NaN NaN NaN WHEAT 7.5 -9.2 -12.8 -2.7 -4.2 -3.1 -1.2 -2.2 -1.6 -8.0 -13.5 3.8 -14.5 -8.9 -9.9 -12.6 -8.2 -11.6 -10.1 -14.2 -18.9 -4.7 -16.3 -7.5 6.8 11.9 -4.4 -4.3 -4.8 -1.9 -2.5 -2.7 -20.0 3.0 4.9 -14.3 -9.5 End of report for caleb_strategy_v1