******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230407_204642 produced at 2023-04-07 21:37:08.228973 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 9.074443e+06 -9.074443e+06 -0.17 -0.17 -18.61 999999999.0 -19 -19 caleb_strategy_v1 US10U False False 0.05 -0.05 -0.14 0.0 4.893557e+07 -4.893557e+07 -0.05 -0.05 -2.81 999999999.0 -1 -1 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.14 0.0 5.544166e+07 -5.544166e+07 -0.11 -0.11 -2.49 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.10 0.0 5.460088e+07 -5.460088e+07 -0.16 -0.16 -1.86 999999999.0 -3 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.403753e+07 -1.403753e+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 5.327006e+07 -5.327006e+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 3.815843e+07 -3.815843e+07 -0.23 -0.23 -1.64 999999999.0 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.429761e+07 -4.429761e+07 -0.09 -0.09 -1.21 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.236531e+07 -6.236531e+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 8.056354e+06 -8.056354e+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 1.142265e+07 -1.142265e+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 6.837685e+06 -6.837685e+06 0.00 0.00 -0.90 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.509899e+07 -2.509899e+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 3.511770e+06 -3.511770e+06 -0.27 -0.27 -2.63 999999999.0 -77 -77 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8.947082e+06 -8.947082e+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 5.830727e+07 -5.830727e+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 4.486763e+07 -4.486763e+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 1.848633e+07 -1.848633e+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 1.431812e+07 -1.431812e+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 1.789814e+07 -1.789814e+07 0.02 0.02 0.24 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.306959e+07 -1.306959e+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 1.119977e+06 -1.119977e+06 -0.01 -0.01 -4.42 999999999.0 -5 -5 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.562356e+07 -1.562356e+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 2.023840e+07 -2.023840e+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 9.802786e+07 -9.802786e+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 4.632991e+07 -4.632991e+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 1.683548e+07 -1.683548e+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 2.665817e+07 -2.665817e+07 0.00 0.00 0.28 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.711885e+07 -2.711885e+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 1.661061e+07 -1.661061e+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 6.694192e+06 -6.694192e+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 3.089490e+07 -3.089490e+07 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.02 0.0 4.401341e+07 -4.401341e+07 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.02 0.0 8.220231e+07 -8.220231e+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 4.413393e+06 -4.413393e+06 0.00 0.00 4.83 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.606415e+07 -2.606415e+07 0.00 0.00 0.78 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.03 0.02 0.0 8.978922e+06 -8.978922e+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 3.997431e+07 -3.997431e+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 4.356043e+07 -4.356043e+07 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.487114e+07 -2.487114e+07 0.00 0.00 0.93 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.02 0.0 2.596564e+07 -2.596564e+07 0.00 0.00 0.68 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.04 0.03 0.0 1.107938e+07 -1.107938e+07 0.04 0.04 2.28 999999999.0 4 4 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.751127e+07 -5.751127e+07 0.00 0.00 0.61 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.03 0.0 1.033277e+07 -1.033277e+07 0.03 0.03 2.62 999999999.0 3 3 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.076794e+07 -1.076794e+07 0.00 0.00 2.60 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.04 0.0 3.185157e+07 -3.185157e+07 0.00 0.00 1.11 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.22 0.05 0.0 3.102673e+07 -3.102673e+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 2.957751e+07 -2.957751e+07 0.00 0.00 1.82 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.06 0.0 1.047820e+08 -1.047820e+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 5.051599e+07 -5.051599e+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 3.049888e+07 -3.049888e+07 0.15 0.15 2.21 999999999.0 5 5 caleb_strategy_v1 OAT False False 0.06 0.06 0.07 0.0 5.712694e+07 -5.712694e+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 31.11 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.30 0.26 0.0 5.963754e+07 -5.963754e+07 0.30 0.30 4.39 999999999.0 5 5 caleb_strategy_v1 BOBL False False 0.05 0.10 0.33 0.0 5.157583e+07 -5.157583e+07 0.10 0.10 6.36 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 39.3 Sum abs risk 44.6 Leverage 2.77 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2512551.0, 'annual_cash_vol_target': 628137.75, 'daily_cash_vol_target': 39258.609375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6698 0.7557 12.0916 BITCOIN 1002.2301 28140.0000 3.5616 56.9854 BOBL 0.5304 118.7400 0.4467 7.1464 BTP 0.7760 116.3000 0.6672 10.6754 BUND 0.9554 137.3000 0.6958 11.1330 BUXL 2.1703 143.5800 1.5116 24.1848 CAC 72.4874 7333.0000 0.9885 15.8162 CAD 0.0032 0.7432 0.4268 6.8287 CANOLA 8.5762 748.0000 1.1465 18.3447 CHF 0.0059 1.1144 0.5314 8.5021 COCOA 34.7302 2870.0000 1.2101 19.3618 COFFEE 3.3756 181.7000 1.8578 29.7247 COPPER 0.0484 4.0175 1.2035 19.2565 CORN 4.6405 556.7500 0.8335 13.3361 COTTON2 1.4507 83.4700 1.7380 27.8072 CRUDE_W 1.3486 76.6300 1.7599 28.1577 DAX 161.4746 15742.0000 1.0258 16.4121 DOW 260.0204 33639.0000 0.7730 12.3676 EUR 0.0059 1.0975 0.5355 8.5674 EUROSTX 47.7471 4256.0000 1.1219 17.9500 FEEDCOW 1.3933 222.6000 0.6259 10.0151 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.3551 776.2500 2.1069 33.7109 GASOILINE 0.0460 2.6841 1.7138 27.4204 GAS_US 0.1167 2.2480 5.1926 83.0821 GBP 0.0075 1.2473 0.6050 9.6798 GOLD_micro 19.6362 2024.2000 0.9701 15.5212 HEATOIL 0.0452 2.6059 1.7355 27.7675 JPY 0.0001 0.0077 0.6785 10.8559 LEANHOG 1.3378 88.1750 1.5172 24.2747 LIVECOW 1.0538 163.1000 0.6461 10.3379 MXP 0.0005 0.0541 0.8515 13.6247 NASDAQ 131.0507 13163.5000 0.9956 15.9290 NIKKEI 261.6933 27645.0000 0.9466 15.1459 NZD 0.0046 0.6249 0.7427 11.8827 OAT 0.8742 131.5200 0.6647 10.6345 OJ 4.5990 261.7000 1.7573 28.1174 PALLAD 30.3699 1465.0000 2.0730 33.1685 PLAT 17.0829 1017.0000 1.6797 26.8758 REDWHEAT 11.1441 846.0000 1.3173 21.0764 ROBUSTA 28.5859 2256.0000 1.2671 20.2737 RUSSELL 23.0418 1764.7000 1.3057 20.8913 SILVER-mini 0.3981 25.2250 1.5781 25.2498 SOYBEAN 11.3791 1309.7500 0.8688 13.9008 SOYMEAL 5.4369 449.7000 1.2090 19.3441 SOYOIL 0.8827 54.7300 1.6129 25.8065 SP400 29.3013 2463.0000 1.1897 19.0345 SP500 34.4569 4130.7500 0.8342 13.3465 SUGAR11 0.2972 23.1800 1.2823 20.5167 US10 0.6174 116.4062 0.5304 8.4862 US10U 0.7890 122.9531 0.6417 10.2678 US20 1.0685 133.8438 0.7983 12.7733 US30 1.5174 144.5000 1.0501 16.8019 US5 0.4690 110.5859 0.4241 6.7854 VIX 0.7585 22.8000 3.3268 53.2291 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 669.80 0.76 506.19 1.00 506.19 39258.61 77.56 2.22 17.23 BITCOIN 28.14 3.56 100.22 1.00 100.22 39258.61 391.71 -4.79 -187.47 BOBL 1187.40 0.45 530.35 1.09 580.02 39258.61 67.68 13.02 88.15 BTP 1163.00 0.67 775.97 1.09 848.64 39258.61 46.26 11.85 54.82 BUND 1373.00 0.70 955.35 1.09 1044.82 39258.61 37.57 16.19 60.83 BUXL 1435.80 1.51 2170.29 1.09 2373.53 39258.61 16.54 -3.14 -5.20 CAC 733.30 0.99 724.87 1.09 792.76 39258.61 49.52 7.98 39.53 CAD 743.15 0.43 317.17 1.00 317.17 39258.61 123.78 8.21 101.65 CANOLA 149.60 1.15 171.52 0.74 127.29 39258.61 308.43 17.06 526.30 CHF 1393.00 0.53 740.21 1.00 740.21 39258.61 53.04 -12.56 -66.62 COCOA 287.00 1.21 347.30 1.00 347.30 39258.61 113.04 -7.62 -86.14 COFFEE 681.38 1.86 1265.85 1.00 1265.85 39258.61 31.01 7.99 24.77 COPPER 1004.38 1.20 1208.80 1.00 1208.80 39258.61 32.48 4.39 14.25 CORN 278.38 0.83 232.03 1.00 232.03 39258.61 169.20 14.92 252.38 COTTON2 417.35 1.74 725.33 1.00 725.33 39258.61 54.12 10.10 54.65 CRUDE_W 766.30 1.76 1348.58 1.00 1348.58 39258.61 29.11 5.75 16.73 DAX 157.42 1.03 161.47 1.09 176.60 39258.61 222.31 -0.74 -16.52 DOW 168.20 0.77 130.01 1.00 130.01 39258.61 301.97 2.60 78.43 EUR 1371.88 0.54 734.58 1.00 734.58 39258.61 53.44 -9.31 -49.77 EUROSTX 425.60 1.12 477.47 1.09 522.19 39258.61 75.18 0.70 5.24 FEEDCOW 1113.00 0.63 696.67 1.00 696.67 39258.61 56.35 -7.96 -44.85 FTSE100 707.00 0.82 576.59 1.25 666.67 39258.61 58.89 7.70 45.33 GASOIL 776.25 2.11 1635.51 1.00 1635.51 39258.61 24.00 4.16 10.00 GASOILINE 1127.32 1.71 1931.97 1.00 1931.97 39258.61 20.32 -0.65 -1.32 GAS_US 224.80 5.19 1167.30 1.00 1167.30 39258.61 33.63 -19.66 -66.13 GBP 779.56 0.60 471.63 1.00 471.63 39258.61 83.24 10.04 83.56 GOLD_micro 202.42 0.97 196.36 1.00 196.36 39258.61 199.93 -7.50 -150.02 HEATOIL 1094.48 1.74 1899.43 1.00 1899.43 39258.61 20.67 3.71 7.67 JPY 958.75 0.68 650.51 1.00 650.51 39258.61 60.35 -4.20 -25.36 LEANHOG 352.70 1.52 535.11 1.00 535.11 39258.61 73.37 -19.47 -142.87 LIVECOW 652.40 0.65 421.53 1.00 421.53 39258.61 93.13 2.71 25.28 MXP 270.55 0.85 230.39 1.00 230.39 39258.61 170.40 12.46 212.30 NASDAQ 2632.70 1.00 2621.01 1.00 2621.01 39258.61 14.98 6.86 10.27 NIKKEI 27645.00 0.95 26169.33 0.01 198.98 39258.61 197.30 8.30 163.80 NZD 624.90 0.74 464.09 1.00 464.09 39258.61 84.59 6.88 58.18 OAT 1315.20 0.66 874.16 1.09 956.02 39258.61 41.06 15.12 62.09 OJ 392.55 1.76 689.84 1.00 689.84 39258.61 56.91 -3.14 -17.88 PALLAD 1465.00 2.07 3036.99 1.00 3036.99 39258.61 12.93 -4.70 -6.08 PLAT 508.50 1.68 854.15 1.00 854.15 39258.61 45.96 4.94 22.69 REDWHEAT 423.00 1.32 557.21 1.00 557.21 39258.61 70.46 8.30 58.46 ROBUSTA 225.60 1.27 285.86 1.00 285.86 39258.61 137.34 12.41 170.44 RUSSELL 88.24 1.31 115.21 1.00 115.21 39258.61 340.76 -1.49 -50.75 SILVER-mini 630.62 1.58 995.20 1.00 995.20 39258.61 39.45 -4.92 -19.42 SOYBEAN 654.88 0.87 568.95 1.00 568.95 39258.61 69.00 1.91 13.18 SOYMEAL 449.70 1.21 543.69 1.00 543.69 39258.61 72.21 0.55 4.00 SOYOIL 328.38 1.61 529.65 1.00 529.65 39258.61 74.12 3.22 23.89 SP400 2463.00 1.19 2930.13 1.00 2930.13 39258.61 13.40 0.82 1.09 SP500 2065.38 0.83 1722.84 1.00 1722.84 39258.61 22.79 4.13 9.40 SUGAR11 259.62 1.28 332.90 1.00 332.90 39258.61 117.93 16.39 193.33 US10 1164.06 0.53 617.41 1.00 617.41 39258.61 63.59 0.91 5.80 US10U 1229.53 0.64 789.03 1.00 789.03 39258.61 49.76 -3.88 -19.31 US20 1338.44 0.80 1068.52 1.00 1068.52 39258.61 36.74 -5.57 -20.48 US30 1445.00 1.05 1517.42 1.00 1517.42 39258.61 25.87 2.80 7.23 US5 1105.86 0.42 468.98 1.00 468.98 39258.61 83.71 1.30 10.86 VIX 228.00 3.33 758.51 1.00 758.51 39258.61 51.76 -19.08 -98.73 WHEAT 359.75 1.37 492.73 1.00 492.73 39258.61 79.68 -7.12 -56.74 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 17.231 0.006 2.5 0.275 BITCOIN -187.466 0.009 2.5 -4.417 BOBL 88.147 0.029 2.5 6.360 BTP 54.823 0.008 2.5 1.107 BUND 60.829 0.029 2.5 4.389 BUXL -5.197 0.034 2.5 -0.436 CAC 39.531 0.011 2.5 1.111 CAD 101.654 0.007 2.5 1.815 CANOLA 526.299 0.004 2.5 4.831 CHF -66.617 0.015 2.5 -2.493 COCOA -86.136 0.009 2.5 -1.876 COFFEE 24.770 0.005 2.5 0.321 COPPER 14.250 0.011 2.5 0.389 CORN 252.381 0.004 2.5 2.276 COTTON2 54.650 0.006 2.5 0.823 CRUDE_W 16.731 0.053 2.5 2.210 DAX -16.522 0.022 2.5 -0.897 DOW 78.430 0.011 2.5 2.235 EUR -49.768 0.015 2.5 -1.863 EUROSTX 5.239 0.011 2.5 0.147 FEEDCOW -44.849 0.011 2.5 -1.205 FTSE100 45.330 0.041 2.5 4.673 GASOIL 9.998 0.029 2.5 0.713 GASOILINE -1.324 0.016 2.5 -0.054 GAS_US -66.131 0.006 2.5 -0.996 GBP 83.564 0.007 2.5 1.492 GOLD_micro -150.018 0.009 2.5 -3.357 HEATOIL 7.671 0.029 2.5 0.547 JPY -25.365 0.026 2.5 -1.642 LEANHOG -142.874 0.019 2.5 -6.675 LIVECOW 25.280 0.011 2.5 0.679 MXP 212.301 0.005 2.5 2.599 NASDAQ 10.272 0.022 2.5 0.558 NIKKEI 163.801 0.076 2.5 31.111 NZD 58.179 0.006 2.5 0.930 OAT 62.090 0.008 2.5 1.254 OJ -17.877 0.007 2.5 -0.312 PALLAD -6.077 0.010 2.5 -0.146 PLAT 22.695 0.010 2.5 0.546 REDWHEAT 58.458 0.002 2.5 0.312 ROBUSTA 170.443 0.005 2.5 2.210 RUSSELL -50.755 0.021 2.5 -2.629 SILVER-mini -19.423 0.009 2.5 -0.435 SOYBEAN 13.176 0.024 2.5 0.777 SOYMEAL 4.002 0.024 2.5 0.236 SOYOIL 23.892 0.004 2.5 0.219 SP400 1.094 0.021 2.5 0.057 SP500 9.403 0.011 2.5 0.268 SUGAR11 193.334 0.005 2.5 2.623 US10 5.802 0.015 2.5 0.223 US10U -19.309 0.058 2.5 -2.813 US20 -20.476 0.029 2.5 -1.509 US30 7.234 0.034 2.5 0.607 US5 10.856 0.015 2.5 0.416 VIX -98.732 0.075 2.5 -18.606 WHEAT -56.738 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 2.83 CHF 1.98 COCOA 2.46 COFFEE 0.40 COPPER 0.89 CORN 1.53 COTTON2 0.81 CRUDE_W 3.85 DAX 12.07 DOW 8.61 EUR 2.00 EUROSTX 2.11 FEEDCOW 1.51 FTSE100 6.07 GASOIL 1.71 GASOILINE 0.83 GAS_US 0.51 GBP 1.49 GOLD_micro 4.47 HEATOIL 1.47 JPY 3.91 LEANHOG 3.43 LIVECOW 2.50 MXP 2.09 NASDAQ 0.81 NIKKEI 37.47 NZD 1.35 OAT 0.83 OJ 0.99 PALLAD 0.31 PLAT 1.11 REDWHEAT 0.38 ROBUSTA 1.78 RUSSELL 17.65 SILVER-mini 0.88 SOYBEAN 4.07 SOYMEAL 4.26 SOYOIL 0.68 SP400 0.69 SP500 0.65 SUGAR11 1.60 US10 2.44 US10U 7.25 US20 2.71 US30 2.17 US5 3.21 VIX 9.75 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 6.4 5.9 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 -0.9 -2.1 0.3 0.0 0 DOW 2.2 1.4 3.1 0.0 0 EUR -1.9 -2.1 -1.7 -3.0 -3 EUROSTX 0.1 -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 0.5 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 27.4 34.9 0.0 0 NZD 0.9 0.8 1.1 0.0 0 OAT 1.3 1.2 1.3 1.0 1 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -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 -0.9 -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 2.5 2.8 3.0 3 US10 0.2 -0.0 0.5 NaN 0 US10U -2.8 -3.5 -2.1 -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 0.7 0.0 0 VIX -18.6 -19.6 -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 0.0 0.0 0.3 0.0 0.3 0.0 0.3 1.0 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 -0.9 -0.6 -0.3 -0.3 0.1 0.1 0.0 0.0 0.0 -0.8 -2.4 0.0 0.0 0.0 0.0 0.0 0.0 -2.5 0.0 0.1 0.1 0.0 COCOA 0.2 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 0.1 -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 0.0 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 -0.1 -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 -0.1 -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 0.1 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 0.0 -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 -0.2 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 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.0 -0.2 0.0 0.1 -0.6 -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 0.3 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 0.0 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 -0.2 -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 4.1 1.3 6.1 -1.2 4.5 -4.4 1.5 4.1 -4.6 -7.9 -9.5 -3.4 -2.9 -3.5 -3.3 -6.4 -4.4 0.8 -5.2 -3.2 8.9 11.7 -3.0 -1.4 -2.3 0.6 -2.7 -1.3 -1.0 -14.2 -17.5 -18.4 -10.1 BITCOIN 16.2 8.6 20.0 3.2 4.8 2.2 6.3 1.7 5.4 4.5 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 0.3 3.9 2.6 0.8 4.5 0.9 -17.8 -3.0 11.5 20.0 BOBL 16.5 20.0 19.3 2.8 4.1 0.3 4.5 -2.7 4.4 4.5 -9.1 9.2 -12.9 9.4 3.7 6.5 5.2 0.9 2.0 3.7 -5.3 8.0 -13.5 8.6 11.8 10.8 2.4 2.7 -1.3 3.2 -5.7 4.0 8.0 -5.1 4.1 -0.9 -9.7 BTP 12.4 6.0 12.7 2.8 4.1 0.3 4.5 -2.7 4.4 10.6 4.0 11.9 -8.8 10.9 8.4 8.3 12.1 8.9 10.8 8.0 2.5 8.7 -9.2 9.6 -10.6 11.4 4.7 4.4 2.4 4.0 -3.7 4.7 20.0 -4.2 -20.0 1.4 2.2 BUND 14.8 14.1 15.4 2.8 4.1 0.3 4.5 -2.7 4.4 5.8 -9.5 8.8 -13.0 8.6 1.4 6.7 13.5 8.9 11.0 2.9 -5.9 7.9 -15.1 7.8 8.9 12.3 2.6 3.3 -1.0 3.5 -6.0 4.1 20.0 -4.7 -7.2 -1.1 -7.7 BUXL 10.4 11.6 7.4 2.8 4.1 0.3 4.5 -2.7 4.4 2.7 -9.7 2.9 -13.2 5.1 -4.6 2.1 0.8 2.5 2.6 -0.6 -8.1 4.1 -16.4 3.6 7.0 -10.8 1.4 2.7 -2.0 2.6 -6.5 3.0 4.3 -9.7 -17.9 -4.7 -15.9 CAC -0.3 -19.5 14.1 1.6 3.9 1.7 5.8 0.8 3.3 11.9 14.2 12.9 11.5 8.6 11.3 11.6 1.3 0.7 -0.3 9.1 14.4 12.8 14.1 8.4 -15.6 8.9 2.2 3.6 5.0 4.0 5.2 1.6 8.2 -11.8 -15.6 5.4 6.5 CAD 16.7 -6.0 -0.3 2.2 4.1 1.3 6.1 -1.2 4.5 9.7 -8.2 12.5 -10.3 2.8 -2.0 -2.7 -1.8 -2.5 -2.2 -1.3 -7.0 16.4 -11.1 8.7 17.3 10.4 -0.4 5.1 -2.6 7.3 -4.3 3.9 1.0 16.9 -1.0 -5.9 -8.5 CANOLA -4.3 -13.6 -18.2 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 5.5 -9.6 0.5 -11.8 -5.9 -10.0 20.0 14.0 17.0 14.0 -20.0 -19.6 -2.9 -11.0 -15.2 14.8 13.2 -5.3 -0.3 -4.4 -1.2 -2.3 -3.9 11.6 20.0 -20.0 -20.0 -20.0 CHF 11.3 -4.6 6.5 2.2 4.1 1.3 6.1 -1.2 4.5 13.8 11.3 13.7 4.1 10.8 6.4 -12.6 -13.7 -13.7 -14.1 7.4 6.0 15.7 2.8 11.9 -5.8 -11.5 3.7 7.6 2.8 7.6 0.2 5.8 -19.5 0.3 5.8 5.5 1.2 COCOA 17.1 9.0 16.5 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 4.4 13.9 13.9 5.1 14.0 13.7 4.5 -1.4 2.0 0.5 18.7 15.8 14.4 8.9 19.3 -20.0 -10.4 5.7 1.4 5.2 4.1 3.3 5.5 -12.1 0.3 20.0 20.0 20.0 COFFEE -5.4 6.6 10.1 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 12.5 -5.5 6.1 -7.6 -6.4 5.8 4.3 3.3 3.2 3.3 1.0 -3.1 7.1 -7.8 0.7 11.1 10.0 0.1 11.1 -1.4 4.3 -3.3 0.2 -5.4 2.3 4.0 5.4 13.4 COPPER -0.0 -11.8 16.5 3.2 4.8 2.2 6.3 1.7 5.4 -7.6 8.7 3.1 -1.7 -1.4 2.9 -0.8 -0.5 -0.8 -0.8 2.4 6.7 -4.3 3.4 -1.1 -1.4 11.1 -1.0 -4.1 1.4 -2.7 1.7 -1.8 2.9 -20.0 -20.0 -17.3 -2.7 CORN 11.0 -16.7 -20.0 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 -9.8 -7.7 -1.8 -2.2 -9.5 -12.1 15.9 19.5 19.7 20.0 -14.6 -14.0 -6.5 -2.8 -8.5 9.3 11.0 -5.0 -4.1 -5.5 -1.9 -2.3 -2.6 20.0 -1.3 3.3 -20.0 -20.0 COTTON2 1.5 -1.1 -1.8 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 9.6 -10.2 7.9 -11.2 -1.0 -5.5 -2.9 8.2 -2.8 0.9 -5.5 -9.9 5.6 -10.5 -0.1 13.0 12.0 -2.7 4.0 -3.2 2.8 -1.3 -0.2 -3.0 12.5 -2.2 -7.7 0.7 CRUDE_W 6.9 -5.9 -6.1 -2.1 5.7 -2.3 4.9 1.0 0.6 12.3 -1.3 11.8 -2.0 6.0 -0.6 7.9 11.2 8.0 8.9 -1.5 -4.0 20.0 0.3 9.5 -8.8 10.8 -0.5 7.8 -0.9 8.3 1.5 3.4 -1.0 20.0 9.1 1.0 1.3 DAX -1.3 -19.4 15.5 1.6 3.9 1.7 5.8 0.8 3.3 11.1 14.3 11.4 6.7 8.3 11.1 -6.2 -5.7 -7.7 -7.3 7.4 12.0 10.8 9.6 6.9 -18.9 9.9 2.3 3.5 5.3 3.8 4.3 1.6 -3.6 -14.2 -16.0 1.0 4.6 DOW 14.0 -16.0 -2.5 1.6 3.9 1.7 5.8 0.8 3.3 11.3 5.9 11.7 0.6 0.2 -4.4 -6.8 -4.9 -7.0 -6.5 -2.2 -2.0 18.4 -0.2 7.6 -0.5 10.8 0.9 7.0 0.9 8.4 1.2 4.3 -2.3 5.0 6.6 0.4 -11.1 EUR 15.0 -5.7 15.0 2.2 4.1 1.3 6.1 -1.2 4.5 9.9 10.9 13.4 -0.9 10.4 4.8 -6.2 -8.4 -7.2 -7.9 9.0 7.8 13.5 0.4 12.5 -11.3 -11.1 4.1 4.1 3.5 6.2 -0.6 5.6 -9.7 -6.3 1.9 3.8 7.2 EUROSTX 1.6 -18.9 14.0 1.6 3.9 1.7 5.8 0.8 3.3 12.5 14.7 13.6 11.3 11.1 12.4 -0.7 5.4 4.3 5.4 9.2 13.7 12.7 12.4 9.1 -18.7 -8.5 2.7 4.1 5.6 4.7 5.5 2.4 16.8 -13.6 -11.7 4.1 3.8 FEEDCOW 1.1 18.0 14.7 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 11.1 11.4 10.8 7.8 12.5 12.8 -20.0 -20.0 -20.0 -20.0 19.7 15.2 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 18.5 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 -1.1 -7.0 -10.4 -2.1 5.7 -2.3 4.9 1.0 0.6 4.3 -11.5 1.9 6.3 -6.0 -10.9 20.0 20.0 20.0 20.0 -8.6 -7.6 4.1 3.8 -3.1 0.0 -15.4 -4.0 3.3 -4.5 2.9 -0.1 -0.8 20.0 -4.7 -1.8 -5.4 -11.0 GASOILINE 7.1 -1.4 3.0 -2.1 5.7 -2.3 4.9 1.0 0.6 13.7 4.1 12.9 2.4 7.7 7.0 20.0 13.1 11.8 8.6 5.1 2.7 20.0 6.5 12.5 -16.7 -13.1 2.7 9.1 2.9 9.2 6.0 5.3 -0.1 17.2 15.9 8.7 20.0 GAS_US -9.1 -2.4 -20.0 -2.1 5.7 -2.3 4.9 1.0 0.6 -12.7 -16.5 -15.1 -13.8 -15.6 -16.5 -20.0 -10.8 -20.0 -14.9 -20.0 -20.0 -15.8 -20.0 -20.0 14.4 -9.3 -6.2 -4.3 -6.6 -5.3 -3.2 -5.7 -20.0 -20.0 -20.0 -7.5 -20.0 GBP 18.5 3.3 9.6 2.2 4.1 1.3 6.1 -1.2 4.5 10.0 12.6 14.1 -1.5 13.2 8.9 -1.4 -1.9 -1.9 -2.0 10.3 5.9 16.5 -2.3 15.5 8.0 9.4 3.7 4.9 0.6 7.2 -4.1 6.5 1.0 1.6 9.0 10.9 -3.2 GOLD_micro 20.0 3.6 15.6 3.2 4.8 2.2 6.3 1.7 5.4 9.4 11.5 13.8 1.1 13.5 11.8 -10.6 -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 -7.9 18.4 16.6 13.5 HEATOIL -1.5 -12.2 -11.9 -2.1 5.7 -2.3 4.9 1.0 0.6 8.5 -10.9 5.4 5.3 -5.0 -10.7 19.8 20.0 20.0 20.0 -10.3 -9.3 8.9 3.7 -2.2 -7.2 -13.6 -3.4 4.4 -2.5 4.0 3.6 -0.4 20.0 -1.2 0.6 -8.8 -3.7 JPY 14.0 -5.7 7.3 2.2 4.1 1.3 6.1 -1.2 4.5 -1.4 6.2 7.4 -6.6 6.0 -1.3 -14.5 -12.6 -14.2 -13.8 2.9 1.7 3.9 -7.1 4.5 2.1 9.9 1.8 0.8 0.8 1.9 -4.5 2.4 -18.3 -20.0 -0.7 -3.1 1.9 LEANHOG -20.0 -19.7 -20.0 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 -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 -3.7 -5.0 -4.4 -2.9 -5.5 -20.0 -18.3 -20.0 -20.0 -20.0 LIVECOW 0.0 -7.9 4.8 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 11.5 11.4 10.8 8.5 7.7 8.0 20.0 -8.2 20.0 13.6 5.8 6.8 17.8 5.9 10.1 -20.0 12.0 2.6 9.8 3.5 8.0 3.9 4.4 -10.8 20.0 9.5 9.2 20.0 MXP 3.2 -6.8 5.2 2.2 4.1 1.3 6.1 -1.2 4.5 3.1 14.1 10.4 15.0 10.4 12.6 16.6 20.0 18.7 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 2.0 -20.0 20.0 20.0 NASDAQ 20.0 11.8 20.0 1.6 3.9 1.7 5.8 0.8 3.3 6.3 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 1.8 4.3 4.7 1.6 5.9 -2.6 -11.7 20.0 20.0 18.2 NIKKEI 3.5 4.4 6.6 1.6 3.9 1.7 5.8 0.8 3.3 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 -10.0 -11.0 13.1 -8.1 NZD 9.5 -9.9 4.2 2.2 4.1 1.3 6.1 -1.2 4.5 4.0 7.6 11.0 -1.4 2.2 -4.7 1.0 0.5 0.6 0.4 -0.3 0.2 5.9 -2.6 3.2 1.4 10.8 0.0 0.2 0.0 3.5 -1.8 2.1 5.1 -12.3 -7.6 -6.5 -7.6 OAT 15.1 7.9 9.5 2.8 4.1 0.3 4.5 -2.7 4.4 7.3 -8.6 10.5 -12.8 8.7 -0.9 9.6 11.9 10.1 11.2 2.0 -5.9 8.4 -14.6 7.4 5.7 12.7 2.4 3.9 -1.2 3.9 -6.9 4.1 20.0 -3.8 -12.4 -4.1 -9.5 OJ 17.0 5.2 -5.6 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 9.0 15.1 13.9 15.2 14.8 14.4 20.0 18.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.2 3.4 7.1 5.3 7.2 5.6 20.0 20.0 20.0 20.0 20.0 PALLAD 8.9 -9.9 -20.0 3.2 4.8 2.2 6.3 1.7 5.4 9.3 -15.0 3.6 -14.4 -6.0 -12.7 -2.4 -2.1 -2.6 -2.5 -16.9 -20.0 3.6 -20.0 -3.4 20.0 -11.1 -4.5 1.8 -6.7 1.5 -5.9 -0.6 0.0 -9.9 -20.0 -20.0 -20.0 PLAT 9.3 -0.8 -4.1 3.2 4.8 2.2 6.3 1.7 5.4 7.4 3.5 9.2 0.5 9.1 -3.4 -2.3 -1.3 -2.1 -1.7 1.3 0.6 9.3 1.2 6.2 1.2 11.2 -0.4 5.3 -0.5 5.3 -0.1 2.8 1.4 -8.1 -20.0 -10.8 -16.5 REDWHEAT 20.0 -1.3 -5.7 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 1.1 -9.0 11.7 -10.8 5.4 1.8 13.7 5.1 10.7 8.3 0.4 -7.6 9.0 -7.5 9.1 -2.1 12.9 0.6 -1.1 -1.5 3.5 -0.1 3.7 -0.2 15.5 20.0 2.6 0.6 ROBUSTA 4.0 12.8 20.0 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 11.6 7.2 14.3 3.2 13.8 14.2 12.1 9.6 10.3 10.2 19.3 14.1 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 3.9 1.7 5.8 0.8 3.3 -6.3 -4.6 -6.9 -9.1 -11.9 -10.7 -5.0 -4.2 -5.4 -5.2 -12.0 -6.5 -6.2 -5.5 -11.7 2.5 10.0 -2.8 -2.6 -0.5 -2.1 0.1 -3.5 -0.5 -20.0 -20.0 -18.3 -8.0 SILVER-mini 20.0 0.6 1.6 3.2 4.8 2.2 6.3 1.7 5.4 12.2 8.1 15.4 -0.6 13.3 7.1 -5.5 -4.7 -5.6 -5.4 12.8 5.8 20.0 1.9 20.0 -1.6 -11.3 3.0 6.7 1.1 8.4 -0.2 6.7 -4.7 20.0 20.0 4.3 -8.5 SOYBEAN -11.3 -16.2 -14.8 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 5.0 -3.9 0.5 -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 -15.9 SOYMEAL -20.0 -17.0 9.6 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 -1.1 10.8 -3.8 12.6 -4.4 1.7 12.4 17.9 17.2 18.4 0.5 11.7 -6.7 16.4 -7.2 -20.0 -12.0 -1.1 -3.0 4.1 -3.1 7.7 -3.8 20.0 2.7 -20.0 -8.0 17.2 SOYOIL -2.1 -13.7 -19.7 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 0.2 -10.6 -1.1 -2.2 -7.9 -11.5 -1.1 12.3 1.6 6.2 -17.9 -14.8 -6.1 -4.8 -13.6 3.3 12.9 -5.6 -1.7 -4.5 -2.0 -1.1 -4.2 5.1 1.6 -20.0 -20.0 -20.0 SP400 -6.6 -20.0 3.7 1.6 3.9 1.7 5.8 0.8 3.3 -1.3 1.7 -0.5 -1.8 -8.3 -8.1 -4.8 -4.0 -5.3 -4.9 -9.3 -2.9 -1.7 -0.1 -8.1 -1.1 10.2 -2.5 -1.6 -0.2 -0.8 1.0 -2.7 -0.0 -16.6 -20.0 -19.4 -8.9 SP500 14.4 -6.1 7.5 1.6 3.9 1.7 5.8 0.8 3.3 9.5 2.3 12.6 -6.2 5.2 4.1 -7.3 -5.7 -7.3 -6.7 4.6 1.6 16.9 -2.7 11.3 1.7 10.2 3.6 5.2 2.6 7.7 0.5 5.8 -3.0 -0.7 12.3 6.6 0.2 SUGAR11 12.5 10.9 14.3 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 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 15.5 20.0 -20.0 10.7 6.1 11.5 6.0 9.8 5.3 7.3 20.0 20.0 20.0 20.0 20.0 US10 20.0 12.3 17.7 2.8 4.1 0.3 4.5 -2.7 4.4 13.7 -2.7 14.3 -10.8 12.8 8.5 -8.4 -4.3 -8.3 -7.5 8.7 -0.3 16.8 -10.3 15.3 -2.2 9.7 4.0 4.4 1.2 5.1 -2.5 5.4 -9.1 0.1 3.4 8.3 3.3 US10U 19.1 11.2 17.7 2.8 4.1 0.3 4.5 -2.7 4.4 13.8 -2.5 14.4 -10.7 12.9 8.9 0.0 2.5 0.6 0.9 8.2 -0.4 16.8 -10.7 14.6 -5.2 -14.1 4.3 5.0 1.8 5.5 -2.0 5.6 4.1 2.7 -2.3 7.9 5.9 US20 17.6 10.1 17.0 2.8 4.1 0.3 4.5 -2.7 4.4 13.8 -0.6 14.7 -9.2 13.3 9.5 -1.0 -1.5 -3.0 -3.1 8.5 0.1 18.0 -10.5 14.8 -2.7 -12.3 4.1 5.9 1.4 6.0 -2.3 5.6 -2.7 7.1 -4.3 6.6 2.7 US30 11.8 6.3 15.8 2.8 4.1 0.3 4.5 -2.7 4.4 13.9 -0.5 14.0 -10.6 11.1 4.7 -0.4 -0.5 -0.8 -0.9 5.2 -1.8 14.1 -13.4 10.2 -7.4 10.0 4.2 7.0 1.8 6.4 -2.9 5.4 -0.0 5.0 -18.8 0.9 2.8 US5 20.0 14.4 20.0 2.8 4.1 0.3 4.5 -2.7 4.4 13.3 -2.8 14.1 -11.1 12.7 8.6 -8.8 -4.9 -9.4 -8.5 8.5 -0.3 16.2 -9.9 15.1 -0.4 10.8 3.6 3.8 0.7 4.8 -3.1 5.2 -10.4 -1.8 8.7 7.5 2.0 VIX 1.0 20.0 -1.6 -2.3 -1.5 -5.4 -1.6 -6.1 -0.7 -9.8 -11.8 -9.0 -13.0 -2.9 -5.9 -19.9 -20.0 -19.9 -20.0 -3.5 -9.2 -5.9 -12.0 -2.9 NaN -13.5 -2.6 -1.8 -7.0 -1.9 -8.6 -0.7 NaN NaN NaN NaN NaN WHEAT 7.5 -9.2 -12.8 -2.6 -3.7 -3.1 -0.9 -2.2 -1.5 -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 2.5 4.8 -14.3 -9.5 End of report for caleb_strategy_v1