******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230410_204640 produced at 2023-04-10 21:37:15.534592 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 8.882374e+06 -8.882374e+06 -0.17 -0.17 -18.78 999999999.0 -19 -19 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.14 0.0 5.478041e+07 -5.478041e+07 -0.11 -0.11 -2.61 999999999.0 -2 -2 caleb_strategy_v1 US10U False False 0.05 -0.05 -0.14 0.0 4.823238e+07 -4.823238e+07 -0.05 -0.05 -2.85 999999999.0 -1 -1 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.10 0.0 5.391492e+07 -5.391492e+07 -0.16 -0.16 -1.92 999999999.0 -3 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.411684e+07 -1.411684e+07 -0.10 -0.10 -6.71 999999999.0 -7 -7 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.246091e+07 -5.246091e+07 0.00 0.00 -1.51 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.04 -0.22 -0.07 0.0 3.740390e+07 -3.740390e+07 -0.22 -0.22 -1.91 999999999.0 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.407062e+07 -4.407062e+07 -0.09 -0.09 -1.23 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.192032e+07 -6.192032e+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 7.934789e+06 -7.934789e+06 -0.02 -0.02 -3.62 999999999.0 -2 -2 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.129189e+07 -1.129189e+07 -0.06 -0.06 -1.92 999999999.0 -5 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.281982e+06 -9.281982e+06 -0.01 -0.01 -0.99 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.572714e+07 -1.572714e+07 0.00 0.00 -0.33 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 2.491368e+07 -2.491368e+07 0.00 0.00 -0.45 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.27 -0.01 0.0 3.528419e+06 -3.528419e+06 -0.27 -0.27 -2.11 999999999.0 -77 -77 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.01 0.0 1.167765e+06 -1.167765e+06 -0.01 -0.01 -4.47 999999999.0 -5 -5 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.552968e+07 -5.552968e+07 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.788896e+06 -6.788896e+06 0.00 0.00 -0.90 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.00 0.0 4.477548e+07 -4.477548e+07 0.00 0.00 -0.03 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.00 0.0 1.430280e+07 -1.430280e+07 -0.01 -0.01 -0.32 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.00 0.0 1.774497e+07 -1.774497e+07 0.02 0.02 0.03 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.300902e+07 -1.300902e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.04 0.00 0.0 1.835443e+07 -1.835443e+07 0.04 0.04 0.15 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.984390e+07 -1.984390e+07 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.49 0.01 0.0 9.850533e+07 -9.850533e+07 0.49 0.49 0.09 999999999.0 5 5 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.571010e+07 -4.571010e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.01 0.0 1.698828e+07 -1.698828e+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 2.634247e+07 -2.634247e+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 2.682517e+07 -2.682517e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.634436e+07 -1.634436e+07 0.02 0.02 0.87 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 3.064320e+07 -3.064320e+07 0.00 0.00 0.79 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.02 0.0 4.349693e+07 -4.349693e+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 8.169213e+07 -8.169213e+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 4.420101e+06 -4.420101e+06 0.00 0.00 4.99 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.594484e+07 -2.594484e+07 0.00 0.00 0.86 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.03 0.02 0.0 8.925896e+06 -8.925896e+06 0.03 0.03 2.22 999999999.0 3 3 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.952063e+07 -3.952063e+07 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.338793e+07 -4.338793e+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 2.457391e+07 -2.457391e+07 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.668309e+06 -6.668309e+06 0.00 0.00 2.30 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.04 0.03 0.0 1.114748e+07 -1.114748e+07 0.04 0.04 2.33 999999999.0 4 4 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.03 0.0 1.026731e+07 -1.026731e+07 0.03 0.03 2.64 999999999.0 3 3 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.03 0.0 2.589539e+07 -2.589539e+07 0.00 0.00 1.01 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.075183e+07 -1.075183e+07 0.00 0.00 2.64 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.04 0.0 5.641742e+07 -5.641742e+07 0.00 0.00 0.65 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.04 0.0 3.162430e+07 -3.162430e+07 0.00 0.00 1.12 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.21 0.04 0.0 3.066051e+07 -3.066051e+07 0.21 0.21 1.45 999999999.0 7 7 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.931975e+07 -2.931975e+07 0.00 0.00 1.86 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.06 0.0 1.040702e+08 -1.040702e+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 5.015554e+07 -5.015554e+07 0.05 0.05 1.11 999999999.0 1 1 caleb_strategy_v1 OAT False False 0.06 0.06 0.07 0.0 5.671932e+07 -5.671932e+07 0.06 0.06 1.26 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.15 0.07 0.0 3.022381e+07 -3.022381e+07 0.15 0.15 2.38 999999999.0 5 5 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.70 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 31.30 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.30 0.26 0.0 5.921200e+07 -5.921200e+07 0.30 0.30 4.42 999999999.0 5 5 caleb_strategy_v1 BOBL False False 0.05 0.10 0.33 0.0 5.120782e+07 -5.120782e+07 0.10 0.10 6.40 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 15.9 Shocked risk 39.9 Sum abs risk 45.2 Leverage 2.80 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2527477.34, 'annual_cash_vol_target': 631869.335, 'daily_cash_vol_target': 39491.8334375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6658 0.7603 12.1642 BITCOIN 1002.2531 29515.0000 3.3957 54.3319 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 0.7410 0.4280 6.8475 CANOLA 8.5770 754.9000 1.1362 18.1787 CHF 0.0059 1.1076 0.5346 8.5541 COCOA 34.7294 2854.0000 1.2169 19.4699 COFFEE 3.3758 180.8000 1.8671 29.8741 COPPER 0.0484 3.9955 1.2102 19.3634 CORN 4.6402 563.5000 0.8235 13.1753 COTTON2 1.4507 82.6200 1.7559 28.0948 CRUDE_W 1.3487 76.3900 1.7655 28.2477 DAX 161.4746 15742.0000 1.0258 16.4121 DOW 260.0392 33708.0000 0.7714 12.3431 EUR 0.0059 1.0902 0.5391 8.6250 EUROSTX 47.7471 4256.0000 1.1219 17.9500 FEEDCOW 1.3934 222.7750 0.6255 10.0074 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.6408 774.5000 2.0195 32.3115 GASOILINE 0.0460 2.6945 1.7072 27.3159 GAS_US 0.1167 2.3460 4.9756 79.6102 GBP 0.0075 1.2399 0.6086 9.7373 GOLD_micro 19.6387 2005.5000 0.9792 15.6679 HEATOIL 0.0452 2.6110 1.7322 27.7149 JPY 0.0001 0.0076 0.6881 11.0095 LEANHOG 1.3378 89.2000 1.4998 23.9967 LIVECOW 1.0538 163.6250 0.6441 10.3048 MXP 0.0005 0.0544 0.8478 13.5648 NASDAQ 131.0652 13151.7500 0.9966 15.9450 NIKKEI 261.6933 27645.0000 0.9466 15.1459 NZD 0.0046 0.6211 0.7472 11.9551 OAT 0.8742 131.5200 0.6647 10.6345 OJ 4.5997 265.0000 1.7357 27.7716 PALLAD 30.3715 1403.5000 2.1640 34.6237 PLAT 17.0834 1003.1000 1.7031 27.2490 REDWHEAT 11.1443 858.7500 1.2977 20.7638 ROBUSTA 28.5859 2256.0000 1.2671 20.2737 RUSSELL 23.0438 1783.6000 1.2920 20.6717 SILVER-mini 0.3981 25.1875 1.5805 25.2888 SOYBEAN 11.3790 1311.5000 0.8676 13.8822 SOYMEAL 5.4372 448.5000 1.2123 19.3970 SOYOIL 0.8828 54.8000 1.6110 25.7766 SP400 29.3050 2489.7000 1.1770 18.8328 SP500 34.4600 4129.5000 0.8345 13.3517 SUGAR11 0.2972 23.1700 1.2829 20.5263 US10 0.6175 115.5312 0.5345 8.5515 US10U 0.7892 121.9062 0.6474 10.3576 US20 1.0686 132.5938 0.8059 12.8946 US30 1.5174 142.5938 1.0642 17.0267 US5 0.4691 109.9375 0.4267 6.8266 VIX 0.7585 22.4500 3.3788 54.0613 WHEAT 9.8547 723.0000 1.3630 21.8085 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 665.80 0.76 506.18 1.00 506.18 39491.83 78.02 2.18 16.98 BITCOIN 29.52 3.40 100.23 1.00 100.23 39491.83 394.03 -4.82 -189.91 BOBL 1187.40 0.45 530.35 1.09 580.02 39491.83 68.09 13.02 88.67 BTP 1163.00 0.67 775.97 1.09 848.64 39491.83 46.54 11.85 55.15 BUND 1373.00 0.70 955.35 1.09 1044.82 39491.83 37.80 16.19 61.19 BUXL 1435.80 1.51 2170.29 1.09 2373.53 39491.83 16.64 -3.14 -5.23 CAC 733.30 0.99 724.87 1.09 792.76 39491.83 49.82 7.98 39.77 CAD 741.05 0.43 317.15 1.00 317.15 39491.83 124.52 8.37 104.18 CANOLA 150.98 1.14 171.54 0.74 127.15 39491.83 310.59 17.49 543.29 CHF 1384.56 0.53 740.23 1.00 740.23 39491.83 53.35 -13.05 -69.64 COCOA 285.40 1.22 347.29 1.00 347.29 39491.83 113.71 -7.75 -88.17 COFFEE 678.00 1.87 1265.91 1.00 1265.91 39491.83 31.20 8.42 26.26 COPPER 998.88 1.21 1208.85 1.00 1208.85 39491.83 32.67 4.45 14.55 CORN 281.75 0.82 232.01 1.00 232.01 39491.83 170.22 15.16 258.12 COTTON2 413.10 1.76 725.37 1.00 725.37 39491.83 54.44 10.60 57.71 CRUDE_W 763.90 1.77 1348.65 1.00 1348.65 39491.83 29.28 6.16 18.05 DAX 157.42 1.03 161.47 1.09 176.60 39491.83 223.63 -0.74 -16.62 DOW 168.54 0.77 130.02 1.00 130.02 39491.83 303.74 2.66 80.83 EUR 1362.69 0.54 734.57 1.00 734.57 39491.83 53.76 -9.54 -51.30 EUROSTX 425.60 1.12 477.47 1.09 522.19 39491.83 75.63 0.70 5.27 FEEDCOW 1113.88 0.63 696.69 1.00 696.69 39491.83 56.69 -8.09 -45.84 FTSE100 707.00 0.82 576.59 1.24 666.67 39491.83 59.24 7.70 45.60 GASOIL 774.50 2.02 1564.08 1.00 1564.08 39491.83 25.25 4.37 11.03 GASOILINE 1131.69 1.71 1932.07 1.00 1932.07 39491.83 20.44 -0.34 -0.70 GAS_US 234.60 4.98 1167.29 1.00 1167.29 39491.83 33.83 -19.44 -65.78 GBP 774.94 0.61 471.61 1.00 471.61 39491.83 83.74 9.67 80.97 GOLD_micro 200.55 0.98 196.39 1.00 196.39 39491.83 201.09 -8.06 -161.98 HEATOIL 1096.62 1.73 1899.54 1.00 1899.54 39491.83 20.79 3.75 7.80 JPY 945.38 0.69 650.51 1.00 650.51 39491.83 60.71 -4.87 -29.54 LEANHOG 356.80 1.50 535.13 1.00 535.13 39491.83 73.80 -19.47 -143.68 LIVECOW 654.50 0.64 421.53 1.00 421.53 39491.83 93.69 4.01 37.56 MXP 271.75 0.85 230.39 1.00 230.39 39491.83 171.41 12.59 215.81 NASDAQ 2630.35 1.00 2621.30 1.00 2621.30 39491.83 15.07 6.87 10.35 NIKKEI 27645.00 0.95 26169.33 0.01 198.98 39491.83 198.47 8.30 164.77 NZD 621.10 0.75 464.08 1.00 464.08 39491.83 85.10 6.71 57.10 OAT 1315.20 0.66 874.16 1.09 956.02 39491.83 41.31 15.12 62.46 OJ 397.50 1.74 689.95 1.00 689.95 39491.83 57.24 -3.31 -18.95 PALLAD 1403.50 2.16 3037.15 1.00 3037.15 39491.83 13.00 -4.71 -6.13 PLAT 501.55 1.70 854.17 1.00 854.17 39491.83 46.23 4.88 22.56 REDWHEAT 429.38 1.30 557.22 1.00 557.22 39491.83 70.87 8.26 58.55 ROBUSTA 225.60 1.27 285.86 1.00 285.86 39491.83 138.15 12.41 171.46 RUSSELL 89.18 1.29 115.22 1.00 115.22 39491.83 342.76 -1.19 -40.67 SILVER-mini 629.69 1.58 995.25 1.00 995.25 39491.83 39.68 -5.05 -20.05 SOYBEAN 655.75 0.87 568.95 1.00 568.95 39491.83 69.41 2.10 14.60 SOYMEAL 448.50 1.21 543.72 1.00 543.72 39491.83 72.63 0.06 0.43 SOYOIL 328.80 1.61 529.71 1.00 529.71 39491.83 74.55 3.40 25.38 SP400 2489.70 1.18 2930.50 1.00 2930.50 39491.83 13.48 1.24 1.67 SP500 2064.75 0.83 1723.00 1.00 1723.00 39491.83 22.92 4.14 9.48 SUGAR11 259.50 1.28 332.92 1.00 332.92 39491.83 118.62 16.40 194.56 US10 1155.31 0.53 617.48 1.00 617.48 39491.83 63.96 0.92 5.89 US10U 1219.06 0.65 789.16 1.00 789.16 39491.83 50.04 -3.91 -19.56 US20 1325.94 0.81 1068.59 1.00 1068.59 39491.83 36.96 -5.53 -20.42 US30 1425.94 1.06 1517.44 1.00 1517.44 39491.83 26.03 3.00 7.80 US5 1099.38 0.43 469.06 1.00 469.06 39491.83 84.19 1.29 10.89 VIX 224.50 3.38 758.55 1.00 758.55 39491.83 52.06 -19.14 -99.65 WHEAT 361.50 1.36 492.74 1.00 492.74 39491.83 80.15 -7.45 -59.74 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 16.980 0.006 2.5 0.271 BITCOIN -189.914 0.009 2.5 -4.475 BOBL 88.670 0.029 2.5 6.398 BTP 55.149 0.008 2.5 1.114 BUND 61.190 0.029 2.5 4.415 BUXL -5.228 0.034 2.5 -0.439 CAC 39.766 0.011 2.5 1.118 CAD 104.176 0.007 2.5 1.860 CANOLA 543.286 0.004 2.5 4.987 CHF -69.638 0.015 2.5 -2.606 COCOA -88.169 0.009 2.5 -1.921 COFFEE 26.260 0.005 2.5 0.340 COPPER 14.553 0.011 2.5 0.398 CORN 258.119 0.004 2.5 2.328 COTTON2 57.708 0.006 2.5 0.869 CRUDE_W 18.051 0.053 2.5 2.385 DAX -16.620 0.022 2.5 -0.903 DOW 80.830 0.011 2.5 2.303 EUR -51.305 0.015 2.5 -1.920 EUROSTX 5.270 0.011 2.5 0.148 FEEDCOW -45.844 0.011 2.5 -1.232 FTSE100 45.599 0.041 2.5 4.701 GASOIL 11.030 0.029 2.5 0.787 GASOILINE -0.697 0.016 2.5 -0.029 GAS_US -65.779 0.006 2.5 -0.990 GBP 80.972 0.007 2.5 1.446 GOLD_micro -161.985 0.009 2.5 -3.624 HEATOIL 7.802 0.029 2.5 0.557 JPY -29.543 0.026 2.5 -1.912 LEANHOG -143.680 0.019 2.5 -6.713 LIVECOW 37.564 0.011 2.5 1.009 MXP 215.814 0.005 2.5 2.642 NASDAQ 10.351 0.022 2.5 0.562 NIKKEI 164.774 0.076 2.5 31.296 NZD 57.102 0.006 2.5 0.912 OAT 62.458 0.008 2.5 1.261 OJ -18.946 0.007 2.5 -0.330 PALLAD -6.131 0.010 2.5 -0.148 PLAT 22.561 0.010 2.5 0.543 REDWHEAT 58.547 0.002 2.5 0.313 ROBUSTA 171.455 0.005 2.5 2.223 RUSSELL -40.675 0.021 2.5 -2.107 SILVER-mini -20.054 0.009 2.5 -0.449 SOYBEAN 14.605 0.024 2.5 0.861 SOYMEAL 0.430 0.024 2.5 0.025 SOYOIL 25.378 0.004 2.5 0.233 SP400 1.667 0.021 2.5 0.086 SP500 9.478 0.011 2.5 0.270 SUGAR11 194.562 0.005 2.5 2.640 US10 5.891 0.015 2.5 0.226 US10U -19.564 0.058 2.5 -2.850 US20 -20.423 0.029 2.5 -1.505 US30 7.802 0.034 2.5 0.655 US5 10.886 0.015 2.5 0.418 VIX -99.654 0.075 2.5 -18.780 WHEAT -59.737 0.002 2.5 -0.319 ==================== Position diags ==================== AUD 1.25 BITCOIN 9.28 BOBL 4.91 BTP 0.94 BUND 2.73 BUXL 1.40 CAC 1.40 CAD 2.22 CANOLA 2.85 CHF 2.00 COCOA 2.48 COFFEE 0.40 COPPER 0.89 CORN 1.54 COTTON2 0.82 CRUDE_W 3.87 DAX 12.14 DOW 8.66 EUR 2.01 EUROSTX 2.13 FEEDCOW 1.52 FTSE100 6.11 GASOIL 1.80 GASOILINE 0.84 GAS_US 0.51 GBP 1.50 GOLD_micro 4.50 HEATOIL 1.48 JPY 3.93 LEANHOG 3.45 LIVECOW 2.52 MXP 2.10 NASDAQ 0.82 NIKKEI 37.70 NZD 1.36 OAT 0.83 OJ 1.00 PALLAD 0.31 PLAT 1.11 REDWHEAT 0.38 ROBUSTA 1.79 RUSSELL 17.75 SILVER-mini 0.89 SOYBEAN 4.09 SOYMEAL 4.28 SOYOIL 0.68 SP400 0.70 SP500 0.65 SUGAR11 1.61 US10 2.45 US10U 7.29 US20 2.72 US30 2.18 US5 3.23 VIX 9.81 WHEAT 0.43 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.1 0.4 0.0 0 BITCOIN -4.5 -5.4 -3.5 -5.0 -5 BOBL 6.4 5.9 6.9 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 1.9 1.6 2.1 0.0 0 CANOLA 5.0 4.7 5.3 NaN 0 CHF -2.6 -2.8 -2.4 -2.0 -2 COCOA -1.9 -2.2 -1.7 -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 2.2 2.5 4.0 4 COTTON2 0.9 0.8 1.0 1.0 1 CRUDE_W 2.4 2.0 2.8 5.0 5 DAX -0.9 -2.1 0.3 0.0 0 DOW 2.3 1.4 3.2 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 0.8 0.6 1.0 0.0 0 GASOILINE -0.0 -0.1 0.1 0.0 0 GAS_US -1.0 -1.0 -0.9 -1.0 -1 GBP 1.4 1.3 1.6 7.0 7 GOLD_micro -3.6 -4.1 -3.2 -2.0 -2 HEATOIL 0.6 0.4 0.7 0.0 0 JPY -1.9 -2.3 -1.5 -6.0 -6 LEANHOG -6.7 -7.1 -6.4 -7.0 -7 LIVECOW 1.0 0.8 1.3 0.0 0 MXP 2.6 2.4 2.9 0.0 0 NASDAQ 0.6 0.5 0.6 0.0 0 NIKKEI 31.3 27.5 35.1 0.0 0 NZD 0.9 0.8 1.0 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 0.4 0.0 0 ROBUSTA 2.2 2.0 2.4 3.0 3 RUSSELL -2.1 -3.9 -0.3 -77.0 -77 SILVER-mini -0.4 -0.5 -0.4 0.0 0 SOYBEAN 0.9 0.5 1.3 0.0 0 SOYMEAL 0.0 -0.4 0.5 1.0 1 SOYOIL 0.2 0.2 0.3 0.0 0 SP400 0.1 0.0 0.2 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 -2.9 -3.6 -2.1 -1.0 -1 US20 -1.5 -1.8 -1.2 0.0 0 US30 0.7 0.4 0.9 0.0 0 US5 0.4 0.1 0.7 0.0 0 VIX -18.8 -19.8 -17.8 -19.0 -19 WHEAT -0.3 -0.4 -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 -0.2 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 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 1.1 2.2 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.3 -0.3 -0.2 BITCOIN 0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.0 0.1 0.0 0.3 0.0 -0.2 0.1 0.3 -0.2 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.0 0.0 0.5 -4.8 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 -0.0 0.1 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 0.1 0.1 -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 3.5 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 -0.0 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 -1.7 0.1 0.4 0.3 0.3 COFFEE -0.0 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 -0.8 0.1 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 -0.0 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.3 -0.4 -0.3 -0.1 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 1.6 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 -0.1 -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 3.3 3.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.5 0.0 0.1 -0.2 0.0 CRUDE_W 0.2 -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 -0.2 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 -0.2 -0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.2 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 0.2 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 -1.6 -2.3 0.1 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.0 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 -0.1 -0.0 0.0 0.3 0.0 0.2 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.1 0.0 -3.4 2.7 0.1 0.0 0.1 0.0 0.0 0.0 -2.7 0.0 0.4 0.3 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL 0.0 -0.1 -0.2 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.3 0.0 0.2 -0.0 -0.3 1.6 0.9 0.4 0.4 -0.1 -0.1 0.0 0.0 -0.0 0.1 -3.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 2.7 0.0 -0.1 -0.1 -0.2 GASOILINE 0.2 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 -2.2 -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 -0.0 -0.3 -0.1 -0.4 -1.6 -0.5 -0.4 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 1.9 -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 1.1 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.0 0.1 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 -0.0 0.2 0.2 0.2 HEATOIL 0.1 -0.2 -0.2 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.3 0.0 0.1 -0.0 -0.3 1.6 0.9 0.5 0.5 -0.1 -0.1 0.0 0.0 -0.0 -0.6 -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 0.1 -0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.0 -0.0 -1.0 -0.5 -0.3 -0.3 0.0 0.0 -0.0 -0.1 0.0 0.3 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 -2.3 -0.2 -0.1 -0.0 0.0 LEANHOG -0.2 -0.3 -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 0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -1.3 0.0 0.4 0.2 0.3 MXP 0.1 -0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 0.4 0.0 0.3 1.2 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 -0.0 0.1 0.0 0.1 0.0 2.2 -0.0 -0.3 0.2 0.3 NASDAQ 0.2 0.2 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 -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 -0.1 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 -0.2 -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 -0.1 -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 0.1 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 -0.2 -0.3 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 0.1 1.2 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 0.0 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 0.1 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 -0.1 -0.1 -0.0 -0.1 -0.0 0.4 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 0.1 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 -0.5 -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 -0.3 -0.3 -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 -0.3 -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 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 -0.0 0.3 -0.0 0.0 1.0 0.7 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 2.6 0.1 -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 -0.3 -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 0.6 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.6 0.0 -0.3 -0.3 -0.3 SP400 -0.0 -0.3 0.1 0.0 0.0 0.1 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 -0.0 2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.4 -0.3 -0.2 SP500 0.2 -0.1 0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 -0.2 0.0 0.1 -0.6 -0.2 -0.2 -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 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.3 0.1 0.3 1.2 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 -0.0 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 0.2 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 0.1 -0.3 0.0 0.0 US5 0.2 0.3 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 -0.1 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 -0.0 -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 1.1 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.0 0.1 -0.3 -0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 4.8 -15.8 2.2 2.6 2.3 1.5 4.9 -1.1 4.5 -12.7 1.3 -3.5 -4.7 -8.9 -10.0 -3.4 -2.9 -3.5 -3.3 -6.8 -4.7 -5.2 -5.3 -5.1 9.6 11.7 -3.0 -1.4 -2.3 0.6 -2.7 -1.3 -0.9 -11.9 -15.1 -19.7 -10.5 BITCOIN 14.2 8.3 20.0 3.5 2.8 2.3 5.2 1.7 5.3 12.7 12.7 15.0 -9.7 15.0 15.0 -3.9 -1.8 -3.1 -2.2 16.7 10.7 12.7 -2.3 16.0 2.5 -18.1 5.3 0.3 3.9 2.6 0.8 4.5 0.9 -15.4 -0.9 9.3 19.9 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 18.1 -4.3 -0.2 2.6 2.3 1.5 4.9 -1.1 4.5 1.2 -8.0 10.0 -10.2 3.1 -1.5 -2.8 -1.8 -2.6 -2.3 -0.8 -6.7 11.4 -10.9 8.1 17.2 10.4 -0.4 5.1 -2.6 7.3 -4.3 3.9 0.9 11.0 5.2 -7.5 -7.4 CANOLA 3.9 -13.8 -18.2 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 4.9 -9.5 4.5 -11.8 -5.3 -9.7 20.0 14.2 17.6 14.4 -20.0 -19.5 0.1 -11.2 -13.2 15.6 13.2 -5.3 -0.3 -4.4 -1.2 -2.3 -3.9 11.8 13.9 -20.0 -20.0 -20.0 CHF 11.7 -3.0 5.9 2.6 2.3 1.5 4.9 -1.1 4.5 4.3 11.4 11.4 4.3 10.9 6.9 -12.9 -13.7 -13.8 -14.1 7.6 6.2 11.1 2.9 11.1 -6.0 -11.5 3.7 7.6 2.8 7.6 0.2 5.8 -19.6 0.5 -2.8 6.1 1.1 COCOA 18.5 7.2 15.7 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 -3.7 14.0 13.1 5.3 13.7 13.7 4.2 -1.3 2.0 0.5 18.6 16.0 10.4 9.1 17.8 -20.0 -10.4 5.7 1.4 5.2 4.1 3.3 5.5 -12.4 6.7 20.0 20.0 20.0 COFFEE -3.1 4.1 10.5 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 12.2 -5.3 9.4 -7.5 -5.0 6.1 4.5 3.3 3.3 3.4 1.7 -2.7 9.7 -7.6 2.8 11.4 10.0 0.1 11.1 -1.4 4.3 -3.3 0.2 -5.6 15.1 7.5 7.2 14.2 COPPER 2.5 -9.9 15.0 3.5 2.8 2.3 5.2 1.7 5.3 -10.0 8.6 1.6 -1.7 -2.1 2.5 -0.8 -0.5 -0.8 -0.8 1.8 6.5 -5.7 3.4 -2.3 -0.3 11.1 -1.0 -4.1 1.4 -2.7 1.7 -1.8 2.9 -20.0 -20.0 -20.0 -4.3 CORN 12.1 -16.2 -20.0 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 -3.0 -8.0 -0.2 -2.3 -9.3 -11.9 15.7 19.4 19.5 20.0 -14.1 -13.9 -2.9 -2.9 -7.5 10.5 11.0 -5.0 -4.1 -5.5 -1.9 -2.3 -2.6 20.0 -12.2 2.9 -20.0 -20.0 COTTON2 5.2 0.5 -1.5 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 1.7 -10.1 8.8 -11.2 -0.1 -5.1 -2.9 8.1 -2.8 0.8 -5.0 -9.6 5.2 -10.4 0.5 13.4 12.0 -2.7 4.0 -3.2 2.8 -1.3 -0.2 -3.4 20.0 7.1 -5.5 0.6 CRUDE_W 15.1 -4.1 -5.8 -1.6 2.9 -2.2 4.1 1.0 1.2 10.2 -0.8 12.5 -2.1 7.4 0.5 8.2 11.2 8.1 9.0 -0.2 -3.5 20.0 0.4 10.8 -9.0 10.8 -0.5 7.8 -0.9 8.3 1.5 3.4 -1.3 20.0 11.9 1.4 2.5 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 16.8 -13.9 -2.8 2.0 2.5 1.9 4.8 0.9 3.5 12.3 6.1 13.0 0.7 1.6 -3.4 -6.9 -4.9 -7.1 -6.6 -1.0 -1.5 18.0 -0.1 9.1 -0.6 10.8 0.9 7.0 0.9 8.4 1.2 4.3 -2.4 4.4 4.7 -0.8 -10.9 EUR 14.8 -4.0 13.9 2.6 2.3 1.5 4.9 -1.1 4.5 -9.3 11.0 10.6 -0.8 9.9 4.8 -6.2 -8.4 -7.2 -7.9 8.8 7.9 7.4 0.5 10.8 -11.7 -11.1 4.1 4.1 3.5 6.2 -0.6 5.6 -9.7 -0.8 0.9 5.5 6.7 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 3.4 17.7 14.9 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 13.7 11.7 13.0 8.0 13.4 13.3 -20.0 -20.0 -20.0 -20.0 20.0 15.7 20.0 8.6 20.0 -20.0 12.2 5.9 5.0 5.1 5.2 3.2 5.6 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL 3.2 -5.6 -10.7 -1.6 2.9 -2.2 4.1 1.0 1.2 2.8 -11.6 3.0 6.2 -5.3 -10.8 19.5 20.0 20.0 20.0 -8.1 -7.8 2.9 3.7 -2.5 0.7 -15.4 -3.8 1.4 -4.6 2.2 -0.2 -0.5 20.0 1.3 -4.2 -4.8 -11.2 GASOILINE 13.4 0.6 3.2 -1.6 2.9 -2.2 4.1 1.0 1.2 14.0 4.7 14.2 2.4 9.7 7.8 20.0 13.3 12.4 9.0 6.4 3.2 20.0 6.7 14.3 -17.4 -13.1 2.7 9.1 2.9 9.2 6.0 5.3 -0.1 12.2 18.7 9.2 20.0 GAS_US -8.7 -3.1 -20.0 -1.6 2.9 -2.2 4.1 1.0 1.2 -2.2 -16.6 -13.5 -13.9 -15.2 -16.5 -20.0 -11.0 -20.0 -15.4 -20.0 -20.0 -12.8 -20.0 -19.5 15.5 -9.3 -6.2 -4.3 -6.6 -5.3 -3.2 -5.7 -20.0 -20.0 -20.0 -9.1 -20.0 GBP 16.7 4.5 9.5 2.6 2.3 1.5 4.9 -1.1 4.5 -2.2 12.7 11.0 -1.4 12.7 9.1 -1.4 -1.9 -1.9 -2.0 10.3 6.1 10.7 -2.2 14.0 7.5 9.4 3.7 4.9 0.6 7.2 -4.1 6.5 1.0 0.7 6.1 11.7 -2.8 GOLD_micro 16.9 5.6 14.9 3.5 2.8 2.3 5.2 1.7 5.3 -1.0 11.6 10.8 1.3 13.0 11.8 -10.6 -10.6 -11.5 -11.6 16.8 12.6 11.9 6.5 18.3 -2.6 -13.8 4.9 3.1 3.6 4.8 2.0 5.7 -15.2 -3.6 11.1 16.1 12.9 HEATOIL 4.0 -10.3 -12.3 -1.6 2.9 -2.2 4.1 1.0 1.2 6.9 -10.9 7.0 5.2 -4.2 -10.5 18.5 20.0 20.0 20.0 -9.6 -9.1 7.6 3.6 -1.3 -6.4 -13.6 -3.4 4.4 -2.5 4.0 3.6 -0.4 20.0 -4.1 -0.9 -8.2 -3.7 JPY 8.8 -4.7 7.1 2.6 2.3 1.5 4.9 -1.1 4.5 -12.3 6.0 -2.4 -6.6 4.4 -1.9 -14.6 -12.7 -14.3 -13.9 1.9 1.4 -5.9 -7.1 0.9 2.1 9.9 1.8 0.8 0.8 1.9 -4.5 2.4 -18.4 -20.0 -5.1 -3.1 1.1 LEANHOG -20.0 -20.0 -20.0 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 -8.5 -14.0 -14.0 -10.6 -14.5 -15.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.5 -11.9 -20.0 20.0 -11.1 -5.9 -3.7 -5.0 -4.4 -2.9 -5.5 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 7.4 -8.8 4.7 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 13.7 11.7 13.0 8.7 9.6 8.9 20.0 -7.3 20.0 15.0 7.5 7.4 20.0 6.1 13.7 -20.0 12.0 2.6 9.8 3.5 8.0 3.9 4.4 -9.1 20.0 20.0 11.5 20.0 MXP 6.8 -8.7 3.7 2.6 2.3 1.5 4.9 -1.1 4.5 3.2 14.2 11.3 15.1 11.0 12.9 16.7 20.0 18.7 20.0 13.6 17.0 8.9 17.5 11.1 -20.0 9.7 4.9 -0.2 7.1 2.2 7.5 3.2 20.0 -8.1 -15.1 18.0 20.0 NASDAQ 18.3 12.3 20.0 2.0 2.5 1.9 4.8 0.9 3.5 6.2 4.3 12.0 -8.1 13.3 14.1 -7.7 -5.4 -7.2 -6.6 18.8 10.9 15.2 -2.1 20.0 -2.8 10.2 5.8 1.8 4.3 4.7 1.6 5.9 -2.6 -6.5 20.0 20.0 18.4 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 6.9 -8.7 3.7 2.6 2.3 1.5 4.9 -1.1 4.5 -11.5 7.6 3.4 -1.4 1.3 -5.1 1.2 0.6 0.7 0.5 -0.8 0.1 -0.7 -2.7 1.2 1.6 10.8 0.0 0.2 0.0 3.5 -1.8 2.1 5.2 -9.1 -9.2 -7.2 -8.7 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 17.8 3.6 -7.5 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 9.7 15.2 13.4 15.3 14.7 14.5 20.0 19.1 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 8.7 -7.5 -20.0 3.5 2.8 2.3 5.2 1.7 5.3 -10.7 -15.0 -3.8 -14.4 -6.4 -12.8 -2.5 -2.1 -2.6 -2.5 -17.0 -20.0 -3.6 -20.0 -5.4 20.0 -11.1 -4.5 1.8 -6.7 1.5 -5.9 -0.6 0.0 -7.9 -20.0 -20.0 -20.0 PLAT 8.3 0.8 -5.0 3.5 2.8 2.3 5.2 1.7 5.3 1.7 3.6 5.6 0.5 9.1 -3.2 -2.4 -1.4 -2.1 -1.8 1.5 0.7 5.9 1.3 5.6 1.3 11.2 -0.4 5.3 -0.5 5.3 -0.1 2.8 1.4 -6.1 -20.0 -11.3 -16.8 REDWHEAT 20.0 -1.1 -4.3 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 8.4 -8.7 12.9 -10.8 6.3 2.6 14.2 5.3 11.0 8.5 1.3 -7.1 11.3 -7.3 10.0 -2.3 12.9 0.6 -1.1 -1.5 3.5 -0.1 3.7 -0.2 5.7 20.0 0.3 1.6 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 -4.6 -20.0 4.1 2.0 2.5 1.9 4.8 0.9 3.5 -2.9 -4.7 -3.0 -9.1 -11.7 -10.8 -5.0 -4.2 -5.4 -5.2 -11.7 -6.6 -3.7 -5.6 -10.6 3.5 10.0 -2.8 -2.6 -0.5 -2.1 0.1 -3.5 -0.5 -20.0 -20.0 -20.0 -9.2 SILVER-mini 20.0 4.1 1.4 3.5 2.8 2.3 5.2 1.7 5.3 10.9 8.6 14.8 -0.3 13.7 8.0 -5.6 -4.8 -5.6 -5.4 14.0 6.6 20.0 2.2 20.0 -2.5 -11.3 3.0 6.7 1.1 8.4 -0.2 6.7 -4.8 18.6 20.0 5.0 -8.6 SOYBEAN -5.9 -17.2 -15.4 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 -4.2 -4.0 2.6 -0.5 -5.0 -7.7 20.0 20.0 20.0 20.0 -13.3 -9.3 -0.9 -1.3 -9.2 -1.8 -11.7 -4.5 0.1 -2.7 -0.4 0.4 -3.5 20.0 20.0 -20.0 -20.0 -16.4 SOYMEAL -20.0 -19.2 8.4 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 -9.4 10.6 -4.1 12.5 -4.9 0.8 11.9 17.8 16.9 18.2 -0.1 11.2 -7.9 16.2 -7.8 -20.0 -12.0 -1.1 -3.0 4.1 -3.1 7.7 -3.8 19.5 14.4 -20.0 -10.6 14.8 SOYOIL -2.5 -14.4 -20.0 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 -9.5 -10.7 -1.5 -2.4 -8.1 -11.5 -1.2 12.2 1.5 6.1 -17.9 -15.0 -7.7 -5.0 -13.8 4.2 12.9 -5.6 -1.7 -4.5 -2.0 -1.1 -4.2 4.6 6.9 -14.9 -20.0 -20.0 SP400 -0.9 -20.0 3.3 2.0 2.5 1.9 4.8 0.9 3.5 -0.1 1.6 2.7 -1.8 -7.9 -8.1 -4.8 -4.0 -5.3 -4.9 -8.8 -2.9 0.5 -0.2 -6.9 -0.2 10.2 -2.5 -1.6 -0.2 -0.8 1.0 -2.7 -0.0 -18.2 -20.0 -20.0 -10.0 SP500 15.6 -4.9 8.1 2.0 2.5 1.9 4.8 0.9 3.5 9.5 2.9 12.6 -6.1 6.2 4.8 -7.4 -5.7 -7.3 -6.8 5.4 2.0 15.4 -2.5 11.8 1.6 10.2 3.6 5.2 2.6 7.7 0.5 5.8 -3.0 0.4 10.1 5.5 0.4 SUGAR11 16.4 12.1 15.9 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 14.0 15.3 15.8 12.7 16.0 15.9 15.3 20.0 20.0 20.0 20.0 20.0 20.0 16.0 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 16.3 15.3 18.1 3.0 2.7 0.5 4.1 -2.6 4.5 3.1 -2.2 10.9 -10.7 12.6 8.9 -8.5 -4.4 -8.4 -7.6 8.8 0.1 10.7 -10.0 13.9 -2.2 9.7 4.0 4.4 1.2 5.1 -2.5 5.4 -9.2 2.8 2.0 8.6 2.8 US10U 14.7 13.9 16.8 3.0 2.7 0.5 4.1 -2.6 4.5 4.1 -2.0 11.1 -10.6 12.7 9.2 0.0 2.5 0.6 0.9 8.3 -0.1 11.1 -10.5 13.4 -5.1 -14.1 4.3 5.0 1.8 5.5 -2.0 5.6 4.1 5.3 -2.3 7.9 5.3 US20 13.6 12.8 16.5 3.0 2.7 0.5 4.1 -2.6 4.5 6.5 -0.1 11.4 -9.1 13.2 9.9 -1.0 -1.5 -2.9 -3.0 8.9 0.4 13.4 -10.3 14.2 -2.6 -12.3 4.1 5.9 1.4 6.0 -2.3 5.6 -2.6 9.6 -4.2 6.8 2.0 US30 8.8 8.2 14.5 3.0 2.7 0.5 4.1 -2.6 4.5 5.4 -0.2 10.0 -10.6 11.1 5.2 -0.4 -0.5 -0.8 -0.9 5.4 -1.5 9.5 -13.2 9.5 -7.1 10.0 4.2 7.0 1.8 6.4 -2.9 5.4 -0.0 8.9 -13.9 0.6 1.8 US5 16.2 17.8 20.0 3.0 2.7 0.5 4.1 -2.6 4.5 2.5 -2.2 10.6 -11.0 12.5 9.0 -8.8 -4.9 -9.4 -8.5 8.5 -0.1 9.9 -9.7 13.5 -0.4 10.8 3.6 3.8 0.7 4.8 -3.1 5.2 -10.4 0.7 4.1 7.9 1.2 VIX -3.4 20.0 -0.2 -2.5 -1.2 -5.5 -1.6 -6.4 -0.9 -13.5 -11.9 -12.0 -13.0 -4.0 -6.3 -20.0 -20.0 -20.0 -20.0 -3.9 -9.3 -7.7 -12.0 -4.0 NaN -13.5 -2.6 -1.8 -7.0 -1.9 -8.6 -0.7 NaN NaN NaN NaN NaN WHEAT 6.5 -8.8 -11.6 -2.9 -3.0 -3.3 -2.0 -2.3 -2.1 -9.8 -13.5 2.2 -14.5 -9.3 -10.0 -12.8 -8.3 -11.7 -10.2 -14.1 -18.9 -5.8 -16.4 -8.1 7.1 11.9 -4.4 -4.3 -4.8 -1.9 -2.5 -2.7 -20.0 -7.2 3.0 -19.0 -9.6 End of report for caleb_strategy_v1