******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230411_204636 produced at 2023-04-11 21:37:08.295340 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.16 -0.17 0.0 8.677244e+06 -8.677244e+06 -0.16 -0.16 -19.46 999999999.0 -19 -19 caleb_strategy_v1 US10U False False 0.05 -0.05 -0.15 0.0 4.789332e+07 -4.789332e+07 -0.05 -0.10 -3.08 999999999.0 -1 -2 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.14 0.0 5.486488e+07 -5.486488e+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 5.386877e+07 -5.386877e+07 -0.16 -0.16 -1.89 999999999.0 -3 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.383637e+07 -1.383637e+07 -0.10 -0.10 -6.86 999999999.0 -7 -7 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.208068e+07 -5.208068e+07 0.00 0.00 -1.52 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.04 -0.22 -0.08 0.0 3.714884e+07 -3.714884e+07 -0.22 -0.22 -2.08 999999999.0 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.417327e+07 -4.417327e+07 -0.09 -0.09 -1.22 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.019294e+07 -6.019294e+07 0.00 0.00 -0.46 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.03 0.0 7.950796e+06 -7.950796e+06 -0.02 -0.02 -3.71 999999999.0 -2 -2 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.138470e+07 -1.138470e+07 -0.06 -0.06 -1.93 999999999.0 -5 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.271468e+06 -9.271468e+06 -0.01 -0.01 -1.01 999999999.0 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.01 0.0 1.196712e+06 -1.196712e+06 -0.01 -0.01 -4.54 999999999.0 -5 -5 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.591123e+07 -1.591123e+07 0.00 0.00 -0.33 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.502578e+07 -2.502578e+07 0.00 0.00 -0.45 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.727768e+07 -5.727768e+07 0.00 0.00 -0.14 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.05 0.00 0.00 0.0 4.509688e+07 -4.509688e+07 0.00 0.00 0.00 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.04 0.00 0.0 1.838204e+07 -1.838204e+07 0.04 0.04 0.17 999999999.0 2 2 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.00 0.0 1.399476e+07 -1.399476e+07 -0.01 -0.01 -0.34 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 -0.00 0.0 1.792117e+07 -1.792117e+07 0.02 0.02 -0.14 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.299107e+07 -1.299107e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.00 0.0 6.790251e+06 -6.790251e+06 0.00 0.00 -0.50 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.27 -0.00 0.0 3.553932e+06 -3.553932e+06 -0.27 -0.29 -1.30 999999999.0 -77 -81 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.977664e+07 -1.977664e+07 0.00 0.00 0.57 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.01 0.0 1.670025e+07 -1.670025e+07 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.50 0.01 0.0 9.933379e+07 -9.933379e+07 0.50 0.50 0.11 999999999.0 5 5 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.01 0.0 1.044575e+07 -1.044575e+07 0.03 0.02 1.06 999999999.0 3 2 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.540304e+07 -4.540304e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.625211e+07 -2.625211e+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 2.764765e+07 -2.764765e+07 0.00 0.00 0.35 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.631165e+07 -1.631165e+07 0.02 0.02 0.89 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 3.008505e+07 -3.008505e+07 0.00 0.00 0.76 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.02 0.0 4.320483e+07 -4.320483e+07 0.00 0.00 0.41 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.02 0.0 8.165169e+07 -8.165169e+07 0.08 0.08 0.29 999999999.0 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.354163e+06 -4.354163e+06 0.00 0.00 5.18 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.582021e+07 -2.582021e+07 0.00 0.00 0.93 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.03 0.02 0.0 9.141605e+06 -9.141605e+06 0.03 0.03 2.28 999999999.0 3 3 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.973627e+07 -3.973627e+07 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.314161e+07 -4.314161e+07 0.00 0.00 0.57 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.435925e+07 -2.435925e+07 0.00 0.00 0.90 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.673214e+06 -6.673214e+06 0.00 0.00 2.72 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.03 0.0 2.580742e+07 -2.580742e+07 0.00 0.00 1.29 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.04 0.03 0.0 1.098429e+07 -1.098429e+07 0.04 0.04 2.34 999999999.0 4 4 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.067636e+07 -1.067636e+07 0.00 0.00 2.77 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.04 0.0 5.613892e+07 -5.613892e+07 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.04 0.0 3.180304e+07 -3.180304e+07 0.00 0.00 1.31 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.21 0.05 0.0 3.058925e+07 -3.058925e+07 0.21 0.21 1.49 999999999.0 7 7 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 4.928034e+07 -4.928034e+07 0.05 0.05 1.10 999999999.0 1 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.925077e+07 -2.925077e+07 0.00 0.00 1.95 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.06 0.0 1.032494e+08 -1.032494e+08 0.00 0.00 0.57 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.06 0.07 0.0 5.577645e+07 -5.577645e+07 0.06 0.06 1.26 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.15 0.08 0.0 3.050612e+07 -3.050612e+07 0.15 0.15 2.65 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 4.73 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.29 0.25 0.0 5.824625e+07 -5.824625e+07 0.29 0.29 4.35 999999999.0 5 5 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 31.46 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.10 0.32 0.0 5.057956e+07 -5.057956e+07 0.10 0.10 6.37 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 16.2 Shocked risk 41.3 Sum abs risk 45.2 Leverage 2.82 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2541129.34, 'annual_cash_vol_target': 635282.335, 'daily_cash_vol_target': 39705.1459375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0050 0.6671 0.7436 11.8973 BITCOIN 998.6996 30410.0000 3.2841 52.5459 BOBL 0.5305 117.9600 0.4497 7.1959 BTP 0.7760 114.9300 0.6752 10.8035 BUND 0.9556 135.8400 0.7035 11.2555 BUXL 2.1708 140.3800 1.5464 24.7420 CAC 72.4959 7417.0000 0.9774 15.6389 CAD 0.0031 0.7433 0.4217 6.7473 CANOLA 8.4351 746.3000 1.1303 18.0841 CHF 0.0059 1.1154 0.5324 8.5189 COCOA 34.4006 2893.0000 1.1891 19.0256 COFFEE 3.5314 187.3500 1.8849 30.1586 COPPER 0.0480 4.0390 1.1896 19.0332 CORN 4.6208 558.2500 0.8277 13.2437 COTTON2 1.4162 82.9000 1.7083 27.3330 CRUDE_W 1.3280 77.5200 1.7132 27.4105 DAX 161.4968 15836.0000 1.0198 16.3169 DOW 254.6193 33915.0000 0.7508 12.0121 EUR 0.0058 1.0951 0.5300 8.4797 EUROSTX 47.7513 4287.0000 1.1139 17.8218 FEEDCOW 1.3791 224.5000 0.6143 9.8286 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.3019 764.5000 2.0016 32.0250 GASOILINE 0.0453 2.7285 1.6598 26.5564 GAS_US 0.1142 2.3560 4.8465 77.5444 GBP 0.0074 1.2437 0.5949 9.5189 GOLD_micro 19.2200 2020.4000 0.9513 15.2208 HEATOIL 0.0441 2.6102 1.6912 27.0588 JPY 0.0001 0.0076 0.6745 10.7919 LEANHOG 1.3159 87.9000 1.4970 23.9520 LIVECOW 1.0298 163.9500 0.6281 10.0501 MXP 0.0005 0.0543 0.8306 13.2903 NASDAQ 128.6773 13118.5000 0.9809 15.6942 NIKKEI 261.6933 27645.0000 0.9466 15.1459 NZD 0.0046 0.6190 0.7396 11.8334 OAT 0.8744 130.0800 0.6722 10.7555 OJ 4.5960 269.5500 1.7051 27.2809 PALLAD 30.8894 1455.5000 2.1223 33.9561 PLAT 16.6850 1005.1000 1.6600 26.5606 REDWHEAT 11.0869 848.7500 1.3063 20.9002 ROBUSTA 28.5878 2323.0000 1.2306 19.6903 RUSSELL 22.8626 1806.2000 1.2658 20.2525 SILVER-mini 0.3893 25.4375 1.5304 24.4859 SOYBEAN 11.1526 1312.2500 0.8499 13.5982 SOYMEAL 5.5333 455.4000 1.2150 19.4408 SOYOIL 0.8647 55.0200 1.5716 25.1448 SP400 29.1465 2524.2000 1.1547 18.4749 SP500 33.6176 4149.7500 0.8101 12.9618 SUGAR11 0.3061 23.7000 1.2915 20.6638 US10 0.6036 115.3750 0.5232 8.3713 US10U 0.7722 121.7031 0.6345 10.1523 US20 1.0466 132.3438 0.7908 12.6526 US30 1.4837 142.6562 1.0400 16.6407 US5 0.4584 109.7891 0.4176 6.6810 VIX 0.7426 22.0500 3.3676 53.8819 WHEAT 9.8104 711.2500 1.3793 22.0690 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.10 0.74 496.04 1.00 496.04 39705.15 80.04 2.14 17.10 BITCOIN 30.41 3.28 99.87 1.00 99.87 39705.15 397.57 -4.85 -192.76 BOBL 1179.60 0.45 530.52 1.09 578.27 39705.15 68.66 12.86 88.28 BTP 1149.30 0.68 776.03 1.09 845.87 39705.15 46.94 11.64 54.65 BUND 1358.40 0.70 955.59 1.09 1041.60 39705.15 38.12 15.81 60.27 BUXL 1403.80 1.55 2170.80 1.09 2366.17 39705.15 16.78 -3.26 -5.48 CAC 741.70 0.98 724.96 1.09 790.20 39705.15 50.25 9.28 46.65 CAD 743.30 0.42 313.45 1.00 313.45 39705.15 126.67 8.64 109.40 CANOLA 149.26 1.13 168.70 0.74 124.83 39705.15 318.07 17.75 564.61 CHF 1394.19 0.53 742.31 1.00 742.31 39705.15 53.49 -12.43 -66.51 COCOA 289.30 1.19 344.01 1.00 344.01 39705.15 115.42 -7.66 -88.37 COFFEE 702.56 1.88 1324.27 1.00 1324.27 39705.15 29.98 9.07 27.21 COPPER 1009.75 1.19 1201.17 1.00 1201.17 39705.15 33.06 4.73 15.64 CORN 279.12 0.83 231.04 1.00 231.04 39705.15 171.85 15.12 259.87 COTTON2 414.50 1.71 708.10 1.00 708.10 39705.15 56.07 10.55 59.17 CRUDE_W 775.20 1.71 1328.04 1.00 1328.04 39705.15 29.90 6.70 20.03 DAX 158.36 1.02 161.50 1.09 176.03 39705.15 225.56 -0.41 -9.18 DOW 169.58 0.75 127.31 1.00 127.31 39705.15 311.88 3.06 95.57 EUR 1368.88 0.53 725.48 1.00 725.48 39705.15 54.73 -9.24 -50.59 EUROSTX 428.70 1.11 477.51 1.09 520.49 39705.15 76.28 0.81 6.15 FEEDCOW 1122.50 0.61 689.53 1.00 689.53 39705.15 57.58 -7.89 -45.44 FTSE100 707.00 0.82 576.59 1.24 666.67 39705.15 59.56 7.70 45.85 GASOIL 764.50 2.00 1530.19 1.00 1530.19 39705.15 25.95 4.08 10.59 GASOILINE 1145.97 1.66 1902.05 1.00 1902.05 39705.15 20.87 0.03 0.07 GAS_US 235.60 4.85 1141.84 1.00 1141.84 39705.15 34.77 -19.33 -67.22 GBP 777.31 0.59 462.45 1.00 462.45 39705.15 85.86 9.74 83.66 GOLD_micro 202.04 0.95 192.20 1.00 192.20 39705.15 206.58 -8.02 -165.77 HEATOIL 1096.28 1.69 1854.01 1.00 1854.01 39705.15 21.42 3.72 7.96 JPY 944.00 0.67 636.72 1.00 636.72 39705.15 62.36 -5.16 -32.17 LEANHOG 351.60 1.50 526.34 1.00 526.34 39705.15 75.44 -19.48 -146.93 LIVECOW 655.80 0.63 411.93 1.00 411.93 39705.15 96.39 4.98 48.02 MXP 271.30 0.83 225.35 1.00 225.35 39705.15 176.19 12.83 226.00 NASDAQ 2623.70 0.98 2573.55 1.00 2573.55 39705.15 15.43 6.78 10.47 NIKKEI 27645.00 0.95 26169.33 0.01 198.98 39705.15 199.54 8.30 165.66 NZD 619.00 0.74 457.81 1.00 457.81 39705.15 86.73 6.51 56.48 OAT 1300.80 0.67 874.43 1.09 953.12 39705.15 41.66 14.94 62.25 OJ 404.32 1.71 689.40 1.00 689.40 39705.15 57.59 -3.25 -18.74 PALLAD 1455.50 2.12 3088.94 1.00 3088.94 39705.15 12.85 -4.41 -5.66 PLAT 502.55 1.66 834.25 1.00 834.25 39705.15 47.59 4.94 23.52 REDWHEAT 424.38 1.31 554.34 1.00 554.34 39705.15 71.63 8.24 58.99 ROBUSTA 232.30 1.23 285.88 1.00 285.88 39705.15 138.89 12.67 175.92 RUSSELL 90.31 1.27 114.31 1.00 114.31 39705.15 347.34 -0.72 -25.15 SILVER-mini 635.94 1.53 973.22 1.00 973.22 39705.15 40.80 -4.90 -20.00 SOYBEAN 656.12 0.85 557.63 1.00 557.63 39705.15 71.20 2.21 15.71 SOYMEAL 455.40 1.22 553.33 1.00 553.33 39705.15 71.76 -0.32 -2.29 SOYOIL 330.12 1.57 518.80 1.00 518.80 39705.15 76.53 3.33 25.51 SP400 2524.20 1.15 2914.65 1.00 2914.65 39705.15 13.62 1.62 2.20 SP500 2074.88 0.81 1680.88 1.00 1680.88 39705.15 23.62 4.38 10.35 SUGAR11 265.44 1.29 342.81 1.00 342.81 39705.15 115.82 6.75 78.21 US10 1153.75 0.52 603.65 1.00 603.65 39705.15 65.78 0.87 5.70 US10U 1217.03 0.63 772.23 1.00 772.23 39705.15 51.42 -4.11 -21.15 US20 1323.44 0.79 1046.56 1.00 1046.56 39705.15 37.94 -5.43 -20.60 US30 1426.56 1.04 1483.69 1.00 1483.69 39705.15 26.76 3.11 8.32 US5 1097.89 0.42 458.44 1.00 458.44 39705.15 86.61 1.24 10.77 VIX 220.50 3.37 742.56 1.00 742.56 39705.15 53.47 -19.32 -103.28 WHEAT 355.62 1.38 490.52 1.00 490.52 39705.15 80.95 -7.94 -64.28 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 17.097 0.006 2.5 0.273 BITCOIN -192.764 0.009 2.5 -4.542 BOBL 88.278 0.029 2.5 6.370 BTP 54.647 0.008 2.5 1.104 BUND 60.275 0.029 2.5 4.349 BUXL -5.476 0.034 2.5 -0.460 CAC 46.651 0.011 2.5 1.311 CAD 109.401 0.007 2.5 1.953 CANOLA 564.607 0.004 2.5 5.183 CHF -66.510 0.015 2.5 -2.489 COCOA -88.370 0.009 2.5 -1.925 COFFEE 27.208 0.005 2.5 0.353 COPPER 15.635 0.011 2.5 0.427 CORN 259.873 0.004 2.5 2.344 COTTON2 59.173 0.006 2.5 0.891 CRUDE_W 20.029 0.053 2.5 2.646 DAX -9.177 0.022 2.5 -0.498 DOW 95.568 0.011 2.5 2.723 EUR -50.586 0.015 2.5 -1.893 EUROSTX 6.153 0.011 2.5 0.173 FEEDCOW -45.444 0.011 2.5 -1.221 FTSE100 45.845 0.041 2.5 4.726 GASOIL 10.590 0.029 2.5 0.755 GASOILINE 0.068 0.016 2.5 0.003 GAS_US -67.224 0.006 2.5 -1.012 GBP 83.664 0.007 2.5 1.494 GOLD_micro -165.774 0.009 2.5 -3.709 HEATOIL 7.961 0.029 2.5 0.568 JPY -32.166 0.026 2.5 -2.082 LEANHOG -146.933 0.019 2.5 -6.865 LIVECOW 48.022 0.011 2.5 1.290 MXP 225.999 0.005 2.5 2.767 NASDAQ 10.467 0.022 2.5 0.568 NIKKEI 165.664 0.076 2.5 31.465 NZD 56.482 0.006 2.5 0.902 OAT 62.248 0.008 2.5 1.257 OJ -18.744 0.007 2.5 -0.327 PALLAD -5.663 0.010 2.5 -0.136 PLAT 23.516 0.010 2.5 0.566 REDWHEAT 58.986 0.002 2.5 0.315 ROBUSTA 175.921 0.005 2.5 2.281 RUSSELL -25.153 0.021 2.5 -1.303 SILVER-mini -19.999 0.009 2.5 -0.447 SOYBEAN 15.708 0.024 2.5 0.926 SOYMEAL -2.290 0.024 2.5 -0.135 SOYOIL 25.513 0.004 2.5 0.234 SP400 2.201 0.021 2.5 0.114 SP500 10.350 0.011 2.5 0.295 SUGAR11 78.211 0.005 2.5 1.061 US10 5.697 0.015 2.5 0.219 US10U -21.150 0.058 2.5 -3.082 US20 -20.600 0.029 2.5 -1.518 US30 8.323 0.034 2.5 0.699 US5 10.774 0.015 2.5 0.413 VIX -103.279 0.075 2.5 -19.463 WHEAT -64.277 0.002 2.5 -0.343 ==================== Position diags ==================== AUD 1.28 BITCOIN 9.37 BOBL 4.95 BTP 0.95 BUND 2.75 BUXL 1.41 CAC 1.41 CAD 2.26 CANOLA 2.92 CHF 2.00 COCOA 2.51 COFFEE 0.39 COPPER 0.90 CORN 1.55 COTTON2 0.84 CRUDE_W 3.95 DAX 12.25 DOW 8.89 EUR 2.05 EUROSTX 2.14 FEEDCOW 1.55 FTSE100 6.14 GASOIL 1.85 GASOILINE 0.86 GAS_US 0.52 GBP 1.53 GOLD_micro 4.62 HEATOIL 1.53 JPY 4.04 LEANHOG 3.52 LIVECOW 2.59 MXP 2.16 NASDAQ 0.84 NIKKEI 37.90 NZD 1.39 OAT 0.84 OJ 1.00 PALLAD 0.31 PLAT 1.15 REDWHEAT 0.38 ROBUSTA 1.80 RUSSELL 17.99 SILVER-mini 0.91 SOYBEAN 4.20 SOYMEAL 4.23 SOYOIL 0.70 SP400 0.71 SP500 0.67 SUGAR11 1.57 US10 2.52 US10U 7.49 US20 2.80 US30 2.25 US5 3.32 VIX 10.08 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 -5.5 -3.6 -5.0 -5 BOBL 6.4 5.9 6.9 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.3 4.1 4.6 5.0 5 BUXL -0.5 -0.6 -0.3 0.0 0 CAC 1.3 1.2 1.5 0.0 0 CAD 2.0 1.7 2.2 0.0 0 CANOLA 5.2 4.9 5.5 NaN 0 CHF -2.5 -2.7 -2.3 -2.0 -2 COCOA -1.9 -2.2 -1.7 -5.0 -5 COFFEE 0.4 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 2.6 2.3 3.0 5.0 5 DAX -0.5 -1.7 0.7 0.0 0 DOW 2.7 1.8 3.6 0.0 0 EUR -1.9 -2.1 -1.7 -3.0 -3 EUROSTX 0.2 -0.0 0.4 2.0 2 FEEDCOW -1.2 -1.4 -1.1 -2.0 -2 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL 0.8 0.6 0.9 0.0 0 GASOILINE 0.0 -0.1 0.1 0.0 0 GAS_US -1.0 -1.1 -1.0 -1.0 -1 GBP 1.5 1.3 1.6 7.0 7 GOLD_micro -3.7 -4.2 -3.2 -2.0 -2 HEATOIL 0.6 0.4 0.7 0.0 0 JPY -2.1 -2.5 -1.7 -6.0 -6 LEANHOG -6.9 -7.2 -6.5 -7.0 -7 LIVECOW 1.3 1.0 1.5 0.0 0 MXP 2.8 2.6 3.0 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 31.5 27.7 35.3 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 0.6 0.5 0.7 0.0 0 REDWHEAT 0.3 0.3 0.4 0.0 0 ROBUSTA 2.3 2.1 2.5 3.0 3 RUSSELL -1.3 -3.1 0.5 -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 -0.1 -0.6 0.3 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 0.4 1.0 1 SUGAR11 1.1 0.9 1.2 3.0 3 US10 0.2 -0.0 0.5 NaN 0 US10U -3.1 -3.8 -2.3 -1.0 -1 US20 -1.5 -1.8 -1.2 0.0 0 US30 0.7 0.5 0.9 0.0 0 US5 0.4 0.1 0.7 0.0 0 VIX -19.5 -20.5 -18.5 -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 0.0 -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 -0.3 -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 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.3 0.0 -0.2 0.1 0.4 -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 0.1 0.3 BOBL 0.1 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 0.6 0.2 0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 1.7 2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 1.2 -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 -0.3 -0.1 0.1 BUND 0.1 0.3 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 0.0 0.0 0.6 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 0.0 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 -0.3 -0.1 -0.2 CAC 0.1 -0.3 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.4 0.1 0.3 0.0 0.3 1.2 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 1.2 -0.0 -0.3 0.0 0.1 CAD 0.2 -0.0 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 3.6 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 0.2 -0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 0.1 0.1 0.2 -0.9 -0.6 -0.3 -0.3 0.1 0.1 0.0 0.0 0.0 -0.9 -2.4 0.1 0.0 0.0 0.0 0.0 0.0 -2.5 0.1 -0.0 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 0.2 0.4 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 0.3 0.1 0.2 COPPER 0.0 -0.1 0.2 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 1.2 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 1.7 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.1 -0.0 -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 -0.1 -0.0 CRUDE_W 0.2 -0.0 -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 0.3 0.0 0.0 DAX 0.1 -0.3 0.3 0.0 0.0 0.1 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 -0.0 -0.3 -0.0 0.1 DOW 0.2 -0.2 -0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.1 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 -0.0 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 0.1 -0.3 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.0 0.3 0.1 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 2.2 -0.0 -0.2 0.0 0.0 FEEDCOW 0.1 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 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 0.1 -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 1.5 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 0.1 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 -0.1 -0.3 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -1.6 -0.5 -0.4 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 2.0 -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 1.0 2.0 0.0 0.0 0.0 0.0 -0.0 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 1.5 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 -0.1 -1.1 -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 -1.0 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 1.3 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 -0.2 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 -0.4 -0.1 0.4 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 0.3 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 0.1 0.2 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 0.7 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 0.1 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 0.1 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 -0.0 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 0.1 0.2 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.0 0.1 0.1 0.3 1.0 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 0.7 0.0 0.4 0.3 0.3 RUSSELL -0.0 -0.3 0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.5 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 -0.4 -0.2 -0.1 -0.1 0.2 0.1 0.0 0.0 0.0 -0.6 -3.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.1 -0.2 SOYBEAN -0.0 -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 -0.2 -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 0.9 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 0.7 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 0.1 0.1 0.1 -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 0.2 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.3 0.1 0.3 1.1 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 0.3 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 0.0 0.2 -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 0.1 0.2 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 0.0 0.2 -0.1 0.1 0.0 0.0 0.1 0.0 0.0 -0.1 0.0 -0.7 -2.9 0.1 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 -0.0 0.1 0.1 US20 0.1 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 -0.3 -2.7 0.1 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 0.0 -0.2 -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 -0.0 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 -0.1 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 -0.2 -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 -0.1 -0.0 -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 3.8 -14.9 1.8 2.8 2.9 1.6 4.8 -1.0 4.5 -12.1 1.2 -6.4 -4.7 -9.2 -10.3 -3.4 -2.9 -3.5 -3.3 -7.2 -4.9 -6.0 -5.5 -5.9 9.9 11.7 -3.0 -1.5 -2.4 -0.3 -2.8 -1.5 -0.9 -13.1 -14.8 -20.0 -10.6 BITCOIN 13.1 9.2 20.0 3.6 3.7 2.4 5.3 1.8 5.3 13.7 13.0 15.4 -9.5 15.4 15.2 -3.9 -1.8 -3.2 -2.2 17.5 11.2 16.2 -2.0 17.6 2.5 -18.1 5.4 3.4 4.0 3.9 0.9 4.9 0.8 -12.8 -4.1 8.1 20.0 BOBL 7.8 20.0 20.0 3.1 1.8 0.6 3.6 -2.5 4.4 -4.7 -8.8 -0.4 -12.8 8.7 4.0 7.2 5.3 1.4 2.2 3.4 -5.1 1.0 -13.4 6.4 11.5 10.8 2.4 2.7 -1.3 3.2 -5.7 4.0 8.3 -10.2 -1.9 -2.9 -7.8 BTP 5.7 7.2 12.8 3.1 1.8 0.6 3.6 -2.5 4.4 -7.1 4.3 0.5 -8.8 10.2 8.4 8.5 12.1 9.0 10.8 7.5 2.5 0.4 -9.1 7.1 -10.6 11.4 4.7 4.4 2.4 4.0 -3.7 4.7 20.0 -7.1 -13.2 -3.7 3.8 BUND 7.0 16.4 14.9 3.1 1.8 0.6 3.6 -2.5 4.4 -5.1 -9.2 -0.8 -13.0 8.0 1.6 6.7 13.4 8.8 10.9 2.6 -5.7 0.7 -15.0 5.7 8.7 12.3 2.6 3.3 -1.0 3.5 -6.0 4.1 20.0 -8.1 -7.4 -3.8 -6.0 BUXL 3.1 13.6 7.2 3.1 1.8 0.6 3.6 -2.5 4.4 -9.0 -9.6 -5.8 -13.2 4.2 -4.4 2.1 0.8 2.5 2.6 -1.1 -8.1 -2.9 -16.3 1.4 7.3 -10.8 1.4 2.7 -2.0 2.6 -6.5 3.0 4.3 -9.3 -14.5 -8.1 -14.6 CAC 7.5 -16.3 12.5 2.2 3.5 2.0 5.0 1.0 3.8 14.0 14.3 14.5 11.6 10.6 12.0 14.2 1.6 2.0 0.3 10.3 14.7 17.8 14.2 11.3 -15.4 8.9 2.2 3.6 5.0 4.0 5.2 1.6 8.8 -3.5 -15.1 2.3 6.2 CAD 18.5 -3.1 0.1 2.8 2.9 1.6 4.8 -1.0 4.5 3.3 -7.7 10.3 -10.2 4.7 -0.8 -2.7 -1.8 -2.6 -2.3 -0.0 -6.3 11.6 -10.9 8.7 17.1 10.4 0.2 6.0 -2.3 7.9 -4.2 4.8 0.9 11.0 6.5 -7.5 -6.9 CANOLA 7.3 -14.1 -18.6 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -7.6 -9.5 5.8 -11.9 -5.3 -9.5 20.0 14.4 18.0 14.7 -20.0 -19.9 -3.0 -11.5 -13.5 16.0 13.2 -5.4 -1.6 -4.5 -1.9 -2.3 -4.0 11.9 3.0 -20.0 -20.0 -20.0 CHF 12.9 -1.0 6.0 2.8 2.9 1.6 4.8 -1.0 4.5 11.4 11.7 13.2 4.4 12.1 7.9 -12.8 -13.7 -13.7 -14.1 8.4 6.6 13.4 3.1 12.4 -6.2 -11.5 4.2 11.1 2.8 10.5 0.3 7.1 -19.5 12.7 -2.1 7.3 1.1 COCOA 18.5 7.6 16.0 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 9.6 14.2 14.4 5.6 14.4 14.1 4.0 -1.3 2.0 0.6 19.2 16.5 12.8 9.4 18.5 -20.0 -10.4 5.8 3.6 5.3 4.9 3.4 5.8 -12.6 9.5 20.0 20.0 20.0 COFFEE -0.8 4.3 11.3 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 13.5 -5.0 11.9 -7.4 -2.0 6.9 4.8 3.4 3.4 3.4 3.2 -2.0 16.2 -7.0 6.6 11.4 10.0 1.2 18.9 -0.9 12.1 -2.8 3.8 -5.8 20.0 13.5 7.6 14.8 COPPER 3.1 -8.5 14.0 3.6 3.7 2.4 5.3 1.8 5.3 -4.0 8.6 3.1 -1.7 -1.8 2.5 -0.8 -0.5 -0.8 -0.8 1.9 6.4 -2.5 3.4 -1.6 0.1 11.1 -0.9 2.5 1.4 0.1 1.7 -1.2 2.9 -20.0 -20.0 -20.0 -4.9 CORN 12.1 -15.9 -20.0 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -9.1 -8.4 -2.9 -2.5 -10.0 -12.2 15.5 19.4 19.3 20.0 -14.3 -14.1 -5.8 -3.2 -8.6 11.3 11.0 -5.3 -6.7 -5.6 -4.6 -2.4 -3.7 20.0 -20.0 -0.1 -20.0 -20.0 COTTON2 7.7 -0.9 -1.5 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 3.3 -10.1 9.9 -11.2 0.9 -4.7 -2.9 8.2 -2.8 0.8 -4.5 -9.6 5.7 -10.6 1.2 13.4 12.0 -2.3 5.8 -3.2 4.8 -1.4 0.9 -3.7 13.8 7.7 -4.8 -0.1 CRUDE_W 19.4 -2.9 -5.3 -1.4 2.2 -2.2 3.7 1.0 1.4 13.0 -0.2 13.9 -2.1 9.1 1.8 8.6 11.3 8.2 9.0 1.2 -2.9 20.0 0.6 12.8 -9.1 10.8 0.2 7.9 -0.7 9.2 1.6 4.6 -1.8 20.0 16.3 2.6 3.1 DAX 6.0 -17.4 14.0 2.2 3.5 2.0 5.0 1.0 3.8 13.9 14.5 13.8 6.9 10.4 11.8 -6.5 -5.7 -7.7 -7.4 8.2 12.2 13.6 9.7 8.8 -19.0 9.9 2.3 3.5 5.3 3.8 4.3 1.6 -3.6 -5.8 -16.6 -0.9 4.3 DOW 18.6 -11.5 -2.8 2.2 3.5 2.0 5.0 1.0 3.8 13.9 6.3 14.5 0.8 3.5 -2.2 -7.0 -4.9 -7.1 -6.6 0.5 -1.0 20.0 0.1 11.5 -0.6 10.8 1.5 7.1 1.1 9.0 1.3 5.3 -2.4 6.0 4.3 -0.8 -10.9 EUR 14.6 -2.5 13.8 2.8 2.9 1.6 4.8 -1.0 4.5 -1.8 11.2 11.1 -0.7 10.5 5.2 -6.3 -8.4 -7.2 -7.9 9.2 8.2 7.9 0.7 10.9 -11.8 -11.1 4.4 6.7 3.6 7.7 -0.5 6.3 -9.7 2.3 1.8 6.3 6.5 EUROSTX 8.2 -16.8 12.5 2.2 3.5 2.0 5.0 1.0 3.8 14.0 14.8 14.9 11.4 12.5 13.0 -1.0 5.4 4.1 5.2 10.1 14.0 15.6 12.5 11.1 -18.6 -8.5 2.7 4.1 5.6 4.7 5.5 2.4 16.6 -4.3 -12.0 1.6 3.5 FEEDCOW 6.5 18.2 15.6 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 14.0 12.0 14.2 8.2 14.1 13.7 -20.0 -20.0 -20.0 -20.0 20.0 16.7 20.0 9.1 20.0 -20.0 12.2 6.1 7.4 5.1 7.3 3.2 6.4 -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 5.2 -5.9 -10.5 -1.4 2.2 -2.2 3.7 1.0 1.4 2.2 -11.6 3.4 6.1 -5.1 -10.8 18.2 20.0 20.0 20.0 -8.0 -7.9 2.2 3.7 -2.3 1.1 -15.4 -3.7 0.8 -4.6 1.9 -0.2 -0.4 20.0 -1.9 -6.0 -4.8 -11.1 GASOILINE 17.0 1.8 4.1 -1.4 2.2 -2.2 3.7 1.0 1.4 14.1 5.3 14.9 2.5 11.1 8.7 20.0 13.5 13.1 9.4 7.8 3.9 20.0 7.0 16.4 -17.9 -13.1 3.3 9.3 3.0 10.4 5.7 6.4 -0.1 14.3 20.0 10.5 20.0 GAS_US -7.8 -4.2 -20.0 -1.4 2.2 -2.2 3.7 1.0 1.4 1.0 -16.6 -12.0 -13.9 -14.8 -16.4 -20.0 -11.3 -20.0 -15.8 -20.0 -20.0 -10.3 -20.0 -18.6 16.1 -9.3 -6.3 -4.6 -6.6 -5.9 -3.2 -6.1 -20.0 -20.0 -20.0 -9.8 -20.0 GBP 15.6 5.9 9.7 2.8 2.9 1.6 4.8 -1.0 4.5 0.7 12.9 10.6 -1.3 12.7 9.5 -1.5 -1.9 -1.9 -2.0 10.8 6.5 10.0 -2.0 13.8 7.2 9.4 4.0 5.0 0.8 7.4 -3.9 6.8 1.0 1.9 6.1 11.7 -2.6 GOLD_micro 14.8 7.8 15.0 3.6 3.7 2.4 5.3 1.8 5.3 3.4 11.8 10.6 1.5 13.2 12.0 -10.6 -10.6 -11.5 -11.6 17.4 13.2 11.9 6.8 18.3 -2.7 -13.8 5.1 3.4 3.7 5.1 2.1 5.9 -15.2 -4.6 9.2 16.1 12.6 HEATOIL 6.2 -10.0 -12.0 -1.4 2.2 -2.2 3.7 1.0 1.4 6.7 -10.9 7.8 5.1 -3.5 -10.3 17.4 20.0 20.0 20.0 -9.1 -9.2 6.8 3.6 -0.7 -6.0 -13.6 -3.2 1.6 -2.6 3.0 3.7 -0.1 20.0 -2.7 -1.2 -8.1 -3.7 JPY 5.1 -3.7 6.8 2.8 2.9 1.6 4.8 -1.0 4.5 -13.6 5.9 -7.8 -6.6 3.0 -2.6 -14.8 -12.7 -14.4 -13.9 0.9 1.1 -10.0 -7.3 -1.8 2.1 9.9 1.8 -1.1 0.9 0.8 -4.6 2.1 -18.5 -20.0 -5.1 -2.4 -0.4 LEANHOG -18.7 -20.0 -20.0 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -12.6 -14.1 -14.8 -10.8 -15.0 -15.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.4 -20.0 20.0 -11.1 -6.1 -4.6 -5.0 -5.4 -3.0 -5.9 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 13.0 -8.2 5.1 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 14.0 12.0 14.2 8.9 11.1 9.8 20.0 -6.4 20.0 16.4 9.3 8.2 20.0 6.5 16.7 -20.0 12.0 3.2 10.4 3.6 10.3 3.8 5.8 -7.5 20.0 20.0 12.2 20.0 MXP 8.3 -8.9 3.7 2.8 2.9 1.6 4.8 -1.0 4.5 0.5 14.2 11.2 15.1 11.1 13.0 16.9 20.0 18.8 20.0 13.8 17.4 7.7 17.9 10.9 -20.0 9.7 5.0 -0.2 7.3 1.6 7.7 3.0 20.0 -10.0 -10.7 16.1 20.0 NASDAQ 17.3 13.6 20.0 2.2 3.5 2.0 5.0 1.0 3.8 1.0 4.9 11.1 -7.9 13.1 14.2 -7.8 -5.4 -7.3 -6.6 19.2 11.4 12.7 -1.8 19.6 -2.9 10.2 5.9 0.5 4.4 3.6 1.6 5.6 -2.7 -6.1 18.4 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 5.3 -7.8 3.4 2.8 2.9 1.6 4.8 -1.0 4.5 -13.4 7.5 -2.0 -1.4 0.6 -5.6 1.3 0.6 0.8 0.5 -1.3 -0.1 -4.5 -2.7 -0.7 1.9 10.8 -0.2 -5.8 -0.0 -0.8 -1.8 0.8 5.2 -14.6 -11.9 -7.9 -9.3 OAT 7.8 10.2 9.2 3.1 1.8 0.6 3.6 -2.5 4.4 -6.0 -8.3 0.0 -12.8 8.2 -0.8 9.6 11.9 10.2 11.2 1.7 -5.8 0.5 -14.5 5.2 5.6 12.7 2.4 3.9 -1.2 3.9 -6.9 4.1 20.0 -7.1 -8.9 -7.0 -7.7 OJ 19.8 5.6 -8.2 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 12.2 15.2 13.9 15.3 14.8 14.7 20.0 19.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.4 4.2 7.1 5.7 7.1 5.9 20.0 20.0 20.0 20.0 20.0 PALLAD 11.1 -4.3 -20.0 3.6 3.7 2.4 5.3 1.8 5.3 3.5 -14.9 2.9 -14.4 -4.3 -12.5 -2.4 -2.1 -2.6 -2.5 -15.7 -20.0 0.9 -20.0 -3.6 20.0 -11.1 -3.9 8.0 -6.6 5.4 -5.9 1.0 0.0 -2.7 -20.0 -20.0 -20.0 PLAT 7.4 2.3 -5.4 3.6 3.7 2.4 5.3 1.8 5.3 1.2 3.6 4.3 0.6 9.2 -3.0 -2.5 -1.4 -2.2 -1.8 1.7 0.8 4.8 1.3 5.4 1.4 11.2 0.1 4.6 -0.4 5.7 -0.1 3.4 1.3 -3.5 -20.0 -11.1 -17.1 REDWHEAT 20.0 -0.6 -3.8 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -1.8 -8.6 11.4 -10.8 6.4 3.0 14.8 5.4 11.3 8.7 1.5 -6.9 8.0 -7.3 9.0 -2.3 12.9 0.5 -4.8 -1.5 0.2 -0.1 2.6 -0.2 -6.0 20.0 -1.3 1.8 ROBUSTA 13.7 12.1 20.0 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 13.9 7.8 15.2 3.6 14.6 14.5 12.6 9.7 10.6 10.4 20.0 15.2 20.0 7.8 20.0 -7.3 9.6 5.4 7.5 3.7 7.5 1.8 6.3 5.3 20.0 20.0 20.0 20.0 RUSSELL -1.7 -20.0 3.8 2.2 3.5 2.0 5.0 1.0 3.8 6.5 -4.7 3.4 -9.1 -10.8 -10.6 -5.0 -4.2 -5.4 -5.2 -10.9 -6.6 1.4 -5.6 -8.2 3.9 10.0 -2.9 0.5 -0.6 -1.1 0.1 -3.2 -0.6 -20.0 -20.0 -20.0 -9.8 SILVER-mini 20.0 7.4 1.7 3.6 3.7 2.4 5.3 1.8 5.3 13.2 9.0 15.3 -0.1 14.4 9.0 -5.7 -4.8 -5.7 -5.4 15.7 7.5 20.0 2.6 20.0 -2.9 -11.3 3.4 5.9 1.3 8.5 -0.1 7.1 -4.8 15.7 20.0 5.5 -9.1 SOYBEAN -3.1 -17.4 -15.9 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -5.2 -4.1 4.2 -0.7 -4.8 -7.5 20.0 20.0 20.0 20.0 -13.3 -9.6 -1.2 -1.5 -8.9 -1.5 -11.7 -4.5 0.0 -2.9 -0.6 0.3 -3.3 20.0 14.2 -20.0 -20.0 -16.7 SOYMEAL -19.5 -20.0 7.0 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -0.9 10.5 -1.4 12.4 -4.4 0.6 11.2 17.7 16.5 18.0 -0.0 10.8 -3.2 15.8 -6.2 -20.0 -12.0 -1.0 3.1 4.2 -0.4 7.9 -3.1 19.0 10.8 -20.0 -10.7 14.2 SOYOIL -3.0 -15.0 -20.0 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -8.9 -10.8 -1.3 -2.7 -8.2 -11.4 -1.3 12.0 1.4 5.9 -18.1 -15.5 -7.1 -5.3 -13.6 4.6 12.9 -5.6 -1.2 -4.6 -2.1 -1.2 -4.2 4.1 4.6 -13.1 -20.0 -20.0 SP400 2.1 -20.0 3.0 2.2 3.5 2.0 5.0 1.0 3.8 9.0 1.7 7.8 -1.7 -6.8 -7.7 -4.7 -4.0 -5.2 -4.8 -7.8 -2.8 5.9 -0.2 -4.0 0.2 10.2 -2.5 1.3 -0.2 0.1 1.0 -2.3 -0.0 -16.9 -20.0 -20.0 -10.5 SP500 17.2 -3.1 8.2 2.2 3.5 2.0 5.0 1.0 3.8 12.4 3.5 14.1 -6.0 7.6 5.7 -7.5 -5.7 -7.4 -6.8 6.6 2.5 16.8 -2.3 13.4 1.6 10.2 4.0 5.2 2.7 7.7 0.6 6.2 -3.1 1.5 7.9 5.0 0.3 SUGAR11 19.8 15.7 15.7 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 13.8 15.4 15.6 12.8 16.0 16.0 14.6 20.0 20.0 20.0 20.0 20.0 20.0 16.0 20.0 -20.0 -10.5 6.1 12.8 5.6 12.2 4.7 8.3 20.0 20.0 20.0 20.0 20.0 US10 14.4 16.8 17.9 3.1 1.8 0.6 3.6 -2.5 4.4 0.1 -1.7 7.2 -10.6 12.2 9.1 -8.6 -4.4 -8.4 -7.6 8.8 0.3 6.9 -10.1 12.5 -2.2 9.7 4.2 2.7 1.4 4.8 -2.4 5.5 -9.3 2.3 1.2 8.5 2.5 US10U 13.0 15.3 16.7 3.1 1.8 0.6 3.6 -2.5 4.4 1.1 -1.6 7.7 -10.5 12.3 9.4 -0.6 2.4 0.3 0.8 8.4 0.2 7.4 -10.5 12.2 -5.1 -14.1 4.5 3.1 1.9 5.2 -1.9 5.7 3.9 4.3 -2.0 7.6 5.1 US20 12.4 14.2 16.2 3.1 1.8 0.6 3.6 -2.5 4.4 4.3 0.4 8.5 -9.0 12.9 10.1 -0.8 -1.5 -2.8 -3.0 9.1 0.7 10.1 -10.3 13.4 -2.6 -12.3 4.3 3.8 1.6 5.8 -2.1 5.9 -2.6 8.1 -4.2 6.4 1.8 US30 8.1 9.4 14.0 3.1 1.8 0.6 3.6 -2.5 4.4 4.3 0.2 8.0 -10.5 11.2 5.6 -0.5 -0.5 -0.8 -0.9 5.7 -1.3 7.5 -13.3 9.1 -6.9 10.0 4.5 5.5 2.0 6.8 -2.7 6.0 -0.0 8.2 -11.3 -0.1 1.6 US5 14.1 19.3 20.0 3.1 1.8 0.6 3.6 -2.5 4.4 -0.9 -1.8 6.6 -11.0 12.1 9.1 -8.8 -4.9 -9.4 -8.5 8.5 0.1 5.9 -9.8 12.0 -0.4 10.8 3.8 2.0 0.9 4.2 -3.1 5.2 -10.5 0.5 2.0 8.3 0.8 VIX -5.9 20.0 0.2 -2.6 -2.2 -5.6 -2.0 -6.5 -1.2 -13.9 -12.1 -13.6 -13.0 -5.5 -7.0 -20.0 -20.0 -20.0 -20.0 -4.8 -9.7 -10.2 -12.3 -5.7 NaN -13.5 -2.8 -3.5 -7.1 -3.0 -8.8 -1.4 NaN NaN NaN NaN NaN WHEAT 5.1 -10.9 -11.5 -2.8 -0.6 -3.3 -1.2 -2.3 -1.9 -13.3 -13.7 -2.2 -14.6 -10.2 -10.5 -12.9 -8.3 -11.8 -10.3 -14.8 -19.1 -10.4 -16.6 -10.2 7.3 11.9 -4.8 -8.2 -4.8 -5.5 -2.6 -4.0 -20.0 -16.0 -2.2 -20.0 -9.9 End of report for caleb_strategy_v1