******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230413_204645 produced at 2023-04-13 21:37:19.049170 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.18 0.0 8.536907e+06 -8.536907e+06 -0.17 -0.17 -20.50 999999999.0 -20 -20 caleb_strategy_v1 US10U False False 0.05 -0.14 -0.16 0.0 4.782340e+07 -4.782340e+07 -0.14 -0.14 -3.43 999999999.0 -3 -3 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.577019e+07 -5.577019e+07 -0.11 -0.11 -2.18 999999999.0 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.10 0.0 1.389903e+07 -1.389903e+07 -0.10 -0.10 -7.01 999999999.0 -7 -7 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.09 0.0 5.452113e+07 -5.452113e+07 -0.16 -0.16 -1.66 999999999.0 -3 -3 caleb_strategy_v1 JPY False False 0.04 -0.22 -0.08 0.0 3.741044e+07 -3.741044e+07 -0.22 -0.22 -2.21 999999999.0 -6 -6 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.184351e+07 -5.184351e+07 0.00 0.00 -1.55 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.422865e+07 -4.422865e+07 -0.09 -0.09 -1.20 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 5.961164e+07 -5.961164e+07 0.00 0.00 -0.56 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 8.072294e+06 -8.072294e+06 -0.01 -0.01 -3.72 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.148352e+07 -1.148352e+07 -0.06 -0.06 -1.88 999999999.0 -5 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8.670665e+06 -8.670665e+06 -0.01 -0.01 -1.03 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.586212e+07 -1.586212e+07 0.00 0.00 -0.34 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.942395e+07 -5.942395e+07 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 1.381838e+07 -1.381838e+07 -0.01 -0.01 -0.37 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.568202e+07 -2.568202e+07 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.01 0.0 1.204805e+06 -1.204805e+06 -0.01 -0.01 -5.01 999999999.0 -5 -5 caleb_strategy_v1 DAX False False 0.01 0.00 0.00 0.0 6.877768e+06 -6.877768e+06 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.06 0.00 0.0 1.867780e+07 -1.867780e+07 0.06 0.06 0.23 999999999.0 3 3 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.263777e+07 -1.263777e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.05 0.05 0.00 0.0 4.508313e+07 -4.508313e+07 0.05 0.05 0.04 999999999.0 1 1 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.627717e+07 -1.627717e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.31 -0.00 0.0 3.559929e+06 -3.559929e+06 -0.31 -0.31 -0.62 999999999.0 -86 -86 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 2.090952e+07 -2.090952e+07 0.00 0.00 0.62 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 0.01 0.0 1.766786e+07 -1.766786e+07 0.00 0.00 0.53 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.59 0.01 0.0 9.915401e+07 -9.915401e+07 0.59 0.59 0.15 999999999.0 6 6 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.026632e+07 -1.026632e+07 0.01 0.01 1.03 999999999.0 1 1 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.542608e+07 -4.542608e+07 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.677323e+07 -2.677323e+07 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.881206e+07 -2.881206e+07 0.03 0.03 0.38 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 3.022340e+07 -3.022340e+07 0.00 0.00 0.77 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.02 0.0 4.327157e+07 -4.327157e+07 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.206446e+07 -8.206446e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.345411e+06 -4.345411e+06 0.00 0.00 5.62 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.378795e+06 -9.378795e+06 0.02 0.02 2.36 999999999.0 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.02 0.0 1.638929e+07 -1.638929e+07 0.03 0.03 0.94 999999999.0 2 2 caleb_strategy_v1 DOW False False 0.01 0.01 0.02 0.0 6.724092e+06 -6.724092e+06 0.01 0.01 3.22 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.060932e+07 -4.060932e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.479244e+07 -2.479244e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.03 0.0 4.337960e+07 -4.337960e+07 0.00 0.00 0.62 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.03 0.0 1.089242e+07 -1.089242e+07 0.05 0.05 2.41 999999999.0 5 5 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.582218e+07 -2.582218e+07 0.00 0.00 1.10 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.078719e+07 -1.078719e+07 0.00 0.00 2.96 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.04 0.0 5.561775e+07 -5.561775e+07 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.05 0.0 2.589791e+07 -2.589791e+07 0.00 0.00 1.92 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.22 0.05 0.0 3.083318e+07 -3.083318e+07 0.22 0.22 1.60 999999999.0 7 7 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.05 0.0 1.039595e+08 -1.039595e+08 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 3.246358e+07 -3.246358e+07 0.03 0.03 1.59 999999999.0 1 1 caleb_strategy_v1 BTP False False 0.05 0.10 0.06 0.0 4.954672e+07 -4.954672e+07 0.10 0.10 1.12 999999999.0 2 2 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.952904e+07 -2.952904e+07 0.00 0.00 2.08 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.586917e+07 -5.586917e+07 0.00 0.00 1.28 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.09 0.0 3.084695e+07 -3.084695e+07 0.12 0.12 2.99 999999999.0 4 4 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 0.35 0.25 0.0 5.830221e+07 -5.830221e+07 0.35 0.35 4.37 999999999.0 6 6 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 31.47 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.10 0.33 0.0 5.078269e+07 -5.078269e+07 0.10 0.10 6.52 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 16.9 Shocked risk 43.8 Sum abs risk 46.1 Leverage 2.91 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2541904.35, 'annual_cash_vol_target': 635476.0875, 'daily_cash_vol_target': 39717.25546875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6806 0.7640 12.2235 BITCOIN 961.6674 30625.0000 3.1401 50.2422 BOBL 0.5083 117.5100 0.4325 6.9205 BTP 0.7487 114.6500 0.6530 10.4484 BUND 0.9186 134.9100 0.6809 10.8947 BUXL 2.0888 137.9400 1.5143 24.2286 CAC 71.8448 7512.0000 0.9564 15.3024 CAD 0.0032 0.7506 0.4309 6.8948 CANOLA 8.0426 742.1000 1.0838 17.3403 CHF 0.0061 1.1341 0.5357 8.5716 COCOA 35.9653 2919.0000 1.2321 19.7138 COFFEE 3.6494 195.3000 1.8686 29.8980 COPPER 0.0476 4.1290 1.1540 18.4632 CORN 4.4515 553.7500 0.8039 12.8623 COTTON2 1.3676 83.3200 1.6414 26.2626 CRUDE_W 1.2997 78.4100 1.6576 26.5209 DAX 153.8737 15915.0000 0.9668 15.4696 DOW 254.1450 34184.0000 0.7435 11.8954 EUR 0.0058 1.1087 0.5219 8.3505 EUROSTX 46.0095 4322.0000 1.0645 17.0327 FEEDCOW 1.3578 224.8500 0.6039 9.6617 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.8787 768.2500 1.9367 30.9872 GASOILINE 0.0439 2.7285 1.6096 25.7543 GAS_US 0.1112 2.2040 5.0470 80.7514 GBP 0.0072 1.2540 0.5723 9.1568 GOLD_micro 18.5634 2051.9000 0.9047 14.4751 HEATOIL 0.0427 2.6254 1.6267 26.0272 JPY 0.0000 0.0076 0.6473 10.3569 LEANHOG 1.2915 88.3250 1.4622 23.3957 LIVECOW 1.0001 164.5750 0.6077 9.7226 MXP 0.0004 0.0548 0.7944 12.7105 NASDAQ 134.8183 13212.7500 1.0204 16.3258 NIKKEI 261.6933 27645.0000 0.9466 15.1459 NZD 0.0048 0.6302 0.7627 12.2030 OAT 0.8400 129.2800 0.6498 10.3964 OJ 4.5065 268.8000 1.6765 26.8247 PALLAD 30.5968 1510.5000 2.0256 32.4098 PLAT 17.7200 1063.0000 1.6670 26.6717 REDWHEAT 11.0447 827.5000 1.3347 21.3553 ROBUSTA 28.6570 2384.0000 1.2021 19.2329 RUSSELL 22.4803 1809.8000 1.2421 19.8742 SILVER-mini 0.3770 26.1125 1.4439 23.1021 SOYBEAN 10.8445 1312.7500 0.8261 13.2174 SOYMEAL 5.2929 449.1000 1.1786 18.8570 SOYOIL 0.8323 53.5400 1.5545 24.8714 SP400 27.9267 2520.4000 1.1080 17.7284 SP500 33.9297 4172.0000 0.8133 13.0124 SUGAR11 0.3102 23.3000 1.3314 21.3021 US10 0.5818 115.4688 0.5038 8.0614 US10U 0.7477 121.5625 0.6150 9.8406 US20 1.0170 131.7812 0.7717 12.3475 US30 1.4576 141.3750 1.0310 16.4963 US5 0.4382 109.9922 0.3984 6.3745 VIX 0.7148 21.7000 3.2938 52.7014 WHEAT 9.5789 702.5000 1.3635 21.8167 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.55 0.76 519.92 1.00 519.92 39717.26 76.39 3.49 26.64 BITCOIN 30.62 3.14 96.17 1.00 96.17 39717.26 413.00 -5.15 -212.51 BOBL 1175.10 0.43 508.27 1.09 555.66 39717.26 71.48 12.64 90.37 BTP 1146.50 0.65 748.70 1.09 818.51 39717.26 48.52 11.42 55.42 BUND 1349.10 0.68 918.63 1.09 1004.29 39717.26 39.55 15.31 60.54 BUXL 1379.40 1.51 2088.81 1.09 2283.59 39717.26 17.39 -3.81 -6.63 CAC 751.20 0.96 718.45 1.09 785.44 39717.26 50.57 11.20 56.63 CAD 750.60 0.43 323.45 1.00 323.45 39717.26 122.79 9.49 116.56 CANOLA 148.42 1.08 160.85 0.74 119.56 39717.26 332.20 18.45 612.76 CHF 1417.62 0.54 759.46 1.00 759.46 39717.26 52.30 -11.14 -58.27 COCOA 291.90 1.23 359.65 1.00 359.65 39717.26 110.43 -7.81 -86.28 COFFEE 732.38 1.87 1368.53 1.00 1368.53 39717.26 29.02 10.18 29.55 COPPER 1032.25 1.15 1191.17 1.00 1191.17 39717.26 33.34 5.45 18.16 CORN 276.88 0.80 222.58 1.00 222.58 39717.26 178.44 14.95 266.76 COTTON2 416.60 1.64 683.81 1.00 683.81 39717.26 58.08 10.80 62.76 CRUDE_W 784.10 1.66 1299.69 1.00 1299.69 39717.26 30.56 7.40 22.62 DAX 159.15 0.97 153.87 1.09 168.22 39717.26 236.10 0.25 5.94 DOW 170.92 0.74 127.07 1.00 127.07 39717.26 312.56 3.61 112.91 EUR 1385.88 0.52 723.30 1.00 723.30 39717.26 54.91 -8.05 -44.22 EUROSTX 432.20 1.06 460.09 1.09 503.00 39717.26 78.96 1.02 8.03 FEEDCOW 1124.25 0.60 678.89 1.00 678.89 39717.26 58.50 -7.64 -44.67 FTSE100 707.00 0.82 576.59 1.24 666.67 39717.26 59.58 7.70 45.86 GASOIL 768.25 1.94 1487.87 1.00 1487.87 39717.26 26.69 4.06 10.84 GASOILINE 1145.97 1.61 1844.61 1.00 1844.61 39717.26 21.53 0.47 1.02 GAS_US 220.40 5.05 1112.35 1.00 1112.35 39717.26 35.71 -19.11 -68.25 GBP 783.75 0.57 448.54 1.00 448.54 39717.26 88.55 10.14 89.83 GOLD_micro 205.19 0.90 185.63 1.00 185.63 39717.26 213.96 -7.78 -166.38 HEATOIL 1102.67 1.63 1793.71 1.00 1793.71 39717.26 22.14 3.93 8.71 JPY 950.94 0.65 615.55 1.00 615.55 39717.26 64.52 -5.30 -34.21 LEANHOG 353.30 1.46 516.61 1.00 516.61 39717.26 76.88 -19.52 -150.09 LIVECOW 658.30 0.61 400.02 1.00 400.02 39717.26 99.29 7.19 71.39 MXP 274.20 0.79 217.83 1.00 217.83 39717.26 182.33 13.26 241.79 NASDAQ 2642.55 1.02 2696.37 1.00 2696.37 39717.26 14.73 5.67 8.36 NIKKEI 27645.00 0.95 26169.33 0.01 198.98 39717.26 199.60 8.30 165.71 NZD 630.20 0.76 480.65 1.00 480.65 39717.26 82.63 6.94 57.34 OAT 1292.80 0.65 840.03 1.09 918.36 39717.26 43.25 14.65 63.35 OJ 403.20 1.68 675.98 1.00 675.98 39717.26 58.75 -3.36 -19.75 PALLAD 1510.50 2.03 3059.68 1.00 3059.68 39717.26 12.98 -3.94 -5.12 PLAT 531.50 1.67 886.00 1.00 886.00 39717.26 44.83 5.75 25.76 REDWHEAT 413.75 1.33 552.23 1.00 552.23 39717.26 71.92 7.55 54.29 ROBUSTA 238.40 1.20 286.57 1.00 286.57 39717.26 138.60 13.12 181.86 RUSSELL 90.49 1.24 112.40 1.00 112.40 39717.26 353.35 -0.34 -11.91 SILVER-mini 652.81 1.44 942.58 1.00 942.58 39717.26 42.14 -4.62 -19.49 SOYBEAN 656.38 0.83 542.22 1.00 542.22 39717.26 73.25 2.55 18.70 SOYMEAL 449.10 1.18 529.29 1.00 529.29 39717.26 75.04 1.20 9.03 SOYOIL 321.24 1.55 499.35 1.00 499.35 39717.26 79.54 2.98 23.74 SP400 2520.40 1.11 2792.67 1.00 2792.67 39717.26 14.22 1.98 2.82 SP500 2086.00 0.81 1696.49 1.00 1696.49 39717.26 23.41 4.29 10.04 SUGAR11 260.96 1.33 347.44 1.00 347.44 39717.26 114.31 6.62 75.63 US10 1154.69 0.50 581.78 1.00 581.78 39717.26 68.27 0.77 5.24 US10U 1215.62 0.62 747.66 1.00 747.66 39717.26 53.12 -4.43 -23.54 US20 1317.81 0.77 1016.98 1.00 1016.98 39717.26 39.05 -5.37 -20.99 US30 1413.75 1.03 1457.60 1.00 1457.60 39717.26 27.25 3.09 8.41 US5 1099.92 0.40 438.22 1.00 438.22 39717.26 90.63 1.22 11.03 VIX 217.00 3.29 714.76 1.00 714.76 39717.26 55.57 -19.58 -108.80 WHEAT 351.25 1.36 478.94 1.00 478.94 39717.26 82.93 -8.44 -69.99 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 26.640 0.006 2.5 0.426 BITCOIN -212.512 0.009 2.5 -5.007 BOBL 90.374 0.029 2.5 6.521 BTP 55.424 0.008 2.5 1.119 BUND 60.539 0.029 2.5 4.368 BUXL -6.626 0.034 2.5 -0.556 CAC 56.633 0.011 2.5 1.592 CAD 116.559 0.007 2.5 2.081 CANOLA 612.764 0.004 2.5 5.625 CHF -58.268 0.015 2.5 -2.181 COCOA -86.279 0.009 2.5 -1.879 COFFEE 29.546 0.005 2.5 0.383 COPPER 18.161 0.011 2.5 0.496 CORN 266.758 0.004 2.5 2.406 COTTON2 62.757 0.006 2.5 0.945 CRUDE_W 22.617 0.053 2.5 2.988 DAX 5.939 0.022 2.5 0.323 DOW 112.910 0.011 2.5 3.218 EUR -44.225 0.015 2.5 -1.655 EUROSTX 8.031 0.011 2.5 0.226 FEEDCOW -44.673 0.011 2.5 -1.200 FTSE100 45.859 0.041 2.5 4.728 GASOIL 10.840 0.029 2.5 0.773 GASOILINE 1.022 0.016 2.5 0.042 GAS_US -68.251 0.006 2.5 -1.028 GBP 89.831 0.007 2.5 1.604 GOLD_micro -166.377 0.009 2.5 -3.723 HEATOIL 8.713 0.029 2.5 0.621 JPY -34.209 0.026 2.5 -2.214 LEANHOG -150.086 0.019 2.5 -7.012 LIVECOW 71.392 0.011 2.5 1.918 MXP 241.792 0.005 2.5 2.960 NASDAQ 8.357 0.022 2.5 0.454 NIKKEI 165.714 0.076 2.5 31.475 NZD 57.338 0.006 2.5 0.916 OAT 63.350 0.008 2.5 1.279 OJ -19.746 0.007 2.5 -0.344 PALLAD -5.116 0.010 2.5 -0.123 PLAT 25.756 0.010 2.5 0.620 REDWHEAT 54.293 0.002 2.5 0.290 ROBUSTA 181.862 0.005 2.5 2.358 RUSSELL -11.915 0.021 2.5 -0.617 SILVER-mini -19.487 0.009 2.5 -0.436 SOYBEAN 18.703 0.024 2.5 1.103 SOYMEAL 9.031 0.024 2.5 0.532 SOYOIL 23.737 0.004 2.5 0.218 SP400 2.819 0.021 2.5 0.146 SP500 10.045 0.011 2.5 0.286 SUGAR11 75.635 0.005 2.5 1.026 US10 5.244 0.015 2.5 0.201 US10U -23.542 0.058 2.5 -3.430 US20 -20.987 0.029 2.5 -1.547 US30 8.413 0.034 2.5 0.706 US5 11.027 0.015 2.5 0.423 VIX -108.805 0.075 2.5 -20.504 WHEAT -69.987 0.002 2.5 -0.374 ==================== Position diags ==================== AUD 1.22 BITCOIN 9.73 BOBL 5.16 BTP 0.98 BUND 2.85 BUXL 1.46 CAC 1.42 CAD 2.19 CANOLA 3.05 CHF 1.96 COCOA 2.41 COFFEE 0.38 COPPER 0.91 CORN 1.61 COTTON2 0.87 CRUDE_W 4.04 DAX 12.82 DOW 8.91 EUR 2.06 EUROSTX 2.22 FEEDCOW 1.57 FTSE100 6.14 GASOIL 1.90 GASOILINE 0.88 GAS_US 0.54 GBP 1.58 GOLD_micro 4.79 HEATOIL 1.58 JPY 4.18 LEANHOG 3.59 LIVECOW 2.67 MXP 2.23 NASDAQ 0.80 NIKKEI 37.91 NZD 1.32 OAT 0.87 OJ 1.02 PALLAD 0.31 PLAT 1.08 REDWHEAT 0.38 ROBUSTA 1.80 RUSSELL 18.30 SILVER-mini 0.94 SOYBEAN 4.32 SOYMEAL 4.42 SOYOIL 0.73 SP400 0.74 SP500 0.67 SUGAR11 1.55 US10 2.62 US10U 7.74 US20 2.88 US30 2.29 US5 3.48 VIX 10.47 WHEAT 0.44 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.5 0.0 0 BITCOIN -5.0 -6.0 -4.0 -5.0 -5 BOBL 6.5 6.0 7.0 2.0 2 BTP 1.1 1.0 1.2 2.0 2 BUND 4.4 4.1 4.7 6.0 6 BUXL -0.6 -0.7 -0.4 0.0 0 CAC 1.6 1.4 1.7 1.0 1 CAD 2.1 1.9 2.3 0.0 0 CANOLA 5.6 5.3 5.9 NaN 0 CHF -2.2 -2.4 -2.0 -2.0 -2 COCOA -1.9 -2.1 -1.6 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.4 2.2 2.6 5.0 5 COTTON2 0.9 0.9 1.0 2.0 2 CRUDE_W 3.0 2.6 3.4 4.0 4 DAX 0.3 -1.0 1.6 0.0 0 DOW 3.2 2.3 4.1 1.0 1 EUR -1.7 -1.9 -1.4 -3.0 -3 EUROSTX 0.2 0.0 0.4 3.0 3 FEEDCOW -1.2 -1.4 -1.0 -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 -0.0 0.1 1.0 1 GAS_US -1.0 -1.1 -1.0 -1.0 -1 GBP 1.6 1.4 1.8 7.0 7 GOLD_micro -3.7 -4.2 -3.2 -1.0 -1 HEATOIL 0.6 0.5 0.8 0.0 0 JPY -2.2 -2.6 -1.8 -6.0 -6 LEANHOG -7.0 -7.4 -6.7 -7.0 -7 LIVECOW 1.9 1.7 2.2 0.0 0 MXP 3.0 2.7 3.2 0.0 0 NASDAQ 0.5 0.4 0.5 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 1.4 0.0 0 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 0.3 0.0 0 ROBUSTA 2.4 2.2 2.5 2.0 2 RUSSELL -0.6 -2.4 1.2 -86.0 -86 SILVER-mini -0.4 -0.5 -0.3 0.0 0 SOYBEAN 1.1 0.7 1.5 0.0 0 SOYMEAL 0.5 0.1 1.0 0.0 0 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 0.1 0.1 0.2 6.0 6 SP500 0.3 0.2 0.4 0.0 0 SUGAR11 1.0 0.9 1.2 1.0 1 US10 0.2 -0.1 0.5 NaN 0 US10U -3.4 -4.2 -2.7 -3.0 -3 US20 -1.5 -1.8 -1.3 0.0 0 US30 0.7 0.5 0.9 0.0 0 US5 0.4 0.1 0.8 0.0 0 VIX -20.5 -21.6 -19.5 -20.0 -20 WHEAT -0.4 -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 0.1 0.1 0.0 0.2 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 1.2 2.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.3 -0.3 -0.2 BITCOIN 0.1 0.2 0.3 0.1 0.0 0.1 0.1 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 0.2 0.0 -0.0 0.0 0.6 -4.8 0.1 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.3 0.0 0.3 BOBL 0.0 0.3 0.3 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 0.0 0.1 0.6 0.2 0.0 0.1 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 -0.1 -0.1 -0.1 BTP 0.0 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 -0.2 -0.1 0.1 BUND 0.0 0.3 0.3 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 0.0 0.0 0.5 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 -0.2 -0.1 -0.1 BUXL -0.0 0.2 0.1 0.1 -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 -0.2 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.4 0.1 0.3 0.1 0.3 1.5 0.1 0.1 0.0 0.2 0.2 0.0 0.2 0.0 -1.7 1.7 0.0 0.0 0.1 0.0 0.1 0.0 1.3 0.0 -0.2 -0.0 0.1 CAD 0.2 0.0 0.0 0.1 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 -0.0 0.0 0.1 0.1 0.2 -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 -0.3 -0.0 -0.2 1.4 0.6 0.4 0.3 -0.2 -0.2 -0.0 -0.1 -0.0 3.8 3.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.8 -0.0 -0.2 -0.2 -0.3 CHF 0.2 0.0 0.1 0.1 0.0 0.0 0.2 -0.0 0.1 0.0 0.3 0.1 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 0.2 0.1 0.1 0.0 COCOA 0.1 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 0.1 0.3 0.3 -0.0 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 0.1 -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 0.4 0.1 0.2 COPPER 0.1 -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 0.1 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 1.9 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.1 -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 0.2 -0.0 -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 0.1 -0.1 0.0 0.1 0.8 0.5 0.2 0.2 0.1 -0.0 0.0 0.0 0.0 -1.1 2.1 0.0 0.0 -0.0 0.0 0.0 0.0 -0.3 0.1 0.4 0.1 0.1 DAX 0.1 -0.3 0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.1 0.2 0.1 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 -0.2 -0.0 0.1 DOW 0.3 -0.1 -0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.0 -0.0 -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 0.2 0.0 0.0 -0.2 EUR 0.2 0.0 0.2 0.1 0.1 0.0 0.2 -0.0 0.1 0.0 0.3 0.0 -0.0 0.1 0.2 -0.4 -0.3 -0.1 -0.2 0.1 0.1 0.0 0.0 0.0 -1.7 -2.3 0.1 0.0 0.0 0.0 -0.0 0.0 -1.1 0.0 0.2 0.1 0.1 EUROSTX 0.1 -0.2 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.1 0.3 0.1 0.3 -0.1 0.2 0.1 0.1 0.1 0.2 0.0 0.2 0.0 -2.4 -1.8 0.0 0.0 0.1 0.0 0.1 0.0 2.2 -0.0 -0.1 -0.0 0.0 FEEDCOW 0.1 0.2 0.3 -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 1.3 0.9 0.4 0.4 -0.1 -0.1 0.0 0.0 -0.0 0.2 -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 0.1 0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.2 1.7 0.6 0.3 0.2 0.1 0.1 0.0 0.1 0.0 -2.3 -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 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 2.2 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.3 -0.4 -0.2 -0.3 GBP 0.2 0.1 0.2 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.0 0.1 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 0.9 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.2 -0.0 GOLD_micro 0.2 0.2 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.3 0.0 0.1 0.1 0.3 -0.9 -0.4 -0.2 -0.2 0.2 0.2 0.0 0.1 0.0 -0.4 -2.7 0.1 0.0 0.0 0.0 0.0 0.0 -1.9 -0.0 0.0 0.2 0.2 HEATOIL 0.1 -0.1 -0.2 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.3 0.0 0.1 -0.0 -0.2 1.3 0.9 0.5 0.5 -0.1 -0.1 0.0 0.0 0.0 -0.5 -2.7 -0.0 0.0 -0.0 0.0 0.1 0.0 2.8 -0.0 -0.0 -0.1 -0.1 JPY 0.0 -0.0 0.1 0.1 0.1 0.0 0.2 -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 -0.3 -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 -0.4 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -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 0.2 -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 -0.2 0.4 0.4 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 -0.4 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 -0.1 0.2 0.3 NASDAQ 0.2 0.2 0.4 0.0 0.1 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 -0.2 0.0 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 -0.3 -0.1 -0.1 OAT 0.1 0.2 0.2 0.0 -0.0 0.0 0.0 -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 0.1 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 0.0 -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 0.1 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.0 -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 -0.3 -0.1 -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 1.1 0.2 0.2 0.2 0.0 -0.1 -0.0 -0.1 0.0 -0.3 2.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.3 -0.1 0.0 ROBUSTA 0.2 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 0.1 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 0.6 2.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.4 -0.3 -0.2 SILVER-mini 0.2 0.2 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.3 0.0 0.0 0.1 0.3 -0.4 -0.2 -0.1 -0.1 0.2 0.1 0.0 0.0 0.0 -0.8 -3.2 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 -0.2 SOYBEAN 0.0 -0.2 -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 -0.1 -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 -0.3 -0.3 -0.2 SOYMEAL -0.1 -0.2 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 1.2 0.8 0.4 0.4 0.0 0.1 0.0 0.2 -0.0 -2.8 -2.5 -0.0 0.0 0.1 0.0 0.1 -0.0 2.6 0.1 -0.3 -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 -0.0 0.5 0.0 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.8 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.5 -0.0 -0.4 -0.3 -0.3 SP400 0.1 -0.3 0.0 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 0.2 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 -0.0 0.2 0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.0 0.2 -0.6 -0.2 -0.2 -0.1 0.1 0.0 0.0 -0.0 0.0 0.2 2.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.4 0.0 0.0 0.1 0.0 SUGAR11 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 1.0 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 0.1 0.3 0.3 0.0 -0.0 0.0 0.0 -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 -0.4 2.3 0.1 0.0 0.0 0.0 -0.0 0.0 -1.3 0.0 0.0 0.1 0.0 US10U 0.1 0.3 0.3 0.0 -0.0 0.0 0.0 -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 0.3 0.3 0.0 -0.0 0.0 0.0 -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 0.1 0.0 0.0 0.0 -0.0 0.0 -0.4 0.0 -0.0 0.1 0.0 US30 0.1 0.2 0.2 0.1 -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 -0.8 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 US5 0.1 0.3 0.3 0.0 -0.0 0.0 0.0 -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 -0.1 -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 0.0 -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 -0.3 -1.0 -0.3 -0.3 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.2 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.2 -0.3 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 5.4 -12.4 1.7 3.2 8.7 1.7 7.2 -0.8 5.5 7.3 1.3 2.0 -4.7 -5.8 -9.8 -3.4 -2.9 -3.5 -3.3 -5.5 -4.4 4.0 -5.2 -2.0 10.4 11.7 -2.1 7.8 -2.2 4.8 -2.9 0.9 -0.9 -6.7 -13.6 -20.0 -10.8 BITCOIN 13.1 10.9 20.0 3.9 6.2 2.5 6.2 1.7 5.7 13.2 13.4 15.3 -9.1 15.7 15.5 -4.0 -1.9 -3.2 -2.3 19.2 12.5 17.1 -1.4 19.5 2.9 -18.1 5.6 2.4 4.2 3.6 1.0 4.9 0.7 -20.0 -12.2 0.0 19.4 BOBL 4.5 20.0 20.0 3.2 -0.2 0.8 2.3 -2.5 4.0 -13.3 -8.6 -10.7 -12.8 6.5 3.9 7.7 5.4 1.9 2.5 2.1 -5.4 -5.8 -13.8 2.0 11.5 10.8 2.5 -0.4 -1.1 1.4 -5.9 3.5 8.5 -8.6 -7.9 -4.6 -7.1 BTP 3.0 7.9 12.9 3.2 -0.2 0.8 2.3 -2.5 4.0 -12.3 4.8 -9.4 -8.7 8.7 8.1 8.0 12.0 8.8 10.7 6.4 2.5 -4.2 -9.2 3.5 -10.5 11.4 4.9 0.8 2.7 2.6 -3.6 4.5 20.0 -5.4 -9.7 -6.3 4.2 BUND 3.7 18.0 15.2 3.2 -0.2 0.8 2.3 -2.5 4.0 -13.3 -9.0 -10.8 -13.0 5.7 1.2 6.5 13.3 8.6 10.8 1.3 -6.0 -6.4 -15.4 1.1 8.7 12.3 2.8 -0.7 -0.8 1.3 -6.1 3.5 20.0 -8.7 -10.5 -5.8 -5.3 BUXL -0.5 14.5 7.4 3.2 -0.2 0.8 2.3 -2.5 4.0 -13.6 -9.6 -12.5 -13.2 1.5 -4.7 2.0 0.8 2.5 2.5 -2.7 -8.6 -9.6 -16.9 -3.1 7.5 -10.8 1.3 -2.0 -1.9 -0.2 -6.6 2.0 4.3 -11.6 -16.9 -10.2 -13.8 CAC 11.3 -14.1 11.6 2.6 4.5 2.1 5.0 1.1 4.1 14.1 14.6 15.5 11.9 13.1 13.1 17.7 2.1 4.4 1.5 12.4 15.5 19.8 14.6 14.9 -15.5 8.9 3.0 6.0 5.2 6.2 5.4 3.6 10.1 0.5 -8.1 -0.7 5.8 CAD 20.0 0.4 1.3 3.2 8.7 1.7 7.2 -0.8 5.5 11.6 -6.9 13.1 -10.0 8.7 1.5 -2.7 -1.8 -2.5 -2.3 2.5 -4.9 17.4 -10.1 12.1 17.0 10.4 1.6 8.9 -1.5 9.5 -3.6 6.5 0.9 6.7 7.7 -7.2 -6.3 CANOLA 15.0 -15.8 -20.0 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 -13.3 -9.6 5.9 -12.0 -5.7 -9.5 20.0 15.0 19.7 15.7 -20.0 -20.0 -6.4 -12.5 -14.3 16.8 13.2 -5.5 -1.5 -4.7 -2.2 -2.5 -4.1 13.0 -3.0 -20.0 -20.0 -20.0 CHF 16.1 3.0 6.4 3.2 8.7 1.7 7.2 -0.8 5.5 13.8 12.3 14.9 5.0 13.8 9.7 -13.0 -13.8 -13.8 -14.1 11.5 7.8 20.0 3.6 18.4 -6.9 -11.5 4.8 11.6 2.8 11.7 0.5 8.5 -19.6 20.0 7.2 9.6 1.7 COCOA 14.2 5.8 15.3 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 10.2 14.4 14.3 6.2 14.7 14.4 3.6 -1.2 2.0 0.6 18.7 16.3 12.6 9.4 17.5 -20.0 -10.4 6.0 3.1 5.4 4.5 3.5 5.7 -12.7 13.8 20.0 20.0 20.0 COFFEE 4.6 5.4 13.0 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 14.0 -4.2 14.3 -7.1 4.1 8.7 5.4 3.5 3.8 3.6 6.6 -0.5 20.0 -6.1 13.7 11.1 10.0 2.9 13.8 0.0 12.9 -1.9 7.0 -5.7 20.0 20.0 10.9 16.7 COPPER 4.2 -6.9 12.9 3.9 6.2 2.5 6.2 1.8 5.7 9.8 8.9 9.1 -1.6 0.8 3.1 -0.7 -0.5 -0.8 -0.7 3.1 6.7 6.7 3.6 2.2 0.8 11.1 0.1 8.5 1.7 5.2 1.8 1.5 2.9 -20.0 -20.0 -20.0 -5.9 CORN 12.0 -15.1 -20.0 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 -13.4 -9.2 -8.3 -2.8 -11.7 -12.8 15.0 19.3 18.9 20.0 -15.5 -15.0 -10.6 -3.7 -11.2 12.6 11.0 -5.7 -5.6 -5.6 -5.7 -2.5 -4.9 20.0 -20.0 -6.5 -20.0 -20.0 COTTON2 10.9 -0.5 -1.5 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 8.0 -9.8 10.9 -11.3 2.1 -3.8 -2.5 8.0 -2.7 0.7 -3.8 -9.5 5.4 -10.8 1.9 13.5 12.0 -1.6 4.3 -3.0 4.8 -1.4 1.9 -4.1 8.1 11.4 -1.5 -0.6 CRUDE_W 20.0 -0.1 -4.9 -0.9 2.9 -2.0 4.2 1.1 2.2 12.0 1.2 14.6 -2.1 11.6 4.5 9.3 11.3 8.5 9.2 4.4 -1.6 20.0 1.0 16.5 -9.4 10.8 1.5 5.5 -0.1 8.5 1.6 5.9 -2.5 17.8 20.0 4.0 4.3 DAX 9.0 -15.8 13.7 2.6 4.5 2.1 5.0 1.1 4.1 14.1 14.8 15.3 7.4 12.8 12.9 -6.5 -5.7 -7.7 -7.4 10.0 13.2 13.9 10.4 11.2 -19.0 9.9 3.0 4.1 5.5 5.2 4.5 3.2 -3.6 -6.3 -11.2 -2.2 4.2 DOW 20.0 -7.7 -3.1 2.6 4.5 2.1 5.0 1.1 4.1 13.4 6.8 15.0 1.1 7.5 -0.2 -7.2 -5.0 -7.2 -6.7 2.9 0.0 20.0 0.4 13.8 -0.7 10.8 2.5 6.8 1.5 8.3 1.3 6.1 -2.5 10.9 1.9 0.8 -10.9 EUR 14.5 0.9 13.3 3.2 8.7 1.7 7.2 -0.8 5.5 12.5 11.7 14.1 -0.4 12.9 7.3 -6.2 -8.4 -7.1 -7.8 11.3 9.2 16.6 1.2 14.9 -12.1 -11.1 5.0 9.0 3.6 9.7 -0.1 7.7 -9.6 4.5 8.5 8.0 6.5 EUROSTX 11.1 -14.6 12.2 2.6 4.5 2.1 5.0 1.1 4.1 14.1 15.1 15.6 11.7 14.2 13.9 -1.8 5.2 3.5 4.9 12.1 15.0 16.1 13.3 13.6 -18.6 -8.5 3.5 4.7 5.9 5.9 5.7 3.9 16.2 -5.0 -7.8 -0.5 3.2 FEEDCOW 11.3 18.4 17.3 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 11.5 12.5 14.4 8.7 14.8 14.2 -20.0 -20.0 -20.0 -20.0 20.0 18.4 20.0 10.0 20.0 -20.0 12.2 6.2 4.1 5.1 6.5 3.2 6.7 -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 9.1 -5.6 -10.8 -0.9 2.9 -2.0 4.2 1.1 2.2 0.1 -11.6 4.8 6.0 -4.4 -10.6 16.1 20.0 20.0 20.0 -7.4 -7.9 2.7 3.6 -1.4 1.8 -15.4 -3.3 1.4 -4.5 2.0 -0.3 0.0 20.0 -2.0 -7.1 -4.9 -11.2 GASOILINE 20.0 4.2 4.5 -0.9 2.9 -2.0 4.2 1.1 2.2 11.5 6.4 14.9 2.5 12.8 10.2 20.0 13.8 14.2 10.1 10.5 5.2 20.0 7.6 19.0 -18.7 -13.1 4.0 4.6 3.2 8.3 5.4 6.9 -0.1 12.8 20.0 11.5 20.0 GAS_US -8.2 -5.2 -20.0 -0.9 2.9 -2.0 4.2 1.1 2.2 -12.0 -16.6 -14.1 -14.1 -15.4 -16.5 -20.0 -11.8 -20.0 -16.6 -20.0 -20.0 -13.5 -20.0 -19.6 18.0 -9.3 -6.5 -5.4 -6.4 -6.7 -3.2 -6.7 -20.0 -20.0 -20.0 -13.0 -20.0 GBP 15.8 8.3 10.3 3.2 8.7 1.7 7.2 -0.8 5.5 12.2 13.3 13.6 -1.0 14.1 11.0 -1.5 -1.9 -1.8 -2.0 12.5 7.6 14.0 -1.5 15.9 6.6 9.4 4.6 6.1 1.3 8.0 -3.2 7.5 1.0 -0.7 4.5 12.6 -2.0 GOLD_micro 15.3 11.7 14.8 3.9 6.2 2.5 6.2 1.8 5.7 11.8 12.3 13.0 2.0 14.2 12.9 -10.8 -10.7 -11.5 -11.7 19.1 14.5 16.3 7.6 20.0 -3.0 -13.8 5.4 4.4 3.9 5.6 2.2 6.2 -15.2 -1.3 2.4 16.4 12.1 HEATOIL 10.5 -8.8 -12.5 -0.9 2.9 -2.0 4.2 1.1 2.2 7.6 -10.7 10.5 5.0 -1.9 -9.8 15.5 20.0 20.0 20.0 -7.7 -8.9 7.5 3.6 1.3 -5.2 -13.6 -2.6 1.9 -2.5 3.4 3.8 0.8 20.0 -1.5 -0.8 -7.7 -3.8 JPY 1.4 -2.1 4.0 3.2 8.7 1.7 7.2 -0.8 5.5 -6.4 5.8 -8.4 -6.6 2.7 -3.2 -15.1 -12.8 -14.5 -14.0 0.2 0.9 -6.4 -7.5 -2.5 2.3 9.9 2.3 3.1 1.1 3.0 -4.6 3.0 -18.6 -12.6 -12.2 -2.3 -3.1 LEANHOG -15.1 -20.0 -20.0 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 -13.9 -14.5 -15.5 -11.1 -15.7 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.5 -20.0 20.0 -11.1 -6.2 -4.4 -5.1 -5.6 -3.0 -6.3 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 20.0 -6.9 5.9 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 12.9 12.5 14.9 9.3 13.0 11.1 20.0 -4.1 20.0 20.0 12.6 9.8 20.0 7.3 20.0 -20.0 12.0 4.0 6.3 3.7 9.1 3.6 6.9 -2.7 20.0 20.0 14.1 20.0 MXP 10.6 -9.3 3.5 3.2 8.7 1.7 7.2 -0.8 5.5 12.4 14.6 14.0 15.2 13.1 13.8 17.1 20.0 18.8 20.0 15.2 18.3 11.8 18.8 13.0 -20.0 9.7 5.3 3.2 7.4 3.4 7.9 3.8 20.0 -19.5 -5.9 11.6 20.0 NASDAQ 12.6 13.6 20.0 2.6 4.5 2.1 5.0 1.1 4.1 1.0 5.8 8.1 -7.6 12.3 14.1 -7.9 -5.5 -7.4 -6.7 17.8 11.2 8.7 -1.3 16.1 -3.0 10.2 5.9 1.6 4.6 2.7 1.8 5.0 -2.8 -10.7 1.9 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 5.2 -5.9 3.2 3.2 8.7 1.7 7.2 -0.8 5.5 4.3 7.5 2.2 -1.3 3.3 -5.3 1.2 0.6 0.8 0.5 -0.8 0.0 2.0 -2.6 0.7 2.3 10.8 0.4 6.7 0.2 3.9 -1.8 2.3 5.3 -12.9 -13.8 -8.4 -9.7 OAT 4.6 11.7 9.3 3.2 -0.2 0.8 2.3 -2.5 4.0 -13.4 -8.1 -10.6 -12.8 6.1 -1.1 9.9 12.0 10.2 11.3 0.4 -6.1 -6.5 -14.9 0.7 5.7 12.7 2.5 -0.6 -1.1 1.6 -7.1 3.5 20.0 -7.8 -10.1 -9.0 -6.9 OJ 20.0 3.2 -8.8 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 11.6 15.4 14.2 15.4 15.0 15.0 20.0 19.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.5 2.0 7.2 4.2 7.3 5.6 20.0 20.0 20.0 20.0 20.0 PALLAD 12.8 0.1 -20.0 3.9 6.2 2.5 6.2 1.8 5.7 12.0 -14.7 9.4 -14.4 0.0 -11.7 -2.5 -2.1 -2.6 -2.5 -13.5 -20.0 8.5 -20.0 0.1 20.0 -11.1 -2.5 9.3 -6.0 7.9 -5.8 3.4 0.0 -3.3 -20.0 -20.0 -20.0 PLAT 9.9 4.7 -5.9 3.9 6.2 2.5 6.2 1.8 5.7 12.5 4.2 11.1 0.8 11.9 -1.3 -2.5 -1.4 -2.2 -1.8 4.0 1.8 15.5 1.6 10.2 1.4 11.2 1.8 12.8 0.3 10.8 0.2 6.5 1.3 5.7 -16.4 -9.0 -16.7 REDWHEAT 19.7 1.8 -3.0 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 -11.4 -8.4 6.8 -10.9 5.4 3.1 13.8 5.5 11.2 8.8 1.0 -6.6 -0.5 -7.2 5.3 -2.0 12.9 -0.2 -7.7 -1.7 -3.6 -0.2 0.2 -0.2 -17.5 14.1 -4.5 1.3 ROBUSTA 20.0 14.0 20.0 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 14.1 8.8 15.7 4.3 15.5 15.1 13.1 9.8 10.9 10.5 20.0 17.4 20.0 8.8 20.0 -7.4 9.6 5.9 6.4 3.8 8.4 1.8 7.5 5.4 20.0 20.0 20.0 20.0 RUSSELL 0.4 -20.0 3.0 2.6 4.5 2.1 5.0 1.1 4.1 7.4 -4.9 6.3 -9.1 -10.0 -10.6 -5.1 -4.2 -5.4 -5.2 -10.2 -6.7 2.6 -5.9 -6.3 4.7 10.0 -3.0 0.9 -0.8 -1.1 -0.0 -3.2 -0.6 -17.3 -20.0 -20.0 -11.0 SILVER-mini 20.0 13.6 2.4 3.9 6.2 2.5 6.2 1.8 5.7 14.0 9.9 15.7 0.5 15.3 10.6 -5.9 -4.8 -5.8 -5.5 19.4 9.7 20.0 3.5 20.0 -3.7 -11.3 4.1 5.5 1.7 8.0 0.1 7.4 -4.9 12.1 19.5 6.2 -9.5 SOYBEAN 2.9 -16.8 -16.7 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 -8.3 -4.3 5.7 -1.1 -4.6 -7.1 20.0 20.0 20.0 20.0 -13.0 -10.0 -1.3 -1.8 -8.1 -1.1 -11.7 -4.5 -0.0 -3.1 -0.7 0.2 -3.1 20.0 12.4 -16.0 -20.0 -16.8 SOYMEAL -12.5 -16.5 6.8 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 8.8 10.4 6.2 12.3 -2.8 0.6 15.1 18.0 17.6 18.5 0.8 11.1 3.4 16.3 -2.8 -20.0 -12.0 -0.6 4.1 4.3 1.9 8.3 -1.5 19.5 14.4 -16.5 -9.0 13.8 SOYOIL -3.6 -15.7 -20.0 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 -13.5 -11.2 -4.7 -3.3 -9.4 -11.7 -0.5 11.9 1.5 5.8 -19.4 -16.6 -11.7 -6.0 -15.7 5.5 12.9 -5.8 -3.0 -4.8 -3.4 -1.4 -4.7 3.7 -1.4 -19.7 -20.0 -20.0 SP400 4.5 -20.0 2.2 2.6 4.5 2.1 5.0 1.1 4.1 7.8 1.6 10.0 -1.7 -5.6 -7.3 -4.6 -4.1 -5.1 -4.8 -6.9 -2.8 6.1 -0.3 -2.3 0.9 10.2 -2.6 0.6 -0.4 -0.3 1.0 -2.3 -0.0 -16.6 -20.0 -20.0 -11.7 SP500 17.6 -0.9 8.9 2.6 4.5 2.1 5.0 1.1 4.1 10.4 4.5 13.6 -5.7 10.0 6.8 -7.7 -5.8 -7.5 -6.9 7.6 3.2 14.5 -2.0 13.2 1.6 10.2 4.4 4.9 3.0 6.3 0.7 6.1 -3.2 0.0 0.2 5.0 0.3 SUGAR11 20.0 18.3 16.4 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 9.2 15.5 13.9 12.9 15.3 15.9 13.3 20.0 20.0 20.0 20.0 20.0 20.0 16.7 20.0 -20.0 -10.5 6.3 4.6 5.4 8.4 4.4 8.0 20.0 20.0 20.0 20.0 20.0 US10 12.4 20.0 16.5 3.2 -0.2 0.8 2.3 -2.5 4.0 -2.8 -0.6 6.0 -10.4 12.3 9.8 -8.9 -4.6 -8.6 -7.8 9.3 0.9 5.4 -10.0 11.6 -2.4 9.7 4.5 1.6 1.7 4.2 -2.2 5.5 -9.5 6.6 3.8 9.6 2.3 US10U 11.1 18.2 15.2 3.2 -0.2 0.8 2.3 -2.5 4.0 -5.8 -0.6 5.2 -10.4 12.0 9.9 -1.7 2.2 -0.2 0.4 8.6 0.7 4.5 -10.4 10.7 -5.1 -14.1 4.8 1.2 2.2 4.0 -1.7 5.6 3.4 4.5 0.8 8.1 4.8 US20 10.6 17.4 15.7 3.2 -0.2 0.8 2.3 -2.5 4.0 -5.5 1.4 4.8 -8.9 12.4 10.5 -0.9 -1.5 -2.7 -2.9 9.3 1.3 5.3 -10.1 11.5 -2.6 -12.3 4.6 0.8 1.9 4.0 -1.9 5.6 -2.6 5.3 -1.7 6.7 1.3 US30 6.4 11.7 12.7 3.2 -0.2 0.8 2.3 -2.5 4.0 -8.3 1.0 3.6 -10.4 10.5 6.0 -0.4 -0.5 -0.8 -0.9 5.5 -1.0 2.4 -13.2 7.0 -6.6 10.0 4.7 0.3 2.3 4.2 -2.5 5.6 -0.0 2.2 -7.0 -0.1 1.0 US5 12.4 20.0 19.3 3.2 -0.2 0.8 2.3 -2.5 4.0 -1.8 -0.8 6.4 -10.8 12.4 9.9 -8.7 -5.1 -9.3 -8.6 9.1 0.8 5.6 -9.8 11.5 -0.6 10.8 4.1 1.7 1.2 4.0 -2.9 5.3 -10.7 6.8 4.0 9.8 0.3 VIX -7.9 20.0 0.6 -2.8 -3.4 -5.8 -2.6 -6.8 -1.6 -14.1 -12.4 -15.0 -13.2 -7.4 -8.0 -20.0 -20.0 -20.0 -20.0 -5.9 -10.3 -11.0 -12.8 -7.4 NaN -13.5 -3.2 -3.7 -7.4 -3.4 -9.2 -2.0 NaN NaN NaN NaN NaN WHEAT 4.8 -9.6 -11.3 -2.9 -2.0 -3.5 -1.6 -2.5 -2.1 -13.6 -13.9 -7.7 -14.7 -11.8 -11.4 -13.0 -8.4 -11.9 -10.4 -16.1 -19.9 -14.0 -17.3 -13.0 7.9 11.9 -5.2 -6.6 -4.9 -6.3 -2.7 -5.2 -20.0 -19.9 -11.4 -20.0 -10.8 End of report for caleb_strategy_v1