******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230414_204655 produced at 2023-04-14 21:37:19.504765 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 US10U False False 0.05 -0.14 -0.18 0.0 4.743060e+07 -4.743060e+07 -0.14 -0.14 -3.75 999999999.0 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.17 -0.18 0.0 8.549764e+06 -8.549764e+06 -0.17 -0.17 -21.43 999999999.0 -20 -20 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.521804e+07 -5.521804e+07 -0.11 -0.11 -2.17 999999999.0 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.10 0.0 1.404044e+07 -1.404044e+07 -0.10 -0.10 -7.03 999999999.0 -7 -7 caleb_strategy_v1 JPY False False 0.04 -0.22 -0.09 0.0 3.700322e+07 -3.700322e+07 -0.22 -0.22 -2.37 999999999.0 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.09 0.0 5.409539e+07 -5.409539e+07 -0.16 -0.16 -1.63 999999999.0 -3 -3 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.129123e+07 -5.129123e+07 0.00 0.00 -1.60 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.393520e+07 -4.393520e+07 -0.09 -0.09 -1.20 999999999.0 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 8.057564e+06 -8.057564e+06 -0.01 -0.01 -3.71 999999999.0 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 5.950265e+07 -5.950265e+07 0.00 0.00 -0.59 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.133040e+07 -1.133040e+07 -0.06 -0.06 -1.91 999999999.0 -5 -5 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.853450e+07 -5.853450e+07 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.024315e+06 -9.024315e+06 -0.01 -0.01 -1.00 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.582491e+07 -1.582491e+07 0.00 0.00 -0.32 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.01 0.0 1.191672e+06 -1.191672e+06 -0.01 -0.01 -5.22 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.566400e+07 -2.566400e+07 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.06 0.00 0.0 1.880242e+07 -1.880242e+07 0.06 0.06 0.25 999999999.0 3 3 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.00 0.0 1.410907e+07 -1.410907e+07 -0.01 -0.01 -0.34 999999999.0 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.04 0.00 0.0 4.498180e+07 -4.498180e+07 0.04 0.04 0.05 999999999.0 1 1 caleb_strategy_v1 RUSSELL False False 0.00 -0.30 -0.00 0.0 3.491676e+06 -3.491676e+06 -0.30 -0.30 -0.91 999999999.0 -86 -86 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.261757e+07 -1.261757e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.682990e+07 -1.682990e+07 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.031368e+07 -1.031368e+07 0.01 0.01 1.06 999999999.0 1 1 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.507132e+07 -4.507132e+07 0.00 0.00 0.14 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 2.071357e+07 -2.071357e+07 0.00 0.00 0.68 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.636308e+07 -2.636308e+07 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 6.917086e+06 -6.917086e+06 0.00 0.01 0.80 999999999.0 0 2 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.837747e+07 -2.837747e+07 0.03 0.03 0.41 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 2.989476e+07 -2.989476e+07 0.00 0.00 0.69 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.02 0.0 4.295104e+07 -4.295104e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.134531e+07 -8.134531e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.59 0.02 0.0 9.777321e+07 -9.777321e+07 0.59 0.59 0.16 999999999.0 6 6 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 0.02 0.0 1.749172e+07 -1.749172e+07 0.00 0.00 0.98 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.045940e+07 -4.045940e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.02 0.0 1.627397e+07 -1.627397e+07 0.03 0.03 0.97 999999999.0 2 2 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.236098e+06 -9.236098e+06 0.02 0.02 2.35 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.433153e+07 -2.433153e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.01 0.02 0.0 6.662148e+06 -6.662148e+06 0.01 0.01 3.20 999999999.0 1 2 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.03 0.0 4.295574e+07 -4.295574e+07 0.00 0.00 0.59 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.03 0.0 1.098625e+07 -1.098625e+07 0.05 0.05 2.34 999999999.0 5 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.03 0.0 4.332496e+06 -4.332496e+06 0.00 0.00 5.87 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.551693e+07 -2.551693e+07 0.00 0.00 1.15 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.073819e+07 -1.073819e+07 0.00 0.00 3.08 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.04 0.0 5.501704e+07 -5.501704e+07 0.00 0.00 0.65 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.21 0.05 0.0 3.047079e+07 -3.047079e+07 0.21 0.21 1.48 999999999.0 7 7 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.05 0.0 1.031502e+08 -1.031502e+08 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.10 0.05 0.0 4.942636e+07 -4.942636e+07 0.10 0.10 1.08 999999999.0 2 2 caleb_strategy_v1 CAC False False 0.03 0.03 0.06 0.0 3.265135e+07 -3.265135e+07 0.03 0.03 1.80 999999999.0 1 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.937707e+07 -2.937707e+07 0.00 0.00 2.21 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.06 0.0 2.567282e+07 -2.567282e+07 0.00 0.00 2.15 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.592972e+07 -5.592972e+07 0.00 0.00 1.28 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.10 0.0 3.081052e+07 -3.081052e+07 0.12 0.12 3.14 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 4.74 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.25 0.0 5.832615e+07 -5.832615e+07 0.35 0.35 4.35 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 31.57 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.10 0.33 0.0 5.085901e+07 -5.085901e+07 0.10 0.10 6.50 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 17.0 Shocked risk 45.3 Sum abs risk 46.5 Leverage 2.95 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2549778.12, 'annual_cash_vol_target': 637444.53, 'daily_cash_vol_target': 39840.283125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0053 0.6722 0.7953 12.7251 BITCOIN 939.7154 30385.0000 3.0927 49.4831 BOBL 0.5019 117.1500 0.4285 6.8554 BTP 0.7471 113.8500 0.6562 10.4994 BUND 0.9059 134.3500 0.6743 10.7887 BUXL 2.0432 137.0600 1.4908 23.8523 CAC 68.9478 7521.0000 0.9167 14.6678 CAD 0.0032 0.7490 0.4266 6.8254 CANOLA 7.8733 736.0000 1.0697 17.1158 CHF 0.0061 1.1264 0.5396 8.6342 COCOA 35.7007 2889.0000 1.2357 19.7719 COFFEE 3.5450 192.9500 1.8373 29.3961 COPPER 0.0475 4.1265 1.1517 18.4269 CORN 4.6723 560.2500 0.8340 13.3435 COTTON2 1.3344 82.9900 1.6079 25.7272 CRUDE_W 1.2673 78.5600 1.6131 25.8096 DAX 150.0494 15933.0000 0.9418 15.0680 DOW 252.6377 33974.0000 0.7436 11.8979 EUR 0.0058 1.1034 0.5294 8.4703 EUROSTX 44.6972 4331.0000 1.0320 16.5125 FEEDCOW 1.3518 224.0500 0.6033 9.6532 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.7220 762.2500 1.9314 30.9022 GASOILINE 0.0428 2.7308 1.5678 25.0845 GAS_US 0.1122 2.3010 4.8778 78.0447 GBP 0.0075 1.2431 0.6057 9.6917 GOLD_micro 18.6594 2054.5000 0.9082 14.5315 HEATOIL 0.0419 2.6078 1.6083 25.7333 JPY 0.0001 0.0075 0.6687 10.6993 LEANHOG 1.2930 89.5000 1.4446 23.1143 LIVECOW 1.0052 163.6500 0.6143 9.8282 MXP 0.0004 0.0548 0.7816 12.5054 NASDAQ 129.9766 13150.5000 0.9884 15.8140 NIKKEI 261.6933 27645.0000 0.9466 15.1459 NZD 0.0050 0.6204 0.8135 13.0153 OAT 0.8268 128.8300 0.6418 10.2687 OJ 4.3855 269.0000 1.6303 26.0847 PALLAD 29.8149 1492.5000 1.9976 31.9623 PLAT 17.4906 1056.3000 1.6558 26.4933 REDWHEAT 12.5501 858.2500 1.4623 23.3966 ROBUSTA 28.8955 2355.0000 1.2270 19.6317 RUSSELL 22.3482 1780.6000 1.2551 20.0815 SILVER-mini 0.3780 26.1750 1.4442 23.1073 SOYBEAN 10.8223 1301.2500 0.8317 13.3070 SOYMEAL 5.2604 446.0000 1.1795 18.8713 SOYOIL 0.8117 53.6200 1.5138 24.2214 SP400 27.5161 2493.0000 1.1037 17.6597 SP500 33.3555 4148.2500 0.8041 12.8654 SUGAR11 0.3015 23.4800 1.2843 20.5485 US10 0.5814 114.9219 0.5059 8.0945 US10U 0.7444 120.9375 0.6155 9.8483 US20 1.0193 130.7812 0.7794 12.4702 US30 1.4481 140.2812 1.0323 16.5165 US5 0.4397 109.5156 0.4015 6.4245 VIX 0.6951 21.8000 3.1884 51.0149 WHEAT 10.1255 719.5000 1.4073 22.5167 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.20 0.80 534.61 1.00 534.61 39840.28 74.52 3.35 24.97 BITCOIN 30.38 3.09 93.97 1.00 93.97 39840.28 423.96 -5.22 -221.39 BOBL 1171.50 0.43 501.94 1.10 551.38 39840.28 72.25 12.47 90.08 BTP 1138.50 0.66 747.10 1.10 820.69 39840.28 48.54 11.02 53.51 BUND 1343.50 0.67 905.92 1.10 995.15 39840.28 40.03 15.05 60.25 BUXL 1370.60 1.49 2043.25 1.10 2244.51 39840.28 17.75 -3.94 -7.00 CAC 752.10 0.92 689.48 1.10 757.39 39840.28 52.60 12.19 64.14 CAD 749.05 0.43 319.53 1.00 319.53 39840.28 124.68 9.91 123.61 CANOLA 147.20 1.07 157.47 0.74 117.19 39840.28 339.97 18.80 639.30 CHF 1407.94 0.54 759.77 1.00 759.77 39840.28 52.44 -11.04 -57.91 COCOA 288.90 1.24 357.01 1.00 357.01 39840.28 111.60 -7.87 -87.84 COFFEE 723.56 1.84 1329.37 1.00 1329.37 39840.28 29.97 10.47 31.37 COPPER 1031.62 1.15 1188.10 1.00 1188.10 39840.28 33.53 5.46 18.30 CORN 280.12 0.83 233.62 1.00 233.62 39840.28 170.54 15.23 259.68 COTTON2 414.95 1.61 667.22 1.00 667.22 39840.28 59.71 10.82 64.59 CRUDE_W 785.60 1.61 1267.25 1.00 1267.25 39840.28 31.44 7.55 23.75 DAX 159.33 0.94 150.05 1.10 164.83 39840.28 241.71 0.61 14.77 DOW 169.87 0.74 126.32 1.00 126.32 39840.28 315.39 3.56 112.32 EUR 1379.31 0.53 730.20 1.00 730.20 39840.28 54.56 -7.98 -43.53 EUROSTX 433.10 1.03 446.97 1.10 491.00 39840.28 81.14 1.12 9.06 FEEDCOW 1120.25 0.60 675.88 1.00 675.88 39840.28 58.95 -7.60 -44.82 FTSE100 707.00 0.82 576.59 1.25 666.67 39840.28 59.76 7.70 46.00 GASOIL 762.25 1.93 1472.20 1.00 1472.20 39840.28 27.06 3.57 9.67 GASOILINE 1146.94 1.57 1798.14 1.00 1798.14 39840.28 22.16 0.58 1.28 GAS_US 230.10 4.88 1122.38 1.00 1122.38 39840.28 35.50 -18.80 -66.73 GBP 776.94 0.61 470.62 1.00 470.62 39840.28 84.66 9.80 82.99 GOLD_micro 205.45 0.91 186.59 1.00 186.59 39840.28 213.51 -7.77 -165.84 HEATOIL 1095.28 1.61 1761.57 1.00 1761.57 39840.28 22.62 3.66 8.29 JPY 943.50 0.67 630.93 1.00 630.93 39840.28 63.15 -5.79 -36.55 LEANHOG 358.00 1.44 517.18 1.00 517.18 39840.28 77.03 -19.52 -150.41 LIVECOW 654.60 0.61 402.10 1.00 402.10 39840.28 99.08 8.09 80.14 MXP 273.80 0.78 214.00 1.00 214.00 39840.28 186.17 13.52 251.79 NASDAQ 2630.10 0.99 2599.53 1.00 2599.53 39840.28 15.33 5.38 8.24 NIKKEI 27645.00 0.95 26169.33 0.01 198.98 39840.28 200.22 8.30 166.23 NZD 620.40 0.81 504.67 1.00 504.67 39840.28 78.94 6.68 52.70 OAT 1288.30 0.64 826.82 1.10 908.26 39840.28 43.86 14.50 63.62 OJ 403.50 1.63 657.82 1.00 657.82 39840.28 60.56 -3.01 -18.23 PALLAD 1492.50 2.00 2981.49 1.00 2981.49 39840.28 13.36 -3.72 -4.97 PLAT 528.15 1.66 874.53 1.00 874.53 39840.28 45.56 6.17 28.10 REDWHEAT 429.12 1.46 627.51 1.00 627.51 39840.28 63.49 7.85 49.85 ROBUSTA 235.50 1.23 288.95 1.00 288.95 39840.28 137.88 13.17 181.58 RUSSELL 89.03 1.26 111.74 1.00 111.74 39840.28 356.54 -0.49 -17.64 SILVER-mini 654.38 1.44 945.05 1.00 945.05 39840.28 42.16 -4.62 -19.46 SOYBEAN 650.62 0.83 541.12 1.00 541.12 39840.28 73.63 2.65 19.51 SOYMEAL 446.00 1.18 526.04 1.00 526.04 39840.28 75.74 2.18 16.54 SOYOIL 321.72 1.51 487.03 1.00 487.03 39840.28 81.80 2.98 24.38 SP400 2493.00 1.10 2751.61 1.00 2751.61 39840.28 14.48 2.11 3.06 SP500 2074.12 0.80 1667.78 1.00 1667.78 39840.28 23.89 4.20 10.04 SUGAR11 262.98 1.28 337.73 1.00 337.73 39840.28 117.96 6.62 78.09 US10 1149.22 0.51 581.40 1.00 581.40 39840.28 68.53 0.54 3.72 US10U 1209.38 0.62 744.39 1.00 744.39 39840.28 53.52 -4.81 -25.76 US20 1307.81 0.78 1019.29 1.00 1019.29 39840.28 39.09 -5.54 -21.64 US30 1402.81 1.03 1448.10 1.00 1448.10 39840.28 27.51 2.82 7.77 US5 1095.16 0.40 439.74 1.00 439.74 39840.28 90.60 1.06 9.58 VIX 218.00 3.19 695.08 1.00 695.08 39840.28 57.32 -19.84 -113.72 WHEAT 359.75 1.41 506.27 1.00 506.27 39840.28 78.69 -8.04 -63.27 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 24.973 0.006 2.5 0.399 BITCOIN -221.386 0.009 2.5 -5.216 BOBL 90.083 0.029 2.5 6.500 BTP 53.505 0.008 2.5 1.081 BUND 60.251 0.029 2.5 4.348 BUXL -7.002 0.034 2.5 -0.588 CAC 64.138 0.011 2.5 1.803 CAD 123.608 0.007 2.5 2.207 CANOLA 639.304 0.004 2.5 5.868 CHF -57.911 0.015 2.5 -2.167 COCOA -87.842 0.009 2.5 -1.914 COFFEE 31.369 0.005 2.5 0.407 COPPER 18.304 0.011 2.5 0.500 CORN 259.679 0.004 2.5 2.342 COTTON2 64.593 0.006 2.5 0.973 CRUDE_W 23.750 0.053 2.5 3.138 DAX 14.773 0.022 2.5 0.802 DOW 112.321 0.011 2.5 3.201 EUR -43.534 0.015 2.5 -1.629 EUROSTX 9.059 0.011 2.5 0.255 FEEDCOW -44.816 0.011 2.5 -1.204 FTSE100 46.001 0.041 2.5 4.742 GASOIL 9.674 0.029 2.5 0.690 GASOILINE 1.280 0.016 2.5 0.053 GAS_US -66.730 0.006 2.5 -1.005 GBP 82.988 0.007 2.5 1.482 GOLD_micro -165.840 0.009 2.5 -3.711 HEATOIL 8.285 0.029 2.5 0.591 JPY -36.552 0.026 2.5 -2.366 LEANHOG -150.407 0.019 2.5 -7.027 LIVECOW 80.142 0.011 2.5 2.154 MXP 251.789 0.005 2.5 3.083 NASDAQ 8.241 0.022 2.5 0.448 NIKKEI 166.228 0.076 2.5 31.572 NZD 52.696 0.006 2.5 0.842 OAT 63.625 0.008 2.5 1.285 OJ -18.229 0.007 2.5 -0.318 PALLAD -4.966 0.010 2.5 -0.119 PLAT 28.105 0.010 2.5 0.676 REDWHEAT 49.852 0.002 2.5 0.266 ROBUSTA 181.579 0.005 2.5 2.354 RUSSELL -17.635 0.021 2.5 -0.913 SILVER-mini -19.464 0.009 2.5 -0.435 SOYBEAN 19.510 0.024 2.5 1.150 SOYMEAL 16.540 0.024 2.5 0.975 SOYOIL 24.381 0.004 2.5 0.224 SP400 3.059 0.021 2.5 0.158 SP500 10.044 0.011 2.5 0.286 SUGAR11 78.093 0.005 2.5 1.060 US10 3.724 0.015 2.5 0.143 US10U -25.756 0.058 2.5 -3.753 US20 -21.645 0.029 2.5 -1.595 US30 7.770 0.034 2.5 0.652 US5 9.579 0.015 2.5 0.367 VIX -113.720 0.075 2.5 -21.431 WHEAT -63.271 0.002 2.5 -0.338 ==================== Position diags ==================== AUD 1.19 BITCOIN 9.99 BOBL 5.21 BTP 0.98 BUND 2.89 BUXL 1.49 CAC 1.48 CAD 2.23 CANOLA 3.12 CHF 1.96 COCOA 2.43 COFFEE 0.39 COPPER 0.92 CORN 1.54 COTTON2 0.90 CRUDE_W 4.15 DAX 13.13 DOW 8.99 EUR 2.04 EUROSTX 2.28 FEEDCOW 1.58 FTSE100 6.16 GASOIL 1.93 GASOILINE 0.91 GAS_US 0.53 GBP 1.51 GOLD_micro 4.78 HEATOIL 1.61 JPY 4.09 LEANHOG 3.60 LIVECOW 2.66 MXP 2.28 NASDAQ 0.83 NIKKEI 38.03 NZD 1.26 OAT 0.89 OJ 1.06 PALLAD 0.32 PLAT 1.10 REDWHEAT 0.34 ROBUSTA 1.79 RUSSELL 18.47 SILVER-mini 0.94 SOYBEAN 4.34 SOYMEAL 4.47 SOYOIL 0.75 SP400 0.75 SP500 0.68 SUGAR11 1.60 US10 2.63 US10U 7.80 US20 2.88 US30 2.31 US5 3.48 VIX 10.80 WHEAT 0.42 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 -5.2 -6.2 -4.2 -5.0 -5 BOBL 6.5 6.0 7.0 2.0 2 BTP 1.1 1.0 1.2 2.0 2 BUND 4.3 4.1 4.6 6.0 6 BUXL -0.6 -0.7 -0.4 0.0 0 CAC 1.8 1.7 2.0 1.0 1 CAD 2.2 2.0 2.4 0.0 0 CANOLA 5.9 5.6 6.2 NaN 0 CHF -2.2 -2.4 -2.0 -2.0 -2 COCOA -1.9 -2.2 -1.7 -5.0 -5 COFFEE 0.4 0.4 0.4 1.0 1 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.3 2.2 2.5 5.0 5 COTTON2 1.0 0.9 1.1 2.0 2 CRUDE_W 3.1 2.7 3.6 4.0 4 DAX 0.8 -0.5 2.1 0.0 0 DOW 3.2 2.3 4.1 1.0 1 EUR -1.6 -1.8 -1.4 -3.0 -3 EUROSTX 0.3 0.0 0.5 3.0 3 FEEDCOW -1.2 -1.4 -1.0 -2.0 -2 FTSE100 4.7 4.1 5.4 0.0 0 GASOIL 0.7 0.5 0.9 0.0 0 GASOILINE 0.1 -0.0 0.1 1.0 1 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 -1.0 -1 HEATOIL 0.6 0.4 0.8 0.0 0 JPY -2.4 -2.8 -2.0 -6.0 -6 LEANHOG -7.0 -7.4 -6.7 -7.0 -7 LIVECOW 2.2 1.9 2.4 0.0 0 MXP 3.1 2.9 3.3 0.0 0 NASDAQ 0.4 0.4 0.5 0.0 0 NIKKEI 31.6 27.8 35.4 0.0 0 NZD 0.8 0.7 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 0.7 0.6 0.8 0.0 0 REDWHEAT 0.3 0.2 0.3 0.0 0 ROBUSTA 2.4 2.2 2.5 2.0 2 RUSSELL -0.9 -2.8 0.9 -86.0 -86 SILVER-mini -0.4 -0.5 -0.3 0.0 0 SOYBEAN 1.2 0.7 1.6 0.0 0 SOYMEAL 1.0 0.5 1.4 0.0 0 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 0.2 0.1 0.2 6.0 6 SP500 0.3 0.2 0.4 0.0 0 SUGAR11 1.1 0.9 1.2 1.0 1 US10 0.1 -0.1 0.4 NaN 0 US10U -3.8 -4.5 -3.0 -3.0 -3 US20 -1.6 -1.9 -1.3 0.0 0 US30 0.7 0.4 0.9 0.0 0 US5 0.4 0.0 0.7 0.0 0 VIX -21.4 -22.5 -20.4 -20.0 -20 WHEAT -0.3 -0.4 -0.3 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.1 -0.2 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 1.2 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 0.7 -4.8 0.1 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.3 -0.1 0.3 BOBL 0.0 0.3 0.3 0.0 -0.0 0.0 0.0 -0.1 0.0 -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 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.0 0.2 0.6 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 0.0 -0.0 0.0 0.0 -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 0.0 -0.0 0.0 0.0 -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 0.2 -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 1.6 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 1.4 0.1 -0.1 -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 0.1 -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 -0.1 -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 3.9 3.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.9 -0.0 -0.2 -0.2 -0.3 CHF 0.2 0.1 0.1 0.1 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 -1.0 -2.4 0.1 0.0 0.0 0.0 0.0 0.0 -2.5 0.2 0.2 0.1 0.0 COCOA 0.1 0.1 0.3 -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 0.1 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.2 0.5 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 0.0 1.7 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.8 0.1 0.4 0.1 0.3 COPPER 0.0 -0.1 0.2 0.1 0.1 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 2.0 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.1 -0.3 -0.3 COTTON2 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.3 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 3.3 3.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.6 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 0.1 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 -0.4 0.1 0.4 0.1 0.1 DAX 0.1 -0.2 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.1 0.2 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 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.1 0.0 0.0 0.0 -0.6 -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 0.0 0.0 -0.2 EUR 0.2 0.0 0.2 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.0 0.1 0.2 -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 0.1 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 -0.2 0.2 0.1 0.1 0.2 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 -0.2 -0.1 -0.1 -0.2 GASOILINE 0.2 0.1 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.2 0.0 0.1 0.1 0.3 1.7 0.6 0.3 0.2 0.1 0.1 0.0 0.1 0.0 -2.4 -2.6 0.1 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 -0.0 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 2.3 -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 0.2 -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 1.2 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 0.0 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 -2.4 -0.1 -0.3 -0.0 -0.1 LEANHOG -0.1 -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 -0.1 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 -0.0 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 0.1 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 -0.0 0.1 0.3 NASDAQ 0.2 0.2 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 -0.2 0.1 0.4 -0.5 -0.2 -0.1 -0.1 0.2 0.2 0.0 -0.0 0.0 -0.4 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.4 -0.2 -0.1 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 0.0 -0.1 0.1 0.1 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 0.4 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 0.0 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 0.2 -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 -0.1 -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 -0.3 -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 0.1 -0.0 -0.2 -0.1 -0.0 -0.0 0.1 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 -0.2 -0.1 -0.3 REDWHEAT 0.2 0.1 -0.0 -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 -0.0 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 -1.3 2.1 0.1 0.0 0.0 0.0 0.0 0.0 0.8 0.0 0.4 0.3 0.3 RUSSELL 0.0 -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 0.7 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 0.1 -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 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -2.5 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 0.0 -0.2 -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 1.5 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 2.7 0.1 -0.2 -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 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 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 0.4 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 0.0 -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 -0.2 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 0.4 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 0.0 -0.0 0.0 0.0 -0.2 0.0 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 -0.3 0.0 -0.0 0.1 0.0 US30 0.1 0.2 0.2 0.1 -0.0 0.0 0.0 -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 0.0 -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 -0.3 -3.1 -1.6 -0.8 -0.8 -0.1 -0.2 -0.0 -0.2 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN WHEAT 0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -1.0 -0.4 -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 -0.0 -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 5.8 -11.5 1.6 3.4 4.2 1.8 6.0 -0.7 5.3 1.0 1.2 0.4 -4.8 -5.5 -9.8 -3.4 -2.9 -3.5 -3.4 -5.2 -4.3 2.2 -5.1 -2.0 10.6 11.7 -2.0 2.9 -2.3 3.5 -3.0 0.8 -0.9 -4.9 -13.8 -20.0 -10.9 BITCOIN 12.6 11.6 20.0 4.0 5.2 2.6 6.1 1.8 5.7 13.4 13.6 15.4 -8.9 15.9 15.7 -4.0 -1.9 -3.3 -2.3 19.9 13.2 15.8 -1.1 19.6 3.2 -18.1 5.7 1.5 4.4 3.1 1.1 4.8 0.7 -20.0 -15.6 -3.5 18.9 BOBL 1.8 20.0 20.0 3.2 -1.8 0.9 1.3 -2.5 3.5 -13.6 -8.5 -12.5 -12.8 5.3 3.6 7.7 5.4 1.9 2.5 1.3 -5.5 -8.3 -13.9 -0.1 11.5 10.8 2.4 -1.8 -1.1 0.4 -6.0 2.9 8.6 -5.6 -9.4 -5.0 -6.8 BTP 0.1 8.1 13.0 3.2 -1.8 0.9 1.3 -2.5 3.5 -13.9 4.9 -12.3 -8.7 7.1 7.6 7.6 11.9 8.6 10.5 5.2 2.2 -8.0 -9.2 0.7 -10.4 11.4 4.7 -2.6 2.8 0.3 -3.7 3.4 20.0 -6.8 -8.8 -7.4 4.2 BUND 1.2 18.7 15.6 3.2 -1.8 0.9 1.3 -2.5 3.5 -13.8 -8.9 -12.8 -13.0 4.5 0.9 6.3 13.2 8.5 10.7 0.5 -6.2 -8.7 -15.6 -0.9 8.7 12.3 2.7 -2.2 -0.8 0.2 -6.2 2.9 20.0 -6.2 -10.9 -6.4 -5.0 BUXL -2.8 15.2 7.4 3.2 -1.8 0.9 1.3 -2.5 3.5 -13.9 -9.7 -13.8 -13.3 0.2 -5.0 2.0 0.8 2.5 2.5 -3.6 -9.0 -11.4 -17.3 -5.0 7.6 -10.8 1.2 -2.9 -1.9 -1.1 -6.5 1.3 4.4 -8.4 -16.7 -10.9 -13.4 CAC 13.7 -12.6 12.0 2.8 3.5 2.2 4.8 1.1 4.2 14.1 14.8 15.7 12.0 13.9 13.5 19.0 2.4 5.5 2.1 14.0 16.5 20.0 15.4 16.8 -15.6 8.9 3.4 5.6 5.3 6.3 5.4 4.2 10.8 7.0 -5.5 -2.0 5.8 CAD 20.0 2.0 1.7 3.4 4.2 1.8 6.0 -0.7 5.3 10.4 -6.5 13.4 -9.9 9.9 2.5 -2.8 -1.8 -2.6 -2.3 3.6 -4.4 17.8 -10.0 13.3 16.9 10.4 2.1 6.7 -1.2 8.8 -3.4 6.7 0.9 11.6 11.6 -5.8 -5.7 CANOLA 16.6 -16.4 -20.0 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 -13.8 -9.7 4.5 -12.1 -6.2 -9.6 20.0 15.3 20.0 16.2 -20.0 -20.0 -9.2 -13.0 -15.5 17.1 13.2 -5.5 -2.0 -4.8 -2.5 -2.6 -4.2 13.7 -6.3 -20.0 -20.0 -20.0 CHF 16.2 4.6 6.5 3.4 4.2 1.8 6.0 -0.7 5.3 10.0 12.5 13.7 5.2 13.7 10.1 -13.1 -13.8 -13.8 -14.2 12.3 8.3 20.0 3.8 18.7 -7.1 -11.5 5.0 6.8 2.9 9.7 0.6 8.2 -19.6 20.0 10.7 10.5 2.3 COCOA 12.1 5.9 15.8 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 6.7 14.5 13.2 6.4 14.6 14.4 3.6 -1.2 2.1 0.7 18.7 16.6 10.5 9.7 16.6 -20.0 -10.4 6.0 1.4 5.5 3.7 3.6 5.5 -12.5 11.3 20.0 20.0 20.0 COFFEE 8.0 5.9 13.2 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 12.7 -3.9 14.3 -7.0 6.2 9.5 5.9 3.6 4.0 3.7 8.1 0.1 20.0 -6.0 15.8 10.9 10.0 3.3 9.5 0.3 11.2 -1.7 7.3 -5.6 20.0 20.0 11.2 17.5 COPPER 4.2 -6.9 12.9 3.9 6.5 2.5 6.3 1.7 5.7 9.8 8.9 9.1 -1.6 0.8 3.1 -0.7 -0.5 -0.8 -0.7 3.0 6.7 6.5 3.6 2.1 0.8 11.1 0.1 8.4 1.7 5.1 1.8 1.4 2.9 -20.0 -20.0 -20.0 -5.9 CORN 15.0 -12.5 -20.0 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 -5.0 -9.4 -6.5 -2.9 -11.5 -12.8 14.8 19.3 18.7 20.0 -14.3 -14.3 -6.2 -3.7 -9.5 13.1 11.0 -5.7 -1.7 -5.8 -4.1 -2.6 -4.6 20.0 -15.9 -6.6 -20.0 -20.0 COTTON2 12.5 -1.1 -1.9 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 7.6 -9.7 11.1 -11.3 2.5 -3.4 -2.5 7.9 -2.6 0.7 -3.5 -9.5 4.9 -11.0 2.1 13.3 12.0 -1.3 3.0 -3.0 4.4 -1.4 2.2 -4.2 11.9 14.6 0.6 -0.4 CRUDE_W 20.0 0.8 -4.6 -0.7 2.1 -1.9 3.9 1.1 2.3 10.4 1.8 14.8 -2.1 12.5 5.6 9.6 11.3 8.7 9.3 5.6 -1.0 20.0 1.2 17.6 -9.5 10.8 1.9 4.2 0.1 7.6 1.6 6.0 -2.8 17.2 20.0 4.8 4.9 DAX 10.2 -14.6 13.5 2.8 3.5 2.2 4.8 1.1 4.2 14.1 14.9 15.5 7.6 13.7 13.3 -6.6 -5.7 -7.7 -7.4 10.8 13.8 13.5 10.8 11.8 -18.7 9.9 3.3 3.6 5.7 4.9 4.6 3.5 -3.7 -1.4 -9.5 -2.7 4.1 DOW 20.0 -6.0 -2.9 2.8 3.5 2.2 4.8 1.1 4.2 7.0 7.0 14.2 1.3 8.7 0.7 -7.3 -5.1 -7.2 -6.7 3.8 0.5 18.1 0.6 14.1 -0.7 10.8 2.8 4.0 1.6 7.1 1.4 6.0 -2.6 8.4 1.8 1.0 -11.0 EUR 13.6 2.1 13.2 3.4 4.2 1.8 6.0 -0.7 5.3 8.2 12.0 12.8 -0.3 12.9 7.9 -6.2 -8.4 -7.1 -7.8 11.7 9.4 14.8 1.4 14.8 -12.3 -11.1 5.2 5.2 3.7 8.1 -0.0 7.5 -9.5 9.5 10.8 8.5 6.6 EUROSTX 12.4 -13.0 12.3 2.8 3.5 2.2 4.8 1.1 4.2 14.1 15.2 15.7 11.9 14.8 14.2 -2.0 5.1 3.2 4.7 13.1 15.7 16.3 13.8 14.7 -18.6 -8.5 3.8 4.6 6.0 5.8 5.8 4.4 16.0 1.4 -6.4 -1.1 3.2 FEEDCOW 12.4 18.4 17.9 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 8.4 12.6 13.4 8.8 14.5 14.3 -20.0 -20.0 -20.0 -20.0 20.0 18.9 20.0 10.4 20.0 -20.0 12.2 6.3 2.1 5.1 5.3 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 10.4 -5.5 -11.3 -0.7 2.1 -1.9 3.9 1.1 2.3 -3.2 -11.7 4.6 5.9 -4.2 -10.6 15.2 20.0 20.0 20.0 -7.1 -7.8 1.9 3.6 -1.3 2.2 -15.4 -3.1 -0.3 -4.4 1.5 -0.3 0.1 20.0 -17.0 -7.1 -4.9 -11.0 GASOILINE 20.0 5.0 5.2 -0.7 2.1 -1.9 3.9 1.1 2.3 9.1 7.0 14.7 2.6 13.3 10.8 20.0 14.0 14.7 10.5 11.6 5.9 20.0 8.0 19.5 -19.0 -13.1 4.2 3.2 3.3 7.2 5.4 6.8 -0.1 11.8 20.0 11.7 20.0 GAS_US -5.8 -3.5 -20.0 -0.7 2.1 -1.9 3.9 1.1 2.3 -2.8 -16.7 -12.6 -14.2 -15.1 -16.5 -20.0 -12.1 -20.0 -17.0 -20.0 -20.0 -10.8 -20.0 -18.3 18.7 -9.3 -6.5 -2.6 -6.5 -5.4 -3.2 -6.4 -20.0 -20.0 -20.0 -13.6 -20.0 GBP 13.4 8.3 10.6 3.4 4.2 1.8 6.0 -0.7 5.3 -1.7 13.4 10.3 -0.9 13.6 11.1 -1.5 -1.9 -1.8 -2.0 11.7 7.3 9.0 -1.3 13.6 6.3 9.4 4.7 1.1 1.4 5.6 -3.1 6.8 1.1 -0.4 3.3 12.2 -1.8 GOLD_micro 15.3 11.6 14.8 3.9 6.5 2.5 6.3 1.7 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 16.7 7.6 20.0 -3.0 -13.8 5.4 4.6 3.9 5.7 2.2 6.3 -15.2 -1.2 2.4 16.4 12.1 HEATOIL 12.1 -8.8 -12.5 -0.7 2.1 -1.9 3.9 1.1 2.3 -5.7 -10.7 9.8 4.9 -1.7 -9.7 14.5 20.0 20.0 20.0 -7.4 -8.9 5.7 3.6 1.2 -4.9 -13.6 -2.5 -0.1 -2.5 2.4 3.9 0.7 20.0 -3.7 -2.1 -7.9 -3.9 JPY -1.7 -1.7 4.0 3.4 4.2 1.8 6.0 -0.7 5.3 -11.3 5.7 -10.8 -6.6 1.8 -3.7 -15.2 -12.9 -14.6 -14.1 -0.5 0.6 -8.2 -7.3 -3.8 2.3 9.9 2.2 -1.2 1.1 1.3 -4.7 2.4 -18.7 -10.6 -15.7 -2.4 -4.1 LEANHOG -12.0 -20.0 -20.0 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 -10.8 -14.6 -14.2 -11.2 -15.6 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.8 -20.0 20.0 -11.1 -6.3 -2.7 -5.2 -4.8 -3.1 -6.1 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 20.0 -6.2 6.2 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 8.7 12.6 13.8 9.4 12.8 11.3 20.0 -2.8 20.0 20.0 13.0 10.1 20.0 7.4 20.0 -20.0 12.0 4.2 2.8 3.8 7.2 3.6 6.6 -0.0 20.0 20.0 14.1 20.0 MXP 11.9 -8.4 3.2 3.4 4.2 1.8 6.0 -0.7 5.3 11.7 14.7 14.2 15.2 13.6 14.1 17.3 20.0 18.8 20.0 15.7 18.8 11.8 19.2 13.5 -20.0 9.7 5.4 2.5 7.5 3.4 8.0 4.0 20.0 -17.0 -0.4 9.4 20.0 NASDAQ 11.9 14.9 20.0 2.8 3.5 2.2 4.8 1.1 4.2 2.3 6.2 7.6 -7.4 12.3 14.2 -8.0 -5.5 -7.4 -6.8 18.3 11.9 8.3 -1.1 15.9 -3.1 10.2 5.9 1.3 4.7 2.5 1.9 4.8 -2.9 -11.8 -4.1 20.0 18.3 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 4.0 -5.6 3.1 3.4 4.2 1.8 6.0 -0.7 5.3 -5.9 7.4 -2.3 -1.3 2.3 -5.7 1.1 0.6 0.7 0.5 -1.1 -0.1 -1.5 -2.5 -0.7 2.5 10.8 0.2 -0.7 0.2 1.3 -1.9 1.5 5.3 -15.8 -16.8 -8.6 -10.0 OAT 1.9 12.4 9.4 3.2 -1.8 0.9 1.3 -2.5 3.5 -13.9 -8.1 -12.6 -12.8 5.0 -1.5 9.9 12.0 10.2 11.3 -0.4 -6.3 -8.6 -15.1 -1.2 5.8 12.7 2.5 -2.1 -1.0 0.4 -7.2 2.9 20.0 -5.4 -9.5 -9.6 -6.5 OJ 20.0 10.1 -7.1 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 13.0 15.5 14.7 15.4 15.3 15.2 20.0 19.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.5 1.8 7.3 3.9 7.3 5.5 20.0 20.0 20.0 20.0 20.0 PALLAD 13.6 0.8 -20.0 4.0 5.2 2.6 6.1 1.8 5.7 10.7 -14.6 10.4 -14.4 1.7 -11.3 -2.6 -2.2 -2.7 -2.5 -12.8 -20.0 9.3 -20.0 1.4 20.0 -11.1 -1.9 6.8 -5.7 7.5 -5.7 4.0 0.0 -4.8 -17.4 -20.0 -20.0 PLAT 11.0 5.8 -5.5 4.0 5.2 2.6 6.1 1.8 5.7 11.5 4.6 11.9 1.0 12.5 -0.4 -2.6 -1.4 -2.2 -1.9 5.2 2.3 17.4 1.8 12.1 1.4 11.2 2.4 9.9 0.6 10.3 0.2 7.0 1.3 4.9 -12.3 -7.8 -17.0 REDWHEAT 20.0 4.8 -1.3 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 5.6 -8.1 10.0 -10.9 6.5 3.8 13.0 5.5 11.0 8.7 1.6 -5.4 4.6 -6.2 6.1 -2.2 12.9 0.1 1.2 -1.6 -0.4 -0.1 1.1 -0.2 -4.9 13.8 -4.5 1.7 ROBUSTA 20.0 14.3 20.0 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 11.3 9.2 14.8 4.6 15.2 15.1 13.2 9.9 11.0 10.6 20.0 18.1 20.0 9.2 20.0 -7.5 9.6 6.0 3.6 3.9 6.9 1.9 7.3 5.5 20.0 20.0 20.0 20.0 RUSSELL 2.3 -20.0 2.8 2.8 3.5 2.2 4.8 1.1 4.2 -0.4 -5.1 4.1 -9.1 -10.2 -10.9 -5.2 -4.3 -5.5 -5.3 -10.2 -6.9 -0.1 -6.0 -6.7 5.2 10.0 -3.2 -1.7 -0.9 -2.0 -0.1 -3.5 -0.6 -20.0 -20.0 -20.0 -11.7 SILVER-mini 20.0 13.6 2.5 3.9 6.5 2.5 6.3 1.7 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 5.8 1.7 8.1 0.1 7.5 -4.8 12.3 19.6 6.2 -9.5 SOYBEAN 7.0 -16.7 -17.1 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 -12.2 -4.4 4.6 -1.3 -4.9 -7.2 20.0 20.0 20.0 20.0 -13.1 -10.2 -4.1 -2.0 -8.9 -0.8 -11.7 -4.6 -1.7 -3.2 -1.4 0.1 -3.3 20.0 2.3 -13.4 -20.0 -17.0 SOYMEAL -7.0 -16.7 6.8 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 7.2 10.4 7.9 12.3 -2.4 0.5 18.3 18.3 18.6 19.1 1.0 11.0 3.2 16.3 -2.1 -20.0 -12.0 -0.5 2.0 4.3 1.6 8.5 -1.2 20.0 8.9 -11.5 -8.4 13.7 SOYOIL -3.1 -16.7 -20.0 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 -13.9 -11.4 -5.5 -3.6 -9.9 -11.8 0.1 11.9 1.6 5.8 -20.0 -17.3 -12.0 -6.4 -16.2 5.9 12.9 -5.9 -2.5 -4.9 -3.3 -1.5 -4.7 3.6 -3.9 -20.0 -20.0 -20.0 SP400 6.5 -20.0 2.0 2.8 3.5 2.2 4.8 1.1 4.2 1.4 1.4 8.7 -1.7 -5.4 -7.4 -4.6 -4.1 -5.1 -4.8 -6.9 -2.9 3.5 -0.4 -2.6 1.4 10.2 -2.7 -1.3 -0.5 -1.1 0.9 -2.5 -0.0 -19.6 -20.0 -20.0 -12.4 SP500 18.5 0.4 9.2 2.8 3.5 2.2 4.8 1.1 4.2 5.8 5.0 13.3 -5.6 10.8 7.4 -7.8 -5.8 -7.5 -6.9 8.1 3.6 12.9 -1.8 13.2 1.6 10.2 4.5 2.9 3.1 5.4 0.8 6.0 -3.3 -1.4 -2.0 5.3 0.2 SUGAR11 20.0 20.0 18.0 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 10.6 15.5 14.2 13.0 15.4 15.9 12.8 20.0 20.0 20.0 20.0 20.0 20.0 17.6 20.0 -20.0 -10.5 6.3 3.8 5.4 7.4 4.4 7.7 20.0 20.0 20.0 20.0 20.0 US10 9.4 20.0 16.7 3.2 -1.8 0.9 1.3 -2.5 3.5 -10.3 -0.2 2.3 -10.4 11.5 9.7 -9.0 -4.6 -8.6 -7.8 8.7 1.0 1.1 -9.9 9.3 -2.5 9.7 4.5 -0.8 1.8 2.7 -2.2 5.0 -9.5 4.6 3.4 9.7 2.0 US10U 8.5 19.1 15.4 3.2 -1.8 0.9 1.3 -2.5 3.5 -11.3 -0.2 1.5 -10.3 11.1 9.6 -2.4 2.1 -0.5 0.2 8.0 0.7 0.2 -10.3 8.4 -5.2 -14.1 4.7 -1.2 2.3 2.5 -1.6 5.0 3.2 2.3 1.0 8.1 4.6 US20 8.3 18.4 16.0 3.2 -1.8 0.9 1.3 -2.5 3.5 -11.2 1.8 0.2 -8.8 11.4 10.2 -0.9 -1.5 -2.6 -2.9 8.5 1.3 0.2 -10.0 8.8 -2.7 -12.3 4.5 -2.0 2.0 2.1 -1.9 4.8 -2.5 0.8 -1.4 6.6 1.0 US30 4.8 12.5 12.8 3.2 -1.8 0.9 1.3 -2.5 3.5 -12.2 1.3 -1.0 -10.4 9.2 5.6 -0.6 -0.5 -0.8 -0.9 4.8 -1.1 -2.0 -13.1 4.8 -6.6 10.0 4.6 -2.8 2.4 1.9 -2.5 4.7 -0.0 -1.9 -5.6 -0.1 0.7 US5 9.2 20.0 19.6 3.2 -1.8 0.9 1.3 -2.5 3.5 -10.0 -0.5 2.7 -10.7 11.6 9.8 -8.7 -5.0 -9.3 -8.6 8.5 0.8 1.1 -9.6 9.2 -0.7 10.8 4.1 -0.7 1.3 2.5 -2.8 4.8 -10.6 4.1 3.1 9.9 0.0 VIX -9.4 19.7 -0.1 -2.9 -3.0 -5.9 -2.7 -6.9 -1.8 -14.1 -12.5 -15.3 -13.2 -8.2 -8.4 -20.0 -20.0 -20.0 -20.0 -6.5 -10.7 -10.8 -13.2 -8.0 NaN -13.5 -3.4 -3.1 -7.5 -3.4 -9.4 -2.3 NaN NaN NaN NaN NaN WHEAT 8.4 -6.6 -9.8 -3.1 -3.5 -3.5 -2.5 -2.5 -2.5 -5.0 -13.9 -5.8 -14.7 -11.4 -11.5 -12.9 -8.5 -11.9 -10.5 -14.9 -18.8 -8.8 -16.4 -11.1 8.0 11.9 -5.2 -1.4 -5.1 -4.2 -2.8 -4.8 -20.0 -8.6 -12.1 -20.0 -11.0 End of report for caleb_strategy_v1