******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230417_204652 produced at 2023-04-17 21:37:18.215262 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.19 0.0 4.704108e+07 -4.704108e+07 -0.14 -0.14 -4.12 999999999.0 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.16 -0.18 0.0 8.244274e+06 -8.244274e+06 -0.16 -0.15 -21.79 999999999.0 -20 -18 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.12 0.0 5.485331e+07 -5.485331e+07 -0.11 -0.11 -2.15 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.22 -0.10 0.0 3.676144e+07 -3.676144e+07 -0.22 -0.29 -2.62 999999999.0 -6 -8 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.10 0.0 1.416214e+07 -1.416214e+07 -0.10 -0.11 -7.01 999999999.0 -7 -8 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.09 0.0 5.369059e+07 -5.369059e+07 -0.16 -0.16 -1.67 999999999.0 -3 -3 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.078013e+07 -5.078013e+07 0.00 0.00 -1.67 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.406085e+07 -4.406085e+07 -0.09 -0.09 -1.20 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.839153e+07 -5.839153e+07 0.00 0.00 -0.65 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 7.863589e+06 -7.863589e+06 -0.01 -0.01 -4.21 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.142449e+07 -1.142449e+07 -0.06 -0.06 -2.01 999999999.0 -5 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.556309e+06 -9.556309e+06 -0.01 -0.02 -0.95 999999999.0 -1 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.01 0.0 1.159290e+06 -1.159290e+06 -0.01 -0.02 -5.44 999999999.0 -5 -14 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 2.479647e+07 -2.479647e+07 0.00 0.00 -0.45 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 6.111729e+07 -6.111729e+07 0.00 0.00 -0.09 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.06 0.00 0.0 1.859008e+07 -1.859008e+07 0.06 0.02 0.25 999999999.0 3 1 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.00 0.0 1.432467e+07 -1.432467e+07 -0.01 -0.03 -0.32 999999999.0 -1 -2 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.699770e+07 -1.699770e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.04 0.00 0.0 4.418798e+07 -4.418798e+07 0.04 0.04 0.03 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.275767e+07 -1.275767e+07 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 0.00 0.0 4.477072e+07 -4.477072e+07 0.00 0.00 0.05 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.568272e+07 -1.568272e+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 3.550129e+06 -3.550129e+06 -0.31 -0.06 0.15 999999999.0 -86 -18 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.043549e+07 -1.043549e+07 0.01 0.00 1.08 999999999.0 1 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.01 0.0 4.272678e+07 -4.272678e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.630922e+07 -2.630922e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 6.864857e+06 -6.864857e+06 0.01 0.00 1.06 999999999.0 2 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.919031e+07 -2.919031e+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 2.957952e+07 -2.957952e+07 0.00 0.00 0.65 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.162028e+07 -8.162028e+07 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.59 0.02 0.0 9.871197e+07 -9.871197e+07 0.59 0.69 0.20 999999999.0 6 7 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.384930e+06 -4.384930e+06 0.00 0.00 5.62 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 0.02 0.0 1.765567e+07 -1.765567e+07 0.00 0.02 1.26 999999999.0 0 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.992402e+07 -3.992402e+07 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.080064e+07 -2.080064e+07 0.00 0.00 0.73 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.02 0.0 1.631622e+07 -1.631622e+07 0.03 0.03 0.94 999999999.0 2 2 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.270403e+06 -9.270403e+06 0.02 0.02 2.27 999999999.0 2 2 caleb_strategy_v1 DOW False False 0.01 0.01 0.02 0.0 6.674729e+06 -6.674729e+06 0.01 0.00 3.17 999999999.0 2 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.253811e+07 -4.253811e+07 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.419822e+07 -2.419822e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 1.108375e+07 -1.108375e+07 0.06 0.06 2.32 999999999.0 5 5 caleb_strategy_v1 US30 False False 0.05 0.00 0.03 0.0 5.426828e+07 -5.426828e+07 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.566789e+07 -2.566789e+07 0.00 0.00 1.24 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.071168e+07 -1.071168e+07 0.00 0.00 3.18 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.21 0.04 0.0 3.033345e+07 -3.033345e+07 0.21 0.18 1.45 999999999.0 7 6 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.04 0.0 1.030338e+08 -1.030338e+08 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.10 0.05 0.0 4.895660e+07 -4.895660e+07 0.10 0.10 1.09 999999999.0 2 2 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.06 0.0 2.583728e+07 -2.583728e+07 0.00 0.00 2.31 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.06 0.0 3.233572e+07 -3.233572e+07 0.03 0.00 1.90 999999999.0 1 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.530538e+07 -5.530538e+07 0.00 0.00 1.28 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.07 0.0 2.926424e+07 -2.926424e+07 0.00 0.00 2.22 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.09 0.0 3.041569e+07 -3.041569e+07 0.12 0.12 3.07 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 4.75 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.25 0.0 5.760385e+07 -5.760385e+07 0.35 0.35 4.31 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.10 0.33 0.0 5.034257e+07 -5.034257e+07 0.10 0.00 6.57 999999999.0 2 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.35 0.0 0.000000e+00 0.000000e+00 0.00 0.00 41.64 999999999.0 0 0 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 17.7 Shocked risk 48.2 Sum abs risk 47.6 Leverage 3.07 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2553287.15, 'annual_cash_vol_target': 638321.7875, 'daily_cash_vol_target': 39895.11171875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6718 0.7757 12.4116 BITCOIN 949.0983 29600.0000 3.2064 51.3026 BOBL 0.4885 116.9600 0.4177 6.6825 BTP 0.7281 113.7400 0.6401 10.2421 BUND 0.8869 133.8300 0.6627 10.6033 BUXL 2.0065 135.6600 1.4791 23.6648 CAC 67.4969 7512.5000 0.8985 14.3754 CAD 0.0032 0.7472 0.4258 6.8132 CANOLA 8.1064 747.5000 1.0845 17.3515 CHF 0.0061 1.1204 0.5476 8.7619 COCOA 34.7557 2917.0000 1.1915 19.0638 COFFEE 3.7307 198.7500 1.8771 30.0334 COPPER 0.0464 4.0775 1.1372 18.1945 CORN 4.7828 566.0000 0.8450 13.5203 COTTON2 1.3064 83.3200 1.5680 25.0872 CRUDE_W 1.2684 77.6600 1.6333 26.1334 DAX 146.4293 15949.0000 0.9181 14.6897 DOW 243.4588 34085.0000 0.7143 11.4283 EUR 0.0060 1.0967 0.5426 8.6818 EUROSTX 43.8314 4319.0000 1.0148 16.2376 FEEDCOW 1.3332 225.0000 0.5926 9.4809 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.4431 755.2500 1.9124 30.5978 GASOILINE 0.0435 2.6863 1.6180 25.8885 GAS_US 0.1152 2.4400 4.7201 75.5216 GBP 0.0074 1.2392 0.6003 9.6046 GOLD_micro 19.6458 2007.8000 0.9785 15.6556 HEATOIL 0.0412 2.5860 1.5938 25.5011 JPY 0.0001 0.0075 0.6672 10.6751 LEANHOG 1.2950 90.4000 1.4325 22.9204 LIVECOW 1.0026 164.9250 0.6079 9.7262 MXP 0.0004 0.0547 0.7672 12.2750 NASDAQ 127.1113 13153.7500 0.9664 15.4616 NIKKEI 243.3920 28555.0000 0.8524 13.6378 NZD 0.0049 0.6178 0.8011 12.8171 OAT 0.8082 128.4900 0.6290 10.0644 OJ 4.3265 266.9500 1.6207 25.9317 PALLAD 30.6972 1560.5000 1.9671 31.4742 PLAT 17.0374 1062.2000 1.6040 25.6636 REDWHEAT 12.3506 868.0000 1.4229 22.7661 ROBUSTA 29.0136 2367.0000 1.2258 19.6120 RUSSELL 21.6946 1812.9000 1.1967 19.1469 SILVER-mini 0.3936 25.3250 1.5543 24.8681 SOYBEAN 10.8158 1310.7500 0.8252 13.2025 SOYMEAL 5.1929 450.8000 1.1519 18.4307 SOYOIL 0.8100 54.2900 1.4919 23.8708 SP400 26.5835 2520.4000 1.0547 16.8757 SP500 32.2124 4168.0000 0.7729 12.3656 SUGAR11 0.2973 23.7900 1.2497 19.9957 US10 0.5816 114.3125 0.5088 8.1406 US10U 0.7477 120.1094 0.6225 9.9600 US20 1.0237 129.6562 0.7896 12.6333 US30 1.4625 138.5625 1.0555 16.8873 US5 0.4375 109.0938 0.4010 6.4167 VIX 0.6900 21.0500 3.2779 52.4470 WHEAT 10.2267 731.5000 1.3980 22.3687 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.75 0.78 521.09 1.00 521.09 39895.11 76.56 3.13 23.95 BITCOIN 29.60 3.21 94.91 1.00 94.91 39895.11 420.35 -5.49 -230.75 BOBL 1169.60 0.42 488.49 1.11 540.74 39895.11 73.78 12.35 91.12 BTP 1137.40 0.64 728.08 1.11 805.95 39895.11 49.50 10.86 53.77 BUND 1338.30 0.66 886.90 1.11 981.76 39895.11 40.64 14.69 59.69 BUXL 1356.60 1.48 2006.48 1.11 2221.08 39895.11 17.96 -4.31 -7.74 CAC 751.25 0.90 674.97 1.11 747.16 39895.11 53.40 12.63 67.44 CAD 747.20 0.43 318.17 1.00 318.17 39895.11 125.39 9.93 124.51 CANOLA 149.50 1.08 162.13 0.75 121.67 39895.11 327.89 18.67 612.32 CHF 1400.56 0.55 766.98 1.00 766.98 39895.11 52.02 -11.07 -57.56 COCOA 291.70 1.19 347.56 1.00 347.56 39895.11 114.79 -8.03 -92.16 COFFEE 745.31 1.88 1399.01 1.00 1399.01 39895.11 28.52 10.31 29.40 COPPER 1019.37 1.14 1159.19 1.00 1159.19 39895.11 34.42 5.73 19.73 CORN 283.00 0.85 239.14 1.00 239.14 39895.11 166.83 15.39 256.77 COTTON2 416.60 1.57 653.21 1.00 653.21 39895.11 61.08 10.22 62.42 CRUDE_W 776.60 1.63 1268.45 1.00 1268.45 39895.11 31.45 7.38 23.22 DAX 159.49 0.92 146.43 1.11 162.09 39895.11 246.13 0.79 19.49 DOW 170.42 0.71 121.73 1.00 121.73 39895.11 327.74 3.39 111.23 EUR 1370.88 0.54 743.86 1.00 743.86 39895.11 53.63 -8.32 -44.64 EUROSTX 431.90 1.01 438.31 1.11 485.19 39895.11 82.23 1.10 9.05 FEEDCOW 1125.00 0.59 666.62 1.00 666.62 39895.11 59.85 -7.45 -44.56 FTSE100 707.00 0.82 576.59 1.25 666.67 39895.11 59.84 7.70 46.06 GASOIL 755.25 1.91 1444.31 1.00 1444.31 39895.11 27.62 3.31 9.13 GASOILINE 1128.25 1.62 1825.54 1.00 1825.54 39895.11 21.85 0.36 0.78 GAS_US 244.00 4.72 1151.70 1.00 1151.70 39895.11 34.64 -18.14 -62.83 GBP 774.50 0.60 464.92 1.00 464.92 39895.11 85.81 9.45 81.10 GOLD_micro 200.78 0.98 196.46 1.00 196.46 39895.11 203.07 -9.28 -188.35 HEATOIL 1086.12 1.59 1731.08 1.00 1731.08 39895.11 23.05 3.30 7.62 JPY 938.62 0.67 626.25 1.00 626.25 39895.11 63.71 -6.37 -40.55 LEANHOG 361.60 1.43 518.00 1.00 518.00 39895.11 77.02 -19.47 -149.95 LIVECOW 659.70 0.61 401.02 1.00 401.02 39895.11 99.48 8.64 85.94 MXP 273.50 0.77 209.83 1.00 209.83 39895.11 190.14 13.64 259.37 NASDAQ 2630.75 0.97 2542.23 1.00 2542.23 39895.11 15.69 5.11 8.02 NIKKEI 28555.00 0.85 24339.20 0.01 183.76 39895.11 217.11 10.10 219.22 NZD 617.85 0.80 494.94 1.00 494.94 39895.11 80.61 6.51 52.48 OAT 1284.90 0.63 808.24 1.11 894.68 39895.11 44.59 14.26 63.61 OJ 400.42 1.62 648.98 1.00 648.98 39895.11 61.47 -2.67 -16.43 PALLAD 1560.50 1.97 3069.72 1.00 3069.72 39895.11 13.00 -2.92 -3.79 PLAT 531.10 1.60 851.87 1.00 851.87 39895.11 46.83 6.51 30.47 REDWHEAT 434.00 1.42 617.53 1.00 617.53 39895.11 64.60 7.56 48.83 ROBUSTA 236.70 1.23 290.14 1.00 290.14 39895.11 137.50 12.72 174.90 RUSSELL 90.64 1.20 108.47 1.00 108.47 39895.11 367.79 0.08 2.95 SILVER-mini 633.12 1.55 984.04 1.00 984.04 39895.11 40.54 -4.98 -20.20 SOYBEAN 655.38 0.83 540.79 1.00 540.79 39895.11 73.77 2.86 21.09 SOYMEAL 450.80 1.15 519.29 1.00 519.29 39895.11 76.83 2.77 21.29 SOYOIL 325.74 1.49 485.98 1.00 485.98 39895.11 82.09 2.64 21.64 SP400 2520.40 1.05 2658.35 1.00 2658.35 39895.11 15.01 2.56 3.84 SP500 2084.00 0.77 1610.62 1.00 1610.62 39895.11 24.77 4.29 10.62 SUGAR11 266.45 1.25 332.99 1.00 332.99 39895.11 119.81 6.66 79.83 US10 1143.12 0.51 581.61 1.00 581.61 39895.11 68.59 0.20 1.38 US10U 1201.09 0.62 747.68 1.00 747.68 39895.11 53.36 -5.30 -28.27 US20 1296.56 0.79 1023.74 1.00 1023.74 39895.11 38.97 -5.81 -22.65 US30 1385.62 1.06 1462.47 1.00 1462.47 39895.11 27.28 2.39 6.51 US5 1090.94 0.40 437.52 1.00 437.52 39895.11 91.19 0.74 6.78 VIX 210.50 3.28 690.01 1.00 690.01 39895.11 57.82 -20.00 -115.64 WHEAT 365.75 1.40 511.34 1.00 511.34 39895.11 78.02 -7.70 -60.11 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 23.954 0.006 2.5 0.383 BITCOIN -230.750 0.009 2.5 -5.437 BOBL 91.115 0.029 2.5 6.575 BTP 53.767 0.008 2.5 1.086 BUND 59.691 0.029 2.5 4.307 BUXL -7.738 0.034 2.5 -0.650 CAC 67.439 0.011 2.5 1.896 CAD 124.508 0.007 2.5 2.223 CANOLA 612.317 0.004 2.5 5.621 CHF -57.560 0.015 2.5 -2.154 COCOA -92.156 0.009 2.5 -2.008 COFFEE 29.396 0.005 2.5 0.381 COPPER 19.729 0.011 2.5 0.539 CORN 256.772 0.004 2.5 2.316 COTTON2 62.423 0.006 2.5 0.940 CRUDE_W 23.218 0.053 2.5 3.067 DAX 19.487 0.022 2.5 1.058 DOW 111.233 0.011 2.5 3.170 EUR -44.642 0.015 2.5 -1.671 EUROSTX 9.047 0.011 2.5 0.254 FEEDCOW -44.561 0.011 2.5 -1.197 FTSE100 46.065 0.041 2.5 4.749 GASOIL 9.130 0.029 2.5 0.651 GASOILINE 0.782 0.016 2.5 0.032 GAS_US -62.828 0.006 2.5 -0.946 GBP 81.098 0.007 2.5 1.448 GOLD_micro -188.355 0.009 2.5 -4.214 HEATOIL 7.615 0.029 2.5 0.543 JPY -40.548 0.026 2.5 -2.625 LEANHOG -149.954 0.019 2.5 -7.006 LIVECOW 85.942 0.011 2.5 2.309 MXP 259.366 0.005 2.5 3.175 NASDAQ 8.018 0.022 2.5 0.435 NIKKEI 219.218 0.076 2.5 41.637 NZD 52.475 0.006 2.5 0.838 OAT 63.609 0.008 2.5 1.285 OJ -16.429 0.007 2.5 -0.287 PALLAD -3.791 0.010 2.5 -0.091 PLAT 30.470 0.010 2.5 0.733 REDWHEAT 48.826 0.002 2.5 0.261 ROBUSTA 174.899 0.005 2.5 2.268 RUSSELL 2.954 0.021 2.5 0.153 SILVER-mini -20.205 0.009 2.5 -0.452 SOYBEAN 21.085 0.024 2.5 1.243 SOYMEAL 21.293 0.024 2.5 1.255 SOYOIL 21.640 0.004 2.5 0.199 SP400 3.839 0.021 2.5 0.199 SP500 10.623 0.011 2.5 0.303 SUGAR11 79.829 0.005 2.5 1.083 US10 1.381 0.015 2.5 0.053 US10U -28.273 0.058 2.5 -4.119 US20 -22.648 0.029 2.5 -1.669 US30 6.511 0.034 2.5 0.547 US5 6.776 0.015 2.5 0.260 VIX -115.637 0.075 2.5 -21.792 WHEAT -60.109 0.002 2.5 -0.321 ==================== Position diags ==================== AUD 1.22 BITCOIN 9.90 BOBL 5.32 BTP 1.00 BUND 2.93 BUXL 1.51 CAC 1.50 CAD 2.24 CANOLA 3.01 CHF 1.95 COCOA 2.50 COFFEE 0.37 COPPER 0.94 CORN 1.50 COTTON2 0.92 CRUDE_W 4.16 DAX 13.37 DOW 9.34 EUR 2.01 EUROSTX 2.31 FEEDCOW 1.61 FTSE100 6.17 GASOIL 1.97 GASOILINE 0.90 GAS_US 0.52 GBP 1.53 GOLD_micro 4.54 HEATOIL 1.64 JPY 4.12 LEANHOG 3.60 LIVECOW 2.67 MXP 2.33 NASDAQ 0.85 NIKKEI 41.24 NZD 1.29 OAT 0.90 OJ 1.07 PALLAD 0.31 PLAT 1.13 REDWHEAT 0.34 ROBUSTA 1.78 RUSSELL 19.05 SILVER-mini 0.91 SOYBEAN 4.35 SOYMEAL 4.53 SOYOIL 0.75 SP400 0.78 SP500 0.71 SUGAR11 1.63 US10 2.63 US10U 7.77 US20 2.87 US30 2.29 US5 3.50 VIX 10.90 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 -5.4 -6.4 -4.4 -5.0 -5 BOBL 6.6 6.0 7.1 2.0 2 BTP 1.1 1.0 1.2 2.0 2 BUND 4.3 4.0 4.6 6.0 6 BUXL -0.6 -0.8 -0.5 0.0 0 CAC 1.9 1.7 2.0 1.0 1 CAD 2.2 2.0 2.4 0.0 0 CANOLA 5.6 5.3 5.9 NaN 0 CHF -2.2 -2.3 -2.0 -2.0 -2 COCOA -2.0 -2.3 -1.8 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.3 2.2 2.5 5.0 5 COTTON2 0.9 0.8 1.0 2.0 2 CRUDE_W 3.1 2.7 3.5 4.0 4 DAX 1.1 -0.3 2.4 2.0 2 DOW 3.2 2.2 4.1 2.0 2 EUR -1.7 -1.9 -1.5 -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 0.8 0.0 0 GASOILINE 0.0 -0.1 0.1 1.0 1 GAS_US -0.9 -1.0 -0.9 -1.0 -1 GBP 1.4 1.3 1.6 7.0 7 GOLD_micro -4.2 -4.7 -3.8 -1.0 -1 HEATOIL 0.5 0.4 0.7 0.0 0 JPY -2.6 -3.0 -2.2 -6.0 -6 LEANHOG -7.0 -7.4 -6.6 -7.0 -7 LIVECOW 2.3 2.0 2.6 0.0 0 MXP 3.2 2.9 3.4 0.0 0 NASDAQ 0.4 0.4 0.5 0.0 0 NIKKEI 41.6 37.5 45.8 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 -0.1 -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 2.3 2.1 2.4 2.0 2 RUSSELL 0.2 -1.8 2.1 -86.0 -86 SILVER-mini -0.5 -0.5 -0.4 0.0 0 SOYBEAN 1.2 0.8 1.7 0.0 0 SOYMEAL 1.3 0.8 1.7 0.0 0 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 0.2 0.1 0.3 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 -0.2 0.3 NaN 0 US10U -4.1 -4.9 -3.3 -3.0 -3 US20 -1.7 -2.0 -1.4 0.0 0 US30 0.5 0.3 0.8 0.0 0 US5 0.3 -0.1 0.6 0.0 0 VIX -21.8 -22.9 -20.7 -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 0.1 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 0.0 0.0 0.1 0.0 0.3 0.0 -0.2 0.1 0.4 -0.2 -0.0 -0.0 -0.0 0.2 0.2 0.0 -0.0 0.0 0.8 -4.8 0.1 -0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.4 -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 0.7 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 0.0 -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 -0.0 -0.2 -0.1 0.1 BUND -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 0.0 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 -0.1 0.2 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.0 1.0 -2.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.6 -0.1 -0.3 -0.2 -0.2 CAC 0.2 -0.2 0.2 0.1 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 0.1 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 1.5 -0.0 -0.2 -0.1 0.1 CAD 0.2 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.2 -0.1 -0.1 -0.0 0.1 -0.0 0.0 -0.1 0.0 2.3 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 0.3 -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 1.7 -0.0 -0.2 -0.2 -0.3 CHF 0.2 0.1 0.1 0.1 0.0 0.1 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 0.2 0.1 0.0 0.1 0.0 -1.0 -2.4 0.1 0.0 0.0 0.0 0.0 0.0 -2.5 0.2 0.3 0.2 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 -2.0 0.2 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 -1.0 0.1 0.4 0.2 0.3 COPPER 0.0 -0.1 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.0 0.0 0.2 2.1 0.0 0.0 0.0 0.0 0.0 0.0 0.4 -0.3 -0.4 -0.3 -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 -0.1 -0.2 -0.0 -0.0 -0.0 2.1 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 3.2 3.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.9 0.0 0.2 0.1 -0.0 CRUDE_W 0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 0.2 0.8 0.5 0.2 0.2 0.1 -0.0 0.0 0.0 0.0 -1.2 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 0.2 -0.2 0.2 0.1 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 -2.7 2.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.5 -0.0 -0.2 -0.1 0.1 DOW 0.3 -0.1 -0.0 0.1 0.1 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 0.1 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 -0.0 -0.1 -0.0 -0.2 EUR 0.2 0.0 0.2 0.1 0.0 0.1 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 0.2 -0.2 0.2 0.1 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 2.1 -0.0 -0.2 -0.0 0.0 FEEDCOW 0.1 0.3 0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 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 1.2 0.9 0.4 0.4 -0.1 -0.1 -0.0 0.0 -0.0 0.3 -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 -0.0 -0.0 -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 -0.2 -0.4 -0.2 -0.3 GBP 0.1 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 0.0 0.2 -0.0 GOLD_micro 0.1 0.2 0.2 0.1 0.0 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 0.1 0.0 0.0 0.0 -1.9 -0.1 -0.2 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 -0.4 -2.7 -0.0 -0.0 -0.0 0.0 0.1 0.0 2.8 -0.0 -0.1 -0.1 -0.1 JPY -0.1 -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 -0.4 -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 0.3 1.6 -0.1 0.4 0.4 0.2 0.1 0.0 0.1 0.0 -3.3 2.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.4 0.2 0.3 MXP 0.1 -0.1 0.0 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 0.1 0.1 0.3 NASDAQ 0.1 0.3 0.4 0.1 0.1 0.1 0.2 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 -0.3 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.4 -0.3 -0.2 0.3 0.3 NIKKEI 0.2 0.1 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.2 0.0 0.3 0.3 0.5 0.2 0.2 0.1 0.1 0.0 0.0 0.0 0.9 -1.9 0.1 0.0 0.0 0.0 0.0 0.0 2.6 -0.0 -0.1 0.1 -0.1 NZD 0.0 -0.1 0.0 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 -0.2 OAT -0.0 0.2 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -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 0.3 -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 0.2 0.1 -0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.2 -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 -0.2 -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 1.0 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 -0.3 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 0.5 0.0 0.4 0.3 0.3 RUSSELL 0.1 -0.3 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -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 0.3 0.1 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 0.1 0.0 -0.9 -3.2 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.2 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 -0.1 -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 -0.0 -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 1.6 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 -0.1 -0.1 0.2 SOYOIL -0.0 -0.3 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.1 -0.0 -0.3 0.1 0.5 0.0 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.9 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 -0.4 -0.3 -0.3 SP400 0.1 -0.3 0.0 0.1 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 0.3 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 0.3 0.0 0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.1 0.2 -0.6 -0.2 -0.2 -0.1 0.1 0.1 0.0 -0.0 0.0 0.2 2.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.4 -0.1 -0.1 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 0.4 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 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.3 0.0 0.0 0.1 0.0 US10U 0.1 0.3 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 -0.2 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 0.0 0.2 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.3 0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -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 6.3 -10.8 1.1 3.4 0.7 1.9 4.4 -0.7 4.9 -1.3 1.2 -0.7 -4.8 -5.0 -9.9 -3.5 -3.0 -3.5 -3.4 -5.2 -4.4 1.2 -5.2 -2.1 10.8 11.7 -1.9 1.0 -2.3 2.7 -3.0 0.8 -0.9 -8.8 -12.3 -19.7 -10.9 BITCOIN 11.0 11.5 20.0 4.1 3.3 2.6 5.4 1.8 5.6 6.4 13.6 12.7 -8.8 15.5 15.6 -4.0 -1.9 -3.3 -2.4 19.6 13.3 12.1 -0.8 18.2 3.4 -18.1 5.6 -0.7 4.5 2.0 1.2 4.4 0.7 -20.0 -20.0 -6.4 18.5 BOBL -1.6 20.0 19.5 3.1 -3.6 0.9 -0.0 -2.5 2.9 -13.9 -8.4 -13.8 -12.8 4.0 3.1 8.0 5.5 2.3 2.7 0.3 -5.9 -10.5 -14.3 -2.2 11.5 10.8 2.3 -2.7 -1.1 -0.5 -6.1 2.3 8.7 -2.9 -10.1 -5.0 -6.3 BTP -2.7 8.6 12.0 3.1 -3.6 0.9 -0.0 -2.5 2.9 -14.0 5.0 -13.6 -8.7 6.0 7.2 7.4 11.9 8.5 10.5 4.4 2.0 -9.6 -9.3 -1.1 -10.4 11.4 4.5 -3.3 2.8 -0.7 -3.7 2.7 20.0 -2.3 -7.9 -7.7 4.4 BUND -2.3 19.8 14.5 3.1 -3.6 0.9 -0.0 -2.5 2.9 -14.0 -8.9 -13.9 -13.0 3.0 0.2 6.2 13.2 8.4 10.6 -0.6 -6.6 -11.6 -15.9 -3.3 8.7 12.3 2.4 -3.7 -0.8 -1.2 -6.3 2.0 20.0 -5.2 -11.1 -6.9 -4.6 BUXL -5.9 16.1 7.0 3.1 -3.6 0.9 -0.0 -2.5 2.9 -14.0 -9.9 -14.6 -13.3 -1.6 -5.6 1.8 0.9 2.4 2.5 -4.8 -9.4 -14.1 -17.6 -7.4 7.7 -10.8 0.8 -4.7 -1.9 -2.5 -6.5 0.3 4.3 -8.9 -16.1 -11.5 -13.1 CAC 16.5 -11.7 12.0 3.2 4.3 2.3 5.8 1.1 4.9 13.0 14.9 15.5 12.1 14.4 13.9 20.0 2.6 6.6 2.6 15.2 17.3 20.0 15.9 18.0 -15.3 8.9 3.7 4.4 5.4 6.0 5.5 4.6 11.4 -0.1 -8.1 -5.1 5.2 CAD 20.0 3.3 2.1 3.4 0.7 1.9 4.4 -0.7 4.9 6.5 -6.2 12.7 -9.8 10.5 3.3 -2.7 -1.8 -2.6 -2.3 4.3 -3.9 15.4 -9.8 13.3 16.7 10.4 2.4 3.7 -1.0 7.4 -3.2 6.5 0.9 6.5 13.4 -4.6 -5.2 CANOLA 9.5 -15.8 -20.0 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 -5.0 -9.6 6.1 -12.1 -6.0 -9.4 20.0 15.5 20.0 16.7 -20.0 -20.0 -5.3 -12.8 -13.5 17.4 13.2 -5.5 -0.1 -4.9 -1.7 -2.7 -3.9 12.4 -8.8 -16.1 -20.0 -20.0 CHF 15.9 5.9 6.4 3.4 0.7 1.9 4.4 -0.7 4.9 3.7 12.5 11.1 5.5 13.0 10.2 -13.1 -13.8 -13.8 -14.1 12.4 8.5 16.9 3.9 17.5 -7.4 -11.5 5.1 2.7 3.0 7.5 0.7 7.7 -19.5 20.0 14.2 11.0 2.8 COCOA 11.2 7.9 16.3 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 12.2 14.7 14.5 6.7 15.2 14.8 3.7 -1.1 2.2 0.7 19.6 17.3 12.0 10.2 17.5 -20.0 -10.4 6.1 2.4 5.5 3.9 3.6 5.5 -14.4 20.0 20.0 20.0 20.0 COFFEE 10.0 6.8 14.6 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 13.2 -3.4 14.4 -6.8 7.9 10.2 6.2 3.6 4.2 3.8 9.4 0.9 20.0 -5.4 17.8 10.6 10.0 3.7 10.2 0.6 10.9 -1.4 7.6 -7.4 20.0 20.0 12.6 18.5 COPPER 3.3 -5.3 12.3 4.1 3.3 2.6 5.4 1.8 5.6 7.1 9.1 9.1 -1.5 2.3 3.5 -0.6 -0.5 -0.8 -0.7 3.8 7.0 6.4 3.8 3.6 1.3 11.1 0.7 2.6 1.9 4.4 2.0 2.3 3.0 -20.0 -16.9 -20.0 -7.1 CORN 12.9 -10.5 -20.0 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 7.6 -9.5 -2.3 -3.0 -10.6 -12.5 14.5 19.3 18.5 19.8 -13.0 -13.7 -0.3 -3.7 -6.8 13.5 11.0 -5.6 2.1 -5.9 -1.9 -2.7 -3.9 19.5 -10.1 -5.8 -20.0 -20.0 COTTON2 14.5 -1.3 -2.1 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 10.4 -9.5 11.8 -11.3 3.1 -3.0 -2.5 7.7 -2.6 0.6 -3.1 -9.4 5.3 -11.1 2.6 13.0 12.0 -1.0 3.2 -2.9 4.4 -1.4 2.5 -6.4 13.0 16.1 2.7 -0.3 CRUDE_W 20.0 1.5 -4.5 -0.6 -0.5 -1.9 2.7 1.1 2.1 3.7 2.3 14.0 -2.1 12.7 6.4 9.8 11.3 8.8 9.3 6.3 -0.5 17.9 1.4 16.8 -9.7 10.8 2.1 1.6 0.2 6.1 1.7 5.7 -3.0 11.6 20.0 5.3 5.3 DAX 12.9 -13.9 13.4 3.2 4.3 2.3 5.8 1.1 4.9 14.1 15.0 15.7 7.9 14.3 13.8 -6.6 -5.8 -7.7 -7.4 11.6 14.3 13.5 11.2 12.6 -18.3 9.9 3.6 3.4 5.8 4.9 4.7 3.9 -3.7 -4.2 -12.2 -5.3 3.4 DOW 20.0 -4.4 -2.7 3.2 4.3 2.3 5.8 1.1 4.9 10.1 7.2 14.7 1.4 10.3 1.7 -7.4 -5.1 -7.3 -6.8 5.1 1.1 18.7 0.8 15.6 -0.4 10.8 3.1 3.9 1.8 6.9 1.4 6.2 -2.7 -1.8 -2.5 -0.6 -11.6 EUR 12.7 2.9 12.8 3.4 0.7 1.9 4.4 -0.7 4.9 -0.3 12.1 9.1 -0.2 12.0 8.0 -6.2 -8.4 -7.1 -7.8 11.2 9.3 9.4 1.5 12.8 -12.4 -11.1 5.2 0.6 3.8 5.7 0.1 6.8 -9.5 8.3 10.7 8.5 6.5 EUROSTX 14.7 -12.3 12.1 3.2 4.3 2.3 5.8 1.1 4.9 11.7 15.3 15.3 12.0 15.0 14.5 -2.3 5.0 2.9 4.6 13.9 16.3 15.1 14.2 15.1 -18.2 -8.5 4.1 3.1 6.1 5.2 5.8 4.5 15.8 -4.3 -10.3 -4.0 2.4 FEEDCOW 14.4 18.5 18.9 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 9.9 12.8 13.5 9.0 14.7 14.5 -20.0 -20.0 -20.0 -20.0 20.0 19.7 20.0 10.9 20.0 -20.0 12.2 6.3 2.2 5.2 4.8 3.3 6.3 -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 11.1 -6.0 -11.9 -0.6 -0.5 -1.9 2.7 1.1 2.1 -10.1 -11.8 2.3 5.8 -4.8 -10.7 14.2 20.0 20.0 20.0 -7.3 -8.0 -0.8 3.5 -2.2 2.6 -15.4 -3.1 -2.6 -4.4 0.1 -0.3 -0.4 20.0 -13.7 -7.0 -5.0 -10.9 GASOILINE 20.0 4.9 4.8 -0.6 -0.5 -1.9 2.7 1.1 2.1 -0.8 7.3 13.2 2.6 13.0 10.9 20.0 14.1 15.1 10.8 11.5 6.1 14.8 8.0 17.6 -19.3 -13.1 4.3 -0.3 3.4 5.1 5.5 6.2 -0.1 7.0 20.0 11.5 20.0 GAS_US -2.1 -0.1 -20.0 -0.6 -0.5 -1.9 2.7 1.1 2.1 8.3 -16.6 -8.6 -14.2 -14.2 -16.2 -20.0 -12.3 -20.0 -17.3 -20.0 -20.0 -5.1 -20.0 -15.3 19.2 -9.3 -6.4 1.4 -6.6 -3.2 -3.4 -5.6 -20.0 -11.3 -20.0 -12.9 -20.0 GBP 12.4 9.2 10.6 3.4 0.7 1.9 4.4 -0.7 4.9 -9.9 13.4 6.9 -0.9 12.8 10.9 -1.6 -1.9 -1.9 -2.0 11.4 7.5 4.8 -1.2 11.7 6.0 9.4 4.7 -1.7 1.5 3.6 -3.1 6.0 1.1 -1.3 1.5 11.9 -1.5 GOLD_micro 8.5 11.6 13.9 4.1 3.3 2.6 5.4 1.8 5.6 -8.8 12.5 6.3 2.3 12.9 12.4 -10.9 -10.7 -11.5 -11.7 17.2 13.9 6.4 7.5 15.3 -2.8 -13.8 5.4 -0.7 4.1 2.8 2.4 5.3 -15.2 -13.4 -12.6 14.5 11.0 HEATOIL 12.9 -8.9 -12.6 -0.6 -0.5 -1.9 2.7 1.1 2.1 -10.6 -10.7 7.7 4.9 -2.0 -9.7 13.5 20.0 20.0 20.0 -7.3 -9.0 2.7 3.5 0.4 -4.5 -13.6 -2.6 -2.4 -2.6 0.9 3.9 0.2 20.0 -4.6 -3.1 -8.2 -4.0 JPY -5.0 -1.3 3.4 3.4 0.7 1.9 4.4 -0.7 4.9 -13.1 5.5 -12.6 -6.6 0.2 -4.4 -15.4 -12.9 -14.7 -14.2 -1.5 0.2 -11.5 -7.5 -5.9 2.4 9.9 1.9 -5.0 1.1 -1.1 -4.8 1.3 -18.8 -9.3 -18.6 -2.7 -5.2 LEANHOG -12.0 -20.0 -20.0 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 -3.4 -14.6 -11.8 -11.3 -15.1 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.4 -14.1 -20.0 20.0 -11.1 -6.3 -1.1 -5.3 -3.8 -3.2 -5.8 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 20.0 -4.0 6.7 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 12.4 12.8 14.6 9.6 13.6 11.9 20.0 -1.6 20.0 20.0 14.1 10.7 20.0 7.7 20.0 -20.0 12.0 4.4 4.0 3.9 6.9 3.6 6.6 0.6 20.0 20.0 15.3 20.0 MXP 12.2 -9.0 3.0 3.4 0.7 1.9 4.4 -0.7 4.9 10.3 14.8 14.0 15.2 13.9 14.3 17.3 20.0 18.8 20.0 16.1 19.3 10.7 19.7 13.5 -20.0 9.7 5.5 1.5 7.7 2.9 8.2 3.9 20.0 -8.2 3.6 7.8 20.0 NASDAQ 10.8 15.9 20.0 3.2 4.3 2.3 5.8 1.1 4.9 5.8 6.7 8.3 -7.2 12.6 14.3 -8.1 -5.6 -7.5 -6.8 18.8 12.4 8.7 -0.8 16.0 -2.9 10.2 5.9 1.2 4.8 2.6 2.0 4.7 -3.0 -17.1 -10.7 19.6 17.8 NIKKEI 14.2 7.0 10.5 3.2 4.3 2.3 5.8 1.1 4.9 13.5 7.6 13.7 6.8 11.0 10.8 4.6 13.2 10.7 13.2 11.1 7.2 18.5 3.8 14.8 6.5 -9.4 4.3 8.7 2.4 7.4 0.4 5.8 20.0 -1.6 -6.6 10.6 -6.2 NZD 3.2 -5.4 2.6 3.4 0.7 1.9 4.4 -0.7 4.9 -11.2 7.3 -6.7 -1.3 1.0 -6.2 1.1 0.6 0.7 0.5 -1.7 -0.3 -4.5 -2.6 -2.1 2.7 10.8 -0.0 -4.5 0.1 -0.8 -1.9 0.5 5.3 -16.6 -16.8 -8.6 -10.2 OAT -1.4 13.4 8.2 3.1 -3.6 0.9 -0.0 -2.5 2.9 -14.0 -8.1 -13.8 -12.8 3.6 -2.0 10.1 12.0 10.3 11.3 -1.4 -6.7 -10.9 -15.4 -3.4 5.8 12.7 2.2 -3.4 -1.0 -0.9 -7.2 2.1 20.0 -3.9 -9.2 -10.0 -6.1 OJ 20.0 17.5 -6.0 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 6.4 15.5 14.1 15.4 15.1 15.2 20.0 19.6 20.0 20.0 20.0 20.0 19.3 20.0 20.0 -20.0 -14.3 6.5 0.9 7.4 3.1 7.4 5.1 20.0 18.8 20.0 20.0 20.0 PALLAD 17.8 4.7 -20.0 4.1 3.3 2.6 5.4 1.8 5.6 13.7 -14.4 13.1 -14.4 4.9 -10.3 -2.7 -2.2 -2.7 -2.6 -10.2 -20.0 16.4 -20.0 5.5 20.0 -11.1 -0.8 10.4 -4.9 9.3 -5.2 5.3 0.0 8.2 -8.7 -20.0 -20.0 PLAT 12.7 7.0 -5.2 4.1 3.3 2.6 5.4 1.8 5.6 13.1 4.9 13.4 1.2 13.4 0.5 -2.6 -1.4 -2.3 -1.9 6.5 2.9 19.0 2.0 14.1 1.3 11.2 2.9 8.2 0.9 9.7 0.3 7.3 1.3 8.5 -10.1 -6.3 -17.0 REDWHEAT 18.5 6.2 -1.0 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 11.3 -7.8 12.0 -10.9 7.8 4.7 12.2 5.5 10.8 8.7 2.6 -5.0 9.3 -6.1 8.1 -2.3 12.9 0.6 5.6 -1.4 2.3 -0.1 2.1 -2.0 0.4 14.2 -3.8 2.0 ROBUSTA 20.0 14.2 20.0 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 11.1 9.5 14.4 4.9 15.1 15.2 13.2 9.9 11.1 10.7 20.0 18.8 20.0 9.6 20.0 -7.6 9.6 6.1 2.9 4.0 6.0 1.9 7.0 3.7 20.0 20.0 20.0 20.0 RUSSELL 4.8 -20.0 2.1 3.2 4.3 2.3 5.8 1.1 4.9 11.0 -5.0 9.3 -9.1 -8.8 -10.4 -5.2 -4.3 -5.5 -5.3 -9.4 -6.8 4.3 -6.1 -4.3 5.8 10.0 -3.0 1.7 -0.9 -0.2 -0.1 -2.7 -0.7 -20.0 -20.0 -20.0 -12.6 SILVER-mini 20.0 16.9 2.9 4.1 3.3 2.6 5.4 1.8 5.6 -3.9 10.3 12.2 0.9 14.4 11.1 -6.0 -4.9 -5.8 -5.6 19.4 10.4 19.7 4.0 20.0 -4.2 -11.3 4.3 0.3 1.9 4.9 0.3 6.6 -4.9 -2.4 12.5 5.1 -10.6 SOYBEAN 8.3 -16.5 -17.2 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 -4.1 -4.5 5.3 -1.5 -4.8 -7.1 20.0 20.0 20.0 20.0 -12.7 -10.2 -2.6 -2.2 -8.1 -0.6 -11.7 -4.6 -0.3 -3.3 -1.0 0.1 -3.1 20.0 -5.3 -11.1 -20.0 -17.1 SOYMEAL -3.1 -16.7 6.6 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 12.0 10.4 10.8 12.3 -1.5 0.8 20.0 18.7 19.8 19.7 1.6 11.1 5.6 16.5 -0.4 -20.0 -12.0 -0.2 3.7 4.5 2.6 8.7 -0.5 19.0 9.9 -7.3 -7.2 13.8 SOYOIL -1.2 -17.3 -20.0 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 -7.6 -11.5 -3.8 -3.9 -9.9 -11.8 0.8 11.8 1.8 5.9 -19.7 -17.4 -9.1 -6.7 -15.2 6.3 12.9 -5.9 -0.6 -5.0 -2.5 -1.6 -4.5 1.7 -10.4 -20.0 -20.0 -20.0 SP400 8.8 -20.0 1.6 3.2 4.3 2.3 5.8 1.1 4.9 11.6 1.5 11.4 -1.7 -4.3 -7.0 -4.5 -4.1 -5.1 -4.8 -6.1 -2.8 6.3 -0.4 -0.8 2.0 10.2 -2.5 0.8 -0.5 0.0 0.9 -2.0 -0.0 -20.0 -20.0 -20.0 -13.5 SP500 20.0 1.9 9.2 3.2 4.3 2.3 5.8 1.1 4.9 12.4 5.6 14.8 -5.5 12.3 8.3 -8.0 -5.9 -7.6 -7.0 9.4 4.2 14.8 -1.6 14.8 1.9 10.2 4.8 3.7 3.2 5.9 0.9 6.2 -3.4 -7.3 -6.1 4.2 -0.3 SUGAR11 20.0 20.0 19.1 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 12.8 15.6 14.8 13.1 15.7 16.1 12.5 20.0 20.0 20.0 20.0 20.0 20.0 18.4 20.0 -20.0 -10.5 6.3 4.0 5.3 6.8 4.3 7.5 20.0 20.0 20.0 20.0 20.0 US10 5.5 20.0 16.4 3.1 -3.6 0.9 -0.0 -2.5 2.9 -12.8 0.0 -3.1 -10.3 10.2 9.2 -9.2 -4.7 -8.7 -7.9 7.6 0.8 -4.4 -9.8 6.2 -2.5 9.7 4.3 -3.4 1.8 0.8 -2.2 4.1 -9.7 1.8 3.4 9.5 1.7 US10U 4.8 20.0 15.2 3.1 -3.6 0.9 -0.0 -2.5 2.9 -13.1 0.0 -4.0 -10.3 9.6 9.0 -2.9 1.9 -0.7 0.1 6.8 0.5 -5.4 -10.2 5.1 -5.1 -14.1 4.5 -4.1 2.4 0.4 -1.6 4.0 2.9 -0.5 1.2 7.8 4.4 US20 4.8 19.5 15.7 3.1 -3.6 0.9 -0.0 -2.5 2.9 -13.1 2.0 -5.3 -8.8 9.9 9.5 -1.0 -1.5 -2.6 -2.9 7.3 1.1 -5.8 -9.9 5.3 -2.6 -12.3 4.3 -4.9 2.0 -0.1 -1.9 3.7 -2.5 -2.1 -0.8 6.2 0.6 US30 1.8 13.1 12.6 3.1 -3.6 0.9 -0.0 -2.5 2.9 -13.4 1.5 -6.2 -10.4 7.2 4.8 -0.9 -0.6 -0.9 -1.0 3.6 -1.3 -7.7 -13.0 1.5 -6.4 10.0 4.3 -6.8 2.3 -1.0 -2.6 3.2 -0.1 -4.1 -4.6 -0.5 0.4 US5 5.4 20.0 19.2 3.1 -3.6 0.9 -0.0 -2.5 2.9 -12.7 -0.3 -2.6 -10.7 10.3 9.3 -8.7 -5.1 -9.3 -8.6 7.4 0.7 -4.3 -9.6 6.1 -0.6 10.8 4.0 -3.1 1.4 0.8 -2.9 3.9 -10.7 1.9 3.0 9.8 -0.4 VIX -11.4 18.5 0.2 -3.2 -5.9 -5.9 -4.3 -6.9 -2.6 -14.1 -12.8 -15.6 -13.3 -10.0 -9.4 -20.0 -20.0 -20.0 -20.0 -7.6 -11.1 -14.0 -13.4 -10.0 NaN -13.5 -3.8 -6.2 -7.5 -5.1 -9.4 -3.3 NaN NaN NaN NaN NaN WHEAT 5.7 -4.8 -9.3 -3.1 0.6 -3.6 -1.4 -2.6 -2.3 5.5 -13.9 -1.9 -14.7 -10.4 -11.2 -12.8 -8.5 -11.9 -10.5 -13.9 -18.3 -2.7 -16.2 -8.6 8.1 11.9 -5.0 3.3 -5.1 -1.6 -2.9 -3.9 -20.0 -4.0 -10.1 -20.0 -10.9 End of report for caleb_strategy_v1