******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230418_204646 produced at 2023-04-18 21:37:45.257577 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.22 0.0 4.715539e+07 -4.715539e+07 -0.14 -0.14 -4.61 999999999.0 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.19 0.0 8.309148e+06 -8.309148e+06 -0.15 -0.15 -22.40 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.12 0.0 5.499421e+07 -5.499421e+07 -0.11 -0.11 -2.21 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.30 -0.10 0.0 3.688409e+07 -3.688409e+07 -0.30 -0.30 -2.78 999999999.0 -8 -8 caleb_strategy_v1 LEANHOG False False 0.01 -0.11 -0.10 0.0 1.390606e+07 -1.390606e+07 -0.11 -0.11 -6.95 999999999.0 -8 -8 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.094007e+07 -5.094007e+07 0.00 0.00 -1.79 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.09 0.0 5.395067e+07 -5.395067e+07 -0.16 -0.16 -1.71 999999999.0 -3 -3 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.432852e+07 -4.432852e+07 -0.09 -0.09 -1.16 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.845119e+07 -5.845119e+07 0.00 0.00 -0.67 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 7.911720e+06 -7.911720e+06 -0.01 -0.01 -4.33 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.166808e+07 -1.166808e+07 -0.06 -0.06 -1.85 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.503523e+07 -2.503523e+07 0.00 0.00 -0.47 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.184446e+06 -1.184446e+06 -0.02 -0.02 -5.34 999999999.0 -14 -14 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.066079e+07 -1.066079e+07 -0.02 -0.02 -0.92 999999999.0 -2 -2 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.552086e+07 -1.552086e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.438913e+07 -1.438913e+07 -0.03 -0.03 -0.31 999999999.0 -2 -2 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.688776e+07 -1.688776e+07 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.06 0.00 0.0 3.530212e+06 -3.530212e+06 -0.06 -0.06 0.42 999999999.0 -18 -18 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.298814e+07 -1.298814e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.00 0.0 4.485887e+07 -4.485887e+07 0.00 0.00 -0.03 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.365121e+07 -6.365121e+07 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.04 0.00 0.0 4.373167e+07 -4.373167e+07 0.04 0.04 0.01 999999999.0 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.049148e+07 -1.049148e+07 0.00 0.00 1.13 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.01 0.0 4.277362e+07 -4.277362e+07 0.00 0.00 0.15 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.643642e+07 -2.643642e+07 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.01 0.0 1.861604e+07 -1.861604e+07 0.02 0.02 0.27 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.960869e+07 -2.960869e+07 0.03 0.03 0.42 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 6.875198e+06 -6.875198e+06 0.00 0.00 1.51 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.332114e+06 -9.332114e+06 0.02 0.02 2.40 999999999.0 2 2 caleb_strategy_v1 SP400 False False 0.10 0.69 0.02 0.0 9.864370e+07 -9.864370e+07 0.69 0.69 0.22 999999999.0 7 7 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.010536e+07 -4.010536e+07 0.00 0.00 0.60 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 2.941517e+07 -2.941517e+07 0.00 0.00 0.67 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.144505e+07 -2.144505e+07 0.00 0.00 0.76 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.02 0.0 1.659478e+07 -1.659478e+07 0.03 0.03 0.97 999999999.0 2 2 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.230117e+07 -4.230117e+07 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.432385e+07 -2.432385e+07 0.00 0.00 0.86 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.691412e+06 -6.691412e+06 0.00 0.00 3.39 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.03 0.0 4.417615e+06 -4.417615e+06 0.00 0.00 5.88 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.03 0.0 5.447979e+07 -5.447979e+07 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.192056e+07 -8.192056e+07 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 1.118501e+07 -1.118501e+07 0.06 0.06 2.39 999999999.0 5 5 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.072350e+07 -1.072350e+07 0.00 0.00 3.26 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.03 0.0 1.753544e+07 -1.753544e+07 0.02 0.02 1.54 999999999.0 1 1 caleb_strategy_v1 GBP False False 0.03 0.18 0.04 0.0 3.048811e+07 -3.048811e+07 0.18 0.18 1.45 999999999.0 6 6 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.04 0.0 2.585340e+07 -2.585340e+07 0.00 0.00 1.45 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.05 0.0 1.032706e+08 -1.032706e+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 4.876364e+07 -4.876364e+07 0.10 0.10 1.09 999999999.0 2 2 caleb_strategy_v1 CAC False False 0.03 0.00 0.06 0.0 3.205381e+07 -3.205381e+07 0.00 0.00 1.99 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.07 0.0 2.590730e+07 -2.590730e+07 0.00 0.00 2.76 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.07 0.0 2.929955e+07 -2.929955e+07 0.00 0.00 2.32 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.501616e+07 -5.501616e+07 0.00 0.00 1.30 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.09 0.0 3.038326e+07 -3.038326e+07 0.12 0.12 3.06 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 0.34 0.25 0.0 5.734907e+07 -5.734907e+07 0.34 0.34 4.35 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.34 0.0 5.008019e+07 -5.008019e+07 0.00 0.00 6.73 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.37 0.0 0.000000e+00 0.000000e+00 0.00 0.00 44.38 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 18.0 Shocked risk 50.3 Sum abs risk 48.1 Leverage 3.18 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2551404.79, 'annual_cash_vol_target': 637851.1975, 'daily_cash_vol_target': 39865.69984375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6745 0.7604 12.1662 BITCOIN 940.8904 30220.0000 3.1135 49.8155 BOBL 0.4764 116.7800 0.4080 6.5275 BTP 0.7175 113.7100 0.6310 10.0955 BUND 0.8675 133.7300 0.6487 10.3797 BUXL 1.9860 136.3000 1.4571 23.3134 CAC 66.3847 7474.5000 0.8881 14.2104 CAD 0.0031 0.7476 0.4162 6.6584 CANOLA 8.0275 753.7000 1.0651 17.0413 CHF 0.0060 1.1225 0.5341 8.5460 COCOA 35.6064 2977.0000 1.1960 19.1368 COFFEE 3.6684 201.4500 1.8210 29.1362 COPPER 0.0454 4.0930 1.1104 17.7666 CORN 4.8208 570.7500 0.8446 13.5144 COTTON2 1.3041 84.6800 1.5400 24.6405 CRUDE_W 1.2431 77.5200 1.6036 25.6573 DAX 143.9543 16032.0000 0.8979 14.3667 DOW 237.7011 34145.0000 0.6962 11.1384 EUR 0.0059 1.1012 0.5337 8.5387 EUROSTX 43.0852 4341.0000 0.9925 15.8803 FEEDCOW 1.3157 226.2000 0.5817 9.3068 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.2628 750.5000 1.9004 30.4069 GASOILINE 0.0431 2.6566 1.6234 25.9740 GAS_US 0.1147 2.7200 4.2177 67.4830 GBP 0.0073 1.2446 0.5897 9.4353 GOLD_micro 19.2236 2018.6000 0.9523 15.2372 HEATOIL 0.0404 2.5697 1.5729 25.1662 JPY 0.0000 0.0075 0.6564 10.5018 LEANHOG 1.2983 88.7000 1.4637 23.4199 LIVECOW 0.9792 165.2500 0.5926 9.4814 MXP 0.0004 0.0547 0.7515 12.0245 NASDAQ 123.7079 13174.2500 0.9390 15.0242 NIKKEI 238.7753 28620.0000 0.8343 13.3487 NZD 0.0049 0.6206 0.7857 12.5714 OAT 0.7920 128.2900 0.6174 9.8779 OJ 4.2767 264.0000 1.6200 25.9195 PALLAD 31.8751 1624.0000 1.9628 31.4041 PLAT 17.6124 1094.3000 1.6095 25.7514 REDWHEAT 12.3365 861.7500 1.4316 22.9050 ROBUSTA 28.3948 2381.0000 1.1926 19.0809 RUSSELL 21.3879 1801.4000 1.1873 18.9967 SILVER-mini 0.3825 25.5500 1.4970 23.9521 SOYBEAN 10.7658 1319.2500 0.8161 13.0568 SOYMEAL 5.1338 447.4000 1.1475 18.3595 SOYOIL 0.8155 55.2300 1.4766 23.6259 SP400 26.0347 2516.8000 1.0344 16.5510 SP500 31.3988 4180.2500 0.7511 12.0180 SUGAR11 0.2910 23.9000 1.2175 19.4796 US10 0.5685 114.4531 0.4967 7.9478 US10U 0.7336 120.3125 0.6097 9.7555 US20 1.0055 129.9688 0.7737 12.3786 US30 1.4341 139.0000 1.0317 16.5071 US5 0.4271 109.1328 0.3914 6.2623 VIX 0.6708 21.2000 3.1641 50.6255 WHEAT 10.1068 734.2500 1.3765 22.0236 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.50 0.76 512.88 1.00 512.88 39865.7 77.73 3.53 27.40 BITCOIN 30.22 3.11 94.09 1.00 94.09 39865.7 423.70 -5.35 -226.80 BOBL 1167.80 0.41 476.43 1.10 523.59 39865.7 76.14 12.25 93.29 BTP 1137.10 0.63 717.48 1.10 788.51 39865.7 50.56 10.71 54.16 BUND 1337.30 0.65 867.55 1.10 953.43 39865.7 41.81 14.41 60.27 BUXL 1363.00 1.46 1986.01 1.10 2182.63 39865.7 18.27 -4.34 -7.93 CAC 747.45 0.89 663.85 1.10 729.57 39865.7 54.64 12.95 70.75 CAD 747.55 0.42 311.09 1.00 311.09 39865.7 128.15 10.12 129.68 CANOLA 150.74 1.07 160.55 0.75 120.24 39865.7 331.56 19.31 640.13 CHF 1403.12 0.53 749.44 1.00 749.44 39865.7 53.19 -11.09 -58.99 COCOA 297.70 1.20 356.06 1.00 356.06 39865.7 111.96 -7.57 -84.71 COFFEE 755.44 1.82 1375.66 1.00 1375.66 39865.7 28.98 11.05 32.02 COPPER 1023.25 1.11 1136.23 1.00 1136.23 39865.7 35.09 6.22 21.82 CORN 285.38 0.84 241.04 1.00 241.04 39865.7 165.39 16.02 264.92 COTTON2 423.40 1.54 652.05 1.00 652.05 39865.7 61.14 10.49 64.13 CRUDE_W 775.20 1.60 1243.10 1.00 1243.10 39865.7 32.07 7.22 23.16 DAX 160.32 0.90 143.95 1.10 158.21 39865.7 251.99 1.10 27.80 DOW 170.72 0.70 118.85 1.00 118.85 39865.7 335.43 3.55 119.10 EUR 1376.50 0.53 734.60 1.00 734.60 39865.7 54.27 -8.40 -45.56 EUROSTX 434.10 0.99 430.85 1.10 473.51 39865.7 84.19 1.14 9.62 FEEDCOW 1131.00 0.58 657.87 1.00 657.87 39865.7 60.60 -7.15 -43.34 FTSE100 707.00 0.82 576.59 1.24 666.67 39865.7 59.80 7.70 46.03 GASOIL 750.50 1.90 1426.28 1.00 1426.28 39865.7 27.95 3.37 9.42 GASOILINE 1115.77 1.62 1811.31 1.00 1811.31 39865.7 22.01 0.10 0.22 GAS_US 272.00 4.22 1147.21 1.00 1147.21 39865.7 34.75 -17.56 -61.01 GBP 777.88 0.59 458.72 1.00 458.72 39865.7 86.91 9.31 80.95 GOLD_micro 201.86 0.95 192.24 1.00 192.24 39865.7 207.38 -9.32 -193.30 HEATOIL 1079.27 1.57 1697.58 1.00 1697.58 39865.7 23.48 2.85 6.70 JPY 941.06 0.66 617.68 1.00 617.68 39865.7 64.54 -6.66 -43.01 LEANHOG 354.80 1.46 519.34 1.00 519.34 39865.7 76.76 -19.38 -148.75 LIVECOW 661.00 0.59 391.70 1.00 391.70 39865.7 101.78 10.10 102.77 MXP 273.60 0.75 205.62 1.00 205.62 39865.7 193.88 13.75 266.50 NASDAQ 2634.85 0.94 2474.16 1.00 2474.16 39865.7 16.11 5.08 8.19 NIKKEI 28620.00 0.83 23877.53 0.01 178.38 39865.7 223.48 10.46 233.66 NZD 620.60 0.79 487.61 1.00 487.61 39865.7 81.76 6.57 53.74 OAT 1282.90 0.62 792.02 1.10 870.43 39865.7 45.80 14.08 64.47 OJ 396.00 1.62 641.51 1.00 641.51 39865.7 62.14 -2.62 -16.30 PALLAD 1624.00 1.96 3187.51 1.00 3187.51 39865.7 12.51 -2.10 -2.63 PLAT 547.15 1.61 880.62 1.00 880.62 39865.7 45.27 7.01 31.73 REDWHEAT 430.88 1.43 616.82 1.00 616.82 39865.7 64.63 7.85 50.74 ROBUSTA 238.10 1.19 283.95 1.00 283.95 39865.7 140.40 13.21 185.43 RUSSELL 90.07 1.19 106.94 1.00 106.94 39865.7 372.79 0.22 8.20 SILVER-mini 638.75 1.50 956.21 1.00 956.21 39865.7 41.69 -5.04 -20.99 SOYBEAN 659.62 0.82 538.29 1.00 538.29 39865.7 74.06 3.32 24.62 SOYMEAL 447.40 1.15 513.38 1.00 513.38 39865.7 77.65 3.37 26.14 SOYOIL 331.38 1.48 489.32 1.00 489.32 39865.7 81.47 3.42 27.86 SP400 2516.80 1.03 2603.47 1.00 2603.47 39865.7 15.31 2.74 4.19 SP500 2090.12 0.75 1569.94 1.00 1569.94 39865.7 25.39 4.47 11.35 SUGAR11 267.68 1.22 325.89 1.00 325.89 39865.7 122.33 6.80 83.13 US10 1144.53 0.50 568.53 1.00 568.53 39865.7 70.12 -0.13 -0.89 US10U 1203.12 0.61 733.57 1.00 733.57 39865.7 54.35 -5.82 -31.61 US20 1299.69 0.77 1005.52 1.00 1005.52 39865.7 39.65 -6.13 -24.30 US30 1390.00 1.03 1434.06 1.00 1434.06 39865.7 27.80 2.08 5.77 US5 1091.33 0.39 427.14 1.00 427.14 39865.7 93.33 0.41 3.86 VIX 212.00 3.16 670.79 1.00 670.79 39865.7 59.43 -20.00 -118.86 WHEAT 367.12 1.38 505.34 1.00 505.34 39865.7 78.89 -7.27 -57.37 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 27.403 0.006 2.5 0.438 BITCOIN -226.803 0.009 2.5 -5.344 BOBL 93.288 0.029 2.5 6.731 BTP 54.156 0.008 2.5 1.094 BUND 60.267 0.029 2.5 4.349 BUXL -7.931 0.034 2.5 -0.666 CAC 70.754 0.011 2.5 1.989 CAD 129.683 0.007 2.5 2.315 CANOLA 640.134 0.004 2.5 5.876 CHF -58.994 0.015 2.5 -2.208 COCOA -84.713 0.009 2.5 -1.845 COFFEE 32.020 0.005 2.5 0.415 COPPER 21.820 0.011 2.5 0.596 CORN 264.916 0.004 2.5 2.390 COTTON2 64.130 0.006 2.5 0.966 CRUDE_W 23.157 0.053 2.5 3.059 DAX 27.797 0.022 2.5 1.510 DOW 119.105 0.011 2.5 3.394 EUR -45.563 0.015 2.5 -1.705 EUROSTX 9.618 0.011 2.5 0.270 FEEDCOW -43.338 0.011 2.5 -1.165 FTSE100 46.031 0.041 2.5 4.745 GASOIL 9.423 0.029 2.5 0.672 GASOILINE 0.216 0.016 2.5 0.009 GAS_US -61.014 0.006 2.5 -0.919 GBP 80.945 0.007 2.5 1.445 GOLD_micro -193.303 0.009 2.5 -4.325 HEATOIL 6.697 0.029 2.5 0.478 JPY -43.010 0.026 2.5 -2.784 LEANHOG -148.754 0.019 2.5 -6.950 LIVECOW 102.774 0.011 2.5 2.762 MXP 266.502 0.005 2.5 3.263 NASDAQ 8.186 0.022 2.5 0.445 NIKKEI 233.659 0.076 2.5 44.380 NZD 53.736 0.006 2.5 0.859 OAT 64.470 0.008 2.5 1.302 OJ -16.301 0.007 2.5 -0.284 PALLAD -2.629 0.010 2.5 -0.063 PLAT 31.728 0.010 2.5 0.763 REDWHEAT 50.736 0.002 2.5 0.271 ROBUSTA 185.432 0.005 2.5 2.404 RUSSELL 8.200 0.021 2.5 0.425 SILVER-mini -20.993 0.009 2.5 -0.470 SOYBEAN 24.622 0.024 2.5 1.452 SOYMEAL 26.141 0.024 2.5 1.541 SOYOIL 27.858 0.004 2.5 0.256 SP400 4.191 0.021 2.5 0.217 SP500 11.349 0.011 2.5 0.323 SUGAR11 83.134 0.005 2.5 1.128 US10 -0.891 0.015 2.5 -0.034 US10U -31.609 0.058 2.5 -4.605 US20 -24.298 0.029 2.5 -1.791 US30 5.773 0.034 2.5 0.485 US5 3.863 0.015 2.5 0.148 VIX -118.862 0.075 2.5 -22.400 WHEAT -57.373 0.002 2.5 -0.306 ==================== Position diags ==================== AUD 1.24 BITCOIN 9.98 BOBL 5.49 BTP 1.02 BUND 3.02 BUXL 1.53 CAC 1.54 CAD 2.29 CANOLA 3.04 CHF 1.99 COCOA 2.44 COFFEE 0.38 COPPER 0.96 CORN 1.49 COTTON2 0.92 CRUDE_W 4.24 DAX 13.68 DOW 9.56 EUR 2.03 EUROSTX 2.37 FEEDCOW 1.63 FTSE100 6.16 GASOIL 1.99 GASOILINE 0.90 GAS_US 0.52 GBP 1.55 GOLD_micro 4.64 HEATOIL 1.68 JPY 4.18 LEANHOG 3.59 LIVECOW 2.73 MXP 2.37 NASDAQ 0.88 NIKKEI 42.45 NZD 1.31 OAT 0.92 OJ 1.08 PALLAD 0.30 PLAT 1.09 REDWHEAT 0.35 ROBUSTA 1.82 RUSSELL 19.31 SILVER-mini 0.93 SOYBEAN 4.37 SOYMEAL 4.58 SOYOIL 0.75 SP400 0.79 SP500 0.72 SUGAR11 1.66 US10 2.69 US10U 7.92 US20 2.92 US30 2.33 US5 3.58 VIX 11.20 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.6 0.0 0 BITCOIN -5.3 -6.3 -4.3 -14.0 -14 BOBL 6.7 6.2 7.3 0.0 0 BTP 1.1 1.0 1.2 2.0 2 BUND 4.3 4.0 4.7 6.0 6 BUXL -0.7 -0.8 -0.5 0.0 0 CAC 2.0 1.8 2.1 0.0 0 CAD 2.3 2.1 2.5 0.0 0 CANOLA 5.9 5.6 6.2 NaN 0 CHF -2.2 -2.4 -2.0 -2.0 -2 COCOA -1.8 -2.1 -1.6 -5.0 -5 COFFEE 0.4 0.4 0.5 1.0 1 COPPER 0.6 0.5 0.7 0.0 0 CORN 2.4 2.2 2.5 5.0 5 COTTON2 1.0 0.9 1.1 2.0 2 CRUDE_W 3.1 2.6 3.5 4.0 4 DAX 1.5 0.1 2.9 0.0 0 DOW 3.4 2.4 4.4 0.0 0 EUR -1.7 -1.9 -1.5 -3.0 -3 EUROSTX 0.3 0.0 0.5 1.0 1 FEEDCOW -1.2 -1.3 -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 0.0 -0.1 0.1 1.0 1 GAS_US -0.9 -1.0 -0.9 -2.0 -2 GBP 1.4 1.3 1.6 6.0 6 GOLD_micro -4.3 -4.8 -3.9 -1.0 -1 HEATOIL 0.5 0.3 0.6 0.0 0 JPY -2.8 -3.2 -2.4 -8.0 -8 LEANHOG -6.9 -7.3 -6.6 -8.0 -8 LIVECOW 2.8 2.5 3.0 0.0 0 MXP 3.3 3.0 3.5 0.0 0 NASDAQ 0.4 0.4 0.5 0.0 0 NIKKEI 44.4 40.1 48.6 0.0 0 NZD 0.9 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 -0.0 0.0 0 PLAT 0.8 0.7 0.9 0.0 0 REDWHEAT 0.3 0.2 0.3 0.0 0 ROBUSTA 2.4 2.2 2.6 2.0 2 RUSSELL 0.4 -1.5 2.4 -18.0 -18 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.5 1.0 1.9 0.0 0 SOYMEAL 1.5 1.1 2.0 1.0 1 SOYOIL 0.3 0.2 0.3 0.0 0 SP400 0.2 0.1 0.3 7.0 7 SP500 0.3 0.3 0.4 0.0 0 SUGAR11 1.1 1.0 1.3 0.0 0 US10 -0.0 -0.3 0.2 NaN 0 US10U -4.6 -5.4 -3.8 -3.0 -3 US20 -1.8 -2.1 -1.5 0.0 0 US30 0.5 0.3 0.7 0.0 0 US5 0.1 -0.2 0.5 0.0 0 VIX -22.4 -23.5 -21.3 -18.0 -18 WHEAT -0.3 -0.3 -0.3 -2.0 -2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 1.3 2.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -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 0.1 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 -0.1 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 0.0 0.0 -0.0 -0.1 -0.0 -1.3 2.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 2.7 0.0 -0.2 -0.1 0.1 BUND -0.1 0.3 0.2 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 0.3 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 0.2 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 -0.0 -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 0.2 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 1.6 -0.0 -0.1 -0.1 0.1 CAD 0.2 0.1 0.0 0.1 0.0 0.1 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 4.0 3.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.9 -0.0 -0.1 -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 0.3 -0.9 -0.6 -0.3 -0.3 0.2 0.1 0.0 0.1 0.0 -1.1 -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 -1.8 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 1.6 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.9 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 -0.1 -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 -0.0 -0.4 -0.3 -0.1 CORN 0.1 -0.1 -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 3.1 3.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.7 0.0 0.2 0.1 -0.0 CRUDE_W 0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 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 0.4 -0.2 -0.2 -0.1 -0.1 0.2 0.2 0.0 0.2 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 0.0 DOW 0.3 -0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.1 0.1 -0.6 -0.2 -0.2 -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 0.1 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 0.4 -0.2 0.2 0.1 0.1 0.2 0.2 0.0 0.2 0.0 -2.4 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 2.1 -0.0 -0.2 -0.1 0.0 FEEDCOW 0.2 0.3 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 0.1 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 0.0 0.0 0.0 -0.0 -0.3 0.0 0.1 -0.0 -0.3 1.1 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 -0.0 -0.1 -0.1 -0.2 GASOILINE 0.2 0.1 0.1 -0.0 -0.0 -0.0 0.0 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 0.0 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 2.4 -1.8 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.1 -0.4 -0.2 -0.3 GBP 0.1 0.2 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 -0.0 0.3 0.0 -0.0 0.1 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 0.8 2.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 0.1 -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 -0.3 -2.7 0.1 -0.0 0.1 0.0 0.0 0.0 -1.9 -0.1 -0.3 0.2 0.2 HEATOIL 0.1 -0.2 -0.2 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.1 -0.3 0.0 0.1 -0.0 -0.2 1.1 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 0.0 0.1 0.0 0.1 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 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 0.1 0.3 1.6 -0.0 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 0.6 0.0 0.4 0.2 0.3 MXP 0.1 -0.1 0.1 0.1 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 0.1 0.3 0.4 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.0 -0.2 0.1 0.4 -0.6 -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 -0.3 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 0.1 0.2 0.1 0.3 0.3 0.5 0.2 0.2 0.2 0.1 0.0 0.1 0.0 0.9 -1.9 0.1 0.0 0.0 0.0 0.0 0.0 2.6 -0.0 -0.1 0.2 -0.1 NZD 0.0 -0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.0 -0.2 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 -0.1 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 -0.0 0.0 -0.1 0.0 0.0 0.0 -0.0 -0.3 -0.3 PLAT 0.2 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 -0.1 -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 0.9 0.2 0.2 0.2 0.0 -0.1 0.0 -0.1 0.0 -0.4 2.6 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.0 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 0.6 0.0 0.4 0.3 0.3 RUSSELL 0.1 -0.3 0.0 0.1 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 0.8 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 0.3 0.1 0.0 0.1 0.0 -1.0 -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 -0.1 -0.3 -0.3 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 2.7 0.1 -0.1 -0.1 0.2 SOYOIL 0.0 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.1 -0.0 -0.3 0.1 0.5 0.0 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.9 2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.3 -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 0.4 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 0.1 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.2 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 0.9 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 0.0 0.0 2.7 0.0 0.4 0.3 0.3 US10 0.0 0.3 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.3 0.0 0.2 -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 -1.4 -0.0 0.0 0.1 0.0 US10U 0.0 0.3 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.3 0.0 0.2 -0.3 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 0.0 0.3 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 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 -0.3 -2.7 0.0 -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 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 US5 0.0 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 0.9 -0.1 -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 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.2 -1.0 -0.4 -0.3 -0.2 -0.1 -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 -0.1 -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 7.2 -10.2 0.6 3.5 1.4 2.0 4.1 -0.6 4.8 1.5 1.2 0.5 -4.8 -3.4 -9.7 -3.4 -2.9 -3.5 -3.4 -4.9 -4.4 2.1 -5.3 -1.4 10.9 11.7 -1.6 2.1 -2.2 3.0 -3.1 1.2 -0.9 -3.3 -11.3 -19.6 -10.9 BITCOIN 11.0 13.1 20.0 4.1 3.3 2.7 5.2 1.8 5.6 8.5 13.8 12.5 -8.6 15.5 15.6 -4.1 -1.9 -3.4 -2.4 19.7 13.7 11.3 -0.5 17.8 3.7 -18.1 5.6 0.2 4.6 1.9 1.3 4.2 0.6 -15.5 -20.0 -8.9 18.1 BOBL -4.3 20.0 19.4 2.9 -3.3 0.9 -0.7 -2.5 2.4 -14.0 -8.4 -14.5 -12.8 2.7 2.5 8.3 5.6 2.6 2.8 -0.8 -6.3 -12.6 -14.7 -4.3 11.5 10.8 2.1 -3.4 -1.1 -1.4 -6.2 1.6 8.9 -1.9 -10.4 -5.5 -6.0 BTP -5.2 8.7 10.7 2.9 -3.3 0.9 -0.7 -2.5 2.4 -12.6 5.0 -13.6 -8.7 4.7 6.8 7.3 11.8 8.5 10.4 3.4 1.7 -10.7 -9.5 -2.8 -10.3 11.4 4.2 -3.2 2.8 -1.6 -3.7 1.9 20.0 2.4 -8.3 -8.2 4.5 BUND -4.8 20.0 13.4 2.9 -3.3 0.9 -0.7 -2.5 2.4 -13.8 -9.0 -14.5 -13.0 1.6 -0.4 6.2 13.1 8.3 10.5 -1.7 -7.0 -13.2 -16.2 -5.3 8.7 12.3 2.2 -3.9 -0.8 -2.0 -6.5 1.3 20.0 -2.2 -11.0 -7.5 -4.4 BUXL -7.7 16.6 4.9 2.9 -3.3 0.9 -0.7 -2.5 2.4 -11.6 -10.0 -13.9 -13.4 -2.8 -6.0 1.9 0.9 2.4 2.5 -5.8 -9.8 -14.2 -17.8 -8.7 7.7 -10.8 0.5 -3.4 -2.0 -2.8 -6.5 -0.2 4.3 -2.3 -15.5 -12.0 -12.9 CAC 18.7 -10.9 11.8 3.4 4.2 2.4 5.7 1.2 5.0 13.5 15.0 15.5 12.3 14.8 14.2 19.6 2.8 7.1 3.0 16.4 18.0 20.0 16.4 19.1 -15.3 8.9 4.1 4.8 5.5 6.0 5.5 4.9 11.8 -0.2 -6.7 -6.2 5.1 CAD 20.0 4.4 1.4 3.5 1.4 2.0 4.1 -0.6 4.8 5.9 -5.8 12.5 -9.7 11.1 4.0 -2.7 -1.8 -2.6 -2.3 5.0 -3.6 14.0 -9.8 13.5 16.7 10.4 2.7 2.6 -0.8 6.4 -3.1 6.4 0.9 8.6 13.8 -3.8 -4.8 CANOLA 8.4 -15.6 -20.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 7.5 -9.6 8.1 -12.1 -5.5 -9.2 20.0 15.8 20.0 17.2 -20.0 -20.0 -1.0 -13.0 -11.4 17.5 13.2 -5.4 1.2 -5.0 -0.8 -2.8 -3.5 13.7 -12.6 -10.3 -20.0 -20.0 CHF 16.0 7.6 6.5 3.5 1.4 2.0 4.1 -0.6 4.8 3.2 12.6 9.7 5.7 12.7 10.3 -13.1 -13.8 -13.8 -14.2 13.0 9.1 14.8 4.2 17.3 -7.7 -11.5 5.2 1.9 3.1 6.3 0.8 7.3 -19.5 19.1 12.9 11.1 3.2 COCOA 9.7 8.0 16.1 -2.6 6.1 -3.5 1.7 -2.6 -1.0 13.5 14.8 15.0 7.0 15.5 15.0 3.7 -1.1 2.2 0.8 20.0 17.5 16.6 10.3 19.1 -20.0 -10.4 6.1 5.4 5.5 5.1 3.6 5.9 -13.5 19.8 20.0 20.0 20.0 COFFEE 13.5 8.3 15.3 -2.6 6.1 -3.5 1.7 -2.6 -1.0 13.8 -2.9 15.0 -6.6 9.6 10.9 6.5 3.7 4.4 4.0 11.5 1.9 20.0 -5.0 20.0 10.1 10.0 4.1 9.8 0.9 10.5 -1.1 7.8 -6.4 20.0 20.0 14.4 19.5 COPPER 2.7 -5.1 11.8 4.1 3.3 2.7 5.2 1.8 5.6 7.1 9.1 8.9 -1.5 3.3 3.7 -0.6 -0.5 -0.8 -0.7 4.1 7.2 6.1 3.9 4.0 1.6 11.1 0.9 2.3 2.0 4.0 2.0 2.5 3.0 -2.7 -19.2 -20.0 -7.6 CORN 10.4 -8.5 -20.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 11.9 -9.5 3.3 -3.1 -8.7 -11.9 14.3 19.2 18.3 19.7 -11.5 -13.1 6.0 -3.6 -3.5 13.8 11.0 -5.3 5.0 -5.9 0.4 -2.8 -2.8 20.0 -0.7 -3.1 -20.0 -20.0 COTTON2 14.2 -0.5 -2.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 12.8 -9.3 13.2 -11.3 4.5 -2.2 -2.5 7.7 -2.6 0.6 -2.2 -9.0 8.4 -11.0 4.2 12.7 12.0 -0.4 6.7 -2.6 6.0 -1.3 3.4 -5.6 16.7 16.8 4.9 -0.2 CRUDE_W 20.0 1.5 -4.3 -0.7 -2.8 -1.9 1.0 1.1 1.5 -0.3 2.7 13.2 -2.2 12.8 7.0 9.9 11.4 8.9 9.3 6.8 -0.2 14.5 1.5 16.0 -9.7 10.8 2.3 0.4 0.4 4.8 1.8 5.4 -3.3 9.1 20.0 6.1 5.8 DAX 14.6 -10.8 13.1 3.4 4.2 2.4 5.7 1.2 5.0 14.0 15.2 15.7 8.1 14.8 14.1 -6.7 -5.8 -7.7 -7.4 12.5 14.9 14.3 11.6 13.6 -18.2 9.9 3.9 4.5 5.9 5.3 4.8 4.3 -3.7 -4.2 -11.5 -5.7 3.3 DOW 20.0 -3.1 -2.1 3.4 4.2 2.4 5.7 1.2 5.0 12.2 7.5 15.1 1.6 11.5 2.6 -7.5 -5.1 -7.3 -6.8 6.2 1.7 18.4 1.0 16.4 -0.4 10.8 3.4 3.7 2.0 6.5 1.5 6.3 -2.7 -2.0 -3.0 -1.0 -11.8 EUR 12.4 3.9 12.8 3.5 1.4 2.0 4.1 -0.6 4.8 1.6 12.2 8.4 -0.1 11.9 8.3 -6.2 -8.4 -7.1 -7.8 11.5 9.6 8.8 1.7 12.6 -12.6 -11.1 5.3 1.3 3.9 5.1 0.2 6.6 -9.4 6.8 8.2 8.7 6.5 EUROSTX 16.2 -10.4 12.0 3.4 4.2 2.4 5.7 1.2 5.0 13.0 15.4 15.4 12.1 15.3 14.7 -2.7 4.9 2.6 4.4 14.7 16.8 15.2 14.6 15.8 -18.1 -8.5 4.3 3.8 6.2 5.3 5.9 4.8 15.6 -5.3 -10.0 -4.7 2.2 FEEDCOW 18.0 19.3 20.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 13.0 13.1 14.6 9.2 15.2 14.8 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 11.4 20.0 -20.0 12.2 6.3 3.0 5.2 4.9 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 11.9 -6.5 -12.2 -0.7 -2.8 -1.9 1.0 1.1 1.5 -10.2 -11.8 0.3 5.7 -5.2 -10.8 13.3 20.0 19.9 20.0 -7.3 -8.1 -2.4 3.4 -2.7 2.9 -15.4 -3.1 -3.9 -4.4 -0.8 -0.4 -0.7 20.0 -2.0 -5.2 -4.6 -10.7 GASOILINE 20.0 4.6 4.8 -0.7 -2.8 -1.9 1.0 1.1 1.5 -9.8 7.5 10.9 2.6 12.2 10.8 20.0 14.2 15.5 11.1 11.2 6.2 9.0 8.1 15.2 -19.4 -13.1 4.2 -3.0 3.5 2.9 5.6 5.3 -0.1 3.9 19.6 11.1 20.0 GAS_US 0.9 -3.2 -20.0 -0.7 -2.8 -1.9 1.0 1.1 1.5 12.1 -16.6 -2.1 -14.3 -12.9 -15.9 -20.0 -12.6 -20.0 -17.8 -20.0 -20.0 0.3 -20.0 -12.3 19.8 -9.3 -6.3 3.9 -6.7 -1.2 -3.5 -4.7 -20.0 3.7 -20.0 -11.4 -20.0 GBP 11.5 9.9 10.5 3.5 1.4 2.0 4.1 -0.6 4.8 -6.0 13.6 6.5 -0.8 12.7 11.1 -1.6 -1.9 -1.9 -2.0 11.5 7.7 4.6 -1.0 11.2 5.8 9.4 4.7 -0.2 1.7 3.3 -3.0 5.8 1.1 -4.1 0.4 10.6 -1.3 GOLD_micro 8.4 12.8 13.8 4.1 3.3 2.7 5.2 1.8 5.6 -7.6 12.5 4.7 2.5 12.6 12.3 -10.9 -10.7 -11.5 -11.7 17.3 14.3 5.5 7.8 14.6 -2.8 -13.8 5.4 -0.2 4.2 2.4 2.4 5.0 -15.2 -15.5 -13.3 13.4 10.6 HEATOIL 11.4 -9.5 -13.1 -0.7 -2.8 -1.9 1.0 1.1 1.5 -12.9 -10.8 5.1 4.7 -2.7 -9.9 12.6 20.0 20.0 20.0 -7.6 -9.2 -0.5 3.4 -0.9 -4.1 -13.6 -2.8 -4.1 -2.7 -0.7 3.9 -0.5 20.0 -6.6 -3.8 -8.3 -4.1 JPY -6.8 -1.0 2.8 3.5 1.4 2.0 4.1 -0.6 4.8 -11.7 5.4 -12.7 -6.6 -0.8 -4.9 -15.4 -12.9 -14.7 -14.2 -2.3 -0.1 -11.6 -7.6 -6.9 2.3 9.9 1.7 -3.8 1.1 -1.7 -4.9 0.8 -18.7 -11.3 -20.0 -3.1 -6.2 LEANHOG -12.8 -20.0 -20.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 -9.4 -14.7 -12.9 -11.5 -15.4 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.2 -14.5 -20.0 20.0 -11.1 -6.3 -2.1 -5.3 -3.8 -3.2 -5.7 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 20.0 -2.1 7.3 -2.6 6.1 -3.5 1.7 -2.6 -1.0 13.5 13.1 15.1 9.8 14.2 12.4 20.0 -0.3 20.0 20.0 15.4 11.5 20.0 8.1 20.0 -20.0 12.0 4.6 4.2 3.9 6.6 3.6 6.6 4.2 20.0 20.0 16.3 20.0 MXP 12.1 -8.7 5.2 3.5 1.4 2.0 4.1 -0.6 4.8 10.8 14.9 14.3 15.3 14.3 14.6 17.7 20.0 18.9 20.0 16.6 19.8 10.2 20.0 13.6 -20.0 9.7 5.6 1.2 7.8 2.8 8.3 3.9 20.0 -4.1 2.2 6.2 20.0 NASDAQ 10.8 16.7 20.0 3.4 4.2 2.4 5.7 1.2 5.0 10.0 7.2 8.8 -7.1 12.8 14.4 -8.2 -5.6 -7.6 -6.9 19.2 13.0 8.8 -0.5 16.1 -2.9 10.2 5.9 1.1 4.9 2.5 2.1 4.7 -3.1 -17.5 -12.9 18.8 17.8 NIKKEI 15.8 7.4 11.1 3.4 4.2 2.4 5.7 1.2 5.0 13.9 8.1 14.5 7.1 12.1 11.4 4.5 13.1 10.5 13.0 12.2 7.9 19.9 4.1 16.4 6.5 -9.4 4.5 7.8 2.5 7.6 0.5 6.1 20.0 -2.8 -3.4 11.3 -5.5 NZD 3.2 -5.2 2.1 3.5 1.4 2.0 4.1 -0.6 4.8 -9.4 7.3 -7.6 -1.3 0.7 -6.5 1.1 0.6 0.8 0.5 -1.9 -0.5 -4.2 -2.6 -2.4 2.9 10.8 -0.1 -2.4 0.1 -0.8 -1.9 0.3 5.3 -15.6 -15.7 -8.7 -10.4 OAT -3.9 14.1 6.8 2.9 -3.3 0.9 -0.7 -2.5 2.4 -13.9 -8.2 -14.5 -12.8 2.2 -2.6 10.3 12.0 10.4 11.3 -2.5 -7.1 -12.7 -15.8 -5.5 5.9 12.7 1.9 -3.9 -1.1 -1.9 -7.2 1.2 20.0 -1.0 -9.2 -10.5 -5.8 OJ 20.0 18.1 -6.2 -2.6 6.1 -3.5 1.7 -2.6 -1.0 -1.8 15.5 13.2 15.4 14.7 15.2 20.0 19.7 20.0 20.0 20.0 20.0 15.1 20.0 20.0 -20.0 -14.3 6.5 -0.1 7.5 2.4 7.6 4.8 20.0 1.9 20.0 20.0 20.0 PALLAD 20.0 9.2 -20.0 4.1 3.3 2.7 5.2 1.8 5.6 14.0 -14.1 14.0 -14.3 7.2 -9.0 -2.7 -2.2 -2.7 -2.6 -7.1 -20.0 20.0 -20.0 10.4 20.0 -11.1 0.3 12.8 -3.8 10.7 -4.4 6.4 0.0 20.0 -0.3 -19.6 -20.0 PLAT 15.0 8.0 -5.1 4.1 3.3 2.7 5.2 1.8 5.6 13.7 5.4 14.2 1.4 14.0 1.9 -2.7 -1.5 -2.3 -1.9 8.1 3.6 20.0 2.2 16.7 1.1 11.2 3.3 10.4 1.1 10.2 0.4 7.6 1.3 16.7 -4.7 -4.6 -16.8 REDWHEAT 17.2 7.8 -0.4 -2.6 6.1 -3.5 1.7 -2.6 -1.0 9.2 -7.6 12.0 -10.9 9.1 5.5 11.6 5.5 10.7 8.6 3.3 -4.5 10.1 -5.9 9.0 -2.5 12.9 0.8 4.4 -1.2 3.0 -0.0 2.6 -1.2 -5.1 13.8 -3.6 2.1 ROBUSTA 20.0 15.6 20.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 13.0 9.9 15.0 5.2 15.4 15.4 13.2 10.0 11.2 10.7 20.0 20.0 20.0 10.3 20.0 -7.7 9.6 6.1 3.1 4.0 5.6 2.0 6.9 4.6 20.0 20.0 20.0 20.0 RUSSELL 5.6 -20.0 1.4 3.4 4.2 2.4 5.7 1.2 5.0 8.5 -5.0 9.7 -9.1 -8.4 -10.4 -5.3 -4.3 -5.5 -5.3 -9.0 -6.9 3.7 -6.2 -3.8 6.2 10.0 -3.0 0.6 -1.0 -0.3 -0.2 -2.6 -0.7 -17.4 -20.0 -20.0 -13.2 SILVER-mini 20.0 19.0 3.4 4.1 3.3 2.7 5.2 1.8 5.6 -3.6 10.5 11.3 1.1 14.3 11.4 -6.1 -4.9 -5.9 -5.6 20.0 11.2 17.7 4.4 20.0 -4.5 -11.3 4.4 0.5 2.1 4.2 0.4 6.2 -4.9 -8.8 10.3 4.2 -11.1 SOYBEAN 9.2 -16.3 -16.3 -2.6 6.1 -3.5 1.7 -2.6 -1.0 8.3 -4.5 7.0 -1.6 -4.2 -6.7 20.0 20.0 20.0 20.0 -12.0 -10.1 0.8 -2.2 -6.4 -0.5 -11.7 -4.5 1.6 -3.3 0.0 0.0 -2.6 20.0 -4.7 -6.9 -20.0 -17.2 SOYMEAL -0.7 -15.9 6.6 -2.6 6.1 -3.5 1.7 -2.6 -1.0 8.9 10.4 11.2 12.2 -1.3 0.7 20.0 19.0 20.0 20.0 1.7 11.1 4.5 16.6 -0.1 -20.0 -12.0 -0.2 1.6 4.5 2.0 8.9 -0.4 20.0 6.5 -6.7 -6.8 13.4 SOYOIL 0.3 -16.7 -20.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 7.2 -11.5 -0.1 -4.1 -9.2 -11.5 1.6 11.8 2.1 5.9 -18.6 -17.1 -3.3 -6.7 -12.4 6.4 12.9 -5.7 2.1 -5.1 -0.9 -1.7 -3.8 2.5 -7.9 -20.0 -20.0 -20.0 SP400 9.9 -20.0 1.3 3.4 4.2 2.4 5.7 1.2 5.0 11.1 1.5 12.1 -1.6 -3.7 -6.7 -4.5 -4.1 -5.1 -4.8 -5.6 -2.7 6.2 -0.4 -0.2 2.4 10.2 -2.5 0.6 -0.5 0.2 0.9 -1.8 -0.0 -16.8 -20.0 -20.0 -14.2 SP500 20.0 3.1 9.1 3.4 4.2 2.4 5.7 1.2 5.0 13.9 6.1 15.3 -5.3 13.2 9.1 -8.1 -5.9 -7.7 -7.1 10.4 4.8 15.6 -1.4 15.8 1.8 10.2 4.9 3.9 3.3 5.9 1.0 6.3 -3.4 -5.5 -6.8 4.0 -0.3 SUGAR11 20.0 20.0 20.0 -2.6 6.1 -3.5 1.7 -2.6 -1.0 13.7 15.7 15.2 13.2 15.9 16.2 12.1 20.0 20.0 20.0 20.0 20.0 20.0 19.3 20.0 -20.0 -10.5 6.3 3.7 5.3 6.3 4.2 7.3 20.0 20.0 20.0 20.0 20.0 US10 4.1 20.0 12.7 2.9 -3.3 0.9 -0.7 -2.5 2.4 -12.3 0.3 -6.7 -10.3 9.3 8.8 -9.2 -4.7 -8.7 -7.9 6.9 0.7 -6.4 -9.9 4.3 -2.4 9.7 4.2 -3.1 1.9 0.0 -2.2 3.6 -9.8 -0.8 3.7 8.7 1.5 US10U 3.6 19.6 11.9 2.9 -3.3 0.9 -0.7 -2.5 2.4 -12.1 0.2 -7.3 -10.3 8.6 8.6 -3.5 1.8 -1.1 -0.1 6.1 0.4 -7.4 -10.3 3.2 -5.0 -14.1 4.4 -3.7 2.4 -0.4 -1.6 3.3 2.6 -2.2 1.8 6.8 4.2 US20 3.7 18.3 11.9 2.9 -3.3 0.9 -0.7 -2.5 2.4 -12.1 2.3 -8.0 -8.8 8.9 9.0 -1.0 -1.5 -2.5 -2.8 6.4 0.9 -7.9 -10.0 3.2 -2.5 -12.3 4.1 -4.3 2.0 -0.9 -1.9 3.0 -2.5 -3.9 -0.5 5.2 0.3 US30 1.2 11.7 9.7 2.9 -3.3 0.9 -0.7 -2.5 2.4 -12.5 1.6 -8.7 -10.4 5.9 4.2 -1.0 -0.6 -1.0 -1.0 2.8 -1.6 -9.5 -13.2 -0.4 -6.2 10.0 4.0 -5.9 2.3 -2.0 -2.6 2.4 -0.2 -3.9 -4.4 -1.4 0.1 US5 3.8 20.0 15.9 2.9 -3.3 0.9 -0.7 -2.5 2.4 -12.9 -0.2 -6.8 -10.6 9.4 8.9 -8.9 -5.2 -9.3 -8.6 6.7 0.6 -6.7 -9.7 4.1 -0.4 10.8 3.9 -3.1 1.4 -0.0 -2.9 3.4 -10.8 -1.9 3.2 8.9 -0.6 VIX -12.3 18.3 -1.0 -3.4 -5.0 -6.0 -4.5 -7.0 -2.9 -14.1 -13.0 -15.7 -13.4 -11.2 -10.1 -20.0 -20.0 -20.0 -20.0 -8.4 -11.6 -14.0 -13.8 -10.9 NaN -13.5 -4.0 -5.1 -7.6 -5.1 -9.5 -3.6 NaN NaN NaN NaN NaN WHEAT 5.6 -3.3 -8.9 -2.6 6.1 -3.5 1.7 -2.6 -1.0 11.6 -13.8 1.9 -14.8 -8.9 -10.8 -12.7 -8.6 -12.0 -10.6 -13.0 -18.2 1.8 -16.4 -6.3 8.0 11.9 -4.8 4.9 -5.2 0.4 -3.0 -2.9 -20.0 -5.3 -6.7 -20.0 -11.0 End of report for caleb_strategy_v1