******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230419_204651 produced at 2023-04-19 21:37:19.291748 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.24 0.0 4.719374e+07 -4.719374e+07 -0.14 -0.14 -5.05 999999999.0 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.19 0.0 8.316813e+06 -8.316813e+06 -0.15 -0.14 -22.78 999999999.0 -18 -17 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.512592e+07 -5.512592e+07 -0.11 -0.11 -2.24 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.29 -0.11 0.0 3.681124e+07 -3.681124e+07 -0.29 -0.33 -3.11 999999999.0 -8 -9 caleb_strategy_v1 US20 False False 0.05 0.00 -0.10 0.0 5.097243e+07 -5.097243e+07 0.00 0.00 -1.88 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.11 -0.10 0.0 1.406977e+07 -1.406977e+07 -0.11 -0.11 -6.99 999999999.0 -8 -8 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.09 0.0 5.402733e+07 -5.402733e+07 -0.16 -0.16 -1.76 999999999.0 -3 -3 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.458736e+07 -4.458736e+07 -0.09 -0.09 -1.17 999999999.0 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 7.896450e+06 -7.896450e+06 -0.01 -0.01 -4.50 999999999.0 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.869264e+07 -5.869264e+07 0.00 0.00 -0.68 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.171432e+07 -1.171432e+07 -0.06 -0.06 -1.84 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.516672e+07 -2.516672e+07 0.00 0.00 -0.48 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.152754e+06 -1.152754e+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 1.020825e+07 -1.020825e+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 1.563679e+07 -1.563679e+07 0.00 0.00 -0.27 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.413662e+07 -1.413662e+07 -0.03 -0.03 -0.29 999999999.0 -2 -2 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.661888e+07 -1.661888e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.06 0.00 0.0 3.564433e+06 -3.564433e+06 -0.06 -0.04 1.19 999999999.0 -18 -10 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.295299e+07 -1.295299e+07 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.00 0.0 4.490194e+07 -4.490194e+07 0.00 0.00 -0.10 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.00 0.0 4.283748e+07 -4.283748e+07 0.00 0.00 0.04 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.342799e+07 -6.342799e+07 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.04 -0.00 0.0 4.250469e+07 -4.250469e+07 0.04 0.04 -0.06 999999999.0 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.049075e+07 -1.049075e+07 0.00 0.00 1.13 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.646831e+07 -2.646831e+07 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.01 0.0 1.875179e+07 -1.875179e+07 0.02 0.02 0.29 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 6.923540e+06 -6.923540e+06 0.00 0.00 1.75 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.937428e+07 -2.937428e+07 0.03 0.03 0.42 999999999.0 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.370669e+06 -9.370669e+06 0.02 0.02 2.49 999999999.0 2 2 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 5.453608e+07 -5.453608e+07 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.70 0.02 0.0 9.932595e+07 -9.932595e+07 0.70 0.70 0.24 999999999.0 7 7 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 4.009962e+07 -4.009962e+07 0.00 0.00 0.61 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 2.900071e+07 -2.900071e+07 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.105468e+07 -1.105468e+07 0.06 0.06 2.26 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.172989e+07 -2.172989e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.02 0.0 1.645471e+07 -1.645471e+07 0.03 0.03 0.96 999999999.0 2 2 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 4.186554e+07 -4.186554e+07 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.689627e+06 -6.689627e+06 0.00 0.00 3.16 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.437436e+07 -2.437436e+07 0.00 0.00 0.87 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.224404e+07 -8.224404e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.03 0.0 4.360843e+06 -4.360843e+06 0.00 0.00 6.01 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.03 0.0 1.736503e+07 -1.736503e+07 0.02 0.02 1.49 999999999.0 1 1 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.04 0.0 2.572215e+07 -2.572215e+07 0.00 0.00 1.51 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.18 0.04 0.0 3.060803e+07 -3.060803e+07 0.18 0.18 1.47 999999999.0 6 6 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.075680e+07 -1.075680e+07 0.00 0.00 3.31 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.05 0.0 1.038461e+08 -1.038461e+08 0.00 0.00 0.47 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.10 0.05 0.0 4.889616e+07 -4.889616e+07 0.10 0.10 1.10 999999999.0 2 2 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.923468e+07 -2.923468e+07 0.00 0.00 2.20 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.07 0.0 3.232711e+07 -3.232711e+07 0.00 0.00 2.07 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.07 0.0 2.598463e+07 -2.598463e+07 0.00 0.00 2.79 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.525891e+07 -5.525891e+07 0.00 0.00 1.33 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.08 0.0 2.988547e+07 -2.988547e+07 0.12 0.12 2.81 999999999.0 4 4 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.73 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.25 0.0 5.759695e+07 -5.759695e+07 0.35 0.35 4.40 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.35 0.0 5.033263e+07 -5.033263e+07 0.00 0.00 6.89 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.39 0.0 0.000000e+00 0.000000e+00 0.00 0.00 46.18 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 18.1 Shocked risk 51.0 Sum abs risk 48.4 Leverage 3.25 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2543041.46, 'annual_cash_vol_target': 635760.365, 'daily_cash_vol_target': 39735.0228125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0050 0.6731 0.7468 11.9491 BITCOIN 971.7400 29315.0000 3.3148 53.0371 BOBL 0.4660 116.6800 0.3994 6.3905 BTP 0.7185 113.3500 0.6339 10.1419 BUND 0.8506 133.5200 0.6371 10.1930 BUXL 1.9321 136.0600 1.4201 22.7209 CAC 64.7214 7494.0000 0.8636 13.8183 CAD 0.0032 0.7435 0.4331 6.9289 CANOLA 8.0341 743.1000 1.0812 17.2986 CHF 0.0059 1.1215 0.5266 8.4262 COCOA 34.2397 2979.0000 1.1494 18.3899 COFFEE 3.7559 199.2000 1.8855 30.1678 COPPER 0.0446 4.0790 1.0945 17.5114 CORN 5.0869 562.2500 0.9047 14.4758 COTTON2 1.3085 83.6900 1.5635 25.0154 CRUDE_W 1.2608 76.0000 1.6590 26.5437 DAX 140.1196 16050.0000 0.8730 13.9683 DOW 233.9009 34024.0000 0.6875 10.9993 EUR 0.0058 1.0992 0.5262 8.4195 EUROSTX 42.0655 4347.0000 0.9677 15.4830 FEEDCOW 1.2868 226.7750 0.5674 9.0788 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.1927 737.5000 1.9244 30.7909 GASOILINE 0.0455 2.5736 1.7698 28.3162 GAS_US 0.1155 2.5960 4.4477 71.1627 GBP 0.0072 1.2454 0.5768 9.2295 GOLD_micro 18.8923 2008.1000 0.9408 15.0529 HEATOIL 0.0400 2.5349 1.5793 25.2685 JPY 0.0000 0.0075 0.6521 10.4337 LEANHOG 1.2872 89.4500 1.4390 23.0235 LIVECOW 0.9790 165.2000 0.5926 9.4818 MXP 0.0004 0.0547 0.7363 11.7811 NASDAQ 120.6537 13204.2500 0.9137 14.6200 NIKKEI 235.6265 28575.0000 0.8246 13.1934 NZD 0.0048 0.6198 0.7708 12.3327 OAT 0.7803 128.1000 0.6091 9.7460 OJ 4.1549 265.1000 1.5673 25.0769 PALLAD 31.0253 1613.0000 1.9235 30.7752 PLAT 17.2024 1105.2000 1.5565 24.9039 REDWHEAT 12.5656 845.2500 1.4866 23.7859 ROBUSTA 27.7446 2383.0000 1.1643 18.6284 RUSSELL 20.8471 1812.9000 1.1499 18.3989 SILVER-mini 0.3735 25.6000 1.4589 23.3419 SOYBEAN 10.7886 1308.2500 0.8247 13.1945 SOYMEAL 5.1612 441.6000 1.1688 18.7000 SOYOIL 0.7969 54.9000 1.4516 23.2255 SP400 25.4330 2525.9000 1.0069 16.1102 SP500 30.6756 4183.0000 0.7333 11.7334 SUGAR11 0.2893 23.8200 1.2146 19.4343 US10 0.5572 114.1875 0.4880 7.8077 US10U 0.7183 120.0156 0.5985 9.5766 US20 0.9833 129.6250 0.7586 12.1376 US30 1.4039 138.6875 1.0123 16.1967 US5 0.4184 108.9375 0.3840 6.1447 VIX 0.6574 21.1500 3.1081 49.7301 WHEAT 10.3854 719.0000 1.4444 23.1107 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.10 0.75 502.68 1.00 502.68 39735.02 79.05 3.53 27.90 BITCOIN 29.32 3.31 97.17 1.00 97.17 39735.02 408.91 -5.54 -226.57 BOBL 1166.80 0.40 466.03 1.09 509.90 39735.02 77.93 12.25 95.49 BTP 1133.50 0.63 718.49 1.09 786.14 39735.02 50.54 10.75 54.32 BUND 1335.20 0.64 850.61 1.09 930.69 39735.02 42.69 14.29 61.00 BUXL 1360.60 1.42 1932.13 1.09 2114.04 39735.02 18.80 -4.32 -8.12 CAC 749.40 0.86 647.21 1.09 708.15 39735.02 56.11 13.15 73.77 CAD 743.45 0.43 321.95 1.00 321.95 39735.02 123.42 9.97 123.07 CANOLA 148.62 1.08 160.68 0.75 120.15 39735.02 330.73 19.79 654.40 CHF 1401.88 0.53 738.28 1.00 738.28 39735.02 53.82 -11.10 -59.76 COCOA 297.90 1.15 342.40 1.00 342.40 39735.02 116.05 -7.26 -84.30 COFFEE 747.00 1.89 1408.46 1.00 1408.46 39735.02 28.21 11.40 32.16 COPPER 1019.75 1.09 1116.08 1.00 1116.08 39735.02 35.60 6.31 22.46 CORN 281.12 0.90 254.34 1.00 254.34 39735.02 156.23 16.01 250.05 COTTON2 418.45 1.56 654.23 1.00 654.23 39735.02 60.74 10.54 63.99 CRUDE_W 760.00 1.66 1260.83 1.00 1260.83 39735.02 31.52 6.75 21.27 DAX 160.50 0.87 140.12 1.09 153.31 39735.02 259.18 1.24 32.25 DOW 170.12 0.69 116.95 1.00 116.95 39735.02 339.76 3.27 111.00 EUR 1373.94 0.53 722.99 1.00 722.99 39735.02 54.96 -8.54 -46.93 EUROSTX 434.70 0.97 420.66 1.09 460.26 39735.02 86.33 1.21 10.44 FEEDCOW 1133.88 0.57 643.39 1.00 643.39 39735.02 61.76 -7.05 -43.57 FTSE100 707.00 0.82 576.59 1.24 666.67 39735.02 59.60 7.70 45.88 GASOIL 737.50 1.92 1419.27 1.00 1419.27 39735.02 28.00 2.74 7.67 GASOILINE 1080.91 1.77 1912.96 1.00 1912.96 39735.02 20.77 -0.72 -1.50 GAS_US 259.60 4.45 1154.62 1.00 1154.62 39735.02 34.41 -17.84 -61.38 GBP 778.38 0.58 449.00 1.00 449.00 39735.02 88.50 9.30 82.29 GOLD_micro 200.81 0.94 188.92 1.00 188.92 39735.02 210.32 -9.57 -201.21 HEATOIL 1064.66 1.58 1681.39 1.00 1681.39 39735.02 23.63 2.28 5.40 JPY 936.12 0.65 610.45 1.00 610.45 39735.02 65.09 -7.37 -47.98 LEANHOG 357.80 1.44 514.86 1.00 514.86 39735.02 77.18 -19.37 -149.52 LIVECOW 660.80 0.59 391.60 1.00 391.60 39735.02 101.47 10.23 103.79 MXP 273.55 0.74 201.42 1.00 201.42 39735.02 197.27 13.72 270.59 NASDAQ 2640.85 0.91 2413.07 1.00 2413.07 39735.02 16.47 5.25 8.64 NIKKEI 28575.00 0.82 23562.65 0.01 175.36 39735.02 226.59 10.73 243.16 NZD 619.85 0.77 477.78 1.00 477.78 39735.02 83.17 6.51 54.15 OAT 1281.00 0.61 780.29 1.09 853.76 39735.02 46.54 14.13 65.74 OJ 397.65 1.57 623.24 1.00 623.24 39735.02 63.76 -2.47 -15.74 PALLAD 1613.00 1.92 3102.53 1.00 3102.53 39735.02 12.81 -1.62 -2.08 PLAT 552.60 1.56 860.12 1.00 860.12 39735.02 46.20 7.60 35.09 REDWHEAT 422.62 1.49 628.28 1.00 628.28 39735.02 63.24 7.72 48.83 ROBUSTA 238.30 1.16 277.45 1.00 277.45 39735.02 143.22 13.40 191.84 RUSSELL 90.64 1.15 104.24 1.00 104.24 39735.02 381.20 0.60 22.90 SILVER-mini 640.00 1.46 933.68 1.00 933.68 39735.02 42.56 -5.09 -21.65 SOYBEAN 654.12 0.82 539.43 1.00 539.43 39735.02 73.66 3.49 25.68 SOYMEAL 441.60 1.17 516.12 1.00 516.12 39735.02 76.99 3.28 25.26 SOYOIL 329.40 1.45 478.16 1.00 478.16 39735.02 83.10 3.93 32.69 SP400 2525.90 1.01 2543.30 1.00 2543.30 39735.02 15.62 2.96 4.62 SP500 2091.50 0.73 1533.78 1.00 1533.78 39735.02 25.91 4.59 11.89 SUGAR11 266.78 1.21 324.05 1.00 324.05 39735.02 122.62 6.77 83.01 US10 1141.88 0.49 557.21 1.00 557.21 39735.02 71.31 -0.35 -2.53 US10U 1200.16 0.60 718.34 1.00 718.34 39735.02 55.32 -6.26 -34.65 US20 1296.25 0.76 983.34 1.00 983.34 39735.02 40.41 -6.31 -25.52 US30 1386.88 1.01 1403.92 1.00 1403.92 39735.02 28.30 1.87 5.30 US5 1089.38 0.38 418.37 1.00 418.37 39735.02 94.98 0.11 1.01 VIX 211.50 3.11 657.37 1.00 657.37 39735.02 60.45 -20.00 -120.89 WHEAT 359.50 1.44 519.27 1.00 519.27 39735.02 76.52 -7.08 -54.17 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 27.901 0.006 2.5 0.446 BITCOIN -226.567 0.009 2.5 -5.338 BOBL 95.486 0.029 2.5 6.890 BTP 54.325 0.008 2.5 1.097 BUND 60.996 0.029 2.5 4.401 BUXL -8.119 0.034 2.5 -0.682 CAC 73.770 0.011 2.5 2.074 CAD 123.069 0.007 2.5 2.197 CANOLA 654.399 0.004 2.5 6.007 CHF -59.757 0.015 2.5 -2.236 COCOA -84.298 0.009 2.5 -1.836 COFFEE 32.158 0.005 2.5 0.417 COPPER 22.462 0.011 2.5 0.614 CORN 250.047 0.004 2.5 2.255 COTTON2 63.985 0.006 2.5 0.963 CRUDE_W 21.269 0.053 2.5 2.810 DAX 32.252 0.022 2.5 1.752 DOW 111.000 0.011 2.5 3.163 EUR -46.935 0.015 2.5 -1.757 EUROSTX 10.435 0.011 2.5 0.293 FEEDCOW -43.570 0.011 2.5 -1.171 FTSE100 45.880 0.041 2.5 4.730 GASOIL 7.668 0.029 2.5 0.547 GASOILINE -1.499 0.016 2.5 -0.062 GAS_US -61.380 0.006 2.5 -0.924 GBP 82.291 0.007 2.5 1.469 GOLD_micro -201.213 0.009 2.5 -4.502 HEATOIL 5.398 0.029 2.5 0.385 JPY -47.984 0.026 2.5 -3.106 LEANHOG -149.520 0.019 2.5 -6.986 LIVECOW 103.790 0.011 2.5 2.789 MXP 270.586 0.005 2.5 3.313 NASDAQ 8.641 0.022 2.5 0.469 NIKKEI 243.162 0.076 2.5 46.185 NZD 54.148 0.006 2.5 0.865 OAT 65.741 0.008 2.5 1.328 OJ -15.745 0.007 2.5 -0.275 PALLAD -2.078 0.010 2.5 -0.050 PLAT 35.088 0.010 2.5 0.844 REDWHEAT 48.833 0.002 2.5 0.261 ROBUSTA 191.844 0.005 2.5 2.487 RUSSELL 22.904 0.021 2.5 1.186 SILVER-mini -21.652 0.009 2.5 -0.484 SOYBEAN 25.679 0.024 2.5 1.514 SOYMEAL 25.263 0.024 2.5 1.490 SOYOIL 32.689 0.004 2.5 0.300 SP400 4.625 0.021 2.5 0.240 SP500 11.895 0.011 2.5 0.339 SUGAR11 83.006 0.005 2.5 1.126 US10 -2.528 0.015 2.5 -0.097 US10U -34.653 0.058 2.5 -5.049 US20 -25.517 0.029 2.5 -1.881 US30 5.302 0.034 2.5 0.445 US5 1.014 0.015 2.5 0.039 VIX -120.891 0.075 2.5 -22.782 WHEAT -54.169 0.002 2.5 -0.289 ==================== Position diags ==================== AUD 1.26 BITCOIN 9.63 BOBL 5.62 BTP 1.02 BUND 3.08 BUXL 1.58 CAC 1.58 CAD 2.20 CANOLA 3.04 CHF 2.01 COCOA 2.53 COFFEE 0.37 COPPER 0.97 CORN 1.41 COTTON2 0.91 CRUDE_W 4.16 DAX 14.08 DOW 9.68 EUR 2.06 EUROSTX 2.43 FEEDCOW 1.66 FTSE100 6.14 GASOIL 2.00 GASOILINE 0.85 GAS_US 0.52 GBP 1.58 GOLD_micro 4.71 HEATOIL 1.69 JPY 4.21 LEANHOG 3.61 LIVECOW 2.73 MXP 2.42 NASDAQ 0.89 NIKKEI 43.04 NZD 1.33 OAT 0.94 OJ 1.11 PALLAD 0.31 PLAT 1.11 REDWHEAT 0.34 ROBUSTA 1.86 RUSSELL 19.74 SILVER-mini 0.95 SOYBEAN 4.34 SOYMEAL 4.54 SOYOIL 0.76 SP400 0.81 SP500 0.74 SUGAR11 1.66 US10 2.74 US10U 8.06 US20 2.98 US30 2.38 US5 3.64 VIX 11.39 WHEAT 0.41 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 -4.4 -14.0 -14 BOBL 6.9 6.3 7.5 0.0 0 BTP 1.1 1.0 1.2 2.0 2 BUND 4.4 4.1 4.7 6.0 6 BUXL -0.7 -0.8 -0.5 0.0 0 CAC 2.1 1.9 2.2 0.0 0 CAD 2.2 2.0 2.4 0.0 0 CANOLA 6.0 5.7 6.3 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 2.3 2.1 2.4 5.0 5 COTTON2 1.0 0.9 1.1 2.0 2 CRUDE_W 2.8 2.4 3.2 4.0 4 DAX 1.8 0.3 3.2 0.0 0 DOW 3.2 2.2 4.1 0.0 0 EUR -1.8 -2.0 -1.6 -3.0 -3 EUROSTX 0.3 0.1 0.5 1.0 1 FEEDCOW -1.2 -1.3 -1.0 -2.0 -2 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL 0.5 0.3 0.7 0.0 0 GASOILINE -0.1 -0.1 0.0 1.0 1 GAS_US -0.9 -1.0 -0.9 -2.0 -2 GBP 1.5 1.3 1.6 6.0 6 GOLD_micro -4.5 -5.0 -4.0 -1.0 -1 HEATOIL 0.4 0.2 0.6 0.0 0 JPY -3.1 -3.5 -2.7 -8.0 -8 LEANHOG -7.0 -7.3 -6.6 -8.0 -8 LIVECOW 2.8 2.5 3.1 0.0 0 MXP 3.3 3.1 3.6 0.0 0 NASDAQ 0.5 0.4 0.6 0.0 0 NIKKEI 46.2 41.9 50.5 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 1.0 0.0 0 REDWHEAT 0.3 0.2 0.3 0.0 0 ROBUSTA 2.5 2.3 2.7 2.0 2 RUSSELL 1.2 -0.8 3.2 -18.0 -18 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.5 1.1 1.9 0.0 0 SOYMEAL 1.5 1.0 1.9 1.0 1 SOYOIL 0.3 0.2 0.4 0.0 0 SP400 0.2 0.2 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 -0.1 -0.4 0.2 NaN 0 US10U -5.0 -5.9 -4.2 -3.0 -3 US20 -1.9 -2.2 -1.6 0.0 0 US30 0.4 0.2 0.7 0.0 0 US5 0.0 -0.3 0.4 0.0 0 VIX -22.8 -23.9 -21.6 -18.0 -18 WHEAT -0.3 -0.3 -0.2 -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 -0.1 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 -0.2 0.3 BOBL -0.1 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 0.7 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 1.3 -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 -0.1 -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 -0.1 -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 -0.2 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 -0.2 -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 0.4 1.6 0.1 0.2 0.1 0.2 0.2 0.0 0.2 0.0 -1.7 1.7 0.1 0.0 0.1 0.0 0.1 0.0 1.6 -0.0 -0.2 -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 0.0 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 2.0 -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 0.2 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 0.1 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 0.2 0.1 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.3 0.5 0.2 0.1 0.1 0.1 0.0 0.0 -0.1 0.0 1.5 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.8 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 0.1 0.1 0.0 0.1 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 1.1 0.8 0.4 0.4 -0.1 -0.1 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 -0.0 0.0 -0.1 0.0 3.0 3.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.7 0.0 0.2 0.2 0.0 CRUDE_W 0.2 0.0 -0.1 -0.0 -0.1 -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 -0.5 0.1 0.4 0.1 0.1 DAX 0.2 -0.2 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.1 0.2 0.1 0.4 -0.3 -0.2 -0.1 -0.1 0.2 0.2 0.0 0.2 0.0 -2.7 2.2 0.1 0.0 0.1 0.0 0.1 0.0 -0.5 -0.0 -0.3 -0.1 0.0 DOW 0.3 -0.0 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.0 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 -0.0 2.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.3 -0.1 -0.1 -0.0 -0.2 EUR 0.1 0.1 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 0.3 0.0 0.0 0.0 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 0.1 0.0 0.0 0.0 -1.1 0.1 0.1 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 -0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.3 -0.0 0.1 -0.0 -0.3 1.0 0.9 0.4 0.4 -0.1 -0.1 -0.0 0.0 -0.0 0.4 -3.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.1 -0.1 -0.1 GASOILINE 0.2 0.0 0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 -0.0 0.2 0.0 0.1 0.0 0.2 1.7 0.6 0.3 0.2 0.1 0.1 -0.0 0.1 0.0 -2.4 -2.6 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 -0.0 0.3 0.1 0.3 GAS_US 0.0 -0.2 -0.3 -0.0 -0.1 -0.1 -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 0.1 HEATOIL 0.1 -0.2 -0.2 -0.0 -0.1 -0.1 -0.0 0.0 0.0 -0.1 -0.3 0.0 0.1 -0.0 -0.3 1.0 0.9 0.5 0.5 -0.1 -0.1 -0.0 0.0 -0.0 -0.3 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -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 -0.2 -0.4 -0.1 -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 0.1 0.0 -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 0.5 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 -0.1 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 0.9 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 -0.1 -0.1 -0.1 OJ 0.0 0.4 -0.1 -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 0.2 -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 -0.0 0.0 0.0 0.0 0.1 -0.2 -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 0.1 -0.2 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 0.1 2.5 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.0 -0.0 -0.2 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 -0.1 -0.0 0.2 -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 0.7 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 0.1 -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 0.8 2.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.4 -0.3 -0.2 SILVER-mini 0.2 0.3 0.1 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.3 0.0 0.0 0.1 0.3 -0.4 -0.2 -0.1 -0.1 0.3 0.2 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 -0.0 -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 -0.3 -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 0.2 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 0.4 -0.0 -0.3 -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 0.5 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 -0.3 -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 0.0 -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 -0.8 -0.2 -0.2 -0.2 0.1 0.0 -0.0 -0.1 0.0 -0.3 2.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.4 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 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -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 0.0 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 -0.0 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 -0.1 -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 -0.3 -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 6.7 -9.5 0.2 3.6 0.4 2.1 3.3 -0.6 4.6 0.5 1.2 0.2 -4.8 -2.5 -9.7 -3.7 -3.0 -3.6 -3.4 -4.8 -4.4 1.6 -5.4 -1.3 11.0 11.7 -1.5 1.1 -2.2 2.5 -3.2 1.2 -1.0 -0.6 -10.7 -19.2 -10.9 BITCOIN 8.7 12.7 20.0 4.2 2.1 2.8 4.5 1.8 5.4 3.2 13.8 10.2 -8.4 15.1 15.5 -4.1 -2.0 -3.4 -2.4 18.7 13.4 7.7 -0.3 15.7 3.7 -18.1 5.6 -1.7 4.7 0.9 1.4 3.8 0.6 -14.9 -20.0 -10.9 17.6 BOBL -5.9 20.0 18.2 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.9 -8.4 -14.9 -12.8 1.7 2.0 8.6 5.6 2.9 3.0 -1.6 -6.6 -13.1 -15.0 -5.6 11.4 10.8 2.0 -3.5 -1.1 -1.8 -6.4 1.2 9.0 -1.1 -6.4 -5.7 -5.8 BTP -6.4 8.8 10.3 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.0 5.0 -13.8 -8.7 3.8 6.4 7.3 11.8 8.4 10.4 2.5 1.5 -11.0 -9.4 -4.0 -10.3 11.4 3.9 -4.0 2.8 -2.1 -3.7 1.3 20.0 3.1 -4.2 -8.1 4.7 BUND -6.2 20.0 12.3 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.6 -8.9 -14.6 -13.1 0.6 -0.9 6.1 13.1 8.2 10.4 -2.6 -7.3 -13.5 -16.6 -6.6 8.6 12.3 2.0 -3.9 -0.9 -2.5 -6.6 0.8 20.0 -0.9 -7.0 -7.8 -4.2 BUXL -8.7 16.6 4.0 2.8 -3.8 0.9 -1.5 -2.6 1.9 -11.4 -10.1 -13.8 -13.4 -3.8 -6.5 1.9 0.9 2.4 2.5 -6.6 -10.3 -13.8 -18.4 -9.7 7.8 -10.8 0.3 -2.8 -2.0 -2.8 -6.5 -0.6 4.3 0.6 -11.6 -12.1 -12.6 CAC 20.0 -10.5 13.8 3.5 4.1 2.5 5.6 1.2 5.1 13.9 15.2 15.7 12.4 15.2 14.5 18.9 2.9 7.5 3.3 17.6 18.9 20.0 17.0 20.0 -15.3 8.9 4.3 4.9 5.5 6.0 5.5 5.2 12.2 -0.9 -7.7 -7.0 5.0 CAD 20.0 5.6 2.3 3.6 0.4 2.1 3.3 -0.6 4.6 -2.6 -5.7 10.3 -9.7 10.5 4.2 -2.8 -1.9 -2.6 -2.3 4.7 -3.2 8.1 -9.4 11.1 16.7 10.4 2.7 -1.4 -0.7 4.2 -3.1 5.7 1.0 2.8 13.3 -4.0 -4.5 CANOLA 8.4 -15.3 -20.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 0.6 -9.6 7.5 -12.2 -5.5 -9.2 20.0 16.1 20.0 17.7 -19.9 -20.0 -2.6 -13.1 -11.3 17.6 13.2 -5.5 -0.1 -5.2 -1.0 -2.9 -3.4 14.8 -10.1 -6.7 -20.0 -20.0 CHF 16.4 8.6 6.5 3.6 0.4 2.1 3.3 -0.6 4.6 2.4 12.7 8.7 5.9 12.4 10.4 -13.1 -13.8 -13.8 -14.1 13.4 9.5 12.7 4.5 16.8 -7.8 -11.5 5.2 1.0 3.2 5.2 0.8 6.9 -19.5 17.5 12.7 11.6 3.5 COCOA 9.5 9.4 17.2 -2.5 3.4 -3.5 1.7 -2.7 -0.8 13.9 14.9 15.3 7.2 15.7 15.2 3.7 -1.1 2.2 0.8 20.0 18.6 18.7 11.0 20.0 -20.0 -10.4 6.2 5.3 5.5 5.3 3.6 6.0 -13.1 20.0 20.0 20.0 20.0 COFFEE 16.3 9.3 17.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 10.7 -2.4 14.1 -6.4 10.3 11.3 6.8 3.7 4.5 4.1 12.6 2.7 20.0 -4.6 20.0 9.6 10.0 4.3 6.7 1.1 9.3 -0.9 7.7 -5.9 20.0 20.0 15.3 20.0 COPPER 2.2 -5.1 11.2 4.2 2.1 2.8 4.5 1.8 5.4 5.0 9.2 8.0 -1.4 3.9 3.8 -0.6 -0.5 -0.8 -0.7 4.3 7.3 4.8 4.0 3.9 1.7 11.1 1.0 0.7 2.1 3.1 2.1 2.4 3.1 2.4 -19.2 -20.0 -8.2 CORN 9.9 -6.1 -20.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 3.8 -9.7 2.3 -3.2 -8.3 -11.8 13.7 19.1 17.9 19.5 -10.6 -12.3 3.3 -3.5 -3.3 14.1 11.0 -5.3 1.1 -6.0 -0.3 -2.9 -2.8 20.0 -6.4 -4.1 -20.0 -20.0 COTTON2 12.3 0.1 -1.7 -2.5 3.4 -3.5 1.7 -2.7 -0.8 4.9 -9.1 12.5 -11.3 5.1 -1.7 -2.3 7.7 -2.6 0.6 -1.7 -8.6 7.5 -10.8 4.5 12.3 12.0 -0.1 3.8 -2.5 5.3 -1.3 3.6 -5.3 16.1 15.3 6.4 0.1 CRUDE_W 20.0 1.2 -4.4 -1.0 -7.6 -2.0 -1.9 1.1 0.2 -9.5 3.0 11.2 -2.3 12.1 7.1 9.9 11.4 8.9 9.4 6.4 -0.0 8.1 1.6 13.3 -9.9 10.8 2.2 -2.8 0.4 2.7 1.8 4.6 -3.5 12.6 20.0 6.7 6.2 DAX 16.1 -10.6 13.9 3.5 4.1 2.5 5.6 1.2 5.1 14.0 15.3 15.8 8.3 15.2 14.4 -6.8 -5.8 -7.7 -7.4 13.4 15.5 14.6 12.0 14.4 -18.1 9.9 4.2 4.5 6.0 5.3 4.8 4.6 -3.7 -4.3 -13.1 -6.1 3.0 DOW 20.0 -2.5 -1.8 3.5 4.1 2.5 5.6 1.2 5.1 7.8 7.6 14.4 1.7 12.0 3.2 -7.7 -5.2 -7.4 -6.9 6.7 2.0 15.3 1.1 15.8 -0.3 10.8 3.5 1.5 2.1 5.2 1.6 5.9 -2.8 -10.0 -3.3 -1.9 -12.1 EUR 11.4 4.6 12.6 3.6 0.4 2.1 3.3 -0.6 4.6 0.1 12.4 7.2 0.0 11.5 8.5 -6.3 -8.4 -7.1 -7.8 11.6 9.9 7.0 1.9 11.8 -12.6 -11.1 5.4 0.4 4.0 4.1 0.2 6.1 -9.4 9.0 5.0 9.0 6.5 EUROSTX 17.6 -10.2 13.3 3.5 4.1 2.5 5.6 1.2 5.1 13.7 15.5 15.6 12.2 15.6 15.0 -2.7 4.9 2.4 4.2 15.6 17.5 15.2 15.1 16.4 -18.0 -8.5 4.6 3.8 6.3 5.2 5.9 5.0 15.4 -6.2 -11.8 -5.2 2.0 FEEDCOW 19.2 20.0 20.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 13.7 13.3 15.0 9.4 15.5 15.0 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 12.1 20.0 -20.0 12.2 6.4 3.3 5.3 4.8 3.4 6.2 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL 10.0 -7.1 -12.8 -1.0 -7.6 -2.0 -1.9 1.1 0.2 -12.8 -12.0 -4.3 5.6 -6.6 -11.2 12.3 20.0 19.4 20.0 -7.9 -8.3 -6.5 3.3 -4.5 3.3 -15.4 -3.4 -7.2 -4.5 -2.9 -0.5 -1.6 20.0 -1.4 -4.0 -4.9 -10.1 GASOILINE 18.0 2.8 3.7 -1.0 -7.6 -2.0 -1.9 1.1 0.2 -12.7 7.5 6.5 2.5 10.2 10.0 20.0 14.3 15.7 11.3 9.4 5.7 -0.2 7.7 10.3 -19.6 -13.1 3.8 -8.3 3.5 -0.6 5.7 3.7 -0.1 -1.4 16.2 10.7 20.0 GAS_US 3.8 -9.9 -20.0 -1.0 -7.6 -2.0 -1.9 1.1 0.2 5.7 -16.6 -0.8 -14.3 -12.6 -15.7 -20.0 -12.8 -20.0 -18.2 -20.0 -20.0 -0.3 -20.0 -11.2 20.0 -9.3 -6.2 1.2 -6.8 -1.3 -3.6 -4.4 -20.0 9.4 -20.0 -11.4 -20.0 GBP 10.4 10.7 10.5 3.6 0.4 2.1 3.3 -0.6 4.6 -3.9 13.7 6.4 -0.7 12.6 11.2 -1.6 -1.9 -1.8 -2.0 11.6 8.0 4.5 -0.9 10.9 5.6 9.4 4.8 0.5 1.8 3.0 -2.9 5.5 1.1 -1.6 0.5 10.0 -1.0 GOLD_micro 6.8 13.4 13.4 4.2 2.1 2.8 4.5 1.8 5.4 -11.4 12.6 2.1 2.7 12.0 12.1 -11.0 -10.8 -11.5 -11.7 17.0 14.6 3.1 8.1 13.1 -2.6 -13.8 5.3 -1.0 4.3 1.7 2.5 4.6 -15.2 -17.0 -14.4 12.3 10.1 HEATOIL 10.4 -10.1 -13.2 -1.0 -7.6 -2.0 -1.9 1.1 0.2 -13.7 -10.9 1.3 4.6 -3.8 -10.2 11.7 20.0 20.0 20.0 -8.1 -9.4 -4.7 3.3 -2.9 -3.6 -13.6 -3.1 -6.8 -2.8 -2.8 3.8 -1.5 20.0 -5.5 -3.3 -8.2 -4.0 JPY -9.6 -0.9 2.3 3.6 0.4 2.1 3.3 -0.6 4.6 -13.4 5.2 -13.9 -6.6 -2.3 -5.7 -15.7 -13.1 -14.9 -14.3 -3.3 -0.5 -13.5 -7.8 -8.6 2.2 9.9 1.3 -6.0 1.0 -3.3 -4.9 -0.2 -18.9 -18.5 -20.0 -4.2 -7.0 LEANHOG -12.1 -20.0 -20.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 -7.2 -14.8 -12.5 -11.6 -15.3 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.2 -14.9 -20.0 20.0 -11.1 -6.3 -1.4 -5.4 -3.4 -3.3 -5.5 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 20.0 -2.1 7.3 -2.6 6.2 -3.5 1.8 -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 4.1 3.9 6.6 3.6 6.6 4.6 20.0 20.0 16.2 20.0 MXP 11.4 -9.0 6.3 3.6 0.4 2.1 3.3 -0.6 4.6 9.3 15.0 14.1 15.3 14.5 14.7 17.8 20.0 18.9 20.0 16.8 20.0 9.1 20.0 13.4 -20.0 9.7 5.6 0.7 7.9 2.4 8.5 3.8 20.0 3.7 1.9 4.1 19.6 NASDAQ 11.1 17.3 20.0 3.5 4.1 2.5 5.6 1.2 5.1 13.0 7.6 9.4 -6.9 13.1 14.6 -8.3 -5.6 -7.6 -6.9 19.7 13.6 9.1 -0.2 16.2 -2.9 10.2 6.0 1.4 5.0 2.5 2.2 4.6 -3.1 -14.7 -13.6 17.9 17.7 NIKKEI 16.9 7.2 11.7 3.5 4.1 2.5 5.6 1.2 5.1 12.8 8.5 14.5 7.3 12.7 11.9 4.4 13.0 10.2 12.9 13.1 8.4 19.5 4.4 17.3 6.4 -9.4 4.7 6.0 2.6 7.1 0.6 6.2 20.0 1.0 -2.8 12.2 -5.0 NZD 2.0 -4.7 1.6 3.6 0.4 2.1 3.3 -0.6 4.6 -9.4 7.2 -8.9 -1.3 0.3 -6.7 1.1 0.6 0.8 0.5 -2.1 -0.6 -4.3 -2.7 -2.8 3.1 10.8 -0.2 -2.2 0.1 -1.1 -1.9 0.0 5.4 -17.0 -15.5 -9.2 -10.7 OAT -5.2 14.9 5.9 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.4 -8.2 -14.4 -12.9 1.3 -3.0 10.4 12.0 10.4 11.3 -3.2 -7.4 -12.7 -16.0 -6.5 5.9 12.7 1.7 -3.9 -1.1 -2.2 -7.2 0.7 20.0 0.6 -5.1 -10.5 -5.4 OJ 20.0 20.0 -5.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 1.6 15.6 13.5 15.5 14.9 15.3 20.0 19.8 20.0 20.0 20.0 20.0 14.4 20.0 20.0 -20.0 -14.3 6.5 0.1 7.6 2.2 7.7 4.6 20.0 -5.8 20.0 20.0 20.0 PALLAD 20.0 11.4 -20.0 4.2 2.1 2.8 4.5 1.8 5.4 13.5 -13.8 14.4 -14.2 8.9 -8.0 -2.9 -2.2 -2.8 -2.6 -5.2 -20.0 20.0 -20.0 13.6 20.0 -11.1 1.0 10.2 -3.3 10.2 -4.0 6.8 0.0 20.0 4.8 -17.3 -20.0 PLAT 18.4 9.4 -4.8 4.2 2.1 2.8 4.5 1.8 5.4 13.9 6.0 14.8 1.7 14.5 3.3 -2.6 -1.5 -2.3 -1.9 10.0 4.5 20.0 2.6 19.9 0.9 11.2 3.7 10.0 1.3 10.1 0.5 7.8 1.3 20.0 1.7 -3.2 -16.2 REDWHEAT 14.1 9.0 0.4 -2.5 3.4 -3.5 1.7 -2.7 -0.8 1.5 -7.5 9.4 -11.0 9.1 5.6 10.9 5.5 10.5 8.6 3.1 -4.3 5.6 -5.7 7.5 -2.5 12.9 0.7 -1.1 -1.3 1.2 -0.0 2.0 -0.8 -5.8 11.8 -2.9 1.9 ROBUSTA 20.0 16.9 20.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 13.6 10.3 15.3 5.5 15.7 15.6 13.2 10.0 11.3 10.8 20.0 20.0 20.0 11.1 20.0 -7.9 9.6 6.2 2.7 4.1 5.1 2.0 6.7 5.1 15.1 20.0 20.0 20.0 RUSSELL 7.2 -20.0 1.0 3.5 4.1 2.5 5.6 1.2 5.1 12.2 -4.9 12.0 -9.1 -7.6 -10.1 -5.3 -4.3 -5.5 -5.3 -8.4 -6.9 5.2 -6.4 -2.5 6.6 10.0 -2.9 1.6 -1.0 0.4 -0.2 -2.1 -0.7 -12.8 -20.0 -20.0 -13.7 SILVER-mini 20.0 20.0 3.7 4.2 2.1 2.8 4.5 1.8 5.4 -3.3 10.7 10.5 1.3 14.1 11.6 -6.1 -4.9 -5.9 -5.6 20.0 11.9 15.7 4.8 20.0 -4.7 -11.3 4.5 0.6 2.2 3.7 0.4 5.9 -4.9 -7.9 9.5 4.1 -11.3 SOYBEAN 8.5 -16.5 -16.2 -2.5 3.4 -3.5 1.7 -2.7 -0.8 0.4 -4.6 6.5 -1.8 -4.1 -6.7 20.0 20.0 20.0 20.0 -11.8 -10.1 -0.7 -2.4 -6.4 -0.4 -11.7 -4.5 -0.1 -3.4 -0.4 -0.0 -2.6 20.0 -6.7 -1.9 -20.0 -17.7 SOYMEAL -0.7 -15.4 5.7 -2.5 3.4 -3.5 1.7 -2.7 -0.8 -0.5 10.2 9.2 12.2 -1.9 0.2 20.0 19.3 20.0 20.0 1.3 10.7 0.3 16.4 -1.3 -20.0 -12.0 -0.4 -2.8 4.5 0.0 9.0 -1.0 20.0 7.0 -5.8 -6.7 12.5 SOYOIL 1.1 -16.9 -20.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 8.1 -11.5 1.3 -4.3 -8.8 -11.4 2.4 11.8 2.4 6.0 -18.4 -17.4 -1.6 -7.0 -11.3 6.6 12.9 -5.7 1.7 -5.3 -0.5 -1.8 -3.4 3.0 -5.4 -16.9 -20.0 -20.0 SP400 11.1 -20.0 1.1 3.5 4.1 2.5 5.6 1.2 5.1 13.3 1.5 13.2 -1.6 -3.0 -6.5 -4.5 -4.1 -5.1 -4.8 -5.1 -2.6 6.9 -0.4 0.8 2.8 10.2 -2.4 1.3 -0.5 0.6 0.9 -1.5 -0.0 -14.7 -20.0 -20.0 -14.7 SP500 20.0 3.8 9.6 3.5 4.1 2.5 5.6 1.2 5.1 14.0 6.6 15.5 -5.2 13.9 9.7 -8.3 -6.0 -7.8 -7.1 11.2 5.4 15.2 -1.2 16.2 1.9 10.2 5.0 3.4 3.4 5.5 1.0 6.2 -3.5 -6.7 -6.2 3.6 -0.4 SUGAR11 20.0 20.0 20.0 -2.5 3.4 -3.5 1.7 -2.7 -0.8 11.4 15.8 15.1 13.3 15.9 16.2 11.8 20.0 20.0 20.0 20.0 20.0 20.0 19.8 20.0 -20.0 -10.5 6.3 2.7 5.3 5.6 4.2 7.0 20.0 20.0 20.0 20.0 20.0 US10 2.6 20.0 12.4 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.5 0.5 -9.9 -10.3 8.3 8.4 -9.3 -4.8 -8.8 -8.0 6.0 0.6 -8.7 -10.0 2.2 -2.4 9.7 4.0 -3.5 1.9 -0.8 -2.2 2.9 -9.9 0.9 2.2 8.0 1.4 US10U 2.2 20.0 11.7 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.5 0.5 -10.3 -10.3 7.5 8.0 -4.1 1.6 -1.4 -0.4 5.2 0.2 -9.4 -10.5 1.2 -4.9 -14.1 4.2 -4.0 2.5 -1.3 -1.6 2.7 2.3 -0.9 0.8 5.9 4.0 US20 2.5 18.9 11.6 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.4 2.5 -10.7 -8.8 7.9 8.5 -1.0 -1.5 -2.5 -2.8 5.6 0.7 -9.8 -10.1 1.2 -2.4 -12.3 3.9 -4.4 2.1 -1.7 -2.0 2.3 -2.5 -3.1 -0.9 4.3 0.1 US30 0.3 11.9 9.3 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.2 1.8 -11.0 -10.4 4.6 3.6 -1.2 -0.6 -1.0 -1.1 1.9 -1.8 -10.8 -13.4 -2.2 -6.1 10.0 3.7 -5.6 2.3 -2.8 -2.6 1.6 -0.2 -1.5 -3.9 -2.3 -0.0 US5 2.4 20.0 15.4 2.8 -3.8 0.9 -1.5 -2.6 1.9 -13.6 -0.0 -9.8 -10.6 8.4 8.5 -9.2 -5.3 -9.4 -8.7 5.9 0.4 -9.0 -9.8 2.0 -0.3 10.8 3.7 -3.5 1.5 -0.9 -2.9 2.8 -11.0 -0.1 1.7 8.3 -0.9 VIX -12.8 18.4 -0.6 -3.5 -4.4 -6.0 -4.5 -7.0 -3.2 -13.7 -13.2 -15.6 -13.5 -12.1 -10.7 -20.0 -20.0 -20.0 -20.0 -9.1 -12.0 -13.8 -14.2 -11.6 NaN -13.5 -4.2 -4.5 -7.7 -5.0 -9.6 -3.9 NaN NaN NaN NaN NaN WHEAT 5.3 -1.6 -7.6 -2.5 3.4 -3.5 1.7 -2.7 -0.8 4.0 -13.9 0.2 -14.8 -8.9 -10.9 -12.7 -8.6 -12.0 -10.6 -12.5 -17.6 -0.6 -16.0 -6.3 8.2 11.9 -4.8 0.3 -5.3 -0.6 -3.1 -3.0 -20.0 -8.1 -4.8 -20.0 -11.5 End of report for caleb_strategy_v1