******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230420_204653 produced at 2023-04-20 21:37:24.110254 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 0.0 4.743008e+07 -4.743008e+07 -0.14 -0.14 -5.28 999999999.0 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.21 0.0 8.990506e+06 -8.990506e+06 -0.15 -0.15 -22.99 999999999.0 -17 -17 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.540621e+07 -5.540621e+07 -0.11 -0.11 -2.23 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.33 -0.12 0.0 3.692846e+07 -3.692846e+07 -0.33 -0.33 -3.24 999999999.0 -9 -9 caleb_strategy_v1 LEANHOG False False 0.01 -0.11 -0.10 0.0 1.388512e+07 -1.388512e+07 -0.11 -0.11 -7.18 999999999.0 -8 -8 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.10 0.0 5.408567e+07 -5.408567e+07 -0.16 -0.16 -1.80 999999999.0 -3 -3 caleb_strategy_v1 US20 False False 0.05 0.00 -0.10 0.0 5.126015e+07 -5.126015e+07 0.00 0.00 -1.91 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 -0.09 -0.05 0.0 4.514434e+07 -4.514434e+07 -0.09 -0.09 -1.14 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.891939e+07 -5.891939e+07 0.00 0.00 -0.71 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 7.933286e+06 -7.933286e+06 -0.01 -0.02 -4.57 999999999.0 -1 -2 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.163454e+07 -1.163454e+07 -0.06 -0.05 -1.81 999999999.0 -5 -4 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.513210e+07 -2.513210e+07 0.00 0.00 -0.50 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.04 -0.01 0.0 4.161050e+07 -4.161050e+07 0.04 0.04 -0.14 999999999.0 1 1 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.114075e+06 -1.114075e+06 -0.02 -0.02 -5.61 999999999.0 -14 -16 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.510008e+07 -4.510008e+07 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.024957e+07 -1.024957e+07 -0.02 -0.02 -0.93 999999999.0 -2 -2 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.00 0.0 1.867650e+07 -1.867650e+07 0.02 0.02 0.25 999999999.0 1 1 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.389397e+07 -1.389397e+07 -0.03 -0.03 -0.30 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.279583e+07 -6.279583e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.619078e+07 -1.619078e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.279288e+07 -1.279288e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.00 0.0 4.301291e+07 -4.301291e+07 0.00 0.00 0.04 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.586716e+07 -1.586716e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.04 0.00 0.0 3.526954e+06 -3.526954e+06 -0.04 -0.02 0.62 999999999.0 -10 -6 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.094631e+07 -1.094631e+07 0.00 0.00 0.95 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.658790e+07 -2.658790e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 2.831911e+07 -2.831911e+07 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.866093e+07 -2.866093e+07 0.03 0.03 0.41 999999999.0 1 1 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.01 0.0 1.578945e+07 -1.578945e+07 0.03 0.03 0.85 999999999.0 2 2 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.096602e+07 -4.096602e+07 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 6.867172e+06 -6.867172e+06 0.00 0.00 1.36 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.293469e+06 -9.293469e+06 0.02 0.02 2.48 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.427043e+07 -2.427043e+07 0.00 0.00 0.85 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.142605e+07 -8.142605e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.69 0.02 0.0 9.861228e+07 -9.861228e+07 0.69 0.69 0.24 999999999.0 7 7 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.660844e+06 -6.660844e+06 0.00 0.00 2.99 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.180739e+07 -2.180739e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.098239e+07 -1.098239e+07 0.05 0.05 2.25 999999999.0 5 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.253106e+06 -4.253106e+06 0.00 0.00 5.87 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.955233e+07 -3.955233e+07 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.02 0.0 1.726099e+07 -1.726099e+07 0.02 0.02 1.44 999999999.0 1 1 caleb_strategy_v1 US30 False False 0.05 0.00 0.03 0.0 5.491193e+07 -5.491193e+07 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.078074e+07 -1.078074e+07 0.00 0.00 3.39 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.04 0.0 1.028164e+08 -1.028164e+08 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.04 0.0 2.557474e+07 -2.557474e+07 0.00 0.00 1.54 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.18 0.05 0.0 3.062084e+07 -3.062084e+07 0.18 0.18 1.49 999999999.0 6 6 caleb_strategy_v1 BTP False False 0.05 0.10 0.05 0.0 4.905492e+07 -4.905492e+07 0.10 0.10 1.09 999999999.0 2 2 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.922603e+07 -2.922603e+07 0.00 0.00 2.22 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.07 0.0 2.925357e+07 -2.925357e+07 0.12 0.12 2.48 999999999.0 4 4 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.546877e+07 -5.546877e+07 0.00 0.00 1.33 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.07 0.0 3.220294e+07 -3.220294e+07 0.00 0.00 2.14 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.08 0.0 2.585410e+07 -2.585410e+07 0.00 0.00 3.13 999999999.0 0 0 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 5.781951e+07 -5.781951e+07 0.35 0.35 4.39 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.35 0.0 5.045242e+07 -5.045242e+07 0.00 0.00 6.94 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 46.27 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 17.8 Shocked risk 51.8 Sum abs risk 48.0 Leverage 3.27 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2541569.87, 'annual_cash_vol_target': 635392.4675, 'daily_cash_vol_target': 39712.02921875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0050 0.6758 0.7329 11.7257 BITCOIN 975.4294 28315.0000 3.4449 55.1187 BOBL 0.4594 116.9700 0.3927 6.2838 BTP 0.7078 113.7300 0.6223 9.9575 BUND 0.8405 134.0500 0.6270 10.0322 BUXL 1.8928 136.6000 1.3856 22.1702 CAC 63.3823 7466.0000 0.8489 13.5831 CAD 0.0031 0.7428 0.4233 6.7733 CANOLA 8.3266 727.7000 1.1442 18.3078 CHF 0.0058 1.1266 0.5166 8.2648 COCOA 34.1046 2957.0000 1.1534 18.4536 COFFEE 3.8715 194.2500 1.9931 31.8890 COPPER 0.0452 4.0210 1.1234 17.9746 CORN 5.0127 558.2500 0.8979 14.3669 COTTON2 1.4558 80.2600 1.8138 29.0215 CRUDE_W 1.2791 74.3500 1.7203 27.5255 DAX 139.6592 15921.0000 0.8772 14.0352 DOW 232.0482 33858.0000 0.6854 10.9657 EUR 0.0057 1.0997 0.5147 8.2355 EUROSTX 41.2824 4330.0000 0.9534 15.2545 FEEDCOW 1.3385 229.4750 0.5833 9.3329 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.2466 719.7500 1.9794 31.6701 GASOILINE 0.0460 2.5180 1.8265 29.2238 GAS_US 0.1151 2.6050 4.4186 70.6972 GBP 0.0070 1.2452 0.5658 9.0535 GOLD_micro 18.4845 2016.3000 0.9168 14.6681 HEATOIL 0.0404 2.4790 1.6277 26.0436 JPY 0.0000 0.0075 0.6395 10.2321 LEANHOG 1.2632 88.2250 1.4318 22.9090 LIVECOW 1.0130 164.2750 0.6167 9.8664 MXP 0.0004 0.0548 0.7205 11.5277 NASDAQ 120.4345 13065.7500 0.9218 14.7481 NIKKEI 235.6265 28575.0000 0.8246 13.1934 NZD 0.0047 0.6168 0.7642 12.2268 OAT 0.7705 128.6000 0.5992 9.5865 OJ 4.0750 268.8500 1.5157 24.2512 PALLAD 30.8951 1596.0000 1.9358 30.9725 PLAT 16.7987 1108.5000 1.5154 24.2472 REDWHEAT 13.0168 823.0000 1.5816 25.3060 ROBUSTA 27.8850 2362.0000 1.1806 18.8891 RUSSELL 20.4860 1792.8000 1.1427 18.2829 SILVER-mini 0.3658 25.5500 1.4317 22.9077 SOYBEAN 10.6671 1300.0000 0.8205 13.1288 SOYMEAL 5.0594 438.7000 1.1533 18.4523 SOYOIL 0.7857 54.1900 1.4500 23.1996 SP400 24.9265 2506.3000 0.9946 15.9128 SP500 31.0506 4139.0000 0.7502 12.0031 SUGAR11 0.3287 24.8400 1.3231 21.1696 US10 0.5455 114.6250 0.4759 7.6142 US10U 0.7055 120.5469 0.5852 9.3634 US20 0.9663 130.2812 0.7417 11.8675 US30 1.3837 139.5625 0.9914 15.8627 US5 0.4098 109.3203 0.3748 5.9974 VIX 0.6511 22.8500 2.8494 45.5903 WHEAT 10.4233 706.2500 1.4759 23.6139 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 675.75 0.73 495.23 1.00 495.23 39712.03 80.19 4.01 32.13 BITCOIN 28.32 3.44 97.54 1.00 97.54 39712.03 407.12 -5.85 -237.99 BOBL 1169.70 0.39 459.39 1.10 503.95 39712.03 78.80 12.21 96.19 BTP 1137.30 0.62 707.79 1.10 776.45 39712.03 51.15 10.59 54.19 BUND 1340.50 0.63 840.51 1.10 922.04 39712.03 43.07 14.14 60.88 BUXL 1366.00 1.39 1892.78 1.10 2076.38 39712.03 19.13 -4.45 -8.52 CAC 746.60 0.85 633.82 1.10 695.30 39712.03 57.11 13.34 76.20 CAD 742.80 0.42 314.45 1.00 314.45 39712.03 126.29 9.83 124.17 CANOLA 145.54 1.14 166.53 0.75 124.26 39712.03 319.58 20.00 639.15 CHF 1408.19 0.52 727.40 1.00 727.40 39712.03 54.59 -10.91 -59.54 COCOA 295.70 1.15 341.05 1.00 341.05 39712.03 116.44 -7.12 -82.86 COFFEE 728.44 1.99 1451.82 1.00 1451.82 39712.03 27.35 11.48 31.40 COPPER 1005.25 1.12 1129.31 1.00 1129.31 39712.03 35.16 5.72 20.11 CORN 279.12 0.90 250.63 1.00 250.63 39712.03 158.45 15.77 249.94 COTTON2 401.30 1.81 727.90 1.00 727.90 39712.03 54.56 10.33 56.33 CRUDE_W 743.50 1.72 1279.08 1.00 1279.08 39712.03 31.05 6.06 18.80 DAX 159.21 0.88 139.66 1.10 153.21 39712.03 259.21 0.97 25.12 DOW 169.29 0.69 116.02 1.00 116.02 39712.03 342.27 3.07 105.02 EUR 1374.62 0.51 707.55 1.00 707.55 39712.03 56.13 -8.57 -48.08 EUROSTX 433.00 0.95 412.82 1.10 452.87 39712.03 87.69 1.03 9.07 FEEDCOW 1147.38 0.58 669.27 1.00 669.27 39712.03 59.34 -7.17 -42.52 FTSE100 707.00 0.82 576.59 1.24 666.67 39712.03 59.57 7.70 45.85 GASOIL 719.75 1.98 1424.66 1.00 1424.66 39712.03 27.87 2.00 5.56 GASOILINE 1057.56 1.83 1931.62 1.00 1931.62 39712.03 20.56 -1.61 -3.30 GAS_US 260.50 4.42 1151.04 1.00 1151.04 39712.03 34.50 -17.82 -61.47 GBP 778.25 0.57 440.37 1.00 440.37 39712.03 90.18 9.27 83.58 GOLD_micro 201.63 0.92 184.84 1.00 184.84 39712.03 214.84 -9.50 -204.05 HEATOIL 1041.18 1.63 1694.75 1.00 1694.75 39712.03 23.43 1.48 3.47 JPY 938.56 0.64 600.22 1.00 600.22 39712.03 66.16 -7.56 -50.02 LEANHOG 352.90 1.43 505.29 1.00 505.29 39712.03 78.59 -19.56 -153.71 LIVECOW 657.10 0.62 405.20 1.00 405.20 39712.03 98.01 11.87 116.33 MXP 274.00 0.72 197.41 1.00 197.41 39712.03 201.16 13.77 277.01 NASDAQ 2613.15 0.92 2408.69 1.00 2408.69 39712.03 16.49 4.50 7.43 NIKKEI 28575.00 0.82 23562.65 0.01 175.36 39712.03 226.46 10.76 243.59 NZD 616.85 0.76 471.38 1.00 471.38 39712.03 84.25 6.34 53.40 OAT 1286.00 0.60 770.52 1.10 845.26 39712.03 46.98 14.05 66.01 OJ 403.28 1.52 611.24 1.00 611.24 39712.03 64.97 -2.45 -15.95 PALLAD 1596.00 1.94 3089.51 1.00 3089.51 39712.03 12.85 -1.14 -1.46 PLAT 554.25 1.52 839.94 1.00 839.94 39712.03 47.28 8.09 38.27 REDWHEAT 411.50 1.58 650.84 1.00 650.84 39712.03 61.02 6.99 42.64 ROBUSTA 236.20 1.18 278.85 1.00 278.85 39712.03 142.41 13.43 191.23 RUSSELL 89.64 1.14 102.43 1.00 102.43 39712.03 387.70 0.31 12.05 SILVER-mini 638.75 1.43 914.52 1.00 914.52 39712.03 43.42 -5.14 -22.33 SOYBEAN 650.00 0.82 533.36 1.00 533.36 39712.03 74.46 3.50 26.07 SOYMEAL 438.70 1.15 505.94 1.00 505.94 39712.03 78.49 3.11 24.40 SOYOIL 325.14 1.45 471.44 1.00 471.44 39712.03 84.23 4.44 37.41 SP400 2506.30 0.99 2492.65 1.00 2492.65 39712.03 15.93 2.92 4.65 SP500 2069.50 0.75 1552.53 1.00 1552.53 39712.03 25.58 4.02 10.29 SUGAR11 278.21 1.32 368.10 1.00 368.10 39712.03 107.88 6.52 70.32 US10 1146.25 0.48 545.49 1.00 545.49 39712.03 72.80 -0.43 -3.16 US10U 1205.47 0.59 705.45 1.00 705.45 39712.03 56.29 -6.44 -36.23 US20 1302.81 0.74 966.32 1.00 966.32 39712.03 41.10 -6.30 -25.89 US30 1395.62 0.99 1383.65 1.00 1383.65 39712.03 28.70 2.02 5.79 US5 1093.20 0.37 409.77 1.00 409.77 39712.03 96.91 0.10 1.01 VIX 228.50 2.85 651.09 1.00 651.09 39712.03 60.99 -20.00 -121.99 WHEAT 353.12 1.48 521.17 1.00 521.17 39712.03 76.20 -7.27 -55.39 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 32.130 0.006 2.5 0.513 BITCOIN -237.994 0.009 2.5 -5.608 BOBL 96.186 0.029 2.5 6.941 BTP 54.186 0.008 2.5 1.094 BUND 60.881 0.029 2.5 4.393 BUXL -8.516 0.034 2.5 -0.715 CAC 76.201 0.011 2.5 2.142 CAD 124.166 0.007 2.5 2.217 CANOLA 639.155 0.004 2.5 5.867 CHF -59.541 0.015 2.5 -2.228 COCOA -82.860 0.009 2.5 -1.805 COFFEE 31.401 0.005 2.5 0.407 COPPER 20.110 0.011 2.5 0.550 CORN 249.936 0.004 2.5 2.254 COTTON2 56.335 0.006 2.5 0.848 CRUDE_W 18.800 0.053 2.5 2.484 DAX 25.123 0.022 2.5 1.364 DOW 105.016 0.011 2.5 2.993 EUR -48.077 0.015 2.5 -1.799 EUROSTX 9.070 0.011 2.5 0.255 FEEDCOW -42.524 0.011 2.5 -1.143 FTSE100 45.853 0.041 2.5 4.727 GASOIL 5.561 0.029 2.5 0.397 GASOILINE -3.300 0.016 2.5 -0.135 GAS_US -61.466 0.006 2.5 -0.926 GBP 83.579 0.007 2.5 1.492 GOLD_micro -204.049 0.009 2.5 -4.566 HEATOIL 3.474 0.029 2.5 0.248 JPY -50.024 0.026 2.5 -3.238 LEANHOG -153.714 0.019 2.5 -7.181 LIVECOW 116.331 0.011 2.5 3.126 MXP 277.011 0.005 2.5 3.391 NASDAQ 7.426 0.022 2.5 0.403 NIKKEI 243.590 0.076 2.5 46.266 NZD 53.405 0.006 2.5 0.853 OAT 66.012 0.008 2.5 1.333 OJ -15.945 0.007 2.5 -0.278 PALLAD -1.460 0.010 2.5 -0.035 PLAT 38.270 0.010 2.5 0.921 REDWHEAT 42.640 0.002 2.5 0.228 ROBUSTA 191.228 0.005 2.5 2.479 RUSSELL 12.052 0.021 2.5 0.624 SILVER-mini -22.329 0.009 2.5 -0.500 SOYBEAN 26.073 0.024 2.5 1.537 SOYMEAL 24.402 0.024 2.5 1.439 SOYOIL 37.413 0.004 2.5 0.343 SP400 4.650 0.021 2.5 0.241 SP500 10.293 0.011 2.5 0.293 SUGAR11 70.322 0.005 2.5 0.954 US10 -3.160 0.015 2.5 -0.121 US10U -36.227 0.058 2.5 -5.278 US20 -25.893 0.029 2.5 -1.908 US30 5.789 0.034 2.5 0.486 US5 1.007 0.015 2.5 0.039 VIX -121.987 0.075 2.5 -22.988 WHEAT -55.389 0.002 2.5 -0.296 ==================== Position diags ==================== AUD 1.28 BITCOIN 9.59 BOBL 5.69 BTP 1.03 BUND 3.11 BUXL 1.61 CAC 1.61 CAD 2.25 CANOLA 2.93 CHF 2.04 COCOA 2.54 COFFEE 0.35 COPPER 0.96 CORN 1.43 COTTON2 0.82 CRUDE_W 4.10 DAX 14.08 DOW 9.75 EUR 2.10 EUROSTX 2.47 FEEDCOW 1.59 FTSE100 6.14 GASOIL 1.99 GASOILINE 0.84 GAS_US 0.52 GBP 1.61 GOLD_micro 4.81 HEATOIL 1.67 JPY 4.28 LEANHOG 3.67 LIVECOW 2.63 MXP 2.46 NASDAQ 0.90 NIKKEI 43.01 NZD 1.35 OAT 0.95 OJ 1.13 PALLAD 0.31 PLAT 1.14 REDWHEAT 0.33 ROBUSTA 1.85 RUSSELL 20.08 SILVER-mini 0.97 SOYBEAN 4.39 SOYMEAL 4.63 SOYOIL 0.77 SP400 0.83 SP500 0.73 SUGAR11 1.46 US10 2.79 US10U 8.20 US20 3.03 US30 2.41 US5 3.72 VIX 11.49 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.6 0.0 0 BITCOIN -5.6 -6.6 -4.6 -14.0 -14 BOBL 6.9 6.4 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 -0.9 -0.6 0.0 0 CAC 2.1 2.0 2.3 0.0 0 CAD 2.2 2.0 2.4 0.0 0 CANOLA 5.9 5.6 6.2 NaN 0 CHF -2.2 -2.4 -2.0 -2.0 -2 COCOA -1.8 -2.1 -1.6 -5.0 -5 COFFEE 0.4 0.4 0.4 1.0 1 COPPER 0.5 0.5 0.6 0.0 0 CORN 2.3 2.1 2.4 5.0 5 COTTON2 0.8 0.8 0.9 2.0 2 CRUDE_W 2.5 2.1 2.9 4.0 4 DAX 1.4 -0.0 2.8 0.0 0 DOW 3.0 2.0 4.0 0.0 0 EUR -1.8 -2.0 -1.6 -3.0 -3 EUROSTX 0.3 0.0 0.5 1.0 1 FEEDCOW -1.1 -1.3 -1.0 -2.0 -2 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.1 -0.2 -0.1 1.0 1 GAS_US -0.9 -1.0 -0.9 -2.0 -2 GBP 1.5 1.3 1.7 6.0 6 GOLD_micro -4.6 -5.0 -4.1 -1.0 -1 HEATOIL 0.2 0.1 0.4 0.0 0 JPY -3.2 -3.7 -2.8 -9.0 -9 LEANHOG -7.2 -7.5 -6.8 -8.0 -8 LIVECOW 3.1 2.9 3.4 0.0 0 MXP 3.4 3.1 3.6 0.0 0 NASDAQ 0.4 0.3 0.5 0.0 0 NIKKEI 46.3 42.0 50.6 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 -0.0 -0.1 -0.0 0.0 0 PLAT 0.9 0.8 1.0 0.0 0 REDWHEAT 0.2 0.2 0.3 0.0 0 ROBUSTA 2.5 2.3 2.7 2.0 2 RUSSELL 0.6 -1.4 2.6 -10.0 -10 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.5 1.1 2.0 0.0 0 SOYMEAL 1.4 1.0 1.9 1.0 1 SOYOIL 0.3 0.3 0.4 0.0 0 SP400 0.2 0.2 0.3 7.0 7 SP500 0.3 0.2 0.4 0.0 0 SUGAR11 1.0 0.8 1.1 0.0 0 US10 -0.1 -0.4 0.2 NaN 0 US10U -5.3 -6.1 -4.5 -3.0 -3 US20 -1.9 -2.2 -1.6 0.0 0 US30 0.5 0.2 0.7 0.0 0 US5 0.0 -0.3 0.4 0.0 0 VIX -23.0 -24.1 -21.8 -17.0 -17 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 -0.1 -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 0.1 -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 0.0 -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 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.0 0.1 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 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 0.1 0.0 0.0 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 0.0 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 1.7 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 2.4 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 2.1 -0.0 -0.0 -0.2 -0.3 CHF 0.2 0.2 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 -1.7 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 -0.0 0.0 -0.2 0.0 0.3 0.5 0.2 0.1 0.1 0.1 0.0 0.0 -0.0 0.0 1.5 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 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 0.3 2.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.4 -0.1 -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 2.2 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 -0.0 -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 -0.1 0.0 -0.0 -0.0 0.1 0.0 -0.1 0.0 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 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.1 0.2 0.1 0.4 -0.3 -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 0.0 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 -0.1 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 0.0 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 0.2 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 -0.1 0.0 -0.0 -0.1 -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 0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 0.2 0.0 0.1 0.0 0.2 1.7 0.6 0.3 0.3 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 0.2 0.1 0.3 GAS_US 0.1 -0.1 -0.3 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -1.6 -0.6 -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 0.3 -0.4 -0.1 -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 0.3 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 -0.5 -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 -0.3 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.3 -0.0 0.1 -0.0 -0.3 0.9 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 0.0 0.3 1.6 0.1 0.4 0.4 0.2 0.1 0.0 0.1 0.0 -3.3 2.6 0.1 0.0 0.0 0.0 0.0 0.0 1.4 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 0.0 0.3 NASDAQ 0.1 0.3 0.4 0.1 0.0 0.1 0.1 0.0 0.1 0.0 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 -0.4 0.2 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 0.0 0.0 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -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 0.2 -0.2 -0.3 PLAT 0.2 0.2 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.1 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 0.2 -0.0 -0.2 REDWHEAT 0.1 0.2 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 0.8 0.2 0.2 0.2 0.0 -0.1 -0.0 -0.1 0.0 -0.3 2.6 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.1 -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 0.8 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 0.9 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 -1.1 -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 -0.0 -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 0.0 -0.0 -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 0.3 0.5 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 1.0 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.5 -0.0 -0.2 -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 0.0 0.2 0.0 -0.1 0.1 0.2 -0.6 -0.3 -0.2 -0.2 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 -0.2 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 -0.4 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 0.1 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 -0.7 2.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -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 -1.6 0.0 0.0 0.1 -0.0 VIX -0.1 0.9 -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 -0.3 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN WHEAT 0.0 -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 7.2 -7.8 -0.2 3.6 0.6 2.2 3.0 -0.5 4.4 3.7 1.2 2.0 -4.8 -0.4 -9.6 -3.7 -3.0 -3.6 -3.4 -4.4 -4.4 2.9 -5.5 -0.6 11.1 11.7 -1.2 2.7 -2.1 3.1 -3.2 1.6 -0.9 5.6 -8.6 -18.6 -10.9 BITCOIN 5.9 12.7 20.0 4.2 1.2 2.8 3.8 1.9 5.1 -8.4 13.7 4.8 -8.3 14.0 15.1 -4.2 -2.0 -3.4 -2.5 17.7 13.2 1.9 -0.1 12.8 3.8 -18.1 5.3 -4.8 4.7 -1.0 1.4 2.8 0.6 -20.0 -20.0 -13.7 16.9 BOBL -7.0 20.0 17.0 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.4 -8.3 -13.9 -12.8 1.1 1.6 8.9 5.7 3.2 3.2 -2.2 -6.8 -11.6 -15.2 -6.1 11.3 10.8 1.9 -1.7 -1.1 -1.5 -6.5 1.0 9.2 -2.2 -6.4 -6.2 -5.7 BTP -7.4 9.0 8.0 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.4 5.1 -13.1 -8.7 3.3 6.1 7.4 11.8 8.4 10.3 1.9 1.3 -9.8 -9.5 -4.4 -10.3 11.4 3.7 -2.1 2.7 -1.8 -3.6 1.1 20.0 0.4 -4.2 -8.7 4.7 BUND -7.1 20.0 10.5 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.1 -8.9 -13.6 -13.1 0.0 -1.3 6.0 13.0 8.1 10.3 -3.2 -7.5 -11.7 -16.7 -6.9 8.5 12.3 1.9 -1.8 -0.9 -2.0 -6.8 0.6 20.0 -2.2 -6.7 -8.3 -4.1 BUXL -9.2 16.9 1.0 2.8 -1.6 1.0 -1.0 -2.6 1.8 -8.3 -10.2 -13.3 -13.5 -4.4 -6.8 1.8 0.9 2.3 2.5 -7.2 -10.7 -12.2 -18.7 -9.9 7.7 -10.8 0.1 -1.3 -2.0 -2.3 -6.5 -0.7 4.3 -1.1 -10.5 -12.8 -12.4 CAC 20.0 -9.8 14.0 3.6 1.2 2.6 4.3 1.3 4.8 12.3 15.3 15.5 12.5 15.4 14.8 18.9 3.1 8.1 3.7 18.4 19.5 18.5 17.6 20.0 -15.5 8.9 4.5 3.1 5.7 5.2 5.6 5.1 12.7 2.4 -7.2 -7.2 5.0 CAD 20.0 5.7 1.9 3.6 0.6 2.2 3.0 -0.5 4.4 -6.6 -5.5 8.5 -9.6 9.9 4.3 -2.8 -1.9 -2.6 -2.4 4.6 -3.2 4.4 -9.5 9.6 16.8 10.4 2.7 -2.9 -0.6 2.6 -3.1 5.0 0.9 -0.5 12.6 -4.4 -4.3 CANOLA 8.2 -14.6 -19.4 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -8.9 -9.7 -0.2 -12.2 -6.4 -9.4 20.0 16.3 20.0 18.1 -19.7 -20.0 -8.6 -12.9 -12.8 17.8 13.2 -5.5 -2.8 -5.2 -2.1 -3.0 -3.7 15.8 -17.8 -1.7 -20.0 -20.0 CHF 17.1 10.7 6.7 3.6 0.6 2.2 3.0 -0.5 4.4 5.9 12.9 9.4 6.1 12.6 10.8 -13.2 -13.9 -13.8 -14.2 14.1 10.0 13.5 4.8 17.2 -7.9 -11.5 5.3 2.4 3.3 5.1 0.9 6.7 -19.5 17.8 12.9 12.8 3.9 COCOA 8.7 10.2 17.6 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 10.8 15.0 14.1 7.5 15.6 15.3 3.9 -1.0 2.4 0.9 20.0 18.9 17.1 11.3 20.0 -20.0 -10.4 6.2 3.3 5.6 4.8 3.6 5.9 -12.4 20.0 20.0 20.0 20.0 COFFEE 18.0 9.6 18.6 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 5.8 -2.0 12.2 -6.2 10.0 11.4 6.9 3.8 4.7 4.1 12.7 3.1 20.0 -4.1 20.0 9.1 10.0 4.4 2.2 1.3 7.2 -0.8 7.2 -5.3 20.0 20.0 15.9 20.0 COPPER 0.4 -4.1 10.1 4.2 1.2 2.8 3.8 1.9 5.1 -4.4 9.2 3.0 -1.4 3.1 3.5 -0.7 -0.5 -0.8 -0.7 3.6 6.9 -0.2 3.9 1.9 2.1 11.1 0.7 -5.4 2.0 -0.0 2.1 1.2 3.0 -6.4 -20.0 -20.0 -8.8 CORN 8.2 -5.2 -20.0 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -2.9 -9.9 -1.0 -3.3 -8.2 -12.0 13.1 19.0 17.6 19.3 -10.7 -12.5 -0.4 -3.7 -4.1 14.4 11.0 -5.4 -2.0 -6.1 -1.4 -3.0 -3.1 20.0 -4.6 -4.0 -20.0 -20.0 COTTON2 9.9 1.1 -0.9 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -7.9 -9.2 7.2 -11.4 3.1 -2.3 -2.8 7.4 -2.7 0.4 -2.3 -7.9 -1.3 -9.8 1.1 12.2 12.0 -0.6 -7.9 -2.6 0.0 -1.3 1.6 -5.2 -3.1 11.2 5.9 -0.1 CRUDE_W 20.0 1.0 -4.9 -1.6 -12.4 -2.1 -5.6 0.9 -1.6 -12.6 3.0 8.1 -2.4 10.6 6.8 9.8 11.3 8.9 9.4 5.4 -0.1 0.3 1.5 9.4 -10.1 10.8 1.9 -6.5 0.4 0.0 1.8 3.3 -3.7 11.5 20.0 7.2 6.5 DAX 15.6 -10.5 13.5 3.6 1.2 2.6 4.3 1.3 4.8 4.7 15.3 14.5 8.5 14.8 14.5 -6.9 -5.8 -7.7 -7.4 13.4 15.6 11.2 12.2 13.4 -18.2 9.9 4.3 1.0 6.1 3.9 5.0 4.2 -3.7 -5.5 -13.3 -6.7 2.9 DOW 20.0 -0.9 -1.7 3.6 1.2 2.6 4.3 1.3 4.8 -2.8 7.8 12.9 1.8 11.9 3.6 -7.8 -5.2 -7.5 -6.9 6.8 2.3 11.0 1.2 14.3 -0.3 10.8 3.5 -1.3 2.2 3.5 1.6 5.3 -2.8 -9.5 -3.1 -2.2 -12.3 EUR 10.6 6.9 12.5 3.6 0.6 2.2 3.0 -0.5 4.4 0.3 12.5 6.7 0.1 11.4 8.8 -6.3 -8.4 -7.0 -7.8 11.8 10.2 6.1 2.1 11.4 -12.6 -11.1 5.4 0.4 4.1 3.5 0.3 5.8 -9.3 6.5 3.3 9.5 6.5 EUROSTX 17.7 -9.0 13.3 3.6 1.2 2.6 4.3 1.3 4.8 10.7 15.6 15.3 12.4 15.6 15.2 -3.0 4.8 2.1 4.1 16.0 18.0 13.1 15.5 16.0 -18.1 -8.5 4.7 2.0 6.4 4.3 6.0 4.8 15.3 -4.6 -12.1 -5.4 2.0 FEEDCOW 18.9 18.1 20.0 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 14.0 13.5 15.4 9.6 15.7 15.2 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 12.1 20.0 -20.0 12.2 6.4 5.5 5.2 5.6 3.3 6.4 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL 8.7 -7.8 -13.0 -1.6 -12.4 -2.1 -5.6 0.9 -1.6 -13.6 -12.3 -7.7 5.5 -8.3 -11.8 11.4 20.0 18.8 20.0 -8.8 -8.6 -12.3 3.0 -7.3 3.6 -15.4 -3.8 -11.5 -4.7 -5.9 -0.6 -3.0 20.0 -0.9 -4.0 -3.8 -9.6 GASOILINE 14.6 2.6 2.7 -1.6 -12.4 -2.1 -5.6 0.9 -1.6 -13.6 7.3 1.5 2.4 7.7 8.8 20.0 14.4 15.8 11.4 7.7 5.2 -8.6 7.5 5.4 -19.7 -13.1 3.1 -11.7 3.3 -4.0 5.7 1.7 -0.1 -5.0 13.1 10.4 20.0 GAS_US 5.3 -8.8 -20.0 -1.6 -12.4 -2.1 -5.6 0.9 -1.6 3.5 -16.6 -0.5 -14.4 -12.5 -15.6 -20.0 -13.1 -20.0 -18.6 -20.0 -20.0 -0.8 -20.0 -10.6 20.0 -9.3 -6.2 0.4 -6.9 -1.3 -3.7 -4.3 -20.0 20.0 -20.0 -10.7 -20.0 GBP 9.6 12.2 10.4 3.6 0.6 2.2 3.0 -0.5 4.4 -3.3 13.8 6.4 -0.6 12.6 11.4 -1.6 -1.9 -1.8 -2.0 11.7 8.3 4.3 -0.8 10.5 5.3 9.4 4.8 0.6 1.9 2.8 -2.8 5.3 1.2 -2.1 0.2 9.6 -0.7 GOLD_micro 6.1 15.9 13.2 4.2 1.2 2.8 3.8 1.9 5.1 -9.5 12.6 1.5 2.8 11.8 12.0 -11.0 -10.8 -11.6 -11.7 17.0 14.9 3.0 8.4 12.4 -2.7 -13.8 5.3 -0.3 4.4 1.5 2.6 4.4 -15.2 -12.3 -14.0 11.9 9.9 HEATOIL 9.0 -10.6 -14.2 -1.6 -12.4 -2.1 -5.6 0.9 -1.6 -14.0 -11.2 -4.8 4.5 -5.9 -10.8 10.7 20.0 20.0 20.0 -9.1 -9.7 -11.1 3.0 -6.1 -3.2 -13.6 -3.6 -10.9 -2.9 -5.8 3.5 -3.1 20.0 -2.7 -3.1 -7.6 -4.0 JPY -9.9 -0.4 1.4 3.6 0.6 2.2 3.0 -0.5 4.4 -11.0 5.0 -13.8 -6.6 -3.0 -6.2 -15.8 -13.1 -15.0 -14.4 -3.9 -0.8 -12.7 -8.0 -9.1 2.0 9.9 1.1 -4.1 0.9 -3.2 -5.1 -0.6 -19.0 -16.4 -20.0 -5.0 -7.7 LEANHOG -12.5 -20.0 -20.0 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -12.0 -14.9 -13.8 -11.8 -15.6 -16.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.6 -15.5 -20.0 20.0 -11.1 -6.3 -2.1 -5.5 -3.5 -3.4 -5.4 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 20.0 -2.6 7.8 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -1.6 13.2 13.2 10.1 13.7 12.6 20.0 2.1 20.0 20.0 15.1 11.6 13.8 8.2 18.5 -20.0 12.0 4.8 0.6 4.2 4.1 3.8 5.8 10.1 11.9 20.0 16.3 20.0 MXP 10.4 -7.7 6.8 3.6 0.6 2.2 3.0 -0.5 4.4 10.4 15.1 14.3 15.4 14.8 14.9 18.0 20.0 18.9 20.0 17.1 20.0 8.8 20.0 13.3 -20.0 9.7 5.7 1.1 8.0 2.4 8.6 3.8 20.0 2.5 2.6 2.3 19.2 NASDAQ 9.0 17.3 20.0 3.6 1.2 2.6 4.3 1.3 4.8 2.6 7.9 6.5 -6.8 12.5 14.4 -8.4 -5.7 -7.7 -7.0 18.9 13.6 4.6 -0.1 14.0 -2.9 10.2 5.9 -1.2 5.1 1.2 2.3 4.0 -3.2 -17.4 -16.9 16.8 17.5 NIKKEI 16.9 7.2 11.7 3.5 3.6 2.5 5.4 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 2.1 -2.4 12.3 -4.9 NZD 1.0 -3.8 0.8 3.6 0.6 2.2 3.0 -0.5 4.4 -12.5 7.1 -11.3 -1.4 -1.0 -7.3 1.1 0.6 0.8 0.6 -2.7 -0.8 -6.2 -2.8 -3.9 3.3 10.8 -0.5 -4.6 -0.1 -2.4 -2.0 -0.7 5.5 -15.2 -17.6 -10.2 -11.2 OAT -6.1 15.6 4.0 2.8 -1.6 1.0 -1.0 -2.6 1.8 -8.8 -8.2 -13.4 -12.9 0.8 -3.3 10.5 12.0 10.5 11.3 -3.7 -7.6 -10.9 -16.2 -6.8 5.8 12.7 1.5 -1.6 -1.1 -1.7 -7.2 0.6 20.0 -0.6 -4.9 -10.9 -5.3 OJ 20.0 20.0 -4.6 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 10.0 15.7 14.3 15.5 15.3 15.5 20.0 19.9 20.0 20.0 20.0 20.0 15.0 20.0 20.0 -20.0 -14.3 6.5 1.0 7.6 2.3 7.8 4.6 20.0 7.0 20.0 20.0 20.0 PALLAD 20.0 12.5 -20.0 4.2 1.2 2.8 3.8 1.9 5.1 12.0 -13.6 13.9 -14.2 9.9 -7.2 -2.9 -2.2 -2.8 -2.6 -3.6 -19.4 20.0 -20.0 15.1 20.0 -11.1 1.5 6.9 -2.8 9.1 -3.8 6.9 0.0 20.0 10.9 -14.9 -20.0 PLAT 20.0 11.2 -4.5 4.2 1.2 2.8 3.8 1.9 5.1 14.0 6.5 15.2 1.9 15.0 4.6 -2.6 -1.5 -2.3 -1.9 11.9 5.5 20.0 3.0 20.0 0.6 11.2 3.9 8.5 1.5 9.5 0.6 7.8 1.3 20.0 8.4 -1.9 -16.2 REDWHEAT 10.3 10.2 0.8 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -8.9 -7.5 0.8 -11.0 7.7 5.0 10.2 5.5 10.2 8.5 2.0 -4.3 -2.3 -5.6 3.9 -2.5 12.9 0.1 -8.4 -1.4 -2.6 -0.1 0.3 -0.4 -13.8 6.9 -2.8 1.7 ROBUSTA 20.0 16.9 20.0 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 6.8 10.6 14.5 5.8 15.5 15.6 13.1 10.0 11.3 10.8 20.0 20.0 20.0 11.4 20.0 -7.9 9.6 6.2 1.0 4.2 4.1 2.1 6.3 5.6 13.8 20.0 20.0 20.0 RUSSELL 6.9 -20.0 0.3 3.6 1.2 2.6 4.3 1.3 4.8 -0.4 -5.1 9.0 -9.1 -7.9 -10.2 -5.4 -4.3 -5.5 -5.3 -8.5 -7.0 2.0 -6.6 -3.2 7.0 10.0 -3.0 -1.2 -1.1 -0.7 -0.2 -2.4 -0.7 -11.4 -20.0 -20.0 -14.2 SILVER-mini 20.0 20.0 3.9 4.2 1.2 2.8 3.8 1.9 5.1 -3.9 10.9 9.9 1.5 13.9 11.8 -6.3 -5.0 -6.0 -5.7 20.0 12.6 13.8 5.1 20.0 -4.9 -11.3 4.5 0.4 2.3 3.1 0.5 5.6 -4.9 -7.4 10.7 4.3 -11.5 SOYBEAN 8.3 -16.9 -16.1 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -9.2 -4.8 3.8 -2.0 -4.3 -6.8 20.0 20.0 20.0 20.0 -12.0 -10.3 -3.7 -2.6 -7.3 -0.2 -11.7 -4.6 -2.1 -3.6 -1.3 -0.1 -2.9 20.0 -5.5 3.7 -20.0 -18.4 SOYMEAL -1.3 -16.3 5.7 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -7.6 10.1 5.0 12.1 -2.7 -0.5 20.0 19.5 20.0 20.0 0.7 10.5 -3.6 16.5 -2.8 -20.0 -12.0 -0.7 -5.4 4.3 -1.8 9.0 -1.7 20.0 4.6 -0.5 -6.6 11.8 SOYOIL 1.1 -17.2 -20.0 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -0.1 -11.7 -1.3 -4.6 -8.9 -11.4 3.3 11.8 2.7 6.1 -18.5 -17.7 -3.6 -7.3 -11.5 6.8 12.9 -5.7 -0.4 -5.4 -1.0 -1.9 -3.5 3.5 -2.2 -9.5 -20.0 -20.0 SP400 10.4 -20.0 0.7 3.6 1.2 2.6 4.3 1.3 4.8 1.3 1.5 11.5 -1.6 -3.1 -6.5 -4.7 -4.1 -5.1 -4.8 -5.0 -2.7 4.2 -0.5 0.2 3.3 10.2 -2.5 -0.8 -0.6 -0.3 0.9 -1.7 -0.0 -11.4 -20.0 -20.0 -15.2 SP500 19.9 4.5 9.4 3.6 1.2 2.6 4.3 1.3 4.8 1.3 7.0 13.0 -5.1 13.4 9.8 -8.4 -6.0 -7.8 -7.2 10.7 5.4 9.2 -1.1 13.8 2.1 10.2 5.0 -1.4 3.5 3.1 1.1 5.4 -3.5 -10.8 -7.3 2.9 -0.7 SUGAR11 20.0 20.0 18.3 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 13.4 15.9 15.5 13.4 16.1 16.3 11.4 20.0 20.0 20.0 20.0 20.0 20.0 18.0 20.0 -20.0 -10.5 6.3 5.6 5.2 6.3 4.1 7.1 20.0 20.0 20.0 20.0 20.0 US10 2.1 20.0 11.6 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.8 0.9 -10.3 -10.3 8.1 8.3 -9.5 -4.9 -8.9 -8.0 5.8 0.6 -6.8 -10.1 1.8 -2.3 9.7 4.0 -1.4 2.0 -0.4 -2.2 2.8 -10.0 1.2 1.8 7.4 1.3 US10U 1.6 20.0 10.6 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.3 0.8 -10.3 -10.3 7.2 7.8 -4.6 1.5 -1.7 -0.6 4.9 0.2 -7.5 -10.6 0.8 -4.8 -14.1 4.2 -1.6 2.6 -0.8 -1.6 2.5 2.0 -0.8 1.2 5.2 3.9 US20 2.0 19.5 10.7 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.4 2.8 -10.6 -8.7 7.5 8.2 -1.1 -1.5 -2.5 -2.8 5.2 0.7 -8.1 -10.2 0.6 -2.3 -12.3 3.9 -2.0 2.1 -1.3 -2.0 2.2 -2.5 -4.1 0.6 3.4 -0.1 US30 -0.0 12.1 8.0 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.2 2.0 -10.7 -10.3 4.2 3.3 -1.1 -0.6 -1.0 -1.0 1.5 -1.9 -9.0 -13.5 -2.5 -5.9 10.0 3.6 -2.6 2.4 -2.1 -2.7 1.4 -0.2 -3.0 -1.4 -3.2 -0.2 US5 1.9 20.0 14.8 2.8 -1.6 1.0 -1.0 -2.6 1.8 -9.2 0.3 -10.0 -10.6 8.2 8.4 -9.1 -5.3 -9.4 -8.7 5.6 0.5 -6.8 -9.9 1.8 -0.2 10.8 3.7 -1.2 1.5 -0.3 -2.9 2.7 -11.1 1.7 1.1 8.0 -1.0 VIX -12.2 17.7 -0.2 -3.6 -1.1 -6.1 -3.2 -7.2 -2.9 -5.4 -13.3 -13.9 -13.5 -12.1 -11.0 -20.0 -20.0 -20.0 -20.0 -9.2 -12.2 -10.3 -14.4 -10.7 NaN -13.5 -4.2 -0.8 -7.9 -3.5 -9.8 -3.5 NaN NaN NaN NaN NaN WHEAT 3.6 -0.5 -7.2 -2.8 -3.6 -3.6 -1.0 -2.7 -1.6 -5.9 -14.0 -4.2 -14.8 -9.7 -11.4 -12.6 -8.7 -12.0 -10.6 -12.9 -17.7 -5.5 -16.0 -7.8 8.4 11.9 -5.0 -4.5 -5.4 -2.6 -3.1 -3.6 -20.0 -8.7 -5.0 -20.0 -11.9 End of report for caleb_strategy_v1