******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230421_204644 produced at 2023-04-21 21:37:18.935811 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.26 0.0 4.771421e+07 -4.771421e+07 -0.14 -0.14 -5.45 999999999.0 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.21 0.0 9.060806e+06 -9.060806e+06 -0.15 -0.15 -23.34 999999999.0 -17 -17 caleb_strategy_v1 JPY False False 0.04 -0.34 -0.12 0.0 3.725439e+07 -3.725439e+07 -0.34 -0.34 -3.33 999999999.0 -9 -9 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.586175e+07 -5.586175e+07 -0.11 -0.11 -2.18 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.10 0.0 5.152466e+07 -5.152466e+07 0.00 0.00 -1.92 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.10 0.0 5.457549e+07 -5.457549e+07 -0.16 -0.16 -1.80 999999999.0 -3 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.11 -0.10 0.0 1.409282e+07 -1.409282e+07 -0.11 -0.11 -7.16 999999999.0 -8 -8 caleb_strategy_v1 FEEDCOW False False 0.05 -0.09 -0.05 0.0 4.554691e+07 -4.554691e+07 -0.09 -0.09 -1.15 999999999.0 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 7.894995e+06 -7.894995e+06 -0.01 -0.01 -4.68 999999999.0 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.891663e+07 -5.891663e+07 0.00 0.00 -0.76 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.182068e+07 -1.182068e+07 -0.06 -0.06 -1.77 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.506839e+07 -2.506839e+07 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.04 -0.01 0.0 4.216070e+07 -4.216070e+07 0.04 0.04 -0.17 999999999.0 1 1 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.023851e+07 -1.023851e+07 -0.02 -0.02 -0.95 999999999.0 -2 -2 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.539077e+07 -4.539077e+07 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.096020e+06 -1.096020e+06 -0.02 -0.02 -5.76 999999999.0 -14 -15 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.627277e+07 -1.627277e+07 0.00 0.00 0.21 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.370321e+07 -6.370321e+07 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.614291e+07 -1.614291e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.263596e+07 -1.263596e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.00 0.0 4.331206e+07 -4.331206e+07 0.00 -0.04 -0.00 999999999.0 0 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.04 0.00 0.0 3.566428e+06 -3.566428e+06 -0.04 -0.02 0.95 999999999.0 -10 -5 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.386383e+07 -1.386383e+07 -0.03 -0.03 -0.32 999999999.0 -2 -2 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.080096e+07 -1.080096e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.656382e+07 -2.656382e+07 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.124970e+07 -4.124970e+07 0.00 0.00 0.17 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.01 0.0 1.893469e+07 -1.893469e+07 0.02 0.02 0.28 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.848354e+07 -2.848354e+07 0.03 0.03 0.41 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 6.967932e+06 -6.967932e+06 0.00 0.00 1.83 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 2.857029e+07 -2.857029e+07 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.01 0.0 1.590102e+07 -1.590102e+07 0.03 0.03 0.84 999999999.0 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.02 0.0 1.724527e+07 -1.724527e+07 0.02 0.02 1.26 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.957411e+07 -3.957411e+07 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.085512e+07 -1.085512e+07 0.05 0.05 2.05 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.259650e+07 -2.259650e+07 0.00 0.00 0.96 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.453375e+06 -9.453375e+06 0.02 0.02 2.59 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.431548e+07 -2.431548e+07 0.00 0.00 0.82 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.720659e+06 -6.720659e+06 0.00 0.00 3.08 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.03 0.0 4.297695e+06 -4.297695e+06 0.00 0.00 5.94 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.515542e+07 -5.515542e+07 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.227588e+07 -8.227588e+07 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.70 0.03 0.0 9.946663e+07 -9.946663e+07 0.70 0.70 0.25 999999999.0 7 7 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.04 0.0 1.036719e+08 -1.036719e+08 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.088685e+07 -1.088685e+07 0.00 0.00 3.42 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.04 0.0 2.549715e+07 -2.549715e+07 0.00 0.00 1.43 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.10 0.05 0.0 4.927976e+07 -4.927976e+07 0.10 0.10 1.08 999999999.0 2 2 caleb_strategy_v1 GBP False False 0.03 0.19 0.05 0.0 3.084044e+07 -3.084044e+07 0.19 0.19 1.49 999999999.0 6 6 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.929991e+07 -2.929991e+07 0.00 0.00 2.05 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.07 0.0 3.269234e+07 -3.269234e+07 0.00 0.00 2.26 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.570869e+07 -5.570869e+07 0.00 0.00 1.33 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.07 0.0 2.977575e+07 -2.977575e+07 0.12 0.12 2.39 999999999.0 4 4 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.09 0.0 2.607609e+07 -2.607609e+07 0.00 0.00 3.38 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 4.69 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.26 0.0 5.809943e+07 -5.809943e+07 0.35 0.35 4.41 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.36 0.0 5.077071e+07 -5.077071e+07 0.00 0.00 7.11 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.42 0.0 0.000000e+00 0.000000e+00 0.00 0.00 49.08 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 17.9 Shocked risk 53.6 Sum abs risk 48.1 Leverage 3.34 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2521850.78, 'annual_cash_vol_target': 630462.695, 'daily_cash_vol_target': 39403.9184375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0050 0.6699 0.7483 11.9727 BITCOIN 965.6186 27640.0000 3.4936 55.8969 BOBL 0.4482 116.8000 0.3837 6.1393 BTP 0.6938 113.3700 0.6120 9.7923 BUND 0.8204 133.6600 0.6138 9.8202 BUXL 1.8587 135.5400 1.3713 21.9408 CAC 62.3705 7521.0000 0.8293 13.2686 CAD 0.0032 0.7389 0.4331 6.9290 CANOLA 8.2045 731.9000 1.1210 17.9359 CHF 0.0057 1.1270 0.5102 8.1625 COCOA 33.6170 2981.0000 1.1277 18.0433 COFFEE 3.8484 191.5500 2.0091 32.1456 COPPER 0.0444 3.9920 1.1132 17.8116 CORN 5.3030 547.5000 0.9686 15.4974 COTTON2 1.4387 80.2000 1.7939 28.7030 CRUDE_W 1.2755 75.0900 1.6987 27.1786 DAX 137.1981 16030.0000 0.8559 13.6941 DOW 225.6702 33897.0000 0.6658 10.6520 EUR 0.0055 1.1010 0.5036 8.0572 EUROSTX 40.6994 4356.0000 0.9343 14.9493 FEEDCOW 1.3153 229.7250 0.5725 9.1607 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.1302 720.5000 1.9612 31.3786 GASOILINE 0.0451 2.5315 1.7822 28.5154 GAS_US 0.1124 2.5820 4.3546 69.6738 GBP 0.0069 1.2444 0.5564 8.9025 GOLD_micro 18.8207 1991.0000 0.9453 15.1246 HEATOIL 0.0397 2.4768 1.6021 25.6343 JPY 0.0000 0.0075 0.6275 10.0394 LEANHOG 1.2589 88.8500 1.4169 22.6700 LIVECOW 0.9933 164.4000 0.6042 9.6673 MXP 0.0004 0.0549 0.7057 11.2913 NASDAQ 116.9328 13072.2500 0.8945 14.3122 NIKKEI 230.8950 28650.0000 0.8059 12.8947 NZD 0.0047 0.6132 0.7621 12.1938 OAT 0.7539 128.1600 0.5883 9.4125 OJ 3.9954 271.4000 1.4721 23.5543 PALLAD 30.3517 1606.5000 1.8893 30.2289 PLAT 17.0904 1139.7000 1.4996 23.9929 REDWHEAT 12.7628 820.7500 1.5550 24.8802 ROBUSTA 26.7919 2384.0000 1.1238 17.9812 RUSSELL 19.9179 1798.8000 1.1073 17.7166 SILVER-mini 0.3651 25.2875 1.4438 23.1008 SOYBEAN 10.7770 1286.0000 0.8380 13.4084 SOYMEAL 4.9923 434.9000 1.1479 18.3668 SOYOIL 0.7903 53.1100 1.4881 23.8097 SP400 24.2582 2508.4000 0.9671 15.4733 SP500 29.7965 4149.7500 0.7180 11.4885 SUGAR11 0.3331 24.3200 1.3695 21.9121 US10 0.5377 114.4688 0.4697 7.5157 US10U 0.6984 120.3281 0.5804 9.2868 US20 0.9563 129.9375 0.7360 11.7757 US30 1.3740 139.0938 0.9878 15.8051 US5 0.4023 109.2266 0.3683 5.8934 VIX 0.6363 22.8500 2.7848 44.5566 WHEAT 10.2557 699.2500 1.4667 23.4668 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.90 0.75 501.28 1.00 501.28 39403.92 78.61 3.68 28.91 BITCOIN 27.64 3.49 96.56 1.00 96.56 39403.92 408.07 -5.99 -244.50 BOBL 1168.00 0.38 448.17 1.10 491.30 39403.92 80.20 12.29 98.55 BTP 1133.70 0.61 693.84 1.10 760.62 39403.92 51.80 10.36 53.67 BUND 1336.60 0.61 820.35 1.10 899.31 39403.92 43.82 13.95 61.14 BUXL 1355.40 1.37 1858.66 1.10 2037.55 39403.92 19.34 -4.68 -9.04 CAC 752.10 0.83 623.70 1.10 683.74 39403.92 57.63 13.94 80.37 CAD 738.90 0.43 319.99 1.00 319.99 39403.92 123.14 9.35 115.09 CANOLA 146.38 1.12 164.09 0.74 121.87 39403.92 323.32 20.00 646.64 CHF 1408.75 0.51 718.69 1.00 718.69 39403.92 54.83 -10.61 -58.17 COCOA 298.10 1.13 336.17 1.00 336.17 39403.92 117.21 -6.93 -81.24 COFFEE 718.31 2.01 1443.16 1.00 1443.16 39403.92 27.30 11.54 31.51 COPPER 998.00 1.11 1111.00 1.00 1111.00 39403.92 35.47 5.32 18.85 CORN 273.75 0.97 265.15 1.00 265.15 39403.92 148.61 15.30 227.45 COTTON2 401.00 1.79 719.37 1.00 719.37 39403.92 54.78 10.14 55.56 CRUDE_W 750.90 1.70 1275.53 1.00 1275.53 39403.92 30.89 5.86 18.11 DAX 160.30 0.86 137.20 1.10 150.40 39403.92 261.99 1.29 33.78 DOW 169.48 0.67 112.84 1.00 112.84 39403.92 349.22 3.09 108.06 EUR 1376.31 0.50 693.08 1.00 693.08 39403.92 56.85 -8.47 -48.17 EUROSTX 435.60 0.93 406.99 1.10 446.17 39403.92 88.32 1.14 10.11 FEEDCOW 1148.62 0.57 657.63 1.00 657.63 39403.92 59.92 -7.14 -42.80 FTSE100 707.00 0.82 576.59 1.24 666.67 39403.92 59.11 7.70 45.50 GASOIL 720.50 1.96 1413.02 1.00 1413.02 39403.92 27.89 1.50 4.20 GASOILINE 1063.23 1.78 1894.90 1.00 1894.90 39403.92 20.79 -2.01 -4.18 GAS_US 258.20 4.35 1124.36 1.00 1124.36 39403.92 35.05 -17.95 -62.89 GBP 777.75 0.56 432.75 1.00 432.75 39403.92 91.06 9.19 83.71 GOLD_micro 199.10 0.95 188.21 1.00 188.21 39403.92 209.36 -9.99 -209.23 HEATOIL 1040.26 1.60 1666.64 1.00 1666.64 39403.92 23.64 1.01 2.39 JPY 939.50 0.63 589.50 1.00 589.50 39403.92 66.84 -7.71 -51.50 LEANHOG 355.40 1.42 503.56 1.00 503.56 39403.92 78.25 -19.59 -153.31 LIVECOW 657.60 0.60 397.32 1.00 397.32 39403.92 99.17 12.69 125.87 MXP 274.55 0.71 193.75 1.00 193.75 39403.92 203.37 13.72 278.95 NASDAQ 2614.45 0.89 2338.66 1.00 2338.66 39403.92 16.85 4.26 7.18 NIKKEI 28650.00 0.81 23089.50 0.01 171.65 39403.92 229.56 11.26 258.39 NZD 613.20 0.76 467.33 1.00 467.33 39403.92 84.32 6.06 51.13 OAT 1281.60 0.59 753.94 1.10 826.51 39403.92 47.68 13.85 66.04 OJ 407.10 1.47 599.31 1.00 599.31 39403.92 65.75 -2.43 -15.99 PALLAD 1606.50 1.89 3035.17 1.00 3035.17 39403.92 12.98 -0.69 -0.89 PLAT 569.85 1.50 854.52 1.00 854.52 39403.92 46.11 8.65 39.88 REDWHEAT 410.38 1.56 638.14 1.00 638.14 39403.92 61.75 6.31 38.98 ROBUSTA 238.40 1.12 267.92 1.00 267.92 39403.92 147.07 13.56 199.44 RUSSELL 89.94 1.11 99.59 1.00 99.59 39403.92 395.66 0.47 18.40 SILVER-mini 632.19 1.44 912.75 1.00 912.75 39403.92 43.17 -5.30 -22.90 SOYBEAN 643.00 0.84 538.85 1.00 538.85 39403.92 73.13 3.31 24.21 SOYMEAL 434.90 1.15 499.23 1.00 499.23 39403.92 78.93 2.71 21.36 SOYOIL 318.66 1.49 474.20 1.00 474.20 39403.92 83.10 4.69 38.96 SP400 2508.40 0.97 2425.82 1.00 2425.82 39403.92 16.24 3.02 4.91 SP500 2074.88 0.72 1489.82 1.00 1489.82 39403.92 26.45 4.08 10.79 SUGAR11 272.38 1.37 373.03 1.00 373.03 39403.92 105.63 6.40 67.55 US10 1144.69 0.47 537.69 1.00 537.69 39403.92 73.28 -0.55 -4.01 US10U 1203.28 0.58 698.41 1.00 698.41 39403.92 56.42 -6.63 -37.40 US20 1299.38 0.74 956.32 1.00 956.32 39403.92 41.20 -6.33 -26.07 US30 1390.94 0.99 1373.99 1.00 1373.99 39403.92 28.68 2.02 5.79 US5 1092.27 0.37 402.32 1.00 402.32 39403.92 97.94 -0.01 -0.06 VIX 228.50 2.78 636.32 1.00 636.32 39403.92 61.92 -20.00 -123.85 WHEAT 349.62 1.47 512.79 1.00 512.79 39403.92 76.84 -7.68 -59.04 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 28.913 0.006 2.5 0.462 BITCOIN -244.503 0.009 2.5 -5.761 BOBL 98.550 0.029 2.5 7.111 BTP 53.665 0.008 2.5 1.084 BUND 61.138 0.029 2.5 4.412 BUXL -9.043 0.034 2.5 -0.759 CAC 80.365 0.011 2.5 2.259 CAD 115.093 0.007 2.5 2.055 CANOLA 646.635 0.004 2.5 5.936 CHF -58.169 0.015 2.5 -2.177 COCOA -81.240 0.009 2.5 -1.770 COFFEE 31.511 0.005 2.5 0.409 COPPER 18.852 0.011 2.5 0.515 CORN 227.446 0.004 2.5 2.052 COTTON2 55.561 0.006 2.5 0.837 CRUDE_W 18.110 0.053 2.5 2.393 DAX 33.781 0.022 2.5 1.835 DOW 108.060 0.011 2.5 3.079 EUR -48.167 0.015 2.5 -1.803 EUROSTX 10.110 0.011 2.5 0.284 FEEDCOW -42.800 0.011 2.5 -1.150 FTSE100 45.498 0.041 2.5 4.690 GASOIL 4.196 0.029 2.5 0.299 GASOILINE -4.182 0.016 2.5 -0.172 GAS_US -62.891 0.006 2.5 -0.947 GBP 83.707 0.007 2.5 1.495 GOLD_micro -209.232 0.009 2.5 -4.681 HEATOIL 2.393 0.029 2.5 0.171 JPY -51.504 0.026 2.5 -3.334 LEANHOG -153.315 0.019 2.5 -7.163 LIVECOW 125.870 0.011 2.5 3.382 MXP 278.953 0.005 2.5 3.415 NASDAQ 7.182 0.022 2.5 0.390 NIKKEI 258.386 0.076 2.5 49.076 NZD 51.129 0.006 2.5 0.817 OAT 66.039 0.008 2.5 1.334 OJ -15.989 0.007 2.5 -0.279 PALLAD -0.890 0.010 2.5 -0.021 PLAT 39.875 0.010 2.5 0.960 REDWHEAT 38.978 0.002 2.5 0.208 ROBUSTA 199.442 0.005 2.5 2.586 RUSSELL 18.399 0.021 2.5 0.953 SILVER-mini -22.895 0.009 2.5 -0.512 SOYBEAN 24.211 0.024 2.5 1.427 SOYMEAL 21.356 0.024 2.5 1.259 SOYOIL 38.964 0.004 2.5 0.358 SP400 4.911 0.021 2.5 0.254 SP500 10.787 0.011 2.5 0.307 SUGAR11 67.554 0.005 2.5 0.917 US10 -4.011 0.015 2.5 -0.154 US10U -37.403 0.058 2.5 -5.450 US20 -26.075 0.029 2.5 -1.922 US30 5.788 0.034 2.5 0.486 US5 -0.063 0.015 2.5 -0.002 VIX -123.849 0.075 2.5 -23.339 WHEAT -59.044 0.002 2.5 -0.315 ==================== Position diags ==================== AUD 1.26 BITCOIN 9.61 BOBL 5.79 BTP 1.05 BUND 3.16 BUXL 1.62 CAC 1.62 CAD 2.20 CANOLA 2.97 CHF 2.05 COCOA 2.55 COFFEE 0.35 COPPER 0.97 CORN 1.34 COTTON2 0.82 CRUDE_W 4.08 DAX 14.23 DOW 9.95 EUR 2.13 EUROSTX 2.48 FEEDCOW 1.61 FTSE100 6.09 GASOIL 1.99 GASOILINE 0.85 GAS_US 0.53 GBP 1.63 GOLD_micro 4.68 HEATOIL 1.69 JPY 4.33 LEANHOG 3.66 LIVECOW 2.66 MXP 2.49 NASDAQ 0.92 NIKKEI 43.60 NZD 1.35 OAT 0.96 OJ 1.15 PALLAD 0.31 PLAT 1.11 REDWHEAT 0.33 ROBUSTA 1.91 RUSSELL 20.49 SILVER-mini 0.97 SOYBEAN 4.31 SOYMEAL 4.65 SOYOIL 0.76 SP400 0.84 SP500 0.75 SUGAR11 1.43 US10 2.81 US10U 8.22 US20 3.04 US30 2.41 US5 3.76 VIX 11.67 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.3 0.6 0.0 0 BITCOIN -5.8 -6.7 -4.8 -14.0 -14 BOBL 7.1 6.5 7.7 0.0 0 BTP 1.1 1.0 1.2 2.0 2 BUND 4.4 4.1 4.7 6.0 6 BUXL -0.8 -0.9 -0.6 0.0 0 CAC 2.3 2.1 2.4 0.0 0 CAD 2.1 1.8 2.3 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 -2.0 -1.5 -5.0 -5 COFFEE 0.4 0.4 0.4 1.0 1 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.1 1.9 2.2 5.0 5 COTTON2 0.8 0.8 0.9 2.0 2 CRUDE_W 2.4 2.0 2.8 4.0 4 DAX 1.8 0.4 3.3 0.0 0 DOW 3.1 2.1 4.1 0.0 0 EUR -1.8 -2.0 -1.6 -3.0 -3 EUROSTX 0.3 0.0 0.5 1.0 1 FEEDCOW -1.2 -1.3 -1.0 -2.0 -2 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL 0.3 0.1 0.5 0.0 0 GASOILINE -0.2 -0.3 -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 -4.7 -5.1 -4.2 -1.0 -1 HEATOIL 0.2 0.0 0.3 0.0 0 JPY -3.3 -3.8 -2.9 -9.0 -9 LEANHOG -7.2 -7.5 -6.8 -8.0 -8 LIVECOW 3.4 3.1 3.6 0.0 0 MXP 3.4 3.2 3.7 0.0 0 NASDAQ 0.4 0.3 0.5 0.0 0 NIKKEI 49.1 44.7 53.4 0.0 0 NZD 0.8 0.7 1.0 0.0 0 OAT 1.3 1.2 1.4 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 1.0 0.8 1.1 0.0 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 2.6 2.4 2.8 2.0 2 RUSSELL 1.0 -1.1 3.0 -10.0 -10 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.4 1.0 1.9 0.0 0 SOYMEAL 1.3 0.8 1.7 1.0 1 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 0.3 0.2 0.3 7.0 7 SP500 0.3 0.2 0.4 0.0 0 SUGAR11 0.9 0.8 1.1 0.0 0 US10 -0.2 -0.4 0.1 NaN 0 US10U -5.4 -6.3 -4.6 -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 -0.4 0.4 0.0 0 VIX -23.3 -24.5 -22.2 -17.0 -17 WHEAT -0.3 -0.4 -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 0.0 -0.2 -0.3 -0.2 BITCOIN 0.0 0.2 0.3 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.3 -0.0 -0.2 0.0 0.3 -0.2 -0.0 -0.0 -0.0 0.2 0.2 -0.0 0.0 0.0 0.9 -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 0.8 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 0.2 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.3 -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 -0.1 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 0.3 0.0 0.2 0.0 -1.7 1.7 0.1 0.0 0.1 0.0 0.1 0.0 1.7 0.1 -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 0.0 -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 -0.1 0.2 -0.1 -0.1 CANOLA 0.0 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 1.4 0.6 0.4 0.3 -0.2 -0.2 -0.0 -0.1 -0.0 4.0 3.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 2.3 -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 0.2 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.4 0.0 0.2 0.1 0.4 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 -1.6 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 -0.1 0.0 0.3 0.5 0.2 0.1 0.1 0.1 0.0 0.0 -0.0 0.0 1.4 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 1.0 0.8 0.4 0.4 -0.1 -0.1 -0.0 -0.0 -0.0 2.3 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.2 -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 0.1 -0.0 CRUDE_W 0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 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 -0.2 -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 0.1 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 0.2 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 -0.1 -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 -0.2 0.0 -0.0 -0.0 -0.3 -0.0 0.1 -0.0 -0.3 0.9 0.9 0.4 0.4 -0.1 -0.1 -0.0 0.0 -0.0 0.4 -3.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.1 -0.1 -0.1 GASOILINE 0.1 0.0 0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.0 0.2 -0.0 0.1 0.0 0.2 1.7 0.6 0.4 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 -0.2 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 0.7 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 0.0 0.3 0.2 0.1 -0.0 0.1 0.1 0.0 0.1 -0.0 0.3 -0.0 0.1 0.0 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 0.1 0.1 HEATOIL 0.1 -0.2 -0.3 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.1 -0.3 -0.0 0.1 -0.0 -0.3 0.8 0.9 0.4 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 -0.2 -1.1 -0.5 -0.3 -0.3 -0.1 -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 1.7 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 0.4 0.0 0.4 0.1 0.3 1.4 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 0.2 -0.0 0.2 -0.1 NZD -0.0 -0.0 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.0 0.2 -0.0 -0.0 -0.0 -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 -0.4 -0.2 -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 -0.1 -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 -0.2 -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 -0.1 -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 0.3 -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 0.2 0.1 0.0 0.0 0.0 0.0 2.5 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.3 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 0.0 -0.0 0.0 ROBUSTA 0.2 0.3 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 -1.4 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 -0.1 -0.4 -0.3 -0.2 SILVER-mini 0.2 0.3 0.1 0.1 -0.0 0.1 0.0 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 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.3 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 0.0 -0.0 0.1 -0.0 2.7 -0.0 0.0 -0.1 0.2 SOYOIL 0.0 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.1 -0.0 -0.3 0.3 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 -0.1 -0.1 -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 0.6 2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.4 -0.3 -0.2 SP500 0.2 0.1 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.3 -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 -0.6 -2.9 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 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 -0.4 -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 0.1 -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 -0.1 -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 -0.8 -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 -0.3 -0.0 -0.0 -0.4 -0.0 -0.5 -0.1 -0.4 -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 -0.2 -0.2 -0.0 -0.2 -0.0 1.3 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.2 -0.3 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 6.5 -6.6 -0.6 3.7 0.6 2.3 2.8 -0.5 4.3 -2.9 1.1 -1.1 -4.9 -0.5 -9.7 -3.9 -3.0 -3.7 -3.5 -4.5 -4.4 -0.0 -5.4 -1.4 11.3 11.7 -1.3 -1.8 -2.2 1.2 -3.3 1.0 -1.0 1.4 -9.6 -18.7 -11.2 BITCOIN 3.4 12.8 20.0 4.2 -0.5 2.9 2.8 1.9 4.7 -12.2 13.6 -1.0 -8.2 12.7 14.6 -4.1 -2.0 -3.4 -2.5 16.5 13.1 -3.3 0.0 9.7 4.2 -18.1 4.9 -6.8 4.7 -2.8 1.5 1.7 0.6 -20.0 -20.0 -16.2 16.3 BOBL -7.6 20.0 17.1 2.7 -1.8 1.0 -1.1 -2.6 1.5 -10.2 -8.3 -13.8 -12.8 0.5 1.2 9.4 5.8 3.8 3.5 -2.9 -7.2 -11.4 -15.5 -6.9 11.1 10.8 1.7 -1.9 -1.2 -1.7 -6.6 0.7 9.5 -2.1 -6.8 -6.4 -5.5 BTP -8.1 8.3 7.8 2.7 -1.8 1.0 -1.1 -2.6 1.5 -12.4 5.1 -14.1 -8.7 2.4 5.5 7.4 11.7 8.4 10.3 1.2 1.0 -10.4 -9.7 -5.4 -10.4 11.4 3.3 -3.0 2.6 -2.3 -3.6 0.5 20.0 -1.0 -4.0 -9.7 4.6 BUND -7.8 20.0 10.4 2.7 -1.8 1.0 -1.1 -2.6 1.5 -10.8 -8.9 -13.8 -13.1 -0.7 -1.7 6.1 12.9 8.1 10.3 -3.9 -7.9 -11.6 -17.1 -7.7 8.3 12.3 1.7 -2.3 -0.9 -2.2 -6.9 0.2 20.0 -2.7 -6.8 -9.0 -3.9 BUXL -9.6 15.4 1.0 2.7 -1.8 1.0 -1.1 -2.6 1.5 -10.8 -10.4 -13.7 -13.5 -5.2 -7.1 1.8 0.9 2.3 2.5 -7.9 -11.1 -12.2 -19.1 -10.5 7.6 -10.8 -0.1 -2.3 -2.1 -2.5 -6.5 -1.0 4.2 -2.0 -9.8 -13.8 -12.0 CAC 20.0 -9.2 14.1 3.7 1.3 2.6 4.0 1.3 4.8 13.6 15.4 15.7 12.6 15.7 15.0 18.9 3.3 8.6 4.0 19.5 20.0 19.6 18.1 20.0 -15.5 8.9 4.8 4.6 5.7 5.7 5.5 5.4 13.1 8.2 -3.8 -6.4 5.4 CAD 17.5 7.0 2.4 3.7 0.6 2.3 2.8 -0.5 4.3 -11.6 -5.5 3.7 -9.6 8.4 3.9 -2.8 -1.9 -2.7 -2.4 3.7 -3.2 -1.8 -9.3 6.4 17.1 10.4 2.4 -6.3 -0.6 0.0 -3.2 3.8 1.0 -8.6 9.1 -5.9 -4.5 CANOLA 7.6 -14.6 -19.5 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -9.4 -9.9 -4.1 -12.3 -6.8 -9.6 20.0 16.6 20.0 18.6 -20.0 -20.0 -10.1 -13.3 -13.6 17.8 13.2 -5.6 -2.5 -5.3 -2.3 -3.1 -3.8 16.9 -18.1 -1.5 -20.0 -20.0 CHF 17.2 12.3 6.9 3.7 0.6 2.3 2.8 -0.5 4.3 7.6 13.1 10.3 6.4 13.0 11.2 -13.1 -13.8 -13.7 -14.1 14.7 10.5 13.8 5.0 17.5 -7.9 -11.5 5.4 2.5 3.4 4.9 1.0 6.6 -19.4 18.4 13.2 14.1 4.4 COCOA 8.1 11.4 18.1 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 12.9 15.1 14.6 7.7 15.8 15.5 3.8 -1.0 2.4 1.0 20.0 19.6 17.8 11.7 20.0 -20.0 -10.4 6.2 3.7 5.6 4.8 3.7 5.9 -11.9 20.0 20.0 20.0 20.0 COFFEE 19.3 10.0 19.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 1.6 -1.8 9.7 -6.1 9.1 11.3 7.0 3.8 4.8 4.2 12.6 3.3 14.6 -4.0 18.1 8.8 10.0 4.4 -0.8 1.4 5.0 -0.8 6.5 -4.8 20.0 20.0 15.9 20.0 COPPER -1.7 -4.0 9.3 4.2 -0.5 2.9 2.8 1.9 4.7 -10.7 9.1 -2.1 -1.4 2.0 3.0 -0.8 -0.5 -0.8 -0.8 2.8 6.7 -4.6 3.9 -0.1 2.3 11.1 0.2 -8.8 1.9 -2.8 2.1 -0.2 3.1 -9.1 -20.0 -20.0 -9.3 CORN 6.5 -4.1 -20.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -10.6 -10.3 -6.3 -3.4 -10.0 -12.5 12.4 18.9 17.2 19.1 -11.2 -12.2 -8.7 -3.8 -7.2 14.9 11.0 -5.6 -7.2 -6.1 -4.0 -3.0 -4.0 20.0 -16.0 -9.6 -20.0 -20.0 COTTON2 7.2 1.1 -1.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -11.6 -9.2 -0.2 -11.4 1.4 -2.9 -2.9 7.3 -2.8 0.3 -3.1 -8.1 -5.8 -9.9 -1.2 12.1 12.0 -1.1 -10.0 -2.7 -3.0 -1.4 0.1 -4.9 -10.2 11.9 3.6 -0.5 CRUDE_W 20.0 1.3 -5.3 -2.0 -11.1 -2.2 -6.9 0.8 -2.7 -9.9 3.1 5.3 -2.5 9.8 6.7 9.8 11.3 8.9 9.4 4.8 -0.1 -2.0 1.5 7.3 -10.2 10.8 1.8 -5.1 0.4 -0.8 1.9 2.6 -3.9 13.6 20.0 8.2 6.8 DAX 15.4 -10.3 13.4 3.7 1.3 2.6 4.0 1.3 4.8 10.5 15.4 15.0 8.7 15.2 14.8 -6.9 -5.9 -7.7 -7.4 14.0 16.1 11.6 12.5 13.8 -18.2 9.9 4.5 2.6 6.2 4.2 5.0 4.4 -3.7 -1.8 -9.8 -6.6 2.9 DOW 20.0 0.3 -1.6 3.7 1.3 2.6 4.0 1.3 4.8 -3.8 7.9 12.2 2.0 12.1 4.0 -8.0 -5.3 -7.5 -7.0 7.2 2.6 9.2 1.4 13.7 -0.2 10.8 3.6 -1.3 2.3 2.7 1.7 4.9 -2.9 -8.4 -3.8 -2.6 -12.6 EUR 9.6 8.1 12.4 3.7 0.6 2.3 2.8 -0.5 4.3 1.9 12.7 6.6 0.2 11.5 9.1 -6.4 -8.4 -7.1 -7.8 12.1 10.6 6.3 2.3 11.4 -12.7 -11.1 5.4 0.9 4.2 3.4 0.4 5.7 -9.3 6.9 3.8 9.8 6.5 EUROSTX 17.3 -8.9 13.3 3.7 1.3 2.6 4.0 1.3 4.8 12.6 15.7 15.5 12.5 15.8 15.4 -3.1 4.7 1.9 3.9 16.6 18.5 13.4 15.9 16.3 -18.1 -8.5 4.9 3.3 6.4 4.6 6.1 5.0 15.1 -0.8 -9.0 -5.2 2.2 FEEDCOW 19.7 18.5 20.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 14.0 13.7 15.6 9.8 15.9 15.4 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 12.8 20.0 -20.0 12.2 6.4 5.3 5.2 5.8 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 7.8 -8.1 -14.1 -2.0 -11.1 -2.2 -6.9 0.8 -2.7 -12.8 -12.5 -9.9 5.4 -9.6 -12.2 10.4 20.0 18.2 20.0 -9.8 -9.1 -15.5 2.8 -9.6 3.9 -15.4 -4.3 -11.1 -4.8 -7.4 -0.7 -4.2 20.0 -1.6 -4.5 -4.1 -9.1 GASOILINE 12.3 2.0 2.1 -2.0 -11.1 -2.2 -6.9 0.8 -2.7 -12.8 7.2 -3.7 2.3 6.0 7.8 20.0 14.5 16.0 11.6 6.6 5.0 -11.7 7.5 2.5 -19.8 -13.1 2.6 -10.1 3.2 -5.2 5.7 0.5 -0.1 -4.8 11.7 11.0 20.0 GAS_US 6.1 -9.2 -20.0 -2.0 -11.1 -2.2 -6.9 0.8 -2.7 1.1 -16.6 -0.8 -14.4 -12.6 -15.5 -20.0 -13.4 -20.0 -19.1 -20.0 -20.0 -1.9 -20.0 -10.6 20.0 -9.3 -6.2 -0.3 -7.0 -1.6 -3.8 -4.2 -20.0 20.0 -19.5 -10.3 -20.0 GBP 8.2 13.4 10.3 3.7 0.6 2.3 2.8 -0.5 4.3 -3.8 13.9 5.3 -0.5 12.5 11.5 -1.6 -1.9 -1.8 -2.0 11.7 8.6 3.8 -0.6 10.0 5.1 9.4 4.8 0.2 2.0 2.4 -2.8 5.0 1.2 -2.9 -0.3 9.1 -0.4 GOLD_micro 3.0 15.8 12.2 4.2 -0.5 2.9 2.8 1.9 4.7 -12.5 12.6 -2.2 3.0 10.9 11.5 -11.1 -10.8 -11.6 -11.7 15.7 14.5 -1.3 8.3 9.8 -2.7 -13.8 5.2 -2.5 4.5 0.4 2.7 3.7 -15.2 -14.5 -14.9 10.8 9.4 HEATOIL 7.6 -10.9 -15.1 -2.0 -11.1 -2.2 -6.9 0.8 -2.7 -13.8 -11.5 -8.4 4.3 -7.6 -11.3 9.8 20.0 19.5 20.0 -10.2 -10.2 -14.2 2.8 -8.4 -2.8 -13.6 -3.9 -10.1 -3.0 -6.9 3.2 -4.1 20.0 -2.4 -3.7 -7.2 -4.1 JPY -10.4 0.2 0.7 3.7 0.6 2.3 2.8 -0.5 4.3 -8.8 4.9 -13.2 -6.7 -3.4 -6.6 -16.0 -13.2 -15.1 -14.4 -4.4 -1.1 -11.1 -8.1 -9.2 1.9 9.9 1.0 -2.4 0.9 -2.7 -5.2 -0.7 -19.0 -14.9 -20.0 -5.2 -8.8 LEANHOG -11.9 -20.0 -20.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -9.8 -15.0 -13.5 -11.9 -15.6 -16.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.9 -15.9 -20.0 20.0 -11.1 -6.3 -1.4 -5.6 -3.1 -3.5 -5.2 -20.0 -17.4 -20.0 -20.0 -20.0 LIVECOW 20.0 -2.1 8.3 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -0.2 13.3 12.8 10.2 13.8 12.8 20.0 3.1 20.0 20.0 15.6 12.2 12.9 8.5 18.3 -20.0 12.0 4.8 0.8 4.3 3.8 3.8 5.5 12.6 8.6 20.0 16.7 20.0 MXP 9.3 -7.2 6.8 3.7 0.6 2.3 2.8 -0.5 4.3 13.5 15.2 15.1 15.4 15.3 15.2 18.2 20.0 19.0 20.0 17.6 20.0 9.4 20.0 13.6 -20.0 9.7 5.8 1.9 8.1 2.7 8.7 3.9 20.0 3.7 0.6 0.5 19.3 NASDAQ 7.2 17.8 20.0 3.7 1.3 2.6 4.0 1.3 4.8 1.0 8.3 5.5 -6.6 12.2 14.4 -8.5 -5.7 -7.8 -7.0 18.9 14.0 3.0 0.2 13.0 -2.8 10.2 5.8 -1.4 5.2 0.8 2.4 3.7 -3.2 -17.4 -19.8 15.8 17.0 NIKKEI 17.5 7.2 11.9 3.6 2.0 2.6 4.6 1.2 4.9 13.7 8.9 15.0 7.6 13.5 12.4 4.3 12.9 10.0 12.7 14.1 9.0 19.4 4.7 18.3 6.4 -9.4 4.8 5.3 2.7 6.8 0.7 6.3 20.0 14.4 -0.9 13.6 -4.1 NZD -1.0 -3.4 0.2 3.7 0.6 2.3 2.8 -0.5 4.3 -13.6 6.9 -12.9 -1.4 -3.0 -8.0 1.0 0.6 0.8 0.5 -3.4 -1.1 -9.1 -3.0 -5.5 3.5 10.8 -0.9 -8.1 -0.2 -4.5 -2.0 -1.8 5.5 -18.7 -19.7 -11.4 -11.7 OAT -6.9 15.1 3.7 2.7 -1.8 1.0 -1.1 -2.6 1.5 -11.4 -8.2 -14.0 -12.9 -0.0 -3.7 10.5 12.0 10.5 11.3 -4.5 -8.0 -11.3 -16.5 -7.7 5.7 12.7 1.3 -2.5 -1.1 -2.1 -7.1 0.2 20.0 -1.7 -5.2 -11.6 -5.1 OJ 20.0 20.0 -4.1 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 12.7 15.8 14.9 15.6 15.6 15.7 20.0 20.0 20.0 20.0 20.0 20.0 17.0 20.0 20.0 -20.0 -14.3 6.5 1.9 7.7 2.6 7.9 4.6 20.0 14.6 20.0 20.0 20.0 PALLAD 20.0 15.3 -20.0 4.2 -0.5 2.9 2.8 1.9 4.7 12.1 -13.3 13.8 -14.1 10.8 -6.3 -3.0 -2.2 -2.8 -2.7 -2.1 -18.9 20.0 -20.0 16.4 20.0 -11.1 1.8 5.5 -2.5 8.2 -3.6 6.8 0.0 20.0 15.9 -12.6 -20.0 PLAT 20.0 13.3 -4.2 4.2 -0.5 2.9 2.8 1.9 4.7 14.1 7.1 15.5 2.3 15.3 5.9 -2.6 -1.5 -2.3 -1.9 13.8 6.4 20.0 3.4 20.0 0.1 11.2 4.2 9.8 1.7 9.7 0.7 7.9 1.3 20.0 17.2 1.8 -15.6 REDWHEAT 6.9 11.0 0.3 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -12.4 -7.6 -4.8 -11.1 6.4 4.4 9.7 5.5 10.0 8.4 1.1 -4.5 -7.0 -5.7 1.3 -2.3 12.9 -0.4 -9.6 -1.6 -4.8 -0.2 -1.0 -0.4 -17.6 1.1 -1.8 0.9 ROBUSTA 20.0 18.7 20.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 12.2 11.0 15.3 6.1 15.9 15.8 13.1 10.1 11.4 10.9 20.0 20.0 20.0 12.4 20.0 -8.2 9.6 6.2 1.7 4.3 4.0 2.2 6.1 6.1 17.9 20.0 20.0 20.0 RUSSELL 7.3 -20.0 -0.3 3.7 1.3 2.6 4.0 1.3 4.8 0.9 -5.1 8.7 -9.1 -7.7 -10.2 -5.5 -4.4 -5.6 -5.4 -8.3 -7.2 2.0 -6.8 -2.9 7.4 10.0 -3.0 -0.7 -1.2 -0.6 -0.3 -2.3 -0.7 -8.8 -20.0 -20.0 -15.0 SILVER-mini 20.0 20.0 4.1 4.2 -0.5 2.9 2.8 1.9 4.7 -8.8 11.0 8.6 1.7 13.5 11.8 -6.4 -5.0 -6.0 -5.7 20.0 12.8 10.0 5.4 20.0 -5.1 -11.3 4.5 -0.9 2.4 2.3 0.6 5.1 -5.0 -7.5 9.8 4.8 -11.7 SOYBEAN 7.6 -17.2 -16.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -12.4 -5.1 -2.8 -2.2 -5.2 -7.2 20.0 20.0 20.0 20.0 -12.6 -10.6 -9.0 -2.8 -9.3 0.0 -11.7 -4.8 -4.9 -3.7 -2.8 -0.2 -3.4 20.0 -12.1 4.6 -20.0 -19.4 SOYMEAL -2.5 -17.7 5.2 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -11.8 9.9 0.1 11.9 -3.8 -1.3 20.0 19.8 20.0 20.0 -0.2 10.1 -8.0 16.5 -4.9 -20.0 -12.0 -1.1 -7.7 4.0 -3.8 8.8 -2.7 20.0 -0.5 1.4 -7.5 10.4 SOYOIL 1.4 -16.7 -20.0 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -9.3 -11.9 -6.2 -4.9 -9.7 -11.6 4.0 11.8 3.0 6.2 -18.7 -17.9 -8.2 -7.5 -12.8 7.1 12.9 -5.8 -3.4 -5.4 -2.3 -1.9 -3.8 4.0 -8.2 -6.7 -20.0 -20.0 SP400 10.3 -20.0 0.2 3.7 1.3 2.6 4.0 1.3 4.8 0.8 1.5 10.8 -1.6 -2.9 -6.4 -4.7 -4.1 -5.1 -4.9 -4.8 -2.7 3.6 -0.5 0.3 3.7 10.2 -2.5 -0.8 -0.7 -0.3 0.9 -1.7 -0.0 -9.3 -20.0 -20.0 -15.8 SP500 19.3 5.6 9.4 3.7 1.3 2.6 4.0 1.3 4.8 2.4 7.4 12.8 -5.0 13.7 10.2 -8.6 -6.1 -7.9 -7.2 11.3 5.9 8.2 -0.9 13.7 2.2 10.2 5.0 -1.1 3.6 2.7 1.2 5.2 -3.6 -9.3 -8.3 2.4 -1.0 SUGAR11 20.0 19.9 18.3 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 9.1 15.8 14.6 13.5 15.7 16.2 11.0 20.0 20.0 20.0 20.0 20.0 20.0 18.2 20.0 -20.0 -10.5 6.3 3.6 5.3 5.6 4.1 6.8 20.0 20.0 20.0 20.0 20.0 US10 1.4 20.0 11.6 2.7 -1.8 1.0 -1.1 -2.6 1.5 -10.1 1.2 -11.0 -10.2 7.7 8.1 -9.6 -4.9 -9.0 -8.1 5.3 0.6 -6.4 -10.2 1.2 -2.2 9.7 4.0 -1.3 2.1 -0.4 -2.2 2.6 -10.2 2.1 2.3 7.1 1.1 US10U 0.8 20.0 10.7 2.7 -1.8 1.0 -1.1 -2.6 1.5 -9.6 1.1 -10.8 -10.2 6.8 7.6 -4.9 1.4 -1.9 -0.7 4.4 0.2 -7.0 -10.6 0.1 -4.7 -14.1 4.1 -1.6 2.6 -0.8 -1.6 2.3 1.7 0.1 1.9 4.6 3.6 US20 1.0 20.0 10.8 2.7 -1.8 1.0 -1.1 -2.6 1.5 -10.0 3.1 -11.2 -8.7 7.0 7.9 -1.1 -1.5 -2.4 -2.8 4.6 0.6 -7.8 -10.2 -0.1 -2.2 -12.3 3.8 -2.1 2.2 -1.3 -2.0 1.9 -2.6 -3.9 1.6 2.9 -0.2 US30 -0.7 12.4 8.2 2.7 -1.8 1.0 -1.1 -2.6 1.5 -9.6 2.1 -11.2 -10.3 3.6 3.0 -1.1 -0.6 -1.0 -1.0 1.1 -2.0 -8.4 -13.6 -3.0 -5.7 10.0 3.5 -2.6 2.4 -2.1 -2.7 1.2 -0.3 -2.7 0.2 -3.9 -0.5 US5 1.3 20.0 14.7 2.7 -1.8 1.0 -1.1 -2.6 1.5 -8.9 0.6 -10.4 -10.5 7.9 8.2 -9.3 -5.4 -9.5 -8.8 5.3 0.5 -6.1 -10.0 1.2 -0.1 10.8 3.7 -1.0 1.6 -0.3 -2.9 2.5 -11.2 3.2 1.7 8.1 -1.1 VIX -12.0 17.8 0.3 -3.6 -0.2 -6.2 -2.5 -7.3 -2.8 -3.3 -13.4 -12.5 -13.6 -12.4 -11.2 -20.0 -20.0 -20.0 -20.0 -9.4 -12.5 -8.6 -14.7 -10.4 NaN -13.5 -4.3 0.1 -8.0 -2.7 -10.0 -3.3 NaN NaN NaN NaN NaN WHEAT 1.5 -0.1 -8.6 -2.9 -4.7 -3.7 -2.2 -2.8 -2.1 -11.4 -14.2 -8.2 -14.9 -11.0 -12.0 -12.5 -8.7 -12.0 -10.6 -13.7 -18.2 -10.1 -16.4 -9.8 8.7 11.9 -5.2 -6.8 -5.4 -4.4 -3.1 -4.3 -20.0 -12.8 -8.9 -20.0 -12.9 End of report for caleb_strategy_v1