******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230424_204647 produced at 2023-04-24 21:37:20.214408 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.27 0.0 4.815440e+07 -4.815440e+07 -0.14 -0.14 -5.59 999999999.0 -3 -3 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.22 0.0 9.084279e+06 -9.084279e+06 -0.15 -0.15 -23.72 999999999.0 -17 -17 caleb_strategy_v1 JPY False False 0.04 -0.34 -0.13 0.0 3.739047e+07 -3.739047e+07 -0.34 -0.34 -3.52 999999999.0 -9 -9 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.643558e+07 -5.643558e+07 -0.11 -0.11 -2.12 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.10 0.0 5.209515e+07 -5.209515e+07 0.00 0.00 -1.90 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.11 -0.10 0.0 1.436352e+07 -1.436352e+07 -0.11 -0.11 -6.98 999999999.0 -8 -8 caleb_strategy_v1 EUR False False 0.06 -0.17 -0.09 0.0 5.518301e+07 -5.518301e+07 -0.17 -0.17 -1.70 999999999.0 -3 -3 caleb_strategy_v1 FEEDCOW False False 0.05 -0.09 -0.05 0.0 4.565547e+07 -4.565547e+07 -0.09 -0.09 -1.15 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.05 0.0 5.917417e+07 -5.917417e+07 0.00 0.00 -0.81 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 7.965478e+06 -7.965478e+06 -0.01 -0.01 -4.82 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.186534e+07 -1.186534e+07 -0.06 -0.06 -1.75 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.538767e+07 -2.538767e+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 4.306713e+07 -4.306713e+07 0.04 0.04 -0.18 999999999.0 1 1 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.057043e+07 -1.057043e+07 -0.02 -0.02 -0.93 999999999.0 -2 -2 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.577002e+07 -4.577002e+07 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.089914e+06 -1.089914e+06 -0.02 -0.02 -5.91 999999999.0 -14 -14 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.618635e+07 -1.618635e+07 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.078100e+07 -6.078100e+07 0.00 0.00 -0.01 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.642342e+07 -1.642342e+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 1.254826e+07 -1.254826e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.04 -0.00 0.0 4.362222e+07 -4.362222e+07 -0.04 -0.09 -0.01 999999999.0 -1 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 0.00 0.0 3.582911e+06 -3.582911e+06 -0.02 -0.01 1.04 999999999.0 -5 -3 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.368618e+07 -1.368618e+07 -0.03 -0.03 -0.33 999999999.0 -2 -2 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.128108e+07 -1.128108e+07 0.00 0.00 0.82 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.673288e+07 -2.673288e+07 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.214340e+07 -4.214340e+07 0.00 0.00 0.18 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.01 0.0 1.902777e+07 -1.902777e+07 0.02 0.02 0.29 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.878431e+07 -2.878431e+07 0.03 0.03 0.42 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 7.002219e+06 -7.002219e+06 0.00 0.00 2.00 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 2.923504e+07 -2.923504e+07 0.00 0.00 0.28 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.01 0.0 1.609073e+07 -1.609073e+07 0.03 0.03 0.83 999999999.0 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.02 0.0 1.714060e+07 -1.714060e+07 0.02 0.02 1.00 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.956940e+07 -3.956940e+07 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.091209e+07 -1.091209e+07 0.05 0.05 2.04 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.191582e+07 -2.191582e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.701850e+06 -9.701850e+06 0.02 0.02 2.49 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.455943e+07 -2.455943e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.767389e+06 -6.767389e+06 0.00 0.00 3.35 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.03 0.0 4.284286e+06 -4.284286e+06 0.00 0.00 6.10 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.581801e+07 -5.581801e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.543498e+07 -2.543498e+07 0.00 0.00 1.29 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.280440e+07 -8.280440e+07 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.70 0.03 0.0 9.999480e+07 -9.999480e+07 0.70 0.70 0.26 999999999.0 7 7 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.04 0.0 1.040449e+08 -1.040449e+08 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.096488e+07 -1.096488e+07 0.00 0.00 3.44 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.10 0.05 0.0 4.940659e+07 -4.940659e+07 0.10 0.10 1.04 999999999.0 2 2 caleb_strategy_v1 GBP False False 0.03 0.19 0.05 0.0 3.111764e+07 -3.111764e+07 0.19 0.19 1.54 999999999.0 6 6 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.945816e+07 -2.945816e+07 0.00 0.00 2.02 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.07 0.0 5.594164e+07 -5.594164e+07 0.00 0.00 1.33 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.08 0.0 3.285680e+07 -3.285680e+07 0.00 0.00 2.37 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.08 0.0 3.034069e+07 -3.034069e+07 0.12 0.12 2.50 999999999.0 4 4 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.622488e+07 -2.622488e+07 0.00 0.00 3.71 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.04 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.67 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.26 0.0 5.834745e+07 -5.834745e+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 5.101629e+07 -5.101629e+07 0.00 0.00 7.12 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 49.76 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 18.0 Shocked risk 54.8 Sum abs risk 48.0 Leverage 3.38 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2509830.53, 'annual_cash_vol_target': 627457.6325, 'daily_cash_vol_target': 39216.10203125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6710 0.7251 11.6020 BITCOIN 958.5577 27355.0000 3.5041 56.0663 BOBL 0.4373 116.6300 0.3750 5.9995 BTP 0.6834 112.9500 0.6050 9.6804 BUND 0.8013 133.3900 0.6007 9.6115 BUXL 1.8145 135.2800 1.3413 21.4612 CAC 60.6657 7511.5000 0.8076 12.9222 CAD 0.0031 0.7393 0.4207 6.7320 CANOLA 7.9682 728.8000 1.0933 17.4934 CHF 0.0057 1.1332 0.5008 8.0134 COCOA 33.1128 2978.0000 1.1119 17.7906 COFFEE 3.7631 192.6500 1.9533 31.2535 COPPER 0.0436 3.9725 1.0978 17.5650 CORN 5.1630 547.7500 0.9426 15.0813 COTTON2 1.4133 80.7700 1.7498 27.9964 CRUDE_W 1.2643 76.1500 1.6602 26.5635 DAX 133.6497 16008.0000 0.8349 13.3583 DOW 220.6695 33970.0000 0.6496 10.3936 EUR 0.0055 1.1080 0.4978 7.9643 EUROSTX 39.6639 4350.0000 0.9118 14.5890 FEEDCOW 1.3114 229.1750 0.5722 9.1560 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.1260 733.7500 1.9252 30.8029 GASOILINE 0.0450 2.5736 1.7476 27.9609 GAS_US 0.1113 2.6530 4.1963 67.1405 GBP 0.0068 1.2496 0.5441 8.7053 GOLD_micro 18.2274 1999.2000 0.9117 14.5877 HEATOIL 0.0399 2.5184 1.5845 25.3517 JPY 0.0000 0.0075 0.6159 9.8539 LEANHOG 1.2767 90.1250 1.4166 22.6656 LIVECOW 0.9725 164.5500 0.5910 9.4558 MXP 0.0004 0.0550 0.6903 11.0449 NASDAQ 114.3467 13056.7500 0.8758 14.0123 NIKKEI 228.0005 28560.0000 0.7983 12.7731 NZD 0.0046 0.6164 0.7436 11.8984 OAT 0.7369 127.8900 0.5762 9.2190 OJ 3.9161 274.8000 1.4251 22.8014 PALLAD 33.9002 1525.5000 2.2222 35.5558 PLAT 19.3337 1100.1000 1.7575 28.1192 REDWHEAT 12.5257 812.5000 1.5416 24.6660 ROBUSTA 27.7309 2435.0000 1.1388 18.2215 RUSSELL 19.4781 1798.5000 1.0830 17.3283 SILVER-mini 0.3562 25.4875 1.3974 22.3588 SOYBEAN 10.6704 1276.7500 0.8357 13.3720 SOYMEAL 4.9488 430.2000 1.1504 18.4056 SOYOIL 0.7745 52.4900 1.4755 23.6079 SP400 23.6916 2509.7000 0.9440 15.1040 SP500 29.0978 4156.5000 0.7001 11.2009 SUGAR11 0.3586 25.2800 1.4183 22.6934 US10 0.5309 114.8750 0.4621 7.3939 US10U 0.6924 120.8594 0.5729 9.1659 US20 0.9559 130.7500 0.7311 11.6979 US30 1.3690 140.0938 0.9772 15.6348 US5 0.3951 109.4844 0.3609 5.7747 VIX 0.6231 22.8000 2.7330 43.7282 WHEAT 10.2138 687.0000 1.4867 23.7876 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.95 0.73 486.52 1.00 486.52 39216.1 80.60 3.70 29.84 BITCOIN 27.36 3.50 95.86 1.00 95.86 39216.1 409.12 -6.13 -250.81 BOBL 1166.30 0.37 437.32 1.10 479.39 39216.1 81.80 12.07 98.71 BTP 1129.50 0.61 683.38 1.10 749.12 39216.1 52.35 9.86 51.64 BUND 1333.90 0.60 801.30 1.10 878.38 39216.1 44.65 13.70 61.16 BUXL 1352.80 1.34 1814.55 1.10 1989.10 39216.1 19.72 -4.92 -9.69 CAC 751.15 0.81 606.66 1.10 665.02 39216.1 58.97 14.27 84.14 CAD 739.35 0.42 311.08 1.00 311.08 39216.1 126.06 8.98 113.20 CANOLA 145.76 1.09 159.36 0.74 118.00 39216.1 332.35 20.00 664.70 CHF 1416.44 0.50 709.41 1.00 709.41 39216.1 55.28 -10.22 -56.52 COCOA 297.80 1.11 331.13 1.00 331.13 39216.1 118.43 -6.77 -80.17 COFFEE 722.44 1.95 1411.17 1.00 1411.17 39216.1 27.79 11.66 32.39 COPPER 993.12 1.10 1090.27 1.00 1090.27 39216.1 35.97 4.94 17.77 CORN 273.88 0.94 258.15 1.00 258.15 39216.1 151.91 14.89 226.24 COTTON2 403.85 1.75 706.65 1.00 706.65 39216.1 55.50 9.94 55.14 CRUDE_W 761.50 1.66 1264.25 1.00 1264.25 39216.1 31.02 6.09 18.89 DAX 160.08 0.83 133.65 1.10 146.51 39216.1 267.67 1.37 36.79 DOW 169.85 0.65 110.33 1.00 110.33 39216.1 355.43 3.31 117.52 EUR 1385.00 0.50 689.41 1.00 689.41 39216.1 56.88 -7.99 -45.46 EUROSTX 435.00 0.91 396.64 1.10 434.80 39216.1 90.19 1.15 10.39 FEEDCOW 1145.88 0.57 655.72 1.00 655.72 39216.1 59.81 -7.16 -42.84 FTSE100 707.00 0.82 576.59 1.24 666.67 39216.1 58.82 7.70 45.28 GASOIL 733.75 1.93 1412.60 1.00 1412.60 39216.1 27.76 1.43 3.98 GASOILINE 1080.91 1.75 1888.95 1.00 1888.95 39216.1 20.76 -2.08 -4.32 GAS_US 265.30 4.20 1113.27 1.00 1113.27 39216.1 35.23 -17.48 -61.58 GBP 781.00 0.54 424.93 1.00 424.93 39216.1 92.29 9.33 86.12 GOLD_micro 199.92 0.91 182.27 1.00 182.27 39216.1 215.15 -10.01 -215.32 HEATOIL 1057.73 1.58 1675.95 1.00 1675.95 39216.1 23.40 1.09 2.56 JPY 938.44 0.62 577.96 1.00 577.96 39216.1 67.85 -8.01 -54.34 LEANHOG 360.50 1.42 510.68 1.00 510.68 39216.1 76.79 -19.47 -149.50 LIVECOW 658.20 0.59 388.99 1.00 388.99 39216.1 100.82 13.68 137.92 MXP 275.20 0.69 189.97 1.00 189.97 39216.1 206.43 13.62 281.07 NASDAQ 2611.35 0.88 2286.93 1.00 2286.93 39216.1 17.15 4.12 7.06 NIKKEI 28560.00 0.80 22800.05 0.01 169.36 39216.1 231.55 11.31 262.00 NZD 616.40 0.74 458.39 1.00 458.39 39216.1 85.55 6.14 52.50 OAT 1278.90 0.58 736.89 1.10 807.78 39216.1 48.55 13.61 66.08 OJ 412.20 1.43 587.42 1.00 587.42 39216.1 66.76 -2.41 -16.07 PALLAD 1525.50 2.22 3390.02 1.00 3390.02 39216.1 11.57 -0.50 -0.58 PLAT 550.05 1.76 966.69 1.00 966.69 39216.1 40.57 8.60 34.89 REDWHEAT 406.25 1.54 626.29 1.00 626.29 39216.1 62.62 5.98 37.44 ROBUSTA 243.50 1.14 277.31 1.00 277.31 39216.1 141.42 13.56 191.81 RUSSELL 89.92 1.08 97.39 1.00 97.39 39216.1 402.67 0.50 20.08 SILVER-mini 637.19 1.40 890.42 1.00 890.42 39216.1 44.04 -5.22 -23.00 SOYBEAN 638.38 0.84 533.52 1.00 533.52 39216.1 73.50 2.99 21.95 SOYMEAL 430.20 1.15 494.88 1.00 494.88 39216.1 79.24 2.14 16.98 SOYOIL 314.94 1.48 464.69 1.00 464.69 39216.1 84.39 4.67 39.41 SP400 2509.70 0.94 2369.16 1.00 2369.16 39216.1 16.55 3.06 5.07 SP500 2078.25 0.70 1454.89 1.00 1454.89 39216.1 26.95 4.20 11.31 SUGAR11 283.14 1.42 401.58 1.00 401.58 39216.1 97.65 6.17 60.27 US10 1148.75 0.46 530.86 1.00 530.86 39216.1 73.87 -0.58 -4.29 US10U 1208.59 0.57 692.36 1.00 692.36 39216.1 56.64 -6.77 -38.36 US20 1307.50 0.73 955.93 1.00 955.93 39216.1 41.02 -6.30 -25.84 US30 1400.94 0.98 1368.97 1.00 1368.97 39216.1 28.65 2.09 5.99 US5 1094.84 0.36 395.15 1.00 395.15 39216.1 99.24 -0.03 -0.29 VIX 228.00 2.73 623.13 1.00 623.13 39216.1 62.93 -20.00 -125.87 WHEAT 343.50 1.49 510.69 1.00 510.69 39216.1 76.79 -8.14 -62.49 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 29.842 0.006 2.5 0.477 BITCOIN -250.807 0.009 2.5 -5.909 BOBL 98.711 0.029 2.5 7.123 BTP 51.638 0.008 2.5 1.043 BUND 61.156 0.029 2.5 4.413 BUXL -9.693 0.034 2.5 -0.814 CAC 84.139 0.011 2.5 2.365 CAD 113.204 0.007 2.5 2.021 CANOLA 664.704 0.004 2.5 6.102 CHF -56.519 0.015 2.5 -2.115 COCOA -80.169 0.009 2.5 -1.746 COFFEE 32.393 0.005 2.5 0.420 COPPER 17.769 0.011 2.5 0.486 CORN 226.242 0.004 2.5 2.041 COTTON2 55.144 0.006 2.5 0.830 CRUDE_W 18.889 0.053 2.5 2.495 DAX 36.790 0.022 2.5 1.998 DOW 117.516 0.011 2.5 3.349 EUR -45.464 0.015 2.5 -1.701 EUROSTX 10.392 0.011 2.5 0.292 FEEDCOW -42.844 0.011 2.5 -1.151 FTSE100 45.281 0.041 2.5 4.668 GASOIL 3.980 0.029 2.5 0.284 GASOILINE -4.324 0.016 2.5 -0.178 GAS_US -61.581 0.006 2.5 -0.927 GBP 86.122 0.007 2.5 1.538 GOLD_micro -215.317 0.009 2.5 -4.818 HEATOIL 2.558 0.029 2.5 0.182 JPY -54.337 0.026 2.5 -3.517 LEANHOG -149.497 0.019 2.5 -6.984 LIVECOW 137.922 0.011 2.5 3.706 MXP 281.066 0.005 2.5 3.441 NASDAQ 7.058 0.022 2.5 0.383 NIKKEI 261.998 0.076 2.5 49.762 NZD 52.499 0.006 2.5 0.839 OAT 66.081 0.008 2.5 1.335 OJ -16.074 0.007 2.5 -0.280 PALLAD -0.584 0.010 2.5 -0.014 PLAT 34.891 0.010 2.5 0.840 REDWHEAT 37.438 0.002 2.5 0.200 ROBUSTA 191.812 0.005 2.5 2.487 RUSSELL 20.080 0.021 2.5 1.040 SILVER-mini -23.000 0.009 2.5 -0.515 SOYBEAN 21.946 0.024 2.5 1.294 SOYMEAL 16.977 0.024 2.5 1.001 SOYOIL 39.410 0.004 2.5 0.362 SP400 5.071 0.021 2.5 0.263 SP500 11.308 0.011 2.5 0.322 SUGAR11 60.272 0.005 2.5 0.818 US10 -4.286 0.015 2.5 -0.164 US10U -38.361 0.058 2.5 -5.589 US20 -25.838 0.029 2.5 -1.904 US30 5.994 0.034 2.5 0.503 US5 -0.291 0.015 2.5 -0.011 VIX -125.869 0.075 2.5 -23.720 WHEAT -62.486 0.002 2.5 -0.334 ==================== Position diags ==================== AUD 1.29 BITCOIN 9.64 BOBL 5.90 BTP 1.06 BUND 3.22 BUXL 1.66 CAC 1.66 CAD 2.25 CANOLA 3.05 CHF 2.07 COCOA 2.58 COFFEE 0.36 COPPER 0.98 CORN 1.37 COTTON2 0.84 CRUDE_W 4.10 DAX 14.54 DOW 10.13 EUR 2.13 EUROSTX 2.54 FEEDCOW 1.61 FTSE100 6.06 GASOIL 1.98 GASOILINE 0.85 GAS_US 0.53 GBP 1.65 GOLD_micro 4.81 HEATOIL 1.67 JPY 4.39 LEANHOG 3.59 LIVECOW 2.71 MXP 2.53 NASDAQ 0.93 NIKKEI 43.98 NZD 1.37 OAT 0.98 OJ 1.16 PALLAD 0.28 PLAT 0.98 REDWHEAT 0.33 ROBUSTA 1.83 RUSSELL 20.86 SILVER-mini 0.99 SOYBEAN 4.33 SOYMEAL 4.67 SOYOIL 0.77 SP400 0.86 SP500 0.77 SUGAR11 1.33 US10 2.83 US10U 8.25 US20 3.02 US30 2.40 US5 3.81 VIX 11.86 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 -5.9 -6.9 -4.9 -14.0 -14 BOBL 7.1 6.5 7.7 0.0 0 BTP 1.0 0.9 1.1 2.0 2 BUND 4.4 4.1 4.7 6.0 6 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 2.4 2.2 2.5 0.0 0 CAD 2.0 1.8 2.2 0.0 0 CANOLA 6.1 5.8 6.4 NaN 0 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA -1.7 -2.0 -1.5 -5.0 -5 COFFEE 0.4 0.4 0.5 1.0 1 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.0 1.9 2.2 5.0 5 COTTON2 0.8 0.7 0.9 2.0 2 CRUDE_W 2.5 2.1 2.9 4.0 4 DAX 2.0 0.5 3.5 0.0 0 DOW 3.3 2.3 4.4 0.0 0 EUR -1.7 -1.9 -1.5 -3.0 -3 EUROSTX 0.3 0.0 0.5 1.0 1 FEEDCOW -1.2 -1.3 -1.0 -2.0 -2 FTSE100 4.7 4.1 5.3 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 1.4 1.7 6.0 6 GOLD_micro -4.8 -5.3 -4.3 -1.0 -1 HEATOIL 0.2 0.0 0.3 0.0 0 JPY -3.5 -4.0 -3.1 -9.0 -9 LEANHOG -7.0 -7.3 -6.6 -8.0 -8 LIVECOW 3.7 3.4 4.0 0.0 0 MXP 3.4 3.2 3.7 0.0 0 NASDAQ 0.4 0.3 0.5 0.0 0 NIKKEI 49.8 45.4 54.2 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 -0.0 0.0 0.0 0 PLAT 0.8 0.7 0.9 0.0 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 2.5 2.3 2.7 2.0 2 RUSSELL 1.0 -1.0 3.1 -5.0 -5 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.3 0.9 1.7 0.0 0 SOYMEAL 1.0 0.5 1.5 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 0.8 0.7 1.0 0.0 0 US10 -0.2 -0.4 0.1 NaN 0 US10U -5.6 -6.4 -4.8 -3.0 -3 US20 -1.9 -2.2 -1.6 0.0 0 US30 0.5 0.3 0.7 0.0 0 US5 -0.0 -0.4 0.4 -1.0 -1 VIX -23.7 -24.9 -22.5 -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 1.0 -4.8 0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.1 -0.4 -0.3 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 -0.1 -0.2 -0.2 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 -0.1 0.5 0.6 0.2 0.2 -0.1 -0.1 -0.0 -0.2 -0.0 1.0 2.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.8 -0.0 -0.2 -0.1 -0.1 BUXL -0.1 0.2 0.0 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 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.4 0.1 0.3 0.1 0.4 1.5 0.1 0.2 0.1 0.2 0.3 0.0 0.2 0.0 -1.8 1.7 0.1 0.0 0.1 0.0 0.1 0.0 1.8 0.1 -0.0 -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 0.1 -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 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 4.1 3.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 2.5 -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 -1.5 0.2 0.4 0.3 0.3 COFFEE 0.2 0.2 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 0.6 0.2 0.1 0.1 0.1 0.0 0.0 -0.0 0.0 1.3 2.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.6 0.1 0.4 0.2 0.3 COPPER -0.0 -0.1 0.1 0.1 -0.0 0.1 0.0 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 -0.2 -0.4 -0.3 -0.1 CORN 0.0 -0.0 -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 -0.2 -0.0 -0.0 -0.0 2.3 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.1 -0.3 -0.3 -0.3 COTTON2 0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.9 3.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.6 -0.0 0.2 0.1 -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 -0.6 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 -0.4 -0.1 -0.1 -0.0 -0.2 EUR 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 0.2 -0.4 -0.3 -0.1 -0.2 0.2 0.1 0.0 0.0 0.0 -1.8 -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 -0.3 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 2.0 -0.0 -0.1 -0.1 0.0 FEEDCOW 0.2 0.3 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 0.1 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.2 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 0.0 -0.1 -0.3 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.3 -0.0 0.1 -0.0 -0.3 0.8 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 -0.0 -0.1 -0.1 GASOILINE 0.1 0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 0.1 0.0 0.2 1.7 0.6 0.4 0.3 0.1 0.1 -0.0 0.1 0.0 -2.5 -2.6 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 -0.0 0.1 0.1 0.3 GAS_US 0.1 -0.1 -0.3 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.4 0.0 -0.4 -0.0 -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 -0.3 -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 0.0 0.1 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 -0.4 -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 -0.1 0.0 -0.0 -0.0 -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 -0.2 -2.7 -0.1 -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 -1.2 -0.5 -0.3 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 0.2 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 0.2 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 2.1 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 1.3 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 -0.2 -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 -0.0 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 0.6 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 0.3 -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 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.2 -0.2 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.0 0.0 -0.0 2.5 0.1 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.3 0.0 -0.2 REDWHEAT 0.0 0.2 0.0 -0.0 -0.0 -0.1 -0.1 -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 -0.2 -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 0.3 0.0 0.2 0.1 0.3 1.0 0.4 0.2 0.2 0.2 0.2 0.0 0.1 0.0 -1.5 2.1 0.1 0.0 0.0 0.0 0.0 0.0 0.9 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 1.0 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 0.1 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 0.0 -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 -0.2 -0.1 -0.0 -0.0 -0.0 0.1 -2.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.7 -0.0 0.1 -0.3 -0.3 SOYMEAL -0.1 -0.3 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.1 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 -0.1 0.1 -0.1 0.1 SOYOIL -0.0 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.3 -0.0 -0.1 -0.0 -0.3 0.4 0.5 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 1.1 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.6 -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 0.7 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 -0.7 -0.3 -0.2 -0.2 0.1 0.1 0.0 -0.0 0.0 0.3 2.0 0.1 -0.0 0.0 0.0 0.0 0.0 -0.5 -0.1 -0.2 0.0 -0.0 SUGAR11 0.2 0.2 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 0.8 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 0.0 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 0.1 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 -0.1 -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 0.5 0.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 -0.5 -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 -0.2 -0.0 -0.0 -0.1 -0.1 -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 -0.3 -0.3 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 6.3 -5.6 -1.2 3.8 2.2 2.4 3.3 -0.4 4.4 -4.5 1.1 -1.9 -4.9 -0.1 -9.8 -3.7 -3.0 -3.6 -3.5 -4.5 -4.5 -0.7 -5.6 -1.7 11.6 11.7 -1.3 -1.9 -2.2 0.7 -3.4 0.8 -0.9 -1.5 -9.6 -18.9 -11.6 BITCOIN 0.4 14.5 20.0 4.2 -0.7 3.0 2.1 2.0 4.4 -12.8 13.3 -6.5 -8.2 11.4 13.9 -4.1 -2.0 -3.5 -2.5 15.2 12.8 -7.4 0.1 6.7 4.5 -18.1 4.4 -7.2 4.6 -4.2 1.5 0.6 0.6 -20.0 -20.0 -18.4 15.6 BOBL -8.8 20.0 17.1 2.6 -0.9 1.0 -0.9 -2.7 1.4 -12.9 -8.3 -14.6 -12.8 -0.4 0.7 9.3 5.8 3.7 3.5 -3.7 -7.6 -12.1 -15.9 -8.0 11.1 10.8 1.5 -2.7 -1.2 -2.2 -6.8 0.3 9.4 -5.6 -9.2 -6.6 -5.5 BTP -9.8 7.8 7.4 2.6 -0.9 1.0 -0.9 -2.7 1.4 -13.6 5.0 -14.8 -8.7 1.2 4.6 7.5 11.7 8.4 10.3 0.2 0.6 -12.1 -9.9 -6.9 -10.2 11.4 2.8 -5.0 2.5 -3.5 -3.6 -0.3 20.0 -6.2 -7.2 -11.1 4.5 BUND -9.1 20.0 10.2 2.6 -0.9 1.0 -0.9 -2.7 1.4 -13.2 -8.9 -14.7 -13.1 -1.6 -2.3 6.1 12.9 8.0 10.2 -4.7 -8.3 -12.2 -17.5 -8.7 8.3 12.3 1.4 -3.1 -1.0 -2.7 -7.0 -0.2 20.0 -6.1 -8.8 -9.5 -3.9 BUXL -10.6 15.0 0.5 2.6 -0.9 1.0 -0.9 -2.7 1.4 -12.7 -10.5 -14.4 -13.6 -6.0 -7.6 1.8 0.9 2.3 2.4 -8.7 -11.6 -12.3 -19.6 -11.2 7.7 -10.8 -0.3 -2.7 -2.1 -2.8 -6.5 -1.3 4.2 -4.6 -10.6 -13.9 -11.8 CAC 20.0 -8.3 14.5 3.8 1.3 2.7 3.7 1.3 4.7 13.9 15.5 15.8 12.7 15.9 15.2 18.7 3.5 9.0 4.3 20.0 20.0 18.6 18.8 20.0 -15.6 8.9 4.9 3.8 5.8 5.3 5.6 5.4 13.6 9.1 -1.4 -6.7 5.6 CAD 15.1 8.1 2.1 3.8 2.2 2.4 3.3 -0.4 4.4 -13.3 -5.3 -0.2 -9.6 7.4 3.6 -2.9 -1.9 -2.7 -2.4 3.2 -3.3 -4.3 -9.5 4.6 17.3 10.4 2.3 -6.0 -0.6 -1.1 -3.3 3.0 0.9 -13.1 4.4 -7.5 -4.8 CANOLA 5.8 -16.6 -19.9 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -12.3 -10.0 -8.2 -12.4 -7.4 -9.9 20.0 17.0 20.0 19.4 -20.0 -20.0 -12.2 -13.9 -15.0 18.0 13.2 -5.7 -2.5 -5.4 -2.6 -3.2 -3.9 18.3 -20.0 -3.7 -20.0 -20.0 CHF 18.0 13.8 7.2 3.8 2.2 2.4 3.3 -0.4 4.4 12.1 13.3 12.3 6.7 13.7 11.8 -13.3 -13.9 -13.8 -14.2 15.8 11.2 16.4 5.4 18.9 -7.9 -11.5 5.5 4.2 3.5 5.4 1.1 6.6 -19.5 20.0 14.2 15.1 5.0 COCOA 7.1 12.3 18.8 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 12.9 15.2 14.7 7.9 15.9 15.6 3.7 -0.9 2.4 1.0 20.0 20.0 17.3 12.2 20.0 -20.0 -10.4 6.3 3.0 5.6 4.5 3.7 5.8 -11.4 20.0 20.0 20.0 20.0 COFFEE 20.0 10.9 19.8 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -3.5 -1.5 8.6 -6.0 8.6 11.3 7.2 3.9 5.0 4.3 12.9 3.7 11.5 -3.8 17.0 8.4 10.0 4.5 -0.9 1.5 3.9 -0.7 6.0 -4.2 20.0 20.0 16.3 20.0 COPPER -3.5 -4.2 8.4 4.2 -0.7 3.0 2.1 2.0 4.4 -12.9 8.9 -6.8 -1.4 0.5 2.5 -0.8 -0.6 -0.8 -0.8 1.9 6.4 -8.4 3.9 -2.3 2.6 11.1 -0.3 -10.3 1.6 -5.0 2.0 -1.5 3.1 -12.8 -20.0 -20.0 -9.9 CORN 4.3 -3.4 -20.0 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -12.9 -10.7 -9.5 -3.6 -11.2 -13.0 11.8 18.8 16.8 18.9 -12.2 -12.8 -12.5 -4.1 -9.4 15.4 11.0 -5.7 -7.1 -6.1 -5.0 -3.1 -4.6 20.0 -18.8 -14.9 -20.0 -20.0 COTTON2 5.4 1.3 -1.3 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -10.6 -9.2 -4.0 -11.5 0.4 -3.3 -3.0 7.2 -2.8 0.2 -3.5 -8.3 -6.7 -10.1 -2.3 11.9 12.0 -1.4 -7.4 -2.8 -3.6 -1.5 -0.7 -4.7 -10.0 11.4 2.2 -0.8 CRUDE_W 20.0 2.0 -5.3 -2.2 -5.7 -2.3 -5.8 0.8 -2.9 -4.6 3.4 5.2 -2.5 9.8 7.0 9.7 11.3 9.0 9.4 4.9 0.1 -0.1 1.6 7.1 -10.4 10.8 1.8 -1.7 0.5 -0.1 2.0 2.6 -4.1 13.9 20.0 9.5 7.1 DAX 14.5 -10.2 13.5 3.8 1.3 2.7 3.7 1.3 4.7 9.9 15.5 14.7 8.9 15.2 14.9 -7.0 -5.9 -7.7 -7.4 14.5 16.7 10.7 13.0 13.7 -18.1 9.9 4.6 2.0 6.3 3.7 5.1 4.4 -3.7 -1.5 -8.7 -7.1 2.9 DOW 20.0 2.4 -1.6 3.8 1.3 2.7 3.7 1.3 4.7 -1.2 8.1 12.2 2.1 12.5 4.4 -8.1 -5.3 -7.6 -7.0 7.6 3.0 8.6 1.5 13.4 -0.1 10.8 3.7 -0.2 2.4 2.6 1.8 4.7 -2.9 -6.2 -3.6 -2.7 -12.4 EUR 10.1 9.3 12.3 3.8 2.2 2.4 3.3 -0.4 4.4 9.6 12.9 9.8 0.4 12.5 10.0 -6.4 -8.3 -7.1 -7.8 12.8 11.0 10.0 2.5 12.7 -12.8 -11.1 5.5 4.0 4.2 4.5 0.5 5.9 -9.3 10.9 5.6 10.0 6.7 EUROSTX 16.5 -8.4 13.4 3.8 1.3 2.7 3.7 1.3 4.7 13.6 15.8 15.6 12.6 16.0 15.6 -3.3 4.6 1.7 3.8 17.1 19.1 12.5 16.5 16.3 -18.1 -8.5 5.0 2.7 6.5 4.2 6.2 4.9 15.0 -0.3 -7.4 -5.7 2.3 FEEDCOW 18.4 18.8 20.0 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 11.8 13.8 15.1 10.0 15.8 15.5 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 13.3 20.0 -20.0 12.2 6.4 3.9 5.2 5.3 3.3 6.3 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL 1.4 -7.9 -15.1 -2.2 -5.7 -2.3 -5.8 0.8 -2.9 -8.1 -12.6 -9.3 5.2 -9.9 -12.4 9.6 20.0 17.7 20.0 -10.1 -9.3 -13.1 2.6 -9.8 4.1 -15.4 -4.5 -5.9 -4.9 -6.3 -0.7 -4.3 19.9 -1.8 -2.4 -4.3 -8.6 GASOILINE 10.0 2.2 1.6 -2.2 -5.7 -2.3 -5.8 0.8 -2.9 -9.1 7.2 -5.2 2.2 5.3 7.4 20.0 14.5 16.2 11.8 6.0 4.9 -9.8 7.5 1.5 -19.9 -13.1 2.4 -5.6 3.2 -4.5 5.9 0.1 -0.1 -5.2 8.7 11.5 20.0 GAS_US 7.6 -8.6 -20.0 -2.2 -5.7 -2.3 -5.8 0.8 -2.9 5.6 -16.6 2.6 -14.4 -12.0 -15.2 -20.0 -13.7 -20.0 -19.5 -20.0 -20.0 0.4 -20.0 -9.1 20.0 -9.3 -6.1 1.5 -7.1 -0.6 -3.9 -3.7 -20.0 20.0 -14.3 -10.6 -20.0 GBP 8.2 14.6 10.4 3.8 2.2 2.4 3.3 -0.4 4.4 3.0 14.0 7.0 -0.4 13.0 11.9 -1.6 -1.9 -1.8 -2.0 12.2 9.0 5.8 -0.4 10.6 5.0 9.4 5.0 2.2 2.2 3.1 -2.7 5.2 1.2 -1.9 -0.5 8.1 -0.1 GOLD_micro 2.4 17.0 12.0 4.2 -0.7 3.0 2.1 2.0 4.4 -11.9 12.6 -4.2 3.1 10.5 11.3 -11.2 -10.8 -11.6 -11.7 15.5 14.8 -2.0 8.7 8.8 -2.8 -13.8 5.2 -1.9 4.6 0.1 2.9 3.4 -15.2 -13.0 -13.1 10.2 9.1 HEATOIL 6.6 -10.3 -15.2 -2.2 -5.7 -2.3 -5.8 0.8 -2.9 -9.0 -11.6 -8.2 4.2 -8.1 -11.6 9.1 20.0 18.9 20.0 -10.3 -10.2 -11.5 2.6 -8.4 -2.5 -13.6 -4.1 -5.0 -3.1 -5.6 3.2 -4.1 20.0 -1.9 -4.0 -6.9 -4.1 JPY -10.9 0.3 0.2 3.8 2.2 2.4 3.3 -0.4 4.4 -9.6 4.8 -13.4 -6.7 -4.0 -7.0 -16.1 -13.2 -15.2 -14.5 -4.9 -1.4 -10.5 -8.4 -9.5 1.7 9.9 0.8 -2.5 0.9 -2.8 -5.3 -0.9 -19.1 -18.5 -20.0 -5.8 -9.9 LEANHOG -9.3 -20.0 -20.0 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 2.7 -15.0 -11.5 -12.0 -15.1 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.9 -15.9 -20.0 20.0 -11.1 -6.2 0.3 -5.7 -2.2 -3.6 -4.8 -20.0 -10.9 -20.0 -20.0 -20.0 LIVECOW 20.0 -0.4 8.7 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 2.2 13.5 12.9 10.4 14.0 13.0 20.0 4.2 20.0 20.0 16.1 12.7 12.4 8.9 18.1 -20.0 12.0 4.9 1.1 4.4 3.5 3.9 5.4 15.3 8.6 20.0 17.2 20.0 MXP 8.4 -6.0 6.7 3.8 2.2 2.4 3.3 -0.4 4.4 13.9 15.3 15.4 15.4 15.5 15.4 17.9 20.0 18.8 20.0 18.0 20.0 10.1 20.0 14.1 -20.0 9.7 5.9 2.7 8.1 3.1 8.8 4.1 20.0 2.7 -1.4 -1.2 19.2 NASDAQ 4.5 18.8 20.0 3.8 1.3 2.7 3.7 1.3 4.7 -1.3 8.5 4.3 -6.5 11.9 14.3 -8.6 -5.8 -7.8 -7.1 18.6 14.3 1.3 0.4 11.8 -2.8 10.2 5.7 -1.7 5.3 0.2 2.5 3.4 -3.2 -18.2 -19.3 14.9 16.9 NIKKEI 16.9 6.9 12.2 3.7 1.5 2.6 4.1 1.3 4.8 12.2 9.3 14.6 7.8 13.8 12.8 4.3 12.9 9.8 12.6 14.7 9.5 17.2 5.0 18.2 6.4 -9.4 4.9 3.3 2.8 5.9 0.7 6.2 20.0 16.0 -0.6 12.8 -3.3 NZD -1.9 -2.7 -0.4 3.8 2.2 2.4 3.3 -0.4 4.4 -11.1 6.8 -12.5 -1.4 -3.6 -8.3 1.2 0.6 0.9 0.6 -3.8 -1.3 -8.1 -3.1 -5.8 3.7 10.8 -1.1 -4.6 -0.3 -3.9 -2.0 -2.0 5.6 -19.0 -19.4 -12.1 -12.2 OAT -8.3 15.4 3.4 2.6 -0.9 1.0 -0.9 -2.7 1.4 -13.3 -8.3 -14.7 -13.0 -1.0 -4.2 10.6 12.0 10.5 11.4 -5.3 -8.4 -12.0 -16.9 -8.7 5.7 12.7 1.0 -3.5 -1.2 -2.7 -7.2 -0.4 20.0 -5.4 -7.4 -12.1 -5.1 OJ 19.4 20.0 -3.5 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 13.6 15.9 15.3 15.6 15.8 15.8 20.0 20.0 20.0 20.0 20.0 20.0 19.6 20.0 20.0 -20.0 -14.3 6.5 2.8 7.7 3.1 7.9 4.7 20.0 20.0 20.0 20.0 20.0 PALLAD 20.0 20.0 -15.4 4.2 -0.7 3.0 2.1 2.0 4.4 3.2 -13.2 9.6 -14.1 9.6 -6.2 -3.1 -2.3 -2.9 -2.7 -1.9 -16.5 12.8 -20.0 12.1 20.0 -11.1 1.9 -0.9 -2.4 5.2 -3.6 6.0 0.0 20.0 13.2 -12.5 -20.0 PLAT 20.0 13.3 -4.9 4.2 -0.7 3.0 2.1 2.0 4.4 8.4 7.4 13.0 2.5 14.3 6.4 -2.6 -1.5 -2.3 -1.9 12.9 6.2 20.0 3.2 20.0 -0.1 11.2 4.3 4.4 1.8 7.8 0.7 7.5 1.3 20.0 18.7 2.3 -15.7 REDWHEAT 3.1 11.1 0.1 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -13.5 -7.8 -8.5 -11.2 4.8 3.6 9.3 5.5 9.9 8.4 0.0 -4.9 -11.2 -5.9 -1.5 -2.1 12.9 -1.0 -10.4 -1.7 -6.5 -0.2 -2.3 0.5 -20.0 -4.1 -0.5 0.1 ROBUSTA 20.0 17.9 20.0 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 13.3 11.3 15.4 6.3 16.0 16.0 13.1 10.1 11.4 10.9 20.0 20.0 20.0 12.5 20.0 -8.7 9.6 6.3 4.2 4.3 4.7 2.2 6.2 6.6 20.0 20.0 20.0 20.0 RUSSELL 5.8 -19.1 -0.7 3.8 1.3 2.7 3.7 1.3 4.7 0.2 -5.1 8.0 -9.1 -7.6 -10.2 -5.6 -4.4 -5.6 -5.4 -8.2 -7.3 1.4 -7.0 -2.8 7.8 10.0 -3.0 -0.7 -1.3 -0.7 -0.3 -2.3 -0.7 -8.1 -20.0 -20.0 -15.3 SILVER-mini 20.0 20.0 4.5 4.2 -0.7 3.0 2.1 2.0 4.4 -8.5 11.2 8.3 1.9 13.4 11.9 -6.4 -5.0 -6.0 -5.7 20.0 13.5 9.4 5.8 20.0 -5.2 -11.3 4.5 -0.2 2.6 2.1 0.7 4.9 -5.0 -4.8 10.0 6.1 -11.7 SOYBEAN 3.7 -17.7 -16.3 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -13.5 -5.5 -7.2 -2.5 -6.4 -7.7 20.0 20.0 20.0 20.0 -13.7 -11.1 -14.3 -3.1 -12.0 0.5 -11.7 -4.9 -6.5 -3.7 -4.2 -0.3 -4.1 20.0 -18.8 2.7 -20.0 -20.0 SOYMEAL -5.1 -19.5 4.3 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -13.3 9.6 -5.3 11.8 -5.4 -2.4 20.0 20.0 20.0 20.0 -1.4 9.5 -12.8 16.3 -7.6 -20.0 -12.0 -1.6 -9.8 3.6 -5.8 8.3 -3.8 20.0 -6.9 2.7 -9.0 9.0 SOYOIL -1.0 -17.5 -20.0 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -12.5 -12.1 -9.5 -5.2 -10.7 -12.0 4.5 11.8 3.2 6.3 -19.7 -18.6 -12.7 -8.0 -14.8 7.6 12.9 -5.9 -5.1 -5.5 -3.5 -2.0 -4.3 4.5 -13.9 -6.8 -20.0 -20.0 SP400 8.5 -20.0 -0.2 3.8 1.3 2.7 3.7 1.3 4.7 -1.1 1.4 10.0 -1.5 -2.7 -6.3 -4.9 -4.2 -5.2 -4.9 -4.6 -2.7 2.9 -0.6 0.2 4.1 10.2 -2.5 -0.8 -0.7 -0.4 0.9 -1.7 -0.0 -8.5 -20.0 -20.0 -16.0 SP500 17.2 7.4 9.6 3.8 1.3 2.7 3.7 1.3 4.7 3.7 7.7 12.6 -4.8 13.8 10.5 -8.7 -6.1 -8.0 -7.3 11.5 6.3 7.4 -0.8 13.3 2.2 10.2 5.1 -0.5 3.7 2.4 1.3 4.9 -3.6 -8.0 -7.8 2.2 -0.9 SUGAR11 20.0 17.4 16.9 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 12.5 15.9 15.1 13.6 15.9 16.3 10.7 20.0 20.0 20.0 20.0 20.0 20.0 17.5 20.0 -20.0 -10.5 6.3 5.4 5.2 6.1 4.0 6.9 20.0 20.0 20.0 20.0 20.0 US10 0.5 20.0 11.8 2.6 -0.9 1.0 -0.9 -2.7 1.4 -5.7 1.6 -9.8 -10.2 7.7 8.1 -9.7 -5.0 -9.0 -8.1 5.2 0.6 -3.9 -10.2 1.4 -2.3 9.7 4.0 0.5 2.2 0.2 -2.2 2.6 -10.3 4.5 3.8 6.8 1.5 US10U -0.2 20.0 10.8 2.6 -0.9 1.0 -0.9 -2.7 1.4 -5.4 1.5 -9.7 -10.2 6.8 7.5 -5.4 1.2 -2.2 -0.9 4.3 0.2 -4.5 -10.5 0.4 -4.7 -14.1 4.1 0.5 2.7 -0.1 -1.5 2.4 1.4 2.4 3.6 4.2 3.8 US20 -0.1 19.8 10.8 2.6 -0.9 1.0 -0.9 -2.7 1.4 -5.7 3.5 -10.1 -8.7 7.0 7.8 -1.2 -1.5 -2.4 -2.7 4.4 0.6 -5.1 -10.1 0.0 -2.1 -12.3 3.8 0.3 2.3 -0.5 -1.9 2.0 -2.6 -1.3 3.4 2.7 0.1 US30 -1.7 12.4 8.1 2.6 -0.9 1.0 -0.9 -2.7 1.4 -5.9 2.3 -10.2 -10.3 3.6 2.8 -1.4 -0.7 -1.1 -1.1 0.9 -2.1 -5.9 -13.5 -2.7 -5.6 10.0 3.5 0.2 2.5 -1.1 -2.7 1.3 -0.4 -0.7 2.6 -4.2 -0.2 US5 0.6 20.0 14.9 2.6 -0.9 1.0 -0.9 -2.7 1.4 -4.9 1.0 -9.3 -10.5 7.9 8.2 -9.5 -5.5 -9.5 -8.8 5.2 0.5 -3.8 -10.0 1.5 -0.1 10.8 3.7 0.5 1.7 0.3 -2.9 2.6 -11.4 5.3 3.0 8.1 -0.8 VIX -11.6 9.9 0.4 -3.7 -0.2 -6.3 -2.2 -7.5 -2.7 -2.4 -13.6 -11.4 -13.7 -12.6 -11.5 -20.0 -20.0 -20.0 -20.0 -9.7 -12.8 -7.4 -15.1 -10.0 NaN -13.5 -4.3 0.1 -8.1 -2.3 -10.3 -3.2 NaN NaN NaN NaN NaN WHEAT -0.7 -0.5 -9.1 -3.1 -4.7 -3.8 -2.9 -2.8 -2.5 -13.2 -14.3 -10.8 -14.9 -12.1 -12.5 -12.4 -8.7 -12.0 -10.7 -14.9 -18.6 -15.9 -16.7 -12.7 9.0 11.9 -5.4 -9.2 -5.3 -6.3 -3.1 -5.2 -20.0 -20.0 -13.8 -19.4 -14.2 End of report for caleb_strategy_v1