******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230425_204657 produced at 2023-04-25 21:37:11.383144 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.15 -0.26 0.0 4.855056e+07 -4.855056e+07 -0.15 -0.19 -5.33 999999999.0 -3 -4 caleb_strategy_v1 VIX False False 0.01 -0.16 -0.22 0.0 9.433960e+06 -9.433960e+06 -0.16 -0.20 -23.20 999999999.0 -17 -21 caleb_strategy_v1 JPY False False 0.04 -0.34 -0.13 0.0 3.755672e+07 -3.755672e+07 -0.34 -0.38 -3.48 999999999.0 -9 -10 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.612609e+07 -5.612609e+07 -0.11 -0.11 -2.07 999999999.0 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.11 -0.10 0.0 1.432211e+07 -1.432211e+07 -0.11 -0.11 -7.12 999999999.0 -8 -8 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.266797e+07 -5.266797e+07 0.00 0.00 -1.78 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.09 0.0 5.478016e+07 -5.478016e+07 -0.16 -0.11 -1.72 999999999.0 -3 -2 caleb_strategy_v1 FEEDCOW False False 0.05 -0.09 -0.05 0.0 4.562235e+07 -4.562235e+07 -0.09 -0.09 -1.17 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.095108e+07 -6.095108e+07 0.00 0.00 -0.72 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 7.991400e+06 -7.991400e+06 -0.01 -0.06 -4.93 999999999.0 -1 -7 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.161930e+07 -1.161930e+07 -0.06 -0.06 -1.72 999999999.0 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 0.04 -0.01 0.0 4.223238e+07 -4.223238e+07 0.04 0.00 -0.22 999999999.0 1 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.103415e+06 -1.103415e+06 -0.02 -0.02 -6.03 999999999.0 -14 -14 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.512737e+07 -2.512737e+07 0.00 0.00 -0.53 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.042910e+07 -1.042910e+07 -0.02 -0.02 -0.93 999999999.0 -2 -2 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.00 0.0 4.101193e+07 -4.101193e+07 0.00 0.00 0.07 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.891250e+07 -5.891250e+07 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.591234e+07 -1.591234e+07 0.00 0.00 0.18 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.237879e+07 -1.237879e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.00 0.0 4.608136e+07 -4.608136e+07 0.00 0.00 -0.10 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.04 0.00 0.0 4.387961e+07 -4.387961e+07 -0.04 0.00 0.10 999999999.0 -1 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.665870e+07 -1.665870e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.00 0.0 3.500318e+06 -3.500318e+06 -0.02 -0.25 -0.12 999999999.0 -5 -71 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.357873e+07 -1.357873e+07 -0.03 -0.03 -0.36 999999999.0 -2 -2 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.00 0.0 1.894877e+07 -1.894877e+07 0.02 0.02 0.22 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.00 0.0 2.842130e+07 -2.842130e+07 0.00 0.00 0.11 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.850708e+07 -3.850708e+07 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.162710e+07 -1.162710e+07 0.00 0.00 0.78 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.01 0.0 1.702093e+07 -1.702093e+07 0.02 0.02 0.68 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.826456e+07 -2.826456e+07 0.03 0.03 0.41 999999999.0 1 1 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.01 0.0 1.562773e+07 -1.562773e+07 0.03 0.03 0.77 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.640713e+07 -2.640713e+07 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 7.008450e+06 -7.008450e+06 0.00 0.01 2.13 999999999.0 0 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.442878e+07 -2.442878e+07 0.00 0.00 0.83 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.166645e+07 -8.166645e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.69 0.02 0.0 9.834804e+07 -9.834804e+07 0.69 0.79 0.24 999999999.0 7 8 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.088189e+07 -1.088189e+07 0.05 0.05 2.03 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.196282e+07 -2.196282e+07 0.00 0.02 0.87 999999999.0 0 1 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.704282e+06 -6.704282e+06 0.00 0.00 2.95 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.652892e+06 -9.652892e+06 0.02 0.02 2.42 999999999.0 2 2 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.03 0.0 1.022669e+08 -1.022669e+08 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.651171e+07 -5.651171e+07 0.00 0.00 0.60 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.520698e+07 -2.520698e+07 0.00 0.00 1.11 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.03 0.0 4.262907e+06 -4.262907e+06 0.00 0.00 6.28 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.086498e+07 -1.086498e+07 0.00 0.00 3.38 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.921542e+07 -2.921542e+07 0.00 0.00 1.77 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.19 0.05 0.0 3.090916e+07 -3.090916e+07 0.19 0.25 1.47 999999999.0 6 8 caleb_strategy_v1 BTP False False 0.05 0.10 0.05 0.0 5.018543e+07 -5.018543e+07 0.10 0.15 1.07 999999999.0 2 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.07 0.0 2.960353e+07 -2.960353e+07 0.12 0.12 2.25 999999999.0 4 4 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.698270e+07 -5.698270e+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 3.275230e+07 -3.275230e+07 0.00 0.07 2.34 999999999.0 0 2 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.612053e+07 -2.612053e+07 0.00 0.00 3.99 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 0.36 0.26 0.0 5.947284e+07 -5.947284e+07 0.36 0.36 4.39 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.37 0.0 5.176486e+07 -5.176486e+07 0.00 0.00 7.13 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 49.81 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 17.6 Shocked risk 53.5 Sum abs risk 47.2 Leverage 3.31 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2512200.5, 'annual_cash_vol_target': 628050.125, 'daily_cash_vol_target': 39253.1328125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0050 0.6634 0.7567 12.1071 BITCOIN 940.4994 27720.0000 3.3929 54.2857 BOBL 0.4569 117.6600 0.3884 6.2138 BTP 0.6851 114.0700 0.6006 9.6098 BUND 0.8332 135.1800 0.6163 9.8616 BUXL 1.8553 138.5400 1.3392 21.4267 CAC 61.6064 7444.5000 0.8275 13.2407 CAD 0.0033 0.7340 0.4431 7.0901 CANOLA 7.7826 725.5000 1.0727 17.1636 CHF 0.0058 1.1280 0.5107 8.1719 COCOA 34.6539 2919.0000 1.1872 18.9949 COFFEE 3.7933 189.3500 2.0034 32.0536 COPPER 0.0470 3.8695 1.2148 19.4369 CORN 5.0576 546.7500 0.9250 14.8006 COTTON2 1.4399 78.5200 1.8338 29.3400 CRUDE_W 1.2856 74.3700 1.7286 27.6576 DAX 131.7179 15930.0000 0.8269 13.2297 DOW 226.6226 33685.0000 0.6728 10.7643 EUR 0.0057 1.1010 0.5159 8.2548 EUROSTX 40.0948 4307.0000 0.9309 14.8947 FEEDCOW 1.2840 229.2250 0.5602 8.9627 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.5813 714.0000 1.9021 30.4343 GASOILINE 0.0448 2.5261 1.7746 28.3929 GAS_US 0.1094 2.6200 4.1737 66.7797 GBP 0.0069 1.2424 0.5586 8.9371 GOLD_micro 17.8335 2007.6000 0.8883 14.2128 HEATOIL 0.0403 2.4531 1.6423 26.2776 JPY 0.0000 0.0075 0.6083 9.7325 LEANHOG 1.2478 89.9500 1.3872 22.1959 LIVECOW 0.9616 164.0500 0.5862 9.3786 MXP 0.0004 0.0546 0.7036 11.2569 NASDAQ 119.2186 12845.7500 0.9281 14.8493 NIKKEI 228.0005 28560.0000 0.7983 12.7731 NZD 0.0045 0.6137 0.7374 11.7989 OAT 0.7642 129.5200 0.5900 9.4405 OJ 3.8590 279.0000 1.3831 22.1303 PALLAD 34.1956 1480.0000 2.3105 36.9682 PLAT 18.9083 1103.5000 1.7135 27.4158 REDWHEAT 12.4205 799.5000 1.5535 24.8566 ROBUSTA 28.3515 2425.0000 1.1691 18.7062 RUSSELL 20.3541 1758.7000 1.1573 18.5174 SILVER-mini 0.3518 25.2500 1.3932 22.2906 SOYBEAN 10.5693 1266.5000 0.8345 13.3524 SOYMEAL 4.8504 427.6000 1.1343 18.1493 SOYOIL 0.7615 51.8300 1.4692 23.5072 SP400 24.4025 2470.7000 0.9877 15.8028 SP500 30.6302 4103.2500 0.7465 11.9438 SUGAR11 0.3694 26.0800 1.4166 22.6650 US10 0.5391 115.7656 0.4657 7.4508 US10U 0.7033 121.9688 0.5766 9.2263 US20 0.9756 132.3125 0.7374 11.7979 US30 1.3864 141.9688 0.9766 15.6250 US5 0.4030 110.2344 0.3656 5.8501 VIX 0.6377 23.7000 2.6906 43.0499 WHEAT 10.0214 682.2500 1.4689 23.5021 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.40 0.76 501.99 1.00 501.99 39253.13 78.20 3.09 24.18 BITCOIN 27.72 3.39 94.05 1.00 94.05 39253.13 417.36 -6.13 -255.97 BOBL 1176.60 0.39 456.95 1.10 501.66 39253.13 78.25 12.62 98.75 BTP 1140.70 0.60 685.12 1.10 752.16 39253.13 52.19 10.19 53.17 BUND 1351.80 0.62 833.18 1.10 914.70 39253.13 42.91 14.17 60.83 BUXL 1385.40 1.34 1855.29 1.10 2036.83 39253.13 19.27 -4.47 -8.61 CAC 744.45 0.83 616.06 1.10 676.35 39253.13 58.04 14.32 83.10 CAD 733.95 0.44 325.24 1.00 325.24 39253.13 120.69 8.23 99.37 CANOLA 145.10 1.07 155.65 0.74 114.83 39253.13 341.85 20.00 683.70 CHF 1410.00 0.51 720.15 1.00 720.15 39253.13 54.51 -10.17 -55.41 COCOA 291.90 1.19 346.54 1.00 346.54 39253.13 113.27 -6.98 -79.07 COFFEE 710.06 2.00 1422.51 1.00 1422.51 39253.13 27.59 11.59 31.99 COPPER 967.38 1.21 1175.17 1.00 1175.17 39253.13 33.40 4.25 14.21 CORN 273.38 0.93 252.88 1.00 252.88 39253.13 155.22 14.52 225.37 COTTON2 392.60 1.83 719.93 1.00 719.93 39253.13 54.52 9.42 51.38 CRUDE_W 743.70 1.73 1285.56 1.00 1285.56 39253.13 30.53 5.57 17.00 DAX 159.30 0.83 131.72 1.10 144.61 39253.13 271.45 1.44 39.19 DOW 168.42 0.67 113.31 1.00 113.31 39253.13 346.42 2.99 103.44 EUR 1376.19 0.52 710.01 1.00 710.01 39253.13 55.29 -8.31 -45.91 EUROSTX 430.70 0.93 400.95 1.10 440.18 39253.13 89.18 0.87 7.72 FEEDCOW 1146.12 0.56 642.02 1.00 642.02 39253.13 61.14 -7.14 -43.66 FTSE100 707.00 0.82 576.59 1.24 666.67 39253.13 58.88 7.70 45.32 GASOIL 714.00 1.90 1358.13 1.00 1358.13 39253.13 28.90 0.52 1.51 GASOILINE 1060.96 1.77 1882.74 1.00 1882.74 39253.13 20.85 -2.55 -5.32 GAS_US 262.00 4.17 1093.52 1.00 1093.52 39253.13 35.90 -17.26 -61.95 GBP 776.50 0.56 433.73 1.00 433.73 39253.13 90.50 9.08 82.17 GOLD_micro 200.76 0.89 178.34 1.00 178.34 39253.13 220.11 -10.01 -220.43 HEATOIL 1030.30 1.64 1692.12 1.00 1692.12 39253.13 23.20 0.45 1.04 JPY 943.50 0.61 573.91 1.00 573.91 39253.13 68.40 -7.86 -53.77 LEANHOG 359.80 1.39 499.13 1.00 499.13 39253.13 78.64 -19.39 -152.49 LIVECOW 656.20 0.59 384.64 1.00 384.64 39253.13 102.05 14.55 148.52 MXP 272.95 0.70 192.04 1.00 192.04 39253.13 204.41 13.53 276.46 NASDAQ 2569.15 0.93 2384.37 1.00 2384.37 39253.13 16.46 3.39 5.58 NIKKEI 28560.00 0.80 22800.05 0.01 169.36 39253.13 231.77 11.31 262.25 NZD 613.70 0.74 452.56 1.00 452.56 39253.13 86.74 5.97 51.75 OAT 1295.20 0.59 764.21 1.10 838.99 39253.13 46.79 14.09 65.94 OJ 418.50 1.38 578.85 1.00 578.85 39253.13 67.81 -2.41 -16.33 PALLAD 1480.00 2.31 3419.56 1.00 3419.56 39253.13 11.48 -0.75 -0.86 PLAT 551.75 1.71 945.42 1.00 945.42 39253.13 41.52 8.74 36.28 REDWHEAT 399.75 1.55 621.03 1.00 621.03 39253.13 63.21 5.38 33.99 ROBUSTA 242.50 1.17 283.52 1.00 283.52 39253.13 138.45 13.48 186.67 RUSSELL 87.94 1.16 101.77 1.00 101.77 39253.13 385.70 -0.06 -2.31 SILVER-mini 631.25 1.39 879.43 1.00 879.43 39253.13 44.63 -5.27 -23.53 SOYBEAN 633.25 0.83 528.46 1.00 528.46 39253.13 74.28 2.55 18.91 SOYMEAL 427.60 1.13 485.04 1.00 485.04 39253.13 80.93 1.43 11.61 SOYOIL 310.98 1.47 456.89 1.00 456.89 39253.13 85.91 4.55 39.10 SP400 2470.70 0.99 2440.25 1.00 2440.25 39253.13 16.09 2.92 4.70 SP500 2051.62 0.75 1531.51 1.00 1531.51 39253.13 25.63 3.52 9.02 SUGAR11 292.10 1.42 413.77 1.00 413.77 39253.13 94.87 6.05 57.38 US10 1157.66 0.47 539.09 1.00 539.09 39253.13 72.81 -0.36 -2.59 US10U 1219.69 0.58 703.33 1.00 703.33 39253.13 55.81 -6.55 -36.56 US20 1323.12 0.74 975.63 1.00 975.63 39253.13 40.23 -6.01 -24.16 US30 1419.69 0.98 1386.41 1.00 1386.41 39253.13 28.31 2.53 7.18 US5 1102.34 0.37 403.05 1.00 403.05 39253.13 97.39 0.26 2.49 VIX 237.00 2.69 637.68 1.00 637.68 39253.13 61.56 -20.00 -123.11 WHEAT 341.12 1.47 501.07 1.00 501.07 39253.13 78.34 -8.50 -66.56 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 24.177 0.006 2.5 0.386 BITCOIN -255.975 0.009 2.5 -6.031 BOBL 98.754 0.029 2.5 7.126 BTP 53.169 0.008 2.5 1.074 BUND 60.828 0.029 2.5 4.389 BUXL -8.606 0.034 2.5 -0.722 CAC 83.097 0.011 2.5 2.336 CAD 99.373 0.007 2.5 1.774 CANOLA 683.698 0.004 2.5 6.276 CHF -55.410 0.015 2.5 -2.074 COCOA -79.072 0.009 2.5 -1.722 COFFEE 31.989 0.005 2.5 0.415 COPPER 14.211 0.011 2.5 0.388 CORN 225.372 0.004 2.5 2.033 COTTON2 51.377 0.006 2.5 0.774 CRUDE_W 16.999 0.053 2.5 2.246 DAX 39.188 0.022 2.5 2.128 DOW 103.444 0.011 2.5 2.948 EUR -45.915 0.015 2.5 -1.718 EUROSTX 7.719 0.011 2.5 0.217 FEEDCOW -43.657 0.011 2.5 -1.173 FTSE100 45.323 0.041 2.5 4.672 GASOIL 1.510 0.029 2.5 0.108 GASOILINE -5.319 0.016 2.5 -0.218 GAS_US -61.948 0.006 2.5 -0.933 GBP 82.171 0.007 2.5 1.467 GOLD_micro -220.431 0.009 2.5 -4.932 HEATOIL 1.037 0.029 2.5 0.074 JPY -53.767 0.026 2.5 -3.480 LEANHOG -152.492 0.019 2.5 -7.124 LIVECOW 148.524 0.011 2.5 3.991 MXP 276.460 0.005 2.5 3.385 NASDAQ 5.585 0.022 2.5 0.303 NIKKEI 262.246 0.076 2.5 49.809 NZD 51.752 0.006 2.5 0.827 OAT 65.937 0.008 2.5 1.332 OJ -16.328 0.007 2.5 -0.285 PALLAD -0.859 0.010 2.5 -0.021 PLAT 36.277 0.010 2.5 0.873 REDWHEAT 33.990 0.002 2.5 0.181 ROBUSTA 186.671 0.005 2.5 2.420 RUSSELL -2.311 0.021 2.5 -0.120 SILVER-mini -23.534 0.009 2.5 -0.527 SOYBEAN 18.906 0.024 2.5 1.115 SOYMEAL 11.610 0.024 2.5 0.685 SOYOIL 39.101 0.004 2.5 0.359 SP400 4.699 0.021 2.5 0.243 SP500 9.015 0.011 2.5 0.257 SUGAR11 57.382 0.005 2.5 0.779 US10 -2.593 0.015 2.5 -0.099 US10U -36.559 0.058 2.5 -5.327 US20 -24.163 0.029 2.5 -1.781 US30 7.176 0.034 2.5 0.602 US5 2.490 0.015 2.5 0.096 VIX -123.113 0.075 2.5 -23.201 WHEAT -66.564 0.002 2.5 -0.355 ==================== Position diags ==================== AUD 1.25 BITCOIN 9.83 BOBL 5.65 BTP 1.05 BUND 3.10 BUXL 1.62 CAC 1.63 CAD 2.15 CANOLA 3.14 CHF 2.04 COCOA 2.47 COFFEE 0.36 COPPER 0.91 CORN 1.40 COTTON2 0.82 CRUDE_W 4.03 DAX 14.74 DOW 9.87 EUR 2.07 EUROSTX 2.51 FEEDCOW 1.64 FTSE100 6.07 GASOIL 2.06 GASOILINE 0.86 GAS_US 0.54 GBP 1.62 GOLD_micro 4.92 HEATOIL 1.65 JPY 4.43 LEANHOG 3.67 LIVECOW 2.74 MXP 2.50 NASDAQ 0.89 NIKKEI 44.02 NZD 1.39 OAT 0.94 OJ 1.18 PALLAD 0.28 PLAT 1.00 REDWHEAT 0.34 ROBUSTA 1.80 RUSSELL 19.98 SILVER-mini 1.00 SOYBEAN 4.38 SOYMEAL 4.77 SOYOIL 0.79 SP400 0.83 SP500 0.73 SUGAR11 1.29 US10 2.79 US10U 8.13 US20 2.97 US30 2.38 US5 3.74 VIX 11.60 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.5 0.0 0 BITCOIN -6.0 -7.0 -5.0 -14.0 -14 BOBL 7.1 6.6 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 -0.7 -0.9 -0.6 0.0 0 CAC 2.3 2.2 2.5 0.0 0 CAD 1.8 1.6 2.0 0.0 0 CANOLA 6.3 6.0 6.6 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 0.4 0.3 0.5 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 2.2 1.8 2.6 4.0 4 DAX 2.1 0.7 3.6 0.0 0 DOW 2.9 2.0 3.9 0.0 0 EUR -1.7 -1.9 -1.5 -3.0 -3 EUROSTX 0.2 -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 0.1 -0.1 0.3 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 1.6 6.0 6 GOLD_micro -4.9 -5.4 -4.4 -1.0 -1 HEATOIL 0.1 -0.1 0.2 0.0 0 JPY -3.5 -3.9 -3.0 -9.0 -9 LEANHOG -7.1 -7.5 -6.8 -8.0 -8 LIVECOW 4.0 3.7 4.3 0.0 0 MXP 3.4 3.1 3.6 0.0 0 NASDAQ 0.3 0.2 0.4 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 0.9 0.8 1.0 0.0 0 REDWHEAT 0.2 0.1 0.2 0.0 0 ROBUSTA 2.4 2.2 2.6 2.0 2 RUSSELL -0.1 -2.1 1.9 -5.0 -5 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.1 0.7 1.6 0.0 0 SOYMEAL 0.7 0.2 1.2 1.0 1 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 0.2 0.2 0.3 7.0 7 SP500 0.3 0.2 0.3 0.0 0 SUGAR11 0.8 0.6 0.9 0.0 0 US10 -0.1 -0.4 0.2 NaN 0 US10U -5.3 -6.1 -4.5 -3.0 -3 US20 -1.8 -2.1 -1.5 0.0 0 US30 0.6 0.4 0.8 0.0 0 US5 0.1 -0.3 0.5 -1.0 -1 VIX -23.2 -24.4 -22.0 -17.0 -17 WHEAT -0.4 -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 0.0 -0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.4 2.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.3 -0.2 BITCOIN -0.0 0.2 0.3 0.1 -0.0 0.1 0.0 0.0 0.0 -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 0.0 -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 0.3 0.1 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 1.6 2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 1.4 -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 -1.2 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 -0.0 0.5 0.6 0.2 0.2 -0.0 -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 -0.1 -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 0.0 0.0 0.1 0.0 0.4 0.1 0.3 0.1 0.4 1.5 0.2 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 1.9 0.2 0.0 -0.1 0.1 CAD 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.0 2.5 2.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.2 0.0 -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 2.7 -0.0 -0.1 -0.2 -0.3 CHF 0.2 0.2 0.1 0.1 -0.0 0.1 0.0 -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 0.4 0.2 0.1 COCOA 0.1 0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.0 0.4 0.0 0.2 0.1 0.3 0.3 -0.0 0.0 0.0 0.2 0.2 0.0 0.1 0.0 -3.1 -2.2 0.1 -0.0 0.1 0.0 0.0 0.0 -1.5 0.1 0.4 0.3 0.3 COFFEE 0.2 0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.2 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 -0.5 0.1 0.4 0.2 0.3 COPPER -0.1 -0.1 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.4 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.3 -0.4 -0.3 -0.2 CORN 0.0 -0.1 -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 0.9 0.8 0.3 0.4 -0.1 -0.2 -0.0 -0.1 -0.0 2.4 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.3 -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 -0.3 0.2 -0.1 -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 0.1 0.0 -0.0 CRUDE_W 0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -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 -1.3 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 -0.1 0.2 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.4 0.0 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 -0.1 -0.1 0.0 DOW 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 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 0.0 -0.0 0.1 0.0 0.3 0.0 0.0 0.1 0.3 -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 0.0 0.0 0.1 0.0 0.4 0.0 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 -0.2 0.0 -0.1 -0.1 -0.3 -0.0 0.1 -0.1 -0.3 0.7 0.9 0.4 0.4 -0.1 -0.1 -0.0 0.0 -0.0 0.5 -3.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.6 -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 -0.1 -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 -0.1 -0.1 -0.2 0.0 -0.1 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 -0.1 -0.0 -2.7 0.3 -0.1 -0.1 -0.3 GBP 0.1 0.2 0.2 0.1 -0.0 0.1 0.0 -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 0.2 -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 -0.2 0.1 0.1 HEATOIL 0.0 -0.2 -0.3 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.0 -0.3 0.7 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 0.0 -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 -0.1 -0.4 -0.1 -0.2 LEANHOG -0.1 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -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 0.0 -0.4 -0.3 -0.3 LIVECOW 0.2 0.0 0.1 -0.0 -0.0 -0.1 -0.1 -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 2.5 0.0 0.4 0.2 0.3 MXP 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 -0.0 0.0 -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 -0.0 0.3 0.4 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.2 -0.0 -0.2 0.0 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 0.2 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 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 -0.0 -0.2 0.1 0.0 0.0 0.0 -0.1 -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 -0.3 -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 0.2 -0.2 -0.3 PLAT 0.2 0.2 -0.1 0.1 -0.0 0.1 0.0 0.1 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 0.4 0.0 -0.2 REDWHEAT -0.0 0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.1 0.7 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 -0.2 0.0 -0.0 ROBUSTA 0.2 0.3 0.3 -0.0 -0.0 -0.1 -0.1 -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 1.0 0.0 0.4 0.3 0.3 RUSSELL 0.1 -0.3 -0.0 0.1 -0.0 0.1 0.0 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 -0.2 -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 0.1 0.1 -0.2 SOYBEAN -0.0 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -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 -0.0 -0.3 -0.3 SOYMEAL -0.1 -0.3 0.1 -0.1 -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 -0.0 -0.1 0.1 SOYOIL -0.1 -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 1.2 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.7 -0.1 -0.2 -0.3 -0.3 SP400 0.1 -0.3 -0.0 0.1 -0.0 0.1 0.0 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 -0.3 SP500 0.2 0.1 0.2 0.1 -0.0 0.1 0.0 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 -0.1 -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 0.1 -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 -1.5 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 0.1 -0.0 -0.3 0.0 0.2 -0.5 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.6 -2.9 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.0 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 -0.0 -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 0.2 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 0.1 -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 0.3 0.1 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.0 -0.5 -0.0 -0.5 -0.1 -0.3 -3.1 -1.6 -0.8 -0.8 -0.1 -0.2 -0.0 -0.3 -0.0 NaN -3.1 -0.1 0.0 -0.1 0.0 -0.2 -0.0 NaN NaN NaN NaN NaN WHEAT -0.0 -0.0 -0.2 -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 1.4 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 3.0 -4.6 -1.6 3.7 -1.6 2.4 1.7 -0.4 3.8 -10.8 0.9 -6.5 -5.0 -2.3 -10.4 -3.7 -3.0 -3.6 -3.5 -5.1 -4.6 -5.8 -5.5 -3.7 11.8 11.7 -1.8 -8.1 -2.4 -2.5 -3.4 -0.6 -0.9 -3.6 -10.8 -19.2 -12.0 BITCOIN -1.1 15.4 20.0 4.2 -0.1 3.1 2.0 2.1 4.2 -11.4 13.2 -8.2 -8.1 10.7 13.5 -4.1 -2.0 -3.5 -2.6 14.6 12.9 -7.6 0.2 5.2 4.7 -18.1 4.1 -5.4 4.6 -4.2 1.6 0.1 0.6 -20.0 -20.0 -19.4 15.1 BOBL -8.0 20.0 19.2 2.8 3.2 1.1 1.0 -2.6 2.0 5.7 -7.9 -9.5 -12.8 0.7 1.2 9.8 6.0 4.3 3.8 -2.9 -7.0 -3.9 -15.1 -5.0 10.9 10.8 1.9 3.9 -1.1 0.7 -6.8 1.3 9.7 -2.4 -8.8 -5.6 -5.2 BTP -10.0 7.3 7.7 2.8 3.2 1.1 1.0 -2.6 2.0 -2.1 5.2 -12.3 -8.6 1.9 4.3 7.7 11.7 8.4 10.3 0.4 0.7 -6.5 -9.7 -5.2 -10.1 11.4 3.0 1.5 2.6 -0.8 -3.5 0.5 20.0 -6.8 -8.1 -11.7 4.6 BUND -8.4 17.3 12.2 2.8 3.2 1.1 1.0 -2.6 2.0 5.7 -8.6 -9.8 -13.1 -0.5 -1.9 6.2 12.9 8.0 10.2 -3.9 -7.8 -4.2 -16.7 -5.7 8.2 12.3 1.8 4.4 -0.8 0.6 -7.0 0.9 20.0 -3.4 -8.3 -8.6 -3.7 BUXL -9.9 11.9 1.9 2.8 3.2 1.1 1.0 -2.6 2.0 3.3 -10.5 -10.2 -13.6 -5.1 -7.3 1.7 0.9 2.3 2.4 -7.9 -11.1 -5.7 -19.1 -8.6 7.7 -10.8 0.0 3.3 -2.0 -0.1 -6.5 -0.4 4.1 -4.2 -10.2 -13.2 -11.6 CAC 19.8 -6.2 13.4 3.7 -2.6 2.8 1.7 1.4 4.0 7.0 15.5 13.9 12.8 15.4 15.1 18.5 3.6 9.4 4.6 19.9 20.0 13.8 18.6 19.5 -15.6 8.9 4.9 0.1 5.9 3.7 5.7 4.9 14.0 14.0 1.2 -6.5 5.9 CAD 9.5 9.2 2.8 3.7 -1.6 2.4 1.7 -0.4 3.8 -13.8 -5.4 -5.5 -9.7 5.3 2.7 -3.0 -1.9 -2.7 -2.4 1.7 -3.4 -10.5 -9.1 0.8 17.6 10.4 1.7 -10.1 -0.8 -4.0 -3.3 1.4 0.9 -19.5 0.2 -8.6 -5.1 CANOLA 2.3 -17.1 -20.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.7 -10.2 -11.0 -12.5 -8.1 -10.1 20.0 17.5 20.0 20.0 -20.0 -20.0 -13.9 -14.5 -16.3 18.2 13.2 -5.7 -2.6 -5.5 -2.8 -3.3 -4.1 19.9 -14.3 -5.8 -20.0 -20.0 CHF 17.1 14.4 7.1 3.7 -1.6 2.4 1.7 -0.4 3.8 5.3 13.4 11.8 6.9 13.7 12.0 -13.4 -13.9 -13.8 -14.2 15.7 11.3 13.9 5.5 18.0 -7.8 -11.5 5.5 2.1 3.6 4.6 1.1 6.3 -19.5 18.6 18.2 16.8 5.6 COCOA 6.0 11.1 17.9 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 2.8 15.2 10.0 8.1 15.0 15.2 3.6 -0.9 2.4 1.0 20.0 19.3 9.6 11.7 17.9 -20.0 -10.4 6.2 -1.0 5.8 2.6 3.9 5.1 -10.8 17.3 20.0 20.0 20.0 COFFEE 19.9 11.1 20.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -9.1 -1.3 6.9 -5.9 7.8 11.2 7.4 3.9 5.1 4.4 12.4 3.9 6.8 -3.6 14.7 7.9 10.0 4.4 -2.5 1.6 2.5 -0.6 5.4 -3.6 19.1 20.0 16.4 20.0 COPPER -6.4 -6.0 6.7 4.2 -0.1 3.1 2.0 2.1 4.2 -13.7 8.6 -9.9 -1.5 -2.7 1.4 -0.9 -0.6 -0.9 -0.8 0.0 5.3 -15.8 3.4 -6.2 3.2 11.1 -1.3 -16.7 1.0 -9.0 1.6 -3.7 3.1 -20.0 -20.0 -20.0 -11.1 CORN 2.0 -3.7 -20.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.7 -11.0 -11.7 -3.8 -12.3 -13.4 11.3 18.7 16.5 18.7 -13.2 -13.4 -14.9 -4.4 -11.3 15.9 11.0 -5.8 -6.4 -6.1 -5.5 -3.1 -4.9 20.0 -12.0 -18.8 -20.0 -20.0 COTTON2 3.1 0.2 -1.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.0 -9.3 -8.2 -11.5 -1.9 -4.3 -3.8 7.1 -3.1 -0.0 -4.5 -8.5 -11.4 -10.0 -5.0 11.7 12.0 -2.0 -11.6 -2.9 -6.4 -1.5 -2.3 -4.5 -14.0 5.5 0.5 -1.3 CRUDE_W 15.8 2.0 -5.7 -2.6 -8.0 -2.4 -6.9 0.7 -3.8 -10.1 3.4 2.5 -2.6 8.9 6.7 9.7 11.3 9.0 9.4 4.1 -0.0 -3.6 1.5 4.8 -10.5 10.8 1.6 -4.5 0.4 -1.5 2.0 1.8 -4.3 9.2 20.0 10.6 7.3 DAX 13.3 -6.9 13.3 3.7 -2.6 2.8 1.7 1.4 4.0 1.7 15.5 12.9 9.1 14.9 14.8 -7.1 -5.9 -7.7 -7.4 14.4 16.9 7.9 13.3 12.7 -18.0 9.9 4.6 -0.4 6.5 2.5 5.3 3.9 -3.7 5.5 -6.2 -6.9 3.1 DOW 19.7 3.7 -1.8 3.7 -2.6 2.8 1.7 1.4 4.0 -9.3 8.1 9.5 2.2 11.9 4.5 -8.2 -5.4 -7.7 -7.1 7.0 3.0 3.8 1.6 10.9 -0.2 10.8 3.5 -4.1 2.5 0.6 1.8 3.9 -2.9 -4.5 -2.7 -2.0 -12.1 EUR 8.1 9.3 11.8 3.7 -1.6 2.4 1.7 -0.4 3.8 0.6 13.0 7.6 0.5 12.3 10.1 -6.4 -8.3 -7.0 -7.7 12.2 10.8 7.0 2.6 11.3 -12.9 -11.1 5.5 0.8 4.3 3.4 0.6 5.5 -9.2 8.9 6.6 10.4 6.8 EUROSTX 14.3 -5.8 12.6 3.7 -2.6 2.8 1.7 1.4 4.0 2.0 15.8 13.2 12.7 15.5 15.4 -3.5 4.5 1.4 3.6 16.5 18.9 8.2 16.4 14.4 -18.0 -8.5 4.9 -1.4 6.7 2.4 6.3 4.3 14.8 4.4 -5.4 -5.9 2.4 FEEDCOW 19.6 20.0 20.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 11.4 14.0 14.9 10.2 15.8 15.6 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 14.0 20.0 -20.0 12.2 6.4 3.0 5.3 4.9 3.4 6.2 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -2.4 -9.2 -15.2 -2.6 -8.0 -2.4 -6.9 0.7 -3.8 -13.5 -12.9 -12.9 5.1 -11.8 -13.1 8.8 20.0 17.2 20.0 -11.8 -10.2 -17.6 2.3 -12.9 4.3 -15.4 -4.8 -8.5 -4.9 -7.8 -0.8 -5.4 19.3 -1.5 -3.7 -5.1 -8.4 GASOILINE 6.0 1.8 1.4 -2.6 -8.0 -2.4 -6.9 0.7 -3.8 -11.8 7.1 -8.5 2.1 3.9 6.5 20.0 14.6 16.3 11.9 4.9 4.6 -11.7 7.4 -0.6 -20.0 -13.1 1.9 -6.8 3.1 -5.3 5.9 -0.8 -0.1 -8.0 7.3 11.8 20.0 GAS_US 9.1 -7.9 -20.0 -2.6 -8.0 -2.4 -6.9 0.7 -3.8 5.0 -16.5 3.6 -14.5 -11.8 -15.0 -20.0 -14.0 -20.0 -19.9 -20.0 -20.0 0.6 -20.0 -8.4 20.0 -9.3 -6.1 0.9 -7.2 -0.5 -4.1 -3.5 -20.0 20.0 -7.1 -9.8 -20.0 GBP 6.0 14.4 10.2 3.7 -1.6 2.4 1.7 -0.4 3.8 -4.3 14.1 4.1 -0.3 12.7 11.9 -1.5 -1.9 -1.8 -2.0 11.5 8.8 3.1 -0.3 9.2 4.8 9.4 4.9 -0.8 2.3 1.9 -2.6 4.7 1.3 -1.8 0.0 7.3 0.3 GOLD_micro 1.3 18.0 11.5 4.2 -0.1 3.1 2.0 2.1 4.2 -9.1 12.6 -4.4 3.2 10.3 11.1 -11.3 -10.8 -11.6 -11.8 15.4 15.1 -1.1 9.0 8.4 -2.9 -13.8 5.1 -0.7 4.7 0.3 3.0 3.3 -15.2 -11.9 -12.7 9.7 8.8 HEATOIL 3.2 -10.8 -15.7 -2.6 -8.0 -2.4 -6.9 0.7 -3.8 -12.6 -11.9 -11.1 4.1 -9.8 -12.1 8.1 20.0 18.2 20.0 -11.1 -10.5 -14.7 2.2 -10.5 -2.3 -13.6 -4.4 -8.1 -3.2 -6.9 2.9 -4.9 20.0 -3.1 -4.0 -6.6 -4.1 JPY -10.7 0.2 -0.1 3.7 -1.6 2.4 1.7 -0.4 3.8 -3.5 4.7 -11.3 -6.7 -3.7 -7.1 -16.2 -13.3 -15.3 -14.6 -4.8 -1.5 -6.8 -8.4 -8.3 1.4 9.9 0.9 1.8 0.9 -0.9 -5.4 -0.4 -19.2 -5.9 -20.0 -4.8 -10.3 LEANHOG -8.5 -20.0 -20.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 6.0 -15.0 -9.9 -12.1 -14.8 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.5 -16.5 -20.0 20.0 -11.1 -6.2 0.5 -5.8 -1.7 -3.7 -4.5 -20.0 0.7 -20.0 -20.0 -20.0 LIVECOW 18.6 1.1 8.8 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -3.4 13.6 11.7 10.5 13.8 13.1 20.0 5.3 20.0 20.0 16.1 13.0 9.7 9.2 17.0 -20.0 12.0 4.9 -0.2 4.5 2.7 4.0 5.0 18.2 9.5 20.0 17.1 20.0 MXP 6.2 1.3 5.5 3.7 -1.6 2.4 1.7 -0.4 3.8 -4.8 15.3 11.9 15.5 15.0 15.3 17.7 20.0 18.8 19.9 17.3 20.0 6.0 20.0 12.2 -20.0 9.7 5.8 -1.1 8.3 1.5 9.1 3.5 20.0 4.1 -2.4 -2.9 19.1 NASDAQ -1.0 17.8 20.0 3.7 -2.6 2.8 1.7 1.4 4.0 -10.0 8.6 -2.6 -6.4 10.5 13.9 -8.7 -5.8 -7.9 -7.1 16.4 13.4 -5.2 0.4 7.8 -2.8 10.2 5.4 -5.8 5.4 -1.9 2.6 2.3 -3.3 -15.0 -18.8 13.8 16.8 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 -3.9 -2.5 -1.1 3.7 -1.6 2.4 1.7 -0.4 3.8 -13.0 6.6 -13.6 -1.5 -5.0 -8.9 1.3 0.6 0.9 0.6 -4.4 -1.6 -9.3 -3.2 -6.7 3.9 10.8 -1.4 -5.9 -0.4 -4.7 -2.1 -2.6 5.6 -10.7 -18.7 -12.6 -12.4 OAT -7.7 12.9 5.1 2.8 3.2 1.1 1.0 -2.6 2.0 5.4 -8.1 -10.3 -13.0 0.2 -3.9 10.9 12.1 10.6 11.4 -4.4 -7.8 -4.3 -16.2 -5.8 5.7 12.7 1.4 4.1 -1.0 0.5 -7.1 0.8 20.0 -2.9 -7.0 -11.5 -4.9 OJ 18.3 20.0 -3.3 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 13.9 15.9 15.5 15.6 16.0 16.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.6 3.9 7.7 3.7 7.9 4.9 20.0 20.0 20.0 20.0 20.0 PALLAD 20.0 20.0 -14.9 4.2 -0.1 3.1 2.0 2.1 4.2 -5.5 -13.2 4.9 -14.1 7.9 -6.3 -3.2 -2.3 -2.9 -2.7 -2.3 -16.2 4.1 -20.0 8.8 20.0 -11.1 1.7 -5.1 -2.4 2.4 -3.7 5.0 0.0 12.2 9.6 -12.9 -20.0 PLAT 20.0 14.4 -4.3 4.2 -0.1 3.1 2.0 2.1 4.2 5.9 7.6 11.5 2.7 13.6 6.9 -2.6 -1.5 -2.3 -2.0 13.7 6.8 20.0 3.5 20.0 -0.2 11.2 4.4 2.6 2.0 6.5 0.8 7.1 1.4 20.0 20.0 2.4 -15.8 REDWHEAT -0.9 9.9 0.1 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.9 -8.0 -11.0 -11.2 2.8 2.5 8.9 5.5 9.7 8.3 -1.4 -5.3 -16.1 -6.1 -4.8 -1.9 12.9 -1.6 -12.0 -1.9 -8.3 -0.3 -3.6 0.9 -20.0 -10.1 0.3 -0.8 ROBUSTA 20.0 18.3 20.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 10.6 11.6 15.0 6.6 15.9 16.0 12.9 10.1 11.5 11.0 20.0 20.0 20.0 12.7 20.0 -9.2 9.6 6.3 3.7 4.4 4.8 2.3 6.2 7.2 20.0 20.0 20.0 20.0 RUSSELL 4.5 -17.2 -0.6 3.7 -2.6 2.8 1.7 1.4 4.0 -9.8 -5.4 -0.3 -9.2 -8.9 -10.7 -5.7 -4.4 -5.6 -5.4 -8.5 -7.3 -5.1 -6.8 -5.1 8.2 10.0 -3.3 -6.6 -1.5 -3.4 -0.4 -3.3 -0.7 -11.5 -20.0 -20.0 -15.6 SILVER-mini 20.0 20.0 4.5 4.2 -0.1 3.1 2.0 2.1 4.2 -12.6 11.3 6.8 2.1 13.0 11.9 -6.4 -5.0 -6.1 -5.7 20.0 13.8 6.2 6.0 19.8 -5.0 -11.3 4.5 -1.2 2.7 1.4 0.7 4.5 -5.0 -8.7 7.3 6.3 -12.0 SOYBEAN -0.6 -18.4 -16.5 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.9 -6.0 -10.1 -2.8 -7.9 -8.4 20.0 20.0 20.0 20.0 -15.0 -11.8 -19.3 -3.4 -14.9 0.9 -11.7 -5.1 -7.6 -3.8 -5.4 -0.4 -4.7 20.0 -20.0 -1.5 -20.0 -20.0 SOYMEAL -7.6 -20.0 3.9 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.8 9.3 -8.8 11.6 -7.0 -3.6 20.0 20.0 20.0 20.0 -2.8 8.9 -16.7 16.4 -10.2 -20.0 -12.0 -2.1 -10.2 3.1 -7.1 7.8 -4.7 20.0 -13.4 -0.3 -8.6 7.7 SOYOIL -4.8 -17.4 -20.0 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.5 -12.4 -11.6 -5.5 -11.8 -12.5 4.8 11.8 3.3 6.3 -20.0 -19.4 -17.5 -8.5 -17.3 8.1 12.9 -6.0 -6.4 -5.5 -4.6 -2.1 -4.8 5.0 -17.1 -8.4 -20.0 -20.0 SP400 6.6 -17.2 -0.7 3.7 -2.6 2.8 1.7 1.4 4.0 -9.3 1.3 2.7 -1.6 -3.5 -6.6 -5.0 -4.2 -5.2 -4.9 -5.0 -2.9 -2.6 -0.7 -1.8 4.5 10.2 -2.8 -5.2 -0.9 -2.5 0.8 -2.5 -0.0 -10.4 -20.0 -20.0 -16.1 SP500 12.6 7.8 9.7 3.7 -2.6 2.8 1.7 1.4 4.0 -8.0 7.9 7.1 -4.8 12.7 10.2 -8.8 -6.2 -8.1 -7.4 10.1 5.8 0.7 -0.7 9.7 2.3 10.2 4.7 -6.2 3.7 -0.5 1.3 3.6 -3.7 -7.3 -7.8 1.9 -0.8 SUGAR11 20.0 17.1 16.9 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 13.6 16.0 15.4 13.7 16.1 16.4 10.4 20.0 20.0 20.0 20.0 20.0 20.0 17.6 20.0 -20.0 -10.5 6.3 6.8 5.1 6.8 3.9 7.0 20.0 20.0 20.0 20.0 20.0 US10 0.5 20.0 12.8 2.8 3.2 1.1 1.0 -2.6 2.0 7.6 2.2 -3.8 -10.1 8.9 8.7 -9.9 -5.1 -9.1 -8.2 5.9 1.0 3.1 -9.8 3.9 -2.3 9.7 4.2 4.9 2.3 2.5 -2.0 3.4 -10.5 6.4 4.8 6.8 2.2 US10U -0.3 18.3 11.8 2.8 3.2 1.1 1.0 -2.6 2.0 7.1 2.1 -4.3 -10.1 8.0 8.1 -5.7 1.1 -2.4 -1.1 4.9 0.5 2.3 -10.2 2.8 -4.7 -14.1 4.4 5.1 2.9 2.3 -1.4 3.2 1.1 4.0 4.5 3.9 4.3 US20 -0.3 16.5 11.8 2.8 3.2 1.1 1.0 -2.6 2.0 6.2 4.0 -4.8 -8.6 8.0 8.3 -1.1 -1.5 -2.4 -2.7 5.0 1.0 2.0 -9.7 2.5 -2.1 -12.3 4.0 5.4 2.4 2.1 -1.8 2.9 -2.6 0.8 4.4 2.7 0.8 US30 -1.7 10.4 9.0 2.8 3.2 1.1 1.0 -2.6 2.0 4.5 2.7 -5.5 -10.2 4.8 3.4 -1.4 -0.7 -1.2 -1.1 1.5 -1.8 0.3 -13.1 -0.5 -5.5 10.0 3.8 6.1 2.6 2.0 -2.5 2.4 -0.5 -1.1 3.1 -4.8 0.2 US5 0.7 20.0 16.0 2.8 3.2 1.1 1.0 -2.6 2.0 8.6 1.7 -2.7 -10.4 9.2 8.9 -9.6 -5.5 -9.6 -8.9 5.9 0.9 3.9 -9.6 4.2 -0.3 10.8 4.0 5.1 1.9 2.6 -2.8 3.4 -11.5 8.4 4.7 8.4 -0.1 VIX -9.3 5.3 2.3 -3.4 4.9 -6.3 0.4 -7.6 -1.7 8.9 -13.6 -5.0 -13.7 -11.5 -11.1 -20.0 -20.0 -20.0 -20.0 -8.7 -12.3 -1.9 -14.6 -7.5 NaN -13.5 -4.0 5.8 -8.1 0.7 -10.5 -2.0 NaN NaN NaN NaN NaN WHEAT -3.5 -1.9 -9.5 -3.3 -8.1 -3.7 -5.0 -2.8 -3.4 -13.8 -14.5 -12.5 -15.0 -13.0 -12.9 -12.6 -8.8 -12.1 -10.8 -16.3 -19.4 -19.8 -17.2 -15.4 9.4 11.9 -5.5 -9.2 -5.2 -7.2 -3.0 -5.7 -20.0 -15.2 -17.1 -18.6 -15.2 End of report for caleb_strategy_v1