******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230426_204655 produced at 2023-04-26 21:37:42.574913 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.20 -0.27 0.0 4.943318e+07 -4.943318e+07 -0.20 -0.25 -5.46 999999999.0 -4 -5 caleb_strategy_v1 VIX False False 0.01 -0.20 -0.22 0.0 9.625193e+06 -9.625193e+06 -0.20 -0.21 -23.22 999999999.0 -21 -22 caleb_strategy_v1 JPY False False 0.04 -0.38 -0.13 0.0 3.832817e+07 -3.832817e+07 -0.38 -0.38 -3.49 999999999.0 -10 -10 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.733995e+07 -5.733995e+07 -0.11 -0.11 -2.07 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.353252e+07 -5.353252e+07 0.00 0.00 -1.77 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.06 -0.11 -0.09 0.0 5.620534e+07 -5.620534e+07 -0.11 -0.11 -1.65 999999999.0 -2 -2 caleb_strategy_v1 LEANHOG False False 0.02 -0.12 -0.09 0.0 1.501043e+07 -1.501043e+07 -0.12 -0.11 -6.27 999999999.0 -8 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.09 -0.05 0.0 4.689743e+07 -4.689743e+07 -0.09 -0.09 -1.16 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.138357e+07 -6.138357e+07 0.00 0.00 -0.71 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.06 -0.04 0.0 8.125368e+06 -8.125368e+06 -0.06 -0.06 -5.02 999999999.0 -7 -7 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.197666e+07 -1.197666e+07 -0.06 -0.06 -1.68 999999999.0 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.211960e+07 -4.211960e+07 0.00 0.00 -0.26 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.215333e+06 -1.215333e+06 -0.02 -0.02 -5.36 999999999.0 -14 -14 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.550981e+07 -2.550981e+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 1.020595e+07 -1.020595e+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 4.048210e+07 -4.048210e+07 0.00 -0.04 -0.05 999999999.0 0 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.136568e+07 -6.136568e+07 0.00 0.00 -0.03 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.588969e+07 -1.588969e+07 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.272231e+07 -1.272231e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.00 0.0 4.693931e+07 -4.693931e+07 0.00 0.00 -0.10 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.00 0.0 4.472148e+07 -4.472148e+07 0.00 0.00 0.09 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.643898e+07 -1.643898e+07 0.00 0.00 -0.29 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.25 -0.00 0.0 3.531877e+06 -3.531877e+06 -0.25 -0.31 -0.90 999999999.0 -71 -89 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.363569e+07 -1.363569e+07 -0.03 -0.03 -0.37 999999999.0 -2 -2 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.00 0.0 1.911208e+07 -1.911208e+07 0.02 0.02 0.19 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 -0.00 0.0 2.802271e+07 -2.802271e+07 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.913534e+07 -3.913534e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.171723e+07 -1.171723e+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 1.712634e+07 -1.712634e+07 0.02 0.02 0.32 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.914210e+07 -2.914210e+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 1.595670e+07 -1.595670e+07 0.03 0.03 0.76 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.683073e+07 -2.683073e+07 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 7.073211e+06 -7.073211e+06 0.01 0.02 2.07 999999999.0 2 3 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.483056e+07 -2.483056e+07 0.00 0.00 0.79 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.277361e+07 -8.277361e+07 0.00 0.00 0.21 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.79 0.02 0.0 9.922477e+07 -9.922477e+07 0.79 0.79 0.22 999999999.0 8 8 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.103648e+07 -1.103648e+07 0.06 0.06 1.98 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.238771e+07 -2.238771e+07 0.02 0.02 0.88 999999999.0 1 1 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.782918e+06 -6.782918e+06 0.00 0.00 2.24 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.775459e+06 -9.775459e+06 0.02 0.02 2.37 999999999.0 2 2 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.03 0.0 1.045816e+08 -1.045816e+08 0.00 0.00 0.33 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.739072e+07 -5.739072e+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 2.573825e+07 -2.573825e+07 0.00 0.00 0.98 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.03 0.0 4.362163e+06 -4.362163e+06 0.00 0.00 6.18 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.107709e+07 -1.107709e+07 0.00 0.00 3.42 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.05 0.0 2.924109e+07 -2.924109e+07 0.12 0.12 1.79 999999999.0 4 4 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.979748e+07 -2.979748e+07 0.00 0.00 1.67 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.25 0.05 0.0 3.166008e+07 -3.166008e+07 0.25 0.28 1.46 999999999.0 8 9 caleb_strategy_v1 BTP False False 0.05 0.15 0.05 0.0 5.090160e+07 -5.090160e+07 0.15 0.15 1.08 999999999.0 3 3 caleb_strategy_v1 CAC False False 0.03 0.07 0.07 0.0 3.298988e+07 -3.298988e+07 0.07 0.07 2.25 999999999.0 2 2 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.769324e+07 -5.769324e+07 0.00 0.00 1.33 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.673529e+07 -2.673529e+07 0.00 0.00 4.16 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 4.58 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.36 0.26 0.0 6.021444e+07 -6.021444e+07 0.36 0.36 4.40 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.38 0.0 5.252142e+07 -5.252142e+07 0.00 0.00 7.19 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.41 0.0 0.000000e+00 0.000000e+00 0.00 0.00 47.51 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 17.1 Shocked risk 52.4 Sum abs risk 46.5 Leverage 3.31 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2462288.37, 'annual_cash_vol_target': 615572.0925, 'daily_cash_vol_target': 38473.25578125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6606 0.7443 11.9091 BITCOIN 991.3719 29925.0000 3.3129 53.0057 BOBL 0.4379 117.7000 0.3720 5.9524 BTP 0.6764 114.0700 0.5929 9.4869 BUND 0.8030 134.9400 0.5951 9.5214 BUXL 1.8322 137.5600 1.3320 21.3113 CAC 62.4030 7393.0000 0.8441 13.5053 CAD 0.0032 0.7337 0.4296 6.8740 CANOLA 7.7471 732.1000 1.0582 16.9312 CHF 0.0056 1.1295 0.4988 7.9807 COCOA 33.5644 2949.0000 1.1382 18.2106 COFFEE 3.7865 191.3500 1.9788 31.6614 COPPER 0.0463 3.8545 1.2010 19.2154 CORN 5.0292 543.5000 0.9253 14.8054 COTTON2 1.4026 78.5800 1.7849 28.5583 CRUDE_W 1.3354 72.0000 1.8548 29.6765 DAX 132.3997 15851.0000 0.8353 13.3644 DOW 229.1675 33403.0000 0.6861 10.9771 EUR 0.0057 1.1072 0.5140 8.2233 EUROSTX 39.9969 4283.0000 0.9339 14.9417 FEEDCOW 1.2677 230.9500 0.5489 8.7827 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.9353 690.0000 2.0196 32.3137 GASOILINE 0.0450 2.4693 1.8241 29.1856 GAS_US 0.1084 2.5130 4.3156 69.0489 GBP 0.0069 1.2473 0.5498 8.7962 GOLD_micro 17.4927 2000.7000 0.8743 13.9893 HEATOIL 0.0418 2.3733 1.7605 28.1678 JPY 0.0000 0.0076 0.5938 9.5012 LEANHOG 1.3439 92.4000 1.4545 23.2713 LIVECOW 0.9466 164.5750 0.5752 9.2027 MXP 0.0004 0.0546 0.6846 10.9531 NASDAQ 112.8028 12875.5000 0.8761 14.0177 NIKKEI 227.1300 28285.0000 0.8030 12.8481 NZD 0.0045 0.6114 0.7284 11.6545 OAT 0.7395 129.2900 0.5720 9.1516 OJ 4.3662 269.8500 1.6180 25.8881 PALLAD 33.3615 1511.0000 2.2079 35.3266 PLAT 18.5210 1102.5000 1.6799 26.8785 REDWHEAT 12.4564 782.5000 1.5919 25.4700 ROBUSTA 28.2715 2407.0000 1.1746 18.7929 RUSSELL 20.3604 1739.3000 1.1706 18.7297 SILVER-mini 0.3460 25.1250 1.3769 22.0309 SOYBEAN 10.4113 1267.5000 0.8214 13.1425 SOYMEAL 4.8392 421.7000 1.1476 18.3609 SOYOIL 0.7489 52.2100 1.4345 22.9518 SP400 24.6625 2443.2000 1.0094 16.1510 SP500 30.2558 4076.2500 0.7422 11.8759 SUGAR11 0.3647 25.7600 1.4159 22.6545 US10 0.5274 115.5781 0.4563 7.3010 US10U 0.6882 121.7188 0.5654 9.0470 US20 0.9580 131.8125 0.7268 11.6283 US30 1.3600 141.3125 0.9624 15.3984 US5 0.3929 110.1172 0.3568 5.7087 VIX 0.6246 23.7000 2.6352 42.1638 WHEAT 9.9308 671.5000 1.4789 23.6623 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.65 0.74 491.73 1.00 491.73 38473.26 78.24 2.52 19.71 BITCOIN 29.92 3.31 99.14 1.00 99.14 38473.26 388.08 -5.86 -227.41 BOBL 1177.00 0.37 437.88 1.11 483.96 38473.26 79.50 12.53 99.62 BTP 1140.70 0.59 676.36 1.11 747.55 38473.26 51.47 10.36 53.32 BUND 1349.40 0.60 803.01 1.11 887.53 38473.26 43.35 14.07 60.98 BUXL 1375.60 1.33 1832.24 1.11 2025.08 38473.26 19.00 -4.48 -8.50 CAC 739.30 0.84 624.03 1.11 689.71 38473.26 55.78 14.32 79.89 CAD 733.70 0.43 315.22 1.00 315.22 38473.26 122.05 7.66 93.51 CANOLA 146.42 1.06 154.94 0.74 114.36 38473.26 336.43 20.00 672.87 CHF 1411.88 0.50 704.23 1.00 704.23 38473.26 54.63 -10.12 -55.27 COCOA 294.90 1.14 335.64 1.00 335.64 38473.26 114.63 -6.72 -77.08 COFFEE 717.56 1.98 1419.94 1.00 1419.94 38473.26 27.09 11.55 31.30 COPPER 963.62 1.20 1157.28 1.00 1157.28 38473.26 33.24 3.97 13.19 CORN 271.75 0.93 251.46 1.00 251.46 38473.26 153.00 14.31 218.99 COTTON2 392.90 1.78 701.28 1.00 701.28 38473.26 54.86 9.19 50.44 CRUDE_W 720.00 1.85 1335.44 1.00 1335.44 38473.26 28.81 4.72 13.59 DAX 158.51 0.84 132.40 1.11 146.33 38473.26 262.91 1.45 38.05 DOW 167.02 0.69 114.58 1.00 114.58 38473.26 335.77 2.34 78.44 EUR 1383.94 0.51 711.28 1.00 711.28 38473.26 54.09 -8.15 -44.06 EUROSTX 428.30 0.93 399.97 1.11 442.07 38473.26 87.03 0.78 6.75 FEEDCOW 1154.75 0.55 633.86 1.00 633.86 38473.26 60.70 -7.14 -43.34 FTSE100 707.00 0.82 576.59 1.25 666.67 38473.26 57.71 7.70 44.42 GASOIL 690.00 2.02 1393.53 1.00 1393.53 38473.26 27.61 -0.34 -0.94 GASOILINE 1037.11 1.82 1891.79 1.00 1891.79 38473.26 20.34 -3.14 -6.39 GAS_US 251.30 4.32 1084.50 1.00 1084.50 38473.26 35.48 -17.47 -61.97 GBP 779.56 0.55 428.57 1.00 428.57 38473.26 89.77 9.09 81.64 GOLD_micro 200.07 0.87 174.93 1.00 174.93 38473.26 219.94 -10.20 -224.32 HEATOIL 996.79 1.76 1754.83 1.00 1754.83 38473.26 21.92 -0.33 -0.73 JPY 943.75 0.59 560.42 1.00 560.42 38473.26 68.65 -7.85 -53.89 LEANHOG 369.60 1.45 537.57 1.00 537.57 38473.26 71.57 -18.76 -134.27 LIVECOW 658.30 0.58 378.63 1.00 378.63 38473.26 101.61 15.23 154.77 MXP 272.75 0.68 186.72 1.00 186.72 38473.26 206.05 13.56 279.45 NASDAQ 2575.10 0.88 2256.06 1.00 2256.06 38473.26 17.05 3.54 6.03 NIKKEI 28285.00 0.80 22713.00 0.01 169.27 38473.26 227.28 11.00 250.12 NZD 611.40 0.73 445.35 1.00 445.35 38473.26 86.39 5.70 49.23 OAT 1292.90 0.57 739.50 1.11 817.34 38473.26 47.07 14.04 66.10 OJ 404.78 1.62 654.93 1.00 654.93 38473.26 58.74 -2.79 -16.39 PALLAD 1511.00 2.21 3336.15 1.00 3336.15 38473.26 11.53 -1.02 -1.17 PLAT 551.25 1.68 926.05 1.00 926.05 38473.26 41.55 8.85 36.75 REDWHEAT 391.25 1.59 622.82 1.00 622.82 38473.26 61.77 4.80 29.65 ROBUSTA 240.70 1.17 282.72 1.00 282.72 38473.26 136.08 13.45 183.06 RUSSELL 86.96 1.17 101.80 1.00 101.80 38473.26 377.92 -0.46 -17.46 SILVER-mini 628.12 1.38 864.88 1.00 864.88 38473.26 44.48 -5.33 -23.73 SOYBEAN 633.75 0.82 520.57 1.00 520.57 38473.26 73.91 2.26 16.69 SOYMEAL 421.70 1.15 483.92 1.00 483.92 38473.26 79.50 0.68 5.37 SOYOIL 313.26 1.43 449.37 1.00 449.37 38473.26 85.62 4.73 40.48 SP400 2443.20 1.01 2466.25 1.00 2466.25 38473.26 15.60 2.69 4.19 SP500 2038.12 0.74 1512.79 1.00 1512.79 38473.26 25.43 2.95 7.50 SUGAR11 288.51 1.42 408.51 1.00 408.51 38473.26 94.18 6.11 57.50 US10 1155.78 0.46 527.39 1.00 527.39 38473.26 72.95 -0.37 -2.71 US10U 1217.19 0.57 688.24 1.00 688.24 38473.26 55.90 -6.71 -37.49 US20 1318.12 0.73 957.98 1.00 957.98 38473.26 40.16 -5.97 -23.96 US30 1413.12 0.96 1359.99 1.00 1359.99 38473.26 28.29 2.54 7.18 US5 1101.17 0.36 392.89 1.00 392.89 38473.26 97.92 0.24 2.33 VIX 237.00 2.64 624.55 1.00 624.55 38473.26 61.60 -20.00 -123.20 WHEAT 335.75 1.48 496.54 1.00 496.54 38473.26 77.48 -8.85 -68.56 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 19.705 0.006 2.5 0.315 BITCOIN -227.413 0.009 2.5 -5.358 BOBL 99.618 0.029 2.5 7.188 BTP 53.322 0.008 2.5 1.077 BUND 60.983 0.029 2.5 4.400 BUXL -8.503 0.034 2.5 -0.714 CAC 79.893 0.011 2.5 2.246 CAD 93.505 0.007 2.5 1.670 CANOLA 672.865 0.004 2.5 6.177 CHF -55.266 0.015 2.5 -2.068 COCOA -77.077 0.009 2.5 -1.679 COFFEE 31.295 0.005 2.5 0.406 COPPER 13.188 0.011 2.5 0.360 CORN 218.993 0.004 2.5 1.975 COTTON2 50.442 0.006 2.5 0.760 CRUDE_W 13.586 0.053 2.5 1.795 DAX 38.052 0.022 2.5 2.067 DOW 78.440 0.011 2.5 2.235 EUR -44.060 0.015 2.5 -1.649 EUROSTX 6.747 0.011 2.5 0.190 FEEDCOW -43.337 0.011 2.5 -1.165 FTSE100 44.423 0.041 2.5 4.580 GASOIL -0.940 0.029 2.5 -0.067 GASOILINE -6.392 0.016 2.5 -0.262 GAS_US -61.969 0.006 2.5 -0.933 GBP 81.639 0.007 2.5 1.458 GOLD_micro -224.324 0.009 2.5 -5.019 HEATOIL -0.734 0.029 2.5 -0.052 JPY -53.893 0.026 2.5 -3.488 LEANHOG -134.266 0.019 2.5 -6.273 LIVECOW 154.771 0.011 2.5 4.159 MXP 279.450 0.005 2.5 3.421 NASDAQ 6.029 0.022 2.5 0.327 NIKKEI 250.118 0.076 2.5 47.506 NZD 49.235 0.006 2.5 0.787 OAT 66.096 0.008 2.5 1.335 OJ -16.392 0.007 2.5 -0.286 PALLAD -1.173 0.010 2.5 -0.028 PLAT 36.754 0.010 2.5 0.884 REDWHEAT 29.654 0.002 2.5 0.158 ROBUSTA 183.062 0.005 2.5 2.373 RUSSELL -17.458 0.021 2.5 -0.904 SILVER-mini -23.732 0.009 2.5 -0.531 SOYBEAN 16.691 0.024 2.5 0.984 SOYMEAL 5.369 0.024 2.5 0.317 SOYOIL 40.477 0.004 2.5 0.372 SP400 4.195 0.021 2.5 0.217 SP500 7.500 0.011 2.5 0.214 SUGAR11 57.504 0.005 2.5 0.780 US10 -2.707 0.015 2.5 -0.104 US10U -37.492 0.058 2.5 -5.463 US20 -23.964 0.029 2.5 -1.766 US30 7.177 0.034 2.5 0.602 US5 2.327 0.015 2.5 0.089 VIX -123.203 0.075 2.5 -23.218 WHEAT -68.561 0.002 2.5 -0.366 ==================== Position diags ==================== AUD 1.25 BITCOIN 9.14 BOBL 5.74 BTP 1.04 BUND 3.13 BUXL 1.59 CAC 1.57 CAD 2.18 CANOLA 3.09 CHF 2.04 COCOA 2.50 COFFEE 0.35 COPPER 0.91 CORN 1.38 COTTON2 0.83 CRUDE_W 3.81 DAX 14.28 DOW 9.57 EUR 2.02 EUROSTX 2.45 FEEDCOW 1.63 FTSE100 5.95 GASOIL 1.97 GASOILINE 0.84 GAS_US 0.53 GBP 1.60 GOLD_micro 4.92 HEATOIL 1.56 JPY 4.44 LEANHOG 3.34 LIVECOW 2.73 MXP 2.52 NASDAQ 0.93 NIKKEI 43.17 NZD 1.38 OAT 0.95 OJ 1.02 PALLAD 0.28 PLAT 1.00 REDWHEAT 0.33 ROBUSTA 1.76 RUSSELL 19.57 SILVER-mini 1.00 SOYBEAN 4.36 SOYMEAL 4.69 SOYOIL 0.79 SP400 0.81 SP500 0.72 SUGAR11 1.28 US10 2.80 US10U 8.14 US20 2.96 US30 2.37 US5 3.76 VIX 11.61 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.2 0.4 0.0 0 BITCOIN -5.4 -6.3 -4.4 -14.0 -14 BOBL 7.2 6.6 7.8 0.0 0 BTP 1.1 1.0 1.2 3.0 3 BUND 4.4 4.1 4.7 6.0 6 BUXL -0.7 -0.9 -0.6 0.0 0 CAC 2.2 2.1 2.4 2.0 2 CAD 1.7 1.5 1.9 0.0 0 CANOLA 6.2 5.9 6.5 NaN 0 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA -1.7 -1.9 -1.4 -5.0 -5 COFFEE 0.4 0.4 0.4 1.0 1 COPPER 0.4 0.3 0.5 0.0 0 CORN 2.0 1.8 2.1 5.0 5 COTTON2 0.8 0.7 0.8 2.0 2 CRUDE_W 1.8 1.4 2.2 4.0 4 DAX 2.1 0.6 3.5 2.0 2 DOW 2.2 1.3 3.2 0.0 0 EUR -1.6 -1.9 -1.4 -2.0 -2 EUROSTX 0.2 -0.1 0.4 1.0 1 FEEDCOW -1.2 -1.3 -1.0 -2.0 -2 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL -0.1 -0.3 0.1 0.0 0 GASOILINE -0.3 -0.3 -0.2 0.0 0 GAS_US -0.9 -1.0 -0.9 -2.0 -2 GBP 1.5 1.3 1.6 8.0 8 GOLD_micro -5.0 -5.5 -4.5 -7.0 -7 HEATOIL -0.1 -0.2 0.1 0.0 0 JPY -3.5 -3.9 -3.0 -10.0 -10 LEANHOG -6.3 -6.6 -5.9 -8.0 -8 LIVECOW 4.2 3.9 4.4 0.0 0 MXP 3.4 3.2 3.7 0.0 0 NASDAQ 0.3 0.2 0.4 0.0 0 NIKKEI 47.5 43.2 51.8 0.0 0 NZD 0.8 0.6 0.9 0.0 0 OAT 1.3 1.2 1.4 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.0 -0.1 -0.0 0.0 0 PLAT 0.9 0.8 1.0 1.0 1 REDWHEAT 0.2 0.1 0.2 0.0 0 ROBUSTA 2.4 2.2 2.5 2.0 2 RUSSELL -0.9 -2.9 1.1 -71.0 -71 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.0 0.5 1.4 0.0 0 SOYMEAL 0.3 -0.2 0.8 1.0 1 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.2 0.1 0.3 8.0 8 SP500 0.2 0.1 0.3 0.0 0 SUGAR11 0.8 0.7 0.9 0.0 0 US10 -0.1 -0.4 0.2 NaN 0 US10U -5.5 -6.3 -4.6 -4.0 -4 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 0.0 0 VIX -23.2 -24.4 -22.1 -21.0 -21 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 -0.1 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 -0.3 -0.3 -0.2 BITCOIN -0.0 0.3 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 0.1 0.0 0.1 -0.0 0.0 0.0 0.1 -0.1 -0.4 -0.3 0.3 BOBL -0.1 0.2 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 0.2 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 0.1 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 0.5 -0.0 -0.2 -0.2 -0.2 CAC 0.2 0.0 0.2 0.1 -0.1 0.1 0.0 0.0 0.0 -0.0 0.4 0.0 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 0.1 0.0 -0.1 0.1 CAD 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -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 -0.1 -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 0.7 0.4 0.4 -0.2 -0.2 -0.0 -0.2 -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 0.3 0.1 COCOA 0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 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 -1.4 0.2 0.4 0.3 0.3 COFFEE 0.2 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -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 1.2 2.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.4 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 0.5 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 -0.0 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.1 -0.0 -0.3 0.9 0.8 0.3 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.5 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.4 -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 -0.3 0.2 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 3.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.0 0.0 -0.0 -0.0 CRUDE_W 0.1 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 0.1 0.8 0.5 0.2 0.2 0.0 -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 0.0 0.4 0.1 0.1 DAX 0.1 -0.0 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 0.2 0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 -0.1 0.2 0.0 0.1 0.0 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 0.2 0.1 0.1 EUROSTX 0.1 0.0 0.2 0.1 -0.0 0.1 0.0 0.0 0.0 -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 -0.1 -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 -0.1 -0.2 -0.3 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.3 -0.1 0.1 -0.1 -0.3 0.7 0.9 0.4 0.4 -0.2 -0.1 -0.0 0.0 -0.0 0.5 -3.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.5 -0.0 -0.1 -0.1 -0.1 GASOILINE 0.0 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 0.1 1.7 0.6 0.4 0.3 0.0 0.0 -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 0.2 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 -0.1 -0.4 -1.6 -0.6 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 2.4 -1.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.3 -0.1 -0.1 -0.3 GBP 0.0 0.2 0.2 0.1 -0.0 0.1 0.0 -0.0 0.0 -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 -0.3 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 -0.1 -0.3 -0.0 0.1 -0.0 -0.3 0.6 0.9 0.4 0.5 -0.2 -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 0.0 -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 -0.0 -0.4 -0.1 -0.2 LEANHOG -0.0 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -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 -0.3 -0.3 -0.3 LIVECOW 0.2 0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.3 0.0 0.3 0.0 0.3 1.6 0.3 0.4 0.4 0.2 0.2 0.0 0.1 0.0 -3.3 2.6 0.1 0.0 0.1 0.0 0.0 0.0 2.8 0.0 0.4 0.2 0.3 MXP 0.0 0.1 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 1.4 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 -0.0 0.1 0.0 0.1 0.0 2.2 0.0 -0.1 -0.1 0.3 NASDAQ -0.0 0.3 0.4 0.1 -0.1 0.1 0.0 0.0 0.1 -0.1 0.2 -0.0 -0.2 0.0 0.3 -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 -0.1 -0.4 0.2 0.3 NIKKEI 0.1 0.1 0.2 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.0 0.2 0.1 0.3 0.2 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 0.1 0.2 0.0 NZD -0.1 -0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.0 -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 -0.1 -0.1 OJ 0.0 0.4 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.1 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.5 0.3 0.3 PALLAD 0.2 0.2 -0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -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 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 0.0 0.0 0.7 0.2 0.2 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 2.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.2 -0.3 0.0 -0.0 ROBUSTA 0.2 0.3 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 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 0.2 0.0 -1.6 2.1 0.1 0.0 0.1 0.0 0.0 0.0 1.0 0.0 0.4 0.3 0.3 RUSSELL 0.0 -0.3 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.1 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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -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 0.2 -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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.0 0.3 -0.0 -0.1 1.6 0.8 0.4 0.4 -0.1 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 -0.2 -0.1 -0.1 0.1 SOYOIL -0.1 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -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 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.8 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 0.1 0.1 0.2 0.1 -0.1 0.1 0.0 0.0 0.1 -0.1 0.2 -0.0 -0.1 0.0 0.2 -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 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 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 0.2 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 0.1 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 -0.1 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 0.2 0.2 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.0 -0.5 -0.0 -0.5 -0.0 -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 -0.1 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 -0.3 -1.0 -0.4 -0.3 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.5 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -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 0.7 -4.9 -2.5 3.6 -2.4 2.5 0.8 -0.3 3.4 -13.0 0.7 -9.7 -5.1 -4.8 -11.0 -3.8 -3.0 -3.6 -3.5 -6.0 -5.0 -10.0 -5.8 -5.9 12.1 11.7 -2.2 -10.5 -2.5 -5.0 -3.4 -1.9 -0.9 -7.5 -12.1 -20.0 -12.7 BITCOIN -2.3 16.1 20.0 4.2 -0.2 3.1 1.7 2.1 4.0 2.0 13.4 -1.7 -7.9 11.5 13.8 -3.8 -2.0 -3.4 -2.5 14.2 12.4 0.2 0.4 6.9 4.7 -18.1 4.4 2.5 4.8 -0.9 1.7 1.0 0.6 -10.9 -20.0 -18.1 15.2 BOBL -8.0 14.9 18.7 2.9 3.2 1.2 1.7 -2.6 2.3 10.8 -7.6 -6.8 -12.8 1.2 1.4 9.8 6.0 4.3 3.8 -2.7 -7.1 -0.3 -15.6 -3.6 10.8 10.8 2.1 5.0 -1.0 1.9 -6.8 1.8 9.6 2.0 -8.3 -4.5 -5.1 BTP -10.1 6.5 7.6 2.9 3.2 1.2 1.7 -2.6 2.3 2.3 5.3 -10.4 -8.6 2.2 3.9 7.9 11.7 8.5 10.3 0.4 0.6 -3.9 -9.8 -4.3 -9.9 11.4 3.1 2.5 2.6 0.3 -3.4 0.9 20.0 -4.4 -8.7 -12.4 4.5 BUND -8.5 12.0 11.5 2.9 3.2 1.2 1.7 -2.6 2.3 8.8 -8.4 -8.0 -13.1 -0.1 -1.8 6.3 12.8 8.0 10.1 -3.8 -8.0 -1.8 -17.2 -4.8 8.1 12.3 1.9 4.5 -0.8 1.5 -7.0 1.4 20.0 -1.2 -8.5 -8.2 -3.7 BUXL -9.8 8.1 2.1 2.9 3.2 1.2 1.7 -2.6 2.3 4.7 -10.5 -9.0 -13.6 -4.9 -7.3 1.7 0.9 2.2 2.4 -7.8 -11.2 -4.0 -19.2 -7.7 7.9 -10.8 0.1 2.5 -1.9 0.4 -6.4 -0.1 4.1 -3.8 -10.3 -13.1 -11.6 CAC 17.5 1.4 12.4 3.5 -4.8 2.8 0.2 1.4 3.3 -5.5 15.5 11.3 12.9 14.9 15.0 18.4 3.8 9.8 5.0 19.3 20.0 9.2 18.5 17.4 -15.6 8.9 4.9 -3.3 6.0 2.0 5.8 4.3 14.4 13.0 2.3 -6.3 5.9 CAD 5.8 8.1 2.1 3.6 -2.4 2.5 0.8 -0.3 3.4 -14.0 -5.4 -9.0 -9.8 3.6 1.9 -3.0 -1.9 -2.7 -2.4 0.6 -3.8 -13.7 -9.4 -1.9 17.8 10.4 1.2 -10.0 -0.9 -5.3 -3.4 0.2 0.9 -20.0 -4.1 -9.5 -5.9 CANOLA 1.7 -15.6 -20.0 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -10.0 -10.3 -10.9 -12.5 -8.2 -10.2 20.0 17.8 20.0 20.0 -20.0 -20.0 -11.1 -14.7 -15.6 18.2 13.2 -5.7 -1.2 -5.6 -2.3 -3.4 -3.9 20.0 -3.7 -5.7 -20.0 -20.0 CHF 16.5 14.7 7.3 3.6 -2.4 2.5 0.8 -0.3 3.4 5.2 13.5 11.8 7.1 13.9 12.3 -13.6 -13.9 -13.9 -14.2 16.2 11.9 13.0 5.8 17.9 -7.8 -11.5 5.5 1.8 3.7 4.1 1.2 6.1 -19.5 15.2 20.0 18.5 6.1 COCOA 6.3 13.8 18.6 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 3.4 15.2 9.9 8.3 14.9 15.2 3.4 -0.9 2.4 1.1 20.0 20.0 9.4 12.3 17.9 -20.0 -10.4 6.2 -0.0 5.9 2.5 3.9 5.0 -10.3 20.0 20.0 20.0 20.0 COFFEE 19.5 11.3 20.0 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -9.0 -1.1 6.1 -5.8 7.2 11.0 7.5 4.0 5.2 4.5 12.1 4.0 4.9 -3.5 13.1 7.4 10.0 4.4 -1.7 1.7 1.9 -0.6 4.9 -3.0 17.8 20.0 17.4 20.0 COPPER -7.6 -6.9 5.5 4.2 -0.2 3.1 1.7 2.1 4.0 -14.0 8.3 -11.9 -1.6 -5.3 -0.2 -0.9 -0.6 -0.9 -0.8 -1.7 4.6 -20.0 3.2 -9.7 3.7 11.1 -2.0 -15.7 0.5 -10.4 1.3 -5.1 3.1 -20.0 -20.0 -20.0 -12.1 CORN 0.1 -3.0 -20.0 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -13.8 -11.3 -12.9 -3.9 -12.9 -13.7 10.7 18.6 16.1 18.4 -14.0 -13.8 -16.9 -4.7 -13.0 16.4 11.0 -5.9 -6.5 -6.0 -5.8 -3.1 -5.3 20.0 -7.6 -20.0 -19.7 -20.0 COTTON2 1.5 -1.3 -1.5 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -13.7 -9.4 -10.8 -11.6 -3.5 -5.1 -3.7 7.1 -3.1 0.0 -5.5 -9.0 -13.4 -10.4 -6.9 11.5 12.0 -2.4 -10.6 -3.0 -7.3 -1.6 -3.3 -4.0 -12.3 2.1 -1.3 -1.3 CRUDE_W 10.4 1.9 -6.3 -2.9 -11.9 -2.3 -8.8 0.5 -4.8 -12.9 3.2 -3.8 -2.8 7.0 5.9 9.6 11.3 9.0 9.4 2.5 -0.4 -10.5 1.3 0.8 -10.6 10.8 1.0 -9.5 0.3 -4.4 1.9 0.2 -4.5 5.0 20.0 11.2 7.5 DAX 11.5 -1.4 12.6 3.5 -4.8 2.8 0.2 1.4 3.3 -6.3 15.6 9.8 9.3 14.6 14.8 -7.0 -5.9 -7.7 -7.4 14.0 16.8 5.2 13.3 11.4 -18.0 9.9 4.5 -2.9 6.5 1.3 5.4 3.5 -3.7 5.5 -4.2 -6.5 3.1 DOW 16.1 4.7 -2.1 3.5 -4.8 2.8 0.2 1.4 3.3 -12.5 8.1 4.6 2.2 10.7 4.2 -8.2 -5.4 -7.7 -7.1 6.0 2.8 -2.5 1.5 7.6 -0.2 10.8 3.1 -8.7 2.4 -2.3 1.9 2.5 -2.9 -7.4 -3.8 -3.1 -12.0 EUR 7.0 9.8 11.5 3.6 -2.4 2.5 0.8 -0.3 3.4 7.2 13.2 9.5 0.6 12.9 10.7 -6.5 -8.3 -7.0 -7.7 12.4 11.0 8.4 2.8 11.7 -13.0 -11.1 5.6 2.6 4.4 3.8 0.7 5.5 -9.2 10.6 8.9 10.6 7.2 EUROSTX 12.3 0.3 12.0 3.5 -4.8 2.8 0.2 1.4 3.3 -6.0 15.8 9.2 12.8 15.0 15.3 -3.7 4.4 1.2 3.4 16.2 18.9 4.9 16.5 12.8 -17.9 -8.5 4.8 -4.2 6.7 0.9 6.5 3.7 14.7 5.1 -3.9 -5.6 2.4 FEEDCOW 20.0 20.0 20.0 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 13.5 14.2 15.4 10.3 16.1 15.8 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 14.7 20.0 -20.0 12.2 6.4 3.9 5.3 5.1 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 -4.8 -9.5 -16.4 -2.9 -11.9 -2.3 -8.8 0.5 -4.8 -13.9 -13.1 -13.9 4.9 -12.7 -13.5 7.9 20.0 16.6 20.0 -12.9 -10.5 -20.0 1.9 -15.5 4.3 -15.4 -5.0 -11.8 -4.7 -9.3 -0.9 -6.2 18.6 -0.6 -3.5 -5.1 -7.8 GASOILINE 1.5 1.2 0.5 -2.9 -11.9 -2.3 -8.8 0.5 -4.8 -13.4 6.8 -11.0 2.0 1.9 5.3 20.0 14.7 16.5 12.1 3.3 4.0 -15.8 7.2 -3.7 -20.0 -13.1 1.2 -9.6 2.8 -7.0 5.7 -2.1 -0.1 -5.6 7.0 12.3 20.0 GAS_US 10.1 -9.3 -20.0 -2.9 -11.9 -2.3 -8.8 0.5 -4.8 -2.1 -16.6 -0.1 -14.5 -12.3 -15.1 -20.0 -14.2 -20.0 -20.0 -20.0 -20.0 -2.8 -20.0 -9.2 20.0 -9.3 -6.2 -2.1 -7.3 -1.8 -4.2 -3.8 -20.0 20.0 -3.9 -8.7 -20.0 GBP 4.3 14.3 10.2 3.6 -2.4 2.5 0.8 -0.3 3.4 -0.7 14.2 4.2 -0.2 12.9 12.1 -1.6 -1.9 -1.8 -2.0 11.5 9.0 3.6 -0.1 9.1 4.6 9.4 4.9 0.6 2.4 2.1 -2.6 4.6 1.3 1.4 1.8 7.7 0.7 GOLD_micro -0.5 18.0 11.4 4.2 -0.2 3.1 1.7 2.1 4.0 -10.3 12.6 -6.0 3.3 10.0 10.9 -11.4 -10.9 -11.7 -11.8 15.0 15.3 -1.8 9.2 7.4 -3.1 -13.8 5.1 -1.0 4.8 0.0 3.1 3.0 -15.2 -13.1 -12.0 9.1 8.2 HEATOIL -0.2 -10.7 -17.1 -2.9 -11.9 -2.3 -8.8 0.5 -4.8 -13.6 -12.2 -12.7 3.9 -11.1 -12.6 7.3 20.0 17.6 20.0 -12.3 -10.8 -20.0 1.8 -13.8 -2.2 -13.6 -4.6 -12.4 -3.2 -9.0 2.4 -5.9 20.0 -5.0 -4.0 -6.8 -4.4 JPY -11.2 -0.3 -0.7 3.6 -2.4 2.5 0.8 -0.3 3.4 -1.8 4.6 -10.1 -6.7 -3.6 -7.3 -16.4 -13.3 -15.4 -14.7 -4.9 -1.6 -4.9 -8.6 -7.7 1.3 9.9 1.0 2.7 1.0 0.0 -5.5 -0.1 -19.3 -1.4 -18.5 -3.9 -10.2 LEANHOG -2.1 -20.0 -20.0 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 11.1 -14.9 -4.7 -12.1 -13.7 -15.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -0.7 -15.5 -16.9 20.0 -11.1 -6.0 3.2 -5.9 -0.2 -3.8 -3.8 -20.0 16.4 -14.3 -20.0 -20.0 LIVECOW 18.4 2.4 9.6 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 0.8 13.7 11.8 10.6 13.9 13.3 20.0 6.5 20.0 20.0 16.4 13.5 9.6 9.5 16.6 -20.0 12.0 5.0 0.7 4.6 2.7 4.1 4.9 20.0 8.6 20.0 18.3 20.0 MXP 5.4 7.0 5.7 3.6 -2.4 2.5 0.8 -0.3 3.4 -9.3 15.4 10.0 15.5 14.7 15.3 18.1 20.0 18.9 20.0 17.3 20.0 4.1 20.0 11.5 -20.0 9.7 5.7 -2.1 8.4 0.8 9.3 3.2 20.0 4.9 -4.6 -5.1 19.3 NASDAQ -2.9 19.0 20.0 3.5 -4.8 2.8 0.2 1.4 3.3 -12.7 8.8 -7.1 -6.3 9.9 13.7 -8.8 -5.9 -8.0 -7.2 16.3 13.9 -7.0 0.6 6.5 -2.8 10.2 5.2 -5.3 5.4 -2.5 2.7 1.8 -3.3 -5.2 -17.6 13.6 17.2 NIKKEI 11.1 9.0 12.7 3.5 -4.8 2.8 0.2 1.4 3.3 -1.5 10.2 11.8 8.4 14.1 13.5 4.2 12.7 9.3 12.2 15.0 10.3 8.6 5.5 15.6 6.2 -9.4 5.0 -2.2 3.1 2.7 1.0 5.2 20.0 14.0 3.3 11.7 0.7 NZD -6.3 -3.0 -1.8 3.6 -2.4 2.5 0.8 -0.3 3.4 -13.7 6.4 -14.4 -1.5 -7.0 -9.7 1.3 0.7 0.9 0.6 -5.2 -2.0 -11.3 -3.4 -8.1 4.0 10.8 -1.9 -7.8 -0.6 -6.1 -2.1 -3.6 5.7 -9.7 -18.8 -14.3 -12.8 OAT -7.9 9.7 4.3 2.9 3.2 1.2 1.7 -2.6 2.3 8.5 -8.0 -8.6 -13.0 0.6 -3.8 10.9 12.1 10.6 11.4 -4.4 -8.0 -2.1 -16.6 -4.9 5.7 12.7 1.5 4.0 -0.9 1.4 -7.1 1.2 20.0 -1.2 -7.4 -11.2 -4.9 OJ 8.0 20.0 -10.3 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 1.2 15.9 11.7 15.6 15.2 15.7 20.0 20.0 20.0 20.0 20.0 20.0 15.3 20.0 20.0 -20.0 -14.3 6.5 0.8 7.8 2.7 8.1 4.6 20.0 20.0 20.0 20.0 20.0 PALLAD 20.0 14.0 -14.7 4.2 -0.2 3.1 1.7 2.1 4.0 -7.5 -13.1 3.2 -14.1 7.1 -6.2 -3.2 -2.3 -3.0 -2.7 -2.4 -16.2 1.8 -20.0 7.5 20.0 -11.1 1.7 -3.8 -2.4 1.5 -3.7 4.5 0.0 12.6 8.0 -12.5 -20.0 PLAT 20.0 14.5 -3.7 4.2 -0.2 3.1 1.7 2.1 4.0 2.6 7.9 10.2 3.0 13.0 7.3 -2.5 -1.5 -2.3 -2.0 14.4 7.4 18.3 3.8 20.0 -0.2 11.2 4.5 1.7 2.1 5.5 0.9 6.8 1.4 20.0 20.0 2.8 -15.8 REDWHEAT -5.1 9.9 -0.4 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -14.0 -8.4 -12.7 -11.4 0.2 1.1 8.3 5.5 9.5 8.3 -3.3 -5.9 -20.0 -6.2 -8.8 -1.4 12.9 -2.3 -13.7 -2.0 -9.9 -0.4 -4.9 1.3 -20.0 -15.7 0.2 -1.4 ROBUSTA 20.0 19.4 20.0 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 5.6 11.8 13.7 6.8 15.4 15.9 12.7 10.2 11.5 11.0 20.0 20.0 20.0 13.1 20.0 -9.6 9.6 6.3 2.0 4.5 4.0 2.4 5.9 7.7 20.0 20.0 20.0 20.0 RUSSELL 2.6 -16.1 -1.1 3.5 -4.8 2.8 0.2 1.4 3.3 -12.6 -5.8 -5.6 -9.3 -10.4 -11.4 -5.6 -4.4 -5.6 -5.4 -9.6 -7.7 -11.4 -7.0 -8.1 8.7 10.0 -3.7 -9.4 -1.6 -5.6 -0.5 -4.3 -0.7 -13.2 -20.0 -20.0 -16.1 SILVER-mini 17.2 20.0 4.6 4.2 -0.2 3.1 1.7 2.1 4.0 -13.6 11.4 4.1 2.2 12.6 11.8 -6.2 -5.0 -6.0 -5.7 20.0 14.1 3.5 6.3 17.9 -4.9 -11.3 4.4 -1.8 2.7 0.7 0.8 4.0 -4.9 -14.2 5.5 6.3 -12.1 SOYBEAN -3.5 -18.7 -16.8 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -13.5 -6.5 -11.8 -3.1 -9.1 -9.1 20.0 20.0 20.0 20.0 -16.2 -12.5 -20.0 -3.8 -17.0 1.3 -11.7 -5.3 -6.5 -3.9 -5.7 -0.5 -5.1 20.0 -20.0 -3.5 -20.0 -20.0 SOYMEAL -9.6 -20.0 3.6 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -14.0 8.9 -11.2 11.4 -8.9 -5.0 20.0 20.0 20.0 20.0 -4.5 8.1 -20.0 16.0 -13.5 -20.0 -12.0 -2.6 -11.5 2.5 -8.4 7.0 -5.6 20.0 -20.0 -4.2 -9.2 6.3 SOYOIL -6.4 -16.9 -20.0 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -12.2 -12.6 -12.4 -5.8 -12.6 -12.9 5.0 11.8 3.5 6.4 -20.0 -20.0 -17.7 -8.9 -18.3 8.4 12.9 -6.0 -4.8 -5.5 -4.6 -2.2 -4.9 5.4 -10.0 -8.6 -20.0 -20.0 SP400 4.3 -15.6 -1.5 3.5 -4.8 2.8 0.2 1.4 3.3 -12.5 1.0 -4.4 -1.7 -5.0 -7.2 -5.1 -4.2 -5.2 -4.9 -6.1 -3.3 -9.3 -0.9 -5.0 5.0 10.2 -3.2 -8.6 -1.1 -4.9 0.7 -3.6 -0.0 -13.8 -20.0 -20.0 -16.6 SP500 9.3 8.7 9.5 3.5 -4.8 2.8 0.2 1.4 3.3 -12.1 8.0 -0.3 -4.7 11.4 9.7 -8.9 -6.2 -8.1 -7.4 9.1 5.7 -5.1 -0.7 6.6 2.4 10.2 4.2 -9.7 3.7 -3.2 1.3 2.2 -3.7 -7.0 -9.4 1.1 -0.8 SUGAR11 20.0 19.4 18.9 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 12.4 16.0 15.1 13.7 16.0 16.4 10.2 20.0 20.0 20.0 20.0 20.0 20.0 18.3 20.0 -20.0 -10.5 6.3 5.2 5.1 6.3 3.9 6.9 20.0 20.0 20.0 20.0 20.0 US10 -0.5 19.4 12.6 2.9 3.2 1.2 1.7 -2.6 2.3 9.8 2.8 -1.5 -10.0 9.4 9.0 -10.0 -5.1 -9.2 -8.3 6.3 1.3 5.1 -9.8 4.9 -2.4 9.7 4.4 4.3 2.5 3.0 -2.0 3.7 -10.7 1.3 5.2 6.5 2.8 US10U -1.3 17.1 11.5 2.9 3.2 1.2 1.7 -2.6 2.3 9.5 2.7 -2.2 -10.1 8.5 8.4 -6.2 0.9 -2.8 -1.3 5.3 0.7 4.3 -10.2 3.8 -4.7 -14.1 4.5 4.5 3.0 2.9 -1.3 3.5 0.7 -0.2 4.4 3.4 4.7 US20 -1.4 15.5 11.6 2.9 3.2 1.2 1.7 -2.6 2.3 8.2 4.4 -3.1 -8.6 8.4 8.5 -1.2 -1.5 -2.4 -2.7 5.3 1.1 3.6 -9.7 3.4 -2.0 -12.3 4.1 4.4 2.5 2.6 -1.8 3.2 -2.7 -2.8 4.3 2.4 1.3 US30 -2.6 9.9 8.8 2.9 3.2 1.2 1.7 -2.6 2.3 7.7 3.0 -4.2 -10.2 5.2 3.5 -1.5 -0.7 -1.2 -1.1 1.7 -1.7 1.6 -13.2 0.3 -5.3 10.0 4.0 4.7 2.8 2.5 -2.5 2.7 -0.6 -4.8 2.4 -6.0 0.6 US5 -0.1 19.9 15.8 2.9 3.2 1.2 1.7 -2.6 2.3 10.9 2.3 0.0 -10.3 9.9 9.3 -9.9 -5.6 -9.7 -9.0 6.5 1.2 6.3 -9.6 5.5 -0.4 10.8 4.1 4.6 2.0 3.2 -2.7 3.7 -11.7 3.7 5.5 8.3 0.6 VIX -8.3 4.4 3.1 -3.2 5.5 -6.3 1.8 -7.8 -1.0 12.3 -13.6 -0.9 -13.7 -10.8 -10.7 -20.0 -20.0 -20.0 -20.0 -8.3 -12.3 1.0 -14.9 -5.8 NaN -13.5 -3.7 6.5 -8.2 2.2 -10.7 -1.1 NaN NaN NaN NaN NaN WHEAT -6.1 -2.2 -10.2 -3.6 -9.6 -3.7 -6.7 -2.7 -4.3 -14.0 -14.6 -13.7 -15.1 -13.7 -13.4 -12.6 -8.9 -12.1 -10.8 -17.8 -20.0 -20.0 -17.7 -18.4 9.8 11.9 -5.6 -9.8 -5.0 -8.0 -2.9 -6.3 -20.0 -19.2 -20.0 -18.6 -15.9 End of report for caleb_strategy_v1