******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230427_204642 produced at 2023-04-27 21:37:22.070396 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 -0.29 0.0 4.960315e+07 -4.960315e+07 -0.25 -0.25 -5.76 999999999.0 -5 -5 caleb_strategy_v1 VIX False False 0.01 -0.21 -0.22 0.0 9.491754e+06 -9.491754e+06 -0.21 -0.21 -23.09 999999999.0 -22 -22 caleb_strategy_v1 JPY False False 0.04 -0.39 -0.14 0.0 3.863986e+07 -3.863986e+07 -0.39 -0.39 -3.53 999999999.0 -10 -10 caleb_strategy_v1 CHF False False 0.06 -0.12 -0.12 0.0 5.777746e+07 -5.777746e+07 -0.12 -0.12 -2.10 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.10 0.0 5.358372e+07 -5.358372e+07 0.00 0.00 -1.80 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.02 -0.11 -0.09 0.0 1.517859e+07 -1.517859e+07 -0.11 -0.11 -6.16 999999999.0 -7 -7 caleb_strategy_v1 EUR False False 0.06 -0.11 -0.09 0.0 5.680157e+07 -5.680157e+07 -0.11 -0.11 -1.63 999999999.0 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.05 -0.10 -0.06 0.0 4.761286e+07 -4.761286e+07 -0.10 -0.10 -1.17 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.05 0.0 6.175888e+07 -6.175888e+07 0.00 0.00 -0.74 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.06 -0.04 0.0 8.210983e+06 -8.210983e+06 -0.06 -0.06 -5.20 999999999.0 -7 -7 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.201467e+07 -1.201467e+07 -0.06 -0.06 -1.67 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.589944e+07 -2.589944e+07 0.00 0.00 -0.54 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.715060e+07 -4.715060e+07 0.00 0.00 -0.17 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.044915e+07 -1.044915e+07 -0.02 -0.02 -0.93 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.166190e+07 -4.166190e+07 0.00 0.00 -0.30 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 -0.01 0.0 2.810545e+07 -2.810545e+07 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.01 0.0 4.079038e+07 -4.079038e+07 -0.04 -0.04 -0.16 999999999.0 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 1.353910e+07 -1.353910e+07 -0.03 -0.03 -0.37 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.176402e+06 -1.176402e+06 -0.02 -0.02 -5.68 999999999.0 -14 -14 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.649038e+07 -1.649038e+07 0.00 0.00 -0.29 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.00 0.0 4.498696e+07 -4.498696e+07 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.250939e+07 -1.250939e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 0.00 0.0 1.732348e+07 -1.732348e+07 0.02 0.02 0.09 999999999.0 1 1 caleb_strategy_v1 RUSSELL False False 0.00 -0.32 -0.00 0.0 3.615701e+06 -3.615701e+06 -0.32 -0.34 -0.46 999999999.0 -89 -93 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.572714e+07 -1.572714e+07 0.00 0.00 0.14 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.134714e+07 -6.134714e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.215865e+07 -1.215865e+07 0.00 0.00 0.77 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.729804e+07 -2.729804e+07 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.999583e+07 -3.999583e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.01 0.0 1.973068e+07 -1.973068e+07 0.02 0.02 0.28 999999999.0 1 1 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.01 0.0 1.653455e+07 -1.653455e+07 0.03 0.03 0.73 999999999.0 2 2 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.906079e+07 -2.906079e+07 0.03 0.03 0.40 999999999.0 1 1 caleb_strategy_v1 SP500 False False 0.09 0.00 0.02 0.0 8.538470e+07 -8.538470e+07 0.00 0.00 0.24 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.81 0.02 0.0 1.018453e+08 -1.018453e+08 0.81 0.81 0.23 999999999.0 8 8 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.092476e+07 -1.092476e+07 0.05 0.05 1.80 999999999.0 5 5 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.581469e+07 -2.581469e+07 0.00 0.00 0.85 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.296188e+06 -4.296188e+06 0.00 0.00 5.45 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.886216e+06 -9.886216e+06 0.02 0.02 2.39 999999999.0 2 2 caleb_strategy_v1 DAX False False 0.01 0.02 0.02 0.0 7.267140e+06 -7.267140e+06 0.02 0.03 2.85 999999999.0 3 4 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.975001e+06 -6.975001e+06 0.00 0.00 2.51 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.524971e+07 -2.524971e+07 0.00 0.00 0.77 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.249053e+07 -2.249053e+07 0.02 0.02 0.89 999999999.0 1 1 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.730749e+07 -5.730749e+07 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.04 0.0 1.088162e+08 -1.088162e+08 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.127505e+07 -1.127505e+07 0.00 0.00 3.35 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.29 0.05 0.0 3.212455e+07 -3.212455e+07 0.29 0.29 1.49 999999999.0 9 9 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.05 0.0 2.968330e+07 -2.968330e+07 0.12 0.12 1.63 999999999.0 4 4 caleb_strategy_v1 BTP False False 0.05 0.15 0.05 0.0 5.154600e+07 -5.154600e+07 0.15 0.15 1.05 999999999.0 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 3.024007e+07 -3.024007e+07 0.00 0.00 1.62 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.832430e+07 -5.832430e+07 0.00 0.00 1.30 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.07 0.08 0.0 3.401418e+07 -3.401418e+07 0.07 0.07 2.46 999999999.0 2 2 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.692617e+07 -2.692617e+07 0.00 0.00 4.22 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 4.53 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.37 0.26 0.0 6.085481e+07 -6.085481e+07 0.37 0.37 4.27 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.38 0.0 5.321786e+07 -5.321786e+07 0.00 0.00 7.16 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 46.79 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 17.3 Shocked risk 52.7 Sum abs risk 47.0 Leverage 3.34 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2433691.42, 'annual_cash_vol_target': 608422.855, 'daily_cash_vol_target': 38026.4284375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6644 0.7284 11.6548 BITCOIN 932.6648 28630.0000 3.2576 52.1224 BOBL 0.4383 117.1400 0.3742 5.9867 BTP 0.6788 113.4600 0.5983 9.5721 BUND 0.8092 133.9500 0.6041 9.6653 BUXL 1.8234 135.9400 1.3413 21.4609 CAC 59.5802 7487.0000 0.7958 12.7325 CAD 0.0031 0.7360 0.4245 6.7928 CANOLA 8.7249 712.0000 1.2254 19.6065 CHF 0.0056 1.1249 0.4981 7.9692 COCOA 33.5699 2924.0000 1.1481 18.3693 COFFEE 3.7637 188.6000 1.9956 31.9298 COPPER 0.0464 3.8935 1.1907 19.0520 CORN 5.3765 531.7500 1.0111 16.1775 COTTON2 1.4442 80.4800 1.7945 28.7112 CRUDE_W 1.3079 72.2400 1.8105 28.9672 DAX 127.4375 15996.0000 0.7967 12.7469 DOW 244.0792 33950.0000 0.7189 11.5030 EUR 0.0056 1.1059 0.5070 8.1123 EUROSTX 38.9092 4343.0000 0.8959 14.3345 FEEDCOW 1.2423 231.7500 0.5360 8.5766 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.5061 684.0000 1.9746 31.5932 GASOILINE 0.0439 2.4141 1.8200 29.1204 GAS_US 0.1070 2.5430 4.2058 67.2923 GBP 0.0068 1.2509 0.5406 8.6501 GOLD_micro 17.1170 1998.3000 0.8566 13.7052 HEATOIL 0.0408 2.3636 1.7242 27.5864 JPY 0.0000 0.0075 0.5864 9.3832 LEANHOG 1.3243 92.3500 1.4340 22.9437 LIVECOW 0.9310 163.8250 0.5683 9.0928 MXP 0.0004 0.0549 0.6846 10.9538 NASDAQ 122.3031 13241.2500 0.9237 14.7784 NIKKEI 227.1300 28285.0000 0.8030 12.8481 NZD 0.0044 0.6145 0.7196 11.5142 OAT 0.7470 128.3800 0.5819 9.3100 OJ 4.2995 267.5500 1.6070 25.7118 PALLAD 32.3950 1493.0000 2.1698 34.7167 PLAT 18.2573 1094.7000 1.6678 26.6847 REDWHEAT 12.4626 765.5000 1.6280 26.0485 ROBUSTA 27.6461 2406.0000 1.1490 18.3848 RUSSELL 20.6459 1759.9000 1.1731 18.7701 SILVER-mini 0.3381 25.2125 1.3408 21.4530 SOYBEAN 10.3027 1256.5000 0.8200 13.1193 SOYMEAL 4.7606 421.6000 1.1292 18.0670 SOYOIL 0.7743 50.7400 1.5261 24.4175 SP400 25.5685 2478.6000 1.0316 16.5052 SP500 32.3680 4156.0000 0.7788 12.4612 SUGAR11 0.3652 26.4200 1.3823 22.1166 US10 0.5375 114.7500 0.4684 7.4939 US10U 0.6975 120.7188 0.5778 9.2450 US20 0.9733 130.4062 0.7464 11.9421 US30 1.3775 139.4688 0.9877 15.8028 US5 0.3999 109.4844 0.3653 5.8442 VIX 0.6208 23.1000 2.6874 42.9991 WHEAT 9.8993 659.0000 1.5022 24.0347 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.35 0.73 483.93 1.00 483.93 38026.43 78.58 2.46 19.37 BITCOIN 28.63 3.26 93.27 1.00 93.27 38026.43 407.72 -5.91 -241.03 BOBL 1171.40 0.37 438.30 1.10 481.59 38026.43 78.96 12.57 99.24 BTP 1134.60 0.60 678.78 1.10 745.81 38026.43 50.99 10.23 52.18 BUND 1339.50 0.60 809.17 1.10 889.07 38026.43 42.77 13.83 59.15 BUXL 1359.40 1.34 1823.37 1.10 2003.43 38026.43 18.98 -4.65 -8.83 CAC 748.70 0.80 595.80 1.10 654.64 38026.43 58.09 15.07 87.51 CAD 735.95 0.42 312.45 1.00 312.45 38026.43 121.71 7.45 90.63 CANOLA 142.40 1.23 174.50 0.73 128.01 38026.43 297.07 20.00 594.14 CHF 1406.12 0.50 700.36 1.00 700.36 38026.43 54.30 -10.33 -56.10 COCOA 292.40 1.15 335.70 1.00 335.70 38026.43 113.28 -6.77 -76.70 COFFEE 707.25 2.00 1411.40 1.00 1411.40 38026.43 26.94 11.42 30.77 COPPER 973.38 1.19 1159.05 1.00 1159.05 38026.43 32.81 3.83 12.55 CORN 265.88 1.01 268.82 1.00 268.82 38026.43 141.45 14.15 200.10 COTTON2 402.40 1.79 722.09 1.00 722.09 38026.43 52.66 9.19 48.37 CRUDE_W 722.40 1.81 1307.87 1.00 1307.87 38026.43 29.08 4.25 12.36 DAX 159.96 0.80 127.44 1.10 140.02 38026.43 271.57 1.94 52.56 DOW 169.75 0.72 122.04 1.00 122.04 38026.43 311.59 2.82 87.97 EUR 1382.38 0.51 700.89 1.00 700.89 38026.43 54.25 -8.05 -43.66 EUROSTX 434.30 0.90 389.09 1.10 427.52 38026.43 88.95 1.14 10.10 FEEDCOW 1158.75 0.54 621.14 1.00 621.14 38026.43 61.22 -7.13 -43.68 FTSE100 707.00 0.82 576.59 1.24 666.67 38026.43 57.04 7.70 43.91 GASOIL 684.00 1.97 1350.61 1.00 1350.61 38026.43 28.16 -1.11 -3.12 GASOILINE 1013.92 1.82 1845.36 1.00 1845.36 38026.43 20.61 -3.49 -7.20 GAS_US 254.30 4.21 1069.53 1.00 1069.53 38026.43 35.55 -17.33 -61.60 GBP 781.81 0.54 422.67 1.00 422.67 38026.43 89.97 9.30 83.68 GOLD_micro 199.83 0.86 171.17 1.00 171.17 38026.43 222.16 -10.46 -232.41 HEATOIL 992.71 1.72 1711.59 1.00 1711.59 38026.43 22.22 -0.99 -2.19 JPY 940.38 0.59 551.48 1.00 551.48 38026.43 68.95 -7.91 -54.55 LEANHOG 369.40 1.43 529.71 1.00 529.71 38026.43 71.79 -18.38 -131.95 LIVECOW 655.30 0.57 372.41 1.00 372.41 38026.43 102.11 15.40 157.21 MXP 274.40 0.68 187.86 1.00 187.86 38026.43 202.42 13.51 273.52 NASDAQ 2648.25 0.92 2446.06 1.00 2446.06 38026.43 15.55 4.59 7.14 NIKKEI 28285.00 0.80 22713.00 0.01 169.27 38026.43 224.64 10.97 246.33 NZD 614.50 0.72 442.22 1.00 442.22 38026.43 85.99 5.62 48.34 OAT 1283.80 0.58 747.01 1.10 820.77 38026.43 46.33 13.89 64.37 OJ 401.32 1.61 644.92 1.00 644.92 38026.43 58.96 -2.82 -16.62 PALLAD 1493.00 2.17 3239.50 1.00 3239.50 38026.43 11.74 -1.29 -1.52 PLAT 547.35 1.67 912.87 1.00 912.87 38026.43 41.66 8.92 37.17 REDWHEAT 382.75 1.63 623.13 1.00 623.13 38026.43 61.02 4.18 25.51 ROBUSTA 240.60 1.15 276.46 1.00 276.46 38026.43 137.55 13.38 184.07 RUSSELL 88.00 1.17 103.23 1.00 103.23 38026.43 368.37 -0.24 -8.86 SILVER-mini 630.31 1.34 845.13 1.00 845.13 38026.43 44.99 -5.38 -24.23 SOYBEAN 628.25 0.82 515.14 1.00 515.14 38026.43 73.82 1.96 14.49 SOYMEAL 421.60 1.13 476.06 1.00 476.06 38026.43 79.88 0.20 1.60 SOYOIL 304.44 1.53 464.60 1.00 464.60 38026.43 81.85 4.78 39.09 SP400 2478.60 1.03 2556.85 1.00 2556.85 38026.43 14.87 2.94 4.37 SP500 2078.00 0.78 1618.40 1.00 1618.40 38026.43 23.50 3.57 8.39 SUGAR11 295.90 1.38 409.02 1.00 409.02 38026.43 92.97 6.07 56.42 US10 1147.50 0.47 537.45 1.00 537.45 38026.43 70.75 -0.64 -4.50 US10U 1207.19 0.58 697.53 1.00 697.53 38026.43 54.52 -7.25 -39.54 US20 1304.06 0.75 973.32 1.00 973.32 38026.43 39.07 -6.24 -24.39 US30 1394.69 0.99 1377.50 1.00 1377.50 38026.43 27.61 2.07 5.72 US5 1094.84 0.37 399.91 1.00 399.91 38026.43 95.09 -0.05 -0.50 VIX 231.00 2.69 620.80 1.00 620.80 38026.43 61.25 -20.00 -122.51 WHEAT 329.50 1.50 494.96 1.00 494.96 38026.43 76.83 -9.05 -69.52 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 19.368 0.006 2.5 0.309 BITCOIN -241.029 0.009 2.5 -5.679 BOBL 99.242 0.029 2.5 7.161 BTP 52.180 0.008 2.5 1.054 BUND 59.151 0.029 2.5 4.268 BUXL -8.829 0.034 2.5 -0.741 CAC 87.515 0.011 2.5 2.460 CAD 90.628 0.007 2.5 1.618 CANOLA 594.136 0.004 2.5 5.454 CHF -56.101 0.015 2.5 -2.100 COCOA -76.696 0.009 2.5 -1.671 COFFEE 30.769 0.005 2.5 0.399 COPPER 12.555 0.011 2.5 0.343 CORN 200.096 0.004 2.5 1.805 COTTON2 48.371 0.006 2.5 0.728 CRUDE_W 12.359 0.053 2.5 1.633 DAX 52.556 0.022 2.5 2.854 DOW 87.966 0.011 2.5 2.507 EUR -43.662 0.015 2.5 -1.634 EUROSTX 10.098 0.011 2.5 0.284 FEEDCOW -43.680 0.011 2.5 -1.174 FTSE100 43.907 0.041 2.5 4.526 GASOIL -3.124 0.029 2.5 -0.223 GASOILINE -7.198 0.016 2.5 -0.296 GAS_US -61.604 0.006 2.5 -0.928 GBP 83.679 0.007 2.5 1.494 GOLD_micro -232.413 0.009 2.5 -5.200 HEATOIL -2.190 0.029 2.5 -0.156 JPY -54.551 0.026 2.5 -3.531 LEANHOG -131.947 0.019 2.5 -6.165 LIVECOW 157.215 0.011 2.5 4.225 MXP 273.519 0.005 2.5 3.349 NASDAQ 7.137 0.022 2.5 0.388 NIKKEI 246.326 0.076 2.5 46.785 NZD 48.339 0.006 2.5 0.772 OAT 64.365 0.008 2.5 1.300 OJ -16.617 0.007 2.5 -0.290 PALLAD -1.516 0.010 2.5 -0.036 PLAT 37.172 0.010 2.5 0.894 REDWHEAT 25.508 0.002 2.5 0.136 ROBUSTA 184.067 0.005 2.5 2.386 RUSSELL -8.856 0.021 2.5 -0.459 SILVER-mini -24.228 0.009 2.5 -0.542 SOYBEAN 14.490 0.024 2.5 0.854 SOYMEAL 1.597 0.024 2.5 0.094 SOYOIL 39.085 0.004 2.5 0.359 SP400 4.366 0.021 2.5 0.226 SP500 8.387 0.011 2.5 0.239 SUGAR11 56.419 0.005 2.5 0.766 US10 -4.501 0.015 2.5 -0.173 US10U -39.535 0.058 2.5 -5.760 US20 -24.393 0.029 2.5 -1.798 US30 5.718 0.034 2.5 0.480 US5 -0.496 0.015 2.5 -0.019 VIX -122.508 0.075 2.5 -23.087 WHEAT -69.523 0.002 2.5 -0.371 ==================== Position diags ==================== AUD 1.26 BITCOIN 9.61 BOBL 5.70 BTP 1.03 BUND 3.09 BUXL 1.59 CAC 1.63 CAD 2.17 CANOLA 2.73 CHF 2.03 COCOA 2.47 COFFEE 0.35 COPPER 0.90 CORN 1.28 COTTON2 0.79 CRUDE_W 3.84 DAX 14.75 DOW 8.88 EUR 2.03 EUROSTX 2.50 FEEDCOW 1.65 FTSE100 5.88 GASOIL 2.01 GASOILINE 0.85 GAS_US 0.54 GBP 1.61 GOLD_micro 4.97 HEATOIL 1.58 JPY 4.46 LEANHOG 3.35 LIVECOW 2.74 MXP 2.48 NASDAQ 0.84 NIKKEI 42.67 NZD 1.37 OAT 0.94 OJ 1.03 PALLAD 0.28 PLAT 1.00 REDWHEAT 0.33 ROBUSTA 1.78 RUSSELL 19.08 SILVER-mini 1.01 SOYBEAN 4.35 SOYMEAL 4.71 SOYOIL 0.75 SP400 0.77 SP500 0.67 SUGAR11 1.26 US10 2.71 US10U 7.94 US20 2.88 US30 2.32 US5 3.65 VIX 11.54 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 -5.7 -6.6 -4.7 -14.0 -14 BOBL 7.2 6.6 7.7 0.0 0 BTP 1.1 1.0 1.2 3.0 3 BUND 4.3 4.0 4.6 6.0 6 BUXL -0.7 -0.9 -0.6 0.0 0 CAC 2.5 2.3 2.6 2.0 2 CAD 1.6 1.4 1.8 0.0 0 CANOLA 5.5 5.2 5.7 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 0.3 0.3 0.4 0.0 0 CORN 1.8 1.7 1.9 5.0 5 COTTON2 0.7 0.6 0.8 2.0 2 CRUDE_W 1.6 1.2 2.0 4.0 4 DAX 2.9 1.4 4.3 3.0 3 DOW 2.5 1.6 3.4 0.0 0 EUR -1.6 -1.8 -1.4 -2.0 -2 EUROSTX 0.3 0.0 0.5 1.0 1 FEEDCOW -1.2 -1.3 -1.0 -2.0 -2 FTSE100 4.5 3.9 5.1 0.0 0 GASOIL -0.2 -0.4 -0.0 0.0 0 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -0.9 -1.0 -0.9 -2.0 -2 GBP 1.5 1.3 1.7 9.0 9 GOLD_micro -5.2 -5.7 -4.7 -7.0 -7 HEATOIL -0.2 -0.3 0.0 -1.0 -1 JPY -3.5 -4.0 -3.1 -10.0 -10 LEANHOG -6.2 -6.5 -5.8 -7.0 -7 LIVECOW 4.2 4.0 4.5 0.0 0 MXP 3.3 3.1 3.6 0.0 0 NASDAQ 0.4 0.3 0.5 0.0 0 NIKKEI 46.8 42.5 51.1 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 0.1 0.1 0.2 0.0 0 ROBUSTA 2.4 2.2 2.6 2.0 2 RUSSELL -0.5 -2.4 1.4 -89.0 -89 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 0.9 0.4 1.3 0.0 0 SOYMEAL 0.1 -0.4 0.6 1.0 1 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 0.2 0.1 0.3 8.0 8 SP500 0.2 0.2 0.3 0.0 0 SUGAR11 0.8 0.6 0.9 0.0 0 US10 -0.2 -0.4 0.1 NaN 0 US10U -5.8 -6.6 -5.0 -5.0 -5 US20 -1.8 -2.1 -1.5 0.0 0 US30 0.5 0.2 0.7 0.0 0 US5 -0.0 -0.4 0.3 0.0 0 VIX -23.1 -24.2 -21.9 -22.0 -22 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 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.0 -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 -0.2 -0.2 -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 1.1 -4.8 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.1 -0.4 -0.3 0.2 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 -0.0 -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 0.7 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 -0.0 -0.2 -0.2 0.1 BUND -0.1 0.1 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 0.5 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 0.1 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 1.5 0.2 0.2 0.1 0.2 0.3 0.0 0.3 0.0 -1.7 1.7 0.1 0.0 0.1 0.0 0.1 0.0 2.0 0.1 0.1 -0.1 0.1 CAD 0.0 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 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -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 -0.1 -0.0 4.2 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 0.0 -0.0 0.3 0.0 0.2 0.1 0.3 -0.9 -0.6 -0.3 -0.3 0.2 0.2 0.0 0.1 0.0 -1.0 -2.4 0.1 -0.0 0.0 0.0 0.0 0.0 -2.5 0.1 0.4 0.3 0.1 COCOA 0.0 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 0.2 -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 -1.3 0.1 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 1.1 2.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 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 0.0 -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 -0.1 -0.3 0.8 0.8 0.3 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.6 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 -0.0 -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 2.8 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 -0.1 -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 -0.7 0.0 0.3 0.1 0.1 DAX 0.2 0.0 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 -0.1 -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 -0.0 0.1 0.0 0.0 0.1 0.0 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 -0.0 -0.0 -0.2 EUR 0.1 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 -0.4 -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 0.2 0.1 EUROSTX 0.1 0.1 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 -2.3 -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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 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 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.3 -0.1 0.1 -0.1 -0.3 0.6 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 2.4 -0.1 -0.1 -0.1 -0.1 GASOILINE -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 0.2 -0.0 0.0 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 -0.0 -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 0.6 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.2 0.0 0.1 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 -0.1 -0.2 -0.3 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.3 -0.1 0.1 -0.1 -0.3 0.5 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 -2.5 -0.0 -0.3 -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 -0.0 -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 -0.2 -0.3 -0.3 LIVECOW 0.2 0.1 0.2 -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 0.3 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 0.3 0.3 MXP 0.1 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 -0.0 0.1 0.0 0.0 0.1 0.0 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 0.0 -0.3 0.2 0.3 NIKKEI 0.1 0.1 0.2 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.3 0.0 0.2 0.1 0.3 0.2 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 0.1 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 0.1 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 0.0 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 0.1 -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 0.0 0.2 -0.2 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.1 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 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 0.6 0.2 0.2 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 2.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.2 -0.4 -0.0 -0.0 ROBUSTA 0.2 0.3 0.3 -0.1 -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 -1.7 2.1 0.1 0.0 0.1 0.0 0.0 0.0 1.1 0.0 0.4 0.3 0.3 RUSSELL 0.0 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.2 2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.4 -0.3 -0.3 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 -1.0 -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 -0.1 -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 -0.2 -0.0 -0.1 -0.0 0.3 -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 0.0 -0.1 -0.0 -0.1 -0.2 -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 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.3 0.4 0.5 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 1.3 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.8 -0.1 -0.2 -0.3 -0.3 SP400 0.1 -0.2 -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 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.9 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 -0.0 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 0.3 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 -0.4 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 0.2 0.2 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.3 0.0 0.2 -0.6 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 0.0 -0.0 0.0 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 -0.1 0.1 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 -0.6 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 -1.7 0.0 0.0 0.1 0.0 VIX -0.1 0.2 0.3 -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 -0.1 -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 -0.2 -4.7 -3.3 3.7 -0.8 2.6 0.9 -0.3 3.3 -10.2 0.5 -10.3 -5.1 -5.7 -11.3 -3.7 -3.0 -3.6 -3.5 -6.4 -5.3 -9.4 -5.9 -6.4 12.3 11.7 -2.4 -6.8 -2.6 -4.7 -3.5 -2.3 -0.9 -10.7 -11.6 -20.0 -13.3 BITCOIN -1.9 17.0 20.0 4.2 -0.2 3.1 1.7 2.1 4.0 -5.2 13.2 -5.8 -8.0 10.8 13.4 -3.7 -2.0 -3.4 -2.5 14.4 13.0 -4.0 0.4 5.6 4.8 -18.1 4.2 -1.4 4.7 -2.6 1.6 0.3 0.7 -17.9 -20.0 -19.0 14.9 BOBL -9.2 11.7 19.5 2.8 -0.5 1.2 0.5 -2.6 1.9 3.4 -7.5 -7.5 -12.8 1.0 1.3 10.1 6.1 4.8 4.1 -2.9 -7.2 -1.9 -15.5 -3.7 10.6 10.8 2.0 1.2 -1.0 1.1 -6.9 1.6 9.9 2.7 -6.4 -3.6 -4.9 BTP -11.4 5.8 7.7 2.8 -0.5 1.2 0.5 -2.6 1.9 -4.2 5.4 -11.4 -8.6 1.5 3.3 8.1 11.7 8.6 10.3 0.0 0.5 -5.0 -9.7 -4.6 -9.8 11.4 2.9 -1.0 2.6 -0.6 -3.4 0.6 20.0 -2.3 -7.3 -12.5 4.5 BUND -9.9 9.4 12.4 2.8 -0.5 1.2 0.5 -2.6 1.9 -0.1 -8.3 -9.1 -13.1 -0.5 -2.1 6.3 12.8 7.9 10.1 -4.0 -8.0 -3.7 -17.1 -5.1 8.0 12.3 1.8 -0.1 -0.8 0.3 -6.9 1.0 20.0 -0.3 -7.3 -7.6 -3.7 BUXL -10.8 5.6 2.6 2.8 -0.5 1.2 0.5 -2.6 1.9 -3.0 -10.5 -10.1 -13.7 -5.5 -7.5 1.7 0.9 2.2 2.4 -8.0 -11.4 -5.4 -19.3 -7.9 8.0 -10.8 -0.0 -0.9 -1.9 -0.5 -6.4 -0.3 4.0 -0.6 -9.2 -12.7 -11.5 CAC 18.6 5.6 13.3 3.7 -0.8 2.9 1.1 1.5 3.4 2.8 15.6 12.7 13.0 15.3 15.2 18.6 4.0 10.3 5.3 20.0 20.0 11.1 19.6 18.4 -15.6 8.9 5.1 0.6 6.1 2.9 5.9 4.6 14.9 11.2 3.0 -6.3 5.7 CAD 3.2 8.1 2.0 3.7 -0.8 2.6 0.9 -0.3 3.3 -11.8 -5.3 -10.1 -9.8 2.7 1.5 -3.0 -1.9 -2.7 -2.5 -0.0 -4.0 -12.6 -9.5 -3.0 17.9 10.4 0.9 -6.6 -1.0 -5.0 -3.5 -0.3 0.9 -20.0 -6.4 -10.5 -6.6 CANOLA 3.2 -10.3 -17.5 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -12.1 -10.5 -12.0 -12.6 -9.2 -10.7 20.0 17.8 20.0 20.0 -19.9 -20.0 -14.7 -13.3 -15.7 18.4 13.2 -5.8 -3.9 -5.7 -3.2 -3.5 -4.2 20.0 -10.9 -7.5 -20.0 -20.0 CHF 14.7 14.3 7.4 3.7 -0.8 2.6 0.9 -0.3 3.3 -1.9 13.6 9.9 7.3 13.4 12.2 -13.6 -13.9 -13.9 -14.2 16.0 12.1 9.1 6.0 16.2 -7.6 -11.5 5.5 -0.3 3.8 3.0 1.3 5.6 -19.5 6.2 19.8 18.8 6.2 COCOA 4.4 14.1 18.6 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -2.3 15.2 7.8 8.4 14.4 14.9 3.2 -0.8 2.4 1.1 20.0 20.0 6.0 12.5 16.0 -20.0 -10.4 6.1 -1.4 6.0 1.5 4.1 4.5 -9.8 18.4 20.0 20.0 20.0 COFFEE 17.8 11.6 20.0 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -12.0 -1.0 4.8 -5.7 6.3 10.9 7.7 4.0 5.4 4.6 11.7 4.1 2.0 -3.3 11.3 6.9 10.0 4.4 -2.7 1.8 0.9 -0.6 4.3 -2.4 7.0 20.0 18.5 20.0 COPPER -8.3 -7.6 4.5 4.2 -0.4 3.2 1.4 2.2 3.8 -11.2 8.1 -11.7 -1.6 -6.5 -1.6 -1.0 -0.6 -0.9 -0.8 -2.7 4.1 -19.4 3.0 -11.0 4.1 11.1 -2.4 -10.2 0.3 -9.5 1.1 -5.5 3.2 -20.0 -20.0 -20.0 -13.4 CORN -0.8 -1.7 -20.0 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -14.0 -11.6 -13.9 -4.1 -13.6 -14.1 9.9 18.5 15.6 18.2 -14.8 -13.6 -20.0 -4.7 -16.0 16.9 11.0 -6.0 -9.9 -5.8 -7.5 -3.0 -5.9 20.0 -15.2 -20.0 -20.0 -20.0 COTTON2 1.6 -0.4 -0.9 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -7.8 -9.3 -9.0 -11.6 -3.6 -5.4 -4.0 7.0 -3.2 -0.1 -5.5 -8.7 -9.6 -10.1 -6.4 11.3 12.0 -2.6 -3.7 -3.1 -5.4 -1.6 -3.2 -3.8 -6.4 2.4 -0.8 -1.3 CRUDE_W 6.4 2.2 -6.2 -3.2 -9.8 -2.4 -8.6 0.4 -5.3 -13.0 3.1 -7.5 -3.0 5.6 5.2 9.4 11.3 8.9 9.4 1.4 -0.7 -13.3 1.3 -1.8 -10.6 10.8 0.5 -8.9 0.1 -5.5 1.9 -0.8 -4.8 1.9 18.3 11.3 7.5 DAX 12.3 1.2 12.9 3.7 -0.8 2.9 1.1 1.5 3.4 2.6 15.7 11.9 9.5 15.1 15.1 -7.2 -6.0 -7.7 -7.5 14.8 17.6 6.9 13.9 12.1 -17.9 9.9 4.8 0.6 6.7 2.3 5.5 3.8 -3.7 7.1 -4.2 -6.0 2.9 DOW 14.2 5.9 -2.4 3.7 -0.8 2.9 1.1 1.5 3.4 0.4 8.2 5.4 2.3 11.3 4.6 -8.3 -5.4 -7.7 -7.1 5.9 2.9 1.4 1.5 7.6 -0.2 10.8 3.2 -0.8 2.5 -0.2 1.9 2.8 -3.0 -7.3 -2.2 -3.2 -11.5 EUR 6.7 10.0 11.3 3.7 -0.8 2.6 0.9 -0.3 3.3 8.2 13.4 10.1 0.7 13.3 11.2 -6.5 -8.3 -7.0 -7.7 12.7 11.3 8.4 3.0 11.8 -13.0 -11.1 5.6 2.2 4.5 3.6 0.8 5.4 -9.2 9.1 9.1 10.9 7.4 EUROSTX 12.7 3.3 12.2 3.7 -0.8 2.9 1.1 1.5 3.4 4.6 15.9 12.0 12.9 15.5 15.5 -3.7 4.4 1.0 3.3 16.8 19.6 7.2 17.1 13.5 -17.8 -8.5 5.0 0.7 6.9 2.2 6.6 4.0 14.6 6.5 -3.6 -5.4 2.2 FEEDCOW 20.0 20.0 20.0 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 13.9 14.3 15.6 10.5 16.2 15.9 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 15.5 20.0 -20.0 12.2 6.4 4.1 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 -8.3 -10.5 -16.8 -3.2 -9.8 -2.4 -8.6 0.4 -5.3 -14.0 -13.4 -14.6 4.8 -13.4 -13.8 7.1 20.0 16.0 20.0 -14.3 -11.3 -20.0 1.7 -17.7 4.2 -15.4 -5.1 -11.5 -4.6 -9.6 -1.0 -6.6 17.8 -5.9 -3.7 -5.6 -7.4 GASOILINE -2.8 1.2 0.1 -3.2 -9.8 -2.4 -8.6 0.4 -5.3 -13.8 6.5 -12.7 1.8 0.3 4.2 20.0 14.8 16.8 12.4 2.0 3.6 -18.1 7.2 -6.2 -20.0 -13.1 0.6 -9.3 2.5 -7.6 5.6 -3.0 -0.1 -8.0 5.3 12.1 19.3 GAS_US 10.4 -8.9 -20.0 -3.2 -9.8 -2.4 -8.6 0.4 -5.3 -6.5 -16.6 -1.0 -14.6 -12.4 -15.0 -20.0 -14.5 -20.0 -20.0 -20.0 -20.0 -3.3 -20.0 -9.2 20.0 -9.3 -6.2 -1.7 -7.4 -1.9 -4.3 -3.8 -20.0 20.0 -0.8 -7.7 -20.0 GBP 3.5 14.5 10.2 3.7 -0.8 2.6 0.9 -0.3 3.3 9.5 14.3 6.7 -0.2 13.4 12.5 -1.7 -1.9 -1.8 -2.0 11.9 9.4 5.5 0.1 9.7 4.4 9.4 5.0 2.4 2.5 2.8 -2.5 4.7 1.3 6.4 3.0 8.4 1.3 GOLD_micro -2.9 17.6 11.1 4.2 -0.4 3.2 1.4 2.2 3.8 -9.6 12.5 -7.6 3.5 9.6 10.6 -11.6 -10.9 -11.7 -11.8 14.6 15.4 -2.6 9.5 6.4 -3.3 -13.8 5.0 -1.3 4.9 -0.3 3.2 2.7 -15.2 -13.8 -11.6 8.6 7.8 HEATOIL -4.6 -11.5 -17.3 -3.2 -9.8 -2.4 -8.6 0.4 -5.3 -13.9 -12.4 -13.8 3.7 -12.1 -13.1 6.1 20.0 16.8 20.0 -14.0 -11.7 -20.0 1.5 -16.9 -2.1 -13.6 -4.8 -11.7 -3.2 -9.5 2.0 -6.5 20.0 -10.2 -6.4 -7.4 -4.9 JPY -12.5 -0.6 -1.1 3.7 -0.8 2.6 0.9 -0.3 3.3 0.9 4.5 -10.7 -6.7 -3.9 -7.6 -16.6 -13.4 -15.5 -14.8 -5.3 -1.9 -5.5 -8.8 -7.8 1.3 9.9 0.9 -0.2 0.9 -0.7 -5.6 -0.3 -19.4 -2.4 -15.3 -3.7 -10.6 LEANHOG 1.3 -20.0 -20.0 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 12.3 -14.8 -1.1 -12.2 -12.7 -14.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 3.3 -15.8 -14.0 20.0 -11.1 -5.9 3.5 -6.0 0.6 -4.0 -3.2 -20.0 20.0 -8.1 -20.0 -20.0 LIVECOW 18.6 3.9 10.0 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 8.9 13.9 13.1 10.8 14.4 13.6 20.0 6.3 20.0 20.0 17.0 14.0 11.0 9.8 17.0 -20.0 12.0 5.0 2.1 4.7 3.1 4.1 4.9 20.0 14.9 20.0 20.0 20.0 MXP 5.7 8.8 4.6 3.7 -0.8 2.6 0.9 -0.3 3.3 2.2 15.4 10.6 15.5 14.8 15.3 18.1 20.0 18.9 20.0 17.0 20.0 4.7 20.0 11.0 -20.0 9.7 5.8 0.4 8.5 1.2 9.4 3.2 20.0 9.7 -5.0 -7.4 19.1 NASDAQ -3.6 17.8 20.0 3.7 -0.8 2.9 1.1 1.5 3.4 6.1 9.3 -0.4 -6.1 11.2 14.1 -8.9 -5.9 -8.0 -7.2 15.6 13.2 2.2 0.8 8.4 -3.1 10.2 5.5 3.1 5.6 0.8 2.8 2.7 -3.3 2.7 -13.5 14.9 18.1 NIKKEI 11.1 9.0 12.7 3.6 -3.6 2.8 0.7 1.5 3.5 -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 11.6 2.5 11.3 0.6 NZD -7.8 -3.4 -2.4 3.7 -0.8 2.6 0.9 -0.3 3.3 -7.8 6.3 -13.3 -1.6 -7.6 -10.1 1.3 0.7 0.9 0.6 -5.5 -2.2 -9.5 -3.5 -8.1 4.2 10.8 -2.1 -3.8 -0.7 -5.0 -2.2 -3.5 5.7 -11.7 -18.1 -15.3 -13.1 OAT -9.3 7.9 5.1 2.8 -0.5 1.2 0.5 -2.6 1.9 -1.7 -8.0 -9.9 -13.0 0.1 -4.0 10.9 12.1 10.7 11.4 -4.6 -8.0 -4.0 -16.4 -5.3 5.8 12.7 1.4 -0.5 -0.9 0.1 -7.1 0.8 20.0 -0.4 -6.4 -10.8 -4.9 OJ 4.2 20.0 -10.5 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -6.0 15.8 7.2 15.6 14.3 15.4 20.0 20.0 20.0 20.0 20.0 20.0 10.0 20.0 20.0 -20.0 -14.3 6.5 -0.9 7.9 1.7 8.2 4.2 20.0 15.5 20.0 20.0 20.0 PALLAD 20.0 13.1 -15.5 4.2 -0.4 3.2 1.4 2.2 3.8 -11.4 -13.1 0.6 -14.1 5.7 -6.4 -3.3 -2.3 -3.0 -2.8 -2.9 -16.5 -2.0 -20.0 5.3 20.0 -11.1 1.6 -4.3 -2.4 0.2 -3.8 3.7 0.0 8.6 5.6 -13.0 -20.0 PLAT 20.0 14.9 -3.4 4.2 -0.4 3.2 1.4 2.2 3.8 -0.3 8.1 8.6 3.2 12.3 7.6 -2.5 -1.5 -2.3 -2.0 14.7 7.9 14.7 4.1 20.0 -0.2 11.2 4.5 0.4 2.2 4.4 0.9 6.3 1.4 20.0 20.0 2.7 -15.8 REDWHEAT -8.8 8.4 -0.7 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -14.1 -8.8 -13.8 -11.5 -3.0 -0.7 7.8 5.5 9.3 8.2 -5.5 -6.7 -20.0 -6.5 -13.3 -1.0 12.9 -2.9 -14.5 -2.1 -11.0 -0.5 -6.0 1.7 -20.0 -20.0 -1.1 -2.3 ROBUSTA 20.0 20.0 20.0 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 4.5 12.0 13.2 7.0 15.2 15.9 12.4 10.2 11.4 11.0 20.0 20.0 20.0 13.8 20.0 -10.0 9.6 6.3 1.3 4.6 3.5 2.4 5.7 8.1 20.0 20.0 20.0 20.0 RUSSELL 2.9 -15.0 -1.3 3.7 -0.8 2.9 1.1 1.5 3.4 -8.1 -6.0 -5.9 -9.4 -10.9 -11.7 -5.7 -4.5 -5.6 -5.4 -9.8 -7.8 -10.6 -7.0 -8.6 9.2 10.0 -3.9 -5.8 -1.8 -5.3 -0.6 -4.5 -0.6 -17.0 -20.0 -20.0 -16.6 SILVER-mini 14.1 20.0 5.0 4.2 -0.4 3.2 1.4 2.2 3.8 -11.9 11.4 2.5 2.4 12.4 11.8 -6.2 -5.0 -6.0 -5.7 20.0 14.6 2.6 6.6 16.8 -4.8 -11.3 4.4 -1.3 2.8 0.5 0.8 3.8 -4.9 -11.6 3.5 7.3 -12.0 SOYBEAN -6.1 -19.1 -17.3 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -14.0 -7.0 -13.3 -3.4 -10.5 -9.9 20.0 20.0 20.0 20.0 -17.7 -13.3 -20.0 -4.2 -19.5 1.7 -11.7 -5.4 -7.1 -3.9 -6.3 -0.6 -5.5 20.0 -20.0 -5.8 -20.0 -20.0 SOYMEAL -10.7 -20.0 2.8 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -13.9 8.5 -12.7 11.2 -10.3 -6.1 20.0 20.0 20.0 20.0 -6.0 7.4 -20.0 15.9 -15.9 -20.0 -12.0 -2.9 -9.9 2.1 -8.6 6.5 -6.0 20.0 -20.0 -6.1 -9.8 5.1 SOYOIL -6.9 -15.6 -20.0 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -13.4 -12.8 -13.5 -6.0 -13.3 -13.3 5.2 11.7 3.6 6.4 -20.0 -19.9 -20.0 -9.0 -20.0 8.8 12.9 -6.1 -7.1 -5.5 -5.7 -2.2 -5.4 5.8 -14.2 -9.4 -20.0 -20.0 SP400 4.7 -13.8 -2.1 3.7 -0.8 2.9 1.1 1.5 3.4 -4.9 0.9 -3.7 -1.7 -5.3 -7.4 -5.2 -4.2 -5.3 -5.0 -6.0 -3.3 -7.3 -0.9 -5.0 5.5 10.2 -3.3 -4.1 -1.2 -4.2 0.6 -3.7 -0.0 -13.5 -20.0 -20.0 -17.0 SP500 7.6 9.1 9.7 3.7 -0.8 2.9 1.1 1.5 3.4 0.7 8.4 2.7 -4.6 12.0 10.0 -8.9 -6.2 -8.2 -7.4 8.7 5.5 0.2 -0.5 7.0 2.3 10.2 4.4 -0.5 3.8 -0.6 1.4 2.7 -3.7 -4.4 -7.7 1.4 -0.4 SUGAR11 20.0 20.0 19.4 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 13.6 16.1 15.4 13.8 16.2 16.5 10.0 20.0 19.7 20.0 20.0 20.0 20.0 18.9 20.0 -20.0 -10.5 6.3 5.5 5.1 6.4 3.8 6.9 20.0 20.0 20.0 20.0 20.0 US10 -3.3 18.0 13.4 2.8 -0.5 1.2 0.5 -2.6 1.9 -1.0 3.0 -4.6 -10.0 8.8 8.8 -10.1 -5.2 -9.3 -8.3 5.6 1.2 0.8 -9.5 3.4 -2.4 9.7 4.3 -0.2 2.5 1.4 -2.0 3.1 -10.8 -0.0 4.3 6.4 3.2 US10U -4.0 15.7 12.2 2.8 -0.5 1.2 0.5 -2.6 1.9 -0.5 2.9 -5.0 -10.0 7.7 8.1 -6.8 0.8 -3.1 -1.6 4.6 0.6 0.2 -10.0 2.4 -4.6 -14.1 4.4 -0.2 3.0 1.2 -1.3 3.0 0.3 -0.1 3.2 3.1 4.8 US20 -4.4 14.3 12.3 2.8 -0.5 1.2 0.5 -2.6 1.9 -1.8 4.6 -6.0 -8.5 7.4 8.2 -1.4 -1.5 -2.4 -2.7 4.6 1.0 -0.6 -9.5 1.8 -1.9 -12.3 4.0 -0.6 2.6 0.9 -1.8 2.6 -2.7 -2.1 2.7 2.2 1.6 US30 -5.0 9.0 9.5 2.8 -0.5 1.2 0.5 -2.6 1.9 -2.5 3.1 -7.1 -10.2 3.6 3.1 -1.8 -0.7 -1.3 -1.2 1.0 -1.8 -2.2 -13.0 -1.1 -5.0 10.0 3.7 -1.5 2.8 0.3 -2.6 1.9 -0.7 -2.5 0.6 -6.9 0.6 US5 -2.8 18.3 16.7 2.8 -0.5 1.2 0.5 -2.6 1.9 0.8 2.6 -2.8 -10.2 9.4 9.2 -10.0 -5.7 -9.8 -9.0 5.8 1.2 2.0 -9.3 4.1 -0.5 10.8 4.0 0.2 2.0 1.7 -2.7 3.2 -11.9 1.4 4.9 8.0 1.2 VIX -8.0 3.0 4.3 -3.2 1.5 -6.5 0.8 -8.0 -1.1 4.7 -13.7 -2.0 -13.7 -11.0 -10.9 -20.0 -20.0 -20.0 -20.0 -8.3 -12.4 -0.7 -15.0 -5.8 NaN -13.5 -3.7 1.7 -8.3 1.0 -11.0 -1.2 NaN NaN NaN NaN NaN WHEAT -8.7 -3.5 -10.3 -3.8 -11.3 -3.5 -8.2 -2.5 -5.1 -14.0 -14.8 -14.4 -15.1 -14.3 -13.7 -12.7 -8.9 -12.2 -10.9 -19.5 -20.0 -20.0 -18.0 -20.0 10.2 11.9 -5.6 -10.6 -4.8 -8.8 -2.8 -6.7 -20.0 -19.4 -20.0 -19.3 -16.7 End of report for caleb_strategy_v1