******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230428_204640 produced at 2023-04-28 21:37:21.493481 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.928395e+07 -4.928395e+07 -0.25 -0.25 -5.95 999999999.0 -5 -5 caleb_strategy_v1 VIX False False 0.01 -0.21 -0.22 0.0 9.327072e+06 -9.327072e+06 -0.21 -0.17 -23.81 999999999.0 -22 -18 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.13 0.0 5.702187e+07 -5.702187e+07 -0.11 -0.11 -2.20 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.749078e+07 -3.749078e+07 -0.37 -0.37 -3.47 999999999.0 -10 -10 caleb_strategy_v1 LEANHOG False False 0.02 -0.11 -0.09 0.0 1.517880e+07 -1.517880e+07 -0.11 -0.11 -6.14 999999999.0 -7 -7 caleb_strategy_v1 EUR False False 0.06 -0.11 -0.09 0.0 5.598018e+07 -5.598018e+07 -0.11 -0.11 -1.68 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.346592e+07 -5.346592e+07 0.00 0.00 -1.77 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 -0.09 -0.06 0.0 4.677223e+07 -4.677223e+07 -0.09 -0.09 -1.18 999999999.0 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.06 -0.04 0.0 8.097926e+06 -8.097926e+06 -0.06 -0.06 -5.43 999999999.0 -7 -8 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.221010e+07 -6.221010e+07 0.00 0.00 -0.66 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.190621e+07 -1.190621e+07 -0.06 -0.06 -1.71 999999999.0 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.589023e+07 -2.589023e+07 0.00 0.00 -0.56 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.673041e+07 -4.673041e+07 0.00 0.00 -0.20 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.046254e+07 -1.046254e+07 -0.02 -0.02 -0.94 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.159736e+07 -4.159736e+07 0.00 0.00 -0.31 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 -0.01 0.0 2.813329e+07 -2.813329e+07 0.00 0.00 -0.34 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.01 0.0 4.072021e+07 -4.072021e+07 -0.04 -0.04 -0.20 999999999.0 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 1.342287e+07 -1.342287e+07 -0.03 -0.04 -0.38 999999999.0 -2 -3 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.199137e+06 -1.199137e+06 -0.02 -0.02 -5.44 999999999.0 -14 -16 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.644201e+07 -1.644201e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.00 0.0 4.451586e+07 -4.451586e+07 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.250152e+07 -1.250152e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 -0.00 0.0 1.727130e+07 -1.727130e+07 0.02 0.00 -0.02 999999999.0 1 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.33 0.00 0.0 3.598628e+06 -3.598628e+06 -0.33 -0.10 0.49 999999999.0 -93 -27 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.566847e+07 -1.566847e+07 0.00 0.00 0.13 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.074763e+07 -6.074763e+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 1.197693e+07 -1.197693e+07 0.00 0.00 0.79 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.687616e+07 -2.687616e+07 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.945250e+07 -3.945250e+07 0.00 0.00 0.35 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.01 0.0 1.930951e+07 -1.930951e+07 0.02 0.00 0.34 999999999.0 1 0 caleb_strategy_v1 COTTON2 False False 0.02 0.03 0.01 0.0 1.633251e+07 -1.633251e+07 0.03 0.02 0.74 999999999.0 2 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.824734e+07 -2.824734e+07 0.03 0.03 0.40 999999999.0 1 1 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.478005e+07 -8.478005e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.072613e+07 -1.072613e+07 0.05 0.05 1.81 999999999.0 5 5 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.559876e+07 -2.559876e+07 0.00 0.00 0.81 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.184507e+06 -4.184507e+06 0.00 0.00 5.44 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.760984e+06 -9.760984e+06 0.02 0.02 2.46 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.204433e+07 -2.204433e+07 0.02 0.02 0.92 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.03 0.02 0.0 7.169743e+06 -7.169743e+06 0.03 0.01 3.35 999999999.0 4 1 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.507158e+07 -2.507158e+07 0.00 0.00 0.81 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.919471e+06 -6.919471e+06 0.00 0.00 3.17 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.743246e+07 -5.743246e+07 0.00 0.00 0.53 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.81 0.03 0.0 1.013488e+08 -1.013488e+08 0.81 0.81 0.25 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.115802e+07 -1.115802e+07 0.00 0.00 3.48 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.29 0.05 0.0 3.186665e+07 -3.186665e+07 0.29 0.25 1.59 999999999.0 9 8 caleb_strategy_v1 CRUDE_W False False 0.03 0.12 0.05 0.0 3.003723e+07 -3.003723e+07 0.12 0.09 1.65 999999999.0 4 3 caleb_strategy_v1 BTP False False 0.05 0.15 0.05 0.0 5.136106e+07 -5.136106e+07 0.15 0.15 1.04 999999999.0 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.997640e+07 -2.997640e+07 0.00 0.00 1.65 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.05 0.0 1.078027e+08 -1.078027e+08 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.799103e+07 -5.799103e+07 0.00 0.00 1.31 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.07 0.09 0.0 3.331058e+07 -3.331058e+07 0.07 0.03 2.59 999999999.0 2 1 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.12 0.0 2.654971e+07 -2.654971e+07 0.00 0.00 4.40 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 4.59 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.36 0.26 0.0 6.047336e+07 -6.047336e+07 0.36 0.30 4.32 999999999.0 6 5 caleb_strategy_v1 BOBL False False 0.05 0.00 0.39 0.0 5.262901e+07 -5.262901e+07 0.00 0.00 7.33 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.42 0.0 0.000000e+00 0.000000e+00 0.00 0.00 47.98 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 17.9 Shocked risk 54.7 Sum abs risk 48.0 Leverage 3.42 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2465939.94, 'annual_cash_vol_target': 616484.985, 'daily_cash_vol_target': 38530.3115625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6627 0.7167 11.4673 BITCOIN 929.4052 29570.0000 3.1431 50.2891 BOBL 0.4408 117.8800 0.3740 5.9833 BTP 0.7379 115.0400 0.6414 10.2630 BUND 0.8219 135.4500 0.6068 9.7088 BUXL 1.8755 139.3400 1.3460 21.5362 CAC 57.5508 7461.0000 0.7714 12.3417 CAD 0.0031 0.7392 0.4252 6.8038 CANOLA 8.8511 702.5000 1.2599 20.1590 CHF 0.0055 1.1249 0.4884 7.8148 COCOA 32.9362 2936.0000 1.1218 17.9489 COFFEE 3.7259 185.7500 2.0059 32.0941 COPPER 0.0453 3.8915 1.1648 18.6367 CORN 5.3480 529.0000 1.0110 16.1753 COTTON2 1.4079 80.5500 1.7479 27.9661 CRUDE_W 1.3312 74.0700 1.7972 28.7547 DAX 126.5993 16059.0000 0.7883 12.6134 DOW 238.3593 34126.0000 0.6985 11.1755 EUR 0.0055 1.1044 0.4997 7.9952 EUROSTX 37.4570 4325.0000 0.8661 13.8569 FEEDCOW 1.2511 230.6750 0.5424 8.6777 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.2689 693.7500 1.9126 30.6021 GASOILINE 0.0435 2.4423 1.7809 28.4945 GAS_US 0.1054 2.5800 4.0845 65.3522 GBP 0.0067 1.2573 0.5345 8.5514 GOLD_micro 16.7251 1996.9000 0.8376 13.4009 HEATOIL 0.0404 2.3908 1.6903 27.0446 JPY 0.0001 0.0074 0.6768 10.8285 LEANHOG 1.3161 93.5750 1.4064 22.5030 LIVECOW 0.9152 163.6750 0.5592 8.9466 MXP 0.0004 0.0550 0.6713 10.7406 NASDAQ 121.0761 13291.7500 0.9109 14.5746 NIKKEI 238.2232 29020.0000 0.8209 13.1343 NZD 0.0044 0.6182 0.7136 11.4172 OAT 0.7672 129.8900 0.5907 9.4505 OJ 4.2748 270.3000 1.5815 25.3039 PALLAD 31.6879 1498.0000 2.1153 33.8456 PLAT 17.9793 1087.2000 1.6537 26.4596 REDWHEAT 12.6047 772.7500 1.6312 26.0984 ROBUSTA 27.0677 2407.0000 1.1245 17.9926 RUSSELL 20.4732 1774.8000 1.1536 18.4568 SILVER-mini 0.3343 25.5375 1.3090 20.9445 SOYBEAN 10.3488 1262.5000 0.8197 13.1153 SOYMEAL 4.7890 425.9000 1.1244 17.9912 SOYOIL 0.7877 51.3800 1.5331 24.5289 SP400 25.3104 2499.2000 1.0127 16.2039 SP500 32.0191 4181.2500 0.7658 12.2524 SUGAR11 0.3559 26.3700 1.3498 21.5968 US10 0.5309 115.2344 0.4607 7.3719 US10U 0.6948 121.5312 0.5717 9.1469 US20 0.9879 131.8438 0.7493 11.9885 US30 1.4121 141.6250 0.9971 15.9537 US5 0.3916 109.7734 0.3567 5.7079 VIX 0.6100 23.0000 2.6522 42.4351 WHEAT 9.8524 662.0000 1.4883 23.8123 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.75 0.72 475.00 1.00 475.00 38530.31 81.12 2.30 18.67 BITCOIN 29.57 3.14 92.94 1.00 92.94 38530.31 414.57 -5.57 -230.94 BOBL 1178.80 0.37 440.82 1.11 487.39 38530.31 79.05 12.85 101.56 BTP 1150.40 0.64 737.91 1.11 815.87 38530.31 47.23 10.92 51.58 BUND 1354.50 0.61 821.91 1.11 908.75 38530.31 42.40 14.12 59.86 BUXL 1393.40 1.35 1875.54 1.11 2073.69 38530.31 18.58 -4.22 -7.85 CAC 746.10 0.77 575.51 1.11 636.31 38530.31 60.55 15.24 92.28 CAD 739.20 0.43 314.34 1.00 314.34 38530.31 122.58 7.53 92.28 CANOLA 140.50 1.26 177.02 0.73 129.98 38530.31 296.44 20.00 592.88 CHF 1406.12 0.49 686.79 1.00 686.79 38530.31 56.10 -10.49 -58.85 COCOA 293.60 1.12 329.36 1.00 329.36 38530.31 116.98 -6.69 -78.29 COFFEE 696.56 2.01 1397.22 1.00 1397.22 38530.31 27.58 11.32 31.22 COPPER 972.88 1.16 1133.20 1.00 1133.20 38530.31 34.00 3.75 12.74 CORN 264.50 1.01 267.40 1.00 267.40 38530.31 144.09 13.93 200.68 COTTON2 402.75 1.75 703.96 1.00 703.96 38530.31 54.73 9.02 49.35 CRUDE_W 740.70 1.80 1331.16 1.00 1331.16 38530.31 28.94 4.31 12.48 DAX 160.59 0.79 126.60 1.11 139.97 38530.31 275.27 2.24 61.77 DOW 170.63 0.70 119.18 1.00 119.18 38530.31 323.30 3.44 111.08 EUR 1380.44 0.50 689.80 1.00 689.80 38530.31 55.86 -8.02 -44.78 EUROSTX 432.50 0.87 374.57 1.11 414.14 38530.31 93.04 1.28 11.95 FEEDCOW 1153.38 0.54 625.54 1.00 625.54 38530.31 61.60 -7.13 -43.90 FTSE100 707.00 0.82 576.59 1.25 666.67 38530.31 57.80 7.70 44.49 GASOIL 693.75 1.91 1326.89 1.00 1326.89 38530.31 29.04 -1.66 -4.83 GASOILINE 1025.77 1.78 1826.79 1.00 1826.79 38530.31 21.09 -3.57 -7.53 GAS_US 258.00 4.08 1053.80 1.00 1053.80 38530.31 36.56 -17.04 -62.31 GBP 785.81 0.53 419.99 1.00 419.99 38530.31 91.74 9.71 89.04 GOLD_micro 199.69 0.84 167.25 1.00 167.25 38530.31 230.37 -10.53 -242.63 HEATOIL 1004.14 1.69 1697.28 1.00 1697.28 38530.31 22.70 -1.25 -2.85 JPY 924.50 0.68 625.68 1.00 625.68 38530.31 61.58 -8.72 -53.68 LEANHOG 374.30 1.41 526.43 1.00 526.43 38530.31 73.19 -17.94 -131.33 LIVECOW 654.70 0.56 366.08 1.00 366.08 38530.31 105.25 15.57 163.91 MXP 275.15 0.67 184.70 1.00 184.70 38530.31 208.61 13.65 284.65 NASDAQ 2658.35 0.91 2421.52 1.00 2421.52 38530.31 15.91 5.21 8.29 NIKKEI 29020.00 0.82 23822.32 0.01 178.17 38530.31 216.25 11.68 252.59 NZD 618.25 0.71 441.17 1.00 441.17 38530.31 87.34 5.84 50.99 OAT 1298.90 0.59 767.21 1.11 848.26 38530.31 45.42 14.27 64.84 OJ 405.45 1.58 641.22 1.00 641.22 38530.31 60.09 -2.68 -16.10 PALLAD 1498.00 2.12 3168.79 1.00 3168.79 38530.31 12.16 -1.38 -1.68 PLAT 543.60 1.65 898.96 1.00 898.96 38530.31 42.86 8.97 38.44 REDWHEAT 386.38 1.63 630.24 1.00 630.24 38530.31 61.14 4.01 24.53 ROBUSTA 240.70 1.12 270.68 1.00 270.68 38530.31 142.35 13.31 189.44 RUSSELL 88.74 1.15 102.37 1.00 102.37 38530.31 376.40 0.25 9.42 SILVER-mini 638.44 1.31 835.73 1.00 835.73 38530.31 46.10 -5.45 -25.11 SOYBEAN 631.25 0.82 517.44 1.00 517.44 38530.31 74.46 1.84 13.68 SOYMEAL 425.90 1.12 478.90 1.00 478.90 38530.31 80.46 -0.04 -0.30 SOYOIL 308.28 1.53 472.61 1.00 472.61 38530.31 81.53 5.06 41.27 SP400 2499.20 1.01 2531.04 1.00 2531.04 38530.31 15.22 3.20 4.87 SP500 2090.62 0.77 1600.95 1.00 1600.95 38530.31 24.07 4.22 10.16 SUGAR11 295.34 1.35 398.65 1.00 398.65 38530.31 96.65 6.05 58.49 US10 1152.34 0.46 530.94 1.00 530.94 38530.31 72.57 -0.72 -5.22 US10U 1215.31 0.57 694.77 1.00 694.77 38530.31 55.46 -7.37 -40.85 US20 1318.44 0.75 987.88 1.00 987.88 38530.31 39.00 -6.15 -23.99 US30 1416.25 1.00 1412.15 1.00 1412.15 38530.31 27.28 2.29 6.26 US5 1097.73 0.36 391.61 1.00 391.61 38530.31 98.39 -0.17 -1.68 VIX 230.00 2.65 610.00 1.00 610.00 38530.31 63.16 -20.00 -126.33 WHEAT 331.00 1.49 492.62 1.00 492.62 38530.31 78.22 -9.09 -71.12 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 18.674 0.006 2.5 0.298 BITCOIN -230.938 0.009 2.5 -5.441 BOBL 101.556 0.029 2.5 7.328 BTP 51.576 0.008 2.5 1.042 BUND 59.863 0.029 2.5 4.320 BUXL -7.846 0.034 2.5 -0.659 CAC 92.278 0.011 2.5 2.594 CAD 92.281 0.007 2.5 1.648 CANOLA 592.881 0.004 2.5 5.442 CHF -58.849 0.015 2.5 -2.202 COCOA -78.294 0.009 2.5 -1.706 COFFEE 31.224 0.005 2.5 0.405 COPPER 12.735 0.011 2.5 0.348 CORN 200.680 0.004 2.5 1.810 COTTON2 49.354 0.006 2.5 0.743 CRUDE_W 12.484 0.053 2.5 1.649 DAX 61.773 0.022 2.5 3.355 DOW 111.077 0.011 2.5 3.165 EUR -44.780 0.015 2.5 -1.676 EUROSTX 11.946 0.011 2.5 0.336 FEEDCOW -43.900 0.011 2.5 -1.180 FTSE100 44.489 0.041 2.5 4.586 GASOIL -4.832 0.029 2.5 -0.345 GASOILINE -7.526 0.016 2.5 -0.309 GAS_US -62.311 0.006 2.5 -0.938 GBP 89.043 0.007 2.5 1.590 GOLD_micro -242.626 0.009 2.5 -5.429 HEATOIL -2.847 0.029 2.5 -0.203 JPY -53.681 0.026 2.5 -3.475 LEANHOG -131.331 0.019 2.5 -6.136 LIVECOW 163.908 0.011 2.5 4.404 MXP 284.654 0.005 2.5 3.485 NASDAQ 8.287 0.022 2.5 0.450 NIKKEI 252.593 0.076 2.5 47.976 NZD 50.993 0.006 2.5 0.815 OAT 64.840 0.008 2.5 1.310 OJ -16.103 0.007 2.5 -0.281 PALLAD -1.675 0.010 2.5 -0.040 PLAT 38.438 0.010 2.5 0.925 REDWHEAT 24.528 0.002 2.5 0.131 ROBUSTA 189.441 0.005 2.5 2.456 RUSSELL 9.418 0.021 2.5 0.488 SILVER-mini -25.114 0.009 2.5 -0.562 SOYBEAN 13.679 0.024 2.5 0.807 SOYMEAL -0.301 0.024 2.5 -0.018 SOYOIL 41.270 0.004 2.5 0.379 SP400 4.873 0.021 2.5 0.252 SP500 10.155 0.011 2.5 0.289 SUGAR11 58.491 0.005 2.5 0.794 US10 -5.216 0.015 2.5 -0.200 US10U -40.853 0.058 2.5 -5.952 US20 -23.993 0.029 2.5 -1.768 US30 6.258 0.034 2.5 0.525 US5 -1.681 0.015 2.5 -0.064 VIX -126.328 0.075 2.5 -23.806 WHEAT -71.117 0.002 2.5 -0.380 ==================== Position diags ==================== AUD 1.30 BITCOIN 9.77 BOBL 5.70 BTP 0.95 BUND 3.06 BUXL 1.56 CAC 1.70 CAD 2.19 CANOLA 2.72 CHF 2.10 COCOA 2.55 COFFEE 0.36 COPPER 0.93 CORN 1.30 COTTON2 0.82 CRUDE_W 3.82 DAX 14.95 DOW 9.21 EUR 2.09 EUROSTX 2.62 FEEDCOW 1.66 FTSE100 5.96 GASOIL 2.07 GASOILINE 0.87 GAS_US 0.55 GBP 1.64 GOLD_micro 5.15 HEATOIL 1.62 JPY 3.99 LEANHOG 3.42 LIVECOW 2.83 MXP 2.55 NASDAQ 0.86 NIKKEI 41.07 NZD 1.40 OAT 0.92 OJ 1.05 PALLAD 0.29 PLAT 1.03 REDWHEAT 0.33 ROBUSTA 1.85 RUSSELL 19.50 SILVER-mini 1.03 SOYBEAN 4.39 SOYMEAL 4.74 SOYOIL 0.75 SP400 0.79 SP500 0.69 SUGAR11 1.31 US10 2.78 US10U 8.08 US20 2.87 US30 2.29 US5 3.77 VIX 11.90 WHEAT 0.42 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 -6.4 -4.5 -14.0 -14 BOBL 7.3 6.8 7.9 0.0 0 BTP 1.0 0.9 1.1 3.0 3 BUND 4.3 4.0 4.6 6.0 6 BUXL -0.7 -0.8 -0.5 0.0 0 CAC 2.6 2.4 2.8 2.0 2 CAD 1.6 1.4 1.9 0.0 0 CANOLA 5.4 5.2 5.7 NaN 0 CHF -2.2 -2.4 -2.0 -2.0 -2 COCOA -1.7 -2.0 -1.5 -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 0.7 0.8 2.0 2 CRUDE_W 1.6 1.3 2.0 4.0 4 DAX 3.4 1.9 4.8 4.0 4 DOW 3.2 2.2 4.1 0.0 0 EUR -1.7 -1.9 -1.5 -2.0 -2 EUROSTX 0.3 0.1 0.6 1.0 1 FEEDCOW -1.2 -1.3 -1.0 -2.0 -2 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL -0.3 -0.6 -0.1 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 1.6 1.4 1.8 9.0 9 GOLD_micro -5.4 -5.9 -4.9 -7.0 -7 HEATOIL -0.2 -0.4 -0.0 -1.0 -1 JPY -3.5 -3.9 -3.1 -10.0 -10 LEANHOG -6.1 -6.5 -5.8 -7.0 -7 LIVECOW 4.4 4.1 4.7 0.0 0 MXP 3.5 3.2 3.7 0.0 0 NASDAQ 0.5 0.4 0.5 0.0 0 NIKKEI 48.0 43.9 52.1 0.0 0 NZD 0.8 0.7 1.0 0.0 0 OAT 1.3 1.2 1.4 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.0 -0.1 -0.0 0.0 0 PLAT 0.9 0.8 1.0 1.0 1 REDWHEAT 0.1 0.1 0.2 0.0 0 ROBUSTA 2.5 2.3 2.6 2.0 2 RUSSELL 0.5 -1.5 2.4 -93.0 -93 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 0.8 0.4 1.2 0.0 0 SOYMEAL -0.0 -0.5 0.5 1.0 1 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.3 0.2 0.3 8.0 8 SP500 0.3 0.2 0.4 0.0 0 SUGAR11 0.8 0.7 0.9 0.0 0 US10 -0.2 -0.5 0.1 NaN 0 US10U -6.0 -6.8 -5.1 -5.0 -5 US20 -1.8 -2.1 -1.5 0.0 0 US30 0.5 0.3 0.8 0.0 0 US5 -0.1 -0.4 0.3 0.0 0 VIX -23.8 -25.0 -22.6 -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 -0.1 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 -0.2 -0.3 -0.3 -0.2 BITCOIN -0.0 0.3 0.3 0.1 -0.0 0.1 0.0 0.1 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 0.1 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 -0.4 -0.2 0.2 BOBL -0.1 0.1 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 0.9 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 -0.0 -0.0 -0.1 BTP -0.1 0.1 0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.1 -0.0 -0.2 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 -0.1 -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 0.0 0.1 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 -0.1 -0.2 -0.2 CAC 0.2 0.2 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 0.0 0.0 -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 4.3 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 0.0 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 0.2 0.0 -3.1 -2.2 0.1 -0.0 0.1 0.0 0.1 0.0 -1.3 0.2 0.4 0.3 0.3 COFFEE 0.1 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 1.0 2.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 0.0 0.4 0.3 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 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.6 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 0.7 0.8 0.3 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.7 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.1 -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 2.7 3.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.0 0.1 -0.0 -0.0 CRUDE_W 0.0 0.1 -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 0.2 0.1 DAX 0.1 0.1 0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.4 0.0 0.3 0.1 0.4 -0.3 -0.2 -0.1 -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 0.1 0.1 -0.6 -0.2 -0.2 -0.2 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 -0.0 -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 0.0 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 0.3 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 -0.0 -0.3 -0.1 0.1 -0.1 -0.3 0.5 0.9 0.3 0.4 -0.2 -0.2 -0.0 0.0 -0.0 0.5 -3.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.3 -0.0 -0.2 -0.1 -0.1 GASOILINE -0.1 0.0 0.0 -0.1 -0.0 -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 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.4 -0.0 -0.4 -0.0 -0.4 -1.6 -0.6 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 2.4 -1.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.3 0.0 -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 0.4 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 0.1 0.1 0.1 0.0 GOLD_micro -0.1 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 -0.0 -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 -0.0 -0.3 -0.1 0.1 -0.1 -0.3 0.4 0.9 0.4 0.5 -0.2 -0.2 -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 -0.2 -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 -0.6 -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 -0.2 -0.4 -0.1 -0.2 LEANHOG 0.1 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 0.0 -0.3 -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 -0.0 -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 0.2 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 0.1 0.2 0.0 -0.2 0.1 0.4 -0.6 -0.2 -0.2 -0.1 0.2 0.2 0.0 0.0 0.0 -0.4 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.4 0.1 -0.2 0.2 0.3 NIKKEI 0.1 0.2 0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.3 0.0 0.2 0.1 0.3 0.3 0.5 0.2 0.2 0.2 0.1 0.0 0.1 0.0 0.8 -1.9 0.1 0.0 0.0 0.0 0.0 0.0 2.6 0.2 0.1 0.1 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 -0.0 -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 -0.2 -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 -0.1 -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 0.0 -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 0.3 -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 0.9 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -1.8 2.1 0.1 0.0 0.1 0.0 0.0 0.0 1.2 0.0 0.4 0.3 0.3 RUSSELL 0.0 -0.2 -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 -0.2 -0.4 -0.3 -0.3 SILVER-mini 0.1 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 0.0 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 -0.2 -0.3 -0.3 SOYMEAL -0.1 -0.3 0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 0.2 -0.0 0.3 -0.0 -0.2 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 -0.2 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -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 0.9 -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 0.2 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 0.0 -0.1 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 -0.1 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 -0.8 -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 -0.1 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 -0.1 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 -0.0 -0.1 0.1 0.0 0.0 -0.1 0.0 -0.3 -2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 -0.0 0.0 0.0 0.0 US30 -0.1 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 0.2 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 -0.0 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 1.6 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.3 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.9 -4.5 -4.2 3.7 0.7 2.6 1.3 -0.2 3.3 -11.4 0.3 -11.6 -5.2 -7.1 -11.8 -3.6 -3.1 -3.6 -3.5 -7.0 -5.6 -10.1 -6.2 -7.4 12.6 11.7 -2.7 -6.4 -2.7 -5.1 -3.6 -2.9 -0.9 -13.6 -12.2 -20.0 -14.0 BITCOIN -2.5 16.4 20.0 4.2 -0.6 3.3 1.1 2.3 3.5 4.1 13.4 0.8 -7.7 11.7 13.6 -3.9 -2.1 -3.5 -2.6 14.5 13.2 3.2 0.8 7.4 4.8 -18.1 4.4 3.3 5.0 0.6 1.8 1.3 0.6 -1.4 -20.0 -15.5 14.9 BOBL -8.9 6.6 19.6 3.0 2.6 1.3 1.6 -2.6 2.3 11.0 -7.0 -3.9 -12.7 2.0 1.8 10.5 6.2 5.1 4.3 -2.1 -6.8 2.9 -15.3 -1.5 10.5 10.8 2.3 5.0 -0.8 2.8 -6.8 2.4 10.1 3.4 -4.1 -2.0 -4.6 BTP -11.4 4.9 9.4 3.0 2.6 1.3 1.6 -2.6 2.3 8.0 5.6 -6.7 -8.5 2.6 3.5 8.3 11.7 8.6 10.3 0.6 0.6 1.3 -8.8 -1.9 -9.8 11.4 3.3 6.8 2.8 2.6 -3.3 1.8 20.0 1.7 -5.5 -12.3 4.6 BUND -9.6 5.3 13.2 3.0 2.6 1.3 1.6 -2.6 2.3 10.0 -8.0 -5.5 -13.1 0.5 -1.6 6.3 12.7 7.9 10.0 -3.3 -7.6 1.3 -16.6 -2.8 7.9 12.3 2.1 5.0 -0.6 2.5 -6.8 1.9 20.0 1.3 -5.5 -6.6 -3.6 BUXL -9.9 0.9 4.4 3.0 2.6 1.3 1.6 -2.6 2.3 8.9 -10.4 -6.6 -13.7 -4.9 -7.1 1.7 0.9 2.2 2.4 -7.1 -10.8 -0.4 -18.7 -5.5 8.1 -10.8 0.3 4.1 -1.8 1.6 -6.3 0.6 4.0 0.5 -7.5 -12.1 -11.2 CAC 17.9 12.5 13.9 3.7 1.2 3.0 1.6 1.6 3.4 -4.3 15.6 10.5 13.1 14.8 15.0 18.5 4.1 10.7 5.6 20.0 20.0 8.3 20.0 17.1 -15.5 8.9 5.0 -0.5 6.2 1.9 6.1 4.1 15.3 3.7 2.5 -6.6 5.2 CAD 1.8 8.7 1.6 3.7 0.7 2.6 1.3 -0.2 3.3 -6.1 -5.1 -8.6 -9.8 2.7 1.4 -3.0 -2.0 -2.7 -2.5 -0.1 -3.9 -8.2 -9.4 -2.4 18.0 10.4 0.9 -1.6 -1.0 -3.2 -3.5 -0.2 0.9 -20.0 -6.5 -10.3 -7.0 CANOLA 1.5 -9.0 -18.1 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -13.4 -10.9 -13.3 -12.7 -10.7 -11.4 20.0 18.6 20.0 20.0 -20.0 -20.0 -20.0 -13.5 -18.6 18.8 13.2 -5.9 -5.5 -5.7 -4.4 -3.5 -4.7 20.0 -18.9 -11.9 -20.0 -20.0 CHF 13.2 15.6 7.7 3.7 0.7 2.6 1.3 -0.2 3.3 -3.9 13.6 8.7 7.5 13.1 12.2 -13.9 -14.0 -14.0 -14.3 16.0 12.4 6.9 6.3 15.1 -7.4 -11.5 5.5 -0.7 3.9 2.2 1.4 5.2 -19.6 0.8 18.5 18.7 6.4 COCOA 3.7 16.0 19.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -5.2 15.2 7.1 8.6 14.1 14.8 2.7 -0.9 2.2 1.0 20.0 20.0 5.0 12.9 15.1 -20.0 -10.4 6.1 -0.8 6.1 1.3 4.2 4.2 -9.4 18.9 20.0 20.0 20.0 COFFEE 15.2 11.9 20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -13.5 -0.9 2.1 -5.7 5.1 10.5 7.8 4.1 5.5 4.7 10.8 4.1 -2.3 -3.3 8.7 6.5 10.0 4.2 -4.4 1.8 -0.5 -0.5 3.5 -1.9 1.7 20.0 19.4 20.0 COPPER -9.4 -6.5 3.7 4.2 -0.6 3.3 1.1 2.3 3.5 -10.2 7.8 -11.7 -1.7 -7.6 -2.8 -1.0 -0.6 -0.9 -0.8 -3.7 3.6 -18.4 2.9 -12.0 4.5 11.1 -2.8 -7.4 0.0 -8.6 1.0 -5.8 3.2 -20.0 -20.0 -20.0 -14.6 CORN -3.0 -1.7 -20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -14.0 -11.9 -14.6 -4.4 -14.2 -14.4 9.0 18.4 15.1 17.9 -16.5 -14.4 -20.0 -5.2 -19.4 17.5 11.0 -6.0 -9.7 -5.6 -8.2 -2.9 -6.4 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -0.2 -0.4 -1.5 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -5.7 -9.2 -7.8 -11.7 -3.5 -5.6 -3.9 6.8 -3.3 -0.2 -5.6 -9.0 -7.3 -10.4 -6.1 10.9 12.0 -2.7 -1.1 -3.2 -4.1 -1.7 -3.1 -3.6 -4.6 4.5 -0.6 -1.7 CRUDE_W 4.0 3.4 -6.2 -3.4 -6.5 -2.5 -7.7 0.3 -5.4 -6.7 3.1 -7.1 -3.1 5.3 5.1 9.3 11.3 8.9 9.4 1.1 -0.7 -9.6 1.2 -1.8 -10.8 10.8 0.4 -3.6 0.1 -4.2 1.9 -0.9 -5.1 5.5 18.1 12.3 7.8 DAX 11.4 6.5 12.5 3.7 1.2 3.0 1.6 1.6 3.4 6.3 15.7 11.9 9.7 15.0 15.1 -7.3 -6.0 -7.8 -7.5 14.8 17.8 7.2 14.1 11.8 -17.9 9.9 4.8 2.7 6.8 2.7 5.6 3.8 -3.7 6.6 -3.0 -6.2 2.7 DOW 13.5 7.7 -2.3 3.7 1.2 3.0 1.6 1.6 3.4 9.1 8.4 7.7 2.4 12.0 5.1 -8.3 -5.5 -7.8 -7.2 6.5 3.2 5.1 1.7 8.6 -0.3 10.8 3.4 3.6 2.7 1.6 2.0 3.2 -3.0 -2.0 -0.7 -3.0 -11.1 EUR 5.9 11.8 11.2 3.7 0.7 2.6 1.3 -0.2 3.3 5.9 13.5 9.6 0.8 13.4 11.4 -6.6 -8.3 -7.1 -7.7 12.8 11.6 7.1 3.2 11.4 -13.0 -11.1 5.6 1.0 4.6 3.0 0.8 5.2 -9.2 4.4 9.2 10.8 7.4 EUROSTX 11.9 9.4 12.8 3.7 1.2 3.0 1.6 1.6 3.4 -2.3 15.9 9.5 12.9 15.0 15.3 -3.8 4.3 0.8 3.2 16.9 20.0 5.0 17.8 12.5 -17.6 -8.5 5.0 -0.5 7.0 1.2 6.8 3.5 14.5 0.6 -3.9 -6.1 1.9 FEEDCOW 20.0 20.0 20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 11.3 14.4 15.0 10.7 16.0 16.0 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 15.8 20.0 -20.0 12.2 6.4 2.6 5.3 4.5 3.5 6.0 -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 -10.5 -11.0 -16.9 -3.4 -6.5 -2.5 -7.7 0.3 -5.4 -12.4 -13.5 -14.3 4.6 -13.7 -14.0 6.3 20.0 15.4 20.0 -15.3 -12.0 -20.0 1.4 -18.9 4.2 -15.4 -5.3 -8.3 -4.6 -8.8 -1.0 -6.7 17.0 -3.5 -8.9 -5.4 -7.4 GASOILINE -6.1 1.9 0.2 -3.4 -6.5 -2.5 -7.7 0.3 -5.4 -11.7 6.3 -12.8 1.7 -0.7 3.3 20.0 14.9 17.1 12.6 1.1 3.3 -16.5 7.1 -7.1 -20.0 -13.1 0.3 -6.1 2.4 -6.9 5.6 -3.4 -0.1 -7.4 4.4 12.3 18.9 GAS_US 11.3 -8.6 -20.0 -3.4 -6.5 -2.5 -7.7 0.3 -5.4 -5.5 -16.6 -0.3 -14.6 -12.0 -14.9 -20.0 -14.8 -20.0 -20.0 -20.0 -20.0 -2.4 -20.0 -8.7 20.0 -9.3 -6.2 -0.3 -7.5 -1.4 -4.4 -3.6 -20.0 20.0 2.3 -6.9 -20.0 GBP 3.3 15.1 10.3 3.7 0.7 2.6 1.3 -0.2 3.3 12.6 14.5 10.0 -0.0 14.0 12.9 -1.5 -1.9 -1.8 -1.9 12.5 9.7 9.1 0.3 11.0 4.1 9.4 5.2 5.2 2.6 4.2 -2.3 5.1 1.3 13.2 5.9 9.1 1.9 GOLD_micro -4.3 17.0 10.9 4.2 -0.6 3.3 1.1 2.3 3.5 -10.6 12.5 -10.0 3.6 9.3 10.4 -11.7 -10.9 -11.8 -11.9 14.2 15.6 -3.2 9.7 5.5 -3.5 -13.8 4.9 -1.3 5.0 -0.5 3.3 2.4 -15.2 -5.0 -10.2 7.9 7.4 HEATOIL -7.2 -11.6 -17.3 -3.4 -6.5 -2.5 -7.7 0.3 -5.4 -12.2 -12.6 -13.7 3.5 -12.7 -13.4 5.0 20.0 16.0 20.0 -15.0 -12.2 -20.0 1.2 -17.9 -2.1 -13.6 -5.0 -8.0 -3.2 -8.6 1.8 -6.6 20.0 -7.8 -7.0 -7.1 -5.2 JPY -13.7 -1.4 0.2 3.7 0.7 2.6 1.3 -0.2 3.3 -9.4 4.2 -12.6 -6.8 -6.3 -8.5 -16.5 -13.4 -15.5 -14.8 -6.0 -2.2 -12.4 -7.9 -9.8 1.6 9.9 -0.2 -13.2 0.5 -6.4 -5.2 -2.7 -19.5 -17.8 -18.9 -5.8 -11.4 LEANHOG 5.6 -20.0 -20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 13.7 -14.6 3.8 -12.2 -11.5 -14.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 8.1 -15.9 -10.5 20.0 -11.1 -5.7 4.4 -6.0 1.7 -4.1 -2.5 -20.0 20.0 -1.7 -20.0 -20.0 LIVECOW 17.8 6.3 11.3 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 9.5 14.0 13.6 11.0 14.7 13.9 20.0 6.4 20.0 20.0 17.3 14.5 10.7 10.2 16.9 -20.0 12.0 5.1 1.7 4.8 3.0 4.2 4.8 20.0 18.4 20.0 20.0 20.0 MXP 6.0 11.5 4.6 3.7 0.7 2.6 1.3 -0.2 3.3 10.2 15.5 12.4 15.5 15.2 15.5 18.5 20.0 19.0 20.0 17.3 20.0 6.4 20.0 11.5 -20.0 9.7 5.8 2.4 8.6 2.1 9.5 3.4 20.0 7.5 -5.7 -9.5 19.0 NASDAQ -3.7 18.2 20.0 3.7 1.2 3.0 1.6 1.6 3.4 11.4 9.7 5.4 -5.9 12.2 14.4 -8.9 -5.9 -8.1 -7.3 16.2 13.6 7.2 1.1 10.2 -3.3 10.2 5.6 5.3 5.6 2.6 2.8 3.3 -3.4 6.3 -10.9 15.9 18.9 NIKKEI 12.4 11.4 12.6 3.7 1.2 3.0 1.6 1.6 3.4 7.4 10.8 13.2 8.8 14.7 14.1 4.2 12.5 9.0 11.9 15.2 10.6 13.3 5.7 16.2 5.9 -9.4 5.2 5.9 3.3 4.9 1.1 5.7 20.0 15.5 5.9 10.4 3.2 NZD -7.6 -3.2 -2.8 3.7 0.7 2.6 1.3 -0.2 3.3 1.9 6.3 -10.5 -1.6 -6.9 -10.1 1.4 0.7 1.0 0.7 -5.3 -2.3 -5.5 -3.5 -6.8 4.3 10.8 -1.9 1.7 -0.7 -2.4 -2.2 -2.7 5.7 -5.6 -16.7 -15.1 -13.4 OAT -8.9 4.7 6.2 3.0 2.6 1.3 1.6 -2.6 2.3 9.6 -7.7 -6.0 -12.9 1.2 -3.7 11.0 12.1 10.7 11.4 -3.7 -7.5 1.4 -15.8 -2.8 5.7 12.7 1.8 5.2 -0.7 2.5 -7.0 1.8 20.0 1.9 -4.6 -9.8 -4.8 OJ 4.6 20.0 -7.6 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -5.4 15.7 4.6 15.6 13.6 15.2 20.0 20.0 20.0 20.0 20.0 20.0 8.2 20.0 20.0 -20.0 -14.3 6.4 -0.5 8.0 1.3 8.4 3.9 20.0 16.8 20.0 20.0 20.0 PALLAD 20.0 12.5 -15.6 4.2 -0.6 3.3 1.1 2.3 3.5 -11.6 -13.1 -0.6 -14.1 4.9 -6.4 -3.4 -2.3 -3.1 -2.8 -3.2 -16.7 -3.0 -20.0 4.1 20.0 -11.1 1.5 -3.3 -2.4 -0.2 -3.9 3.2 0.0 8.0 4.9 -12.4 -20.0 PLAT 20.0 15.6 -3.1 4.2 -0.6 3.3 1.1 2.3 3.5 -3.4 8.2 7.0 3.3 11.4 7.7 -2.5 -1.5 -2.3 -2.0 14.7 8.2 10.8 4.3 18.7 -0.1 11.2 4.6 -0.8 2.4 3.3 1.0 5.8 1.5 20.0 20.0 2.4 -16.0 REDWHEAT -11.6 7.9 -0.8 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -12.3 -9.2 -13.5 -11.6 -5.0 -2.1 7.3 5.5 9.1 8.1 -7.1 -7.3 -20.0 -6.7 -15.6 -0.6 12.9 -3.3 -10.7 -2.2 -10.4 -0.6 -6.4 2.1 -20.0 -20.0 -1.5 -2.8 ROBUSTA 20.0 20.0 20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 1.4 12.2 12.5 7.3 14.9 15.8 12.1 10.2 11.3 11.0 20.0 20.0 17.9 14.5 20.0 -10.5 9.6 6.2 0.9 4.7 3.0 2.5 5.4 8.6 20.0 20.0 20.0 20.0 RUSSELL 3.5 -13.7 -2.0 3.7 1.2 3.0 1.6 1.6 3.4 -3.1 -6.1 -4.2 -9.4 -10.8 -11.8 -5.7 -4.5 -5.7 -5.4 -9.7 -7.9 -7.7 -7.2 -8.1 9.6 10.0 -3.9 -2.0 -1.9 -4.0 -0.6 -4.3 -0.6 -11.4 -20.0 -20.0 -16.8 SILVER-mini 11.2 20.0 5.0 4.2 -0.6 3.3 1.1 2.3 3.5 -4.4 11.5 1.6 2.5 12.2 11.8 -6.2 -5.1 -6.0 -5.8 20.0 14.8 2.5 6.9 15.6 -4.7 -11.3 4.4 -0.4 2.9 0.5 0.9 3.5 -4.9 -4.2 1.7 8.3 -11.9 SOYBEAN -7.2 -18.7 -17.2 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -12.0 -7.5 -13.2 -3.7 -11.3 -10.4 20.0 20.0 20.0 20.0 -18.3 -13.7 -20.0 -4.5 -20.0 2.1 -11.7 -5.5 -5.0 -4.0 -5.8 -0.7 -5.6 20.0 -20.0 -8.3 -20.0 -20.0 SOYMEAL -11.2 -20.0 3.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -11.1 8.2 -12.2 11.0 -10.9 -6.9 20.0 20.0 20.0 20.0 -6.8 6.7 -20.0 15.5 -16.1 -20.0 -12.0 -3.2 -5.6 1.8 -7.3 6.3 -6.0 20.0 -20.0 -7.1 -10.9 3.8 SOYOIL -6.7 -14.5 -20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -10.8 -13.0 -13.0 -6.3 -13.5 -13.5 5.4 11.7 3.8 6.4 -20.0 -20.0 -20.0 -9.1 -20.0 9.3 12.9 -6.2 -5.2 -5.5 -5.5 -2.2 -5.5 6.3 -13.1 -10.2 -20.0 -20.0 SP400 5.5 -11.9 -2.6 3.7 1.2 3.0 1.6 1.6 3.4 2.0 0.8 -0.9 -1.7 -4.7 -7.4 -5.3 -4.3 -5.3 -5.0 -5.8 -3.3 -3.6 -1.0 -4.1 5.8 10.2 -3.3 -0.1 -1.2 -2.6 0.6 -3.3 -0.0 -7.4 -20.0 -20.0 -17.1 SP500 7.1 10.4 9.6 3.7 1.2 3.0 1.6 1.6 3.4 9.8 8.8 7.3 -4.5 12.9 10.6 -8.9 -6.3 -8.2 -7.5 9.3 5.9 4.8 -0.3 8.3 2.3 10.2 4.6 4.3 3.9 1.7 1.5 3.3 -3.8 0.3 -5.4 1.8 0.1 SUGAR11 20.0 20.0 20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 13.9 16.2 15.6 13.9 16.3 16.6 9.7 20.0 19.3 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -10.5 6.3 4.6 5.1 6.0 3.8 6.8 20.0 20.0 20.0 20.0 20.0 US10 -4.7 15.0 13.7 3.0 2.6 1.3 1.6 -2.6 2.3 2.6 3.4 -3.6 -9.9 9.0 8.9 -10.2 -5.3 -9.4 -8.4 5.7 1.3 1.8 -9.4 3.7 -2.4 9.7 4.3 1.0 2.6 1.6 -1.9 3.2 -11.0 -2.7 2.7 5.5 3.2 US10U -5.2 13.1 12.7 3.0 2.6 1.3 1.6 -2.6 2.3 5.4 3.3 -3.1 -10.0 8.1 8.3 -7.0 0.6 -3.4 -1.7 4.8 0.8 2.4 -9.8 3.2 -4.6 -14.1 4.5 2.1 3.2 2.0 -1.3 3.2 0.0 -1.4 1.9 2.0 4.7 US20 -5.8 12.3 13.0 3.0 2.6 1.3 1.6 -2.6 2.3 6.0 5.0 -3.6 -8.5 7.8 8.5 -1.3 -1.5 -2.3 -2.7 4.8 1.2 2.3 -9.1 2.9 -1.9 -12.3 4.1 2.7 2.7 2.0 -1.7 2.9 -2.7 -1.2 1.4 1.2 1.8 US30 -5.9 7.3 10.4 3.0 2.6 1.3 1.6 -2.6 2.3 7.4 3.4 -4.5 -10.1 4.1 3.4 -1.8 -0.8 -1.3 -1.2 1.4 -1.6 1.2 -12.5 0.2 -4.8 10.0 3.9 3.6 2.9 2.1 -2.5 2.6 -0.8 -1.7 -0.9 -8.4 0.7 US5 -4.0 15.4 16.7 3.0 2.6 1.3 1.6 -2.6 2.3 2.9 3.0 -2.1 -10.2 9.6 9.3 -10.2 -5.7 -9.9 -9.1 6.0 1.3 2.5 -9.4 4.3 -0.5 10.8 4.1 0.9 2.1 1.7 -2.7 3.2 -12.0 -1.6 3.1 7.2 1.2 VIX -7.7 -0.9 4.4 -3.3 -0.3 -6.6 0.0 -8.1 -1.2 1.0 -13.7 -3.1 -13.8 -11.2 -11.0 -20.0 -20.0 -20.0 -20.0 -8.4 -12.6 -1.9 -15.2 -5.9 NaN -13.5 -3.8 -0.3 -8.5 0.1 -11.2 -1.3 NaN NaN NaN NaN NaN WHEAT -10.2 -4.2 -10.4 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 -13.1 -14.9 -14.4 -15.1 -14.4 -14.0 -12.8 -9.0 -12.2 -10.9 -20.0 -20.0 -20.0 -18.4 -20.0 10.7 11.9 -5.7 -8.4 -4.8 -8.4 -2.7 -6.9 -20.0 -20.0 -20.0 -19.7 -17.4 End of report for caleb_strategy_v1