******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230501_204642 produced at 2023-05-01 21:37:15.976215 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.24 -0.28 0.0 4.769298e+07 -4.769298e+07 -0.24 -0.24 -5.87 999999999.0 -5 -5 caleb_strategy_v1 VIX False False 0.01 -0.20 -0.22 0.0 8.883027e+06 -8.883027e+06 -0.20 -0.17 -24.51 999999999.0 -22 -19 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.13 0.0 5.562302e+07 -5.562302e+07 -0.11 -0.11 -2.30 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.36 -0.13 0.0 3.629302e+07 -3.629302e+07 -0.36 -0.36 -3.70 999999999.0 -10 -10 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.10 0.0 5.452255e+07 -5.452255e+07 -0.11 -0.11 -1.76 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.137979e+07 -5.137979e+07 0.00 0.00 -1.73 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.445475e+07 -1.445475e+07 -0.10 -0.10 -5.94 999999999.0 -7 -7 caleb_strategy_v1 GOLD_micro False False 0.01 -0.06 -0.05 0.0 7.889238e+06 -7.889238e+06 -0.06 -0.08 -5.79 999999999.0 -8 -10 caleb_strategy_v1 FEEDCOW False False 0.05 -0.09 -0.05 0.0 4.555030e+07 -4.555030e+07 -0.09 -0.09 -1.20 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.088589e+07 -6.088589e+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 1.161535e+07 -1.161535e+07 -0.06 -0.06 -1.74 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.01 0.0 3.979707e+07 -3.979707e+07 -0.04 -0.04 -0.26 999999999.0 -1 -1 caleb_strategy_v1 GASOIL False False 0.03 0.00 -0.01 0.0 2.745212e+07 -2.745212e+07 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.866505e+06 -9.866505e+06 -0.02 -0.02 -0.96 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.089968e+07 -4.089968e+07 0.00 0.00 -0.32 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.520658e+07 -2.520658e+07 0.00 0.00 -0.59 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.540035e+07 -4.540035e+07 0.00 0.00 -0.24 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.01 0.0 4.334937e+07 -4.334937e+07 0.00 -0.04 -0.13 999999999.0 0 -1 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.118706e+06 -1.118706e+06 -0.02 -0.02 -5.57 999999999.0 -14 -16 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.722414e+07 -5.722414e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.577233e+07 -1.577233e+07 0.00 0.00 -0.23 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 -0.00 0.0 1.694517e+07 -1.694517e+07 0.02 0.00 -0.07 999999999.0 1 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.226809e+07 -1.226809e+07 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 1.497524e+07 -1.497524e+07 0.00 0.00 0.13 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.33 0.00 0.0 3.514546e+06 -3.514546e+06 -0.33 -0.08 0.56 999999999.0 -93 -24 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 1.283875e+07 -1.283875e+07 -0.03 -0.04 -0.39 999999999.0 -2 -3 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.633976e+07 -2.633976e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.01 0.0 1.885499e+07 -1.885499e+07 0.02 0.00 0.34 999999999.0 1 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.01 0.0 1.133474e+07 -1.133474e+07 0.00 0.01 0.68 999999999.0 0 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.750417e+07 -2.750417e+07 0.03 0.03 0.42 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.900700e+07 -3.900700e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.610445e+07 -1.610445e+07 0.02 0.02 0.77 999999999.0 1 1 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 5.481254e+07 -5.481254e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.122917e+06 -4.122917e+06 0.00 0.00 5.68 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.528589e+07 -2.528589e+07 0.00 0.00 0.87 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.040980e+07 -1.040980e+07 0.05 0.05 1.85 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.108529e+07 -2.108529e+07 0.02 0.02 0.91 999999999.0 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.553220e+06 -9.553220e+06 0.02 0.02 2.51 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.444419e+07 -2.444419e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.774894e+06 -6.774894e+06 0.00 0.00 3.60 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.03 0.02 0.0 6.992930e+06 -6.992930e+06 0.03 0.01 3.39 999999999.0 4 1 caleb_strategy_v1 SP400 False False 0.10 0.79 0.03 0.0 9.909334e+07 -9.909334e+07 0.79 0.79 0.28 999999999.0 8 8 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.307018e+07 -8.307018e+07 0.00 0.00 0.33 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.094119e+07 -1.094119e+07 0.00 0.00 3.70 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.05 0.0 3.097906e+07 -3.097906e+07 0.28 0.25 1.55 999999999.0 9 8 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.05 0.0 1.056267e+08 -1.056267e+08 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.05 0.0 5.012720e+07 -5.012720e+07 0.15 0.15 1.08 999999999.0 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.930804e+07 -2.930804e+07 0.00 0.00 1.69 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.09 0.05 0.0 2.900467e+07 -2.900467e+07 0.09 0.06 1.61 999999999.0 3 2 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.673518e+07 -5.673518e+07 0.00 0.00 1.33 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.07 0.09 0.0 3.257723e+07 -3.257723e+07 0.07 0.03 2.66 999999999.0 2 1 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.578457e+07 -2.578457e+07 0.00 0.00 4.36 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.04 0.00 0.17 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.69 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.26 0.0 5.916625e+07 -5.916625e+07 0.35 0.30 4.40 999999999.0 6 5 caleb_strategy_v1 BOBL False False 0.05 0.00 0.38 0.0 5.148895e+07 -5.148895e+07 0.00 0.00 7.44 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.44 0.0 0.000000e+00 0.000000e+00 0.00 0.00 51.76 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 18.1 Shocked risk 55.2 Sum abs risk 48.7 Leverage 3.42 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2521662.9, 'annual_cash_vol_target': 630415.725, 'daily_cash_vol_target': 39400.9828125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6642 0.7023 11.2366 BITCOIN 950.8801 28210.0000 3.3707 53.9315 BOBL 0.4456 117.9700 0.3777 6.0440 BTP 0.7223 114.8500 0.6289 10.0632 BUND 0.8285 135.5600 0.6112 9.7784 BUXL 1.8858 139.5000 1.3518 21.6290 CAC 57.5681 7464.0000 0.7713 12.3404 CAD 0.0031 0.7390 0.4166 6.6651 CANOLA 8.6667 704.5000 1.2302 19.6830 CHF 0.0054 1.1221 0.4831 7.7298 COCOA 32.4028 2929.0000 1.1063 17.7004 COFFEE 3.6416 184.9500 1.9690 31.5034 COPPER 0.0452 3.9345 1.1483 18.3721 CORN 5.2449 525.0000 0.9990 15.9846 COTTON2 1.3820 81.2200 1.7016 27.2254 CRUDE_W 1.3043 73.1400 1.7833 28.5327 DAX 125.3068 16022.0000 0.7821 12.5135 DOW 236.9047 34168.0000 0.6934 11.0936 EUR 0.0055 1.0999 0.5026 8.0413 EUROSTX 37.4575 4320.0000 0.8671 13.8731 FEEDCOW 1.2587 229.7250 0.5479 8.7668 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 12.9553 692.2500 1.8715 29.9436 GASOILINE 0.0427 2.4556 1.7390 27.8242 GAS_US 0.1042 2.4880 4.1865 66.9846 GBP 0.0069 1.2499 0.5527 8.8425 GOLD_micro 16.4710 1989.4000 0.8279 13.2470 HEATOIL 0.0395 2.3894 1.6542 26.4669 JPY 0.0001 0.0073 0.6981 11.1698 LEANHOG 1.3813 91.1250 1.5159 24.2540 LIVECOW 0.9389 162.5500 0.5776 9.2421 MXP 0.0004 0.0552 0.6579 10.5269 NASDAQ 118.7066 13317.7500 0.8913 14.2615 NIKKEI 240.1049 29310.0000 0.8192 13.1071 NZD 0.0043 0.6164 0.7033 11.2521 OAT 0.7738 129.9900 0.5953 9.5244 OJ 4.2073 265.1500 1.5868 25.3882 PALLAD 33.1839 1443.0000 2.2996 36.7943 PLAT 18.3831 1063.4000 1.7287 27.6594 REDWHEAT 12.7034 755.2500 1.6820 26.9122 ROBUSTA 27.0564 2409.0000 1.1231 17.9702 RUSSELL 20.0714 1772.5000 1.1324 18.1181 SILVER-mini 0.3274 25.4250 1.2877 20.6035 SOYBEAN 10.6031 1275.2500 0.8315 13.3032 SOYMEAL 4.7109 427.3000 1.1025 17.6397 SOYOIL 0.7741 51.5600 1.5014 24.0225 SP400 24.8851 2498.8000 0.9959 15.9341 SP500 31.5788 4189.5000 0.7538 12.0602 SUGAR11 0.3993 25.5200 1.5647 25.0355 US10 0.5639 114.4844 0.4926 7.8814 US10U 0.7470 120.2656 0.6212 9.9385 US20 1.0708 129.5625 0.8265 13.2241 US30 1.5264 138.2188 1.1043 17.6688 US5 0.4109 109.3125 0.3759 6.0147 VIX 0.6058 22.4000 2.7043 43.2693 WHEAT 9.9380 647.5000 1.5348 24.5573 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.20 0.70 466.46 1.00 466.46 39400.98 84.47 2.17 18.29 BITCOIN 28.21 3.37 95.09 1.00 95.09 39400.98 414.36 -5.70 -236.39 BOBL 1179.70 0.38 445.63 1.10 492.71 39400.98 79.97 12.90 103.17 BTP 1148.50 0.63 722.35 1.10 798.66 39400.98 49.33 10.79 53.25 BUND 1355.60 0.61 828.48 1.10 916.01 39400.98 43.01 14.17 60.94 BUXL 1395.00 1.35 1885.78 1.10 2085.01 39400.98 18.90 -4.14 -7.82 CAC 746.40 0.77 575.68 1.10 636.50 39400.98 61.90 15.26 94.47 CAD 739.05 0.42 307.86 1.00 307.86 39400.98 127.98 7.41 94.77 CANOLA 140.90 1.23 173.33 0.73 127.30 39400.98 309.51 20.00 619.02 CHF 1402.62 0.48 677.63 1.00 677.63 39400.98 58.15 -10.58 -61.52 COCOA 292.90 1.11 324.03 1.00 324.03 39400.98 121.60 -6.57 -79.85 COFFEE 693.56 1.97 1365.60 1.00 1365.60 39400.98 28.85 11.19 32.28 COPPER 983.62 1.15 1129.45 1.00 1129.45 39400.98 34.89 3.73 13.02 CORN 262.50 1.00 262.25 1.00 262.25 39400.98 150.24 13.68 205.46 COTTON2 406.10 1.70 691.01 1.00 691.01 39400.98 57.02 8.99 51.26 CRUDE_W 731.40 1.78 1304.30 1.00 1304.30 39400.98 30.21 4.03 12.17 DAX 160.22 0.78 125.31 1.10 138.55 39400.98 284.39 2.19 62.41 DOW 170.84 0.69 118.45 1.00 118.45 39400.98 332.63 3.80 126.39 EUR 1374.88 0.50 690.99 1.00 690.99 39400.98 57.02 -8.26 -47.11 EUROSTX 432.00 0.87 374.57 1.10 414.15 39400.98 95.14 1.25 11.92 FEEDCOW 1148.62 0.55 629.36 1.00 629.36 39400.98 62.60 -7.13 -44.65 FTSE100 707.00 0.82 576.59 1.25 666.67 39400.98 59.10 7.70 45.49 GASOIL 692.25 1.87 1295.53 1.00 1295.53 39400.98 30.41 -2.33 -7.10 GASOILINE 1031.35 1.74 1793.53 1.00 1793.53 39400.98 21.97 -3.58 -7.87 GAS_US 248.80 4.19 1041.61 1.00 1041.61 39400.98 37.83 -16.86 -63.77 GBP 781.19 0.55 431.73 1.00 431.73 39400.98 91.26 9.53 87.00 GOLD_micro 198.94 0.83 164.71 1.00 164.71 39400.98 239.21 -10.82 -258.86 HEATOIL 1003.55 1.65 1660.05 1.00 1660.05 39400.98 23.73 -1.53 -3.64 JPY 915.19 0.70 638.90 1.00 638.90 39400.98 61.67 -9.27 -57.18 LEANHOG 364.50 1.52 552.54 1.00 552.54 39400.98 71.31 -17.82 -127.08 LIVECOW 650.20 0.58 375.58 1.00 375.58 39400.98 104.91 15.46 162.17 MXP 275.90 0.66 181.52 1.00 181.52 39400.98 217.06 13.92 302.23 NASDAQ 2663.55 0.89 2374.13 1.00 2374.13 39400.98 16.60 5.66 9.39 NIKKEI 29310.00 0.82 24010.49 0.01 177.81 39400.98 221.60 12.30 272.53 NZD 616.40 0.70 433.49 1.00 433.49 39400.98 90.89 5.82 52.87 OAT 1299.90 0.60 773.80 1.10 855.55 39400.98 46.05 14.33 66.00 OJ 397.72 1.59 631.10 1.00 631.10 39400.98 62.43 -2.10 -13.14 PALLAD 1443.00 2.30 3318.39 1.00 3318.39 39400.98 11.87 -1.51 -1.79 PLAT 531.70 1.73 919.16 1.00 919.16 39400.98 42.87 8.79 37.70 REDWHEAT 377.62 1.68 635.17 1.00 635.17 39400.98 62.03 3.79 23.51 ROBUSTA 240.90 1.12 270.56 1.00 270.56 39400.98 145.63 13.31 193.86 RUSSELL 88.62 1.13 100.36 1.00 100.36 39400.98 392.61 0.28 10.83 SILVER-mini 635.62 1.29 818.50 1.00 818.50 39400.98 48.14 -5.45 -26.22 SOYBEAN 637.62 0.83 530.15 1.00 530.15 39400.98 74.32 1.99 14.79 SOYMEAL 427.30 1.10 471.09 1.00 471.09 39400.98 83.64 -0.15 -1.24 SOYOIL 309.36 1.50 464.47 1.00 464.47 39400.98 84.83 5.18 43.92 SP400 2498.80 1.00 2488.51 1.00 2488.51 39400.98 15.83 3.45 5.47 SP500 2094.75 0.75 1578.94 1.00 1578.94 39400.98 24.95 4.61 11.49 SUGAR11 285.82 1.56 447.23 1.00 447.23 39400.98 88.10 5.72 50.41 US10 1144.84 0.49 563.93 1.00 563.93 39400.98 69.87 -0.90 -6.26 US10U 1202.66 0.62 747.04 1.00 747.04 39400.98 52.74 -7.64 -40.29 US20 1295.62 0.83 1070.84 1.00 1070.84 39400.98 36.79 -6.39 -23.52 US30 1382.19 1.10 1526.35 1.00 1526.35 39400.98 25.81 1.77 4.58 US5 1093.12 0.38 410.93 1.00 410.93 39400.98 95.88 -0.34 -3.29 VIX 224.00 2.70 605.77 1.00 605.77 39400.98 65.04 -20.00 -130.09 WHEAT 323.75 1.53 496.90 1.00 496.90 39400.98 79.29 -9.12 -72.35 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 18.292 0.006 2.5 0.292 BITCOIN -236.391 0.009 2.5 -5.570 BOBL 103.169 0.029 2.5 7.444 BTP 53.245 0.008 2.5 1.075 BUND 60.942 0.029 2.5 4.397 BUXL -7.822 0.034 2.5 -0.657 CAC 94.474 0.011 2.5 2.656 CAD 94.774 0.007 2.5 1.692 CANOLA 619.020 0.004 2.5 5.682 CHF -61.519 0.015 2.5 -2.302 COCOA -79.849 0.009 2.5 -1.739 COFFEE 32.279 0.005 2.5 0.418 COPPER 13.018 0.011 2.5 0.356 CORN 205.464 0.004 2.5 1.853 COTTON2 51.260 0.006 2.5 0.772 CRUDE_W 12.167 0.053 2.5 1.607 DAX 62.410 0.022 2.5 3.389 DOW 126.393 0.011 2.5 3.602 EUR -47.110 0.015 2.5 -1.763 EUROSTX 11.924 0.011 2.5 0.335 FEEDCOW -44.647 0.011 2.5 -1.200 FTSE100 45.494 0.041 2.5 4.690 GASOIL -7.095 0.029 2.5 -0.506 GASOILINE -7.872 0.016 2.5 -0.323 GAS_US -63.768 0.006 2.5 -0.960 GBP 87.000 0.007 2.5 1.553 GOLD_micro -258.860 0.009 2.5 -5.792 HEATOIL -3.639 0.029 2.5 -0.260 JPY -57.184 0.026 2.5 -3.701 LEANHOG -127.084 0.019 2.5 -5.937 LIVECOW 162.173 0.011 2.5 4.358 MXP 302.227 0.005 2.5 3.700 NASDAQ 9.389 0.022 2.5 0.510 NIKKEI 272.535 0.076 2.5 51.763 NZD 52.871 0.006 2.5 0.845 OAT 65.999 0.008 2.5 1.333 OJ -13.139 0.007 2.5 -0.229 PALLAD -1.795 0.010 2.5 -0.043 PLAT 37.695 0.010 2.5 0.907 REDWHEAT 23.507 0.002 2.5 0.125 ROBUSTA 193.858 0.005 2.5 2.513 RUSSELL 10.835 0.021 2.5 0.561 SILVER-mini -26.215 0.009 2.5 -0.587 SOYBEAN 14.787 0.024 2.5 0.872 SOYMEAL -1.241 0.024 2.5 -0.073 SOYOIL 43.924 0.004 2.5 0.403 SP400 5.468 0.021 2.5 0.283 SP500 11.493 0.011 2.5 0.328 SUGAR11 50.409 0.005 2.5 0.684 US10 -6.255 0.015 2.5 -0.240 US10U -40.289 0.058 2.5 -5.870 US20 -23.523 0.029 2.5 -1.734 US30 4.582 0.034 2.5 0.385 US5 -3.293 0.015 2.5 -0.126 VIX -130.086 0.075 2.5 -24.515 WHEAT -72.350 0.002 2.5 -0.386 ==================== Position diags ==================== AUD 1.35 BITCOIN 9.76 BOBL 5.77 BTP 1.00 BUND 3.10 BUXL 1.59 CAC 1.74 CAD 2.29 CANOLA 2.84 CHF 2.18 COCOA 2.65 COFFEE 0.37 COPPER 0.95 CORN 1.36 COTTON2 0.86 CRUDE_W 3.99 DAX 15.44 DOW 9.48 EUR 2.13 EUROSTX 2.67 FEEDCOW 1.68 FTSE100 6.09 GASOIL 2.17 GASOILINE 0.90 GAS_US 0.57 GBP 1.63 GOLD_micro 5.35 HEATOIL 1.69 JPY 3.99 LEANHOG 3.33 LIVECOW 2.82 MXP 2.66 NASDAQ 0.90 NIKKEI 42.09 NZD 1.45 OAT 0.93 OJ 1.09 PALLAD 0.29 PLAT 1.03 REDWHEAT 0.33 ROBUSTA 1.89 RUSSELL 20.34 SILVER-mini 1.08 SOYBEAN 4.38 SOYMEAL 4.93 SOYOIL 0.78 SP400 0.82 SP500 0.71 SUGAR11 1.20 US10 2.68 US10U 7.68 US20 2.71 US30 2.17 US5 3.68 VIX 12.26 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 -5.6 -6.5 -4.6 -14.0 -14 BOBL 7.4 6.9 8.0 0.0 0 BTP 1.1 1.0 1.2 3.0 3 BUND 4.4 4.1 4.7 6.0 6 BUXL -0.7 -0.8 -0.5 0.0 0 CAC 2.7 2.5 2.8 2.0 2 CAD 1.7 1.5 1.9 0.0 0 CANOLA 5.7 5.4 6.0 NaN 0 CHF -2.3 -2.5 -2.1 -2.0 -2 COCOA -1.7 -2.0 -1.5 -5.0 -5 COFFEE 0.4 0.4 0.5 1.0 1 COPPER 0.4 0.3 0.5 0.0 0 CORN 1.9 1.7 2.0 5.0 5 COTTON2 0.8 0.7 0.9 1.0 1 CRUDE_W 1.6 1.2 2.0 3.0 3 DAX 3.4 1.8 4.9 4.0 4 DOW 3.6 2.7 4.5 0.0 0 EUR -1.8 -2.0 -1.5 -2.0 -2 EUROSTX 0.3 0.1 0.6 1.0 1 FEEDCOW -1.2 -1.4 -1.0 -2.0 -2 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL -0.5 -0.7 -0.3 0.0 0 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -1.0 -1.0 -0.9 -2.0 -2 GBP 1.6 1.4 1.7 9.0 9 GOLD_micro -5.8 -6.3 -5.3 -8.0 -8 HEATOIL -0.3 -0.4 -0.1 -1.0 -1 JPY -3.7 -4.1 -3.3 -10.0 -10 LEANHOG -5.9 -6.3 -5.6 -7.0 -7 LIVECOW 4.4 4.1 4.6 0.0 0 MXP 3.7 3.4 4.0 0.0 0 NASDAQ 0.5 0.4 0.6 0.0 0 NIKKEI 51.8 47.6 56.0 0.0 0 NZD 0.8 0.7 1.0 0.0 0 OAT 1.3 1.2 1.4 0.0 0 OJ -0.2 -0.3 -0.1 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 2.7 2.0 2 RUSSELL 0.6 -1.5 2.6 -93.0 -93 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 0.9 0.4 1.3 0.0 0 SOYMEAL -0.1 -0.6 0.4 1.0 1 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.3 0.2 0.4 8.0 8 SP500 0.3 0.3 0.4 0.0 0 SUGAR11 0.7 0.6 0.8 0.0 0 US10 -0.2 -0.5 0.0 NaN 0 US10U -5.9 -6.6 -5.1 -5.0 -5 US20 -1.7 -2.0 -1.5 0.0 0 US30 0.4 0.2 0.6 0.0 0 US5 -0.1 -0.5 0.2 0.0 0 VIX -24.5 -25.7 -23.3 -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 1.5 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 0.2 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 0.0 -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 0.8 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 -0.0 -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 0.6 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 -0.2 -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 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.1 -0.2 -0.3 CHF 0.2 0.3 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 0.2 0.1 COCOA 0.0 0.3 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 -1.2 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 -0.2 -0.0 0.4 0.3 0.3 COPPER -0.1 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.0 -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 -0.1 -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 0.6 0.8 0.3 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.8 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 -0.1 -0.0 -0.1 -0.0 -0.0 -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 2.5 3.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.4 0.0 0.1 0.0 -0.0 CRUDE_W 0.0 0.1 -0.1 -0.1 -0.0 -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 0.1 0.0 0.1 0.1 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 0.1 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 -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.2 0.0 -0.1 -0.0 -0.3 -0.1 0.1 -0.1 -0.4 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 2.2 -0.1 -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 0.1 -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 -0.0 -0.1 -0.2 0.0 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -1.6 -0.6 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 2.4 -1.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.3 0.1 -0.1 -0.3 GBP 0.0 0.2 0.2 0.1 -0.0 0.1 0.0 -0.0 0.0 0.0 0.4 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 0.5 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 0.0 -0.0 0.3 -0.0 0.1 0.0 0.2 -0.9 -0.5 -0.3 -0.3 0.2 0.2 -0.0 0.1 0.0 -0.5 -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 -0.0 -0.1 -0.2 0.0 -0.1 -0.0 -0.3 -0.1 0.1 -0.1 -0.3 0.4 0.9 0.3 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 0.3 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 -0.1 -0.0 -2.7 0.1 -0.0 -0.3 -0.3 LIVECOW 0.1 0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.3 0.0 0.3 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 0.1 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 0.4 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 -0.0 -0.1 0.3 NASDAQ -0.0 0.3 0.4 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.3 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 0.2 -0.2 0.2 0.3 NIKKEI 0.2 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 0.4 0.2 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 0.2 0.2 0.1 NZD -0.1 -0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.0 0.0 0.1 -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 0.8 -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 0.1 -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 -0.2 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 -0.3 -0.0 -0.4 0.0 -0.2 -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 0.0 -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 -0.2 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 -0.1 0.6 0.2 0.2 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 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 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.3 -0.4 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.3 2.0 -0.1 -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 0.0 -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 0.0 -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 -0.1 -0.1 -0.2 0.0 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 1.4 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 -0.1 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 1.0 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 0.1 0.0 0.1 0.1 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 0.1 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 0.7 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 0.3 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.0 0.2 -0.8 -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 0.0 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 0.3 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 0.0 0.0 -0.0 -0.1 0.0 -0.2 -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 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -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 -0.1 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 -0.2 0.3 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 -0.5 -0.0 -0.5 -0.1 -0.4 -3.1 -1.6 -0.8 -0.8 -0.1 -0.2 -0.0 -0.3 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN WHEAT -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -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 -1.5 -4.3 -4.9 3.7 -0.8 2.7 0.7 -0.2 3.0 -9.8 0.2 -11.5 -5.3 -7.8 -12.1 -3.7 -3.1 -3.6 -3.5 -7.3 -5.9 -9.0 -6.3 -7.7 12.8 11.7 -2.9 -4.1 -2.8 -4.6 -3.7 -3.1 -0.9 -12.3 -13.6 -20.0 -14.4 BITCOIN -4.3 15.1 20.0 4.1 -1.4 3.4 0.5 2.3 3.2 -3.4 13.3 -2.3 -7.6 11.1 13.3 -3.9 -2.1 -3.5 -2.6 13.3 12.7 -0.5 0.9 5.6 5.0 -18.1 4.2 -1.7 5.0 -1.0 1.9 0.8 0.6 -3.4 -20.0 -14.6 14.7 BOBL -8.7 6.8 19.9 3.0 2.5 1.3 1.6 -2.6 2.3 11.0 -7.0 -3.5 -12.7 2.1 1.9 10.4 6.2 5.1 4.3 -2.0 -6.7 3.5 -15.1 -1.2 10.4 10.8 2.4 5.6 -0.8 3.1 -6.8 2.5 10.2 4.7 -3.7 -1.8 -4.6 BTP -11.5 4.9 9.0 3.0 2.5 1.3 1.6 -2.6 2.3 8.0 5.6 -7.3 -8.5 2.4 3.4 8.3 11.7 8.6 10.3 0.5 0.6 0.6 -9.0 -2.2 -9.8 11.4 3.2 5.7 2.7 2.2 -3.3 1.6 20.0 0.4 -6.0 -12.5 4.5 BUND -9.4 5.4 13.5 3.0 2.5 1.3 1.6 -2.6 2.3 10.0 -7.9 -5.2 -13.1 0.6 -1.6 6.3 12.7 7.9 10.0 -3.2 -7.5 1.7 -16.5 -2.6 7.9 12.3 2.2 5.4 -0.6 2.7 -6.8 2.0 20.0 2.2 -5.1 -6.5 -3.6 BUXL -9.8 1.0 4.5 3.0 2.5 1.3 1.6 -2.6 2.3 8.9 -10.4 -6.4 -13.7 -4.8 -7.1 1.6 0.9 2.2 2.4 -7.0 -10.7 -0.1 -18.6 -5.4 8.1 -10.8 0.3 4.4 -1.8 1.7 -6.3 0.6 4.1 1.2 -7.2 -12.0 -11.2 CAC 17.9 12.5 13.9 3.7 1.4 3.0 1.7 1.6 3.4 -3.6 15.6 10.7 13.1 14.8 15.0 18.5 4.1 10.7 5.6 20.0 20.0 8.5 20.0 17.2 -15.5 8.9 5.0 -0.3 6.2 1.9 6.1 4.1 15.3 3.6 2.5 -6.7 5.2 CAD 1.5 9.2 0.9 3.7 -0.8 2.7 0.7 -0.2 3.0 -4.7 -4.9 -7.9 -9.8 2.6 1.3 -3.0 -2.0 -2.8 -2.5 -0.3 -4.0 -6.1 -9.5 -2.3 18.0 10.4 0.9 -0.3 -1.0 -2.3 -3.6 -0.1 0.9 -20.0 -8.3 -9.8 -7.2 CANOLA -0.3 -8.4 -18.9 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -13.4 -11.2 -14.0 -12.8 -11.8 -11.9 20.0 19.0 20.0 20.0 -20.0 -20.0 -20.0 -14.1 -20.0 19.0 13.2 -6.0 -4.6 -5.7 -4.5 -3.5 -4.8 20.0 -18.8 -15.4 -20.0 -20.0 CHF 12.6 16.0 7.9 3.7 -0.8 2.7 0.7 -0.2 3.0 -10.3 13.7 6.2 7.6 12.6 12.0 -13.9 -14.0 -14.1 -14.3 15.6 12.6 3.7 6.5 13.4 -7.3 -11.5 5.4 -1.9 4.0 1.3 1.4 4.7 -19.6 1.4 18.7 17.8 6.4 COCOA 3.3 18.2 19.4 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -9.4 15.2 5.4 8.8 13.8 14.6 2.3 -0.9 2.1 1.0 20.0 20.0 3.7 13.2 14.0 -20.0 -10.4 6.0 -1.0 6.2 0.9 4.3 3.9 -8.9 20.0 20.0 20.0 20.0 COFFEE 14.2 11.3 17.2 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -13.9 -0.8 0.2 -5.6 4.0 10.1 7.8 4.1 5.6 4.7 10.2 4.1 -4.9 -3.3 6.7 6.2 10.0 4.0 -4.7 1.8 -1.4 -0.5 2.9 -1.3 -4.4 20.0 20.0 20.0 COPPER -9.8 -6.2 2.9 4.1 -1.4 3.4 0.5 2.3 3.2 -6.3 7.7 -9.7 -1.7 -7.3 -3.5 -1.1 -0.6 -0.9 -0.8 -4.0 3.3 -13.6 2.8 -11.2 4.8 11.1 -2.9 -2.6 -0.1 -6.5 0.9 -5.5 3.2 -20.0 -20.0 -20.0 -15.7 CORN -6.2 -2.6 -20.0 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -14.1 -12.2 -15.1 -4.6 -14.7 -14.6 8.1 18.2 14.6 17.5 -18.6 -15.5 -20.0 -5.7 -20.0 18.2 11.0 -6.0 -9.1 -5.4 -8.4 -2.8 -6.7 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 0.1 0.3 -1.8 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -2.8 -9.0 -5.6 -11.7 -2.6 -5.5 -4.0 6.8 -3.3 -0.3 -5.4 -9.0 -3.8 -10.5 -5.0 10.3 12.0 -2.6 1.9 -3.3 -2.1 -1.8 -2.5 -3.1 4.9 8.1 0.2 -1.8 CRUDE_W 3.0 4.5 -6.2 -3.5 -4.8 -2.5 -6.9 0.2 -5.4 -7.9 3.0 -8.4 -3.2 4.6 4.7 9.2 11.3 8.9 9.4 0.5 -0.9 -9.8 1.2 -2.8 -10.8 10.8 0.1 -3.8 0.0 -4.3 1.9 -1.3 -5.4 4.2 15.0 12.4 7.8 DAX 11.4 6.7 12.7 3.7 1.4 3.0 1.7 1.6 3.4 3.8 15.7 11.5 9.7 15.0 15.0 -7.4 -6.0 -7.8 -7.5 14.8 17.9 6.4 14.2 11.6 -17.8 9.9 4.8 1.6 6.8 2.2 5.7 3.6 -3.7 4.7 -3.7 -6.4 2.6 DOW 14.5 9.0 -2.2 3.8 1.8 3.1 2.0 1.6 3.5 11.4 8.6 10.3 2.6 12.9 5.7 -8.3 -5.5 -7.8 -7.2 7.2 3.6 8.2 1.9 9.9 -0.4 10.8 3.6 5.1 2.8 3.2 2.0 3.8 -3.0 0.3 -0.8 -2.6 -10.5 EUR 5.1 12.0 10.9 3.7 -0.8 2.7 0.7 -0.2 3.0 -6.1 13.6 6.8 0.9 12.9 11.4 -6.7 -8.3 -7.1 -7.7 12.3 11.5 3.7 3.3 9.9 -13.0 -11.1 5.6 -1.6 4.7 1.7 0.9 4.6 -9.1 4.6 9.1 9.9 7.2 EUROSTX 11.8 9.4 12.8 3.7 1.4 3.0 1.7 1.6 3.4 -4.3 15.9 9.1 12.9 14.9 15.2 -3.9 4.3 0.8 3.2 16.9 20.0 4.6 17.8 12.3 -17.6 -8.5 4.9 -1.0 7.0 1.0 6.8 3.4 14.5 -0.5 -4.3 -6.2 1.8 FEEDCOW 20.0 20.0 20.0 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 6.9 14.5 13.7 10.8 15.5 15.9 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 16.1 20.0 -20.0 12.2 6.4 0.9 5.4 3.6 3.6 5.7 -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 -12.9 -11.7 -17.7 -3.5 -4.8 -2.5 -6.9 0.2 -5.4 -12.4 -13.7 -14.6 4.4 -14.2 -14.3 5.6 20.0 14.9 20.0 -16.7 -12.8 -20.0 1.1 -20.0 4.3 -15.4 -5.4 -6.6 -4.6 -8.3 -1.1 -6.9 16.3 -7.6 -10.1 -5.5 -7.4 GASOILINE -7.1 2.3 -0.2 -3.5 -4.8 -2.5 -6.9 0.2 -5.4 -9.4 6.1 -12.4 1.6 -1.3 2.6 20.0 15.0 17.4 12.8 0.5 3.0 -14.2 7.1 -7.5 -20.0 -13.1 -0.0 -3.5 2.3 -5.9 5.6 -3.5 -0.1 -2.7 4.0 12.2 18.5 GAS_US 11.4 -8.3 -20.0 -3.5 -4.8 -2.5 -6.9 0.2 -5.4 -11.5 -16.6 -3.1 -14.7 -12.3 -15.0 -20.0 -15.0 -20.0 -20.0 -20.0 -20.0 -4.5 -20.0 -9.3 20.0 -9.3 -6.2 -2.4 -7.6 -2.2 -4.5 -3.8 -20.0 20.0 6.4 -4.8 -20.0 GBP 2.6 14.7 10.3 3.7 -0.8 2.7 0.7 -0.2 3.0 3.8 14.5 7.3 0.0 13.8 13.0 -1.5 -1.9 -1.8 -1.9 12.0 9.6 7.0 0.5 10.2 3.8 9.4 5.2 1.9 2.7 3.3 -2.2 4.9 1.4 12.4 6.4 9.4 2.3 GOLD_micro -5.3 16.0 10.5 4.1 -1.4 3.4 0.5 2.3 3.2 -12.3 12.5 -11.8 3.7 8.9 10.1 -11.9 -11.0 -11.9 -11.9 13.6 15.6 -4.5 9.9 4.4 -3.7 -13.8 4.8 -2.0 5.1 -0.9 3.4 2.1 -15.3 -2.1 -10.9 7.5 7.0 HEATOIL -8.9 -11.6 -17.8 -3.5 -4.8 -2.5 -6.9 0.2 -5.4 -11.7 -12.8 -13.8 3.4 -13.1 -13.7 4.1 20.0 15.3 20.0 -16.1 -13.0 -20.0 0.9 -19.0 -1.9 -13.6 -5.1 -5.9 -3.3 -7.8 1.7 -6.6 20.0 -7.2 -7.5 -7.0 -5.5 JPY -16.2 -2.6 -0.0 3.7 -0.8 2.7 0.7 -0.2 3.0 -12.5 3.8 -13.7 -6.8 -8.3 -9.4 -16.4 -13.5 -15.5 -14.8 -7.6 -3.0 -20.0 -8.0 -13.5 1.9 9.9 -1.2 -17.8 0.0 -10.2 -4.5 -4.7 -19.5 -20.0 -20.0 -8.3 -12.3 LEANHOG 8.4 -20.0 -20.0 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 5.3 -14.5 3.1 -12.2 -11.4 -14.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 4.3 -15.3 -9.5 20.0 -11.1 -5.6 1.3 -6.1 1.0 -4.2 -2.5 -20.0 20.0 -0.0 -20.0 -20.0 LIVECOW 16.3 6.6 10.7 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -3.2 14.0 11.6 11.1 14.3 13.8 20.0 6.6 20.0 20.0 16.4 14.1 6.2 10.0 14.5 -20.0 12.0 5.0 -1.4 4.9 1.7 4.3 4.3 20.0 14.8 20.0 20.0 20.0 MXP 6.6 12.8 5.0 3.7 -0.8 2.7 0.7 -0.2 3.0 12.8 15.6 13.6 15.6 15.5 15.7 19.0 20.0 19.2 20.0 17.7 20.0 8.2 20.0 12.1 -20.0 9.7 5.9 3.9 8.6 2.9 9.6 3.7 20.0 8.0 -2.4 -10.5 19.3 NASDAQ -2.5 18.6 20.0 3.8 1.8 3.1 2.0 1.6 3.5 12.8 10.1 8.7 -5.8 13.1 14.7 -8.9 -6.0 -8.1 -7.3 17.0 14.2 10.4 1.4 11.8 -3.5 10.2 5.7 5.5 5.7 3.6 2.9 3.8 -3.4 8.8 -8.5 16.7 19.6 NIKKEI 14.3 13.0 12.9 3.8 1.8 3.1 2.0 1.6 3.5 11.8 11.2 14.2 9.0 15.1 14.4 4.2 12.5 8.8 11.8 16.4 11.1 19.7 6.0 18.8 5.6 -9.4 5.3 9.3 3.3 6.9 1.1 6.3 20.0 20.0 10.0 11.2 4.9 NZD -7.7 -3.0 -3.3 3.7 -0.8 2.7 0.7 -0.2 3.0 1.2 6.2 -9.7 -1.6 -7.0 -10.3 1.3 0.7 0.9 0.7 -5.4 -2.4 -4.6 -3.6 -6.5 4.3 10.8 -1.9 0.9 -0.8 -1.9 -2.2 -2.5 5.7 -3.2 -15.7 -14.6 -13.5 OAT -8.7 4.8 6.5 3.0 2.5 1.3 1.6 -2.6 2.3 9.6 -7.7 -5.6 -12.9 1.3 -3.6 11.0 12.1 10.7 11.5 -3.6 -7.4 1.7 -15.7 -2.7 5.7 12.7 1.8 5.6 -0.7 2.7 -7.0 1.9 20.0 2.8 -4.3 -9.6 -4.7 OJ 3.3 20.0 4.0 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -11.9 15.6 -0.9 15.5 12.5 14.8 20.0 20.0 20.0 20.0 20.0 20.0 3.1 20.0 18.5 -20.0 -14.3 6.3 -1.9 8.2 0.4 8.7 3.4 20.0 17.9 20.0 20.0 20.0 PALLAD 20.0 14.1 -13.0 4.1 -1.4 3.4 0.5 2.3 3.2 -13.0 -13.2 -4.0 -14.2 3.0 -6.8 -3.5 -2.4 -3.1 -2.8 -3.9 -15.9 -8.0 -20.0 1.0 20.0 -11.1 1.2 -6.6 -2.4 -2.1 -4.0 2.2 0.0 -12.3 1.6 -12.7 -20.0 PLAT 18.9 15.2 -3.3 4.1 -1.4 3.4 0.5 2.3 3.2 -10.4 8.2 4.1 3.5 10.1 7.5 -2.5 -1.5 -2.3 -2.0 13.6 8.1 4.2 4.3 15.2 0.1 11.2 4.4 -3.5 2.4 1.5 1.1 5.0 1.5 14.4 19.1 1.3 -16.1 REDWHEAT -14.4 7.2 -1.0 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -13.4 -9.6 -14.3 -11.8 -7.1 -3.5 6.8 5.4 8.8 8.0 -8.9 -7.9 -20.0 -6.9 -18.4 -0.3 12.9 -3.6 -10.7 -2.3 -10.3 -0.7 -6.8 2.5 -20.0 -20.0 -1.1 -3.4 ROBUSTA 20.0 20.0 20.0 -3.9 -9.7 -3.4 -8.4 -2.4 -5.6 1.9 12.2 12.6 7.3 14.9 15.8 12.1 10.2 11.3 11.0 20.0 20.0 18.1 14.5 20.0 -10.5 9.6 6.2 1.0 4.7 3.1 2.5 5.4 8.6 20.0 20.0 20.0 20.0 RUSSELL 3.4 -12.9 -3.2 3.8 1.8 3.1 2.0 1.6 3.5 -0.8 -6.2 -3.2 -9.5 -10.5 -11.9 -5.7 -4.5 -5.7 -5.5 -9.8 -8.1 -5.9 -7.4 -7.8 10.0 10.0 -4.0 -1.0 -2.0 -3.2 -0.7 -4.2 -0.6 -15.1 -20.0 -20.0 -17.1 SILVER-mini 10.9 20.0 5.2 4.1 -1.4 3.4 0.5 2.3 3.2 -6.0 11.6 -3.0 2.7 12.0 11.7 -6.2 -5.1 -6.0 -5.8 19.8 15.2 1.8 7.2 14.6 -4.7 -11.3 4.3 -0.6 3.0 0.3 1.0 3.3 -4.8 1.0 0.9 9.2 -11.6 SOYBEAN -6.3 -17.4 -17.3 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -7.5 -7.7 -10.8 -3.9 -11.3 -10.6 20.0 20.0 20.0 20.0 -17.8 -13.6 -16.6 -4.6 -18.4 2.3 -11.7 -5.5 -1.5 -4.1 -4.4 -0.8 -5.2 20.0 -9.6 -9.0 -20.0 -20.0 SOYMEAL -12.1 -20.0 2.4 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -8.8 8.0 -11.3 10.9 -11.2 -7.5 20.0 20.0 20.0 20.0 -7.4 6.2 -17.2 15.5 -15.9 -20.0 -12.0 -3.3 -2.9 1.6 -6.0 6.2 -5.8 20.0 -17.5 -6.1 -12.5 3.2 SOYOIL -7.6 -15.9 -20.0 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -9.1 -13.1 -12.0 -6.5 -13.3 -13.6 5.5 11.7 3.8 6.4 -20.0 -20.0 -19.1 -9.6 -20.0 9.6 12.9 -6.2 -3.5 -5.6 -4.9 -2.3 -5.4 6.8 -9.0 -11.8 -20.0 -20.0 SP400 5.9 -10.4 -3.1 3.8 1.8 3.1 2.0 1.6 3.5 5.4 0.8 1.9 -1.7 -3.7 -7.3 -5.2 -4.3 -5.3 -5.0 -5.5 -3.3 -1.2 -1.0 -3.3 6.2 10.2 -3.2 1.1 -1.3 -1.5 0.6 -2.9 -0.0 -8.2 -20.0 -20.0 -17.2 SP500 8.2 11.3 9.6 3.8 1.8 3.1 2.0 1.6 3.5 12.4 9.2 10.1 -4.4 13.6 11.2 -9.0 -6.3 -8.3 -7.5 10.0 6.3 8.2 -0.1 9.8 2.2 10.2 4.7 5.8 4.0 3.4 1.6 3.9 -3.8 2.0 -4.4 2.3 0.7 SUGAR11 17.7 18.5 17.4 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 7.8 16.1 13.7 13.9 15.6 16.3 9.4 20.0 18.9 20.0 20.0 20.0 20.0 18.2 20.0 -20.0 -10.5 6.2 1.7 5.1 4.8 3.9 6.4 20.0 20.0 20.0 20.0 20.0 US10 -5.9 13.5 15.0 2.8 -1.8 1.3 0.0 -2.6 1.7 -5.0 3.6 -6.0 -9.9 8.5 8.8 -10.4 -5.3 -9.4 -8.5 4.9 1.2 -1.4 -8.8 2.4 -2.5 9.7 4.2 -2.2 2.7 0.3 -1.9 2.7 -10.9 0.6 3.0 5.3 3.4 US10U -6.6 11.8 14.2 2.8 -1.8 1.3 0.0 -2.6 1.7 -5.4 3.5 -6.3 -10.0 7.3 8.0 -7.0 0.5 -3.5 -1.8 3.9 0.6 -1.8 -9.1 1.5 -4.6 -14.1 4.3 -2.7 3.2 0.2 -1.3 2.5 0.1 0.5 1.5 1.4 4.6 US20 -7.6 10.8 14.5 2.8 -1.8 1.3 0.0 -2.6 1.7 -7.4 5.1 -7.7 -8.5 6.5 8.0 -1.4 -1.5 -2.3 -2.7 3.6 0.9 -3.0 -8.4 0.7 -1.8 -12.3 3.9 -3.7 2.7 -0.5 -1.7 2.0 -2.6 -1.3 -0.1 0.2 1.9 US30 -7.4 6.4 12.3 2.8 -1.8 1.3 0.0 -2.6 1.7 -7.3 3.4 -8.5 -10.1 1.9 2.7 -2.0 -0.8 -1.4 -1.3 0.5 -1.7 -4.3 -11.6 -1.8 -4.5 10.0 3.4 -5.4 2.7 -1.5 -2.5 1.2 -0.7 -3.0 -2.4 -10.0 0.5 US5 -4.9 13.9 17.8 2.8 -1.8 1.3 0.0 -2.6 1.7 -2.8 3.3 -3.9 -10.1 9.4 9.2 -10.3 -5.8 -9.9 -9.1 5.3 1.3 -0.3 -8.8 3.2 -0.7 10.8 4.0 -1.7 2.2 0.7 -2.7 2.9 -12.0 2.4 3.8 7.4 1.5 VIX -8.4 -3.8 5.3 -3.5 -4.4 -6.6 -2.1 -8.2 -2.0 -9.5 -13.9 -7.5 -13.9 -12.3 -11.6 -20.0 -20.0 -20.0 -20.0 -8.9 -12.8 -5.6 -15.4 -7.2 NaN -13.5 -4.1 -5.1 -8.5 -2.3 -11.3 -2.2 NaN NaN NaN NaN NaN WHEAT -12.4 -4.3 -10.6 -4.0 -9.9 -3.3 -8.7 -2.2 -6.0 -13.7 -15.0 -14.9 -15.2 -14.8 -14.3 -12.9 -9.0 -12.3 -11.0 -20.0 -20.0 -20.0 -18.6 -20.0 11.0 11.9 -5.7 -8.9 -4.6 -8.6 -2.7 -7.1 -20.0 -20.0 -20.0 -19.6 -18.2 End of report for caleb_strategy_v1