******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230502_204647 produced at 2023-05-02 21:37:40.154627 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.750082e+07 -4.750082e+07 -0.24 -0.29 -5.97 999999999.0 -5 -6 caleb_strategy_v1 VIX False False 0.01 -0.17 -0.22 0.0 8.842641e+06 -8.842641e+06 -0.17 -0.19 -24.63 999999999.0 -19 -22 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.13 0.0 5.555764e+07 -5.555764e+07 -0.11 -0.11 -2.34 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.36 -0.13 0.0 3.612801e+07 -3.612801e+07 -0.36 -0.36 -3.71 999999999.0 -10 -10 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.10 0.0 5.443998e+07 -5.443998e+07 -0.11 -0.05 -1.80 999999999.0 -2 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.443245e+07 -1.443245e+07 -0.10 -0.10 -6.10 999999999.0 -7 -7 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.117086e+07 -5.117086e+07 0.00 0.00 -1.73 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.462277e+07 -4.462277e+07 -0.09 -0.04 -1.06 999999999.0 -2 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.08 -0.05 0.0 7.860081e+06 -7.860081e+06 -0.08 -0.09 -5.82 999999999.0 -10 -11 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.107140e+07 -6.107140e+07 0.00 0.00 -0.56 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.140069e+07 -1.140069e+07 -0.06 -0.06 -1.89 999999999.0 -5 -5 caleb_strategy_v1 GASOIL False False 0.03 0.00 -0.02 0.0 2.618251e+07 -2.618251e+07 0.00 0.00 -0.62 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.520011e+07 -4.520011e+07 0.00 0.00 -0.23 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.557158e+06 -9.557158e+06 -0.02 -0.02 -0.98 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.890983e+07 -3.890983e+07 0.00 0.00 -0.35 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.544973e+07 -2.544973e+07 0.00 0.00 -0.59 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.01 0.0 3.817202e+07 -3.817202e+07 -0.04 -0.04 -0.32 999999999.0 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.01 0.0 1.261261e+07 -1.261261e+07 -0.04 -0.04 -0.40 999999999.0 -3 -3 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.138687e+06 -1.138687e+06 -0.02 -0.02 -5.47 999999999.0 -16 -15 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.562957e+07 -1.562957e+07 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.855735e+07 -1.855735e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.04 -0.00 0.0 4.315537e+07 -4.315537e+07 -0.04 -0.09 -0.10 999999999.0 -1 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.221232e+07 -1.221232e+07 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 -0.00 0.0 1.665101e+07 -1.665101e+07 0.00 0.00 -0.19 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.08 -0.00 0.0 3.431853e+06 -3.431853e+06 -0.08 -0.24 -0.20 999999999.0 -24 -70 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 1.454693e+07 -1.454693e+07 0.00 0.00 0.10 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.635210e+07 -5.635210e+07 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.109309e+07 -1.109309e+07 0.01 0.01 0.65 999999999.0 1 1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.635423e+07 -2.635423e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.760858e+07 -2.760858e+07 0.03 0.03 0.41 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.821284e+07 -3.821284e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.592268e+07 -1.592268e+07 0.02 0.02 0.74 999999999.0 1 1 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.170067e+07 -8.170067e+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 1.023911e+07 -1.023911e+07 0.05 0.05 1.85 999999999.0 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.498836e+07 -2.498836e+07 0.00 0.00 0.85 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.569001e+06 -9.569001e+06 0.02 0.02 2.42 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.118484e+07 -2.118484e+07 0.02 0.02 0.94 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 6.884302e+06 -6.884302e+06 0.01 0.01 3.32 999999999.0 1 2 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.661193e+06 -6.661193e+06 0.00 0.01 2.99 999999999.0 0 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.450675e+07 -2.450675e+07 0.00 0.00 0.88 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.146687e+06 -4.146687e+06 0.00 0.00 5.70 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.561192e+07 -5.561192e+07 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.78 0.03 0.0 9.710720e+07 -9.710720e+07 0.78 0.78 0.27 999999999.0 8 8 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.03 0.0 2.747140e+07 -2.747140e+07 0.05 0.05 1.13 999999999.0 2 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.086776e+07 -1.086776e+07 0.00 0.00 3.78 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.25 0.05 0.0 3.080368e+07 -3.080368e+07 0.25 0.28 1.57 999999999.0 8 9 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.901294e+07 -2.901294e+07 0.00 0.00 1.61 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.05 0.0 1.043609e+08 -1.043609e+08 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.06 0.0 4.988669e+07 -4.988669e+07 0.15 0.15 1.14 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.655242e+07 -5.655242e+07 0.00 0.00 1.39 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.09 0.0 3.202541e+07 -3.202541e+07 0.03 0.10 2.67 999999999.0 1 3 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.539891e+07 -2.539891e+07 0.00 0.00 4.05 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.71 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.30 0.27 0.0 5.908513e+07 -5.908513e+07 0.30 0.35 4.58 999999999.0 5 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.39 0.0 5.131785e+07 -5.131785e+07 0.00 0.00 7.69 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 51.98 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 17.8 Shocked risk 54.0 Sum abs risk 48.6 Leverage 3.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2533179.88, 'annual_cash_vol_target': 633294.97, 'daily_cash_vol_target': 39580.935625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6676 0.6936 11.0969 BITCOIN 991.7999 28845.0000 3.4384 55.0140 BOBL 0.4457 118.3300 0.3767 6.0266 BTP 0.7224 115.0300 0.6280 10.0476 BUND 0.8286 136.2400 0.6082 9.7310 BUXL 1.8860 140.8200 1.3393 21.4288 CAC 57.5685 7384.5000 0.7796 12.4734 CAD 0.0031 0.7350 0.4277 6.8428 CANOLA 8.6315 710.8000 1.2143 19.4295 CHF 0.0053 1.1259 0.4720 7.5520 COCOA 33.2465 2888.0000 1.1512 18.4191 COFFEE 3.5583 186.5000 1.9080 30.5273 COPPER 0.0459 3.8720 1.1863 18.9816 CORN 5.2176 518.7500 1.0058 16.0927 COTTON2 1.3587 80.6700 1.6843 26.9486 CRUDE_W 1.4383 69.5900 2.0668 33.0695 DAX 125.3083 15874.0000 0.7894 12.6303 DOW 245.0479 33748.0000 0.7261 11.6178 EUR 0.0054 1.1032 0.4898 7.8360 EUROSTX 37.4565 4279.0000 0.8754 14.0057 FEEDCOW 1.5005 226.0750 0.6637 10.6195 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.1868 663.2500 1.9882 31.8114 GASOILINE 0.0466 2.3468 1.9855 31.7675 GAS_US 0.1027 2.4210 4.2426 67.8823 GBP 0.0068 1.2485 0.5409 8.6552 GOLD_micro 16.4329 1991.1000 0.8253 13.2051 HEATOIL 0.0417 2.3023 1.8121 28.9928 JPY 0.0001 0.0073 0.6981 11.1698 LEANHOG 1.3405 91.4000 1.4667 23.4667 LIVECOW 0.9902 160.8500 0.6156 9.8496 MXP 0.0004 0.0551 0.6525 10.4394 NASDAQ 117.7085 13218.2500 0.8905 14.2480 NIKKEI 240.1049 29310.0000 0.8192 13.1071 NZD 0.0043 0.6208 0.6997 11.1946 OAT 0.7739 130.4000 0.5935 9.4960 OJ 4.1098 263.9500 1.5570 24.9127 PALLAD 32.3068 1427.5000 2.2632 36.2108 PLAT 17.9040 1073.3000 1.6681 26.6900 REDWHEAT 12.7064 737.0000 1.7241 27.5852 ROBUSTA 27.0571 2424.0000 1.1162 17.8595 RUSSELL 20.5578 1738.7000 1.1824 18.9178 SILVER-mini 0.3271 25.7875 1.2685 20.2961 SOYBEAN 10.4785 1266.0000 0.8277 13.2430 SOYMEAL 4.7128 421.8000 1.1173 17.8768 SOYOIL 0.7575 51.5600 1.4691 23.5063 SP400 25.2980 2459.9000 1.0284 16.4547 SP500 32.1545 4139.2500 0.7768 12.4291 SUGAR11 0.4038 25.0900 1.6094 25.7503 US10 0.5629 114.5000 0.4916 7.8658 US10U 0.7424 120.3281 0.6170 9.8721 US20 1.0658 129.6250 0.8222 13.1550 US30 1.5576 140.8750 1.1057 17.6905 US5 0.4105 109.3203 0.3755 6.0074 VIX 0.6058 22.4000 2.7043 43.2693 WHEAT 9.7637 639.0000 1.5280 24.4474 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.60 0.69 463.02 1.00 463.02 39580.94 85.48 2.51 21.44 BITCOIN 28.84 3.44 99.18 1.00 99.18 39580.94 399.08 -5.82 -232.14 BOBL 1183.30 0.38 445.71 1.10 490.55 39580.94 80.69 13.21 106.58 BTP 1150.30 0.63 722.36 1.10 795.03 39580.94 49.79 11.36 56.54 BUND 1362.40 0.61 828.59 1.10 911.95 39580.94 43.40 14.61 63.42 BUXL 1408.20 1.34 1886.01 1.10 2075.74 39580.94 19.07 -3.50 -6.67 CAC 738.45 0.78 575.69 1.10 633.60 39580.94 62.47 15.22 95.08 CAD 734.95 0.43 314.32 1.00 314.32 39580.94 125.93 7.17 90.35 CANOLA 142.16 1.21 172.63 0.74 127.38 39580.94 310.73 20.00 621.47 CHF 1407.38 0.47 664.28 1.00 664.28 39580.94 59.58 -10.51 -62.63 COCOA 288.80 1.15 332.46 1.00 332.46 39580.94 119.05 -7.29 -86.77 COFFEE 699.38 1.91 1334.38 1.00 1334.38 39580.94 29.66 10.75 31.89 COPPER 968.00 1.19 1148.39 1.00 1148.39 39580.94 34.47 3.57 12.29 CORN 259.38 1.01 260.88 1.00 260.88 39580.94 151.72 13.49 204.68 COTTON2 403.35 1.68 679.36 1.00 679.36 39580.94 58.26 8.46 49.29 CRUDE_W 695.90 2.07 1438.32 1.00 1438.32 39580.94 27.52 3.11 8.55 DAX 158.74 0.79 125.31 1.10 137.91 39580.94 287.00 2.13 61.15 DOW 168.74 0.73 122.52 1.00 122.52 39580.94 323.05 3.25 105.06 EUR 1379.06 0.49 675.40 1.00 675.40 39580.94 58.60 -8.19 -47.97 EUROSTX 427.90 0.88 374.56 1.10 412.25 39580.94 96.01 0.97 9.35 FEEDCOW 1130.38 0.66 750.25 1.00 750.25 39580.94 52.76 -7.49 -39.50 FTSE100 707.00 0.82 576.59 1.26 666.67 39580.94 59.37 7.70 45.70 GASOIL 663.25 1.99 1318.68 1.00 1318.68 39580.94 30.02 -2.92 -8.75 GASOILINE 985.66 1.99 1956.99 1.00 1956.99 39580.94 20.23 -4.22 -8.54 GAS_US 242.10 4.24 1027.14 1.00 1027.14 39580.94 38.53 -16.82 -64.82 GBP 780.31 0.54 422.11 1.00 422.11 39580.94 93.77 9.35 87.66 GOLD_micro 199.11 0.83 164.33 1.00 164.33 39580.94 240.86 -10.79 -259.93 HEATOIL 966.97 1.81 1752.19 1.00 1752.19 39580.94 22.59 -2.00 -4.53 JPY 915.19 0.70 638.90 1.00 638.90 39580.94 61.95 -9.25 -57.32 LEANHOG 365.60 1.47 536.21 1.00 536.21 39580.94 73.82 -17.68 -130.47 LIVECOW 643.40 0.62 396.08 1.00 396.08 39580.94 99.93 15.07 150.55 MXP 275.30 0.65 179.62 1.00 179.62 39580.94 220.36 14.01 308.78 NASDAQ 2643.65 0.89 2354.17 1.00 2354.17 39580.94 16.81 5.61 9.44 NIKKEI 29310.00 0.82 24010.49 0.01 177.81 39580.94 222.61 12.29 273.66 NZD 620.80 0.70 434.35 1.00 434.35 39580.94 91.13 6.04 55.03 OAT 1304.00 0.59 773.92 1.10 851.78 39580.94 46.47 14.83 68.89 OJ 395.92 1.56 616.47 1.00 616.47 39580.94 64.21 -1.93 -12.37 PALLAD 1427.50 2.26 3230.68 1.00 3230.68 39580.94 12.25 -1.76 -2.15 PLAT 536.65 1.67 895.20 1.00 895.20 39580.94 44.21 8.83 39.03 REDWHEAT 368.50 1.72 635.32 1.00 635.32 39580.94 62.30 3.12 19.45 ROBUSTA 242.40 1.12 270.57 1.00 270.57 39580.94 146.29 12.78 186.98 RUSSELL 86.94 1.18 102.79 1.00 102.79 39580.94 385.07 -0.10 -3.91 SILVER-mini 644.69 1.27 817.79 1.00 817.79 39580.94 48.40 -5.44 -26.34 SOYBEAN 633.00 0.83 523.93 1.00 523.93 39580.94 75.55 1.92 14.50 SOYMEAL 421.80 1.12 471.28 1.00 471.28 39580.94 83.99 -0.38 -3.17 SOYOIL 309.36 1.47 454.49 1.00 454.49 39580.94 87.09 4.93 42.98 SP400 2459.90 1.03 2529.80 1.00 2529.80 39580.94 15.65 3.29 5.15 SP500 2069.62 0.78 1607.72 1.00 1607.72 39580.94 24.62 4.15 10.23 SUGAR11 281.01 1.61 452.25 1.00 452.25 39580.94 87.52 5.50 48.14 US10 1145.00 0.49 562.90 1.00 562.90 39580.94 70.32 -0.84 -5.88 US10U 1203.28 0.62 742.43 1.00 742.43 39580.94 53.31 -7.69 -40.99 US20 1296.25 0.82 1065.76 1.00 1065.76 39580.94 37.14 -6.33 -23.49 US30 1408.75 1.11 1557.60 1.00 1557.60 39580.94 25.41 2.14 5.45 US5 1093.20 0.38 410.46 1.00 410.46 39580.94 96.43 -0.28 -2.69 VIX 224.00 2.70 605.77 1.00 605.77 39580.94 65.34 -20.00 -130.68 WHEAT 319.50 1.53 488.18 1.00 488.18 39580.94 81.08 -9.21 -74.70 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 21.441 0.006 2.5 0.343 BITCOIN -232.137 0.009 2.5 -5.470 BOBL 106.581 0.029 2.5 7.691 BTP 56.538 0.008 2.5 1.142 BUND 63.416 0.029 2.5 4.576 BUXL -6.666 0.034 2.5 -0.560 CAC 95.081 0.011 2.5 2.673 CAD 90.350 0.007 2.5 1.613 CANOLA 621.466 0.004 2.5 5.705 CHF -62.627 0.015 2.5 -2.344 COCOA -86.774 0.009 2.5 -1.890 COFFEE 31.890 0.005 2.5 0.413 COPPER 12.290 0.011 2.5 0.336 CORN 204.683 0.004 2.5 1.846 COTTON2 49.291 0.006 2.5 0.742 CRUDE_W 8.551 0.053 2.5 1.130 DAX 61.150 0.022 2.5 3.321 DOW 105.058 0.011 2.5 2.994 EUR -47.971 0.015 2.5 -1.795 EUROSTX 9.351 0.011 2.5 0.263 FEEDCOW -39.500 0.011 2.5 -1.061 FTSE100 45.702 0.041 2.5 4.711 GASOIL -8.752 0.029 2.5 -0.624 GASOILINE -8.541 0.016 2.5 -0.351 GAS_US -64.821 0.006 2.5 -0.976 GBP 87.657 0.007 2.5 1.565 GOLD_micro -259.929 0.009 2.5 -5.816 HEATOIL -4.525 0.029 2.5 -0.323 JPY -57.319 0.026 2.5 -3.710 LEANHOG -130.471 0.019 2.5 -6.096 LIVECOW 150.550 0.011 2.5 4.045 MXP 308.776 0.005 2.5 3.780 NASDAQ 9.438 0.022 2.5 0.513 NIKKEI 273.661 0.076 2.5 51.977 NZD 55.034 0.006 2.5 0.879 OAT 68.892 0.008 2.5 1.391 OJ -12.368 0.007 2.5 -0.216 PALLAD -2.151 0.010 2.5 -0.052 PLAT 39.029 0.010 2.5 0.939 REDWHEAT 19.454 0.002 2.5 0.104 ROBUSTA 186.983 0.005 2.5 2.424 RUSSELL -3.911 0.021 2.5 -0.203 SILVER-mini -26.341 0.009 2.5 -0.589 SOYBEAN 14.501 0.024 2.5 0.855 SOYMEAL -3.174 0.024 2.5 -0.187 SOYOIL 42.976 0.004 2.5 0.394 SP400 5.151 0.021 2.5 0.267 SP500 10.226 0.011 2.5 0.291 SUGAR11 48.140 0.005 2.5 0.653 US10 -5.881 0.015 2.5 -0.226 US10U -40.993 0.058 2.5 -5.973 US20 -23.493 0.029 2.5 -1.731 US30 5.446 0.034 2.5 0.457 US5 -2.692 0.015 2.5 -0.103 VIX -130.680 0.075 2.5 -24.627 WHEAT -74.704 0.002 2.5 -0.399 ==================== Position diags ==================== AUD 1.37 BITCOIN 9.40 BOBL 5.82 BTP 1.01 BUND 3.13 BUXL 1.60 CAC 1.76 CAD 2.25 CANOLA 2.85 CHF 2.23 COCOA 2.59 COFFEE 0.38 COPPER 0.94 CORN 1.37 COTTON2 0.88 CRUDE_W 3.64 DAX 15.59 DOW 9.21 EUR 2.19 EUROSTX 2.70 FEEDCOW 1.42 FTSE100 6.12 GASOIL 2.14 GASOILINE 0.83 GAS_US 0.58 GBP 1.67 GOLD_micro 5.39 HEATOIL 1.61 JPY 4.01 LEANHOG 3.45 LIVECOW 2.69 MXP 2.70 NASDAQ 0.91 NIKKEI 42.28 NZD 1.46 OAT 0.94 OJ 1.12 PALLAD 0.29 PLAT 1.06 REDWHEAT 0.33 ROBUSTA 1.90 RUSSELL 19.95 SILVER-mini 1.08 SOYBEAN 4.45 SOYMEAL 4.95 SOYOIL 0.80 SP400 0.81 SP500 0.70 SUGAR11 1.19 US10 2.70 US10U 7.77 US20 2.74 US30 2.13 US5 3.70 VIX 12.31 WHEAT 0.43 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.2 0.5 0.0 0 BITCOIN -5.5 -6.4 -4.5 -16.0 -16 BOBL 7.7 7.1 8.3 0.0 0 BTP 1.1 1.0 1.2 3.0 3 BUND 4.6 4.3 4.9 5.0 5 BUXL -0.6 -0.7 -0.4 0.0 0 CAC 2.7 2.5 2.8 1.0 1 CAD 1.6 1.4 1.8 0.0 0 CANOLA 5.7 5.4 6.0 NaN 0 CHF -2.3 -2.6 -2.1 -2.0 -2 COCOA -1.9 -2.1 -1.6 -5.0 -5 COFFEE 0.4 0.4 0.5 1.0 1 COPPER 0.3 0.2 0.4 0.0 0 CORN 1.8 1.7 2.0 5.0 5 COTTON2 0.7 0.7 0.8 1.0 1 CRUDE_W 1.1 0.8 1.5 2.0 2 DAX 3.3 1.8 4.9 1.0 1 DOW 3.0 2.1 3.9 0.0 0 EUR -1.8 -2.0 -1.6 -2.0 -2 EUROSTX 0.3 -0.0 0.5 0.0 0 FEEDCOW -1.1 -1.2 -0.9 -2.0 -2 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL -0.6 -0.8 -0.4 0.0 0 GASOILINE -0.4 -0.4 -0.3 0.0 0 GAS_US -1.0 -1.0 -0.9 -2.0 -2 GBP 1.6 1.4 1.7 8.0 8 GOLD_micro -5.8 -6.4 -5.3 -10.0 -10 HEATOIL -0.3 -0.5 -0.2 -1.0 -1 JPY -3.7 -4.1 -3.3 -10.0 -10 LEANHOG -6.1 -6.4 -5.8 -7.0 -7 LIVECOW 4.0 3.8 4.3 0.0 0 MXP 3.8 3.5 4.0 0.0 0 NASDAQ 0.5 0.4 0.6 0.0 0 NIKKEI 52.0 47.7 56.2 0.0 0 NZD 0.9 0.7 1.0 0.0 0 OAT 1.4 1.3 1.5 0.0 0 OJ -0.2 -0.3 -0.1 NaN 0 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT 0.9 0.8 1.0 1.0 1 REDWHEAT 0.1 0.1 0.1 0.0 0 ROBUSTA 2.4 2.2 2.6 2.0 2 RUSSELL -0.2 -2.2 1.8 -24.0 -24 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 0.9 0.4 1.3 0.0 0 SOYMEAL -0.2 -0.7 0.3 0.0 0 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 0.7 0.5 0.8 1.0 1 US10 -0.2 -0.5 0.0 NaN 0 US10U -6.0 -6.7 -5.2 -5.0 -5 US20 -1.7 -2.0 -1.5 0.0 0 US30 0.5 0.2 0.7 0.0 0 US5 -0.1 -0.5 0.3 -1.0 -1 VIX -24.6 -25.9 -23.4 -19.0 -19 WHEAT -0.4 -0.4 -0.4 -3.0 -3 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.2 -0.3 -0.2 BITCOIN -0.1 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 0.1 0.1 -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 -0.1 0.0 -0.3 0.0 0.1 0.8 0.3 0.1 0.1 -0.0 -0.1 0.0 -0.2 0.0 1.5 2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 1.5 0.0 0.0 0.0 -0.0 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 0.0 -0.2 0.1 BUND -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 0.5 0.5 0.2 0.2 -0.0 -0.1 0.0 -0.2 0.0 0.9 2.5 0.0 0.0 -0.0 0.0 -0.1 0.0 2.8 0.0 0.0 -0.1 -0.0 BUXL -0.1 -0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.2 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 0.1 -0.0 -0.1 -0.1 CAC 0.2 0.2 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 1.5 0.2 0.2 0.1 0.2 0.3 0.0 0.3 0.0 -1.8 1.7 0.1 -0.0 0.1 0.0 0.1 0.0 2.1 0.1 0.1 -0.1 0.1 CAD -0.0 0.2 0.0 0.1 0.0 0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -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 -0.2 -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 -1.0 -0.6 -0.3 -0.3 0.2 0.2 0.0 0.1 0.0 -1.0 -2.4 0.1 -0.0 0.1 0.0 0.0 0.0 -2.5 0.0 0.4 0.2 0.1 COCOA 0.0 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.2 0.0 0.3 0.1 -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 -1.4 0.1 0.4 0.3 0.3 COFFEE 0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -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 0.9 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 0.0 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 -0.1 0.0 -0.0 0.0 -0.0 0.7 2.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.4 -0.3 -0.4 -0.3 -0.3 CORN -0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -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 2.9 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 2.4 3.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.6 0.0 0.1 0.0 -0.0 CRUDE_W -0.0 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 0.7 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 -0.8 0.0 0.2 0.2 0.1 DAX 0.1 0.2 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 -0.1 -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 0.1 0.0 -0.1 0.0 DOW 0.1 0.2 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 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 -0.1 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 0.2 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 0.2 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 1.9 0.0 -0.0 -0.1 0.0 FEEDCOW 0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -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 -3.4 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 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.3 -0.1 0.1 -0.1 -0.4 0.4 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 2.1 -0.1 -0.1 -0.1 -0.1 GASOILINE -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.0 0.0 1.7 0.7 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 -0.1 -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 0.3 -0.0 -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 0.0 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 -0.2 -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 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.3 -0.1 0.1 -0.1 -0.4 0.3 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 -0.0 -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 0.1 -0.3 -0.3 LIVECOW 0.1 0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.3 0.0 0.3 1.6 0.3 0.4 0.4 0.2 0.1 -0.0 0.1 0.0 -3.3 2.6 0.0 -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 -0.2 0.3 NASDAQ -0.0 0.3 0.4 0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 0.3 0.0 -0.1 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 0.3 -0.1 0.3 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 0.7 2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 0.0 0.0 -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 -0.2 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 -0.1 -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 0.1 2.5 0.1 -0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.3 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 0.5 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 0.2 -0.2 -0.4 -0.0 -0.1 ROBUSTA 0.2 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -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 -1.9 2.1 0.1 0.0 0.1 0.0 0.0 0.0 1.1 0.0 0.4 0.3 0.3 RUSSELL 0.0 -0.2 -0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -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 0.2 -0.2 SOYBEAN -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 0.4 -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 0.5 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 0.8 -0.1 -0.2 -0.3 -0.3 SP400 0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 -0.3 -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 -0.0 0.0 0.0 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 0.2 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 0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.4 0.0 0.3 0.1 0.3 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 0.2 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 0.0 0.0 -0.0 -0.1 0.0 -0.2 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -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 -0.5 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 -1.6 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 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -0.2 -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 1.7 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 -0.5 -4.3 -5.7 3.7 1.0 2.8 1.3 -0.2 3.1 -4.7 0.1 -9.5 -5.3 -7.2 -12.2 -3.7 -3.1 -3.6 -3.5 -7.2 -5.9 -5.8 -6.4 -6.8 13.0 11.7 -2.9 0.2 -2.9 -2.8 -3.8 -2.6 -0.9 -11.3 -11.8 -19.9 -14.8 BITCOIN -6.7 13.2 20.0 4.1 -0.3 3.4 0.7 2.4 3.1 -0.4 13.2 -3.2 -7.5 10.8 13.1 -3.8 -2.1 -3.5 -2.6 12.2 12.1 -1.0 0.9 4.6 5.1 -18.1 4.0 -1.0 5.0 -1.2 2.0 0.5 0.7 -7.2 -18.5 -15.4 14.4 BOBL -6.9 5.3 20.0 2.9 1.2 1.4 0.9 -2.6 1.9 13.6 -6.4 1.9 -12.6 3.6 2.7 10.4 6.2 5.1 4.3 -0.8 -6.2 10.3 -14.9 2.1 9.8 10.8 2.4 5.6 -0.8 3.1 -6.8 2.5 10.5 9.5 3.1 2.2 -3.3 BTP -10.5 3.7 9.9 2.9 1.2 1.4 0.9 -2.6 1.9 13.2 5.8 -3.1 -8.5 2.9 3.6 8.4 11.7 8.7 10.3 1.2 0.8 5.4 -8.8 0.0 -9.8 11.4 3.3 5.8 2.8 2.2 -3.3 1.7 20.0 3.1 1.2 -11.5 5.1 BUND -7.7 4.0 15.4 2.9 1.2 1.4 0.9 -2.6 1.9 13.5 -7.5 0.1 -13.1 1.9 -0.9 6.4 12.7 7.9 10.0 -2.1 -7.1 8.5 -16.3 0.5 7.5 12.3 2.2 5.5 -0.6 2.7 -6.9 2.0 20.0 7.5 1.2 -4.1 -2.6 BUXL -8.2 -0.5 6.4 2.9 1.2 1.4 0.9 -2.6 1.9 13.3 -10.3 -1.4 -13.7 -3.9 -6.5 1.6 0.9 2.2 2.4 -6.0 -10.4 6.3 -18.4 -2.4 8.0 -10.8 0.3 4.5 -1.8 1.7 -6.4 0.6 4.4 6.6 -1.0 -10.8 -10.0 CAC 16.4 14.9 12.2 3.6 -3.1 3.1 -0.0 1.7 2.7 -12.6 15.6 6.2 13.1 13.9 14.5 18.4 4.3 11.0 5.9 19.7 20.0 1.7 20.0 14.1 -15.7 8.9 5.0 -0.3 6.2 1.9 6.1 4.1 15.7 11.2 4.7 -6.3 5.2 CAD -0.3 9.6 1.3 3.7 1.0 2.8 1.3 -0.2 3.1 -9.3 -4.9 -10.0 -9.8 1.5 0.7 -3.0 -2.0 -2.8 -2.5 -1.0 -4.1 -8.4 -9.3 -3.6 18.1 10.4 0.5 -4.3 -1.1 -3.6 -3.7 -0.9 0.9 -20.0 -11.0 -10.6 -8.0 CANOLA -2.0 -7.4 -19.2 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -10.4 -11.4 -13.1 -12.9 -12.2 -12.2 20.0 19.0 20.0 20.0 -20.0 -20.0 -19.4 -14.3 -20.0 19.1 13.2 -6.0 -2.9 -5.8 -4.0 -3.6 -4.8 20.0 -15.3 -16.9 -20.0 -20.0 CHF 12.6 16.6 8.0 3.7 1.0 2.8 1.3 -0.2 3.1 -5.8 13.7 6.5 7.8 12.6 12.1 -14.3 -14.1 -14.2 -14.4 15.8 13.0 4.4 6.8 13.2 -7.1 -11.5 5.4 -0.3 4.1 1.5 1.5 4.5 -19.7 2.6 17.4 17.1 6.5 COCOA 0.9 17.2 18.7 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -12.2 15.1 0.8 8.9 13.0 14.1 1.8 -0.9 1.9 0.9 19.3 19.9 -1.0 12.9 11.1 -20.0 -10.4 5.8 -3.7 6.3 -0.5 4.5 3.2 -10.0 14.0 20.0 20.0 20.0 COFFEE 12.6 11.5 16.1 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -12.9 -0.7 -1.7 -5.6 3.4 9.9 8.0 4.2 5.7 4.8 9.9 4.2 -4.7 -3.3 5.7 5.9 10.0 3.9 -3.1 1.9 -1.3 -0.5 2.5 -2.2 -5.4 20.0 20.0 20.0 COPPER -10.2 -6.5 2.0 4.1 -0.3 3.4 0.7 2.4 3.1 -9.8 7.5 -11.0 -1.8 -8.5 -4.7 -1.1 -0.6 -1.0 -0.8 -4.8 2.8 -14.5 2.6 -12.0 5.3 11.1 -3.2 -5.3 -0.3 -6.9 0.8 -5.7 3.2 -20.0 -20.0 -20.0 -17.4 CORN -9.9 -3.7 -20.0 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -14.1 -12.5 -15.4 -4.9 -15.1 -14.9 7.3 18.0 14.1 17.2 -20.0 -16.4 -20.0 -6.2 -20.0 18.8 11.0 -6.0 -9.0 -5.2 -8.6 -2.8 -6.9 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -0.8 1.0 -1.9 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -2.0 -8.8 -5.1 -11.7 -2.3 -5.6 -4.0 6.7 -3.3 -0.3 -5.5 -9.1 -3.2 -10.7 -4.7 9.6 12.0 -2.6 0.6 -3.4 -1.8 -1.8 -2.4 -4.2 3.8 10.9 1.5 -1.8 CRUDE_W -1.5 5.3 -6.3 -3.7 -9.3 -2.5 -8.3 0.1 -6.0 -12.0 2.6 -11.0 -3.4 2.4 3.4 9.0 11.2 8.9 9.3 -1.2 -1.4 -15.8 0.9 -6.2 -10.9 10.8 -0.6 -10.6 -0.3 -7.2 1.7 -2.9 -5.7 1.0 11.7 12.5 7.8 DAX 10.5 9.1 11.3 3.6 -3.1 3.1 -0.0 1.7 2.7 -11.5 15.7 7.6 9.8 14.3 14.7 -7.7 -6.0 -7.9 -7.6 14.2 17.7 2.1 14.3 9.7 -17.8 9.9 4.8 1.6 6.8 2.2 5.7 3.6 -3.7 12.6 1.3 -6.2 2.4 DOW 11.3 9.7 -2.6 3.6 -3.1 3.1 -0.0 1.7 2.7 1.4 8.6 5.3 2.7 12.2 5.6 -8.3 -5.5 -7.8 -7.2 6.4 3.5 3.1 1.8 7.6 -0.4 10.8 3.4 -1.6 2.8 0.9 2.1 3.0 -3.0 1.7 -1.0 -1.6 -10.0 EUR 5.5 12.6 10.2 3.7 1.0 2.8 1.3 -0.2 3.1 -2.6 13.7 7.0 1.0 13.0 11.6 -6.7 -8.3 -7.1 -7.7 12.5 11.9 3.7 3.5 9.7 -12.9 -11.1 5.6 -0.4 4.8 1.7 1.0 4.5 -9.1 3.3 8.2 9.1 6.9 EUROSTX 10.3 11.7 11.2 3.6 -3.1 3.1 -0.0 1.7 2.7 -12.7 15.8 3.6 13.0 14.0 14.8 -4.1 4.2 0.6 3.0 15.9 20.0 -0.8 17.8 9.7 -17.5 -8.5 4.9 -1.0 7.0 1.0 6.8 3.4 14.3 7.6 -1.3 -6.2 1.5 FEEDCOW 11.7 17.2 20.0 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -6.7 14.4 9.9 10.8 14.0 15.4 -20.0 -20.0 -20.0 -20.0 20.0 20.0 8.5 13.7 20.0 -20.0 12.2 6.2 -3.2 5.5 1.5 3.7 4.8 -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 -15.5 -11.7 -17.8 -3.7 -9.3 -2.5 -8.3 0.1 -6.0 -14.0 -13.9 -15.5 4.2 -14.9 -14.7 5.0 20.0 14.3 20.0 -18.1 -13.4 -20.0 0.6 -20.0 4.4 -15.4 -5.5 -9.8 -4.4 -9.4 -1.1 -7.3 15.6 -6.6 -7.3 -5.5 -7.3 GASOILINE -11.5 1.8 -0.9 -3.7 -9.3 -2.5 -8.3 0.1 -6.0 -12.5 5.7 -13.6 1.4 -3.4 1.1 20.0 15.1 17.6 13.1 -1.1 2.2 -18.2 6.3 -9.8 -20.0 -13.1 -0.7 -9.4 1.8 -7.9 5.2 -4.6 -0.1 -0.2 3.6 12.3 18.1 GAS_US 10.3 -9.2 -20.0 -3.7 -9.3 -2.5 -8.3 0.1 -6.0 -13.2 -16.6 -6.6 -14.7 -13.0 -15.1 -20.0 -15.3 -20.0 -20.0 -20.0 -20.0 -7.1 -20.0 -10.2 20.0 -9.3 -6.3 -4.4 -7.6 -3.2 -4.6 -4.1 -20.0 20.0 13.4 -3.5 -18.9 GBP 2.7 14.8 10.3 3.7 1.0 2.8 1.3 -0.2 3.1 -0.4 14.6 5.2 0.1 13.6 13.0 -1.5 -1.9 -1.8 -1.9 12.1 9.9 5.3 0.6 9.7 3.6 9.4 5.2 0.1 2.8 2.5 -2.2 4.6 1.4 7.1 4.0 9.1 2.4 GOLD_micro -5.1 16.1 10.5 4.2 -1.2 3.4 0.6 2.3 3.3 -12.3 12.5 -11.8 3.7 8.9 10.1 -11.9 -11.0 -11.9 -11.9 13.7 15.6 -4.2 10.0 4.6 -3.7 -13.8 4.8 -1.8 5.1 -0.8 3.4 2.1 -15.3 -2.1 -10.9 7.5 7.0 HEATOIL -11.0 -10.4 -17.3 -3.7 -9.3 -2.5 -8.3 0.1 -6.0 -13.2 -13.1 -14.5 3.2 -13.7 -14.0 3.3 20.0 14.7 20.0 -16.7 -13.0 -20.0 0.4 -20.0 -1.8 -13.6 -5.2 -9.1 -3.3 -8.7 1.4 -6.9 20.0 -5.7 -7.8 -6.6 -5.7 JPY -16.2 -2.6 -0.0 3.7 -0.5 2.7 0.8 -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 -8.4 -12.3 LEANHOG 8.9 -20.0 -20.0 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 3.6 -14.5 3.2 -12.3 -11.2 -13.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 3.1 -15.9 -9.1 20.0 -11.1 -5.6 0.6 -6.2 0.7 -4.4 -2.3 -20.0 20.0 3.6 -20.0 -20.0 LIVECOW 10.3 5.9 9.6 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -10.1 13.9 6.5 11.1 12.8 13.2 20.0 6.8 20.0 20.0 14.2 13.1 -1.8 9.5 10.2 -20.0 12.0 4.7 -6.3 4.9 -1.0 4.5 3.1 20.0 6.5 20.0 20.0 20.0 MXP 6.5 13.5 6.3 3.7 1.0 2.8 1.3 -0.2 3.1 9.7 15.7 13.2 15.6 15.4 15.7 18.9 20.0 19.2 20.0 17.8 20.0 8.0 20.0 12.1 -20.0 9.7 6.0 2.7 8.7 2.9 9.7 3.8 20.0 7.0 -0.6 -12.8 19.1 NASDAQ -3.2 18.1 20.0 3.6 -3.1 3.1 -0.0 1.7 2.7 8.3 10.3 7.8 -5.6 13.1 14.7 -9.0 -6.0 -8.2 -7.4 16.8 14.3 8.3 1.6 11.4 -3.6 10.2 5.7 2.7 5.8 2.9 3.0 3.7 -3.4 14.7 -5.8 17.8 20.0 NIKKEI 14.3 13.0 12.9 3.7 1.4 3.1 1.8 1.6 3.4 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 10.3 11.3 4.9 NZD -6.4 -3.2 -3.7 3.7 1.0 2.8 1.3 -0.2 3.1 9.9 6.2 -6.8 -1.6 -5.7 -10.1 1.2 0.7 0.9 0.7 -4.9 -2.3 -0.6 -3.6 -4.8 4.2 10.8 -1.6 5.3 -0.7 0.6 -2.1 -1.5 5.8 -0.6 -13.8 -14.2 -13.5 OAT -7.2 3.8 8.1 2.9 1.2 1.4 0.9 -2.6 1.9 13.4 -7.4 -0.8 -12.9 2.5 -3.1 11.2 12.1 10.8 11.5 -2.6 -7.1 7.6 -15.5 0.2 5.4 12.7 1.8 5.7 -0.7 2.8 -7.0 1.9 20.0 7.1 2.1 -7.2 -3.7 OJ 1.6 20.0 7.8 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -13.2 15.5 -4.4 15.5 11.7 14.5 20.0 20.0 20.0 20.0 20.0 20.0 0.1 20.0 16.5 -20.0 -14.3 6.2 -2.3 8.3 -0.2 8.9 3.0 20.0 20.0 20.0 20.0 20.0 PALLAD 18.4 14.2 -13.3 4.1 -0.3 3.4 0.7 2.4 3.1 -13.7 -13.2 -7.0 -14.2 1.2 -7.2 -3.6 -2.4 -3.1 -2.9 -4.9 -16.4 -12.0 -20.0 -1.7 20.0 -11.1 0.9 -7.8 -2.5 -3.6 -4.0 1.1 0.0 -20.0 1.0 -14.1 -20.0 PLAT 18.6 15.6 -2.9 4.1 -0.3 3.4 0.7 2.4 3.1 -10.9 8.3 2.9 3.6 9.2 7.5 -2.5 -1.6 -2.3 -2.0 13.5 8.4 2.3 4.5 13.7 0.4 11.2 4.4 -2.7 2.5 0.9 1.1 4.6 1.5 4.3 17.5 0.5 -16.1 REDWHEAT -19.1 5.2 -1.5 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -13.9 -10.0 -14.8 -11.9 -8.9 -4.8 6.5 5.4 8.6 7.9 -11.1 -8.9 -20.0 -7.2 -20.0 0.2 12.9 -3.9 -11.3 -2.4 -10.6 -0.7 -7.2 1.4 -20.0 -20.0 -1.9 -3.9 ROBUSTA 20.0 20.0 20.0 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 5.4 12.4 12.6 7.5 15.0 15.9 11.9 10.2 11.3 10.9 20.0 20.0 18.0 14.9 20.0 -11.5 9.6 6.2 1.0 4.7 3.1 2.5 5.4 8.1 20.0 20.0 20.0 20.0 RUSSELL 2.2 -11.7 -3.7 3.6 -3.1 3.1 -0.0 1.7 2.7 -9.3 -6.5 -7.3 -9.6 -11.6 -12.4 -5.7 -4.5 -5.7 -5.5 -10.2 -8.3 -9.7 -7.4 -9.2 10.5 10.0 -4.2 -5.3 -2.1 -4.7 -0.8 -4.7 -0.6 -12.9 -20.0 -20.0 -17.4 SILVER-mini 8.8 20.0 5.2 4.1 -0.3 3.4 0.7 2.4 3.1 7.4 11.7 -2.5 2.8 12.3 11.9 -6.5 -5.2 -6.2 -5.8 19.8 15.4 4.8 7.4 14.8 -4.6 -11.3 4.4 1.6 3.1 1.2 1.0 3.4 -4.9 7.2 -0.2 10.4 -11.0 SOYBEAN -7.5 -16.9 -17.8 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -8.2 -8.1 -10.8 -4.2 -11.7 -11.0 20.0 20.0 20.0 20.0 -18.3 -14.1 -15.9 -4.9 -18.5 2.6 -11.7 -5.5 -2.0 -4.2 -4.1 -0.8 -5.2 20.0 -10.4 -9.6 -20.0 -20.0 SOYMEAL -12.6 -20.0 0.9 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -11.9 7.7 -12.6 10.7 -12.2 -8.4 20.0 20.0 20.0 20.0 -8.3 5.5 -18.0 15.1 -16.8 -20.0 -12.0 -3.5 -4.7 1.3 -6.2 5.9 -6.0 20.0 -14.1 -5.7 -14.1 2.5 SOYOIL -8.5 -16.2 -20.0 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -8.2 -13.3 -11.1 -6.8 -13.2 -13.7 5.6 11.6 4.0 6.4 -20.0 -20.0 -17.3 -10.1 -20.0 9.8 12.9 -6.2 -2.5 -5.6 -4.4 -2.4 -5.3 5.7 -8.7 -11.6 -20.0 -20.0 SP400 4.4 -8.9 -4.0 3.6 -3.1 3.1 -0.0 1.7 2.7 -3.0 0.6 -1.7 -1.8 -4.2 -7.6 -5.4 -4.3 -5.3 -5.0 -5.9 -3.5 -4.8 -1.1 -4.6 6.5 10.2 -3.5 -3.4 -1.4 -3.0 0.5 -3.4 -0.0 -5.6 -19.3 -20.0 -17.3 SP500 5.7 11.5 9.2 3.6 -3.1 3.1 -0.0 1.7 2.7 3.7 9.4 6.1 -4.3 13.0 11.0 -9.0 -6.4 -8.3 -7.6 9.2 6.2 3.8 0.0 8.0 2.2 10.2 4.6 -0.3 4.1 1.4 1.7 3.3 -3.8 3.4 -3.5 3.2 1.1 SUGAR11 12.8 17.9 17.5 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 2.6 16.0 10.9 13.9 14.6 15.9 9.0 20.0 18.4 20.0 20.0 20.0 20.0 18.3 20.0 -20.0 -10.5 6.2 -0.2 5.2 3.5 3.9 5.9 20.0 20.0 20.0 20.0 20.0 US10 -5.8 13.6 15.0 2.8 -2.1 1.3 -0.1 -2.6 1.7 -4.8 3.6 -5.9 -9.9 8.6 8.8 -10.4 -5.3 -9.4 -8.5 4.9 1.2 -1.3 -8.8 2.4 -2.5 9.7 4.2 -2.2 2.7 0.4 -1.9 2.7 -10.7 1.4 3.3 5.4 3.5 US10U -6.5 11.8 14.1 2.8 -2.1 1.3 -0.1 -2.6 1.7 -4.7 3.5 -6.0 -10.0 7.3 8.0 -7.2 0.4 -3.7 -2.0 4.0 0.7 -1.5 -9.1 1.6 -4.6 -14.1 4.3 -2.4 3.2 0.3 -1.3 2.6 0.1 1.6 1.9 1.6 4.7 US20 -7.5 10.8 14.5 2.8 -2.1 1.3 -0.1 -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 -2.9 -8.4 0.8 -1.8 -12.3 3.9 -3.5 2.7 -0.4 -1.7 2.1 -2.4 -0.3 0.2 0.3 2.0 US30 -7.3 5.8 12.4 2.9 1.2 1.4 0.9 -2.6 1.9 1.6 3.6 -6.7 -10.1 2.2 2.9 -2.0 -0.8 -1.4 -1.3 0.6 -1.6 -1.3 -11.2 -0.9 -4.3 10.0 3.4 0.4 2.8 0.1 -2.4 1.6 -0.5 -1.2 -2.6 -11.0 0.6 US5 -4.9 13.9 17.8 2.8 -2.1 1.3 -0.1 -2.6 1.7 -2.7 3.3 -3.9 -10.1 9.4 9.3 -10.3 -5.8 -9.9 -9.1 5.4 1.3 -0.2 -8.8 3.2 -0.7 10.8 4.0 -1.7 2.2 0.7 -2.7 2.9 -11.7 3.1 4.1 7.5 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 -15.5 -6.5 -11.4 -4.1 -9.8 -3.2 -8.9 -2.1 -6.3 -14.0 -15.1 -15.3 -15.2 -15.2 -14.6 -13.0 -9.1 -12.4 -11.1 -20.0 -20.0 -20.0 -19.3 -20.0 11.6 11.9 -5.7 -8.9 -4.5 -8.7 -2.6 -7.2 -20.0 -20.0 -20.0 -20.0 -18.8 End of report for caleb_strategy_v1