******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230503_204646 produced at 2023-05-03 21:37:35.657224 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.29 -0.27 0.0 4.885808e+07 -4.885808e+07 -0.29 -0.29 -5.51 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.20 -0.23 0.0 9.247443e+06 -9.247443e+06 -0.20 -0.18 -24.61 999999999.0 -22 -19 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.713989e+07 -3.713989e+07 -0.37 -0.37 -3.59 999999999.0 -10 -10 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.676819e+07 -5.676819e+07 -0.11 -0.11 -2.18 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.06 -0.06 -0.10 0.0 5.543462e+07 -5.543462e+07 -0.06 -0.11 -1.73 999999999.0 -1 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.283002e+07 -5.283002e+07 0.00 0.00 -1.59 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.08 0.0 1.431552e+07 -1.431552e+07 -0.10 -0.10 -5.89 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.04 -0.04 -0.05 0.0 4.481107e+07 -4.481107e+07 -0.04 -0.04 -1.06 999999999.0 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.04 0.0 8.121737e+06 -8.121737e+06 -0.09 -0.06 -5.29 999999999.0 -11 -8 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.174407e+07 -6.174407e+07 0.00 0.00 -0.60 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.02 0.0 3.765055e+07 -3.765055e+07 -0.04 -0.08 -0.40 999999999.0 -1 -2 caleb_strategy_v1 GASOIL False False 0.03 0.00 -0.02 0.0 2.567066e+07 -2.567066e+07 0.00 -0.03 -0.75 999999999.0 0 -1 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.147724e+07 -1.147724e+07 -0.06 -0.06 -2.11 999999999.0 -5 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.423585e+06 -9.423585e+06 -0.02 -0.02 -0.97 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.776320e+07 -3.776320e+07 0.00 0.00 -0.39 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.592086e+07 -2.592086e+07 0.00 0.00 -0.57 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.643112e+07 -4.643112e+07 0.00 0.00 -0.14 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.142720e+06 -1.142720e+06 -0.02 -0.02 -5.56 999999999.0 -15 -17 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.680572e+07 -5.680572e+07 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.602090e+07 -1.602090e+07 0.00 0.00 -0.21 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 -0.00 0.0 1.678151e+07 -1.678151e+07 0.00 0.00 -0.27 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.255491e+07 -1.255491e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.09 0.00 0.0 4.421059e+07 -4.421059e+07 -0.09 -0.04 0.03 999999999.0 -2 -1 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.557253e+07 -1.557253e+07 0.00 0.00 0.10 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.25 0.00 0.0 3.513428e+06 -3.513428e+06 -0.25 -0.09 0.04 999999999.0 -70 -25 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 1.338077e+07 -1.338077e+07 -0.04 -0.05 -0.30 999999999.0 -3 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.891673e+07 -1.891673e+07 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.679157e+07 -2.679157e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.126283e+07 -1.126283e+07 0.01 0.01 0.66 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.768228e+07 -2.768228e+07 0.03 0.03 0.39 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.860607e+07 -3.860607e+07 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.577870e+07 -1.577870e+07 0.02 0.02 0.67 999999999.0 1 1 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.272659e+07 -8.272659e+07 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.219613e+06 -4.219613e+06 0.00 0.00 5.63 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.547551e+07 -2.547551e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.060354e+07 -1.060354e+07 0.05 0.05 1.66 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.123109e+07 -2.123109e+07 0.02 0.02 0.92 999999999.0 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.691801e+06 -9.691801e+06 0.02 0.02 2.33 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.491606e+07 -2.491606e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 2.691767e+07 -2.691767e+07 0.05 0.05 0.79 999999999.0 2 2 caleb_strategy_v1 DOW False False 0.01 0.01 0.02 0.0 6.747431e+06 -6.747431e+06 0.01 0.01 2.69 999999999.0 2 1 caleb_strategy_v1 SP400 False False 0.10 0.79 0.03 0.0 9.930794e+07 -9.930794e+07 0.79 0.79 0.28 999999999.0 8 8 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.652049e+07 -5.652049e+07 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.03 0.0 7.035541e+06 -7.035541e+06 0.01 0.01 3.74 999999999.0 2 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.109093e+07 -1.109093e+07 0.00 0.00 3.85 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.05 0.0 3.141529e+07 -3.141529e+07 0.28 0.28 1.54 999999999.0 9 9 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.05 0.0 1.053428e+08 -1.053428e+08 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.948173e+07 -2.948173e+07 0.00 0.00 1.57 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.06 0.0 5.101518e+07 -5.101518e+07 0.15 0.15 1.17 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.744281e+07 -5.744281e+07 0.00 0.00 1.39 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.10 0.09 0.0 3.266533e+07 -3.266533e+07 0.10 0.03 2.73 999999999.0 3 1 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.557659e+07 -2.557659e+07 0.00 0.00 3.91 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.04 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.65 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.36 0.27 0.0 6.001033e+07 -6.001033e+07 0.36 0.36 4.56 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.40 0.0 5.212689e+07 -5.212689e+07 0.00 0.00 7.74 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 51.26 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 17.7 Shocked risk 55.0 Sum abs risk 48.3 Leverage 3.40 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2497987.69, 'annual_cash_vol_target': 624496.9225, 'daily_cash_vol_target': 39031.05765625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6692 0.6801 10.8809 BITCOIN 972.7305 28545.0000 3.4077 54.5233 BOBL 0.4349 118.1600 0.3681 5.8896 BTP 0.7120 115.6400 0.6157 9.8507 BUND 0.8079 136.0300 0.5939 9.5030 BUXL 1.8480 139.9600 1.3204 21.1256 CAC 56.8519 7404.5000 0.7678 12.2848 CAD 0.0031 0.7365 0.4258 6.8135 CANOLA 8.6145 717.6000 1.2005 19.2073 CHF 0.0054 1.1344 0.4802 7.6837 COCOA 32.8403 2867.0000 1.1455 18.3273 COFFEE 3.5131 184.4000 1.9052 30.4826 COPPER 0.0454 3.8575 1.1762 18.8184 CORN 5.6588 529.7500 1.0682 17.0912 COTTON2 1.3666 78.8300 1.7337 27.7386 CRUDE_W 1.4660 67.2400 2.1802 34.8835 DAX 124.6827 15948.0000 0.7818 12.5089 DOW 239.8571 33710.0000 0.7115 11.3845 EUR 0.0054 1.1078 0.4842 7.7475 EUROSTX 37.0479 4288.0000 0.8640 13.8238 FEEDCOW 1.5326 223.8750 0.6846 10.9535 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.3557 641.2500 2.0828 33.3243 GASOILINE 0.0489 2.2460 2.1766 34.8257 GAS_US 0.1012 2.3540 4.3006 68.8094 GBP 0.0068 1.2556 0.5418 8.6691 GOLD_micro 16.9025 2028.8000 0.8331 13.3300 HEATOIL 0.0420 2.2393 1.8743 29.9893 JPY 0.0001 0.0074 0.6981 11.1702 LEANHOG 1.3612 89.4000 1.5226 24.3614 LIVECOW 0.9922 159.7250 0.6212 9.9392 MXP 0.0004 0.0554 0.6405 10.2485 NASDAQ 116.8260 13157.2500 0.8879 14.2067 NIKKEI 240.1049 29310.0000 0.8192 13.1071 NZD 0.0043 0.6224 0.6859 10.9739 OAT 0.7555 130.2100 0.5802 9.2834 OJ 3.9892 266.8000 1.4952 23.9234 PALLAD 31.5642 1419.0000 2.2244 35.5904 PLAT 17.8439 1060.7000 1.6823 26.9164 REDWHEAT 15.3915 778.0000 1.9783 31.6534 ROBUSTA 26.4749 2421.0000 1.0936 17.4968 RUSSELL 20.6275 1755.3000 1.1752 18.8025 SILVER-mini 0.3206 25.9000 1.2377 19.8033 SOYBEAN 10.3574 1272.7500 0.8138 13.0204 SOYMEAL 4.6192 419.2000 1.1019 17.6305 SOYOIL 0.7582 52.2700 1.4506 23.2096 SP400 24.9335 2480.7000 1.0051 16.0816 SP500 31.7450 4133.0000 0.7681 12.2894 SUGAR11 0.3926 25.1200 1.5629 25.0067 US10 0.5773 115.9844 0.4978 7.9642 US10U 0.7551 122.0469 0.6187 9.8990 US20 1.0872 131.9688 0.8238 13.1816 US30 1.5268 141.1875 1.0814 17.3025 US5 0.4192 110.4375 0.3796 6.0740 VIX 0.5979 23.1000 2.5882 41.4104 WHEAT 11.7857 668.5000 1.7630 28.2080 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.25 0.68 455.13 1.00 455.13 39031.06 85.76 2.75 23.56 BITCOIN 28.54 3.41 97.27 1.00 97.27 39031.06 401.25 -5.88 -236.00 BOBL 1181.60 0.37 434.95 1.10 477.84 39031.06 81.68 13.13 107.21 BTP 1156.40 0.62 711.96 1.10 782.16 39031.06 49.90 11.58 57.80 BUND 1360.30 0.59 807.93 1.10 887.59 39031.06 43.97 14.38 63.23 BUXL 1399.60 1.32 1847.96 1.10 2030.17 39031.06 19.23 -3.71 -7.13 CAC 740.45 0.77 568.52 1.10 624.57 39031.06 62.49 15.54 97.12 CAD 736.45 0.43 313.61 1.00 313.61 39031.06 124.46 7.05 87.78 CANOLA 143.52 1.20 172.29 0.74 127.31 39031.06 306.59 20.00 613.18 CHF 1418.06 0.48 680.99 1.00 680.99 39031.06 57.31 -10.14 -58.14 COCOA 286.70 1.15 328.40 1.00 328.40 39031.06 118.85 -8.14 -96.72 COFFEE 691.50 1.91 1317.42 1.00 1317.42 39031.06 29.63 10.15 30.07 COPPER 964.38 1.18 1134.25 1.00 1134.25 39031.06 34.41 3.41 11.74 CORN 264.88 1.07 282.94 1.00 282.94 39031.06 137.95 13.33 183.83 COTTON2 394.15 1.73 683.32 1.00 683.32 39031.06 57.12 7.80 44.53 CRUDE_W 672.40 2.18 1465.98 1.00 1465.98 39031.06 26.62 2.25 5.98 DAX 159.48 0.78 124.68 1.10 136.98 39031.06 284.95 2.42 68.90 DOW 168.55 0.71 119.93 1.00 119.93 39031.06 325.45 2.90 94.42 EUR 1384.75 0.48 670.52 1.00 670.52 39031.06 58.21 -7.93 -46.17 EUROSTX 428.80 0.86 370.48 1.10 407.01 39031.06 95.90 0.92 8.79 FEEDCOW 1119.38 0.68 766.32 1.00 766.32 39031.06 50.93 -7.77 -39.56 FTSE100 707.00 0.82 576.59 1.25 666.67 39031.06 58.55 7.70 45.07 GASOIL 641.25 2.08 1335.57 1.00 1335.57 39031.06 29.22 -3.58 -10.46 GASOILINE 943.32 2.18 2053.24 1.00 2053.24 39031.06 19.01 -5.02 -9.55 GAS_US 235.40 4.30 1012.36 1.00 1012.36 39031.06 38.55 -16.67 -64.26 GBP 784.75 0.54 425.19 1.00 425.19 39031.06 91.80 9.37 85.99 GOLD_micro 202.88 0.83 169.02 1.00 169.02 39031.06 230.92 -10.24 -236.44 HEATOIL 940.51 1.87 1762.82 1.00 1762.82 39031.06 22.14 -2.54 -5.63 JPY 927.75 0.70 647.70 1.00 647.70 39031.06 60.26 -9.21 -55.49 LEANHOG 357.60 1.52 544.48 1.00 544.48 39031.06 71.69 -17.57 -125.97 LIVECOW 638.90 0.62 396.89 1.00 396.89 39031.06 98.34 14.78 145.36 MXP 277.05 0.64 177.46 1.00 177.46 39031.06 219.94 14.29 314.22 NASDAQ 2631.45 0.89 2336.52 1.00 2336.52 39031.06 16.70 5.27 8.81 NIKKEI 29310.00 0.82 24010.49 0.01 177.81 39031.06 219.51 12.29 269.86 NZD 622.40 0.69 426.88 1.00 426.88 39031.06 91.43 6.27 57.35 OAT 1302.10 0.58 755.49 1.10 829.98 39031.06 47.03 14.60 68.67 OJ 400.20 1.50 598.38 1.00 598.38 39031.06 65.23 -1.88 -12.24 PALLAD 1419.00 2.22 3156.42 1.00 3156.42 39031.06 12.37 -1.99 -2.46 PLAT 530.35 1.68 892.19 1.00 892.19 39031.06 43.75 8.75 38.29 REDWHEAT 389.00 1.98 769.57 1.00 769.57 39031.06 50.72 3.54 17.97 ROBUSTA 242.10 1.09 264.75 1.00 264.75 39031.06 147.43 12.18 179.55 RUSSELL 87.76 1.18 103.14 1.00 103.14 39031.06 378.44 0.02 0.85 SILVER-mini 647.50 1.24 801.42 1.00 801.42 39031.06 48.70 -5.27 -25.68 SOYBEAN 636.38 0.81 517.87 1.00 517.87 39031.06 75.37 2.06 15.56 SOYMEAL 419.20 1.10 461.92 1.00 461.92 39031.06 84.50 -0.53 -4.50 SOYOIL 313.62 1.45 454.94 1.00 454.94 39031.06 85.79 4.88 41.89 SP400 2480.70 1.01 2493.35 1.00 2493.35 39031.06 15.65 3.46 5.41 SP500 2066.50 0.77 1587.25 1.00 1587.25 39031.06 24.59 3.84 9.45 SUGAR11 281.34 1.56 439.72 1.00 439.72 39031.06 88.76 5.45 48.40 US10 1159.84 0.50 577.32 1.00 577.32 39031.06 67.61 -0.54 -3.68 US10U 1220.47 0.62 755.09 1.00 755.09 39031.06 51.69 -7.32 -37.83 US20 1319.69 0.82 1087.22 1.00 1087.22 39031.06 35.90 -6.00 -21.53 US30 1411.88 1.08 1526.81 1.00 1526.81 39031.06 25.56 2.41 6.15 US5 1104.38 0.38 419.24 1.00 419.24 39031.06 93.10 0.09 0.81 VIX 231.00 2.59 597.86 1.00 597.86 39031.06 65.28 -20.00 -130.57 WHEAT 334.25 1.76 589.28 1.00 589.28 39031.06 66.23 -8.35 -55.28 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 23.564 0.006 2.5 0.377 BITCOIN -235.996 0.009 2.5 -5.560 BOBL 107.210 0.029 2.5 7.736 BTP 57.800 0.008 2.5 1.167 BUND 63.227 0.029 2.5 4.562 BUXL -7.126 0.034 2.5 -0.598 CAC 97.117 0.011 2.5 2.730 CAD 87.782 0.007 2.5 1.567 CANOLA 613.184 0.004 2.5 5.629 CHF -58.145 0.015 2.5 -2.176 COCOA -96.722 0.009 2.5 -2.107 COFFEE 30.067 0.005 2.5 0.390 COPPER 11.738 0.011 2.5 0.321 CORN 183.828 0.004 2.5 1.658 COTTON2 44.528 0.006 2.5 0.670 CRUDE_W 5.985 0.053 2.5 0.791 DAX 68.896 0.022 2.5 3.742 DOW 94.422 0.011 2.5 2.691 EUR -46.174 0.015 2.5 -1.728 EUROSTX 8.792 0.011 2.5 0.247 FEEDCOW -39.559 0.011 2.5 -1.063 FTSE100 45.067 0.041 2.5 4.646 GASOIL -10.455 0.029 2.5 -0.746 GASOILINE -9.547 0.016 2.5 -0.392 GAS_US -64.261 0.006 2.5 -0.968 GBP 85.990 0.007 2.5 1.535 GOLD_micro -236.440 0.009 2.5 -5.290 HEATOIL -5.627 0.029 2.5 -0.401 JPY -55.486 0.026 2.5 -3.592 LEANHOG -125.972 0.019 2.5 -5.885 LIVECOW 145.361 0.011 2.5 3.906 MXP 314.221 0.005 2.5 3.847 NASDAQ 8.812 0.022 2.5 0.479 NIKKEI 269.859 0.076 2.5 51.255 NZD 57.351 0.006 2.5 0.916 OAT 68.674 0.008 2.5 1.387 OJ -12.239 0.007 2.5 -0.213 PALLAD -2.456 0.010 2.5 -0.059 PLAT 38.285 0.010 2.5 0.921 REDWHEAT 17.968 0.002 2.5 0.096 ROBUSTA 179.551 0.005 2.5 2.328 RUSSELL 0.846 0.021 2.5 0.044 SILVER-mini -25.677 0.009 2.5 -0.575 SOYBEAN 15.560 0.024 2.5 0.917 SOYMEAL -4.496 0.024 2.5 -0.265 SOYOIL 41.891 0.004 2.5 0.385 SP400 5.411 0.021 2.5 0.280 SP500 9.450 0.011 2.5 0.269 SUGAR11 48.401 0.005 2.5 0.657 US10 -3.679 0.015 2.5 -0.141 US10U -37.830 0.058 2.5 -5.512 US20 -21.528 0.029 2.5 -1.587 US30 6.148 0.034 2.5 0.516 US5 0.810 0.015 2.5 0.031 VIX -130.569 0.075 2.5 -24.606 WHEAT -55.279 0.002 2.5 -0.295 ==================== Position diags ==================== AUD 1.37 BITCOIN 9.45 BOBL 5.89 BTP 1.01 BUND 3.17 BUXL 1.61 CAC 1.76 CAD 2.22 CANOLA 2.81 CHF 2.15 COCOA 2.59 COFFEE 0.38 COPPER 0.94 CORN 1.24 COTTON2 0.86 CRUDE_W 3.52 DAX 15.48 DOW 9.27 EUR 2.18 EUROSTX 2.70 FEEDCOW 1.37 FTSE100 6.04 GASOIL 2.08 GASOILINE 0.78 GAS_US 0.58 GBP 1.64 GOLD_micro 5.17 HEATOIL 1.58 JPY 3.90 LEANHOG 3.35 LIVECOW 2.64 MXP 2.69 NASDAQ 0.91 NIKKEI 41.69 NZD 1.46 OAT 0.95 OJ 1.14 PALLAD 0.30 PLAT 1.05 REDWHEAT 0.27 ROBUSTA 1.91 RUSSELL 19.60 SILVER-mini 1.09 SOYBEAN 4.44 SOYMEAL 4.98 SOYOIL 0.79 SP400 0.81 SP500 0.70 SUGAR11 1.20 US10 2.59 US10U 7.53 US20 2.65 US30 2.15 US5 3.57 VIX 12.30 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.2 0.5 0.0 0 BITCOIN -5.6 -6.5 -4.6 -15.0 -15 BOBL 7.7 7.1 8.3 0.0 0 BTP 1.2 1.1 1.3 3.0 3 BUND 4.6 4.2 4.9 6.0 6 BUXL -0.6 -0.8 -0.4 0.0 0 CAC 2.7 2.6 2.9 3.0 3 CAD 1.6 1.3 1.8 0.0 0 CANOLA 5.6 5.3 5.9 NaN 0 CHF -2.2 -2.4 -2.0 -2.0 -2 COCOA -2.1 -2.4 -1.8 -5.0 -5 COFFEE 0.4 0.4 0.4 1.0 1 COPPER 0.3 0.2 0.4 0.0 0 CORN 1.7 1.5 1.8 5.0 5 COTTON2 0.7 0.6 0.8 1.0 1 CRUDE_W 0.8 0.4 1.1 2.0 2 DAX 3.7 2.2 5.3 2.0 2 DOW 2.7 1.8 3.6 2.0 2 EUR -1.7 -1.9 -1.5 -1.0 -1 EUROSTX 0.2 -0.0 0.5 0.0 0 FEEDCOW -1.1 -1.2 -0.9 -1.0 -1 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL -0.7 -1.0 -0.5 0.0 0 GASOILINE -0.4 -0.5 -0.3 0.0 0 GAS_US -1.0 -1.0 -0.9 -2.0 -2 GBP 1.5 1.4 1.7 9.0 9 GOLD_micro -5.3 -5.8 -4.8 -11.0 -11 HEATOIL -0.4 -0.6 -0.2 -1.0 -1 JPY -3.6 -4.0 -3.2 -10.0 -10 LEANHOG -5.9 -6.2 -5.6 -7.0 -7 LIVECOW 3.9 3.6 4.2 0.0 0 MXP 3.8 3.6 4.1 0.0 0 NASDAQ 0.5 0.4 0.6 0.0 0 NIKKEI 51.3 47.1 55.4 0.0 0 NZD 0.9 0.8 1.1 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 2.3 2.1 2.5 2.0 2 RUSSELL 0.0 -1.9 2.0 -70.0 -70 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 0.9 0.5 1.4 0.0 0 SOYMEAL -0.3 -0.8 0.2 0.0 0 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.3 0.2 0.4 8.0 8 SP500 0.3 0.2 0.3 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.1 -0.4 0.1 NaN 0 US10U -5.5 -6.3 -4.8 -6.0 -6 US20 -1.6 -1.9 -1.3 0.0 0 US30 0.5 0.3 0.7 0.0 0 US5 0.0 -0.3 0.4 -2.0 -2 VIX -24.6 -25.8 -23.4 -22.0 -22 WHEAT -0.3 -0.3 -0.3 -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 0.1 -0.0 0.1 -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 1.2 -4.8 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.4 -0.3 0.2 BOBL -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 0.9 0.3 0.1 0.1 -0.0 -0.1 0.0 -0.2 0.0 1.4 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 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.1 0.0 -0.2 0.0 0.1 0.7 0.5 0.2 0.2 0.0 0.0 0.0 -0.1 0.0 -1.2 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 2.7 0.1 0.0 -0.2 0.1 BUND -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 -0.0 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 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.1 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 -0.0 -0.2 -0.1 CAC 0.2 0.3 0.2 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.4 0.0 0.3 0.1 0.3 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 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -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 -0.3 -0.2 -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 4.4 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 0.1 0.3 0.1 0.1 0.0 0.1 0.1 -0.0 0.1 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 0.1 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 -1.6 0.0 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 -0.5 -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 -0.0 -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 0.5 0.7 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 2.6 -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 2.3 3.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.8 0.0 0.1 0.1 -0.1 CRUDE_W -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 0.0 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 0.1 -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 -0.1 -0.0 -0.1 EUR 0.1 0.2 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 0.3 0.0 0.0 0.1 0.3 -0.5 -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 0.3 -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 0.0 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 2.0 -0.1 -0.1 -0.1 -0.1 GASOILINE -0.2 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 0.0 0.1 0.2 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 -0.7 -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 0.4 -0.0 -0.2 GBP 0.0 0.2 0.2 0.1 0.0 0.1 0.1 -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 0.2 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.3 -0.0 0.1 0.0 0.3 -1.0 -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 0.1 -0.2 0.1 0.1 HEATOIL -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 0.2 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 -0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -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 -0.2 -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 0.0 0.1 0.1 -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 0.1 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 1.5 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 0.0 0.1 0.0 0.1 0.0 2.2 0.0 0.1 -0.2 0.3 NASDAQ -0.1 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 -0.5 0.2 -0.1 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 -0.0 -0.0 -0.1 0.1 0.0 0.1 0.1 -0.0 0.0 0.0 0.2 -0.0 -0.0 -0.0 -0.2 0.1 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.6 2.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.8 -0.0 -0.3 -0.2 -0.2 OAT -0.1 0.1 -0.0 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 -0.1 0.0 0.0 -0.0 0.0 -0.2 -0.3 PLAT 0.2 0.2 -0.0 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 -0.0 -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 0.1 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 -2.0 2.1 0.1 0.0 0.1 0.0 0.0 0.0 0.9 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 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.4 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 -0.0 -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 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.1 -0.3 -0.3 SOYMEAL -0.2 -0.3 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 0.2 -0.0 0.3 -0.1 -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 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.0 -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 0.6 -0.0 -0.2 -0.3 -0.3 SP400 0.0 -0.1 -0.1 0.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 1.1 2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.3 -0.3 SP500 0.0 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 0.3 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 0.1 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.4 0.0 0.3 0.0 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 0.1 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 -0.2 0.0 0.2 -0.6 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.6 -2.9 0.1 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.1 US20 -0.1 0.1 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 -0.3 -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 -0.1 -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 -0.0 -0.0 -0.1 -0.2 0.0 US5 -0.0 0.2 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.1 0.0 -0.3 0.0 0.2 -0.8 -0.3 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.0 -0.1 2.4 0.1 0.0 0.0 0.0 -0.0 0.0 -1.6 0.0 0.0 0.1 0.0 VIX -0.1 -0.3 0.4 -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 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -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 1.8 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.2 -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 0.3 -4.1 -6.4 3.9 4.3 2.8 2.8 -0.1 3.5 -1.1 0.1 -7.4 -5.3 -6.4 -12.2 -3.8 -3.1 -3.7 -3.5 -7.0 -6.0 -2.9 -6.6 -5.8 13.2 11.7 -2.8 2.8 -2.9 -1.0 -3.9 -2.1 -0.9 -13.6 -11.2 -19.7 -15.3 BITCOIN -8.6 12.3 20.0 4.2 1.3 3.5 1.5 2.5 3.4 -0.7 13.2 -3.8 -7.4 10.6 12.8 -3.9 -2.1 -3.5 -2.7 11.9 12.2 -1.4 1.1 4.1 5.3 -18.1 3.9 -1.2 5.1 -1.4 2.0 0.3 0.6 -8.3 -18.6 -16.7 13.9 BOBL -5.3 4.8 10.6 3.1 3.5 1.5 2.2 -2.5 2.5 11.9 -6.0 3.9 -12.6 4.4 3.3 10.5 6.3 5.3 4.4 -0.0 -6.0 10.7 -15.0 3.6 9.6 10.8 2.7 4.4 -0.6 4.0 -6.8 3.2 10.8 4.5 1.6 1.7 -3.3 BTP -8.2 3.4 3.3 3.1 3.5 1.5 2.2 -2.5 2.5 13.8 6.1 1.9 -8.4 4.5 4.2 8.5 11.7 8.7 10.3 2.2 1.1 10.1 -8.8 2.9 -9.7 11.4 3.9 11.1 3.0 7.1 -3.2 3.7 20.0 3.9 2.0 -12.8 4.9 BUND -6.1 3.5 5.4 3.1 3.5 1.5 2.2 -2.5 2.5 12.3 -7.1 2.2 -13.0 2.7 -0.4 6.5 12.6 7.8 9.9 -1.3 -6.9 9.6 -16.5 2.2 7.4 12.3 2.5 4.9 -0.4 4.0 -6.9 2.8 20.0 2.4 -0.0 -5.4 -2.8 BUXL -6.7 -1.1 1.2 3.1 3.5 1.5 2.2 -2.5 2.5 10.4 -10.1 0.1 -13.7 -3.7 -6.2 1.6 0.9 2.1 2.3 -5.4 -10.3 6.6 -18.6 -1.0 8.2 -10.8 0.5 3.1 -1.7 2.4 -6.3 1.2 4.6 -2.3 -2.4 -13.0 -10.2 CAC 13.7 15.7 12.5 3.6 -1.4 3.2 0.1 1.7 2.5 -7.5 15.6 3.8 13.1 13.1 14.1 18.5 4.4 11.4 6.2 19.0 20.0 -0.4 20.0 11.9 -15.6 8.9 5.2 3.8 6.3 3.8 6.1 4.6 16.2 12.2 6.0 -5.6 5.5 CAD -2.3 9.3 1.2 3.9 4.3 2.8 2.8 -0.1 3.5 -7.6 -4.8 -10.6 -9.9 1.0 0.4 -2.9 -2.0 -2.8 -2.5 -1.4 -4.2 -8.0 -9.3 -4.1 18.2 10.4 0.3 -3.2 -1.2 -3.6 -3.8 -1.2 0.9 -20.0 -13.9 -11.0 -8.7 CANOLA -1.7 -5.6 -19.3 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -4.6 -11.6 -11.2 -13.0 -12.1 -12.4 20.0 19.5 20.0 20.0 -20.0 -20.0 -14.9 -14.6 -19.1 19.2 13.2 -6.0 -1.0 -5.9 -3.1 -3.7 -4.6 20.0 -4.7 -12.9 -20.0 -20.0 CHF 11.4 16.6 7.8 3.9 4.3 2.8 2.8 -0.1 3.5 7.3 13.9 9.6 8.0 13.3 12.6 -14.5 -14.1 -14.3 -14.5 15.8 13.0 8.8 6.8 14.0 -7.0 -11.5 5.5 3.6 4.2 2.9 1.6 4.8 -19.8 6.9 17.7 16.9 7.1 COCOA -1.5 16.8 18.8 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -13.5 14.9 -4.1 8.9 12.0 13.5 1.3 -0.9 1.7 0.8 18.2 19.8 -5.3 13.1 8.4 -20.0 -10.4 5.6 -5.4 6.3 -2.0 4.6 2.4 -11.5 5.6 20.0 20.0 20.0 COFFEE 9.1 11.3 16.3 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -13.6 -0.7 -4.7 -5.5 2.6 9.5 8.1 4.2 5.8 4.9 9.2 4.1 -6.3 -3.2 4.1 5.5 10.0 3.7 -3.9 1.9 -2.0 -0.5 2.0 -3.5 -5.5 20.0 20.0 20.0 COPPER -11.7 -6.8 1.5 4.2 1.3 3.5 1.5 2.5 3.4 -12.5 7.2 -12.7 -1.9 -10.1 -5.9 -1.3 -0.6 -1.0 -0.9 -5.8 2.2 -16.0 2.4 -13.2 5.7 11.1 -3.5 -6.2 -0.5 -7.1 0.7 -6.0 3.2 -20.0 -20.0 -20.0 -19.8 CORN -7.9 -1.4 -20.0 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -9.1 -12.6 -13.5 -5.1 -14.2 -14.7 6.8 17.9 13.7 17.0 -19.4 -15.5 -20.0 -6.0 -20.0 19.3 11.0 -6.0 -4.4 -5.3 -7.0 -2.8 -6.7 18.8 -20.0 -20.0 -20.0 -20.0 COTTON2 -2.4 1.8 -1.8 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -7.4 -8.9 -8.3 -11.8 -3.8 -6.3 -4.0 6.6 -3.3 -0.4 -6.1 -9.3 -7.2 -10.7 -6.3 9.1 12.0 -3.0 -5.7 -3.5 -4.2 -1.9 -3.3 -5.8 0.0 10.5 1.8 -2.0 CRUDE_W -7.0 5.2 -6.8 -3.8 -11.3 -2.4 -9.3 -0.0 -6.4 -13.4 1.9 -12.6 -3.7 -0.6 1.7 8.6 11.2 8.7 9.3 -3.3 -2.2 -20.0 0.6 -10.6 -11.0 10.8 -1.4 -14.1 -0.6 -9.6 1.5 -4.4 -6.0 -1.0 10.7 12.4 7.6 DAX 8.8 9.8 12.2 3.6 -1.4 3.2 0.1 1.7 2.5 -0.4 15.8 5.9 10.0 14.0 14.6 -7.7 -6.1 -7.9 -7.6 13.8 17.7 1.7 14.4 8.7 -17.8 9.9 5.1 7.7 6.8 5.9 5.6 4.8 -3.7 14.8 3.9 -6.0 2.6 DOW 8.8 10.2 -2.8 3.6 -1.4 3.2 0.1 1.7 2.5 -2.4 8.7 1.9 2.8 11.6 5.6 -8.4 -5.6 -7.9 -7.3 6.1 3.5 0.2 1.9 6.3 -0.4 10.8 3.3 -3.6 2.8 -0.5 2.2 2.4 -3.0 -1.0 -4.1 -1.2 -9.8 EUR 5.3 12.8 9.9 3.9 4.3 2.8 2.8 -0.1 3.5 7.4 13.9 9.4 1.2 13.6 12.1 -6.8 -8.3 -7.1 -7.7 12.7 12.1 5.7 3.7 10.1 -13.0 -11.1 5.6 2.1 4.9 2.5 1.1 4.6 -9.1 2.9 8.5 8.5 6.6 EUROSTX 7.7 12.3 11.7 3.6 -1.4 3.2 0.1 1.7 2.5 -7.1 15.8 -1.3 13.0 13.1 14.3 -4.2 4.1 0.3 2.8 15.1 19.9 -2.8 18.0 7.6 -17.4 -8.5 5.1 3.7 7.1 3.1 6.9 3.9 14.2 9.6 0.2 -5.9 1.7 FEEDCOW 5.3 15.4 20.0 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -11.6 14.1 2.9 10.8 11.9 14.7 -20.0 -20.0 -20.0 -20.0 20.0 20.0 -2.1 13.4 17.9 -20.0 12.2 5.9 -5.9 5.6 -0.6 3.8 3.8 -20.0 18.8 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 -18.4 -12.0 -18.2 -3.8 -11.3 -2.4 -9.3 -0.0 -6.4 -14.1 -14.1 -15.7 4.0 -15.3 -14.9 4.3 20.0 13.8 19.7 -20.0 -14.2 -20.0 0.1 -20.0 4.6 -15.4 -5.5 -11.5 -4.2 -10.2 -1.1 -7.7 15.0 -8.6 -7.0 -5.4 -7.3 GASOILINE -17.3 0.8 -2.2 -3.8 -11.3 -2.4 -9.3 -0.0 -6.4 -13.6 4.9 -14.4 1.2 -6.0 -0.7 20.0 15.2 17.7 13.2 -3.4 1.1 -20.0 5.7 -13.8 -20.0 -13.1 -1.5 -13.8 1.2 -10.2 4.4 -5.8 -0.1 0.8 1.6 11.4 17.3 GAS_US 9.6 -9.0 -20.0 -3.8 -11.3 -2.4 -9.3 -0.0 -6.4 -13.8 -16.6 -9.6 -14.8 -13.6 -15.3 -20.0 -15.7 -20.0 -20.0 -20.0 -20.0 -10.4 -20.0 -11.7 20.0 -9.3 -6.3 -6.1 -7.5 -4.4 -4.6 -4.6 -20.0 20.0 19.6 -1.9 -17.2 GBP 2.0 14.4 9.8 3.9 4.3 2.8 2.8 -0.1 3.5 6.1 14.7 7.2 0.2 13.9 13.3 -1.5 -1.9 -1.7 -1.9 12.2 10.0 6.8 0.8 10.1 3.4 9.4 5.2 2.7 3.0 3.2 -2.0 4.8 1.4 3.9 3.1 8.9 2.5 GOLD_micro -5.7 14.6 10.5 4.2 1.3 3.5 1.5 2.5 3.4 11.1 12.7 -3.9 4.0 10.1 10.6 -12.1 -11.0 -12.0 -12.0 13.7 15.4 5.2 10.0 7.2 -4.3 -13.8 5.0 4.0 5.3 2.1 3.6 3.0 -15.3 8.4 -8.0 8.4 6.9 HEATOIL -14.5 -10.8 -18.0 -3.8 -11.3 -2.4 -9.3 -0.0 -6.4 -13.8 -13.3 -15.0 2.9 -14.3 -14.3 2.6 20.0 14.0 20.0 -18.5 -13.8 -20.0 -0.1 -20.0 -1.6 -13.6 -5.2 -10.9 -3.2 -9.5 1.1 -7.3 20.0 -7.1 -8.3 -6.3 -6.0 JPY -15.0 -5.3 -1.1 3.9 4.3 2.8 2.8 -0.1 3.5 -3.9 3.3 -11.0 -7.0 -9.1 -10.1 -16.3 -13.5 -15.5 -14.9 -8.8 -3.8 -15.8 -8.1 -14.0 2.5 9.9 -2.1 -6.0 -0.4 -8.1 -4.4 -5.4 -19.6 -20.0 -20.0 -12.6 -13.5 LEANHOG 11.0 -18.2 -20.0 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -3.9 -14.6 -0.7 -12.4 -11.7 -14.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -2.5 -15.8 -10.1 20.0 -11.1 -5.6 -2.0 -6.3 -0.5 -4.5 -2.6 -20.0 20.0 5.2 -20.0 -20.0 LIVECOW 5.0 6.5 9.4 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -12.7 13.6 -0.9 11.0 10.9 12.2 20.0 7.0 20.0 20.0 12.5 12.6 -9.2 9.4 6.0 -20.0 12.0 4.2 -9.5 4.8 -3.6 4.5 1.7 20.0 5.8 20.0 19.9 20.0 MXP 6.9 14.5 6.1 3.9 4.3 2.8 2.8 -0.1 3.5 13.2 15.8 14.5 15.6 15.8 15.9 19.4 20.0 19.4 20.0 18.4 20.0 10.7 20.0 13.3 -20.0 9.7 6.1 5.1 8.7 4.2 9.6 4.3 20.0 6.6 2.9 -15.4 18.8 NASDAQ -4.0 17.4 20.0 3.6 -1.4 3.2 0.1 1.7 2.5 3.6 10.5 5.3 -5.5 12.8 14.5 -9.0 -6.1 -8.2 -7.4 16.3 14.3 5.0 1.8 10.1 -3.7 10.2 5.7 0.3 5.9 1.8 3.1 3.4 -3.5 9.8 -5.7 17.3 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 -4.7 -3.1 -4.1 3.9 4.3 2.8 2.8 -0.1 3.5 12.7 6.2 -3.4 -1.6 -4.3 -9.9 1.3 0.7 1.0 0.7 -4.3 -2.2 2.5 -3.7 -3.2 4.2 10.8 -1.2 7.3 -0.6 2.6 -2.1 -0.4 5.8 -2.5 -14.3 -14.1 -13.7 OAT -5.7 3.4 -0.2 3.1 3.5 1.5 2.2 -2.5 2.5 12.0 -7.1 1.1 -12.9 3.3 -2.7 11.1 12.1 10.8 11.5 -2.0 -6.9 8.4 -15.7 1.7 5.4 12.7 2.1 5.1 -0.6 4.1 -6.9 2.7 20.0 2.0 0.9 -8.5 -4.0 OJ -0.1 20.0 8.8 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -12.0 15.4 -4.4 15.5 11.4 14.3 20.0 20.0 20.0 20.0 20.0 20.0 1.2 20.0 16.1 -20.0 -14.3 6.2 -1.0 8.4 0.0 9.1 2.9 20.0 20.0 20.0 20.0 20.0 PALLAD 15.7 14.3 -13.4 4.2 1.3 3.5 1.5 2.5 3.4 -14.0 -13.3 -9.6 -14.2 -0.8 -7.7 -3.7 -2.4 -3.2 -2.9 -6.0 -16.9 -14.8 -20.0 -4.1 20.0 -11.1 0.5 -7.7 -2.6 -4.6 -4.1 0.2 0.0 -20.0 0.5 -15.8 -20.0 PLAT 17.1 15.2 -2.7 4.2 1.3 3.5 1.5 2.5 3.4 -12.8 8.3 1.1 3.7 8.0 7.2 -2.5 -1.6 -2.4 -2.0 12.8 8.4 -1.0 4.6 11.4 0.8 11.2 4.3 -3.6 2.6 -0.1 1.2 4.0 1.5 -11.8 15.5 -1.4 -16.5 REDWHEAT -17.1 7.4 0.5 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -4.8 -10.1 -11.9 -12.0 -8.4 -5.1 6.4 5.4 8.5 7.8 -9.5 -7.6 -20.0 -6.1 -17.1 0.5 12.9 -4.0 -3.6 -2.5 -7.9 -0.8 -6.7 1.4 -20.0 -20.0 -0.0 -3.7 ROBUSTA 20.0 20.0 20.0 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 5.0 12.6 12.4 7.7 15.0 15.9 11.7 10.2 11.2 10.9 20.0 20.0 16.5 15.6 20.0 -12.1 9.6 6.3 0.4 4.8 2.5 2.6 5.1 6.7 20.0 20.0 20.0 20.0 RUSSELL 1.3 -10.8 -4.8 3.6 -1.4 3.2 0.1 1.7 2.5 -7.2 -6.8 -7.8 -9.6 -11.5 -12.6 -5.7 -4.5 -5.7 -5.5 -10.3 -8.4 -8.9 -7.5 -9.3 10.9 10.0 -4.3 -3.4 -2.2 -4.3 -0.9 -4.7 -0.6 -12.7 -20.0 -20.0 -17.7 SILVER-mini 7.0 20.0 6.0 4.2 1.3 3.5 1.5 2.5 3.4 11.8 11.9 -1.0 3.0 12.6 12.2 -6.6 -5.2 -6.2 -5.9 20.0 16.0 7.4 7.8 15.5 -4.5 -11.3 4.5 2.6 3.2 1.9 1.1 3.6 -4.9 3.8 -1.8 11.1 -10.6 SOYBEAN -8.0 -16.0 -18.1 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -4.8 -8.4 -9.5 -4.4 -11.6 -11.2 20.0 20.0 20.0 20.0 -18.4 -14.4 -12.6 -5.2 -17.5 2.7 -11.7 -5.6 -0.6 -4.3 -3.2 -0.9 -4.9 20.0 -2.2 -7.5 -20.0 -20.0 SOYMEAL -14.6 -20.0 0.1 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -13.3 7.3 -13.7 10.5 -13.0 -9.3 20.0 20.0 20.0 20.0 -9.5 4.9 -19.6 15.0 -18.2 -20.0 -12.0 -3.8 -5.7 1.0 -6.5 5.6 -6.2 20.0 -10.7 -3.8 -15.4 1.5 SOYOIL -7.5 -15.8 -20.0 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -3.5 -13.3 -8.9 -7.0 -12.5 -13.6 5.8 11.6 4.1 6.4 -20.0 -20.0 -12.5 -10.3 -19.2 9.9 12.9 -6.2 -0.2 -5.7 -3.2 -2.5 -5.0 4.3 -1.6 -8.2 -20.0 -20.0 SP400 3.3 -7.8 -4.9 3.6 -1.4 3.2 0.1 1.7 2.5 0.2 0.5 -1.1 -1.8 -2.7 -7.7 -5.5 -4.3 -5.4 -5.1 -5.9 -3.6 -3.8 -1.2 -4.4 6.8 10.2 -3.5 -1.6 -1.5 -2.5 0.4 -3.3 -0.0 -4.9 -17.2 -20.0 -17.5 SP500 3.8 11.8 8.9 3.6 -1.4 3.2 0.1 1.7 2.5 -0.0 9.6 3.2 -4.3 12.4 10.9 -9.0 -6.4 -8.3 -7.6 8.8 6.2 1.0 0.1 6.6 2.2 10.2 4.5 -2.4 4.1 0.1 1.7 2.7 -3.8 -0.7 -4.9 3.0 1.2 SUGAR11 10.4 19.6 18.1 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -1.1 15.8 8.7 13.9 13.8 15.6 8.8 20.0 18.0 20.0 20.0 20.0 16.5 19.1 20.0 -20.0 -10.5 6.1 -0.6 5.3 2.8 4.0 5.5 20.0 20.0 20.0 20.0 20.0 US10 -4.9 12.0 15.3 3.1 3.5 1.5 2.2 -2.5 2.5 11.5 4.7 1.5 -9.7 10.0 9.7 -10.5 -5.4 -9.6 -8.6 5.7 1.7 6.3 -8.2 5.2 -2.6 9.7 4.5 4.6 2.9 3.0 -1.7 3.6 -10.7 4.3 3.3 5.8 3.9 US10U -5.9 10.5 14.5 3.1 3.5 1.5 2.2 -2.5 2.5 11.2 4.5 -0.2 -9.8 8.5 8.8 -7.3 0.3 -3.9 -2.1 4.6 1.1 4.8 -8.6 3.9 -4.5 -14.1 4.6 4.0 3.4 2.6 -1.1 3.3 0.1 2.1 1.1 0.8 4.8 US20 -7.9 9.4 14.6 3.1 3.5 1.5 2.2 -2.5 2.5 8.2 5.9 -2.9 -8.4 7.2 8.5 -1.4 -1.5 -2.3 -2.6 4.0 1.2 2.9 -8.0 2.6 -1.6 -12.3 4.1 3.0 2.9 1.8 -1.6 2.7 -2.1 -1.0 -1.8 -1.6 2.4 US30 -7.4 5.4 12.3 3.1 3.5 1.5 2.2 -2.5 2.5 6.4 3.8 -4.9 -10.1 2.3 3.1 -1.9 -0.8 -1.4 -1.3 0.9 -1.5 0.8 -11.3 -0.1 -3.9 10.0 3.5 2.4 2.8 1.1 -2.3 1.9 -0.3 -4.6 -3.5 -12.3 0.5 US5 -3.6 12.4 18.3 3.1 3.5 1.5 2.2 -2.5 2.5 11.9 4.4 4.0 -9.9 11.0 10.3 -10.4 -5.9 -10.0 -9.2 6.3 1.8 7.6 -8.2 6.2 -0.9 10.8 4.3 4.8 2.4 3.3 -2.5 3.7 -11.7 7.2 4.4 9.4 1.8 VIX -6.1 -6.2 5.7 -3.4 0.7 -6.8 -0.6 -8.5 -1.6 -0.6 -14.1 -4.7 -13.9 -12.2 -11.7 -20.0 -20.0 -20.0 -20.0 -8.6 -12.8 -2.5 -15.5 -6.0 NaN -13.5 -4.0 0.9 -8.8 -0.6 -11.8 -1.7 NaN NaN NaN NaN NaN WHEAT -8.2 -0.5 -5.7 -4.2 -9.1 -3.1 -8.9 -2.0 -6.5 -5.6 -15.0 -12.1 -15.2 -13.7 -14.3 -12.8 -9.1 -12.3 -11.1 -20.0 -19.5 -20.0 -16.2 -20.0 11.9 11.9 -5.7 -2.4 -4.6 -6.4 -2.7 -6.7 -20.0 -20.0 -20.0 -17.9 -18.8 End of report for caleb_strategy_v1