******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230504_204649 produced at 2023-05-04 21:37:30.752657 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.30 -0.27 0.0 4.950166e+07 -4.950166e+07 -0.30 -0.30 -5.44 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.19 -0.23 0.0 9.749886e+06 -9.749886e+06 -0.19 -0.20 -23.78 999999999.0 -19 -21 caleb_strategy_v1 JPY False False 0.04 -0.38 -0.12 0.0 3.792493e+07 -3.792493e+07 -0.38 -0.38 -3.21 999999999.0 -10 -10 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.12 0.0 5.738425e+07 -5.738425e+07 -0.11 -0.11 -2.12 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.06 -0.11 -0.10 0.0 5.585957e+07 -5.585957e+07 -0.11 -0.11 -1.73 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.341451e+07 -5.341451e+07 0.00 0.00 -1.54 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.08 0.0 1.427691e+07 -1.427691e+07 -0.10 -0.10 -5.92 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.511345e+07 -4.511345e+07 -0.05 -0.05 -1.10 999999999.0 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.07 -0.04 0.0 8.316127e+06 -8.316127e+06 -0.07 -0.05 -4.88 999999999.0 -8 -6 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.292472e+07 -6.292472e+07 0.00 0.00 -0.57 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 3.819520e+07 -3.819520e+07 -0.08 -0.08 -0.44 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 3.816971e+07 -3.816971e+07 0.00 0.00 -0.42 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.180100e+07 -1.180100e+07 -0.06 -0.06 -2.07 999999999.0 -5 -5 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.611432e+07 -2.611432e+07 -0.03 -0.03 -0.76 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.672622e+07 -2.672622e+07 0.00 0.00 -0.52 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 -0.01 0.0 1.690655e+07 -1.690655e+07 0.00 0.00 -0.45 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.172009e+06 -1.172009e+06 -0.02 -0.02 -5.38 999999999.0 -17 -17 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.264415e+06 -9.264415e+06 -0.02 -0.02 -0.97 999999999.0 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.09 -0.01 0.0 3.487101e+06 -3.487101e+06 -0.09 -0.24 -1.49 999999999.0 -25 -70 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.600033e+07 -1.600033e+07 0.00 0.00 0.11 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.853977e+07 -5.853977e+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 1.631184e+07 -1.631184e+07 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.00 0.0 4.711223e+07 -4.711223e+07 0.00 0.00 -0.10 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.04 0.00 0.0 4.487135e+07 -4.487135e+07 -0.04 0.00 0.09 999999999.0 -1 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.361343e+07 -1.361343e+07 -0.05 -0.05 -0.29 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.914106e+07 -1.914106e+07 0.00 0.00 0.17 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.712774e+07 -2.712774e+07 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.01 0.01 0.0 6.722567e+06 -6.722567e+06 0.01 0.01 1.57 999999999.0 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.157235e+07 -1.157235e+07 0.01 0.01 0.67 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.266110e+07 -1.266110e+07 0.00 0.00 0.41 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.787668e+07 -2.787668e+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 3.903494e+07 -3.903494e+07 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.653840e+07 -1.653840e+07 0.02 0.02 0.62 999999999.0 1 1 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.242396e+07 -8.242396e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.78 0.02 0.0 9.780633e+07 -9.780633e+07 0.78 0.78 0.23 999999999.0 8 8 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.562885e+07 -2.562885e+07 0.00 0.00 0.93 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.256016e+06 -4.256016e+06 0.00 0.00 5.78 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.130006e+07 -2.130006e+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 9.762023e+06 -9.762023e+06 0.02 0.02 2.30 999999999.0 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 2.708931e+07 -2.708931e+07 0.05 0.08 0.56 999999999.0 2 3 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.542657e+07 -2.542657e+07 0.00 0.00 0.98 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.068543e+07 -1.068543e+07 0.05 0.05 1.65 999999999.0 5 5 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.699233e+07 -5.699233e+07 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.03 0.0 7.114341e+06 -7.114341e+06 0.01 0.01 3.52 999999999.0 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.119619e+07 -1.119619e+07 0.00 0.00 3.97 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.29 0.05 0.0 3.184137e+07 -3.184137e+07 0.29 0.32 1.55 999999999.0 9 10 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.05 0.0 1.057762e+08 -1.057762e+08 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.991920e+07 -2.991920e+07 0.00 0.00 1.55 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.16 0.06 0.0 5.180955e+07 -5.180955e+07 0.16 0.16 1.20 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.866069e+07 -5.866069e+07 0.00 0.00 1.44 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.09 0.0 3.285232e+07 -3.285232e+07 0.03 0.07 2.65 999999999.0 1 2 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.578663e+07 -2.578663e+07 0.00 0.00 3.79 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.04 0.00 0.17 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.60 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.37 0.29 0.0 6.134196e+07 -6.134196e+07 0.37 0.43 4.72 999999999.0 6 7 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.42 0.0 0.000000e+00 0.000000e+00 0.00 0.00 49.04 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.43 0.0 5.330711e+07 -5.330711e+07 0.00 0.00 8.02 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 17.2 Shocked risk 53.1 Sum abs risk 47.9 Leverage 3.39 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2471823.71, 'annual_cash_vol_target': 617955.9275, 'daily_cash_vol_target': 38622.24546875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6706 0.6677 10.6837 BITCOIN 953.5137 28970.0000 3.2914 52.6621 BOBL 0.4346 118.8900 0.3656 5.8489 BTP 0.6898 115.5500 0.5970 9.5521 BUND 0.7891 136.8100 0.5768 9.2283 BUXL 1.7978 140.3400 1.2810 20.4963 CAC 56.4305 7327.0000 0.7702 12.3227 CAD 0.0032 0.7396 0.4321 6.9135 CANOLA 8.3514 715.0000 1.1680 18.6884 CHF 0.0055 1.1348 0.4878 7.8047 COCOA 33.5108 2917.0000 1.1488 18.3810 COFFEE 3.4307 183.7500 1.8670 29.8724 COPPER 0.0446 3.8595 1.1553 18.4846 CORN 5.6087 528.2500 1.0617 16.9880 COTTON2 1.4728 81.7600 1.8014 28.8223 CRUDE_W 1.4630 66.9600 2.1849 34.9577 DAX 122.0158 15867.0000 0.7690 12.3039 DOW 245.3954 33234.0000 0.7384 11.8142 EUR 0.0054 1.1046 0.4930 7.8874 EUROSTX 36.0306 4269.0000 0.8440 13.5041 FEEDCOW 1.5233 223.0250 0.6830 10.9282 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.5139 645.5000 2.0936 33.4969 GASOILINE 0.0487 2.2464 2.1683 34.6925 GAS_US 0.0998 2.2900 4.3572 69.7150 GBP 0.0068 1.2593 0.5393 8.6285 GOLD_micro 16.9367 2055.6000 0.8239 13.1829 HEATOIL 0.0427 2.2479 1.8997 30.3950 JPY 0.0001 0.0075 0.7195 11.5118 LEANHOG 1.3451 88.2250 1.5246 24.3931 LIVECOW 0.9808 159.3500 0.6155 9.8479 MXP 0.0003 0.0554 0.6240 9.9839 NASDAQ 115.4793 13073.0000 0.8833 14.1335 NIKKEI 246.1941 28665.0000 0.8589 13.7419 NZD 0.0043 0.6285 0.6915 11.0641 OAT 0.7347 130.8300 0.5615 8.9848 OJ 3.9598 268.8000 1.4731 23.5702 PALLAD 31.5924 1447.0000 2.1833 34.9329 PLAT 17.5257 1053.0000 1.6644 26.6297 REDWHEAT 15.3070 791.0000 1.9351 30.9623 ROBUSTA 26.0522 2413.0000 1.0797 17.2745 RUSSELL 19.7727 1723.9000 1.1470 18.3516 SILVER-mini 0.3275 26.4250 1.2394 19.8312 SOYBEAN 10.1629 1267.0000 0.8021 12.8340 SOYMEAL 4.5340 417.9000 1.0849 17.3590 SOYOIL 0.7469 52.1600 1.4319 22.9098 SP400 24.7871 2417.6000 1.0253 16.4044 SP500 32.0821 4074.7500 0.7873 12.5974 SUGAR11 0.3860 25.5400 1.5113 24.1800 US10 0.5793 116.4531 0.4975 7.9593 US10U 0.7535 122.3594 0.6158 9.8526 US20 1.0792 132.0312 0.8174 13.0783 US30 1.5204 140.8750 1.0793 17.2684 US5 0.4237 110.9141 0.3820 6.1116 VIX 0.6121 24.1000 2.5399 40.6383 WHEAT 11.4605 673.0000 1.7029 27.2463 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.55 0.67 447.75 1.00 447.75 38622.25 86.26 3.03 26.12 BITCOIN 28.97 3.29 95.35 1.00 95.35 38622.25 405.05 -5.64 -228.31 BOBL 1188.90 0.37 434.61 1.10 478.94 38622.25 80.64 13.78 111.12 BTP 1155.50 0.60 689.84 1.10 760.20 38622.25 50.81 11.73 59.57 BUND 1368.10 0.58 789.08 1.10 869.56 38622.25 44.42 14.72 65.37 BUXL 1403.40 1.28 1797.78 1.10 1981.16 38622.25 19.49 -3.50 -6.82 CAC 732.70 0.77 564.30 1.10 621.86 38622.25 62.11 15.16 94.13 CAD 739.55 0.43 319.56 1.00 319.56 38622.25 120.86 7.17 86.68 CANOLA 143.00 1.17 167.03 0.73 122.67 38622.25 314.85 20.00 629.69 CHF 1418.44 0.49 691.91 1.00 691.91 38622.25 55.82 -10.13 -56.52 COCOA 291.70 1.15 335.11 1.00 335.11 38622.25 115.25 -8.24 -94.96 COFFEE 689.06 1.87 1286.50 1.00 1286.50 38622.25 30.02 10.02 30.10 COPPER 964.88 1.16 1114.71 1.00 1114.71 38622.25 34.65 3.32 11.50 CORN 264.12 1.06 280.43 1.00 280.43 38622.25 137.72 13.31 183.29 COTTON2 408.80 1.80 736.41 1.00 736.41 38622.25 52.45 7.82 41.03 CRUDE_W 669.60 2.18 1462.98 1.00 1462.98 38622.25 26.40 1.60 4.23 DAX 158.67 0.77 122.02 1.10 134.46 38622.25 287.24 2.26 64.80 DOW 166.17 0.74 122.70 1.00 122.70 38622.25 314.78 1.75 55.04 EUR 1380.75 0.49 680.66 1.00 680.66 38622.25 56.74 -8.14 -46.16 EUROSTX 426.90 0.84 360.31 1.10 397.06 38622.25 97.27 0.63 6.15 FEEDCOW 1115.12 0.68 761.64 1.00 761.64 38622.25 50.71 -8.06 -40.88 FTSE100 707.00 0.82 576.59 1.25 666.67 38622.25 57.93 7.70 44.59 GASOIL 645.50 2.09 1351.39 1.00 1351.39 38622.25 28.58 -3.72 -10.65 GASOILINE 943.49 2.17 2045.75 1.00 2045.75 38622.25 18.88 -5.41 -10.22 GAS_US 229.00 4.36 997.80 1.00 997.80 38622.25 38.71 -16.70 -64.62 GBP 787.06 0.54 424.45 1.00 424.45 38622.25 90.99 9.56 86.99 GOLD_micro 205.56 0.82 169.37 1.00 169.37 38622.25 228.04 -9.56 -218.09 HEATOIL 944.12 1.90 1793.53 1.00 1793.53 38622.25 21.53 -2.85 -6.13 JPY 937.44 0.72 674.48 1.00 674.48 38622.25 57.26 -8.67 -49.67 LEANHOG 352.90 1.52 538.02 1.00 538.02 38622.25 71.79 -17.64 -126.66 LIVECOW 637.40 0.62 392.31 1.00 392.31 38622.25 98.45 14.31 140.88 MXP 276.75 0.62 172.69 1.00 172.69 38622.25 223.65 14.50 324.35 NASDAQ 2614.60 0.88 2309.59 1.00 2309.59 38622.25 16.72 4.98 8.32 NIKKEI 28665.00 0.86 24619.41 0.01 181.12 38622.25 213.24 12.11 258.21 NZD 628.50 0.69 434.61 1.00 434.61 38622.25 88.87 6.89 61.23 OAT 1308.30 0.56 734.67 1.10 809.61 38622.25 47.70 14.92 71.17 OJ 403.20 1.47 593.97 1.00 593.97 38622.25 65.02 -1.93 -12.53 PALLAD 1447.00 2.18 3159.24 1.00 3159.24 38622.25 12.23 -2.08 -2.55 PLAT 526.50 1.66 876.28 1.00 876.28 38622.25 44.08 8.66 38.19 REDWHEAT 395.50 1.94 765.35 1.00 765.35 38622.25 50.46 3.98 20.08 ROBUSTA 241.30 1.08 260.52 1.00 260.52 38622.25 148.25 11.99 177.75 RUSSELL 86.20 1.15 98.86 1.00 98.86 38622.25 390.66 -0.73 -28.68 SILVER-mini 660.62 1.24 818.81 1.00 818.81 38622.25 47.17 -4.91 -23.14 SOYBEAN 633.50 0.80 508.15 1.00 508.15 38622.25 76.01 2.07 15.75 SOYMEAL 417.90 1.08 453.40 1.00 453.40 38622.25 85.18 -0.89 -7.56 SOYOIL 312.96 1.43 448.11 1.00 448.11 38622.25 86.19 5.17 44.59 SP400 2417.60 1.03 2478.71 1.00 2478.71 38622.25 15.58 2.87 4.48 SP500 2037.38 0.79 1604.10 1.00 1604.10 38622.25 24.08 2.80 6.73 SUGAR11 286.05 1.51 432.29 1.00 432.29 38622.25 89.34 5.49 49.04 US10 1164.53 0.50 579.30 1.00 579.30 38622.25 66.67 -0.37 -2.49 US10U 1223.59 0.62 753.47 1.00 753.47 38622.25 51.26 -7.29 -37.36 US20 1320.31 0.82 1079.22 1.00 1079.22 38622.25 35.79 -5.84 -20.92 US30 1408.75 1.08 1520.43 1.00 1520.43 38622.25 25.40 2.54 6.46 US5 1109.14 0.38 423.66 1.00 423.66 38622.25 91.16 0.27 2.43 VIX 241.00 2.54 612.11 1.00 612.11 38622.25 63.10 -20.00 -126.19 WHEAT 336.50 1.70 573.02 1.00 573.02 38622.25 67.40 -8.02 -54.08 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 26.122 0.006 2.5 0.417 BITCOIN -228.314 0.009 2.5 -5.379 BOBL 111.116 0.029 2.5 8.018 BTP 59.570 0.008 2.5 1.203 BUND 65.370 0.029 2.5 4.717 BUXL -6.823 0.034 2.5 -0.573 CAC 94.130 0.011 2.5 2.646 CAD 86.677 0.007 2.5 1.548 CANOLA 629.691 0.004 2.5 5.780 CHF -56.520 0.015 2.5 -2.115 COCOA -94.964 0.009 2.5 -2.069 COFFEE 30.096 0.005 2.5 0.390 COPPER 11.503 0.011 2.5 0.314 CORN 183.292 0.004 2.5 1.653 COTTON2 41.028 0.006 2.5 0.618 CRUDE_W 4.234 0.053 2.5 0.559 DAX 64.804 0.022 2.5 3.519 DOW 55.039 0.011 2.5 1.568 EUR -46.161 0.015 2.5 -1.728 EUROSTX 6.154 0.011 2.5 0.173 FEEDCOW -40.878 0.011 2.5 -1.098 FTSE100 44.595 0.041 2.5 4.597 GASOIL -10.646 0.029 2.5 -0.759 GASOILINE -10.219 0.016 2.5 -0.420 GAS_US -64.622 0.006 2.5 -0.973 GBP 86.987 0.007 2.5 1.553 GOLD_micro -218.086 0.009 2.5 -4.880 HEATOIL -6.128 0.029 2.5 -0.437 JPY -49.667 0.026 2.5 -3.215 LEANHOG -126.656 0.019 2.5 -5.917 LIVECOW 140.876 0.011 2.5 3.786 MXP 324.351 0.005 2.5 3.971 NASDAQ 8.320 0.022 2.5 0.452 NIKKEI 258.206 0.076 2.5 49.042 NZD 61.230 0.006 2.5 0.978 OAT 71.174 0.008 2.5 1.437 OJ -12.531 0.007 2.5 -0.219 PALLAD -2.546 0.010 2.5 -0.061 PLAT 38.189 0.010 2.5 0.919 REDWHEAT 20.076 0.002 2.5 0.107 ROBUSTA 177.752 0.005 2.5 2.305 RUSSELL -28.677 0.021 2.5 -1.485 SILVER-mini -23.140 0.009 2.5 -0.518 SOYBEAN 15.746 0.024 2.5 0.928 SOYMEAL -7.558 0.024 2.5 -0.446 SOYOIL 44.594 0.004 2.5 0.409 SP400 4.476 0.021 2.5 0.232 SP500 6.730 0.011 2.5 0.192 SUGAR11 49.037 0.005 2.5 0.665 US10 -2.489 0.015 2.5 -0.096 US10U -37.360 0.058 2.5 -5.443 US20 -20.915 0.029 2.5 -1.542 US30 6.463 0.034 2.5 0.543 US5 2.433 0.015 2.5 0.093 VIX -126.193 0.075 2.5 -23.781 WHEAT -54.078 0.002 2.5 -0.289 ==================== Position diags ==================== AUD 1.38 BITCOIN 9.54 BOBL 5.82 BTP 1.03 BUND 3.20 BUXL 1.64 CAC 1.75 CAD 2.16 CANOLA 2.89 CHF 2.09 COCOA 2.51 COFFEE 0.39 COPPER 0.95 CORN 1.24 COTTON2 0.79 CRUDE_W 3.49 DAX 15.60 DOW 8.97 EUR 2.12 EUROSTX 2.73 FEEDCOW 1.36 FTSE100 5.97 GASOIL 2.04 GASOILINE 0.78 GAS_US 0.58 GBP 1.62 GOLD_micro 5.10 HEATOIL 1.54 JPY 3.71 LEANHOG 3.35 LIVECOW 2.65 MXP 2.74 NASDAQ 0.91 NIKKEI 40.50 NZD 1.42 OAT 0.96 OJ 1.13 PALLAD 0.29 PLAT 1.06 REDWHEAT 0.27 ROBUSTA 1.92 RUSSELL 20.23 SILVER-mini 1.06 SOYBEAN 4.48 SOYMEAL 5.02 SOYOIL 0.79 SP400 0.81 SP500 0.69 SUGAR11 1.21 US10 2.56 US10U 7.47 US20 2.64 US30 2.13 US5 3.50 VIX 11.89 WHEAT 0.36 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.6 0.0 0 BITCOIN -5.4 -6.3 -4.4 -17.0 -17 BOBL 8.0 7.4 8.6 0.0 0 BTP 1.2 1.1 1.3 3.0 3 BUND 4.7 4.4 5.0 6.0 6 BUXL -0.6 -0.7 -0.4 0.0 0 CAC 2.6 2.5 2.8 1.0 1 CAD 1.5 1.3 1.8 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA -2.1 -2.3 -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 0.6 0.5 0.7 1.0 1 CRUDE_W 0.6 0.2 0.9 2.0 2 DAX 3.5 2.0 5.1 1.0 1 DOW 1.6 0.7 2.5 1.0 1 EUR -1.7 -1.9 -1.5 -2.0 -2 EUROSTX 0.2 -0.1 0.4 0.0 0 FEEDCOW -1.1 -1.2 -1.0 -1.0 -1 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL -0.8 -1.0 -0.6 -1.0 -1 GASOILINE -0.4 -0.5 -0.3 0.0 0 GAS_US -1.0 -1.0 -0.9 -2.0 -2 GBP 1.6 1.4 1.7 9.0 9 GOLD_micro -4.9 -5.4 -4.4 -8.0 -8 HEATOIL -0.4 -0.6 -0.3 -2.0 -2 JPY -3.2 -3.6 -2.8 -10.0 -10 LEANHOG -5.9 -6.3 -5.6 -7.0 -7 LIVECOW 3.8 3.5 4.1 0.0 0 MXP 4.0 3.7 4.2 0.0 0 NASDAQ 0.5 0.4 0.5 0.0 0 NIKKEI 49.0 45.0 53.1 0.0 0 NZD 1.0 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 -1.5 -3.5 0.5 -25.0 -25 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 0.9 0.5 1.4 0.0 0 SOYMEAL -0.4 -0.9 0.1 0.0 0 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.2 0.2 0.3 8.0 8 SP500 0.2 0.1 0.3 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.1 -0.4 0.2 NaN 0 US10U -5.4 -6.2 -4.7 -6.0 -6 US20 -1.5 -1.8 -1.3 0.0 0 US30 0.5 0.3 0.8 0.0 0 US5 0.1 -0.3 0.4 -1.0 -1 VIX -23.8 -25.0 -22.6 -19.0 -19 WHEAT -0.3 -0.3 -0.3 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.1 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 0.2 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 -0.2 0.2 BOBL -0.0 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 1.6 0.0 0.0 0.0 -0.0 BTP -0.1 0.1 0.0 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 0.2 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 0.1 0.0 0.0 0.0 -0.0 0.0 2.7 0.0 0.0 -0.2 0.1 BUND -0.0 0.0 0.1 0.1 0.0 0.0 0.1 -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 0.1 0.0 0.0 0.1 -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 0.1 0.3 0.2 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.4 -0.0 0.3 0.1 0.3 1.5 0.2 0.3 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 2.2 0.1 0.2 -0.1 0.1 CAD -0.0 0.2 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 2.6 2.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.3 -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 -0.2 -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 0.0 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 -1.6 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 0.8 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 -0.2 -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 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.8 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 3.0 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.5 -0.1 -0.4 -0.2 -0.3 COTTON2 -0.0 0.0 -0.0 -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 -0.0 -0.0 -0.1 -0.0 2.1 3.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.8 0.0 0.1 0.1 -0.0 CRUDE_W -0.2 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 -0.1 -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 -0.1 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 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.2 -0.0 0.1 0.0 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 -0.1 0.0 -0.0 0.0 0.0 -0.4 -0.1 -0.1 -0.0 -0.1 EUR 0.0 0.2 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 0.4 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 0.1 0.1 0.1 EUROSTX 0.1 0.2 0.2 0.0 -0.0 0.1 -0.1 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 0.1 -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 -0.0 -0.3 -0.1 0.1 -0.1 -0.4 0.3 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 1.9 -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 -0.1 1.7 0.7 0.4 0.3 -0.1 0.0 -0.0 0.1 -0.0 -2.5 -2.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.1 0.2 GAS_US 0.1 -0.2 -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 0.1 0.0 0.4 0.0 0.0 0.1 0.3 -0.1 -0.1 -0.0 -0.0 0.2 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 0.1 0.0 0.3 0.0 0.1 0.1 0.3 -1.0 -0.5 -0.3 -0.3 0.2 0.2 0.0 0.1 0.0 -0.6 -2.7 0.1 0.0 0.1 0.0 0.0 0.0 -1.9 0.1 -0.0 0.1 0.1 HEATOIL -0.2 -0.2 -0.3 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.3 -0.1 0.1 -0.1 -0.4 0.2 0.9 0.3 0.5 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -2.7 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.0 -0.1 -0.1 -0.1 JPY -0.1 -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 0.4 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 -0.2 -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 3.0 -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 0.2 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 0.3 0.3 0.3 MXP 0.1 0.2 0.2 0.1 0.0 0.1 0.0 -0.0 0.0 0.0 0.4 0.0 0.4 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 -0.1 0.3 0.4 0.1 -0.1 0.1 -0.1 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 -0.1 0.0 0.0 0.0 0.3 0.0 0.2 0.1 0.4 0.2 0.4 0.1 0.2 0.2 0.1 0.0 0.1 0.0 0.7 -1.9 0.1 -0.0 0.0 0.0 0.0 0.0 2.6 0.2 0.4 0.1 0.1 NZD -0.0 -0.0 -0.1 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.0 -0.2 0.1 0.0 0.0 0.0 -0.0 -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 -0.2 -0.2 -0.2 OAT -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 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 0.1 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 0.1 0.1 -0.0 0.1 0.0 0.2 2.5 0.0 -0.0 0.0 -0.0 0.0 0.0 0.2 -0.0 0.2 -0.0 -0.3 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 -0.1 -0.4 0.0 -0.0 ROBUSTA 0.1 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.3 0.0 0.2 0.1 0.3 0.9 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -2.1 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 -0.1 0.1 -0.1 0.0 0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.3 -0.4 -0.2 -0.1 -0.1 -0.2 -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 0.1 0.0 0.3 0.0 0.1 0.1 0.3 -0.4 -0.2 -0.1 -0.1 0.3 0.2 0.0 0.1 0.0 -1.0 -3.2 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 -0.2 SOYBEAN -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -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 -0.1 -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 -0.1 -0.3 -0.3 SP400 0.0 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 1.2 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 0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.2 -0.0 -0.1 0.0 0.2 -0.7 -0.3 -0.2 -0.2 0.1 0.1 -0.0 -0.0 0.0 0.3 2.0 0.0 -0.0 0.0 -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 -0.0 0.2 0.2 0.0 0.0 0.0 0.1 -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 0.1 US10U -0.1 0.2 0.2 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 0.1 0.0 -0.2 0.0 0.2 -0.6 0.0 -0.1 -0.1 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 0.2 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 0.2 0.0 -0.2 0.0 0.2 -0.1 -0.1 -0.0 -0.1 0.1 0.0 0.0 -0.1 0.0 -0.2 -2.7 0.1 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 0.1 0.0 0.0 0.1 -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 -0.4 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 0.1 -0.1 0.0 0.0 0.1 0.0 -0.2 0.0 0.3 -0.8 -0.3 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.0 -0.2 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 -0.0 -0.3 0.4 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.0 -0.5 0.0 -0.5 -0.0 -0.3 -3.1 -1.6 -0.8 -0.8 -0.1 -0.2 0.0 -0.3 -0.0 NaN -3.1 -0.0 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 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.4 -0.0 -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 0.4 -3.8 -7.3 4.0 5.6 2.9 3.9 -0.0 4.0 7.2 0.1 -5.6 -5.4 -5.5 -12.1 -3.7 -3.1 -3.6 -3.5 -6.7 -6.0 -0.6 -6.7 -4.8 13.4 11.7 -2.6 4.3 -2.9 0.4 -3.9 -1.5 -0.9 -16.2 -10.0 -19.4 -15.8 BITCOIN -9.8 11.5 20.0 4.3 1.9 3.6 1.9 2.5 3.4 2.7 13.2 -2.5 -7.3 10.8 12.7 -3.8 -2.1 -3.5 -2.7 11.9 12.4 0.0 1.2 4.4 5.5 -18.1 3.9 0.4 5.2 -0.7 2.1 0.5 0.7 -1.2 -17.4 -15.0 13.2 BOBL -1.7 4.6 9.8 3.2 4.3 1.6 3.0 -2.5 2.9 13.9 -5.2 8.9 -12.5 6.1 4.5 11.1 6.4 5.9 4.8 1.6 -5.3 16.1 -14.7 7.2 9.3 10.8 3.2 7.8 -0.3 6.6 -6.4 4.6 11.3 10.7 3.8 3.0 -2.7 BTP -6.1 3.3 2.4 3.2 4.3 1.6 3.0 -2.5 2.9 14.0 6.4 6.3 -8.4 4.7 4.4 8.5 11.7 8.7 10.3 2.9 1.4 10.4 -8.9 4.1 -9.5 11.4 4.3 7.6 3.2 6.7 -3.1 4.3 20.0 2.7 1.1 -13.6 4.7 BUND -3.1 3.1 3.4 3.2 4.3 1.6 3.0 -2.5 2.9 14.0 -6.5 7.9 -13.0 3.8 0.5 6.6 12.6 7.8 9.9 -0.0 -6.5 13.3 -16.6 5.1 7.3 12.3 3.1 6.8 -0.1 6.1 -6.7 4.2 20.0 5.0 0.9 -4.9 -2.6 BUXL -4.3 -1.6 -1.9 3.2 4.3 1.6 3.0 -2.5 2.9 11.3 -9.9 5.5 -13.6 -3.1 -5.6 1.6 0.9 2.1 2.3 -4.6 -10.2 8.1 -19.0 0.8 8.4 -10.8 0.9 2.9 -1.5 3.2 -6.2 1.9 4.7 -3.2 -2.5 -13.0 -10.0 CAC 9.9 15.7 12.0 3.2 -5.5 3.1 -2.4 1.8 1.3 -13.0 15.4 -4.0 13.1 11.8 13.3 18.6 4.6 11.8 6.5 17.6 20.0 -5.7 20.0 8.4 -15.7 8.9 5.0 -1.5 6.5 0.9 6.4 3.5 16.7 12.8 7.8 -5.7 5.9 CAD -3.6 9.8 1.2 4.0 5.6 2.9 3.9 -0.0 4.0 6.0 -4.6 -9.4 -9.9 1.1 0.3 -2.9 -2.0 -2.8 -2.5 -1.4 -4.1 -4.7 -9.1 -3.4 18.2 10.4 0.3 0.9 -1.2 -2.1 -3.8 -0.9 0.9 -20.0 -14.8 -10.6 -9.2 CANOLA -2.1 -4.7 -20.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -4.3 -11.8 -10.6 -13.1 -12.1 -12.6 20.0 20.0 20.0 20.0 -20.0 -20.0 -13.2 -15.2 -18.9 19.5 13.2 -6.0 -0.7 -6.0 -2.7 -3.8 -4.4 20.0 3.8 -12.2 -20.0 -20.0 CHF 9.9 16.8 8.3 4.0 5.6 2.9 3.9 -0.0 4.0 9.0 14.1 10.9 8.3 13.7 12.9 -14.6 -14.2 -14.4 -14.5 16.1 13.2 11.5 7.0 14.9 -7.1 -11.5 5.6 4.3 4.3 3.8 1.7 5.1 -19.9 4.0 17.0 16.4 7.8 COCOA -1.9 15.3 18.4 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -6.1 14.9 -3.0 9.1 12.0 13.4 0.8 -1.0 1.5 0.7 17.3 19.3 -2.7 13.0 7.9 -20.0 -10.4 5.5 -1.6 6.4 -1.1 4.7 2.4 -11.6 10.1 20.0 20.0 20.0 COFFEE 6.0 11.1 15.7 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -13.9 -0.6 -6.6 -5.5 1.9 9.1 8.1 4.3 5.9 5.0 8.7 4.1 -7.3 -3.2 2.8 5.3 10.0 3.6 -4.0 1.9 -2.3 -0.5 1.5 -3.4 -1.2 20.0 20.0 20.0 COPPER -13.7 -7.4 1.1 4.3 1.9 3.6 1.9 2.5 3.4 -12.2 7.0 -13.5 -1.9 -11.2 -7.0 -1.4 -0.6 -1.1 -0.9 -6.7 1.8 -16.0 2.3 -14.1 6.2 11.1 -3.7 -5.2 -0.7 -6.9 0.6 -6.1 3.2 -20.0 -20.0 -20.0 -20.0 CORN -8.1 -1.3 -20.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -6.7 -12.7 -12.5 -5.2 -13.6 -14.6 6.3 17.8 13.3 16.7 -20.0 -16.1 -20.0 -6.3 -20.0 19.7 11.0 -6.1 -3.0 -5.3 -6.0 -2.9 -6.4 18.5 -20.0 -20.0 -18.2 -20.0 COTTON2 -1.3 3.9 -0.3 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 6.8 -8.5 -5.3 -11.8 -2.6 -6.0 -4.0 6.5 -3.4 -0.5 -5.2 -8.4 -2.0 -9.9 -4.2 8.5 12.0 -2.8 2.8 -3.5 -1.2 -1.9 -2.4 -6.0 20.0 10.9 3.7 -1.2 CRUDE_W -12.8 4.7 -6.5 -3.9 -9.8 -2.4 -9.2 -0.1 -6.6 -13.4 1.2 -13.6 -3.9 -3.3 -0.0 8.3 11.2 8.6 9.2 -5.3 -2.9 -20.0 0.3 -14.2 -11.0 10.8 -2.0 -12.6 -0.8 -10.2 1.2 -5.4 -6.2 -1.7 9.3 12.3 7.5 DAX 6.8 10.8 12.0 3.2 -5.5 3.1 -2.4 1.8 1.3 -5.9 15.7 0.4 10.1 13.5 14.2 -7.7 -6.1 -7.9 -7.6 13.4 17.9 -0.2 14.7 7.4 -17.9 9.9 5.2 3.3 6.9 4.5 5.7 4.7 -3.6 20.0 7.5 -5.9 3.1 DOW 4.3 9.4 -3.4 3.2 -5.5 3.1 -2.4 1.8 1.3 -12.4 8.5 -6.5 2.7 9.1 4.5 -8.3 -5.6 -7.9 -7.3 4.2 2.9 -9.0 1.7 1.6 -0.2 10.8 2.3 -10.9 2.5 -5.2 2.1 0.0 -3.0 -4.2 -6.9 -1.1 -9.8 EUR 3.6 12.3 9.5 4.0 5.6 2.9 3.9 -0.0 4.0 1.8 14.0 9.2 1.3 13.6 12.3 -6.8 -8.3 -7.1 -7.7 12.4 12.0 5.2 3.8 9.7 -13.0 -11.1 5.6 1.0 5.0 2.3 1.2 4.5 -9.1 -1.0 6.4 7.4 5.9 EUROSTX 5.4 13.1 11.6 3.2 -5.5 3.1 -2.4 1.8 1.3 -10.3 15.7 -6.3 13.1 12.3 13.7 -4.3 4.0 0.2 2.7 14.5 20.0 -4.7 18.4 5.8 -17.4 -8.5 5.1 0.8 7.3 1.9 7.1 3.5 14.1 16.0 3.4 -5.8 2.2 FEEDCOW -0.6 14.2 20.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -13.3 13.8 -3.7 10.8 9.8 13.9 -20.0 -20.0 -20.0 -20.0 20.0 20.0 -9.6 13.5 12.9 -20.0 12.2 5.6 -6.7 5.6 -2.2 3.9 2.8 -20.0 -5.0 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 -20.0 -12.1 -18.5 -3.9 -9.8 -2.4 -9.2 -0.1 -6.6 -12.2 -14.2 -15.1 3.8 -15.2 -15.0 3.8 20.0 13.3 19.4 -20.0 -14.9 -20.0 -0.4 -20.0 4.7 -15.4 -5.5 -9.2 -4.1 -9.7 -1.2 -7.7 14.4 -4.5 -5.6 -5.2 -7.2 GASOILINE -20.0 0.0 -1.8 -3.9 -9.8 -2.4 -9.2 -0.1 -6.6 -13.2 4.2 -14.7 1.0 -7.8 -2.3 20.0 15.2 17.7 13.3 -5.4 0.3 -20.0 5.3 -17.0 -20.0 -13.1 -2.1 -12.1 0.8 -10.5 3.9 -6.4 -0.1 1.0 0.1 11.4 16.6 GAS_US 8.7 -9.9 -20.0 -3.9 -9.8 -2.4 -9.2 -0.1 -6.6 -14.0 -16.7 -11.7 -14.9 -14.2 -15.5 -20.0 -15.9 -20.0 -20.0 -20.0 -20.0 -13.9 -20.0 -13.7 20.0 -9.3 -6.4 -7.2 -7.4 -5.5 -4.5 -5.1 -20.0 20.0 20.0 -0.8 -15.6 GBP 1.7 14.6 9.6 4.0 5.6 2.9 3.9 -0.0 4.0 12.3 14.8 11.0 0.3 14.6 13.7 -1.4 -1.9 -1.7 -1.9 12.7 10.3 9.6 1.0 11.3 3.1 9.4 5.4 4.7 3.1 4.3 -1.9 5.1 1.5 6.0 3.3 8.7 2.9 GOLD_micro -4.9 15.4 11.7 4.3 1.9 3.6 1.9 2.5 3.4 13.1 13.0 5.0 4.2 11.8 11.5 -12.2 -11.1 -12.0 -12.0 15.0 15.9 13.3 10.2 11.0 -4.7 -13.8 5.2 7.1 5.2 4.4 3.6 4.0 -15.3 15.6 -2.5 9.9 7.3 HEATOIL -17.8 -10.8 -18.1 -3.9 -9.8 -2.4 -9.2 -0.1 -6.6 -12.4 -13.4 -14.7 2.7 -14.4 -14.5 2.0 20.0 13.4 20.0 -19.8 -14.4 -20.0 -0.5 -20.0 -1.5 -13.6 -5.3 -8.9 -3.2 -9.2 0.9 -7.4 19.6 -5.8 -6.9 -5.4 -6.2 JPY -12.5 -5.2 -1.7 4.0 5.6 2.9 3.9 -0.0 4.0 5.8 3.3 -5.1 -6.9 -7.4 -9.6 -16.1 -13.6 -15.5 -14.9 -7.7 -3.5 -6.8 -7.8 -10.4 2.8 9.9 -1.8 2.2 -0.4 -4.0 -4.5 -4.2 -19.6 -16.4 -20.0 -13.3 -13.9 LEANHOG 11.8 -17.1 -20.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -10.8 -14.7 -5.8 -12.5 -12.7 -14.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.1 -16.2 -12.1 20.0 -11.1 -5.7 -3.8 -6.4 -1.8 -4.6 -3.0 -20.0 20.0 4.2 -20.0 -20.0 LIVECOW -0.3 7.0 8.9 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -13.6 13.3 -5.9 11.0 9.0 11.2 20.0 7.2 20.0 20.0 10.9 12.2 -14.4 9.4 2.2 -20.0 12.0 3.6 -10.1 4.6 -5.5 4.5 0.4 20.0 -4.6 16.7 19.1 20.0 MXP 6.7 15.8 12.1 4.0 5.6 2.9 3.9 -0.0 4.0 13.8 15.9 15.0 15.7 16.0 16.0 19.4 20.0 19.4 20.0 18.8 20.0 10.4 20.0 13.5 -20.0 9.7 6.2 4.2 8.7 4.0 9.7 4.4 20.0 2.2 2.2 -17.4 18.3 NASDAQ -4.1 16.3 20.0 3.2 -5.5 3.1 -2.4 1.8 1.3 -2.1 10.6 1.0 -5.4 12.1 14.2 -9.0 -6.1 -8.3 -7.5 15.5 14.3 0.6 1.9 8.0 -3.8 10.2 5.5 -2.1 6.0 0.3 3.3 2.7 -3.4 14.8 -4.1 17.9 20.0 NIKKEI 12.8 14.6 12.9 3.2 -5.5 3.1 -2.4 1.8 1.3 1.3 11.8 11.7 9.5 14.7 14.6 4.0 12.3 8.3 11.4 16.4 11.7 10.9 6.4 16.7 5.1 -9.4 5.4 -0.4 3.5 4.0 1.3 5.7 20.0 20.0 20.0 8.5 9.7 NZD -2.3 -2.2 -4.2 4.0 5.6 2.9 3.9 -0.0 4.0 13.6 6.4 2.6 -1.5 -1.2 -9.1 1.5 0.7 1.1 0.7 -3.1 -1.8 8.4 -3.5 -0.0 4.1 10.8 -0.4 13.4 -0.3 6.6 -2.0 1.6 5.9 7.0 -10.2 -13.1 -13.4 OAT -2.8 3.0 -1.9 3.2 4.3 1.6 3.0 -2.5 2.9 14.0 -6.7 7.4 -12.8 4.4 -2.0 11.1 12.1 10.8 11.5 -0.8 -6.6 11.8 -15.9 4.3 5.3 12.7 2.7 6.5 -0.3 6.0 -6.8 4.0 20.0 4.2 1.6 -8.0 -3.8 OJ -1.3 20.0 8.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -8.9 15.4 -5.2 15.5 10.9 14.2 20.0 20.0 20.0 20.0 20.0 20.0 1.7 20.0 15.1 -20.0 -14.3 6.1 -0.1 8.5 0.2 9.3 2.8 20.0 20.0 20.0 20.0 20.0 PALLAD 14.1 15.4 -12.7 4.3 1.9 3.6 1.9 2.5 3.4 -10.9 -13.4 -10.0 -14.3 -1.9 -8.0 -3.6 -2.4 -3.2 -2.9 -6.4 -16.9 -12.9 -20.0 -4.9 20.0 -11.1 0.3 -4.6 -2.7 -4.1 -4.2 -0.2 0.0 -20.0 -1.2 -16.7 -20.0 PLAT 15.0 15.2 -0.7 4.3 1.9 3.6 1.9 2.5 3.4 -13.6 8.2 -0.5 3.8 6.6 7.0 -2.5 -1.6 -2.4 -2.0 12.2 8.4 -3.8 4.7 9.3 1.1 11.2 4.1 -4.3 2.7 -0.9 1.3 3.4 1.5 -20.0 12.5 -3.0 -16.6 REDWHEAT -17.1 7.5 0.4 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 1.3 -10.1 -8.9 -12.0 -7.4 -5.0 6.3 5.4 8.4 7.8 -9.4 -7.7 -13.8 -6.2 -15.0 0.7 12.9 -4.1 0.7 -2.6 -5.4 -0.9 -6.1 1.4 -8.4 -20.0 3.3 -3.4 ROBUSTA 17.2 20.0 20.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 1.9 12.8 10.8 7.9 14.9 15.8 11.5 10.2 11.2 10.9 20.0 20.0 14.0 16.2 20.0 -12.6 9.6 6.2 -0.2 4.9 1.9 2.7 4.8 6.7 20.0 20.0 20.0 20.0 RUSSELL -1.4 -11.7 -6.4 3.2 -5.5 3.1 -2.4 1.8 1.3 -13.6 -7.2 -12.2 -9.8 -13.4 -13.3 -5.8 -4.5 -5.7 -5.5 -12.0 -9.3 -14.7 -8.0 -12.5 11.2 10.0 -4.6 -6.6 -2.4 -6.1 -0.9 -5.5 -0.5 -13.1 -20.0 -20.0 -18.3 SILVER-mini 4.7 20.0 7.3 4.3 1.9 3.6 1.9 2.5 3.4 13.3 12.2 4.7 3.2 13.4 12.7 -6.3 -5.2 -6.1 -5.8 20.0 16.1 13.0 7.9 17.2 -4.5 -11.3 4.6 5.5 3.3 3.5 1.2 4.2 -4.9 10.6 0.5 13.2 -9.7 SOYBEAN -8.6 -15.3 -18.8 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -3.8 -8.7 -9.8 -4.6 -11.9 -11.5 20.0 20.0 20.0 20.0 -18.8 -14.9 -12.3 -5.5 -17.5 2.9 -11.7 -5.6 -1.3 -4.4 -3.1 -1.0 -4.8 20.0 -2.7 -6.9 -20.0 -20.0 SOYMEAL -17.0 -20.0 -1.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -13.8 7.0 -14.5 10.3 -13.7 -10.0 20.0 20.0 20.0 20.0 -10.8 4.2 -20.0 14.9 -19.6 -20.0 -12.0 -4.0 -5.8 0.8 -6.6 5.2 -6.3 20.0 -11.8 -4.9 -17.0 0.4 SOYOIL -6.7 -16.3 -20.0 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 0.8 -13.4 -7.5 -7.2 -11.8 -13.5 6.0 11.6 4.2 6.5 -20.0 -20.0 -9.8 -10.6 -18.0 10.1 12.9 -6.2 0.2 -5.8 -2.5 -2.6 -4.7 4.3 0.1 -5.3 -20.0 -20.0 SP400 0.3 -8.2 -6.1 3.2 -5.5 3.1 -2.4 1.8 1.3 -11.8 0.1 -8.5 -2.0 -5.1 -8.6 -5.7 -4.4 -5.5 -5.1 -7.5 -4.3 -12.7 -1.5 -8.4 7.2 10.2 -3.9 -8.3 -1.7 -5.8 0.3 -4.7 -0.0 -11.5 -17.6 -20.0 -18.0 SP500 0.5 10.6 8.4 3.2 -5.5 3.1 -2.4 1.8 1.3 -11.6 9.5 -5.7 -4.3 10.1 9.8 -9.0 -6.4 -8.4 -7.6 7.1 5.6 -7.4 -0.0 2.4 2.3 10.2 3.6 -9.2 3.9 -4.2 1.7 0.7 -3.8 -2.4 -6.9 3.1 1.2 SUGAR11 10.4 20.0 19.5 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 1.6 15.8 8.6 13.9 13.6 15.4 8.6 20.0 17.7 20.0 20.0 20.0 16.2 19.8 20.0 -20.0 -10.5 6.1 0.3 5.4 2.6 4.1 5.3 20.0 20.0 20.0 20.0 20.0 US10 -3.8 12.2 13.3 3.2 4.3 1.6 3.0 -2.5 2.9 13.1 5.4 7.7 -9.6 11.7 10.6 -10.5 -5.5 -9.6 -8.7 6.8 2.2 11.7 -7.9 7.9 -2.9 9.7 4.7 6.6 3.0 4.8 -1.5 4.4 -10.7 8.3 5.6 6.1 4.3 US10U -5.2 10.5 12.8 3.2 4.3 1.6 3.0 -2.5 2.9 11.4 5.1 5.6 -9.7 9.5 9.5 -7.5 0.1 -4.2 -2.4 5.5 1.5 8.5 -8.4 5.9 -4.7 -14.1 4.8 5.2 3.5 4.0 -1.0 4.0 -0.3 3.0 2.0 0.7 4.9 US20 -7.7 9.3 13.1 3.2 4.3 1.6 3.0 -2.5 2.9 9.6 6.3 2.3 -8.3 6.9 8.9 -1.5 -1.5 -2.3 -2.6 4.5 1.4 5.1 -7.8 3.9 -1.5 -12.3 4.3 3.4 3.0 2.7 -1.5 3.1 -2.0 -2.3 -2.5 -2.5 2.6 US30 -7.4 5.3 11.5 3.2 4.3 1.6 3.0 -2.5 2.9 7.3 4.1 -1.8 -10.0 1.7 3.4 -1.7 -0.8 -1.4 -1.3 1.1 -1.4 1.9 -11.2 0.7 -3.6 10.0 3.6 1.9 2.9 1.6 -2.2 2.1 -0.2 -7.9 -5.0 -13.4 0.3 US5 -2.1 12.8 15.7 3.2 4.3 1.6 3.0 -2.5 2.9 13.3 5.1 8.7 -9.8 12.3 11.1 -10.4 -6.0 -10.0 -9.3 7.6 2.4 14.1 -7.8 9.5 -1.3 10.8 4.6 7.3 2.6 5.3 -2.2 4.6 -11.7 13.0 7.9 10.1 2.4 VIX -3.2 -5.8 6.9 -2.8 7.8 -6.6 3.0 -8.5 -0.0 10.2 -13.9 3.1 -13.9 -10.6 -10.9 -20.0 -20.0 -20.0 -20.0 -7.2 -12.1 3.9 -15.0 -3.0 NaN -13.5 -3.2 9.1 -8.4 3.6 -11.7 0.1 NaN NaN NaN NaN NaN WHEAT -7.9 -1.3 -6.3 -4.3 -7.2 -3.1 -8.2 -1.9 -6.5 -0.4 -15.0 -9.7 -15.3 -12.3 -13.9 -12.6 -9.1 -12.3 -11.1 -20.0 -20.0 -16.1 -16.8 -20.0 12.2 11.9 -5.7 0.3 -4.7 -4.6 -2.7 -6.2 -20.0 -10.5 -20.0 -14.5 -18.6 End of report for caleb_strategy_v1