******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230505_204652 produced at 2023-05-05 21:37:39.340333 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.28 0.0 4.981403e+07 -4.981403e+07 -0.30 -0.30 -5.64 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.20 -0.20 0.0 9.318930e+06 -9.318930e+06 -0.20 -0.16 -21.48 999999999.0 -21 -17 caleb_strategy_v1 CHF False False 0.06 -0.12 -0.13 0.0 5.776456e+07 -5.776456e+07 -0.12 -0.12 -2.17 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.38 -0.12 0.0 3.823065e+07 -3.823065e+07 -0.38 -0.38 -3.23 999999999.0 -10 -10 caleb_strategy_v1 EUR False False 0.06 -0.11 -0.10 0.0 5.657666e+07 -5.657666e+07 -0.11 -0.11 -1.79 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.371185e+07 -5.371185e+07 0.00 0.00 -1.56 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.08 0.0 1.398044e+07 -1.398044e+07 -0.10 -0.10 -5.69 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.541698e+07 -4.541698e+07 -0.05 -0.05 -1.12 999999999.0 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.05 -0.04 0.0 8.290366e+06 -8.290366e+06 -0.05 -0.04 -4.84 999999999.0 -6 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.270360e+07 -6.270360e+07 0.00 0.00 -0.55 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.204292e+07 -1.204292e+07 -0.06 -0.06 -2.09 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 4.008057e+07 -4.008057e+07 -0.08 -0.08 -0.38 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 3.976058e+07 -3.976058e+07 0.00 0.00 -0.41 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.754717e+07 -2.754717e+07 -0.03 -0.03 -0.65 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.657431e+07 -2.657431e+07 0.00 0.00 -0.48 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 -0.01 0.0 1.713454e+07 -1.713454e+07 0.00 0.00 -0.58 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.742030e+07 -4.742030e+07 0.00 0.00 -0.13 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.211051e+06 -1.211051e+06 -0.02 -0.02 -5.10 999999999.0 -17 -18 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.429528e+06 -9.429528e+06 -0.02 -0.02 -0.98 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.121820e+07 -6.121820e+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 1.671263e+07 -1.671263e+07 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.05 0.00 0.00 0.0 4.518977e+07 -4.518977e+07 0.00 0.00 0.02 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.689184e+07 -1.689184e+07 0.00 0.00 0.12 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.25 0.00 0.0 3.622708e+06 -3.622708e+06 -0.25 -0.12 0.51 999999999.0 -70 -34 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.405520e+07 -1.405520e+07 -0.06 -0.06 -0.26 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.960222e+07 -1.960222e+07 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.770282e+07 -2.770282e+07 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.01 0.01 0.0 6.921200e+06 -6.921200e+06 0.01 0.00 1.79 999999999.0 1 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.213009e+07 -1.213009e+07 0.01 0.01 0.62 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.09 0.01 0.0 2.848520e+07 -2.848520e+07 0.09 0.09 0.51 999999999.0 3 3 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.327917e+07 -1.327917e+07 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.887076e+07 -2.887076e+07 0.03 0.03 0.38 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.986659e+07 -3.986659e+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 1.721647e+07 -1.721647e+07 0.02 0.02 0.60 999999999.0 1 1 caleb_strategy_v1 SP500 False False 0.09 0.00 0.02 0.0 8.515556e+07 -8.515556e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.81 0.02 0.0 1.013244e+08 -1.013244e+08 0.81 0.71 0.24 999999999.0 8 7 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.456934e+06 -4.456934e+06 0.00 0.00 5.21 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.02 0.02 0.0 2.186364e+07 -2.186364e+07 0.02 0.00 0.91 999999999.0 1 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 1.009312e+07 -1.009312e+07 0.02 0.02 2.15 999999999.0 2 2 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.096254e+07 -1.096254e+07 0.05 0.05 1.62 999999999.0 5 5 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.733446e+07 -5.733446e+07 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.03 0.0 2.580627e+07 -2.580627e+07 0.00 0.00 1.05 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.620053e+07 -2.620053e+07 0.00 0.00 1.05 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.03 0.0 7.270363e+06 -7.270363e+06 0.01 0.00 3.56 999999999.0 1 0 caleb_strategy_v1 GBP False False 0.03 0.32 0.05 0.0 3.238328e+07 -3.238328e+07 0.32 0.29 1.55 999999999.0 10 9 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 3.064597e+07 -3.064597e+07 0.00 0.00 1.58 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.05 0.0 1.093899e+08 -1.093899e+08 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.142439e+07 -1.142439e+07 0.00 0.00 3.96 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.16 0.06 0.0 5.198024e+07 -5.198024e+07 0.16 0.16 1.19 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.889256e+07 -5.889256e+07 0.00 0.00 1.41 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.07 0.08 0.0 3.359864e+07 -3.359864e+07 0.07 0.03 2.45 999999999.0 2 1 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.614216e+07 -2.614216e+07 0.00 0.00 3.69 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 4.54 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.43 0.28 0.0 6.150559e+07 -6.150559e+07 0.43 0.43 4.60 999999999.0 7 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 48.36 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.42 0.0 5.355801e+07 -5.355801e+07 0.00 0.00 7.88 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 17.6 Shocked risk 50.1 Sum abs risk 48.5 Leverage 3.38 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2441267.44, 'annual_cash_vol_target': 610316.86, 'daily_cash_vol_target': 38144.80375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6763 0.6729 10.7669 BITCOIN 940.3656 29565.0000 3.1807 50.8907 BOBL 0.4371 118.4700 0.3689 5.9027 BTP 0.6891 114.9800 0.5993 9.5886 BUND 0.7974 136.0500 0.5861 9.3781 BUXL 1.8237 138.7000 1.3148 21.0376 CAC 60.6942 7432.0000 0.8167 13.0666 CAD 0.0036 0.7482 0.4819 7.7106 CANOLA 9.1304 735.2000 1.2419 19.8703 CHF 0.0056 1.1282 0.4992 7.9869 COCOA 32.9483 2940.0000 1.1207 17.9310 COFFEE 3.5148 187.9500 1.8701 29.9215 COPPER 0.0444 3.8930 1.1407 18.2505 CORN 5.7378 535.2500 1.0720 17.1517 COTTON2 1.5048 84.0600 1.7901 28.6415 CRUDE_W 1.5291 69.5400 2.1988 35.1810 DAX 129.9166 16082.0000 0.8078 12.9254 DOW 270.4954 33793.0000 0.8004 12.8072 EUR 0.0054 1.1050 0.4852 7.7636 EUROSTX 38.8216 4336.0000 0.8953 14.3253 FEEDCOW 1.5119 221.7500 0.6818 10.9089 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.4347 672.5000 2.1464 34.3428 GASOILINE 0.0499 2.3111 2.1593 34.5484 GAS_US 0.0984 2.3020 4.2747 68.3944 GBP 0.0068 1.2649 0.5337 8.5392 GOLD_micro 18.1144 2023.9000 0.8950 14.3204 HEATOIL 0.0457 2.3297 1.9624 31.3991 JPY 0.0001 0.0075 0.7110 11.3760 LEANHOG 1.4090 85.3250 1.6514 26.4219 LIVECOW 0.9618 159.5500 0.6028 9.6450 MXP 0.0003 0.0558 0.6234 9.9742 NASDAQ 126.8172 13352.5000 0.9498 15.1962 NIKKEI 246.1941 28665.0000 0.8589 13.7419 NZD 0.0042 0.6300 0.6743 10.7886 OAT 0.7397 130.2700 0.5679 9.0856 OJ 3.9213 272.0000 1.4416 23.0663 PALLAD 32.2756 1494.5000 2.1596 34.5541 PLAT 17.2788 1067.5000 1.6186 25.8980 REDWHEAT 16.3103 824.7500 1.9776 31.6416 ROBUSTA 27.2685 2464.0000 1.1067 17.7068 RUSSELL 21.5664 1768.8000 1.2193 19.5083 SILVER-mini 0.3617 25.9500 1.3937 22.2992 SOYBEAN 10.2782 1279.2500 0.8035 12.8552 SOYMEAL 4.4507 418.3000 1.0640 17.0239 SOYOIL 0.8144 54.0300 1.5073 24.1171 SP400 27.0303 2473.6000 1.0928 17.4840 SP500 35.3185 4157.7500 0.8495 13.5914 SUGAR11 0.4048 26.4400 1.5308 24.4933 US10 0.5793 115.7656 0.5004 8.0069 US10U 0.7510 121.6094 0.6175 9.8807 US20 1.0706 131.1250 0.8164 13.0630 US30 1.5028 139.9688 1.0737 17.1788 US5 0.4253 110.3203 0.3855 6.1685 VIX 0.6694 22.7500 2.9423 47.0773 WHEAT 11.5638 686.2500 1.6851 26.9611 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 676.30 0.67 455.10 1.00 455.10 38144.8 83.82 3.88 32.51 BITCOIN 29.56 3.18 94.04 1.00 94.04 38144.8 405.64 -5.34 -216.60 BOBL 1184.70 0.37 437.06 1.11 484.39 38144.8 78.75 13.86 109.17 BTP 1149.80 0.60 689.06 1.11 763.68 38144.8 49.95 11.79 58.89 BUND 1360.50 0.59 797.43 1.11 883.80 38144.8 43.16 14.77 63.73 BUXL 1387.00 1.31 1823.70 1.11 2021.20 38144.8 18.87 -3.46 -6.53 CAC 743.20 0.82 606.94 1.11 672.67 38144.8 56.71 15.34 87.00 CAD 748.15 0.48 360.54 1.00 360.54 38144.8 105.80 8.35 88.30 CANOLA 147.04 1.24 182.61 0.74 134.34 38144.8 283.94 20.00 567.89 CHF 1410.19 0.50 703.94 1.00 703.94 38144.8 54.19 -10.68 -57.87 COCOA 294.00 1.12 329.48 1.00 329.48 38144.8 115.77 -8.30 -96.13 COFFEE 704.81 1.87 1318.06 1.00 1318.06 38144.8 28.94 10.05 29.09 COPPER 973.25 1.14 1110.15 1.00 1110.15 38144.8 34.36 3.42 11.76 CORN 267.62 1.07 286.89 1.00 286.89 38144.8 132.96 13.51 179.62 COTTON2 420.30 1.79 752.38 1.00 752.38 38144.8 50.70 7.90 40.06 CRUDE_W 695.40 2.20 1529.05 1.00 1529.05 38144.8 24.95 1.54 3.85 DAX 160.82 0.81 129.92 1.11 143.99 38144.8 264.92 2.48 65.57 DOW 168.96 0.80 135.25 1.00 135.25 38144.8 282.04 2.22 62.72 EUR 1381.19 0.49 670.19 1.00 670.19 38144.8 56.92 -8.39 -47.74 EUROSTX 433.60 0.90 388.22 1.11 430.26 38144.8 88.66 0.63 5.59 FEEDCOW 1108.75 0.68 755.96 1.00 755.96 38144.8 50.46 -8.26 -41.66 FTSE100 707.00 0.82 576.59 1.26 666.67 38144.8 57.22 7.70 44.04 GASOIL 672.50 2.15 1443.47 1.00 1443.47 38144.8 26.43 -3.43 -9.06 GASOILINE 970.66 2.16 2095.92 1.00 2095.92 38144.8 18.20 -5.46 -9.94 GAS_US 230.20 4.27 984.02 1.00 984.02 38144.8 38.76 -16.74 -64.90 GBP 790.56 0.53 421.92 1.00 421.92 38144.8 90.41 9.60 86.76 GOLD_micro 202.39 0.90 181.14 1.00 181.14 38144.8 210.58 -10.28 -216.38 HEATOIL 978.47 1.96 1920.20 1.00 1920.20 38144.8 19.87 -2.66 -5.29 JPY 933.31 0.71 663.59 1.00 663.59 38144.8 57.48 -8.67 -49.85 LEANHOG 341.30 1.65 563.61 1.00 563.61 38144.8 67.68 -17.99 -121.78 LIVECOW 638.20 0.60 384.71 1.00 384.71 38144.8 99.15 13.84 137.21 MXP 278.90 0.62 173.86 1.00 173.86 38144.8 219.40 14.76 323.77 NASDAQ 2670.50 0.95 2536.34 1.00 2536.34 38144.8 15.04 5.65 8.50 NIKKEI 28665.00 0.86 24619.41 0.01 181.12 38144.8 210.60 12.09 254.61 NZD 630.00 0.67 424.80 1.00 424.80 38144.8 89.79 7.30 65.51 OAT 1302.70 0.57 739.74 1.11 819.86 38144.8 46.53 15.03 69.94 OJ 408.00 1.44 588.19 1.00 588.19 38144.8 64.85 -1.98 -12.86 PALLAD 1494.50 2.16 3227.56 1.00 3227.56 38144.8 11.82 -1.94 -2.30 PLAT 533.75 1.62 863.94 1.00 863.94 38144.8 44.15 8.60 37.99 REDWHEAT 412.38 1.98 815.51 1.00 815.51 38144.8 46.77 4.98 23.29 ROBUSTA 246.40 1.11 272.68 1.00 272.68 38144.8 139.89 11.84 165.59 RUSSELL 88.44 1.22 107.83 1.00 107.83 38144.8 353.74 0.28 9.94 SILVER-mini 648.75 1.39 904.16 1.00 904.16 38144.8 42.19 -5.11 -21.54 SOYBEAN 639.62 0.80 513.91 1.00 513.91 38144.8 74.22 2.40 17.84 SOYMEAL 418.30 1.06 445.07 1.00 445.07 38144.8 85.71 -1.14 -9.81 SOYOIL 324.18 1.51 488.64 1.00 488.64 38144.8 78.06 6.20 48.38 SP400 2473.60 1.09 2703.03 1.00 2703.03 38144.8 14.11 3.31 4.67 SP500 2078.88 0.85 1765.93 1.00 1765.93 38144.8 21.60 3.50 7.57 SUGAR11 296.13 1.53 453.32 1.00 453.32 38144.8 84.15 5.44 45.80 US10 1157.66 0.50 579.33 1.00 579.33 38144.8 65.84 -0.53 -3.50 US10U 1216.09 0.62 750.99 1.00 750.99 38144.8 50.79 -7.62 -38.69 US20 1311.25 0.82 1070.55 1.00 1070.55 38144.8 35.63 -5.95 -21.20 US30 1399.69 1.07 1502.81 1.00 1502.81 38144.8 25.38 2.31 5.87 US5 1103.20 0.39 425.32 1.00 425.32 38144.8 89.69 0.05 0.43 VIX 227.50 2.94 669.38 1.00 669.38 38144.8 56.99 -20.00 -113.97 WHEAT 343.12 1.69 578.19 1.00 578.19 38144.8 65.97 -7.30 -48.17 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 32.512 0.006 2.5 0.519 BITCOIN -216.604 0.009 2.5 -5.104 BOBL 109.168 0.029 2.5 7.877 BTP 58.888 0.008 2.5 1.189 BUND 63.732 0.029 2.5 4.599 BUXL -6.530 0.034 2.5 -0.548 CAC 87.001 0.011 2.5 2.446 CAD 88.298 0.007 2.5 1.577 CANOLA 567.886 0.004 2.5 5.213 CHF -57.875 0.015 2.5 -2.166 COCOA -96.132 0.009 2.5 -2.094 COFFEE 29.087 0.005 2.5 0.377 COPPER 11.762 0.011 2.5 0.321 CORN 179.622 0.004 2.5 1.620 COTTON2 40.064 0.006 2.5 0.603 CRUDE_W 3.854 0.053 2.5 0.509 DAX 65.569 0.022 2.5 3.561 DOW 62.724 0.011 2.5 1.788 EUR -47.737 0.015 2.5 -1.787 EUROSTX 5.592 0.011 2.5 0.157 FEEDCOW -41.657 0.011 2.5 -1.119 FTSE100 44.044 0.041 2.5 4.540 GASOIL -9.063 0.029 2.5 -0.646 GASOILINE -9.935 0.016 2.5 -0.408 GAS_US -64.904 0.006 2.5 -0.977 GBP 86.764 0.007 2.5 1.549 GOLD_micro -216.379 0.009 2.5 -4.841 HEATOIL -5.287 0.029 2.5 -0.377 JPY -49.849 0.026 2.5 -3.227 LEANHOG -121.779 0.019 2.5 -5.690 LIVECOW 137.207 0.011 2.5 3.687 MXP 323.770 0.005 2.5 3.964 NASDAQ 8.498 0.022 2.5 0.461 NIKKEI 254.608 0.076 2.5 48.358 NZD 65.515 0.006 2.5 1.047 OAT 69.940 0.008 2.5 1.413 OJ -12.861 0.007 2.5 -0.224 PALLAD -2.298 0.010 2.5 -0.055 PLAT 37.989 0.010 2.5 0.914 REDWHEAT 23.287 0.002 2.5 0.124 ROBUSTA 165.591 0.005 2.5 2.147 RUSSELL 9.935 0.021 2.5 0.515 SILVER-mini -21.543 0.009 2.5 -0.482 SOYBEAN 17.841 0.024 2.5 1.052 SOYMEAL -9.813 0.024 2.5 -0.579 SOYOIL 48.383 0.004 2.5 0.444 SP400 4.673 0.021 2.5 0.242 SP500 7.568 0.011 2.5 0.216 SUGAR11 45.801 0.005 2.5 0.621 US10 -3.500 0.015 2.5 -0.134 US10U -38.691 0.058 2.5 -5.637 US20 -21.202 0.029 2.5 -1.563 US30 5.871 0.034 2.5 0.493 US5 0.429 0.015 2.5 0.016 VIX -113.971 0.075 2.5 -21.478 WHEAT -48.174 0.002 2.5 -0.257 ==================== Position diags ==================== AUD 1.34 BITCOIN 9.56 BOBL 5.68 BTP 1.01 BUND 3.11 BUXL 1.58 CAC 1.59 CAD 1.89 CANOLA 2.61 CHF 2.03 COCOA 2.52 COFFEE 0.38 COPPER 0.94 CORN 1.20 COTTON2 0.76 CRUDE_W 3.30 DAX 14.39 DOW 8.04 EUR 2.13 EUROSTX 2.49 FEEDCOW 1.36 FTSE100 5.90 GASOIL 1.88 GASOILINE 0.75 GAS_US 0.58 GBP 1.61 GOLD_micro 4.71 HEATOIL 1.42 JPY 3.72 LEANHOG 3.16 LIVECOW 2.66 MXP 2.69 NASDAQ 0.82 NIKKEI 40.00 NZD 1.43 OAT 0.94 OJ 1.13 PALLAD 0.28 PLAT 1.06 REDWHEAT 0.25 ROBUSTA 1.81 RUSSELL 18.32 SILVER-mini 0.94 SOYBEAN 4.38 SOYMEAL 5.05 SOYOIL 0.72 SP400 0.73 SP500 0.62 SUGAR11 1.14 US10 2.53 US10U 7.40 US20 2.63 US30 2.13 US5 3.44 VIX 10.74 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.7 0.0 0 BITCOIN -5.1 -6.1 -4.1 -17.0 -17 BOBL 7.9 7.3 8.4 0.0 0 BTP 1.2 1.1 1.3 3.0 3 BUND 4.6 4.3 4.9 7.0 7 BUXL -0.5 -0.7 -0.4 0.0 0 CAC 2.4 2.3 2.6 2.0 2 CAD 1.6 1.4 1.8 0.0 0 CANOLA 5.2 5.0 5.5 NaN 0 CHF -2.2 -2.4 -2.0 -2.0 -2 COCOA -2.1 -2.3 -1.8 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.3 0.2 0.4 0.0 0 CORN 1.6 1.5 1.7 5.0 5 COTTON2 0.6 0.5 0.7 1.0 1 CRUDE_W 0.5 0.2 0.8 3.0 3 DAX 3.6 2.1 5.0 1.0 1 DOW 1.8 1.0 2.6 1.0 1 EUR -1.8 -2.0 -1.6 -2.0 -2 EUROSTX 0.2 -0.1 0.4 0.0 0 FEEDCOW -1.1 -1.3 -1.0 -1.0 -1 FTSE100 4.5 4.0 5.1 0.0 0 GASOIL -0.6 -0.8 -0.5 -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 1.5 1.4 1.7 10.0 10 GOLD_micro -4.8 -5.3 -4.4 -6.0 -6 HEATOIL -0.4 -0.5 -0.2 -2.0 -2 JPY -3.2 -3.6 -2.9 -10.0 -10 LEANHOG -5.7 -6.0 -5.4 -7.0 -7 LIVECOW 3.7 3.4 4.0 0.0 0 MXP 4.0 3.7 4.2 0.0 0 NASDAQ 0.5 0.4 0.5 0.0 0 NIKKEI 48.4 44.4 52.4 0.0 0 NZD 1.0 0.9 1.2 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 2.1 2.0 2.3 2.0 2 RUSSELL 0.5 -1.3 2.3 -70.0 -70 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.1 0.6 1.5 0.0 0 SOYMEAL -0.6 -1.1 -0.1 0.0 0 SOYOIL 0.4 0.4 0.5 0.0 0 SP400 0.2 0.2 0.3 8.0 8 SP500 0.2 0.2 0.3 0.0 0 SUGAR11 0.6 0.5 0.7 1.0 1 US10 -0.1 -0.4 0.1 NaN 0 US10U -5.6 -6.4 -4.9 -6.0 -6 US20 -1.6 -1.8 -1.3 0.0 0 US30 0.5 0.3 0.7 0.0 0 US5 0.0 -0.3 0.4 0.0 0 VIX -21.5 -22.6 -20.4 -21.0 -21 WHEAT -0.3 -0.3 -0.2 -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 0.1 0.0 -0.0 -0.1 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 1.6 2.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.2 -0.2 -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 1.3 -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 1.3 2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 1.6 0.0 0.1 0.0 -0.0 BTP -0.1 0.0 0.0 0.1 0.0 0.0 0.1 -0.1 0.0 0.0 0.2 0.0 -0.2 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 0.1 0.0 -0.2 0.1 BUND -0.0 0.1 0.1 0.1 0.0 0.0 0.0 -0.1 0.0 0.0 -0.1 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 -0.0 -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 0.0 -0.1 -0.1 0.0 -0.2 0.0 1.1 -2.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.6 -0.0 -0.1 -0.2 -0.1 CAC 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 1.5 0.2 0.3 0.1 0.2 0.3 -0.0 0.2 0.0 -1.8 1.7 0.1 0.0 0.1 0.0 0.1 0.0 2.3 0.1 0.2 -0.1 0.1 CAD -0.0 0.2 0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 2.5 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.2 -0.1 -0.1 CANOLA 0.0 0.0 -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 4.5 3.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 2.7 0.0 -0.1 -0.2 -0.3 CHF 0.1 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 -0.9 -2.4 0.1 0.0 0.1 0.0 0.0 0.0 -2.5 -0.1 0.3 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 0.0 -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 0.0 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 -0.4 0.0 0.4 0.3 0.3 COPPER -0.2 -0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.2 -0.0 -0.1 -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 -0.0 -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 -0.0 -0.4 -0.2 -0.3 COTTON2 -0.0 0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 1.9 3.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.8 0.0 0.2 0.2 -0.0 CRUDE_W -0.2 0.1 -0.1 -0.1 -0.0 -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 -0.9 -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 0.2 -0.1 0.1 DOW 0.0 0.2 -0.1 0.1 0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 -0.0 0.1 0.0 0.1 -0.6 -0.2 -0.2 -0.2 0.0 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 -0.1 -0.2 -0.0 -0.1 EUR 0.0 0.2 0.2 0.1 0.1 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 0.1 0.0 -1.8 -2.3 0.1 0.0 0.1 0.0 0.0 0.0 -1.1 -0.1 0.1 0.1 0.1 EUROSTX 0.0 0.2 0.2 0.1 0.0 0.1 -0.0 0.0 0.0 0.0 0.4 -0.0 0.3 0.1 0.3 -0.4 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 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.3 -0.0 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 -0.0 -0.1 -0.1 -0.1 GASOILINE -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.1 1.7 0.7 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 -0.0 -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 0.2 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 0.4 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 0.1 0.1 0.1 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 -0.6 -2.7 0.1 0.0 0.1 0.0 0.0 0.0 -1.9 0.0 -0.1 0.1 0.1 HEATOIL -0.2 -0.1 -0.3 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.1 -0.4 0.1 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 2.6 -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 -1.1 -0.6 -0.3 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 0.5 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 -0.1 -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 0.0 -0.0 -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 0.2 0.2 0.3 MXP 0.1 0.2 0.2 0.1 0.0 0.1 0.1 0.0 0.1 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 0.2 0.4 0.1 0.0 0.1 -0.0 0.0 0.0 0.0 0.3 0.0 -0.1 0.1 0.4 -0.6 -0.2 -0.2 -0.1 0.2 0.2 0.0 0.0 0.0 -0.4 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.4 0.3 -0.0 0.3 0.3 NIKKEI 0.2 0.2 0.2 0.0 -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 0.1 -0.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 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 0.1 0.2 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 -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 -0.1 -0.2 REDWHEAT -0.1 0.1 0.0 -0.1 -0.0 -0.1 -0.1 -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 0.0 -0.3 0.1 -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 -2.2 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 -0.0 -0.3 -0.4 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.5 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 -0.0 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 0.2 0.2 0.0 0.1 0.0 -0.9 -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 0.5 -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 -0.1 -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 0.0 -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 -0.3 -0.0 SOYOIL -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 0.5 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 0.1 -0.0 -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 -0.1 -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 0.0 0.1 -0.0 0.0 0.0 0.0 0.2 -0.0 -0.1 0.0 0.3 -0.7 -0.3 -0.2 -0.2 0.1 0.1 -0.0 0.0 0.0 0.3 2.0 0.0 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 0.1 0.3 0.7 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.3 -2.3 0.1 0.0 0.1 0.0 0.0 0.0 2.7 0.0 0.4 0.3 0.3 US10 -0.0 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 -0.9 -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 0.1 0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.1 0.0 -0.2 0.0 0.2 -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 -0.1 0.0 0.0 0.0 0.1 US20 -0.1 0.1 0.2 0.1 0.0 0.0 0.0 -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 0.0 -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 0.1 0.0 0.0 0.1 -0.1 0.0 0.0 0.1 -0.0 -0.3 -0.0 0.1 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.4 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 0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.1 0.0 -0.2 0.0 0.3 -0.9 -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 -0.2 0.6 -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 -0.2 -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 -0.1 -0.0 -0.1 0.0 -0.3 -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 1.9 2.5 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.0 -0.3 -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 -0.1 -3.2 -7.1 4.1 7.3 2.9 5.3 0.1 4.5 11.7 0.2 -0.7 -5.4 -2.9 -11.7 -3.7 -3.1 -3.6 -3.5 -5.6 -5.6 4.8 -6.5 -2.1 13.6 11.7 -1.9 10.1 -2.6 3.8 -3.8 0.1 -0.9 -8.4 -7.8 -17.9 -16.1 BITCOIN -10.9 11.5 20.0 4.4 3.5 3.6 2.8 2.5 3.7 7.9 13.3 0.1 -7.2 10.7 12.8 -3.8 -2.2 -3.5 -2.7 12.1 12.6 2.6 1.4 5.2 5.8 -18.1 4.0 2.8 5.3 0.6 2.2 1.0 0.7 1.4 -17.1 -13.1 12.6 BOBL 0.2 5.2 10.0 3.2 1.4 1.6 2.3 -2.5 2.8 10.0 -4.7 9.1 -12.4 6.3 5.2 11.0 6.4 5.9 4.8 2.4 -4.9 14.2 -14.4 8.0 9.0 10.8 3.4 4.1 -0.1 5.5 -6.3 4.7 11.3 11.9 5.1 3.4 -2.4 BTP -5.0 3.2 2.5 3.2 1.4 1.6 2.3 -2.5 2.8 9.1 6.5 6.8 -8.3 4.0 4.5 8.8 11.7 8.8 10.3 3.1 1.5 8.0 -8.7 4.2 -9.4 11.4 4.3 2.9 3.3 4.9 -3.0 4.2 20.0 4.0 1.4 -12.6 4.6 BUND -1.4 3.6 3.8 3.2 1.4 1.6 2.3 -2.5 2.8 8.8 -6.1 7.8 -12.9 3.5 0.9 6.6 12.6 7.8 9.9 0.5 -6.1 10.7 -16.3 5.4 7.1 12.3 3.2 2.5 -0.0 4.5 -6.6 4.0 20.0 5.5 1.4 -4.5 -2.6 BUXL -2.5 -1.1 -0.7 3.2 1.4 1.6 2.3 -2.5 2.8 5.1 -9.9 5.4 -13.6 -3.5 -5.5 1.5 0.9 2.0 2.3 -4.2 -9.9 4.9 -18.6 0.7 8.6 -10.8 0.9 -1.0 -1.5 1.5 -6.2 1.6 4.6 -3.0 -2.6 -12.7 -9.9 CAC 5.5 13.0 10.4 3.3 1.4 3.2 -0.2 1.8 1.8 -2.6 15.5 -1.8 13.2 11.9 13.2 18.6 4.8 12.1 6.8 16.0 20.0 -1.4 19.3 7.9 -15.8 8.9 5.2 3.6 6.5 3.0 6.4 4.1 17.1 7.9 8.7 -6.4 6.0 CAD -3.9 11.5 3.2 4.1 7.3 2.9 5.3 0.1 4.5 11.2 -4.0 -2.5 -9.8 3.3 1.3 -2.9 -2.0 -2.8 -2.5 -0.1 -3.2 5.2 -7.9 0.6 18.1 10.4 0.9 11.2 -0.9 3.1 -3.6 1.1 0.9 -3.0 -11.2 -7.9 -9.0 CANOLA 3.4 1.7 -17.9 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 8.0 -11.8 -5.6 -13.1 -9.9 -12.3 20.0 20.0 20.0 20.0 -19.6 -20.0 -3.4 -14.0 -13.7 19.8 13.2 -5.9 2.7 -6.1 -1.0 -3.9 -3.8 20.0 12.5 -9.0 -20.0 -20.0 CHF 6.2 16.2 8.2 4.1 7.3 2.9 5.3 0.1 4.5 0.6 14.1 9.4 8.4 13.2 12.9 -14.5 -14.2 -14.3 -14.5 15.5 13.0 8.0 7.0 13.5 -6.8 -11.5 5.5 1.1 4.4 2.8 1.7 4.8 -19.8 -7.5 12.5 12.8 7.9 COCOA -2.4 15.1 18.8 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 1.6 14.9 -1.2 9.2 12.1 13.3 0.4 -1.0 1.3 0.6 17.3 19.6 0.1 13.3 8.1 -20.0 -10.4 5.5 1.1 6.5 -0.1 4.9 2.4 -11.7 4.4 20.0 20.0 20.0 COFFEE 2.3 10.9 16.1 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 -5.1 -0.5 -6.5 -5.4 1.7 8.9 8.1 4.3 6.0 5.0 8.1 4.0 -4.4 -3.0 2.7 5.1 10.0 3.5 -0.6 2.0 -1.4 -0.4 1.5 -3.3 3.1 20.0 20.0 20.0 COPPER -15.4 -8.0 0.7 4.4 3.5 3.6 2.8 2.5 3.7 -6.8 6.8 -12.6 -2.0 -11.2 -7.6 -1.5 -0.7 -1.1 -0.9 -6.9 1.4 -12.6 2.1 -13.3 6.6 11.1 -3.8 -1.8 -0.8 -5.4 0.5 -5.8 3.2 -20.0 -20.0 -20.0 -20.0 CORN -6.0 0.1 -20.0 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 -1.4 -12.7 -10.4 -5.4 -12.4 -14.2 5.9 17.6 12.9 16.5 -19.4 -15.9 -16.4 -6.4 -20.0 20.0 11.0 -6.0 -0.3 -5.4 -4.4 -3.0 -6.0 18.2 -13.3 -20.0 -16.9 -20.0 COTTON2 -0.1 5.6 0.0 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 11.6 -7.8 0.5 -11.8 0.4 -5.1 -3.9 6.4 -3.3 -0.5 -3.9 -7.8 5.3 -9.5 -1.0 7.9 12.0 -2.0 11.4 -3.2 3.5 -1.8 -0.4 -6.1 20.0 12.1 7.6 -0.3 CRUDE_W -15.6 5.2 -6.5 -4.0 -4.6 -2.4 -7.4 -0.2 -6.3 -8.1 0.9 -11.9 -4.1 -4.1 -0.8 8.1 11.1 8.6 9.2 -5.7 -3.1 -20.0 0.1 -13.5 -11.1 10.8 -2.3 -6.3 -1.0 -8.4 1.2 -5.4 -6.4 -4.7 8.4 12.3 7.4 DAX 4.6 9.0 10.2 3.3 1.4 3.2 -0.2 1.8 1.8 6.5 15.8 4.9 10.3 14.0 14.4 -7.7 -6.1 -7.9 -7.6 12.8 16.9 4.1 13.9 8.0 -17.9 9.9 5.4 7.7 6.7 6.5 5.5 5.6 -3.6 19.9 9.0 -6.5 3.3 DOW 1.3 9.5 -3.8 3.3 1.4 3.2 -0.2 1.8 1.8 -2.4 8.5 -3.4 2.8 9.2 4.7 -8.2 -5.6 -7.9 -7.3 3.7 2.7 -4.4 1.6 1.7 -0.2 10.8 2.3 -2.1 2.6 -3.0 2.1 0.2 -3.0 -4.3 -7.3 -1.3 -9.7 EUR 1.6 12.3 9.6 4.1 7.3 2.9 5.3 0.1 4.5 0.1 14.1 8.8 1.4 13.5 12.5 -6.8 -8.3 -7.1 -7.7 12.4 12.2 4.3 4.0 9.2 -12.9 -11.1 5.6 0.5 5.1 1.9 1.2 4.3 -9.1 -8.0 3.4 5.7 5.3 EUROSTX 2.2 10.5 9.4 3.3 1.4 3.2 -0.2 1.8 1.8 2.5 15.8 -0.9 13.2 12.8 13.9 -4.4 3.9 -0.0 2.6 13.5 18.6 0.6 17.2 6.4 -17.4 -8.5 5.3 6.8 7.2 4.7 6.9 4.6 14.0 13.1 5.0 -6.2 2.4 FEEDCOW -5.1 13.2 20.0 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 -13.8 13.5 -7.7 10.7 7.8 13.1 -20.0 -20.0 -20.0 -20.0 20.0 20.0 -15.4 13.6 8.3 -20.0 12.2 5.3 -7.0 5.7 -3.4 4.0 1.9 -20.0 -20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -20.0 -10.2 -18.8 -4.0 -4.6 -2.4 -7.4 -0.2 -6.3 -5.4 -14.2 -12.6 3.6 -14.0 -14.8 3.4 20.0 12.8 19.0 -20.0 -14.3 -20.0 -0.7 -20.0 4.8 -15.4 -5.6 -3.4 -4.2 -7.5 -1.2 -7.3 13.8 -1.5 -4.2 -4.9 -7.1 GASOILINE -20.0 -0.5 -2.4 -4.0 -4.6 -2.4 -7.4 -0.2 -6.3 -8.9 3.7 -13.4 0.8 -8.4 -3.2 20.0 15.3 17.7 13.4 -6.1 -0.3 -20.0 5.0 -16.8 -20.0 -13.1 -2.4 -6.8 0.6 -8.9 3.7 -6.4 -0.1 -1.5 -1.8 11.1 15.8 GAS_US 8.9 -9.9 -20.0 -4.0 -4.6 -2.4 -7.4 -0.2 -6.3 -13.1 -16.7 -12.7 -14.9 -14.6 -15.6 -20.0 -16.2 -20.0 -20.0 -20.0 -20.0 -14.8 -20.0 -14.8 20.0 -9.3 -6.4 -6.0 -7.3 -5.7 -4.5 -5.4 -20.0 12.3 20.0 -0.5 -14.3 GBP 1.3 14.7 10.2 4.1 7.3 2.9 5.3 0.1 4.5 13.5 15.0 12.7 0.5 15.0 14.1 -1.4 -1.9 -1.7 -1.9 13.4 10.7 12.5 1.3 12.7 2.6 9.4 5.4 6.5 3.1 5.3 -1.7 5.5 1.5 6.5 3.1 8.0 3.1 GOLD_micro -8.1 12.9 10.6 4.4 3.5 3.6 2.8 2.5 3.7 4.1 13.1 3.2 4.4 11.1 11.6 -12.2 -11.1 -12.0 -12.0 13.8 14.9 9.0 9.7 9.8 -4.8 -13.8 5.3 2.4 5.3 3.3 3.7 3.8 -15.3 4.7 -5.2 7.4 6.7 HEATOIL -17.0 -8.9 -18.5 -4.0 -4.6 -2.4 -7.4 -0.2 -6.3 -6.6 -13.4 -12.4 2.5 -13.3 -14.4 1.6 20.0 12.9 20.0 -18.6 -13.7 -20.0 -0.8 -20.0 -1.4 -13.6 -5.3 -3.5 -3.3 -7.1 0.8 -7.0 18.9 -3.3 -5.7 -5.1 -6.4 JPY -12.5 -6.1 -2.2 4.1 7.3 2.9 5.3 0.1 4.5 4.8 3.2 -3.6 -7.0 -7.1 -9.7 -16.1 -13.6 -15.6 -14.9 -7.8 -3.7 -5.5 -8.0 -9.8 3.3 9.9 -1.9 0.9 -0.5 -3.3 -4.6 -4.0 -19.7 -20.0 -20.0 -15.8 -15.0 LEANHOG 13.3 -14.3 -20.0 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 -13.0 -14.8 -9.1 -12.6 -13.4 -14.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.3 -15.8 -15.2 20.0 -11.1 -5.8 -6.8 -6.4 -3.7 -4.6 -3.8 -20.0 5.1 -2.5 -20.0 -20.0 LIVECOW -4.3 7.5 8.5 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 -13.4 13.0 -9.0 10.9 7.7 10.4 20.0 7.4 20.0 20.0 9.8 12.0 -15.7 9.5 -0.2 -20.0 12.0 3.2 -8.2 4.5 -5.9 4.6 -0.5 20.0 -13.3 8.7 18.7 20.0 MXP 6.2 15.9 12.9 4.1 7.3 2.9 5.3 0.1 4.5 14.0 15.9 15.3 15.7 16.1 16.1 19.7 20.0 19.5 20.0 19.2 20.0 14.0 20.0 15.0 -20.0 9.7 6.3 7.5 8.5 5.7 9.4 5.0 20.0 3.6 3.3 -15.4 17.9 NASDAQ -5.4 14.1 20.0 3.3 1.4 3.2 -0.2 1.8 1.8 8.3 10.9 5.6 -5.3 12.9 14.4 -9.0 -6.1 -8.3 -7.5 14.5 13.2 5.6 2.0 8.7 -3.9 10.2 5.6 4.1 6.0 2.4 3.3 3.3 -3.4 18.3 -2.2 17.7 20.0 NIKKEI 12.8 14.6 12.9 3.1 -5.9 3.1 -2.6 1.8 1.2 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 8.6 9.7 NZD -1.8 -1.7 -4.1 4.1 7.3 2.9 5.3 0.1 4.5 13.9 6.5 6.9 -1.5 1.5 -8.3 1.5 0.7 1.1 0.8 -2.0 -1.5 12.2 -3.4 2.5 4.0 10.8 0.4 14.5 -0.0 8.9 -1.9 3.2 5.9 11.6 -8.3 -12.4 -13.2 OAT -1.1 3.5 -1.5 3.2 1.4 1.6 2.3 -2.5 2.8 8.9 -6.5 7.5 -12.8 4.2 -1.6 11.2 12.1 10.9 11.5 -0.2 -6.2 9.8 -15.6 4.8 5.2 12.7 2.9 2.7 -0.1 4.7 -6.7 4.0 20.0 5.7 2.4 -7.1 -3.7 OJ -3.4 20.0 6.9 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 -4.3 15.3 -3.8 15.5 11.0 14.1 20.0 20.0 20.0 20.0 20.0 20.0 4.4 20.0 15.2 -20.0 -14.3 6.1 1.5 8.6 0.8 9.5 2.8 20.0 16.0 20.0 20.0 20.0 PALLAD 12.1 15.1 -10.9 4.4 3.5 3.6 2.8 2.5 3.7 -0.8 -13.3 -7.8 -14.3 -1.9 -7.8 -3.7 -2.4 -3.2 -2.9 -5.9 -16.2 -6.5 -20.0 -3.4 20.0 -11.1 0.4 0.8 -2.7 -1.9 -4.3 0.3 0.0 -20.0 -1.1 -16.1 -20.0 PLAT 12.2 15.2 -0.3 4.4 3.5 3.6 2.8 2.5 3.7 -9.0 8.2 -0.6 3.9 5.8 6.9 -2.5 -1.6 -2.4 -2.0 11.9 8.5 -3.0 4.9 8.4 1.3 11.2 4.1 -2.3 2.7 -0.7 1.3 3.1 1.5 -20.0 10.1 -4.5 -16.4 REDWHEAT -13.5 9.2 1.3 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 9.9 -9.8 -4.2 -12.0 -5.1 -4.1 6.3 5.4 8.4 7.8 -7.7 -7.0 -2.2 -5.8 -9.8 0.9 12.9 -3.8 6.5 -2.6 -1.7 -0.9 -4.7 1.4 4.1 -16.8 5.6 -3.0 ROBUSTA 12.2 20.0 20.0 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 10.0 13.0 12.6 8.2 15.3 16.0 11.3 10.2 11.2 10.9 20.0 20.0 17.1 15.9 20.0 -13.0 9.6 6.3 2.6 5.0 3.0 2.8 5.0 6.7 20.0 20.0 20.0 20.0 RUSSELL -0.4 -9.4 -6.0 3.3 1.4 3.2 -0.2 1.8 1.8 -2.2 -7.3 -8.2 -9.9 -11.0 -13.2 -5.8 -4.6 -5.7 -5.5 -10.6 -8.5 -7.5 -7.4 -9.7 11.5 10.0 -4.5 0.3 -2.4 -3.6 -1.0 -4.8 -0.5 -11.8 -17.9 -20.0 -18.6 SILVER-mini -1.3 20.0 6.5 4.4 3.5 3.6 2.8 2.5 3.7 4.6 12.3 3.2 3.4 13.1 12.7 -6.2 -5.2 -6.1 -5.8 18.6 14.8 10.7 7.4 15.5 -4.3 -11.3 4.7 3.0 3.4 3.3 1.3 4.2 -4.9 1.9 -1.6 13.0 -9.4 SOYBEAN -7.7 -13.7 -18.9 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 8.4 -8.9 -7.7 -4.8 -11.0 -11.5 20.0 20.0 20.0 20.0 -18.0 -14.8 -7.4 -5.6 -15.3 3.1 -11.7 -5.5 1.1 -4.5 -1.9 -1.1 -4.3 20.0 5.4 -6.2 -20.0 -20.0 SOYMEAL -19.5 -20.0 -1.1 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 -13.4 6.6 -14.8 10.1 -14.2 -10.7 20.0 20.0 20.0 20.0 -11.7 3.6 -20.0 14.8 -20.0 -20.0 -12.0 -4.1 -4.6 0.5 -6.2 5.0 -6.3 20.0 -13.3 -7.4 -18.9 -0.7 SOYOIL -0.3 -12.2 -20.0 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 9.8 -13.3 -2.3 -7.3 -9.7 -13.0 6.3 11.6 4.4 6.5 -19.6 -19.5 -0.3 -9.8 -12.5 10.1 12.9 -5.9 4.9 -5.9 0.1 -2.7 -3.6 4.3 14.5 -0.8 -19.4 -20.0 SP400 0.5 -6.5 -6.4 3.3 1.4 3.2 -0.2 1.8 1.8 -2.0 0.0 -5.3 -2.0 -3.6 -8.7 -5.8 -4.4 -5.5 -5.2 -6.7 -4.0 -7.4 -1.5 -6.8 7.5 10.2 -3.9 -1.8 -1.8 -3.9 0.2 -4.3 -0.0 -11.3 -16.3 -20.0 -18.3 SP500 -1.6 10.2 8.2 3.3 1.4 3.2 -0.2 1.8 1.8 0.2 9.7 -1.5 -4.2 10.7 10.0 -8.9 -6.4 -8.3 -7.6 6.6 5.2 -1.7 0.1 3.2 2.3 10.2 3.7 0.6 3.9 -1.2 1.7 1.3 -3.8 0.6 -6.1 3.2 1.5 SUGAR11 6.0 19.4 19.2 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 9.9 15.9 11.0 14.0 14.2 15.6 8.5 20.0 17.3 20.0 20.0 20.0 20.0 19.3 20.0 -20.0 -10.5 6.2 2.5 5.5 3.2 4.2 5.3 20.0 20.0 20.0 20.0 20.0 US10 -3.9 11.2 12.4 3.2 1.4 1.6 2.3 -2.5 2.8 6.5 5.8 6.4 -9.6 10.9 10.8 -10.6 -5.6 -9.7 -8.7 6.8 2.3 8.5 -7.7 7.4 -3.0 9.7 4.8 2.7 3.1 3.6 -1.5 4.2 -10.8 6.3 5.4 5.7 4.5 US10U -5.1 9.5 12.1 3.2 1.4 1.6 2.3 -2.5 2.8 4.7 5.4 4.5 -9.7 8.3 9.6 -7.9 -0.1 -4.5 -2.6 5.3 1.5 5.6 -8.3 5.2 -4.6 -14.1 4.8 1.5 3.6 2.8 -0.9 3.7 -0.6 2.0 1.5 0.1 5.0 US20 -7.8 8.4 12.8 3.2 1.4 1.6 2.3 -2.5 2.8 3.0 6.5 1.1 -8.3 4.8 8.8 -1.5 -1.5 -2.2 -2.6 4.3 1.4 2.3 -7.8 3.1 -1.3 -12.3 4.2 -0.0 3.1 1.4 -1.5 2.8 -2.0 -2.5 -3.5 -3.7 2.7 US30 -7.2 4.5 11.0 3.2 1.4 1.6 2.3 -2.5 2.8 0.9 4.2 -3.2 -10.0 -0.3 3.2 -1.9 -0.9 -1.5 -1.3 0.9 -1.5 -0.4 -11.3 -0.1 -3.1 10.0 3.3 -1.4 2.8 0.2 -2.2 1.6 -0.2 -7.5 -5.9 -14.0 0.2 US5 -2.4 11.8 14.3 3.2 1.4 1.6 2.3 -2.5 2.8 6.8 5.5 7.5 -9.7 11.5 11.2 -10.5 -6.0 -10.1 -9.3 7.6 2.6 10.4 -7.6 8.9 -1.6 10.8 4.6 3.1 2.7 4.1 -2.2 4.4 -11.8 9.5 7.8 9.7 2.6 VIX -1.3 -4.2 9.8 -2.9 -0.5 -6.6 0.7 -8.6 -0.5 -2.2 -14.1 -0.9 -14.0 -11.2 -11.2 -20.0 -20.0 -20.0 -20.0 -6.7 -11.0 -0.0 -13.8 -3.4 NaN -13.5 -3.4 -0.6 -8.5 0.9 -11.9 -0.5 NaN NaN NaN NaN NaN WHEAT -5.1 -0.4 -5.8 -4.3 -1.2 -3.1 -5.8 -2.0 -5.9 9.3 -14.8 -6.4 -15.2 -10.3 -13.4 -12.5 -9.2 -12.3 -11.1 -19.4 -19.8 -8.1 -16.7 -17.7 12.4 11.9 -5.6 3.2 -4.8 -2.5 -2.8 -5.4 -20.0 -1.8 -16.7 -12.5 -18.3 End of report for caleb_strategy_v1