******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230508_204656 produced at 2023-05-08 21:37:32.855904 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 US10U False False 0.05 -0.29 -0.29 0.0 4.809479e+07 -4.809479e+07 -0.29 -0.29 -6.00 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.20 0.0 8.992283e+06 -8.992283e+06 -0.15 -0.13 -22.69 999999999.0 -17 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.13 0.0 5.617193e+07 -5.617193e+07 -0.11 -0.11 -2.33 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.703846e+07 -3.703846e+07 -0.37 -0.37 -3.40 999999999.0 -10 -10 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.11 0.0 5.487382e+07 -5.487382e+07 -0.11 -0.11 -1.94 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.171309e+07 -5.171309e+07 0.00 0.00 -1.68 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.08 0.0 1.358392e+07 -1.358392e+07 -0.10 -0.10 -6.14 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.04 -0.04 -0.05 0.0 4.443421e+07 -4.443421e+07 -0.04 -0.04 -1.15 999999999.0 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.035010e+07 -6.035010e+07 0.00 0.00 -0.60 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.04 0.0 8.071967e+06 -8.071967e+06 -0.04 -0.03 -5.19 999999999.0 -5 -4 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.177750e+07 -1.177750e+07 -0.06 -0.06 -2.18 999999999.0 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 3.968605e+07 -3.968605e+07 0.00 0.00 -0.40 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.744437e+07 -2.744437e+07 -0.03 -0.03 -0.57 999999999.0 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.601053e+06 -9.601053e+06 -0.02 -0.02 -0.97 999999999.0 -2 -2 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.01 0.0 3.983645e+07 -3.983645e+07 -0.08 -0.08 -0.35 999999999.0 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.586276e+07 -2.586276e+07 0.00 0.00 -0.50 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.00 -0.01 0.0 1.670734e+07 -1.670734e+07 0.00 -0.02 -0.59 999999999.0 0 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.585045e+07 -4.585045e+07 0.00 0.00 -0.20 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.092403e+06 -1.092403e+06 -0.02 -0.02 -5.24 999999999.0 -18 -20 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.175231e+07 -6.175231e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.659196e+07 -1.659196e+07 0.00 0.00 0.15 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.00 0.0 4.374910e+07 -4.374910e+07 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.551467e+07 -1.551467e+07 0.00 0.00 -0.29 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.12 0.00 0.0 3.500624e+06 -3.500624e+06 -0.12 -0.04 1.01 999999999.0 -34 -12 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.356800e+07 -1.356800e+07 -0.05 -0.05 -0.25 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.905377e+07 -1.905377e+07 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.701041e+06 -6.701041e+06 0.00 0.00 1.88 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.161771e+07 -1.161771e+07 0.01 0.01 0.66 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.272687e+07 -1.272687e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.750654e+07 -2.750654e+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 3.903785e+07 -3.903785e+07 0.00 0.00 0.35 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.654620e+07 -1.654620e+07 0.02 0.02 0.62 999999999.0 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.831828e+06 -9.831828e+06 0.02 0.02 2.16 999999999.0 2 2 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.500810e+07 -5.500810e+07 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.257184e+07 -8.257184e+07 0.00 0.00 0.24 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.354348e+06 -4.354348e+06 0.00 0.00 5.46 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.156556e+07 -2.156556e+07 0.00 0.00 0.96 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.02 0.0 2.703653e+07 -2.703653e+07 0.00 0.00 0.66 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.02 0.0 2.825407e+07 -2.825407e+07 0.08 0.08 0.54 999999999.0 3 3 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.051421e+07 -1.051421e+07 0.05 0.05 1.66 999999999.0 5 5 caleb_strategy_v1 SP400 False False 0.10 0.69 0.03 0.0 9.792437e+07 -9.792437e+07 0.69 0.78 0.27 999999999.0 7 8 caleb_strategy_v1 NZD False False 0.03 0.00 0.03 0.0 2.525001e+07 -2.525001e+07 0.00 0.00 1.14 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.03 0.0 7.046555e+06 -7.046555e+06 0.00 0.00 4.36 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.530572e+07 -2.530572e+07 0.00 0.00 1.15 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.109115e+07 -1.109115e+07 0.00 0.00 4.18 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.05 0.0 3.140585e+07 -3.140585e+07 0.28 0.25 1.62 999999999.0 9 8 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.977798e+07 -2.977798e+07 0.00 0.00 1.79 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.062900e+08 -1.062900e+08 0.00 0.00 0.53 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.06 0.0 5.026540e+07 -5.026540e+07 0.15 0.15 1.23 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.08 0.0 5.693290e+07 -5.693290e+07 0.00 0.00 1.45 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.09 0.0 3.265011e+07 -3.265011e+07 0.03 0.03 2.75 999999999.0 1 1 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.548875e+07 -2.548875e+07 0.00 0.00 3.78 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 4.67 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.42 0.28 0.0 5.946725e+07 -5.946725e+07 0.42 0.42 4.73 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 49.78 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.43 0.0 5.186858e+07 -5.186858e+07 0.00 0.00 8.20 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 17.7 Shocked risk 51.4 Sum abs risk 48.9 Leverage 3.45 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2513266.1, 'annual_cash_vol_target': 628316.525, 'daily_cash_vol_target': 39269.7828125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6795 0.6621 10.5933 BITCOIN 1030.0264 27455.0000 3.7517 60.0270 BOBL 0.4342 118.0900 0.3677 5.8826 BTP 0.6853 114.4400 0.5988 9.5813 BUND 0.7910 135.3900 0.5842 9.3479 BUXL 1.7990 137.4000 1.3093 20.9489 CAC 57.4924 7433.5000 0.7734 12.3748 CAD 0.0035 0.7484 0.4743 7.5886 CANOLA 8.9292 731.5000 1.2207 19.5307 CHF 0.0055 1.1294 0.4870 7.7922 COCOA 32.3969 2960.0000 1.0945 17.5119 COFFEE 3.5220 184.3500 1.9105 30.5682 COPPER 0.0441 3.9245 1.1228 17.9642 CORN 5.6861 528.5000 1.0759 17.2142 COTTON2 1.4728 83.1700 1.7709 28.3336 CRUDE_W 1.5251 71.0100 2.1477 34.3639 DAX 124.0376 16043.0000 0.7732 12.3705 DOW 260.8909 33683.0000 0.7745 12.3928 EUR 0.0053 1.1033 0.4776 7.6420 EUROSTX 36.7651 4338.0000 0.8475 13.5602 FEEDCOW 1.5424 223.3500 0.6906 11.0491 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.6809 689.7500 2.1284 34.0549 GASOILINE 0.0508 2.3748 2.1380 34.2076 GAS_US 0.1006 2.4130 4.1671 66.6744 GBP 0.0066 1.2629 0.5253 8.4045 GOLD_micro 17.6231 2028.7000 0.8687 13.8990 HEATOIL 0.0464 2.3838 1.9468 31.1489 JPY 0.0001 0.0074 0.7003 11.2045 LEANHOG 1.3735 85.3500 1.6093 25.7483 LIVECOW 0.9540 160.1500 0.5957 9.5309 MXP 0.0003 0.0558 0.6236 9.9772 NASDAQ 120.7594 13356.7500 0.9041 14.4657 NIKKEI 246.1941 28665.0000 0.8589 13.7419 NZD 0.0043 0.6346 0.6765 10.8240 OAT 0.7355 129.6200 0.5674 9.0783 OJ 4.2471 259.9500 1.6338 26.1412 PALLAD 33.4775 1552.0000 2.1571 34.5128 PLAT 17.1578 1084.0000 1.5828 25.3252 REDWHEAT 15.9702 834.0000 1.9149 30.6382 ROBUSTA 27.8121 2471.0000 1.1255 18.0087 RUSSELL 20.9408 1759.6000 1.1901 19.0415 SILVER-mini 0.3540 26.0000 1.3615 21.7837 SOYBEAN 10.2125 1272.0000 0.8029 12.8459 SOYMEAL 4.3887 419.9000 1.0452 16.7228 SOYOIL 0.8012 53.3100 1.5029 24.0466 SP400 26.1370 2461.1000 1.0620 16.9921 SP500 33.8074 4150.5000 0.8145 13.0326 SUGAR11 0.3954 26.0700 1.5166 24.2651 US10 0.5768 115.2344 0.5005 8.0084 US10U 0.7495 120.8750 0.6201 9.9215 US20 1.0708 129.9688 0.8239 13.1820 US30 1.5107 138.2500 1.0927 17.4834 US5 0.4222 109.9531 0.3839 6.1430 VIX 0.6523 22.6000 2.8865 46.1837 WHEAT 11.3850 682.0000 1.6694 26.7097 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 679.50 0.66 449.89 1.00 449.89 39269.78 87.29 4.70 41.05 BITCOIN 27.46 3.75 103.00 1.00 103.00 39269.78 381.25 -5.83 -222.23 BOBL 1180.90 0.37 434.17 1.10 479.18 39269.78 81.95 13.86 113.61 BTP 1144.40 0.60 685.30 1.10 756.33 39269.78 51.92 11.74 60.95 BUND 1353.90 0.58 791.01 1.10 873.00 39269.78 44.98 14.58 65.59 BUXL 1374.00 1.31 1798.99 1.10 1985.45 39269.78 19.78 -3.64 -7.19 CAC 743.35 0.77 574.92 1.10 634.52 39269.78 61.89 15.82 97.88 CAD 748.40 0.47 354.96 1.00 354.96 39269.78 110.63 9.04 99.97 CANOLA 146.30 1.22 178.58 0.74 132.15 39269.78 297.17 20.00 594.33 CHF 1411.75 0.49 687.54 1.00 687.54 39269.78 57.12 -10.92 -62.36 COCOA 296.00 1.09 323.97 1.00 323.97 39269.78 121.21 -8.24 -99.86 COFFEE 691.31 1.91 1320.76 1.00 1320.76 39269.78 29.73 9.96 29.60 COPPER 981.12 1.12 1101.57 1.00 1101.57 39269.78 35.65 3.58 12.77 CORN 264.25 1.08 284.30 1.00 284.30 39269.78 138.13 13.32 184.00 COTTON2 415.85 1.77 736.41 1.00 736.41 39269.78 53.33 7.69 40.98 CRUDE_W 710.10 2.15 1525.11 1.00 1525.11 39269.78 25.75 1.60 4.12 DAX 160.43 0.77 124.04 1.10 136.89 39269.78 286.86 2.80 80.33 DOW 168.42 0.77 130.45 1.00 130.45 39269.78 301.04 2.19 65.94 EUR 1379.12 0.48 658.70 1.00 658.70 39269.78 59.62 -8.69 -51.83 EUROSTX 433.80 0.85 367.65 1.10 405.76 39269.78 96.78 0.92 8.86 FEEDCOW 1116.75 0.69 771.19 1.00 771.19 39269.78 50.92 -8.42 -42.85 FTSE100 707.00 0.82 576.59 1.26 666.67 39269.78 58.90 7.70 45.34 GASOIL 689.75 2.13 1468.09 1.00 1468.09 39269.78 26.75 -2.98 -7.97 GASOILINE 997.42 2.14 2132.45 1.00 2132.45 39269.78 18.42 -5.30 -9.76 GAS_US 241.30 4.17 1005.53 1.00 1005.53 39269.78 39.05 -16.42 -64.12 GBP 789.31 0.53 414.61 1.00 414.61 39269.78 94.71 9.55 90.50 GOLD_micro 202.87 0.87 176.23 1.00 176.23 39269.78 222.83 -10.42 -232.09 HEATOIL 1001.20 1.95 1949.13 1.00 1949.13 39269.78 20.15 -2.44 -4.91 JPY 930.88 0.70 651.87 1.00 651.87 39269.78 60.24 -8.71 -52.48 LEANHOG 341.40 1.61 549.40 1.00 549.40 39269.78 71.48 -18.39 -131.45 LIVECOW 640.60 0.60 381.59 1.00 381.59 39269.78 102.91 13.65 140.49 MXP 278.75 0.62 173.82 1.00 173.82 39269.78 225.92 15.11 341.43 NASDAQ 2671.35 0.90 2415.19 1.00 2415.19 39269.78 16.26 6.05 9.84 NIKKEI 28665.00 0.86 24619.41 0.01 181.12 39269.78 216.82 12.09 262.12 NZD 634.60 0.68 429.31 1.00 429.31 39269.78 91.47 7.78 71.17 OAT 1296.20 0.57 735.46 1.10 811.69 39269.78 48.38 14.88 72.01 OJ 389.92 1.63 637.07 1.00 637.07 39269.78 61.64 -2.66 -16.42 PALLAD 1552.00 2.16 3347.75 1.00 3347.75 39269.78 11.73 -1.47 -1.72 PLAT 542.00 1.58 857.89 1.00 857.89 39269.78 45.77 8.74 39.99 REDWHEAT 417.00 1.91 798.51 1.00 798.51 39269.78 49.18 5.76 28.33 ROBUSTA 247.10 1.13 278.12 1.00 278.12 39269.78 141.20 11.80 166.66 RUSSELL 87.98 1.19 104.70 1.00 104.70 39269.78 375.05 0.52 19.56 SILVER-mini 650.00 1.36 884.96 1.00 884.96 39269.78 44.37 -4.99 -22.15 SOYBEAN 636.00 0.80 510.62 1.00 510.62 39269.78 76.91 2.54 19.55 SOYMEAL 419.90 1.05 438.87 1.00 438.87 39269.78 89.48 -1.11 -9.96 SOYOIL 319.86 1.50 480.72 1.00 480.72 39269.78 81.69 6.62 54.07 SP400 2461.10 1.06 2613.70 1.00 2613.70 39269.78 15.02 3.42 5.14 SP500 2075.25 0.81 1690.37 1.00 1690.37 39269.78 23.23 3.65 8.49 SUGAR11 291.98 1.52 442.81 1.00 442.81 39269.78 88.68 5.49 48.64 US10 1152.34 0.50 576.78 1.00 576.78 39269.78 68.08 -0.76 -5.17 US10U 1208.75 0.62 749.54 1.00 749.54 39269.78 52.39 -7.86 -41.16 US20 1299.69 0.82 1070.78 1.00 1070.78 39269.78 36.67 -6.20 -22.75 US30 1382.50 1.09 1510.68 1.00 1510.68 39269.78 25.99 1.95 5.06 US5 1099.53 0.38 422.15 1.00 422.15 39269.78 93.02 -0.21 -1.93 VIX 226.00 2.89 652.34 1.00 652.34 39269.78 60.20 -20.00 -120.40 WHEAT 341.00 1.67 569.25 1.00 569.25 39269.78 68.99 -6.89 -47.54 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 41.053 0.006 2.5 0.656 BITCOIN -222.227 0.009 2.5 -5.236 BOBL 113.606 0.029 2.5 8.198 BTP 60.946 0.008 2.5 1.231 BUND 65.586 0.029 2.5 4.733 BUXL -7.192 0.034 2.5 -0.604 CAC 97.881 0.011 2.5 2.752 CAD 99.975 0.007 2.5 1.785 CANOLA 594.333 0.004 2.5 5.456 CHF -62.360 0.015 2.5 -2.334 COCOA -99.860 0.009 2.5 -2.175 COFFEE 29.601 0.005 2.5 0.384 COPPER 12.773 0.011 2.5 0.349 CORN 183.998 0.004 2.5 1.660 COTTON2 40.984 0.006 2.5 0.617 CRUDE_W 4.117 0.053 2.5 0.544 DAX 80.331 0.022 2.5 4.363 DOW 65.936 0.011 2.5 1.879 EUR -51.829 0.015 2.5 -1.940 EUROSTX 8.859 0.011 2.5 0.249 FEEDCOW -42.850 0.011 2.5 -1.151 FTSE100 45.343 0.041 2.5 4.674 GASOIL -7.971 0.029 2.5 -0.569 GASOILINE -9.757 0.016 2.5 -0.401 GAS_US -64.115 0.006 2.5 -0.965 GBP 90.500 0.007 2.5 1.616 GOLD_micro -232.085 0.009 2.5 -5.193 HEATOIL -4.907 0.029 2.5 -0.350 JPY -52.478 0.026 2.5 -3.397 LEANHOG -131.445 0.019 2.5 -6.141 LIVECOW 140.491 0.011 2.5 3.775 MXP 341.428 0.005 2.5 4.180 NASDAQ 9.841 0.022 2.5 0.534 NIKKEI 262.117 0.076 2.5 49.785 NZD 71.166 0.006 2.5 1.137 OAT 72.006 0.008 2.5 1.454 OJ -16.419 0.007 2.5 -0.286 PALLAD -1.723 0.010 2.5 -0.041 PLAT 39.986 0.010 2.5 0.962 REDWHEAT 28.325 0.002 2.5 0.151 ROBUSTA 166.655 0.005 2.5 2.161 RUSSELL 19.557 0.021 2.5 1.013 SILVER-mini -22.148 0.009 2.5 -0.496 SOYBEAN 19.549 0.024 2.5 1.153 SOYMEAL -9.963 0.024 2.5 -0.587 SOYOIL 54.068 0.004 2.5 0.496 SP400 5.138 0.021 2.5 0.266 SP500 8.489 0.011 2.5 0.242 SUGAR11 48.645 0.005 2.5 0.660 US10 -5.175 0.015 2.5 -0.199 US10U -41.163 0.058 2.5 -5.998 US20 -22.749 0.029 2.5 -1.677 US30 5.061 0.034 2.5 0.425 US5 -1.931 0.015 2.5 -0.074 VIX -120.396 0.075 2.5 -22.689 WHEAT -47.538 0.002 2.5 -0.254 ==================== Position diags ==================== AUD 1.39 BITCOIN 8.98 BOBL 5.91 BTP 1.05 BUND 3.25 BUXL 1.66 CAC 1.74 CAD 1.98 CANOLA 2.73 CHF 2.14 COCOA 2.64 COFFEE 0.39 COPPER 0.97 CORN 1.25 COTTON2 0.80 CRUDE_W 3.40 DAX 15.58 DOW 8.58 EUR 2.23 EUROSTX 2.72 FEEDCOW 1.37 FTSE100 6.07 GASOIL 1.91 GASOILINE 0.76 GAS_US 0.59 GBP 1.69 GOLD_micro 4.99 HEATOIL 1.44 JPY 3.90 LEANHOG 3.34 LIVECOW 2.77 MXP 2.77 NASDAQ 0.88 NIKKEI 41.18 NZD 1.46 OAT 0.98 OJ 1.08 PALLAD 0.28 PLAT 1.10 REDWHEAT 0.26 ROBUSTA 1.83 RUSSELL 19.43 SILVER-mini 0.99 SOYBEAN 4.53 SOYMEAL 5.28 SOYOIL 0.75 SP400 0.78 SP500 0.66 SUGAR11 1.20 US10 2.61 US10U 7.63 US20 2.70 US30 2.18 US5 3.57 VIX 11.34 WHEAT 0.37 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.5 0.8 0.0 0 BITCOIN -5.2 -6.1 -4.3 -18.0 -18 BOBL 8.2 7.6 8.8 0.0 0 BTP 1.2 1.1 1.3 3.0 3 BUND 4.7 4.4 5.1 7.0 7 BUXL -0.6 -0.8 -0.4 0.0 0 CAC 2.8 2.6 2.9 1.0 1 CAD 1.8 1.6 2.0 0.0 0 CANOLA 5.5 5.2 5.7 NaN 0 CHF -2.3 -2.5 -2.1 -2.0 -2 COCOA -2.2 -2.4 -1.9 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.3 0.3 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 0.5 0.2 0.9 3.0 3 DAX 4.4 2.8 5.9 0.0 0 DOW 1.9 1.0 2.7 0.0 0 EUR -1.9 -2.2 -1.7 -2.0 -2 EUROSTX 0.2 -0.0 0.5 0.0 0 FEEDCOW -1.2 -1.3 -1.0 -1.0 -1 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL -0.6 -0.8 -0.4 -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 1.8 9.0 9 GOLD_micro -5.2 -5.7 -4.7 -5.0 -5 HEATOIL -0.4 -0.5 -0.2 -2.0 -2 JPY -3.4 -3.8 -3.0 -10.0 -10 LEANHOG -6.1 -6.5 -5.8 -7.0 -7 LIVECOW 3.8 3.5 4.1 0.0 0 MXP 4.2 3.9 4.5 0.0 0 NASDAQ 0.5 0.4 0.6 0.0 0 NIKKEI 49.8 45.7 53.9 0.0 0 NZD 1.1 1.0 1.3 0.0 0 OAT 1.5 1.4 1.6 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.0 -0.1 -0.0 0.0 0 PLAT 1.0 0.9 1.1 0.0 0 REDWHEAT 0.2 0.1 0.2 0.0 0 ROBUSTA 2.2 2.0 2.3 2.0 2 RUSSELL 1.0 -0.9 3.0 -34.0 -34 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.2 0.7 1.6 0.0 0 SOYMEAL -0.6 -1.1 -0.1 0.0 0 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 0.3 0.2 0.3 7.0 7 SP500 0.2 0.2 0.3 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.2 -0.5 0.1 NaN 0 US10U -6.0 -6.8 -5.2 -6.0 -6 US20 -1.7 -1.9 -1.4 0.0 0 US30 0.4 0.2 0.6 0.0 0 US5 -0.1 -0.4 0.3 0.0 0 VIX -22.7 -23.8 -21.6 -17.0 -17 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 -0.0 -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 0.0 -0.1 -0.2 -0.2 BITCOIN -0.2 0.1 0.3 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 0.3 -0.0 -0.2 0.0 0.3 -0.2 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 0.0 1.4 -4.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.1 -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 -0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -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 -1.1 2.2 0.0 -0.0 0.0 0.0 -0.0 0.0 2.7 0.1 0.0 -0.2 0.1 BUND -0.0 0.0 0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.0 0.0 0.6 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 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.1 0.0 0.0 0.0 -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 0.0 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 1.6 0.2 0.3 0.2 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 2.3 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 0.1 -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 0.1 -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 0.2 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 0.2 0.1 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 0.1 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 0.9 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 0.3 -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 -0.2 0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 1.8 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 -0.1 -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 -1.4 2.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.9 -0.0 0.1 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 0.0 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 0.1 0.0 -1.8 -2.3 0.1 -0.0 0.1 0.0 0.0 0.0 -1.1 -0.1 0.0 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 -0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.3 -0.0 0.2 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 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 -0.0 0.1 -0.1 -0.4 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 1.8 0.0 -0.1 -0.1 -0.1 GASOILINE -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -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 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -1.6 -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 0.1 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 0.3 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 -0.1 -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 2.5 -0.0 -0.1 -0.1 -0.1 JPY -0.1 -0.1 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.1 -0.0 -0.2 -0.0 -0.2 -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 -0.1 -0.3 -0.3 LIVECOW -0.1 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 0.1 0.3 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 -0.1 0.3 NASDAQ -0.1 0.2 0.4 0.1 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.0 -0.1 0.1 0.4 -0.6 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.0 0.0 -0.4 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.3 -0.0 0.2 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 -0.1 -0.2 -0.2 OAT 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 0.9 0.5 0.2 0.3 -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 0.3 0.0 -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 0.4 0.3 0.3 PALLAD 0.1 0.3 -0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.3 -0.0 -0.4 -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 0.1 -0.2 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 -0.1 -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 0.1 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 -0.1 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 0.2 -0.1 -0.3 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 -0.0 -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 -0.2 -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 1.3 2.4 -0.1 -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 0.0 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 -0.5 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 0.0 -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 0.0 0.0 -0.0 -0.1 0.0 -0.2 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.0 -0.0 0.0 US30 -0.1 0.1 0.2 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.3 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.3 2.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.2 0.0 US5 -0.0 0.2 0.3 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 0.1 0.0 -0.2 0.0 0.3 -0.9 -0.3 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.0 -0.3 2.4 0.1 -0.0 0.0 0.0 -0.0 0.0 -1.7 0.0 0.0 0.1 0.0 VIX -0.0 -0.3 0.6 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 -0.5 -0.0 -0.5 -0.1 -0.4 -3.1 -1.6 -0.8 -0.8 -0.1 -0.2 -0.0 -0.2 -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 1.1 -2.3 -7.1 4.2 5.6 3.0 5.2 0.1 4.7 13.3 0.3 4.5 -5.3 0.4 -11.1 -3.7 -3.1 -3.7 -3.5 -4.5 -5.3 9.8 -6.4 0.7 13.6 11.7 -1.2 13.2 -2.4 6.9 -3.7 1.9 -0.9 1.0 -4.2 -16.0 -16.0 BITCOIN -15.3 8.4 20.0 4.4 4.0 3.7 3.5 2.6 4.0 -6.4 13.1 -4.7 -7.2 8.5 12.2 -3.9 -2.2 -3.5 -2.7 10.1 11.2 -2.6 1.3 2.8 6.4 -18.1 3.6 -4.7 5.2 -2.1 2.2 -0.1 0.6 -11.1 -20.0 -15.2 11.5 BOBL 1.7 4.5 10.9 3.1 -2.1 1.7 0.5 -2.5 2.2 3.2 -4.4 7.1 -12.4 5.1 5.4 11.1 6.5 6.1 4.9 2.4 -4.7 9.4 -14.4 7.0 8.8 10.8 3.4 0.2 -0.0 3.4 -6.3 4.2 11.5 14.8 5.8 2.4 -2.2 BTP -3.8 2.4 2.7 3.1 -2.1 1.7 0.5 -2.5 2.2 2.0 6.6 4.2 -8.3 2.2 4.2 9.1 11.7 8.9 10.3 2.8 1.4 3.7 -8.7 3.0 -9.2 11.4 4.1 -1.6 3.2 2.2 -3.0 3.2 20.0 7.4 1.7 -11.0 4.5 BUND -0.2 2.8 4.5 3.1 -2.1 1.7 0.5 -2.5 2.2 1.7 -6.0 5.4 -12.9 2.1 0.9 6.6 12.5 7.8 9.8 0.4 -6.1 5.9 -16.3 4.2 7.2 12.3 3.0 -1.7 -0.0 1.9 -6.5 3.1 20.0 7.7 1.6 -4.9 -2.5 BUXL -1.6 -1.8 -0.3 3.1 -2.1 1.7 0.5 -2.5 2.2 -3.5 -9.9 1.8 -13.7 -5.0 -5.7 1.5 1.0 2.0 2.3 -4.6 -10.0 0.0 -18.8 -0.9 9.0 -10.8 0.5 -4.3 -1.5 -0.8 -6.2 0.5 4.6 -1.1 -2.8 -12.8 -9.8 CAC 3.9 14.5 11.5 3.3 2.8 3.3 0.9 1.9 2.1 1.6 15.5 -1.1 13.2 11.9 13.1 18.9 5.0 12.5 7.2 16.5 20.0 0.4 20.0 8.1 -15.8 8.9 5.3 4.3 6.6 3.5 6.5 4.4 17.5 5.8 9.2 -5.6 6.1 CAD -4.0 12.6 3.4 4.2 5.6 3.0 5.2 0.1 4.7 13.1 -3.3 2.4 -9.7 5.2 2.3 -2.9 -2.0 -2.8 -2.5 1.0 -2.8 10.5 -7.8 3.5 17.8 10.4 1.4 12.1 -0.6 5.7 -3.4 2.5 0.9 7.6 -7.9 -5.3 -8.6 CANOLA 5.0 2.2 -18.3 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 9.9 -11.8 -3.0 -13.2 -8.4 -12.0 20.0 20.0 20.0 20.0 -19.1 -20.0 0.1 -14.3 -11.7 20.0 13.2 -5.8 2.8 -6.2 -0.2 -4.1 -3.3 20.0 16.0 -6.9 -20.0 -20.0 CHF 5.2 16.4 8.7 4.2 5.6 3.0 5.2 0.1 4.7 -0.3 14.2 7.9 8.6 13.0 12.9 -14.6 -14.2 -14.4 -14.5 15.7 13.4 6.8 7.3 13.0 -6.7 -11.5 5.5 0.6 4.5 2.4 1.8 4.6 -19.9 -12.1 10.7 10.1 8.1 COCOA -2.3 14.7 19.2 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 9.4 14.9 2.0 9.4 12.5 13.5 -0.2 -1.0 1.1 0.5 17.5 19.9 3.9 13.7 9.1 -20.0 -10.4 5.6 3.3 6.6 1.2 5.0 2.8 -11.8 10.1 20.0 20.0 20.0 COFFEE -0.6 10.9 16.3 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 -8.0 -0.5 -8.9 -5.3 1.1 8.5 8.1 4.4 6.1 5.1 7.4 3.8 -5.4 -3.0 1.6 5.1 10.0 3.4 -2.2 2.0 -1.8 -0.4 1.1 -3.3 -1.7 20.0 20.0 20.0 COPPER -16.3 -8.5 0.2 4.4 4.0 3.7 3.5 2.6 4.0 4.3 6.7 -10.9 -2.0 -10.6 -8.0 -1.6 -0.7 -1.2 -1.0 -6.9 1.2 -8.1 2.0 -11.8 7.0 11.1 -3.8 1.5 -0.9 -3.5 0.5 -5.2 3.2 -20.0 -20.0 -20.0 -20.0 CORN -8.4 0.5 -20.0 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 -4.2 -12.8 -10.5 -5.6 -12.2 -14.2 5.7 17.5 12.6 16.3 -19.9 -16.4 -16.1 -6.7 -20.0 20.0 11.0 -6.1 -1.4 -5.5 -4.2 -3.0 -5.8 17.9 -13.7 -20.0 -16.6 -20.0 COTTON2 0.3 6.7 -0.7 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 10.8 -7.3 2.8 -11.8 1.9 -4.6 -3.6 6.4 -3.2 -0.5 -3.3 -7.7 7.0 -9.6 0.4 7.2 12.0 -1.6 9.5 -3.1 4.7 -1.8 0.6 -6.2 20.0 12.4 9.0 0.3 CRUDE_W -17.9 5.8 -6.3 -4.1 -0.7 -2.5 -5.4 -0.2 -5.8 -1.5 0.6 -9.6 -4.3 -4.1 -1.1 8.0 11.1 8.5 9.1 -5.9 -3.3 -15.0 -0.0 -12.2 -11.3 10.8 -2.4 -1.5 -1.1 -6.3 1.1 -5.0 -6.6 -6.1 7.7 12.8 7.3 DAX 4.0 10.3 10.8 3.3 2.8 3.3 0.9 1.9 2.1 11.6 15.9 8.7 10.5 14.5 14.7 -7.8 -6.1 -7.9 -7.6 13.4 17.7 5.3 14.7 8.5 -17.9 9.9 5.6 6.4 6.7 6.4 5.5 5.8 -3.6 18.3 9.7 -6.0 3.5 DOW -0.8 10.2 -4.0 3.3 2.8 3.3 0.9 1.9 2.1 -1.3 8.5 -2.7 2.9 9.0 4.8 -8.2 -5.7 -7.9 -7.3 3.6 2.8 -3.5 1.6 1.5 -0.1 10.8 2.2 -0.9 2.6 -2.4 2.2 0.1 -3.0 -7.5 -8.1 -2.6 -9.6 EUR 0.8 12.0 9.8 4.2 5.6 3.0 5.2 0.1 4.7 -4.1 14.2 6.3 1.5 13.2 12.5 -6.9 -8.3 -7.1 -7.7 12.2 12.4 2.8 4.1 8.4 -12.9 -11.1 5.6 -0.5 5.2 1.3 1.3 3.9 -9.1 -13.8 1.4 4.4 4.7 EUROSTX 1.5 11.9 10.4 3.3 2.8 3.3 0.9 1.9 2.1 9.1 15.8 2.2 13.2 13.2 14.0 -4.5 3.9 -0.2 2.4 14.1 19.6 3.1 18.2 7.2 -17.3 -8.5 5.5 7.2 7.2 5.5 6.8 5.1 13.8 12.5 6.1 -5.5 2.6 FEEDCOW -8.5 11.3 20.0 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 -10.4 13.3 -8.4 10.6 6.5 12.5 -20.0 -20.0 -20.0 -20.0 19.9 20.0 -14.6 13.3 5.7 -20.0 12.2 5.1 -4.8 5.7 -3.4 4.1 1.4 -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 -18.9 -9.2 -18.5 -4.1 -0.7 -2.5 -5.4 -0.2 -5.8 1.7 -14.1 -9.5 3.4 -12.3 -14.4 3.1 20.0 12.4 18.7 -19.4 -14.2 -15.9 -0.9 -20.0 4.9 -15.4 -5.5 0.8 -4.3 -5.0 -1.3 -6.5 13.3 4.1 -2.7 -4.9 -6.9 GASOILINE -20.0 -0.7 -2.7 -4.1 -0.7 -2.5 -5.4 -0.2 -5.8 -1.5 3.5 -11.1 0.6 -8.1 -3.5 20.0 15.3 17.8 13.5 -6.2 -0.5 -16.8 4.7 -15.0 -20.0 -13.1 -2.5 -1.7 0.4 -6.6 3.7 -5.9 -0.1 -1.9 -2.5 11.3 15.2 GAS_US 9.5 -6.4 -20.0 -4.1 -0.7 -2.5 -5.4 -0.2 -5.8 -5.8 -16.7 -10.7 -15.0 -14.0 -15.5 -20.0 -16.5 -20.0 -20.0 -20.0 -20.0 -10.7 -20.0 -13.5 20.0 -9.3 -6.4 -1.8 -7.4 -4.2 -4.6 -5.1 -20.0 9.8 20.0 -1.2 -13.0 GBP 3.4 14.9 10.8 4.2 5.6 3.0 5.2 0.1 4.7 12.7 15.1 13.2 0.6 15.2 14.3 -1.5 -1.9 -1.7 -1.9 13.9 11.2 12.8 1.5 13.4 2.1 9.4 5.5 5.1 3.2 5.2 -1.6 5.6 1.5 5.4 3.2 7.4 3.3 GOLD_micro -5.3 12.4 11.0 4.4 4.0 3.7 3.5 2.6 4.0 2.5 13.2 2.8 4.5 10.8 11.7 -12.3 -11.1 -12.1 -12.1 14.1 15.3 7.6 10.1 9.7 -5.0 -13.8 5.3 1.3 5.4 2.7 3.8 3.8 -15.4 0.3 -7.2 5.3 6.0 HEATOIL -16.3 -7.7 -17.8 -4.1 -0.7 -2.5 -5.4 -0.2 -5.8 1.7 -13.4 -9.5 2.4 -11.7 -14.0 1.2 20.0 12.4 20.0 -17.9 -13.6 -14.7 -1.0 -19.9 -1.5 -13.6 -5.3 0.6 -3.4 -4.8 0.7 -6.3 18.2 -2.4 -4.3 -4.6 -6.4 JPY -11.7 -7.2 -2.9 4.2 5.6 3.0 5.2 0.1 4.7 2.7 3.0 -3.3 -7.0 -7.1 -9.8 -16.0 -13.6 -15.6 -15.0 -8.1 -4.0 -5.8 -8.2 -9.8 3.9 9.9 -2.1 -1.0 -0.6 -3.4 -4.7 -4.0 -19.7 -20.0 -20.0 -17.6 -16.1 LEANHOG 10.7 -14.0 -20.0 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 -13.7 -15.0 -11.4 -12.7 -14.0 -14.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.5 -18.0 20.0 -11.1 -5.9 -6.5 -6.4 -4.5 -4.6 -4.2 -20.0 -6.0 -6.1 -20.0 -20.0 LIVECOW -6.6 8.0 8.4 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 -10.8 12.8 -9.7 10.9 7.0 9.8 20.0 7.6 20.0 20.0 8.8 11.7 -13.9 9.5 -1.3 -20.0 12.0 2.9 -5.1 4.5 -5.3 4.6 -0.9 20.0 -11.9 5.1 19.2 20.0 MXP 6.2 16.4 14.6 4.2 5.6 3.0 5.2 0.1 4.7 12.5 16.0 14.8 15.7 16.1 16.2 20.0 20.0 19.7 20.0 19.7 20.0 15.3 20.0 16.1 -20.0 9.7 6.3 6.8 8.3 6.2 9.2 5.4 20.0 6.7 4.8 -10.2 17.7 NASDAQ -4.9 14.6 20.0 3.3 2.8 3.3 0.9 1.9 2.1 11.9 11.3 8.8 -5.1 13.5 14.7 -9.1 -6.2 -8.4 -7.5 15.4 14.0 8.4 2.3 10.1 -3.9 10.2 5.7 5.1 6.1 3.3 3.4 3.7 -3.5 20.0 -0.7 16.1 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 0.8 -1.0 -3.8 4.2 5.6 3.0 5.2 0.1 4.7 14.0 6.7 9.6 -1.4 4.0 -7.3 1.5 0.7 1.1 0.8 -0.6 -1.0 16.4 -3.2 5.5 3.8 10.8 1.2 16.7 0.3 11.1 -1.7 4.9 6.0 19.3 -4.5 -11.2 -12.7 OAT 0.0 2.7 -0.9 3.1 -2.1 1.7 0.5 -2.5 2.2 1.4 -6.4 4.8 -12.8 2.5 -1.7 11.2 12.1 10.9 11.5 -0.4 -6.2 4.9 -15.6 3.4 5.2 12.7 2.7 -1.7 -0.1 2.1 -6.6 3.1 20.0 8.2 2.5 -6.7 -3.7 OJ -10.2 16.1 0.9 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 -11.7 15.1 -8.7 15.4 9.5 13.6 20.0 20.0 20.0 20.0 20.0 20.0 -3.4 20.0 10.3 -20.0 -14.3 5.9 -3.0 8.8 -1.0 9.8 2.1 20.0 -5.0 16.5 20.0 20.0 PALLAD 12.4 17.5 -9.7 4.4 4.0 3.7 3.5 2.6 4.0 8.7 -13.2 -3.6 -14.2 -0.5 -7.1 -3.6 -2.4 -3.2 -2.9 -4.7 -15.1 2.1 -20.0 -0.4 20.0 -11.1 0.7 6.8 -2.5 1.3 -4.2 1.3 0.0 -20.0 1.4 -15.1 -20.0 PLAT 10.3 15.3 0.1 4.4 4.0 3.7 3.5 2.6 4.0 -1.1 8.4 0.5 4.0 5.8 7.1 -2.4 -1.6 -2.3 -2.0 11.9 8.8 0.4 5.0 8.8 1.5 11.2 4.1 0.6 2.8 0.3 1.4 3.2 1.5 -20.0 9.7 -5.1 -16.2 REDWHEAT -12.7 9.7 1.3 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 12.7 -9.6 -0.4 -12.0 -2.8 -3.2 6.4 5.5 8.4 7.8 -6.6 -6.8 5.3 -5.8 -6.0 0.9 12.9 -3.5 8.5 -2.6 0.9 -0.9 -3.5 1.4 15.8 -11.8 7.8 -2.5 ROBUSTA 11.4 20.0 20.0 -4.3 -1.3 -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 17.5 15.6 20.0 -13.0 9.6 6.3 2.9 5.0 3.2 2.8 5.1 6.7 20.0 20.0 20.0 20.0 RUSSELL -1.0 -8.8 -6.9 3.3 2.8 3.3 0.9 1.9 2.1 2.5 -7.5 -6.7 -9.9 -9.7 -13.2 -5.7 -4.6 -5.7 -5.5 -10.7 -8.8 -5.6 -7.7 -9.2 11.8 10.0 -4.5 0.9 -2.5 -2.6 -1.1 -4.5 -0.5 -12.2 -16.9 -20.0 -19.0 SILVER-mini -1.2 20.0 7.2 4.4 4.0 3.7 3.5 2.6 4.0 2.4 12.4 2.7 3.6 13.0 12.9 -6.1 -5.2 -6.1 -5.8 18.8 15.3 9.5 7.8 15.3 -4.1 -11.3 4.7 1.9 3.5 2.9 1.3 4.2 -4.9 -3.1 -3.9 12.4 -9.4 SOYBEAN -7.3 -11.8 -19.4 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 6.1 -9.1 -7.7 -5.0 -10.8 -11.6 20.0 20.0 20.0 20.0 -17.9 -15.0 -6.9 -5.9 -14.5 3.3 -11.7 -5.5 0.1 -4.6 -1.8 -1.2 -4.1 20.0 9.8 -6.3 -20.0 -20.0 SOYMEAL -20.0 -20.0 -1.2 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 -9.7 6.4 -14.5 9.9 -14.4 -11.2 20.0 20.0 20.0 20.0 -12.3 3.1 -17.8 14.7 -20.0 -20.0 -12.0 -4.2 -2.8 0.4 -5.3 4.9 -6.1 20.0 -5.6 -7.6 -19.4 -1.6 SOYOIL 1.6 -12.2 -20.0 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 8.9 -13.3 -0.7 -7.5 -8.7 -12.7 6.6 11.6 4.6 6.6 -19.0 -19.7 1.4 -10.1 -10.8 10.1 12.9 -5.8 3.8 -6.0 0.6 -2.8 -3.1 4.3 20.0 1.0 -16.2 -20.0 SP400 -0.7 -5.8 -7.3 3.3 2.8 3.3 0.9 1.9 2.1 -0.6 -0.1 -4.7 -2.0 -3.0 -8.9 -5.7 -4.4 -5.5 -5.2 -7.1 -4.2 -6.6 -1.6 -7.0 7.8 10.2 -4.0 -1.2 -1.9 -3.4 0.2 -4.2 -0.0 -13.5 -16.2 -20.0 -18.6 SP500 -2.8 10.9 7.9 3.3 2.8 3.3 0.9 1.9 2.1 2.5 9.9 0.1 -4.1 10.7 10.1 -8.9 -6.5 -8.4 -7.7 6.8 5.5 0.1 0.2 3.6 2.4 10.2 3.7 2.2 4.0 -0.2 1.8 1.4 -3.8 -0.2 -6.0 2.3 1.8 SUGAR11 4.6 20.0 20.0 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 8.2 15.9 11.6 14.0 14.4 15.6 8.4 20.0 17.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -10.5 6.1 1.9 5.5 3.0 4.2 5.2 20.0 20.0 20.0 20.0 20.0 US10 -3.3 10.4 13.1 3.1 -2.1 1.7 0.5 -2.5 2.2 -0.2 6.0 3.5 -9.5 9.5 10.7 -10.6 -5.6 -9.7 -8.8 6.5 2.3 4.2 -7.6 6.1 -3.2 9.7 4.7 -1.0 3.2 2.0 -1.5 3.7 -10.9 3.3 5.7 5.6 4.7 US10U -4.9 8.7 12.7 3.1 -2.1 1.7 0.5 -2.5 2.2 -3.2 5.6 1.1 -9.7 6.4 9.3 -7.8 -0.1 -4.4 -2.6 4.8 1.4 1.1 -8.2 3.7 -4.8 -14.1 4.6 -2.5 3.6 0.9 -0.9 3.0 -0.6 -1.3 1.5 0.2 5.1 US20 -7.6 7.5 13.1 3.1 -2.1 1.7 0.5 -2.5 2.2 -6.2 6.6 -3.3 -8.2 1.7 8.4 -1.5 -1.5 -2.2 -2.6 3.6 1.2 -2.3 -7.8 1.3 -1.3 -12.3 3.9 -4.3 3.1 -0.8 -1.5 1.9 -2.0 -6.7 -4.1 -3.9 2.8 US30 -7.2 3.9 11.2 3.1 -2.1 1.7 0.5 -2.5 2.2 -9.1 4.1 -7.4 -10.0 -3.3 2.5 -1.9 -0.9 -1.5 -1.3 0.1 -1.7 -4.8 -11.2 -1.9 -2.7 10.0 2.9 -6.5 2.7 -2.5 -2.2 0.4 -0.3 -11.1 -6.6 -13.1 0.0 US5 -1.6 11.0 15.1 3.1 -2.1 1.7 0.5 -2.5 2.2 0.6 5.7 5.1 -9.7 10.2 11.1 -10.5 -6.1 -10.1 -9.3 7.4 2.7 6.1 -7.5 7.7 -1.9 10.8 4.6 -0.3 2.8 2.6 -2.2 4.0 -11.9 6.7 8.5 8.9 2.9 VIX -0.7 -5.0 10.0 -3.1 -3.6 -6.7 -1.0 -8.7 -1.1 -7.8 -14.2 -4.3 -14.0 -11.9 -11.5 -20.0 -20.0 -20.0 -20.0 -7.1 -11.3 -2.7 -14.1 -4.3 NaN -13.5 -3.5 -4.2 -8.6 -1.1 -12.1 -1.2 NaN NaN NaN NaN NaN WHEAT -6.0 0.5 -5.9 -4.3 -0.9 -3.2 -4.8 -2.0 -5.6 10.5 -14.6 -4.7 -15.2 -8.9 -12.9 -12.4 -9.2 -12.2 -11.1 -19.0 -20.0 -4.7 -17.0 -15.8 12.7 11.9 -5.5 2.8 -4.9 -1.5 -2.9 -4.8 -20.0 6.5 -14.2 -11.4 -18.1 End of report for caleb_strategy_v1