******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230509_204642 produced at 2023-05-09 21:37:10.985589 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.31 0.0 4.815550e+07 -4.815550e+07 -0.29 -0.29 -6.48 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.21 0.0 9.075124e+06 -9.075124e+06 -0.15 -0.14 -23.05 999999999.0 -17 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.14 0.0 5.628073e+07 -5.628073e+07 -0.11 -0.11 -2.42 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.710080e+07 -3.710080e+07 -0.37 -0.37 -3.46 999999999.0 -10 -10 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.11 0.0 5.481724e+07 -5.481724e+07 -0.11 -0.11 -2.04 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.169580e+07 -5.169580e+07 0.00 0.00 -1.76 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.08 0.0 1.378621e+07 -1.378621e+07 -0.10 -0.10 -6.12 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.506647e+07 -4.506647e+07 -0.05 -0.05 -1.12 999999999.0 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.977605e+07 -5.977605e+07 0.00 0.00 -0.67 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.04 0.0 8.144874e+06 -8.144874e+06 -0.04 -0.04 -5.25 999999999.0 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.197517e+07 -1.197517e+07 -0.06 -0.06 -2.11 999999999.0 -5 -5 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.760433e+07 -2.760433e+07 -0.03 -0.03 -0.61 999999999.0 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 4.010926e+07 -4.010926e+07 0.00 0.00 -0.41 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.657528e+06 -9.657528e+06 -0.02 -0.02 -0.98 999999999.0 -2 -2 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.01 0.0 4.013104e+07 -4.013104e+07 -0.08 -0.08 -0.36 999999999.0 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.586660e+07 -2.586660e+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 1.649878e+07 -1.649878e+07 0.00 -0.02 -0.85 999999999.0 0 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.592412e+07 -4.592412e+07 0.00 0.00 -0.25 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.01 0.0 4.382674e+07 -4.382674e+07 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.102977e+06 -1.102977e+06 -0.02 -0.02 -5.39 999999999.0 -18 -19 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.481240e+07 -1.481240e+07 0.00 0.00 -0.37 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.264827e+07 -6.264827e+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 1.680892e+07 -1.680892e+07 0.00 0.00 0.17 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.342321e+07 -1.342321e+07 -0.05 -0.05 -0.26 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.891680e+07 -1.891680e+07 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.169658e+07 -1.169658e+07 0.01 0.01 0.67 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.263975e+07 -1.263975e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.12 0.01 0.0 3.510777e+06 -3.510777e+06 -0.12 -0.04 1.87 999999999.0 -34 -12 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.894325e+07 -3.894325e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.792845e+07 -2.792845e+07 0.03 0.03 0.38 999999999.0 1 1 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.719980e+06 -6.719980e+06 0.00 0.00 2.02 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.612979e+07 -1.612979e+07 0.02 0.02 0.58 999999999.0 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.392327e+06 -4.392327e+06 0.00 0.00 5.50 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 5.488705e+07 -5.488705e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.255870e+07 -8.255870e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.825068e+06 -9.825068e+06 0.02 0.02 2.20 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.221112e+07 -2.221112e+07 0.00 0.00 0.97 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.02 0.0 2.701994e+07 -2.701994e+07 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.035163e+07 -1.035163e+07 0.05 0.05 1.56 999999999.0 5 5 caleb_strategy_v1 CRUDE_W False False 0.03 0.09 0.02 0.0 2.858165e+07 -2.858165e+07 0.09 0.09 0.55 999999999.0 3 3 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.500147e+07 -2.500147e+07 0.00 0.00 1.06 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.03 0.0 2.526874e+07 -2.526874e+07 0.00 0.00 1.21 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.69 0.03 0.0 9.806320e+07 -9.806320e+07 0.69 0.78 0.28 999999999.0 7 8 caleb_strategy_v1 DAX False False 0.01 0.00 0.03 0.0 7.030000e+06 -7.030000e+06 0.00 0.00 4.66 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.05 0.0 3.149617e+07 -3.149617e+07 0.28 0.28 1.64 999999999.0 9 9 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.113348e+07 -1.113348e+07 0.00 0.00 4.30 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.984419e+07 -2.984419e+07 0.00 0.00 1.90 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.059177e+08 -1.059177e+08 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.06 0.0 5.005017e+07 -5.005017e+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 5.672411e+07 -5.672411e+07 0.00 0.00 1.47 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.09 0.0 3.243351e+07 -3.243351e+07 0.03 0.03 2.79 999999999.0 1 1 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.09 0.0 2.576936e+07 -2.576936e+07 0.00 0.00 3.68 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 4.66 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.41 0.28 0.0 5.926301e+07 -5.926301e+07 0.41 0.36 4.80 999999999.0 7 6 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.42 0.0 0.000000e+00 0.000000e+00 0.00 0.00 49.66 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.44 0.0 5.175592e+07 -5.175592e+07 0.00 0.00 8.44 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 17.8 Shocked risk 52.4 Sum abs risk 49.5 Leverage 3.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2506852.77, 'annual_cash_vol_target': 626713.1925, 'daily_cash_vol_target': 39169.57453125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6774 0.6544 10.4700 BITCOIN 995.7140 27650.0000 3.6011 57.6182 BOBL 0.4217 118.0300 0.3573 5.7165 BTP 0.6727 114.1400 0.5894 9.4297 BUND 0.7710 135.1500 0.5705 9.1276 BUXL 1.7658 136.3200 1.2953 20.7253 CAC 56.6247 7396.5000 0.7656 12.2490 CAD 0.0035 0.7482 0.4657 7.4509 CANOLA 8.7338 736.3000 1.1862 18.9787 CHF 0.0054 1.1287 0.4783 7.6525 COCOA 32.8414 3002.0000 1.0940 17.5037 COFFEE 3.5027 186.7000 1.8761 30.0178 COPPER 0.0432 3.9050 1.1067 17.7066 CORN 5.8399 519.0000 1.1252 18.0037 COTTON2 1.5179 80.8700 1.8770 30.0319 CRUDE_W 1.4928 71.6500 2.0834 33.3345 DAX 121.4162 16032.0000 0.7573 12.1174 DOW 255.0840 33692.0000 0.7571 12.1137 EUR 0.0052 1.0994 0.4769 7.6311 EUROSTX 36.2915 4314.0000 0.8412 13.4600 FEEDCOW 1.5956 225.9500 0.7062 11.2989 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.5294 692.0000 2.0996 33.5939 GASOILINE 0.0496 2.3940 2.0727 33.1635 GAS_US 0.0990 2.4210 4.0899 65.4382 GBP 0.0065 1.2633 0.5156 8.2496 GOLD_micro 17.3453 2041.8000 0.8495 13.5922 HEATOIL 0.0452 2.3953 1.8875 30.1994 JPY 0.0001 0.0074 0.6865 10.9841 LEANHOG 1.3767 86.4000 1.5934 25.4942 LIVECOW 0.9792 161.5000 0.6063 9.7013 MXP 0.0003 0.0558 0.6119 9.7899 NASDAQ 118.9013 13276.0000 0.8956 14.3298 NIKKEI 246.1941 28665.0000 0.8589 13.7419 NZD 0.0042 0.6334 0.6656 10.6499 OAT 0.7179 129.3600 0.5549 8.8791 OJ 4.7254 247.5500 1.9089 30.5417 PALLAD 32.7530 1570.5000 2.0855 33.3682 PLAT 17.6460 1113.6000 1.5846 25.3535 REDWHEAT 15.6620 842.7500 1.8584 29.7351 ROBUSTA 26.7637 2463.0000 1.0866 17.3861 RUSSELL 20.4675 1760.2000 1.1628 18.6047 SILVER-mini 0.3473 25.9375 1.3391 21.4258 SOYBEAN 10.6162 1253.5000 0.8469 13.5508 SOYMEAL 4.4340 413.6000 1.0721 17.1529 SOYOIL 0.7872 52.8100 1.4905 23.8486 SP400 25.5346 2458.3000 1.0387 16.6194 SP500 33.1567 4139.2500 0.8010 12.8165 SUGAR11 0.3855 26.1800 1.4727 23.5629 US10 0.5636 115.1250 0.4896 7.8335 US10U 0.7327 120.7188 0.6069 9.7106 US20 1.0469 129.5938 0.8078 12.9253 US30 1.4798 137.5938 1.0755 17.2079 US5 0.4127 109.8672 0.3756 6.0101 VIX 0.6404 22.7500 2.8149 45.0387 WHEAT 11.2546 673.0000 1.6723 26.7568 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.35 0.65 443.24 1.00 443.24 39169.57 88.37 5.00 44.15 BITCOIN 27.65 3.60 99.57 1.00 99.57 39169.57 393.38 -5.82 -228.90 BOBL 1180.30 0.36 421.70 1.10 465.52 39169.57 84.14 13.90 116.92 BTP 1141.40 0.59 672.69 1.10 742.58 39169.57 52.75 11.53 60.80 BUND 1351.50 0.57 771.00 1.10 851.11 39169.57 46.02 14.45 66.50 BUXL 1363.20 1.30 1765.80 1.10 1949.26 39169.57 20.09 -3.94 -7.92 CAC 739.65 0.77 566.25 1.10 625.08 39169.57 62.66 15.81 99.08 CAD 748.15 0.47 348.40 1.00 348.40 39169.57 112.43 9.46 106.37 CANOLA 147.26 1.19 174.68 0.75 130.66 39169.57 299.78 20.00 599.56 CHF 1410.88 0.48 674.79 1.00 674.79 39169.57 58.05 -11.12 -64.55 COCOA 300.20 1.09 328.41 1.00 328.41 39169.57 119.27 -8.12 -96.84 COFFEE 700.12 1.88 1313.51 1.00 1313.51 39169.57 29.82 9.95 29.67 COPPER 976.25 1.11 1080.38 1.00 1080.38 39169.57 36.26 3.71 13.46 CORN 259.50 1.13 292.00 1.00 292.00 39169.57 134.14 12.86 172.57 COTTON2 404.35 1.88 758.96 1.00 758.96 39169.57 51.61 7.43 38.35 CRUDE_W 716.50 2.08 1492.76 1.00 1492.76 39169.57 26.24 1.60 4.19 DAX 160.32 0.76 121.42 1.10 134.03 39169.57 292.24 2.94 85.82 DOW 168.46 0.76 127.54 1.00 127.54 39169.57 307.11 2.30 70.71 EUR 1374.19 0.48 655.41 1.00 655.41 39169.57 59.76 -9.14 -54.61 EUROSTX 431.40 0.84 362.91 1.10 400.62 39169.57 97.77 0.90 8.79 FEEDCOW 1129.75 0.71 797.81 1.00 797.81 39169.57 49.10 -8.52 -41.82 FTSE100 707.00 0.82 576.59 1.26 666.67 39169.57 58.75 7.70 45.23 GASOIL 692.00 2.10 1452.94 1.00 1452.94 39169.57 26.96 -3.15 -8.50 GASOILINE 1005.48 2.07 2084.07 1.00 2084.07 39169.57 18.79 -5.25 -9.86 GAS_US 242.10 4.09 990.16 1.00 990.16 39169.57 39.56 -16.46 -65.10 GBP 789.56 0.52 407.10 1.00 407.10 39169.57 96.22 9.54 91.83 GOLD_micro 204.18 0.85 173.45 1.00 173.45 39169.57 225.82 -10.38 -234.43 HEATOIL 1006.03 1.89 1898.83 1.00 1898.83 39169.57 20.63 -2.45 -5.06 JPY 930.06 0.69 638.49 1.00 638.49 39169.57 61.35 -8.72 -53.51 LEANHOG 345.60 1.59 550.67 1.00 550.67 39169.57 71.13 -18.40 -130.91 LIVECOW 646.00 0.61 391.69 1.00 391.69 39169.57 100.00 13.70 137.05 MXP 279.10 0.61 170.77 1.00 170.77 39169.57 229.37 15.33 351.61 NASDAQ 2655.20 0.90 2378.03 1.00 2378.03 39169.57 16.47 6.07 10.00 NIKKEI 28665.00 0.86 24619.41 0.01 181.12 39169.57 216.26 12.09 261.45 NZD 633.45 0.67 421.64 1.00 421.64 39169.57 92.90 8.15 75.74 OAT 1293.60 0.55 717.88 1.10 792.46 39169.57 49.43 14.72 72.74 OJ 371.32 1.91 708.81 1.00 708.81 39169.57 55.26 -3.80 -21.01 PALLAD 1570.50 2.09 3275.30 1.00 3275.30 39169.57 11.96 -1.23 -1.47 PLAT 556.80 1.58 882.30 1.00 882.30 39169.57 44.39 9.09 40.36 REDWHEAT 421.38 1.86 783.10 1.00 783.10 39169.57 50.02 6.40 32.00 ROBUSTA 246.30 1.09 267.64 1.00 267.64 39169.57 146.35 11.57 169.34 RUSSELL 88.01 1.16 102.34 1.00 102.34 39169.57 382.75 0.94 36.03 SILVER-mini 648.44 1.34 868.33 1.00 868.33 39169.57 45.11 -4.93 -22.25 SOYBEAN 626.75 0.85 530.81 1.00 530.81 39169.57 73.79 2.44 17.99 SOYMEAL 413.60 1.07 443.40 1.00 443.40 39169.57 88.34 -1.63 -14.41 SOYOIL 316.86 1.49 472.29 1.00 472.29 39169.57 82.94 6.75 55.99 SP400 2458.30 1.04 2553.46 1.00 2553.46 39169.57 15.34 3.47 5.33 SP500 2069.62 0.80 1657.83 1.00 1657.83 39169.57 23.63 3.79 8.95 SUGAR11 293.22 1.47 431.81 1.00 431.81 39169.57 90.71 5.48 49.71 US10 1151.25 0.49 563.65 1.00 563.65 39169.57 69.49 -0.95 -6.60 US10U 1207.19 0.61 732.65 1.00 732.65 39169.57 53.46 -8.32 -44.48 US20 1295.94 0.81 1046.90 1.00 1046.90 39169.57 37.41 -6.40 -23.94 US30 1375.94 1.08 1479.81 1.00 1479.81 39169.57 26.47 1.65 4.37 US5 1098.67 0.38 412.69 1.00 412.69 39169.57 94.91 -0.42 -3.97 VIX 227.50 2.81 640.39 1.00 640.39 39169.57 61.16 -20.00 -122.33 WHEAT 336.50 1.67 562.73 1.00 562.73 39169.57 69.61 -6.89 -47.98 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 44.154 0.006 2.5 0.705 BITCOIN -228.895 0.009 2.5 -5.393 BOBL 116.917 0.029 2.5 8.436 BTP 60.801 0.008 2.5 1.228 BUND 66.498 0.029 2.5 4.798 BUXL -7.922 0.034 2.5 -0.665 CAC 99.078 0.011 2.5 2.785 CAD 106.371 0.007 2.5 1.899 CANOLA 599.557 0.004 2.5 5.504 CHF -64.547 0.015 2.5 -2.416 COCOA -96.840 0.009 2.5 -2.110 COFFEE 29.674 0.005 2.5 0.385 COPPER 13.464 0.011 2.5 0.368 CORN 172.573 0.004 2.5 1.557 COTTON2 38.351 0.006 2.5 0.577 CRUDE_W 4.193 0.053 2.5 0.554 DAX 85.825 0.022 2.5 4.661 DOW 70.712 0.011 2.5 2.015 EUR -54.615 0.015 2.5 -2.044 EUROSTX 8.793 0.011 2.5 0.247 FEEDCOW -41.824 0.011 2.5 -1.124 FTSE100 45.227 0.041 2.5 4.662 GASOIL -8.502 0.029 2.5 -0.606 GASOILINE -9.864 0.016 2.5 -0.405 GAS_US -65.097 0.006 2.5 -0.980 GBP 91.826 0.007 2.5 1.640 GOLD_micro -234.430 0.009 2.5 -5.245 HEATOIL -5.059 0.029 2.5 -0.361 JPY -53.511 0.026 2.5 -3.464 LEANHOG -130.913 0.019 2.5 -6.116 LIVECOW 137.051 0.011 2.5 3.683 MXP 351.610 0.005 2.5 4.305 NASDAQ 10.002 0.022 2.5 0.543 NIKKEI 261.448 0.076 2.5 49.658 NZD 75.742 0.006 2.5 1.210 OAT 72.745 0.008 2.5 1.469 OJ -21.007 0.007 2.5 -0.366 PALLAD -1.472 0.010 2.5 -0.035 PLAT 40.358 0.010 2.5 0.971 REDWHEAT 32.005 0.002 2.5 0.171 ROBUSTA 169.344 0.005 2.5 2.196 RUSSELL 36.025 0.021 2.5 1.866 SILVER-mini -22.249 0.009 2.5 -0.498 SOYBEAN 17.992 0.024 2.5 1.061 SOYMEAL -14.410 0.024 2.5 -0.850 SOYOIL 55.987 0.004 2.5 0.514 SP400 5.327 0.021 2.5 0.276 SP500 8.949 0.011 2.5 0.255 SUGAR11 49.709 0.005 2.5 0.675 US10 -6.601 0.015 2.5 -0.253 US10U -44.482 0.058 2.5 -6.481 US20 -23.940 0.029 2.5 -1.764 US30 4.368 0.034 2.5 0.367 US5 -3.970 0.015 2.5 -0.152 VIX -122.330 0.075 2.5 -23.053 WHEAT -47.980 0.002 2.5 -0.256 ==================== Position diags ==================== AUD 1.41 BITCOIN 9.27 BOBL 6.07 BTP 1.07 BUND 3.32 BUXL 1.69 CAC 1.76 CAD 2.01 CANOLA 2.75 CHF 2.17 COCOA 2.60 COFFEE 0.39 COPPER 0.99 CORN 1.21 COTTON2 0.78 CRUDE_W 3.47 DAX 15.87 DOW 8.75 EUR 2.24 EUROSTX 2.75 FEEDCOW 1.32 FTSE100 6.06 GASOIL 1.92 GASOILINE 0.77 GAS_US 0.60 GBP 1.72 GOLD_micro 5.05 HEATOIL 1.47 JPY 3.97 LEANHOG 3.32 LIVECOW 2.69 MXP 2.81 NASDAQ 0.89 NIKKEI 41.08 NZD 1.48 OAT 1.00 OJ 0.96 PALLAD 0.29 PLAT 1.07 REDWHEAT 0.27 ROBUSTA 1.90 RUSSELL 19.82 SILVER-mini 1.01 SOYBEAN 4.35 SOYMEAL 5.21 SOYOIL 0.76 SP400 0.79 SP500 0.67 SUGAR11 1.23 US10 2.67 US10U 7.79 US20 2.76 US30 2.22 US5 3.64 VIX 11.53 WHEAT 0.37 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.6 0.8 0.0 0 BITCOIN -5.4 -6.3 -4.5 -18.0 -18 BOBL 8.4 7.8 9.0 0.0 0 BTP 1.2 1.1 1.3 3.0 3 BUND 4.8 4.5 5.1 7.0 7 BUXL -0.7 -0.8 -0.5 0.0 0 CAC 2.8 2.6 3.0 1.0 1 CAD 1.9 1.7 2.1 0.0 0 CANOLA 5.5 5.2 5.8 NaN 0 CHF -2.4 -2.6 -2.2 -2.0 -2 COCOA -2.1 -2.4 -1.8 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.4 0.3 0.5 0.0 0 CORN 1.6 1.4 1.7 5.0 5 COTTON2 0.6 0.5 0.7 1.0 1 CRUDE_W 0.6 0.2 0.9 3.0 3 DAX 4.7 3.1 6.2 0.0 0 DOW 2.0 1.1 2.9 0.0 0 EUR -2.0 -2.3 -1.8 -2.0 -2 EUROSTX 0.2 -0.0 0.5 0.0 0 FEEDCOW -1.1 -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 1.5 1.8 9.0 9 GOLD_micro -5.2 -5.8 -4.7 -5.0 -5 HEATOIL -0.4 -0.5 -0.2 -2.0 -2 JPY -3.5 -3.9 -3.1 -10.0 -10 LEANHOG -6.1 -6.4 -5.8 -7.0 -7 LIVECOW 3.7 3.4 4.0 0.0 0 MXP 4.3 4.0 4.6 0.0 0 NASDAQ 0.5 0.5 0.6 0.0 0 NIKKEI 49.7 45.5 53.8 0.0 0 NZD 1.2 1.1 1.4 0.0 0 OAT 1.5 1.4 1.6 0.0 0 OJ -0.4 -0.5 -0.3 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 2.4 2.0 2 RUSSELL 1.9 -0.1 3.8 -34.0 -34 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.1 0.6 1.5 0.0 0 SOYMEAL -0.8 -1.4 -0.3 0.0 0 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 0.3 0.2 0.4 7.0 7 SP500 0.3 0.2 0.3 0.0 0 SUGAR11 0.7 0.6 0.8 1.0 1 US10 -0.3 -0.5 0.0 NaN 0 US10U -6.5 -7.3 -5.7 -6.0 -6 US20 -1.8 -2.0 -1.5 0.0 0 US30 0.4 0.1 0.6 0.0 0 US5 -0.2 -0.5 0.2 0.0 0 VIX -23.1 -24.2 -21.9 -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 0.0 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 -0.0 -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 -0.1 -0.2 -0.2 BITCOIN -0.2 0.1 0.3 0.1 0.0 0.1 0.0 0.1 0.1 -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 1.5 -4.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 -0.1 -0.4 -0.3 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 -0.1 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 1.2 -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 0.0 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 2.4 0.0 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 -0.1 -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 -0.2 -0.0 4.5 3.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 2.7 0.0 -0.0 -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 0.1 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 0.2 0.4 0.3 0.3 COFFEE -0.0 0.1 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 -0.2 -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 0.4 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 2.4 -0.1 -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 1.7 3.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.9 0.0 0.1 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 0.0 0.2 0.2 0.1 0.0 0.1 0.0 0.1 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 0.1 0.2 -0.0 0.1 0.0 -1.7 -2.3 0.1 -0.0 0.1 -0.0 0.0 0.0 -1.1 -0.2 -0.0 0.0 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 0.0 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 1.8 0.0 0.1 -0.1 0.0 FEEDCOW -0.1 0.1 0.3 -0.1 -0.0 -0.1 -0.0 -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 -0.1 -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 0.2 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 1.7 -0.0 -0.1 -0.1 -0.1 GASOILINE -0.2 -0.0 -0.1 -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 -0.1 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 0.1 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 0.4 -0.1 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.0 0.0 0.2 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.2 0.0 0.1 0.1 0.1 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 -0.2 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 -0.0 -0.3 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 2.4 -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 -0.1 -0.0 -0.1 -0.0 0.6 2.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -2.5 -0.2 -0.4 -0.3 -0.3 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 -0.1 -0.1 -0.3 -0.3 LIVECOW -0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -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 -0.3 -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 0.5 2.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.8 0.0 -0.0 -0.1 -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 0.2 -0.1 -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 0.2 0.3 0.3 PALLAD 0.1 0.3 -0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -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 0.1 -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 0.1 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 -0.1 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -0.0 0.5 0.2 0.2 0.2 -0.1 -0.1 0.0 -0.1 -0.0 0.1 2.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.2 -0.1 0.1 -0.0 ROBUSTA 0.1 0.3 0.3 -0.1 -0.0 -0.1 -0.0 -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 -2.3 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 0.1 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 -0.0 -0.3 -0.3 -0.3 SILVER-mini -0.0 0.3 0.2 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 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 0.6 -2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 0.0 -0.2 -0.3 -0.3 SOYMEAL -0.2 -0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.2 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 0.0 -0.0 0.2 -0.0 -2.8 -2.5 -0.1 -0.0 0.0 -0.0 0.1 -0.0 2.7 -0.1 -0.2 -0.3 -0.0 SOYOIL 0.0 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -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 1.5 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 0.1 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 -0.1 0.2 0.1 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.3 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 0.1 -0.1 0.0 0.0 SUGAR11 0.0 0.3 0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.4 0.0 0.3 0.1 0.3 0.6 0.8 0.3 0.4 0.2 0.2 0.0 0.2 0.0 -3.3 -2.3 0.1 0.0 0.1 0.0 0.1 0.0 2.7 0.0 0.4 0.3 0.3 US10 -0.0 0.1 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 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 -0.0 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 -0.7 -0.0 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 -0.7 -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 -0.1 0.0 US30 -0.1 0.0 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.3 -0.0 0.0 -0.2 -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 0.5 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 -0.5 -0.0 -0.5 -0.1 -0.4 -3.1 -1.6 -0.8 -0.8 -0.1 -0.2 -0.0 -0.3 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN WHEAT -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -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 -0.2 -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 2.2 -1.5 -7.2 4.3 4.1 3.0 4.9 0.2 4.8 11.8 0.4 6.6 -5.3 2.3 -10.7 -3.8 -3.1 -3.7 -3.6 -3.7 -5.1 10.5 -6.5 2.1 13.7 11.7 -0.7 10.0 -2.2 7.2 -3.6 2.7 -0.9 4.1 -2.6 -14.8 -16.1 BITCOIN -15.0 7.9 20.0 4.5 4.7 3.7 4.1 2.6 4.3 -11.2 13.0 -7.3 -7.1 7.0 11.7 -3.8 -2.2 -3.5 -2.8 9.7 11.3 -4.7 1.4 1.6 7.0 -18.1 3.3 -5.4 5.1 -3.2 2.3 -0.7 0.6 -18.7 -20.0 -18.0 10.4 BOBL 3.6 3.8 11.0 3.0 -3.4 1.7 -0.6 -2.5 1.7 0.9 -4.0 6.1 -12.3 4.5 5.7 11.2 6.5 6.3 5.1 2.6 -4.6 6.9 -14.6 6.6 8.6 10.8 3.5 -1.1 0.1 2.3 -6.4 3.8 11.7 14.6 6.5 2.6 -1.9 BTP -2.6 1.5 2.7 3.0 -3.4 1.7 -0.6 -2.5 1.7 -2.6 6.7 1.5 -8.3 0.4 3.9 9.0 11.7 8.9 10.3 2.5 1.3 0.3 -8.8 1.7 -9.2 11.4 3.8 -3.9 3.2 0.2 -3.0 2.3 20.0 7.8 1.4 -10.0 4.4 BUND 1.5 2.0 4.4 3.0 -3.4 1.7 -0.6 -2.5 1.7 -1.7 -5.8 3.7 -12.9 0.9 0.9 6.8 12.5 7.8 9.8 0.3 -6.1 2.8 -16.6 3.3 7.0 12.3 2.7 -3.3 0.0 0.4 -6.5 2.4 20.0 6.7 1.6 -4.5 -2.5 BUXL -0.4 -2.8 -0.2 3.0 -3.4 1.7 -0.6 -2.5 1.7 -9.7 -10.0 -1.9 -13.7 -6.6 -6.0 1.4 0.9 2.0 2.3 -5.2 -10.3 -4.0 -19.1 -2.6 9.3 -10.8 0.2 -6.1 -1.6 -2.6 -6.2 -0.4 4.6 -3.5 -3.8 -12.6 -9.8 CAC 1.6 15.2 11.2 3.4 1.9 3.4 1.1 1.9 2.2 1.2 15.4 -2.0 13.3 11.7 12.9 18.9 5.1 12.8 7.4 16.1 20.0 -0.1 20.0 7.3 -15.7 8.9 5.4 2.2 6.8 3.0 6.6 4.2 17.9 1.8 10.1 -5.3 6.0 CAD -3.6 13.8 3.6 4.3 4.1 3.0 4.9 0.2 4.8 13.3 -2.8 5.4 -9.6 6.7 3.2 -2.9 -2.0 -2.8 -2.5 2.0 -2.4 12.7 -7.8 5.5 17.7 10.4 1.9 10.2 -0.4 6.6 -3.2 3.4 0.9 13.4 -6.5 -3.7 -8.3 CANOLA 4.5 -4.2 -18.7 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 13.0 -11.7 -0.1 -13.2 -6.3 -11.6 20.0 20.0 20.0 20.0 -18.3 -20.0 4.0 -14.7 -9.1 20.0 13.2 -5.6 3.2 -6.3 0.7 -4.2 -2.7 20.0 17.2 -2.5 -20.0 -20.0 CHF 5.0 16.7 8.9 4.3 4.1 3.0 4.9 0.2 4.8 -1.6 14.2 5.3 8.7 12.7 12.9 -14.6 -14.2 -14.4 -14.5 15.7 13.8 5.4 7.6 12.4 -6.6 -11.5 5.5 0.1 4.6 1.9 1.9 4.4 -19.9 -14.4 7.4 8.2 8.1 COCOA -2.7 13.4 19.1 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 12.5 15.1 6.3 9.6 13.2 13.8 -0.6 -1.1 0.9 0.4 17.8 19.9 9.6 13.7 11.1 -20.0 -10.4 5.7 6.5 6.6 3.2 5.0 3.5 -12.0 20.0 20.0 20.0 20.0 COFFEE -3.5 10.6 16.5 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -4.2 -0.4 -9.4 -5.3 1.0 8.2 8.1 4.4 6.2 5.2 7.1 3.8 -3.9 -2.9 1.5 5.1 10.0 3.3 -0.5 2.0 -1.3 -0.4 1.1 -3.3 3.0 20.0 20.0 20.0 COPPER -16.8 -9.1 -0.1 4.5 4.7 3.7 4.1 2.6 4.3 3.9 6.6 -10.4 -2.0 -10.5 -8.4 -1.8 -0.7 -1.2 -1.0 -7.0 1.0 -6.8 1.9 -11.2 7.4 11.1 -3.8 0.8 -1.0 -2.9 0.4 -4.9 3.2 -16.4 -20.0 -20.0 -20.0 CORN -11.3 -1.8 -20.0 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -10.5 -13.0 -12.1 -5.8 -12.9 -14.4 5.3 17.4 12.2 16.0 -20.0 -16.4 -19.2 -6.9 -20.0 20.0 11.0 -6.1 -4.0 -5.5 -4.9 -3.0 -5.9 17.5 -20.0 -20.0 -17.7 -20.0 COTTON2 -0.2 8.1 0.1 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 2.9 -6.9 0.8 -11.8 1.6 -4.7 -3.5 6.3 -3.2 -0.6 -3.3 -7.4 3.0 -9.3 -0.2 6.8 12.0 -1.7 0.9 -3.1 2.3 -1.9 0.2 -6.4 20.0 10.1 9.1 0.4 CRUDE_W -18.8 6.4 -6.6 -4.1 1.2 -2.6 -3.9 -0.3 -5.3 2.7 0.4 -7.6 -4.4 -3.9 -1.4 7.9 11.1 8.4 9.1 -6.0 -3.5 -10.0 -0.1 -10.9 -11.4 10.8 -2.5 1.0 -1.2 -4.4 1.1 -4.6 -6.8 -4.0 5.8 13.9 7.2 DAX 3.2 12.0 10.7 3.4 1.9 3.4 1.1 1.9 2.2 12.3 16.0 10.5 10.6 14.9 14.9 -7.9 -6.2 -7.9 -7.7 13.6 18.1 5.7 15.1 8.8 -17.9 9.9 5.7 4.9 6.7 5.9 5.5 5.9 -3.7 14.7 11.4 -5.4 3.7 DOW -2.6 10.8 -4.2 3.4 1.9 3.4 1.1 1.9 2.2 -0.5 8.6 -1.9 3.0 8.9 4.9 -8.2 -5.7 -7.9 -7.3 3.5 2.8 -2.4 1.7 1.5 -0.0 10.8 2.1 -0.1 2.6 -1.8 2.3 0.2 -3.0 -4.1 -7.8 -3.0 -9.4 EUR 0.5 11.9 9.8 4.3 4.1 3.0 4.9 0.2 4.8 -10.9 14.2 1.0 1.6 12.4 12.2 -6.9 -8.3 -7.2 -7.7 11.6 12.3 -0.4 4.2 6.8 -12.7 -11.1 5.4 -2.9 5.3 -0.1 1.4 3.3 -9.0 -17.9 -2.1 2.9 4.2 EUROSTX 0.2 13.1 10.0 3.4 1.9 3.4 1.1 1.9 2.2 7.5 15.8 2.1 13.3 13.2 13.9 -4.6 3.8 -0.4 2.3 13.9 19.8 2.8 18.4 7.0 -17.2 -8.5 5.6 4.2 7.3 4.8 6.9 5.1 13.6 8.7 7.3 -5.1 2.8 FEEDCOW -11.7 9.8 20.0 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -4.6 13.2 -6.4 10.7 6.4 12.3 -20.0 -20.0 -20.0 -20.0 18.7 19.8 -8.1 13.0 5.7 -20.0 12.2 5.0 -1.1 5.8 -2.2 4.3 1.4 -20.0 -16.8 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -19.2 -9.0 -19.0 -4.1 1.2 -2.6 -3.9 -0.3 -5.3 5.2 -14.1 -8.2 3.3 -11.4 -14.2 2.8 20.0 12.0 18.4 -19.5 -14.6 -12.0 -1.1 -20.0 5.1 -15.4 -5.6 1.8 -4.4 -3.8 -1.4 -6.1 12.7 -0.3 -2.6 -5.8 -7.0 GASOILINE -20.0 -0.8 -3.0 -4.1 1.2 -2.6 -3.9 -0.3 -5.3 3.3 3.3 -9.3 0.5 -7.8 -3.8 20.0 15.4 17.9 13.6 -6.4 -0.8 -11.7 4.7 -13.7 -20.0 -13.1 -2.6 0.7 0.3 -4.8 3.7 -5.5 -0.1 -2.2 -4.6 11.3 14.6 GAS_US 6.1 -5.8 -20.0 -4.1 1.2 -2.6 -3.9 -0.3 -5.3 -2.2 -16.7 -9.1 -15.0 -13.5 -15.4 -20.0 -16.7 -20.0 -20.0 -20.0 -20.0 -8.0 -20.0 -12.7 20.0 -9.3 -6.4 -0.2 -7.5 -3.1 -4.7 -4.7 -20.0 5.4 20.0 -2.5 -11.9 GBP 4.8 15.4 11.3 4.3 4.1 3.0 4.9 0.2 4.8 12.5 15.2 13.7 0.7 15.4 14.6 -1.5 -1.9 -1.7 -1.9 14.5 11.7 12.8 1.8 13.9 1.6 9.4 5.6 4.2 3.3 5.1 -1.4 5.7 1.5 6.2 3.1 7.2 3.5 GOLD_micro -4.3 12.1 11.3 4.5 4.7 3.7 4.1 2.6 4.3 5.5 13.3 4.5 4.7 11.0 12.0 -12.3 -11.2 -12.1 -12.1 14.4 15.6 8.7 10.4 10.4 -5.1 -13.8 5.4 2.4 5.5 3.0 3.8 3.9 -15.4 -1.2 -8.2 3.8 6.2 HEATOIL -16.4 -7.7 -18.4 -4.1 1.2 -2.6 -3.9 -0.3 -5.3 9.5 -13.3 -7.6 2.2 -10.4 -13.7 0.8 20.0 11.9 20.0 -18.0 -14.1 -9.8 -1.2 -18.1 -1.4 -13.6 -5.3 2.0 -3.5 -3.3 0.6 -5.7 17.5 -0.1 -3.9 -4.4 -6.6 JPY -10.5 -8.3 -3.3 4.3 4.1 3.0 4.9 0.2 4.8 1.6 2.9 -3.2 -7.0 -7.2 -9.8 -16.0 -13.7 -15.6 -15.0 -8.3 -4.3 -6.0 -8.4 -9.7 4.4 9.9 -2.3 -1.7 -0.7 -3.5 -4.8 -4.1 -19.7 -20.0 -20.0 -18.4 -16.8 LEANHOG 10.0 -14.5 -20.0 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -11.4 -15.0 -11.5 -12.8 -14.1 -14.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.3 -16.7 -18.6 20.0 -11.1 -6.0 -4.4 -6.5 -4.3 -4.7 -4.4 -20.0 -8.9 -5.0 -20.0 -20.0 LIVECOW -8.9 8.2 7.6 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -4.3 12.7 -7.0 11.0 7.2 9.7 20.0 7.8 20.0 20.0 8.4 11.3 -7.8 9.3 -0.4 -20.0 12.0 2.9 0.1 4.6 -3.2 4.8 -0.5 20.0 -5.3 5.4 20.0 20.0 MXP 6.4 17.4 15.0 4.3 4.1 3.0 4.9 0.2 4.8 13.0 16.0 14.8 15.8 16.1 16.2 20.0 20.0 19.9 20.0 20.0 20.0 15.8 20.0 16.9 -20.0 9.7 6.4 6.0 8.2 6.2 9.0 5.6 20.0 6.8 6.6 -7.3 17.4 NASDAQ -5.3 14.1 20.0 3.4 1.9 3.4 1.1 1.9 2.2 10.3 11.5 9.6 -5.0 13.7 14.8 -9.1 -6.2 -8.4 -7.6 15.5 14.3 7.7 2.5 10.1 -3.9 10.2 5.7 3.2 6.2 3.1 3.5 3.7 -3.6 20.0 1.7 14.3 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 3.5 -0.1 -3.6 4.3 4.1 3.0 4.9 0.2 4.8 13.3 6.9 11.3 -1.3 6.1 -6.4 1.4 0.7 1.1 0.8 0.6 -0.6 17.8 -3.1 7.6 3.6 10.8 1.8 13.2 0.6 11.0 -1.4 5.7 6.0 19.2 -0.3 -10.4 -12.4 OAT 1.5 1.8 -1.0 3.0 -3.4 1.7 -0.6 -2.5 1.7 -2.4 -6.3 2.8 -12.8 1.1 -1.7 11.2 12.1 10.9 11.5 -0.6 -6.3 1.6 -15.9 2.4 5.1 12.7 2.5 -3.4 -0.1 0.4 -6.5 2.3 20.0 6.9 2.4 -5.9 -3.7 OJ -19.0 10.3 -4.6 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -13.3 14.8 -11.1 15.3 7.0 12.8 20.0 20.0 20.0 20.0 19.5 20.0 -13.7 20.0 3.9 -20.0 -14.3 5.3 -8.1 8.6 -3.8 9.9 0.7 20.0 -20.0 6.0 20.0 20.0 PALLAD 10.0 18.7 -9.2 4.5 4.7 3.7 4.1 2.6 4.3 12.3 -13.1 0.3 -14.2 1.3 -6.4 -3.7 -2.5 -3.3 -3.0 -3.5 -14.8 8.5 -20.0 2.6 20.0 -11.1 1.1 8.8 -2.3 3.7 -4.1 2.4 0.0 -5.4 2.7 -15.1 -20.0 PLAT 8.9 15.4 0.3 4.5 4.7 3.7 4.1 2.6 4.3 8.9 8.6 3.0 4.3 6.7 7.6 -2.3 -1.6 -2.3 -2.0 12.3 8.9 7.1 5.1 10.6 1.6 11.2 4.3 5.0 2.9 2.5 1.5 3.8 1.6 -17.8 12.6 -4.5 -14.9 REDWHEAT -12.5 7.8 1.3 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 13.6 -9.3 2.9 -12.0 -0.5 -2.1 6.7 5.5 8.4 7.8 -5.4 -6.5 11.0 -5.8 -2.4 1.0 12.9 -3.1 9.1 -2.6 2.9 -0.9 -2.2 1.4 20.0 -5.6 9.1 -1.9 ROBUSTA 10.7 20.0 20.0 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 11.3 13.5 13.9 8.6 15.7 16.2 11.1 10.2 11.1 10.9 20.0 20.0 18.2 17.1 20.0 -14.0 9.6 6.4 2.2 5.2 3.3 2.9 5.1 6.6 20.0 20.0 20.0 20.0 RUSSELL -2.1 -8.1 -7.8 3.4 1.9 3.4 1.1 1.9 2.2 4.8 -7.6 -5.4 -10.0 -8.5 -13.1 -5.7 -4.6 -5.7 -5.5 -10.7 -9.0 -3.9 -7.9 -8.4 12.1 10.0 -4.5 1.1 -2.6 -1.9 -1.1 -4.1 -0.5 -3.0 -15.6 -20.0 -19.1 SILVER-mini -1.1 20.0 7.8 4.5 4.7 3.7 4.1 2.6 4.3 0.8 12.5 1.8 3.8 12.8 12.9 -6.1 -5.2 -6.1 -5.8 18.9 15.7 7.9 8.1 14.8 -4.0 -11.3 4.8 1.0 3.6 2.5 1.4 4.0 -4.8 -4.9 -6.4 10.9 -8.8 SOYBEAN -7.9 -10.8 -19.5 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -7.2 -9.5 -10.4 -5.3 -11.8 -12.2 20.0 20.0 20.0 20.0 -17.8 -14.8 -11.4 -5.9 -15.4 3.8 -11.7 -5.6 -3.7 -4.6 -3.2 -1.2 -4.5 20.0 3.0 -10.2 -20.0 -20.0 SOYMEAL -20.0 -20.0 -3.0 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 -12.6 6.0 -15.0 9.7 -14.8 -11.8 20.0 20.0 20.0 20.0 -13.2 2.2 -19.7 14.1 -20.0 -20.0 -12.0 -4.4 -5.1 0.1 -6.0 4.6 -6.3 20.0 -11.5 -12.4 -20.0 -2.8 SOYOIL 1.2 -11.8 -20.0 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 5.9 -13.3 -0.7 -7.6 -8.3 -12.6 6.7 11.6 4.7 6.6 -18.8 -19.9 0.6 -10.4 -10.2 10.3 12.9 -5.7 1.8 -6.1 0.4 -2.9 -2.9 4.2 19.5 1.1 -14.4 -20.0 SP400 -1.9 -5.2 -8.0 3.4 1.9 3.4 1.1 1.9 2.2 -0.4 -0.2 -4.2 -2.1 -2.5 -9.0 -5.7 -4.4 -5.5 -5.2 -7.3 -4.4 -5.9 -1.7 -6.9 8.1 10.2 -4.1 -1.0 -2.0 -3.0 0.1 -4.1 -0.0 -5.8 -16.0 -20.0 -18.8 SP500 -4.3 11.1 7.5 3.4 1.9 3.4 1.1 1.9 2.2 2.0 10.1 0.7 -4.0 10.6 10.2 -8.9 -6.5 -8.4 -7.7 6.8 5.6 0.6 0.3 3.6 2.4 10.2 3.6 1.3 3.9 0.1 1.8 1.5 -3.8 4.5 -4.9 1.4 2.1 SUGAR11 3.5 20.0 20.0 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 9.6 15.9 12.5 14.1 14.7 15.7 8.3 20.0 16.7 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -10.5 6.1 1.7 5.6 3.0 4.3 5.1 20.0 20.0 20.0 20.0 20.0 US10 -2.0 9.5 13.2 3.0 -3.4 1.7 -0.6 -2.5 1.7 -3.5 6.2 1.1 -9.5 7.3 10.6 -10.7 -5.7 -9.8 -8.8 6.2 2.3 1.2 -7.7 4.9 -3.4 9.7 4.6 -2.3 3.2 0.8 -1.5 3.2 -11.0 2.5 5.8 5.3 5.3 US10U -3.7 7.8 12.5 3.0 -3.4 1.7 -0.6 -2.5 1.7 -7.1 5.7 -1.7 -9.7 3.7 9.1 -8.3 -0.3 -4.9 -2.9 4.4 1.4 -1.9 -8.3 2.4 -4.8 -14.1 4.5 -3.9 3.7 -0.5 -0.9 2.4 -1.1 -2.0 1.4 0.1 5.5 US20 -6.6 6.4 13.1 3.0 -3.4 1.7 -0.6 -2.5 1.7 -11.3 6.6 -7.3 -8.2 -1.6 8.0 -1.5 -1.5 -2.2 -2.6 2.9 1.0 -5.6 -7.9 -0.4 -1.2 -12.3 3.6 -6.1 3.0 -2.4 -1.6 1.0 -2.0 -8.7 -4.8 -4.5 3.1 US30 -6.5 2.8 10.9 3.0 -3.4 1.7 -0.6 -2.5 1.7 -12.4 4.1 -10.3 -10.0 -5.8 1.8 -2.0 -0.9 -1.5 -1.4 -0.6 -2.0 -8.3 -11.5 -3.7 -2.4 10.0 2.3 -8.6 2.5 -4.4 -2.2 -0.7 -0.3 -11.7 -7.8 -12.9 0.1 US5 -0.3 10.2 15.4 3.0 -3.4 1.7 -0.6 -2.5 1.7 -2.5 5.9 2.9 -9.6 8.3 11.0 -10.6 -6.2 -10.2 -9.4 7.2 2.7 2.9 -7.5 6.5 -2.1 10.8 4.5 -1.7 2.8 1.4 -2.2 3.6 -12.0 5.1 8.7 8.2 3.5 VIX 0.4 -5.5 7.9 -3.2 -3.1 -6.8 -1.5 -8.9 -1.4 -8.2 -14.3 -5.8 -14.1 -12.3 -11.8 -20.0 -20.0 -20.0 -20.0 -7.2 -11.5 -3.4 -14.4 -4.6 NaN -13.5 -3.7 -3.6 -8.7 -1.7 -12.3 -1.5 NaN NaN NaN NaN NaN WHEAT -8.2 -3.6 -6.8 -4.4 -0.5 -3.3 -3.9 -2.1 -5.3 7.6 -14.6 -4.5 -15.2 -8.3 -12.7 -12.3 -9.2 -12.2 -11.2 -19.0 -20.0 -5.1 -17.3 -15.0 13.0 11.9 -5.5 0.8 -5.0 -1.6 -3.0 -4.6 -20.0 3.2 -11.9 -11.8 -18.2 End of report for caleb_strategy_v1