******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230510_204646 produced at 2023-05-10 21:37:28.810599 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.32 0.0 4.871563e+07 -4.871563e+07 -0.29 -0.29 -6.49 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.21 0.0 8.977855e+06 -8.977855e+06 -0.13 -0.13 -23.15 999999999.0 -15 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.14 0.0 5.658503e+07 -5.658503e+07 -0.11 -0.11 -2.51 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.38 -0.13 0.0 3.751962e+07 -3.751962e+07 -0.38 -0.38 -3.40 999999999.0 -10 -10 caleb_strategy_v1 EUR False False 0.06 -0.11 -0.12 0.0 5.512713e+07 -5.512713e+07 -0.11 -0.11 -2.12 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.235412e+07 -5.235412e+07 0.00 0.00 -1.75 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.379544e+07 -1.379544e+07 -0.10 -0.10 -6.27 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.513476e+07 -4.513476e+07 -0.05 -0.05 -1.14 999999999.0 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.059141e+07 -6.059141e+07 0.00 0.00 -0.66 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.04 0.0 8.169046e+06 -8.169046e+06 -0.04 -0.04 -5.35 999999999.0 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.214816e+07 -1.214816e+07 -0.06 -0.06 -2.12 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 4.021518e+07 -4.021518e+07 -0.08 -0.08 -0.38 999999999.0 -2 -2 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.768506e+07 -2.768506e+07 -0.03 -0.03 -0.68 999999999.0 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 4.035490e+07 -4.035490e+07 0.00 0.00 -0.41 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.02 0.0 1.659701e+07 -1.659701e+07 -0.02 -0.02 -0.98 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.490063e+07 -1.490063e+07 0.00 0.00 -0.41 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.576374e+07 -2.576374e+07 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.643610e+07 -4.643610e+07 0.00 0.00 -0.23 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.01 0.0 4.426616e+07 -4.426616e+07 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.350596e+06 -9.350596e+06 -0.02 -0.02 -1.00 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.114015e+06 -1.114015e+06 -0.02 -0.02 -5.49 999999999.0 -19 -19 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.444817e+07 -6.444817e+07 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.684851e+07 -1.684851e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.338662e+07 -1.338662e+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 1.885955e+07 -1.885955e+07 0.00 0.00 0.17 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.195850e+07 -1.195850e+07 0.01 0.01 0.68 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.247361e+07 -1.247361e+07 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.04 0.01 0.0 3.532225e+06 -3.532225e+06 -0.04 -0.04 2.51 999999999.0 -12 -12 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.853163e+07 -3.853163e+07 0.00 0.00 0.33 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.788796e+07 -2.788796e+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 6.717359e+06 -6.717359e+06 0.00 0.00 1.90 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.615613e+07 -1.615613e+07 0.02 0.02 0.56 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.09 0.01 0.0 2.840048e+07 -2.840048e+07 0.09 0.09 0.46 999999999.0 3 3 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.394815e+06 -4.394815e+06 0.00 0.00 5.57 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.563565e+07 -5.563565e+07 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.305017e+07 -8.305017e+07 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.507487e+07 -2.507487e+07 0.00 0.00 0.99 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.967823e+06 -9.967823e+06 0.02 0.02 2.19 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.03 0.00 0.02 0.0 2.718206e+07 -2.718206e+07 0.00 0.00 0.77 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 1.042072e+07 -1.042072e+07 0.05 0.05 1.50 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.254884e+07 -2.254884e+07 0.00 0.00 1.02 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.03 0.0 7.013766e+06 -7.013766e+06 0.00 0.00 4.42 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.03 0.0 2.549671e+07 -2.549671e+07 0.00 0.00 1.28 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.79 0.03 0.0 9.824739e+07 -9.824739e+07 0.79 0.79 0.28 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.131450e+07 -1.131450e+07 0.00 0.00 4.16 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.05 0.0 3.165044e+07 -3.165044e+07 0.28 0.28 1.64 999999999.0 9 9 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.074297e+08 -1.074297e+08 0.00 0.00 0.56 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.997561e+07 -2.997561e+07 0.00 0.00 1.96 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.06 0.0 5.045622e+07 -5.045622e+07 0.15 0.15 1.27 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.09 0.0 5.722473e+07 -5.722473e+07 0.00 0.00 1.51 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.09 0.0 3.230429e+07 -3.230429e+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 2.585141e+07 -2.585141e+07 0.00 0.00 3.71 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 4.64 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.36 0.30 0.0 5.974754e+07 -5.974754e+07 0.36 0.36 4.97 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.46 0.0 5.206923e+07 -5.206923e+07 0.00 0.00 8.79 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.50 0.0 0.000000e+00 0.000000e+00 0.00 0.00 57.64 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 18.1 Shocked risk 55.0 Sum abs risk 50.0 Leverage 3.68 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2495028.13, 'annual_cash_vol_target': 623757.0325, 'daily_cash_vol_target': 38984.81453125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6782 0.6419 10.2707 BITCOIN 975.8288 27795.0000 3.5108 56.1729 BOBL 0.4126 118.4700 0.3483 5.5723 BTP 0.6687 114.8000 0.5825 9.3195 BUND 0.7553 135.9400 0.5556 8.8898 BUXL 1.7230 137.8600 1.2499 19.9977 CAC 56.4463 7350.0000 0.7680 12.2876 CAD 0.0034 0.7479 0.4575 7.3193 CANOLA 8.5978 733.9000 1.1715 18.7444 CHF 0.0053 1.1294 0.4688 7.5016 COCOA 32.4548 3031.0000 1.0708 17.1322 COFFEE 3.4259 185.5500 1.8464 29.5418 COPPER 0.0437 3.8455 1.1363 18.1810 CORN 5.8120 520.0000 1.1177 17.8831 COTTON2 1.4788 80.6200 1.8342 29.3476 CRUDE_W 1.4608 70.8600 2.0615 32.9836 DAX 119.9588 15958.0000 0.7517 12.0275 DOW 250.7938 33520.0000 0.7482 11.9711 EUR 0.0052 1.1004 0.4708 7.5325 EUROSTX 36.0295 4291.0000 0.8397 13.4344 FEEDCOW 1.5845 225.2250 0.7035 11.2564 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.1772 690.7500 2.0524 32.8390 GASOILINE 0.0487 2.3973 2.0299 32.4788 GAS_US 0.0982 2.3330 4.2110 67.3763 GBP 0.0064 1.2635 0.5065 8.1035 GOLD_micro 17.0037 2038.2000 0.8342 13.3480 HEATOIL 0.0443 2.3890 1.8545 29.6715 JPY 0.0001 0.0075 0.6824 10.9180 LEANHOG 1.3512 86.0500 1.5702 25.1235 LIVECOW 0.9647 161.2500 0.5983 9.5720 MXP 0.0004 0.0565 0.6319 10.1106 NASDAQ 119.0426 13402.0000 0.8882 14.2119 NIKKEI 223.4150 29025.0000 0.7697 12.3157 NZD 0.0042 0.6362 0.6534 10.4546 OAT 0.7076 130.2000 0.5435 8.6957 OJ 4.6217 247.8500 1.8647 29.8355 PALLAD 32.5458 1608.0000 2.0240 32.3839 PLAT 17.4067 1125.2000 1.5470 24.7518 REDWHEAT 15.2882 840.7500 1.8184 29.0943 ROBUSTA 26.2740 2487.0000 1.0565 16.9032 RUSSELL 20.0891 1762.6000 1.1397 18.2359 SILVER-mini 0.3444 25.7125 1.3394 21.4298 SOYBEAN 10.3432 1251.2500 0.8266 13.2261 SOYMEAL 4.3770 414.1000 1.0570 16.9118 SOYOIL 0.7852 51.8700 1.5138 24.2208 SP400 24.9833 2451.3000 1.0192 16.3070 SP500 32.5160 4144.2500 0.7846 12.5537 SUGAR11 0.3810 26.6400 1.4304 22.8857 US10 0.5642 115.8594 0.4870 7.7913 US10U 0.7290 121.5469 0.5998 9.5969 US20 1.0380 130.6250 0.7946 12.7138 US30 1.4586 138.8125 1.0508 16.8120 US5 0.4138 110.4453 0.3746 5.9941 VIX 0.6347 22.4000 2.8336 45.3382 WHEAT 11.0380 668.0000 1.6524 26.4382 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 678.20 0.64 435.35 1.00 435.35 38984.81 89.55 5.38 48.14 BITCOIN 27.80 3.51 97.58 1.00 97.58 38984.81 399.50 -5.83 -232.83 BOBL 1184.70 0.35 412.60 1.10 453.55 38984.81 85.96 14.16 121.75 BTP 1148.00 0.58 668.67 1.10 735.04 38984.81 53.04 11.82 62.71 BUND 1359.40 0.56 755.30 1.10 830.27 38984.81 46.95 14.66 68.82 BUXL 1378.60 1.25 1723.05 1.10 1894.06 38984.81 20.58 -3.84 -7.91 CAC 735.00 0.77 564.46 1.10 620.49 38984.81 62.83 15.55 97.73 CAD 747.90 0.46 342.13 1.00 342.13 38984.81 113.95 9.65 110.01 CANOLA 146.78 1.17 171.96 0.75 128.58 38984.81 303.21 20.00 606.41 CHF 1411.81 0.47 661.92 1.00 661.92 38984.81 58.90 -11.37 -66.97 COCOA 303.10 1.07 324.55 1.00 324.55 38984.81 120.12 -8.10 -97.27 COFFEE 695.81 1.85 1284.72 1.00 1284.72 38984.81 30.34 9.75 29.57 COPPER 961.38 1.14 1092.42 1.00 1092.42 38984.81 35.69 3.37 12.02 CORN 260.00 1.12 290.60 1.00 290.60 38984.81 134.15 12.39 166.18 COTTON2 403.10 1.83 739.38 1.00 739.38 38984.81 52.73 7.00 36.89 CRUDE_W 708.60 2.06 1460.76 1.00 1460.76 38984.81 26.69 1.31 3.49 DAX 159.58 0.75 119.96 1.10 131.86 38984.81 295.64 2.75 81.41 DOW 167.60 0.75 125.40 1.00 125.40 38984.81 310.89 2.14 66.60 EUR 1375.44 0.47 647.53 1.00 647.53 38984.81 60.21 -9.41 -56.64 EUROSTX 429.10 0.84 360.29 1.10 396.05 38984.81 98.43 0.63 6.22 FEEDCOW 1126.12 0.70 792.26 1.00 792.26 38984.81 49.21 -8.62 -42.41 FTSE100 707.00 0.82 576.59 1.26 666.67 38984.81 58.48 7.70 45.01 GASOIL 690.75 2.05 1417.72 1.00 1417.72 38984.81 27.50 -3.45 -9.49 GASOILINE 1006.87 2.03 2043.86 1.00 2043.86 38984.81 19.07 -5.20 -9.91 GAS_US 233.30 4.21 982.43 1.00 982.43 38984.81 39.68 -16.80 -66.65 GBP 789.69 0.51 399.95 1.00 399.95 38984.81 97.47 9.41 91.73 GOLD_micro 203.82 0.83 170.04 1.00 170.04 38984.81 229.27 -10.42 -238.99 HEATOIL 1003.38 1.85 1860.74 1.00 1860.74 38984.81 20.95 -2.53 -5.31 JPY 936.12 0.68 638.79 1.00 638.79 38984.81 61.03 -8.60 -52.47 LEANHOG 344.20 1.57 540.47 1.00 540.47 38984.81 72.13 -18.59 -134.11 LIVECOW 645.00 0.60 385.87 1.00 385.87 38984.81 101.03 13.66 137.99 MXP 282.30 0.63 178.39 1.00 178.39 38984.81 218.54 15.56 339.99 NASDAQ 2680.40 0.89 2380.85 1.00 2380.85 38984.81 16.37 6.27 10.27 NIKKEI 29025.00 0.77 22341.50 0.01 165.67 38984.81 235.31 12.90 303.45 NZD 636.15 0.65 415.67 1.00 415.67 38984.81 93.79 8.56 80.30 OAT 1302.00 0.54 707.61 1.10 777.84 38984.81 50.12 14.95 74.94 OJ 371.78 1.86 693.26 1.00 693.26 38984.81 56.23 -4.13 -23.22 PALLAD 1608.00 2.02 3254.58 1.00 3254.58 38984.81 11.98 -0.77 -0.92 PLAT 562.60 1.55 870.33 1.00 870.33 38984.81 44.79 9.48 42.47 REDWHEAT 420.38 1.82 764.41 1.00 764.41 38984.81 51.00 6.88 35.10 ROBUSTA 248.70 1.06 262.74 1.00 262.74 38984.81 148.38 11.37 168.69 RUSSELL 88.13 1.14 100.45 1.00 100.45 38984.81 388.12 1.25 48.47 SILVER-mini 642.81 1.34 860.96 1.00 860.96 38984.81 45.28 -5.05 -22.85 SOYBEAN 625.62 0.83 517.16 1.00 517.16 38984.81 75.38 2.23 16.83 SOYMEAL 414.10 1.06 437.70 1.00 437.70 38984.81 89.07 -1.86 -16.58 SOYOIL 311.22 1.51 471.13 1.00 471.13 38984.81 82.75 6.52 53.92 SP400 2451.30 1.02 2498.33 1.00 2498.33 38984.81 15.60 3.47 5.41 SP500 2072.12 0.78 1625.80 1.00 1625.80 38984.81 23.98 3.95 9.48 SUGAR11 298.37 1.43 426.77 1.00 426.77 38984.81 91.35 5.45 49.75 US10 1158.59 0.49 564.19 1.00 564.19 38984.81 69.10 -0.86 -5.93 US10U 1215.47 0.60 729.04 1.00 729.04 38984.81 53.47 -8.32 -44.52 US20 1306.25 0.79 1037.96 1.00 1037.96 38984.81 37.56 -6.32 -23.75 US30 1388.12 1.05 1458.58 1.00 1458.58 38984.81 26.73 1.77 4.74 US5 1104.45 0.37 413.76 1.00 413.76 38984.81 94.22 -0.33 -3.09 VIX 224.00 2.83 634.74 1.00 634.74 38984.81 61.42 -20.00 -122.84 WHEAT 334.00 1.65 551.90 1.00 551.90 38984.81 70.64 -6.87 -48.49 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 48.141 0.006 2.5 0.769 BITCOIN -232.835 0.009 2.5 -5.486 BOBL 121.751 0.029 2.5 8.785 BTP 62.705 0.008 2.5 1.266 BUND 68.823 0.029 2.5 4.966 BUXL -7.912 0.034 2.5 -0.664 CAC 97.727 0.011 2.5 2.747 CAD 110.010 0.007 2.5 1.964 CANOLA 606.413 0.004 2.5 5.567 CHF -66.974 0.015 2.5 -2.507 COCOA -97.267 0.009 2.5 -2.119 COFFEE 29.572 0.005 2.5 0.383 COPPER 12.015 0.011 2.5 0.328 CORN 166.184 0.004 2.5 1.499 COTTON2 36.886 0.006 2.5 0.555 CRUDE_W 3.486 0.053 2.5 0.460 DAX 81.408 0.022 2.5 4.421 DOW 66.598 0.011 2.5 1.898 EUR -56.638 0.015 2.5 -2.120 EUROSTX 6.220 0.011 2.5 0.175 FEEDCOW -42.415 0.011 2.5 -1.140 FTSE100 45.014 0.041 2.5 4.640 GASOIL -9.489 0.029 2.5 -0.677 GASOILINE -9.911 0.016 2.5 -0.407 GAS_US -66.648 0.006 2.5 -1.004 GBP 91.734 0.007 2.5 1.638 GOLD_micro -238.995 0.009 2.5 -5.347 HEATOIL -5.309 0.029 2.5 -0.379 JPY -52.472 0.026 2.5 -3.396 LEANHOG -134.105 0.019 2.5 -6.265 LIVECOW 137.989 0.011 2.5 3.708 MXP 339.990 0.005 2.5 4.162 NASDAQ 10.271 0.022 2.5 0.558 NIKKEI 303.453 0.076 2.5 57.636 NZD 80.305 0.006 2.5 1.283 OAT 74.937 0.008 2.5 1.513 OJ -23.218 0.007 2.5 -0.405 PALLAD -0.922 0.010 2.5 -0.022 PLAT 42.473 0.010 2.5 1.022 REDWHEAT 35.098 0.002 2.5 0.187 ROBUSTA 168.689 0.005 2.5 2.187 RUSSELL 48.470 0.021 2.5 2.511 SILVER-mini -22.848 0.009 2.5 -0.511 SOYBEAN 16.827 0.024 2.5 0.992 SOYMEAL -16.579 0.024 2.5 -0.978 SOYOIL 53.923 0.004 2.5 0.495 SP400 5.407 0.021 2.5 0.280 SP500 9.477 0.011 2.5 0.270 SUGAR11 49.755 0.005 2.5 0.675 US10 -5.925 0.015 2.5 -0.227 US10U -44.516 0.058 2.5 -6.486 US20 -23.747 0.029 2.5 -1.750 US30 4.738 0.034 2.5 0.398 US5 -3.088 0.015 2.5 -0.118 VIX -122.838 0.075 2.5 -23.149 WHEAT -48.494 0.002 2.5 -0.259 ==================== Position diags ==================== AUD 1.43 BITCOIN 9.41 BOBL 6.20 BTP 1.07 BUND 3.39 BUXL 1.73 CAC 1.77 CAD 2.03 CANOLA 2.78 CHF 2.20 COCOA 2.62 COFFEE 0.39 COPPER 0.98 CORN 1.21 COTTON2 0.79 CRUDE_W 3.53 DAX 16.06 DOW 8.86 EUR 2.25 EUROSTX 2.77 FEEDCOW 1.32 FTSE100 6.03 GASOIL 1.96 GASOILINE 0.78 GAS_US 0.60 GBP 1.74 GOLD_micro 5.13 HEATOIL 1.49 JPY 3.95 LEANHOG 3.37 LIVECOW 2.71 MXP 2.68 NASDAQ 0.89 NIKKEI 44.69 NZD 1.50 OAT 1.01 OJ 0.98 PALLAD 0.29 PLAT 1.08 REDWHEAT 0.27 ROBUSTA 1.92 RUSSELL 20.10 SILVER-mini 1.01 SOYBEAN 4.44 SOYMEAL 5.25 SOYOIL 0.76 SP400 0.81 SP500 0.68 SUGAR11 1.24 US10 2.65 US10U 7.79 US20 2.77 US30 2.24 US5 3.61 VIX 11.57 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.6 0.9 0.0 0 BITCOIN -5.5 -6.4 -4.5 -19.0 -19 BOBL 8.8 8.2 9.4 0.0 0 BTP 1.3 1.2 1.4 3.0 3 BUND 5.0 4.6 5.3 6.0 6 BUXL -0.7 -0.8 -0.5 0.0 0 CAC 2.7 2.6 2.9 1.0 1 CAD 2.0 1.8 2.2 0.0 0 CANOLA 5.6 5.3 5.8 NaN 0 CHF -2.5 -2.7 -2.3 -2.0 -2 COCOA -2.1 -2.4 -1.9 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.3 0.2 0.4 0.0 0 CORN 1.5 1.4 1.6 5.0 5 COTTON2 0.6 0.5 0.6 1.0 1 CRUDE_W 0.5 0.1 0.8 3.0 3 DAX 4.4 2.8 6.0 0.0 0 DOW 1.9 1.0 2.8 0.0 0 EUR -2.1 -2.3 -1.9 -2.0 -2 EUROSTX 0.2 -0.1 0.5 0.0 0 FEEDCOW -1.1 -1.3 -1.0 -1.0 -1 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL -0.7 -0.9 -0.5 -1.0 -1 GASOILINE -0.4 -0.5 -0.3 0.0 0 GAS_US -1.0 -1.1 -0.9 -2.0 -2 GBP 1.6 1.5 1.8 9.0 9 GOLD_micro -5.3 -5.9 -4.8 -5.0 -5 HEATOIL -0.4 -0.5 -0.2 -2.0 -2 JPY -3.4 -3.8 -3.0 -10.0 -10 LEANHOG -6.3 -6.6 -5.9 -7.0 -7 LIVECOW 3.7 3.4 4.0 0.0 0 MXP 4.2 3.9 4.4 0.0 0 NASDAQ 0.6 0.5 0.6 0.0 0 NIKKEI 57.6 53.2 62.1 0.0 0 NZD 1.3 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 0.2 0.2 0.0 0 ROBUSTA 2.2 2.0 2.4 2.0 2 RUSSELL 2.5 0.5 4.5 -12.0 -12 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.0 0.5 1.4 0.0 0 SOYMEAL -1.0 -1.5 -0.5 -1.0 -1 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 0.3 0.2 0.4 8.0 8 SP500 0.3 0.2 0.3 0.0 0 SUGAR11 0.7 0.6 0.8 1.0 1 US10 -0.2 -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 0.2 0.6 0.0 0 US5 -0.1 -0.5 0.2 0.0 0 VIX -23.1 -24.3 -22.0 -15.0 -15 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 -0.0 -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 1.6 -4.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.4 -0.3 0.2 BOBL 0.1 0.1 0.2 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.0 0.1 0.9 0.3 0.1 0.1 0.0 -0.0 0.0 -0.2 0.0 1.3 2.4 0.0 0.0 0.0 0.0 -0.1 0.0 1.7 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 0.8 0.5 0.2 0.2 0.0 0.0 0.0 -0.1 0.0 -1.2 2.2 0.0 -0.0 0.0 0.0 -0.0 0.0 2.7 0.1 0.0 -0.1 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 -0.1 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 0.1 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 -0.1 -0.1 -0.2 -0.1 CAC -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 0.0 0.3 1.5 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 -0.0 -0.1 CANOLA 0.0 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.2 1.4 0.7 0.4 0.4 -0.2 -0.2 0.0 -0.2 -0.0 4.5 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 0.0 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 -2.6 -0.2 0.1 0.1 0.1 COCOA -0.0 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.4 0.0 0.2 0.1 0.3 -0.1 -0.0 0.0 0.0 0.2 0.2 0.0 0.2 0.0 -3.1 -2.2 0.1 0.0 0.1 0.0 0.1 0.0 -1.7 0.2 0.4 0.3 0.3 COFFEE -0.1 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 0.3 0.3 0.3 COPPER -0.2 -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 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 1.0 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 -0.1 -0.3 -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 0.7 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 2.3 -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 1.5 3.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.9 0.0 0.1 0.3 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 0.6 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 -1.0 -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 -0.1 0.2 -0.1 0.1 -0.0 0.1 -0.0 0.1 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 -0.0 -0.2 -0.1 -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 -0.1 0.0 0.1 EUROSTX -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 0.3 -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 -0.0 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 0.3 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 0.1 0.0 -2.7 -0.0 0.3 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 0.6 -3.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 1.6 -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 -0.0 0.4 -0.1 -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 -0.0 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 0.1 0.0 -1.9 -0.0 -0.2 0.0 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 0.4 -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 2.3 0.0 -0.1 -0.0 -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 0.2 -0.0 0.3 NASDAQ -0.1 0.2 0.4 0.1 -0.0 0.1 -0.0 0.1 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 -0.5 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.3 0.2 0.2 0.3 NIKKEI 0.1 0.3 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.3 0.0 0.3 0.1 0.4 0.2 0.4 0.1 0.2 0.2 0.2 0.0 0.1 0.0 0.6 -1.9 0.1 0.0 0.0 0.0 0.0 0.0 2.6 0.2 0.4 0.1 0.2 NZD 0.1 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 -0.1 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 0.1 -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 -0.1 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 0.6 2.6 0.0 0.0 0.0 0.0 -0.1 0.0 2.7 0.0 0.1 -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 0.0 0.3 0.3 PALLAD 0.1 0.3 -0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.0 -0.3 0.0 -0.4 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 -0.0 0.0 0.0 0.0 0.1 -0.2 -0.3 PLAT 0.1 0.3 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 -0.1 -0.0 -0.0 0.2 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 0.3 -0.0 -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 0.6 0.2 0.2 0.2 -0.1 -0.1 0.0 -0.1 0.0 0.2 2.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.2 -0.0 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 0.4 0.9 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -2.4 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 -0.2 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 1.6 2.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -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 -0.8 -3.2 0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.2 0.1 -0.1 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 -0.1 -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 -0.0 -0.3 -0.3 -0.1 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 -0.2 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 1.4 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 0.1 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 -0.0 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 0.2 0.0 -0.2 0.0 0.3 -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 -0.2 -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 -0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.1 -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 -0.2 -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 0.2 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 0.1 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 2.0 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 3.0 -0.6 -7.3 4.4 3.7 3.1 4.7 0.3 4.8 12.1 0.5 8.5 -5.3 4.2 -10.3 -3.6 -3.1 -3.6 -3.5 -3.0 -4.8 11.2 -6.5 3.5 13.8 11.7 -0.2 8.5 -1.9 7.4 -3.5 3.4 -0.9 7.3 -1.5 -13.8 -16.0 BITCOIN -16.1 7.4 20.0 4.6 3.9 3.8 4.1 2.6 4.4 -11.4 12.9 -8.7 -7.0 5.5 11.4 -3.8 -2.2 -3.6 -2.8 9.2 11.3 -5.3 1.5 0.8 7.4 -18.1 3.1 -4.5 5.1 -3.5 2.3 -1.1 0.6 -20.0 -20.0 -20.0 9.5 BOBL 6.1 3.7 11.4 3.0 -0.2 1.8 0.2 -2.5 1.8 5.1 -3.6 7.7 -12.2 5.1 6.3 11.4 6.6 6.6 5.2 3.4 -4.3 8.6 -14.7 7.6 8.4 10.8 3.7 1.7 0.2 3.0 -6.3 4.1 11.8 11.2 8.0 1.8 -1.4 BTP -1.4 1.1 2.8 3.0 -0.2 1.8 0.2 -2.5 1.8 1.9 6.8 3.0 -8.2 0.3 3.9 9.6 11.7 9.2 10.4 2.6 1.4 1.5 -8.7 2.0 -9.3 11.4 3.8 -0.2 3.3 1.0 -2.9 2.5 20.0 5.6 1.7 -8.7 4.3 BUND 3.6 1.7 4.5 3.0 -0.2 1.8 0.2 -2.5 1.8 2.6 -5.4 5.3 -12.9 1.2 1.4 6.9 12.5 7.8 9.8 0.8 -5.9 4.3 -16.7 4.0 6.8 12.3 2.9 0.1 0.1 1.2 -6.4 2.6 20.0 4.6 2.5 -4.8 -2.3 BUXL 1.0 -3.4 -0.6 3.0 -0.2 1.8 0.2 -2.5 1.8 -5.7 -10.0 -1.2 -13.7 -6.9 -6.0 1.4 1.0 2.0 2.2 -5.2 -10.5 -3.1 -19.5 -2.6 9.4 -10.8 0.1 -2.9 -1.6 -2.0 -6.1 -0.4 4.6 -5.0 -4.0 -13.3 -9.7 CAC -1.7 14.9 10.8 3.3 -0.8 3.4 -0.0 2.0 1.7 -4.6 15.4 -4.9 13.3 11.0 12.5 18.8 5.3 13.0 7.7 15.2 20.0 -2.7 20.0 5.7 -15.8 8.9 5.3 -1.2 6.9 1.4 6.8 3.6 18.3 1.3 10.5 -3.9 5.9 CAD -3.6 13.4 3.9 4.4 3.7 3.1 4.7 0.3 4.8 12.9 -2.2 7.1 -9.5 7.7 3.9 -2.8 -2.0 -2.8 -2.5 2.7 -2.1 13.0 -7.7 6.8 17.5 10.4 2.2 8.0 -0.2 6.6 -3.1 4.0 0.9 14.3 -5.5 -2.7 -7.7 CANOLA 4.2 -5.1 -18.8 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 11.5 -11.7 1.4 -13.2 -4.7 -11.3 20.0 20.0 20.0 20.0 -17.6 -20.0 5.1 -14.9 -7.4 20.0 13.2 -5.5 2.5 -6.4 0.9 -4.4 -2.4 20.0 11.2 1.3 -20.0 -20.0 CHF 4.0 16.8 9.2 4.4 3.7 3.1 4.7 0.3 4.8 -1.3 14.2 3.9 8.9 12.5 12.9 -14.9 -14.3 -14.5 -14.6 15.7 14.1 4.7 7.8 11.8 -6.3 -11.5 5.5 0.2 4.7 1.7 2.0 4.2 -20.0 -16.3 3.8 7.7 7.8 COCOA -2.1 13.2 19.7 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 13.6 15.2 9.5 9.8 13.9 14.1 -0.9 -1.1 0.7 0.4 18.8 20.0 15.2 14.1 13.8 -20.0 -10.4 5.8 8.3 6.5 4.9 4.9 4.3 -12.2 20.0 20.0 20.0 20.0 COFFEE -7.4 10.6 16.6 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -1.6 -0.3 -10.3 -5.2 0.7 7.9 8.0 4.4 6.2 5.2 6.8 3.8 -3.9 -2.9 1.1 5.1 10.0 3.2 -0.9 2.1 -1.3 -0.4 0.9 -3.3 -0.7 18.1 20.0 20.0 COPPER -18.1 -10.3 -0.8 4.6 3.9 3.8 4.1 2.6 4.4 -8.1 6.3 -12.3 -2.1 -11.7 -9.3 -1.9 -0.7 -1.3 -1.1 -7.6 0.5 -9.7 1.7 -11.9 7.9 11.1 -4.0 -3.7 -1.2 -4.2 0.3 -5.2 3.1 -19.4 -20.0 -20.0 -20.0 CORN -14.7 -5.1 -20.0 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -10.9 -13.2 -13.1 -6.0 -13.4 -14.6 4.9 17.3 11.9 15.8 -20.0 -17.0 -20.0 -7.2 -20.0 20.0 11.0 -6.1 -3.9 -5.5 -5.0 -3.1 -5.9 17.1 -20.0 -20.0 -18.6 -20.0 COTTON2 -2.1 6.5 -0.1 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -1.5 -6.7 -1.0 -11.9 1.0 -4.9 -3.5 6.1 -3.3 -0.7 -3.5 -7.6 0.4 -9.6 -0.9 6.2 12.0 -1.8 -2.4 -3.2 0.5 -2.0 -0.3 -6.8 20.0 9.2 9.8 0.2 CRUDE_W -20.0 4.8 -6.8 -4.1 1.1 -2.7 -3.0 -0.3 -4.9 2.1 0.0 -6.8 -4.6 -4.0 -1.7 7.7 11.0 8.4 9.0 -6.2 -3.8 -8.3 -0.2 -10.4 -11.5 10.8 -2.6 0.3 -1.3 -3.7 1.0 -4.4 -7.0 -1.9 3.4 14.7 7.0 DAX 1.4 12.5 10.3 3.3 -0.8 3.4 -0.0 2.0 1.7 6.0 16.0 7.8 10.8 14.7 14.9 -7.9 -6.2 -7.9 -7.7 13.3 18.1 3.8 15.3 8.0 -18.0 9.9 5.8 1.9 6.9 4.6 5.6 5.5 -3.7 13.5 12.4 -3.8 3.8 DOW -4.7 10.9 -4.1 3.3 -0.8 3.4 -0.0 2.0 1.7 -3.7 8.5 -3.4 3.1 8.3 4.7 -8.2 -5.7 -7.9 -7.4 3.0 2.7 -4.1 1.7 0.5 0.1 10.8 1.8 -2.6 2.6 -2.7 2.3 -0.4 -3.1 -0.4 -7.0 -3.8 -8.7 EUR -0.6 11.5 9.9 4.4 3.7 3.1 4.7 0.3 4.8 -10.0 14.2 -2.0 1.7 11.8 12.0 -7.0 -8.3 -7.2 -7.7 11.1 12.2 -1.7 4.3 5.7 -12.6 -11.1 5.3 -2.6 5.4 -0.6 1.5 2.8 -9.0 -20.0 -5.6 2.7 3.7 EUROSTX -2.1 13.0 9.6 3.3 -0.8 3.4 -0.0 2.0 1.7 0.9 15.8 -0.7 13.3 12.7 13.7 -4.7 3.7 -0.6 2.1 13.4 19.6 0.5 18.6 5.8 -17.2 -8.5 5.6 0.6 7.4 3.2 7.1 4.6 13.5 8.3 8.3 -3.8 2.8 FEEDCOW -14.5 11.2 20.0 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -3.8 13.1 -5.5 10.7 6.1 12.1 -20.0 -20.0 -20.0 -20.0 18.1 19.8 -5.6 13.2 5.5 -20.0 12.2 5.0 -0.5 5.9 -1.6 4.4 1.4 -20.0 -20.0 18.2 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 -19.6 -9.2 -19.4 -4.1 1.1 -2.7 -3.0 -0.3 -4.9 9.5 -14.0 -7.6 3.1 -10.8 -14.0 2.6 20.0 11.7 18.1 -20.0 -15.2 -9.9 -1.4 -19.8 5.3 -15.4 -5.6 2.0 -4.4 -3.1 -1.5 -5.8 12.1 -3.5 -2.8 -7.3 -7.6 GASOILINE -20.0 -1.4 -3.3 -4.1 1.1 -2.7 -3.0 -0.3 -4.9 5.6 3.1 -7.6 0.3 -7.3 -3.9 20.0 15.5 18.0 13.8 -6.4 -1.0 -7.8 4.7 -12.1 -20.0 -13.1 -2.7 1.6 0.2 -3.4 3.7 -5.0 -0.1 -0.3 -4.8 11.7 14.2 GAS_US 4.2 -5.0 -20.0 -4.1 1.1 -2.7 -3.0 -0.3 -4.9 -7.0 -16.7 -10.3 -15.0 -13.7 -15.4 -20.0 -16.9 -20.0 -20.0 -20.0 -20.0 -9.1 -20.0 -13.1 20.0 -9.3 -6.4 -2.2 -7.5 -3.5 -4.8 -4.8 -20.0 -2.0 20.0 -5.0 -11.1 GBP 5.4 15.6 11.8 4.4 3.7 3.1 4.7 0.3 4.8 12.6 15.3 14.1 0.8 15.5 14.8 -1.5 -1.9 -1.7 -1.9 15.0 12.1 12.3 2.1 14.3 1.1 9.4 5.6 3.5 3.4 4.8 -1.3 5.6 1.5 1.0 2.8 7.0 3.5 GOLD_micro -3.9 12.3 11.8 4.6 3.9 3.8 4.1 2.6 4.4 5.6 13.4 5.2 4.8 11.0 12.2 -12.4 -11.2 -12.2 -12.1 14.7 16.0 8.3 10.7 10.6 -5.2 -13.8 5.4 1.9 5.6 2.8 3.9 3.9 -15.4 -1.0 -9.0 1.4 6.3 HEATOIL -15.7 -8.3 -18.5 -4.1 1.1 -2.7 -3.0 -0.3 -4.9 11.6 -13.2 -6.1 2.1 -9.2 -13.4 0.6 20.0 11.4 19.8 -17.8 -14.4 -6.4 -1.4 -16.4 -1.3 -13.6 -5.3 2.0 -3.6 -2.3 0.6 -5.2 16.8 4.9 -3.0 -3.8 -6.7 JPY -8.7 -8.7 -3.2 4.4 3.7 3.1 4.7 0.3 4.8 7.0 2.8 -1.4 -7.1 -6.6 -9.7 -16.0 -13.7 -15.6 -15.0 -8.0 -4.3 -2.9 -8.4 -8.3 4.7 9.9 -2.2 2.1 -0.8 -1.8 -4.9 -3.5 -19.8 -20.0 -20.0 -19.9 -17.3 LEANHOG 9.4 -15.5 -20.0 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -11.4 -15.1 -11.9 -12.9 -14.1 -15.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.7 -17.3 -19.5 20.0 -11.1 -6.0 -3.5 -6.5 -4.1 -4.7 -4.5 -20.0 -20.0 -3.9 -20.0 -20.0 LIVECOW -11.1 9.6 7.4 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -3.0 12.7 -5.6 11.0 7.3 9.6 20.0 7.9 20.0 20.0 8.2 11.4 -5.0 9.5 0.1 -20.0 12.0 2.8 0.9 4.7 -2.1 4.9 -0.3 20.0 -6.9 3.9 20.0 20.0 MXP 6.2 16.0 13.8 4.4 3.7 3.1 4.7 0.3 4.8 13.7 16.1 15.2 15.8 16.2 16.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 18.6 -20.0 9.7 6.3 9.7 7.8 7.8 8.4 6.3 20.0 18.5 11.0 -3.2 17.9 NASDAQ -5.4 13.8 20.0 3.3 -0.8 3.4 -0.0 2.0 1.7 12.6 11.8 11.5 -4.8 14.2 15.0 -9.1 -6.3 -8.4 -7.6 15.8 14.5 10.2 2.8 11.2 -4.0 10.2 5.8 5.0 6.2 4.0 3.5 4.1 -3.6 20.0 8.6 12.5 20.0 NIKKEI 10.7 19.1 14.6 3.3 -0.8 3.4 -0.0 2.0 1.7 8.4 12.7 12.6 10.2 15.3 15.3 4.1 12.0 7.8 10.9 19.3 14.3 11.1 8.1 18.2 4.4 -9.4 5.7 1.0 3.9 3.6 1.6 5.6 20.0 20.0 20.0 8.5 16.0 NZD 5.9 1.0 -3.3 4.4 3.7 3.1 4.7 0.3 4.8 13.8 7.2 12.9 -1.2 8.0 -5.3 1.4 0.7 1.1 0.8 2.0 -0.1 19.9 -3.0 9.9 3.3 10.8 2.4 12.3 0.8 11.0 -1.2 6.3 6.0 20.0 3.9 -9.6 -12.1 OAT 3.4 1.6 -0.8 3.0 -0.2 1.8 0.2 -2.5 1.8 2.8 -6.1 4.7 -12.7 1.5 -1.3 11.4 12.2 11.0 11.6 -0.1 -6.1 3.5 -16.0 3.1 4.8 12.7 2.6 0.4 0.0 1.4 -6.4 2.6 20.0 5.7 3.4 -5.5 -3.5 OJ -20.0 8.8 -3.6 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -13.5 14.5 -12.6 15.2 5.0 12.1 20.0 20.0 20.0 20.0 17.7 20.0 -19.0 20.0 -0.0 -20.0 -14.3 4.8 -8.3 8.5 -5.1 10.0 -0.3 20.0 -20.0 1.2 20.0 20.0 PALLAD 8.2 20.0 -8.1 4.6 3.9 3.8 4.1 2.6 4.4 13.5 -12.8 5.0 -14.1 3.9 -5.4 -3.6 -2.5 -3.2 -3.0 -1.9 -14.0 15.3 -20.0 6.3 20.0 -11.1 1.6 10.6 -1.9 5.9 -3.8 3.6 0.0 3.3 6.1 -13.9 -20.0 PLAT 8.1 16.4 1.1 4.6 3.9 3.8 4.1 2.6 4.4 12.4 9.0 5.5 4.5 8.0 8.3 -2.3 -1.6 -2.3 -2.0 13.3 9.5 12.7 5.4 13.0 1.5 11.2 4.5 6.7 3.0 4.1 1.5 4.4 1.6 -11.1 14.5 -3.1 -13.7 REDWHEAT -11.9 7.3 1.1 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 13.7 -9.0 4.8 -12.0 1.3 -1.2 7.1 5.6 8.5 7.9 -4.4 -6.3 13.3 -5.8 0.2 1.1 12.9 -2.8 7.8 -2.5 3.7 -0.9 -1.3 1.4 20.0 -0.9 9.7 -1.3 ROBUSTA 9.3 20.0 20.0 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 13.4 13.7 14.7 8.8 15.9 16.3 11.0 10.2 11.1 10.9 20.0 20.0 19.8 17.8 20.0 -14.5 9.6 6.4 2.9 5.3 3.6 3.0 5.2 6.5 20.0 20.0 20.0 20.0 RUSSELL -2.6 -7.8 -8.5 3.3 -0.8 3.4 -0.0 2.0 1.7 5.7 -7.8 -4.6 -10.0 -7.6 -13.1 -5.8 -4.6 -5.7 -5.5 -10.6 -9.2 -2.8 -8.2 -7.9 12.4 10.0 -4.5 1.2 -2.7 -1.4 -1.2 -3.9 -0.5 4.2 -12.2 -20.0 -18.9 SILVER-mini -2.7 20.0 8.4 4.6 3.9 3.8 4.1 2.6 4.4 -3.0 12.6 -0.7 3.9 12.4 12.9 -5.8 -5.2 -6.0 -5.8 18.4 15.8 4.6 8.3 13.3 -3.8 -11.3 4.7 -0.6 3.7 1.5 1.5 3.7 -4.8 -7.8 -10.4 8.8 -8.2 SOYBEAN -10.4 -11.6 -20.0 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -11.8 -9.9 -12.2 -5.5 -12.7 -12.6 20.0 20.0 20.0 20.0 -18.8 -15.5 -14.3 -6.3 -16.8 4.1 -11.7 -5.7 -4.5 -4.7 -3.9 -1.3 -4.8 20.0 0.1 -11.6 -20.0 -20.0 SOYMEAL -20.0 -20.0 -3.7 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -12.5 5.7 -15.1 9.5 -15.1 -12.2 20.0 20.0 20.0 20.0 -14.2 1.5 -20.0 13.9 -20.0 -20.0 -12.0 -4.5 -4.7 -0.1 -5.9 4.4 -6.3 20.0 -5.7 -16.1 -20.0 -3.6 SOYOIL -0.4 -11.9 -20.0 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 -0.6 -13.4 -3.0 -7.8 -8.8 -12.7 6.8 11.5 4.8 6.7 -18.9 -20.0 -3.8 -10.6 -11.0 10.4 12.9 -5.8 -1.5 -6.2 -0.9 -3.0 -3.1 4.1 11.1 0.8 -14.1 -20.0 SP400 -3.2 -4.9 -8.5 3.3 -0.8 3.4 -0.0 2.0 1.7 -2.2 -0.4 -4.9 -2.2 -2.6 -9.3 -5.6 -4.5 -5.5 -5.2 -7.6 -4.7 -6.4 -1.9 -7.4 8.4 10.2 -4.2 -1.7 -2.2 -3.1 0.0 -4.2 -0.0 -1.0 -14.2 -20.0 -18.7 SP500 -5.6 11.3 7.4 3.3 -0.8 3.4 -0.0 2.0 1.7 2.3 10.3 1.3 -4.0 10.5 10.2 -8.9 -6.5 -8.4 -7.7 6.8 5.7 1.0 0.4 3.7 2.4 10.2 3.5 1.4 3.9 0.4 1.9 1.5 -3.9 10.5 -1.5 0.6 2.8 SUGAR11 1.9 20.0 20.0 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 12.6 16.0 13.7 14.2 15.1 15.9 8.2 20.0 16.4 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -10.5 6.2 2.5 5.7 3.2 4.4 5.1 20.0 20.0 20.0 20.0 20.0 US10 -0.7 9.1 13.7 3.0 -0.2 1.8 0.2 -2.5 1.8 2.6 6.6 3.2 -9.4 7.6 10.9 -10.8 -5.7 -9.9 -8.9 6.4 2.5 3.5 -7.5 5.6 -3.5 9.7 4.7 1.2 3.4 1.7 -1.4 3.4 -11.1 4.8 4.7 5.1 5.7 US10U -2.4 7.3 12.8 3.0 -0.2 1.8 0.2 -2.5 1.8 -1.2 6.0 0.1 -9.6 3.4 9.3 -8.5 -0.4 -5.1 -3.1 4.5 1.5 0.2 -8.2 2.8 -4.8 -14.1 4.5 -0.2 3.8 0.4 -0.8 2.6 -1.3 -0.2 0.1 0.0 5.7 US20 -5.6 5.9 13.2 3.0 -0.2 1.8 0.2 -2.5 1.8 -6.5 6.8 -6.2 -8.2 -2.7 7.9 -1.5 -1.5 -2.2 -2.6 2.8 1.0 -4.1 -7.9 -0.4 -1.1 -12.3 3.6 -2.4 3.1 -1.7 -1.5 1.0 -2.0 -7.3 -6.3 -4.8 3.3 US30 -5.6 2.2 10.6 3.0 -0.2 1.8 0.2 -2.5 1.8 -9.2 4.1 -9.7 -10.0 -6.9 1.6 -2.0 -0.9 -1.6 -1.4 -0.9 -2.1 -7.1 -11.6 -3.9 -2.0 10.0 2.1 -4.5 2.5 -3.7 -2.2 -0.8 -0.3 -11.2 -9.6 -12.5 0.2 US5 1.2 9.8 16.1 3.0 -0.2 1.8 0.2 -2.5 1.8 3.6 6.4 5.0 -9.5 8.6 11.3 -10.7 -6.2 -10.2 -9.5 7.5 3.0 5.4 -7.3 7.2 -2.2 10.8 4.7 1.7 2.9 2.3 -2.1 3.8 -12.1 7.3 7.8 7.8 4.1 VIX 1.2 -5.9 7.8 -3.3 -4.8 -6.9 -2.6 -9.0 -1.9 -11.8 -14.4 -8.5 -14.1 -12.9 -12.2 -20.0 -20.0 -20.0 -20.0 -7.5 -11.7 -5.1 -14.5 -5.4 NaN -13.5 -3.9 -5.6 -8.8 -3.0 -12.4 -2.1 NaN NaN NaN NaN NaN WHEAT -9.7 -4.7 -7.5 -4.4 -1.5 -3.3 -3.9 -2.1 -5.2 4.6 -14.5 -5.0 -15.2 -8.1 -12.6 -12.3 -9.3 -12.2 -11.2 -19.3 -20.0 -6.7 -17.8 -15.1 13.4 11.9 -5.6 -0.8 -5.1 -2.0 -3.1 -4.5 -20.0 5.7 -11.3 -13.1 -18.3 End of report for caleb_strategy_v1