******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230511_204655 produced at 2023-05-11 21:37:29.729753 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.870907e+07 -4.870907e+07 -0.29 -0.29 -6.54 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.21 0.0 8.865725e+06 -8.865725e+06 -0.13 -0.13 -23.64 999999999.0 -15 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.14 0.0 5.603977e+07 -5.603977e+07 -0.11 -0.11 -2.57 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.731742e+07 -3.731742e+07 -0.37 -0.37 -3.53 999999999.0 -10 -10 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.12 0.0 5.461956e+07 -5.461956e+07 -0.11 -0.11 -2.20 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.255288e+07 -5.255288e+07 0.00 0.00 -1.70 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.359811e+07 -1.359811e+07 -0.10 -0.10 -6.41 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.517726e+07 -4.517726e+07 -0.05 -0.05 -1.16 999999999.0 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.136082e+07 -6.136082e+07 0.00 0.00 -0.58 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.04 0.0 8.067810e+06 -8.067810e+06 -0.04 -0.04 -5.57 999999999.0 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.200467e+07 -1.200467e+07 -0.06 -0.06 -2.19 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 3.929745e+07 -3.929745e+07 -0.08 -0.08 -0.43 999999999.0 -2 -2 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.697657e+07 -2.697657e+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 3.954904e+07 -3.954904e+07 0.00 0.00 -0.42 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.487405e+07 -1.487405e+07 0.00 0.00 -0.39 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 2.457294e+07 -2.457294e+07 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.01 0.0 1.689679e+07 -1.689679e+07 -0.02 -0.02 -0.84 999999999.0 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.634413e+07 -4.634413e+07 0.00 0.00 -0.20 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.340960e+06 -9.340960e+06 -0.02 -0.02 -1.03 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.077265e+06 -1.077265e+06 -0.02 -0.02 -5.57 999999999.0 -19 -19 caleb_strategy_v1 US5 False False 0.04 0.00 -0.00 0.0 4.411959e+07 -4.411959e+07 0.00 0.00 -0.08 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.206008e+07 -6.206008e+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 1.656333e+07 -1.656333e+07 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.310889e+07 -1.310889e+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 1.885361e+07 -1.885361e+07 0.00 0.00 0.18 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.165611e+07 -1.165611e+07 0.01 0.01 0.62 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.221314e+07 -1.221314e+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 3.492177e+06 -3.492177e+06 -0.04 -0.04 2.30 999999999.0 -12 -12 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.692055e+07 -3.692055e+07 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.024351e+07 -1.024351e+07 0.05 0.05 1.45 999999999.0 5 5 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.731602e+07 -2.731602e+07 0.03 0.03 0.37 999999999.0 1 1 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.657481e+06 -6.657481e+06 0.00 0.00 1.37 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.590839e+07 -1.590839e+07 0.02 0.02 0.53 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.01 0.0 2.762752e+07 -2.762752e+07 0.08 0.08 0.30 999999999.0 3 3 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.492487e+07 -2.492487e+07 0.00 0.00 0.93 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.273179e+07 -8.273179e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.187519e+06 -4.187519e+06 0.00 0.00 5.61 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.556613e+06 -9.556613e+06 0.02 0.02 1.70 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.03 0.00 0.02 0.0 2.678687e+07 -2.678687e+07 0.00 0.00 0.67 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.202054e+07 -2.202054e+07 0.00 0.00 1.00 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.602230e+07 -5.602230e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.03 0.0 6.971147e+06 -6.971147e+06 0.00 0.00 4.37 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.03 0.0 2.514951e+07 -2.514951e+07 0.00 0.00 1.22 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.78 0.03 0.0 9.739918e+07 -9.739918e+07 0.78 0.78 0.28 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.127185e+07 -1.127185e+07 0.00 0.00 4.26 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.05 0.0 3.125967e+07 -3.125967e+07 0.28 0.28 1.45 999999999.0 9 9 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.962830e+07 -2.962830e+07 0.00 0.00 1.78 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.075369e+08 -1.075369e+08 0.00 0.00 0.59 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.07 0.0 5.066060e+07 -5.066060e+07 0.15 0.15 1.33 999999999.0 3 3 caleb_strategy_v1 CAC False False 0.03 0.03 0.09 0.0 3.235712e+07 -3.235712e+07 0.03 0.03 2.89 999999999.0 1 1 caleb_strategy_v1 OAT False False 0.06 0.00 0.09 0.0 5.739372e+07 -5.739372e+07 0.00 0.00 1.57 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.571859e+07 -2.571859e+07 0.00 0.00 3.77 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 0.36 0.31 0.0 5.987918e+07 -5.987918e+07 0.36 0.36 5.18 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.48 0.0 5.199319e+07 -5.199319e+07 0.00 0.00 9.31 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.53 0.0 0.000000e+00 0.000000e+00 0.00 0.00 60.91 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 18.0 Shocked risk 55.9 Sum abs risk 50.0 Leverage 3.73 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2504025.25, 'annual_cash_vol_target': 626006.3125, 'daily_cash_vol_target': 39125.39453125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6708 0.6912 11.0588 BITCOIN 973.0324 26975.0000 3.6072 57.7146 BOBL 0.4016 118.6100 0.3386 5.4169 BTP 0.6715 115.5700 0.5811 9.2969 BUND 0.7460 136.6000 0.5461 8.7382 BUXL 1.7310 139.9800 1.2366 19.7855 CAC 55.0325 7381.5000 0.7455 11.9287 CAD 0.0037 0.7419 0.4922 7.8750 CANOLA 8.5716 701.7000 1.2216 19.5448 CHF 0.0054 1.1226 0.4785 7.6563 COCOA 32.2157 3006.0000 1.0717 17.1474 COFFEE 3.4185 182.4000 1.8742 29.9872 COPPER 0.0510 3.6980 1.3781 22.0488 CORN 5.8377 513.0000 1.1380 18.2073 COTTON2 1.4593 79.6700 1.8317 29.3072 CRUDE_W 1.4643 69.1800 2.1166 33.8653 DAX 118.2315 15903.0000 0.7435 11.8953 DOW 248.6016 33341.0000 0.7456 11.9301 EUR 0.0053 1.0942 0.4831 7.7295 EUROSTX 35.3596 4301.0000 0.8221 13.1540 FEEDCOW 1.5635 226.2500 0.6910 11.0566 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.2789 675.5000 2.1138 33.8213 GASOILINE 0.0482 2.3579 2.0445 32.7123 GAS_US 0.0967 2.3390 4.1336 66.1377 GBP 0.0068 1.2524 0.5433 8.6934 GOLD_micro 17.0165 2020.2000 0.8423 13.4771 HEATOIL 0.0442 2.3429 1.8858 30.1734 JPY 0.0001 0.0075 0.6690 10.7040 LEANHOG 1.3258 85.1250 1.5575 24.9200 LIVECOW 0.9472 161.0000 0.5883 9.4128 MXP 0.0004 0.0564 0.6330 10.1276 NASDAQ 116.7959 13463.7500 0.8675 13.8797 NIKKEI 215.3798 29120.0000 0.7396 11.8341 NZD 0.0044 0.6298 0.6949 11.1184 OAT 0.7031 130.9300 0.5370 8.5924 OJ 4.5134 248.3000 1.8177 29.0835 PALLAD 34.0174 1554.0000 2.1890 35.0244 PLAT 17.8295 1102.8000 1.6167 25.8680 REDWHEAT 15.1285 829.5000 1.8238 29.1809 ROBUSTA 31.9867 2393.0000 1.3367 21.3869 RUSSELL 19.9068 1748.9000 1.1382 18.2120 SILVER-mini 0.4027 24.6125 1.6362 26.1785 SOYBEAN 10.1430 1248.2500 0.8126 13.0013 SOYMEAL 4.7551 423.1000 1.1239 17.9818 SOYOIL 0.7810 50.9700 1.5323 24.5172 SP400 24.6343 2438.9000 1.0101 16.1610 SP500 31.9792 4143.2500 0.7718 12.3494 SUGAR11 0.3985 26.0600 1.5293 24.4696 US10 0.5504 116.0469 0.4743 7.5890 US10U 0.7161 121.9688 0.5871 9.3936 US20 1.0313 131.5938 0.7837 12.5397 US30 1.4591 140.2812 1.0401 16.6423 US5 0.4021 110.4766 0.3639 5.8228 VIX 0.6238 22.2000 2.8097 44.9558 WHEAT 10.9898 656.5000 1.6740 26.7839 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.75 0.69 463.61 1.00 463.61 39125.39 84.39 4.96 41.85 BITCOIN 26.98 3.61 97.30 1.00 97.30 39125.39 402.10 -5.88 -236.54 BOBL 1186.10 0.34 401.56 1.10 440.36 39125.39 88.85 14.52 129.00 BTP 1155.70 0.58 671.52 1.10 736.39 39125.39 53.13 12.41 65.93 BUND 1366.00 0.55 746.03 1.10 818.09 39125.39 47.83 15.00 71.72 BUXL 1399.80 1.24 1730.98 1.10 1898.19 39125.39 20.61 -3.33 -6.87 CAC 738.15 0.75 550.32 1.10 603.49 39125.39 64.83 15.88 102.97 CAD 741.90 0.49 365.15 1.00 365.15 39125.39 107.15 9.30 99.64 CANOLA 140.34 1.22 171.43 0.75 128.07 39125.39 305.50 20.00 611.01 CHF 1403.25 0.48 671.48 1.00 671.48 39125.39 58.27 -11.79 -68.68 COCOA 300.60 1.07 322.16 1.00 322.16 39125.39 121.45 -8.26 -100.32 COFFEE 684.00 1.87 1281.95 1.00 1281.95 39125.39 30.52 9.30 28.39 COPPER 924.50 1.38 1274.01 1.00 1274.01 39125.39 30.71 2.95 9.06 CORN 256.50 1.14 291.89 1.00 291.89 39125.39 134.04 11.99 160.78 COTTON2 398.35 1.83 729.66 1.00 729.66 39125.39 53.62 6.58 35.27 CRUDE_W 691.80 2.12 1464.25 1.00 1464.25 39125.39 26.72 0.85 2.26 DAX 159.03 0.74 118.23 1.10 129.65 39125.39 301.77 2.66 80.39 DOW 166.70 0.75 124.30 1.00 124.30 39125.39 314.76 1.53 48.01 EUR 1367.69 0.48 660.72 1.00 660.72 39125.39 59.22 -9.93 -58.80 EUROSTX 430.10 0.82 353.60 1.10 387.75 39125.39 100.90 0.62 6.28 FEEDCOW 1131.25 0.69 781.73 1.00 781.73 39125.39 50.05 -8.64 -43.26 FTSE100 707.00 0.82 576.59 1.26 666.67 39125.39 58.69 7.70 45.18 GASOIL 675.50 2.11 1427.89 1.00 1427.89 39125.39 27.40 -3.49 -9.57 GASOILINE 990.32 2.04 2024.73 1.00 2024.73 39125.39 19.32 -5.35 -10.34 GAS_US 233.90 4.13 966.85 1.00 966.85 39125.39 40.47 -16.90 -68.41 GBP 782.75 0.54 425.30 1.00 425.30 39125.39 92.00 8.81 81.00 GOLD_micro 202.02 0.84 170.17 1.00 170.17 39125.39 229.93 -10.82 -248.73 HEATOIL 984.02 1.89 1855.70 1.00 1855.70 39125.39 21.08 -2.89 -6.09 JPY 934.44 0.67 625.14 1.00 625.14 39125.39 62.59 -8.72 -54.55 LEANHOG 340.50 1.56 530.33 1.00 530.33 39125.39 73.78 -18.61 -137.30 LIVECOW 644.00 0.59 378.87 1.00 378.87 39125.39 103.27 13.59 140.36 MXP 282.25 0.63 178.66 1.00 178.66 39125.39 219.00 15.90 348.10 NASDAQ 2692.75 0.87 2335.92 1.00 2335.92 39125.39 16.75 6.47 10.84 NIKKEI 29120.00 0.74 21537.98 0.01 159.07 39125.39 245.96 13.04 320.70 NZD 629.75 0.69 437.61 1.00 437.61 39125.39 89.41 8.57 76.62 OAT 1309.30 0.54 703.13 1.10 771.05 39125.39 50.74 15.32 77.75 OJ 372.45 1.82 677.01 1.00 677.01 39125.39 57.79 -3.90 -22.56 PALLAD 1554.00 2.19 3401.74 1.00 3401.74 39125.39 11.50 -0.63 -0.73 PLAT 551.40 1.62 891.48 1.00 891.48 39125.39 43.89 9.44 41.45 REDWHEAT 414.75 1.82 756.42 1.00 756.42 39125.39 51.72 7.24 37.45 ROBUSTA 239.30 1.34 319.87 1.00 319.87 39125.39 122.32 10.69 130.81 RUSSELL 87.44 1.14 99.53 1.00 99.53 39125.39 393.08 1.13 44.33 SILVER-mini 615.31 1.64 1006.75 1.00 1006.75 39125.39 38.86 -5.90 -22.95 SOYBEAN 624.12 0.81 507.15 1.00 507.15 39125.39 77.15 2.05 15.79 SOYMEAL 423.10 1.12 475.51 1.00 475.51 39125.39 82.28 -1.74 -14.29 SOYOIL 305.82 1.53 468.61 1.00 468.61 39125.39 83.49 6.34 52.90 SP400 2438.90 1.01 2463.43 1.00 2463.43 39125.39 15.88 3.46 5.50 SP500 2071.62 0.77 1598.96 1.00 1598.96 39125.39 24.47 3.78 9.26 SUGAR11 291.87 1.53 446.37 1.00 446.37 39125.39 87.65 5.25 46.03 US10 1160.47 0.47 550.43 1.00 550.43 39125.39 71.08 -0.73 -5.17 US10U 1219.69 0.59 716.08 1.00 716.08 39125.39 54.64 -8.22 -44.91 US20 1315.94 0.78 1031.34 1.00 1031.34 39125.39 37.94 -6.07 -23.01 US30 1402.81 1.04 1459.12 1.00 1459.12 39125.39 26.81 2.21 5.94 US5 1104.77 0.36 402.05 1.00 402.05 39125.39 97.31 -0.21 -2.07 VIX 222.00 2.81 623.76 1.00 623.76 39125.39 62.72 -20.00 -125.45 WHEAT 328.25 1.67 549.49 1.00 549.49 39125.39 71.20 -6.91 -49.22 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 41.855 0.006 2.5 0.669 BITCOIN -236.541 0.009 2.5 -5.573 BOBL 129.001 0.029 2.5 9.308 BTP 65.926 0.008 2.5 1.331 BUND 71.720 0.029 2.5 5.175 BUXL -6.872 0.034 2.5 -0.577 CAC 102.966 0.011 2.5 2.895 CAD 99.644 0.007 2.5 1.779 CANOLA 611.008 0.004 2.5 5.609 CHF -68.680 0.015 2.5 -2.570 COCOA -100.324 0.009 2.5 -2.185 COFFEE 28.387 0.005 2.5 0.368 COPPER 9.059 0.011 2.5 0.248 CORN 160.778 0.004 2.5 1.450 COTTON2 35.266 0.006 2.5 0.531 CRUDE_W 2.261 0.053 2.5 0.299 DAX 80.388 0.022 2.5 4.366 DOW 48.014 0.011 2.5 1.368 EUR -58.798 0.015 2.5 -2.201 EUROSTX 6.279 0.011 2.5 0.177 FEEDCOW -43.264 0.011 2.5 -1.163 FTSE100 45.176 0.041 2.5 4.657 GASOIL -9.574 0.029 2.5 -0.683 GASOILINE -10.341 0.016 2.5 -0.425 GAS_US -68.408 0.006 2.5 -1.030 GBP 81.004 0.007 2.5 1.446 GOLD_micro -248.729 0.009 2.5 -5.565 HEATOIL -6.085 0.029 2.5 -0.434 JPY -54.550 0.026 2.5 -3.531 LEANHOG -137.301 0.019 2.5 -6.415 LIVECOW 140.361 0.011 2.5 3.772 MXP 348.099 0.005 2.5 4.262 NASDAQ 10.836 0.022 2.5 0.588 NIKKEI 320.703 0.076 2.5 60.912 NZD 76.618 0.006 2.5 1.224 OAT 77.748 0.008 2.5 1.570 OJ -22.556 0.007 2.5 -0.393 PALLAD -0.726 0.010 2.5 -0.017 PLAT 41.447 0.010 2.5 0.997 REDWHEAT 37.450 0.002 2.5 0.200 ROBUSTA 130.809 0.005 2.5 1.696 RUSSELL 44.327 0.021 2.5 2.296 SILVER-mini -22.949 0.009 2.5 -0.513 SOYBEAN 15.787 0.024 2.5 0.931 SOYMEAL -14.294 0.024 2.5 -0.843 SOYOIL 52.899 0.004 2.5 0.486 SP400 5.496 0.021 2.5 0.285 SP500 9.257 0.011 2.5 0.264 SUGAR11 46.029 0.005 2.5 0.625 US10 -5.166 0.015 2.5 -0.198 US10U -44.913 0.058 2.5 -6.544 US20 -23.011 0.029 2.5 -1.696 US30 5.937 0.034 2.5 0.498 US5 -2.072 0.015 2.5 -0.079 VIX -125.450 0.075 2.5 -23.641 WHEAT -49.217 0.002 2.5 -0.263 ==================== Position diags ==================== AUD 1.35 BITCOIN 9.47 BOBL 6.41 BTP 1.07 BUND 3.45 BUXL 1.73 CAC 1.82 CAD 1.91 CANOLA 2.80 CHF 2.18 COCOA 2.65 COFFEE 0.40 COPPER 0.84 CORN 1.21 COTTON2 0.81 CRUDE_W 3.53 DAX 16.39 DOW 8.97 EUR 2.22 EUROSTX 2.84 FEEDCOW 1.34 FTSE100 6.05 GASOIL 1.95 GASOILINE 0.79 GAS_US 0.61 GBP 1.64 GOLD_micro 5.14 HEATOIL 1.50 JPY 4.05 LEANHOG 3.45 LIVECOW 2.77 MXP 2.68 NASDAQ 0.91 NIKKEI 46.72 NZD 1.43 OAT 1.02 OJ 1.01 PALLAD 0.28 PLAT 1.06 REDWHEAT 0.28 ROBUSTA 1.59 RUSSELL 20.36 SILVER-mini 0.87 SOYBEAN 4.55 SOYMEAL 4.85 SOYOIL 0.77 SP400 0.82 SP500 0.70 SUGAR11 1.19 US10 2.73 US10U 7.96 US20 2.80 US30 2.25 US5 3.73 VIX 11.82 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.5 0.8 0.0 0 BITCOIN -5.6 -6.5 -4.6 -19.0 -19 BOBL 9.3 8.7 9.9 0.0 0 BTP 1.3 1.2 1.4 3.0 3 BUND 5.2 4.8 5.5 6.0 6 BUXL -0.6 -0.7 -0.4 0.0 0 CAC 2.9 2.7 3.1 1.0 1 CAD 1.8 1.6 2.0 0.0 0 CANOLA 5.6 5.3 5.9 NaN 0 CHF -2.6 -2.8 -2.4 -2.0 -2 COCOA -2.2 -2.4 -1.9 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.2 0.2 0.3 0.0 0 CORN 1.5 1.3 1.6 5.0 5 COTTON2 0.5 0.5 0.6 1.0 1 CRUDE_W 0.3 -0.1 0.7 3.0 3 DAX 4.4 2.7 6.0 0.0 0 DOW 1.4 0.5 2.3 0.0 0 EUR -2.2 -2.4 -2.0 -2.0 -2 EUROSTX 0.2 -0.1 0.5 0.0 0 FEEDCOW -1.2 -1.3 -1.0 -1.0 -1 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL -0.7 -0.9 -0.5 -1.0 -1 GASOILINE -0.4 -0.5 -0.3 0.0 0 GAS_US -1.0 -1.1 -1.0 -2.0 -2 GBP 1.4 1.3 1.6 9.0 9 GOLD_micro -5.6 -6.1 -5.1 -5.0 -5 HEATOIL -0.4 -0.6 -0.3 -2.0 -2 JPY -3.5 -3.9 -3.1 -10.0 -10 LEANHOG -6.4 -6.8 -6.1 -7.0 -7 LIVECOW 3.8 3.5 4.0 0.0 0 MXP 4.3 4.0 4.5 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 60.9 56.2 65.6 0.0 0 NZD 1.2 1.1 1.4 0.0 0 OAT 1.6 1.5 1.7 0.0 0 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.0 -0.0 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 1.7 1.5 1.9 2.0 2 RUSSELL 2.3 0.3 4.3 -12.0 -12 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 0.9 0.5 1.4 0.0 0 SOYMEAL -0.8 -1.3 -0.4 -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 0.6 0.5 0.7 1.0 1 US10 -0.2 -0.5 0.1 NaN 0 US10U -6.5 -7.3 -5.7 -6.0 -6 US20 -1.7 -2.0 -1.4 0.0 0 US30 0.5 0.3 0.7 0.0 0 US5 -0.1 -0.5 0.3 0.0 0 VIX -23.6 -24.8 -22.5 -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 0.0 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 0.0 -0.0 0.3 -0.0 -0.2 0.0 0.2 -0.2 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 -0.0 1.7 -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 0.2 1.0 0.3 0.2 0.1 0.0 -0.0 0.0 -0.2 0.0 1.2 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 0.1 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 0.1 -0.1 0.1 BUND 0.1 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 0.8 2.5 0.0 0.0 0.0 0.0 -0.1 0.0 2.8 0.0 0.1 -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 0.1 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 2.5 0.1 0.2 -0.0 0.1 CAD -0.0 0.2 0.1 0.1 -0.0 0.1 0.1 0.0 0.1 0.0 -0.0 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 2.4 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 -0.0 -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 -0.1 -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 0.0 0.3 -1.0 -0.6 -0.3 -0.3 0.2 0.2 0.0 0.1 0.0 -0.8 -2.4 0.1 -0.0 0.1 0.0 0.0 0.0 -2.6 -0.1 0.0 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 -0.5 -0.0 0.2 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 0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 1.1 2.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.4 -0.3 -0.4 -0.3 -0.3 CORN -0.2 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.3 0.4 0.7 0.2 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 -0.0 -0.4 -0.3 -0.3 COTTON2 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 1.4 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 -0.1 0.6 0.5 0.2 0.2 -0.1 -0.1 -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 0.0 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 0.3 -0.0 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 -0.1 -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 0.0 0.3 -0.5 -0.3 -0.1 -0.2 0.1 0.1 -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 0.0 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 0.1 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 0.1 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 -0.2 -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 0.2 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 1.5 0.0 -0.0 -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 0.2 0.2 GAS_US 0.0 -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 -0.1 GBP 0.0 0.2 0.2 0.1 -0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.0 0.0 0.1 0.3 -0.1 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.0 0.0 0.1 2.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.2 -0.0 0.1 0.1 0.0 GOLD_micro -0.1 0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.3 0.0 0.1 0.0 0.3 -1.0 -0.5 -0.3 -0.3 0.2 0.2 0.0 0.1 0.0 -0.7 -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 0.0 0.9 0.2 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 2.2 0.0 -0.0 -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 0.7 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 -0.0 -0.3 -0.3 LIVECOW -0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.3 0.0 0.2 1.6 0.3 0.4 0.4 0.1 0.1 -0.0 0.1 -0.0 -3.3 2.6 0.0 0.0 0.1 -0.0 0.1 -0.0 2.8 -0.0 0.1 0.3 0.3 MXP 0.1 0.2 0.2 0.1 -0.0 0.1 0.0 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 0.3 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 0.1 -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 0.3 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 0.3 NZD 0.1 0.0 -0.0 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 0.1 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 -0.0 OJ -0.0 0.1 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 1.4 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 -0.1 0.3 0.3 PALLAD 0.1 0.3 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 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 0.0 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 -0.0 -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 0.1 0.1 -0.0 ROBUSTA -0.0 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.2 0.1 0.3 0.8 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -2.5 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 0.0 -0.3 -0.3 -0.3 SILVER-mini -0.1 0.3 0.1 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.3 -0.0 0.1 0.0 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 -0.3 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 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 0.7 -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 -0.1 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 -0.3 -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 0.5 0.1 -0.0 -0.2 -0.3 SP400 -0.1 -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 -0.2 -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 0.1 SUGAR11 -0.0 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.4 0.0 0.3 0.1 0.3 0.6 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 -1.6 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 0.2 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 -0.0 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 0.2 -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 -0.0 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 -0.2 2.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -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 -0.2 -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 2.1 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 3.1 0.0 -6.7 4.3 -1.1 3.2 2.7 0.3 4.2 3.9 0.5 6.2 -5.3 3.5 -10.3 -3.6 -3.1 -3.6 -3.5 -2.8 -4.5 5.6 -6.1 2.3 13.8 11.7 -0.2 -0.6 -1.9 4.0 -3.5 2.7 -0.9 6.1 -2.7 -13.3 -15.8 BITCOIN -16.0 6.1 20.0 4.5 0.1 3.8 2.6 2.7 4.0 -12.9 12.7 -10.9 -7.0 1.5 10.8 -3.8 -2.2 -3.5 -2.8 8.3 11.0 -7.9 1.5 -0.9 7.8 -18.1 2.6 -6.8 4.9 -4.9 2.3 -1.9 0.6 -20.0 -20.0 -20.0 9.1 BOBL 8.7 3.8 11.5 3.2 2.6 1.8 1.5 -2.5 2.2 4.6 -3.1 8.8 -12.2 5.6 6.8 11.7 6.8 7.0 5.5 4.0 -4.0 9.5 -14.9 8.4 8.2 10.8 3.8 2.9 0.4 3.4 -6.2 4.2 12.2 7.6 7.5 0.7 -0.9 BTP 1.1 1.2 3.2 3.2 2.6 1.8 1.5 -2.5 2.2 10.1 7.1 7.4 -8.2 1.8 4.3 9.9 11.8 9.3 10.5 3.3 1.7 5.4 -8.5 3.6 -9.4 11.4 4.2 5.1 3.4 3.2 -2.8 3.3 20.0 7.6 2.5 -7.7 4.4 BUND 6.4 2.0 5.0 3.2 2.6 1.8 1.5 -2.5 2.2 6.0 -5.1 7.8 -12.8 2.1 2.0 6.9 12.4 7.8 9.7 1.5 -5.6 7.1 -16.7 5.2 6.6 12.3 3.1 3.6 0.3 2.7 -6.3 3.1 20.0 4.8 3.0 -5.0 -2.0 BUXL 3.4 -2.9 0.3 3.2 2.6 1.8 1.5 -2.5 2.2 2.2 -9.9 2.6 -13.7 -6.3 -5.4 1.4 1.0 2.0 2.2 -4.5 -10.1 0.9 -19.2 -1.1 9.3 -10.8 0.3 2.0 -1.5 0.0 -6.0 0.2 4.6 -3.1 -3.0 -13.2 -9.5 CAC -3.8 15.4 11.6 3.2 -1.5 3.5 -0.5 2.1 1.4 -2.1 15.4 -4.7 13.3 10.9 12.3 18.9 5.4 13.3 8.0 15.1 20.0 -2.0 20.0 5.4 -15.9 8.9 5.4 0.0 7.0 1.5 7.0 3.6 18.7 6.8 11.1 -2.4 6.1 CAD -3.6 13.5 3.9 4.3 -1.1 3.2 2.7 0.3 4.2 5.0 -2.0 5.2 -9.5 7.1 3.9 -2.8 -2.0 -2.8 -2.5 2.5 -1.9 7.1 -7.2 5.4 17.3 10.4 2.2 0.8 -0.2 4.2 -3.1 3.5 0.9 11.2 -6.9 -2.1 -7.3 CANOLA 4.3 -4.4 -18.8 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 6.7 -11.8 0.6 -13.3 -4.4 -11.3 20.0 20.0 20.0 20.0 -17.1 -20.0 2.4 -15.0 -7.2 20.0 13.2 -5.5 0.4 -6.5 0.4 -4.5 -2.3 20.0 20.0 2.9 -20.0 -20.0 CHF 1.7 16.0 9.0 4.3 -1.1 3.2 2.7 0.3 4.2 -10.1 14.2 -1.7 9.0 11.4 12.6 -15.0 -14.3 -14.6 -14.7 14.6 13.7 0.1 7.8 9.4 -6.1 -11.5 5.4 -2.8 4.8 0.2 2.1 3.5 -20.0 -10.9 0.8 7.6 7.4 COCOA -3.3 12.4 20.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 11.5 15.2 10.3 9.9 14.0 14.3 -1.3 -1.1 0.5 0.2 19.2 20.0 15.0 14.4 14.6 -20.0 -10.4 5.9 5.8 6.6 4.8 5.0 4.5 -12.4 20.0 20.0 20.0 20.0 COFFEE -10.6 10.6 16.8 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -9.5 -0.3 -12.1 -5.2 -0.0 7.4 8.0 4.5 6.3 5.3 6.0 3.6 -6.2 -2.9 -0.2 5.1 10.0 3.0 -3.5 2.0 -2.4 -0.4 0.4 -3.3 -2.2 11.7 20.0 20.0 COPPER -19.2 -12.0 -1.8 4.5 0.1 3.8 2.6 2.7 4.0 -12.1 5.8 -13.5 -2.3 -12.6 -10.0 -2.0 -0.8 -1.4 -1.1 -8.2 -0.4 -18.0 1.2 -14.1 8.6 11.1 -4.2 -12.6 -1.4 -8.0 0.1 -6.2 3.1 -20.0 -20.0 -20.0 -20.0 CORN -17.3 -6.2 -20.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -12.7 -13.4 -13.9 -6.3 -14.0 -14.8 4.7 17.1 11.6 15.5 -20.0 -17.5 -20.0 -7.6 -20.0 20.0 11.0 -6.2 -5.0 -5.5 -5.4 -3.1 -6.1 16.7 -17.8 -20.0 -19.7 -20.0 COTTON2 -3.4 4.8 -0.1 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -6.4 -6.5 -3.7 -11.9 -0.1 -5.3 -3.5 6.1 -3.3 -0.7 -3.9 -7.8 -3.1 -9.7 -2.2 5.6 12.0 -2.1 -6.0 -3.3 -1.8 -2.0 -1.1 -6.9 12.1 7.1 10.4 0.0 CRUDE_W -20.0 4.4 -7.0 -4.1 -1.1 -2.8 -3.2 -0.4 -4.9 -2.2 -0.4 -7.6 -4.7 -4.8 -2.4 7.5 11.0 8.3 9.0 -6.8 -4.1 -10.0 -0.4 -10.9 -11.5 10.8 -2.8 -2.7 -1.4 -4.3 1.0 -4.6 -7.3 -4.0 1.6 15.5 6.9 DAX -0.6 12.6 11.3 3.2 -1.5 3.5 -0.5 2.1 1.4 -0.3 16.0 3.8 10.9 14.3 14.7 -8.0 -6.2 -8.0 -7.7 13.0 18.2 1.4 15.5 6.9 -18.0 9.9 5.7 -0.7 7.0 3.1 5.7 5.0 -3.7 14.5 13.2 -2.8 3.9 DOW -6.6 10.9 -4.4 3.2 -1.5 3.5 -0.5 2.1 1.4 -7.4 8.5 -5.5 3.1 7.5 4.4 -8.2 -5.8 -7.9 -7.4 2.4 2.5 -6.3 1.7 -0.8 0.2 10.8 1.5 -5.6 2.5 -4.0 2.3 -1.1 -3.1 -9.1 -9.0 -4.9 -8.4 EUR -2.7 10.2 9.7 4.3 -1.1 3.2 2.7 0.3 4.2 -12.4 14.2 -6.4 1.8 10.2 11.5 -7.0 -8.3 -7.2 -7.7 9.9 11.7 -5.4 4.2 3.4 -12.4 -11.1 5.0 -5.8 5.4 -2.4 1.5 1.9 -9.0 -20.0 -7.3 2.6 3.2 EUROSTX -3.6 13.3 10.5 3.2 -1.5 3.5 -0.5 2.1 1.4 1.7 15.8 -1.0 13.4 12.5 13.6 -4.7 3.6 -0.7 2.0 13.2 19.8 0.4 18.9 5.5 -17.3 -8.5 5.7 0.8 7.5 2.8 7.3 4.4 13.3 11.4 9.8 -2.7 3.1 FEEDCOW -16.8 10.7 20.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -1.0 13.0 -4.0 10.7 6.2 11.9 -20.0 -20.0 -20.0 -20.0 18.0 20.0 -2.2 13.5 6.0 -20.0 12.2 5.0 0.7 6.0 -0.9 4.5 1.4 -20.0 -20.0 19.1 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -18.2 -9.5 -19.5 -4.1 -1.1 -2.8 -3.2 -0.4 -4.9 7.0 -14.0 -6.9 3.0 -10.2 -13.8 2.3 20.0 11.2 17.8 -19.6 -15.2 -8.8 -1.7 -18.5 5.4 -15.4 -5.6 0.5 -4.5 -2.7 -1.5 -5.5 11.4 4.0 -2.0 -6.0 -7.4 GASOILINE -20.0 -2.3 -3.6 -4.1 -1.1 -2.8 -3.2 -0.4 -4.9 3.0 2.9 -7.5 0.2 -7.4 -4.3 20.0 15.6 18.2 14.0 -6.7 -1.3 -7.8 4.6 -11.8 -20.0 -13.1 -2.8 -0.4 0.1 -3.4 3.6 -4.9 -0.1 1.2 -4.6 11.9 13.6 GAS_US 2.3 -4.3 -20.0 -4.1 -1.1 -2.8 -3.2 -0.4 -4.9 -8.2 -16.7 -10.9 -15.1 -13.8 -15.5 -20.0 -17.1 -20.0 -20.0 -20.0 -20.0 -9.1 -20.0 -13.2 20.0 -9.3 -6.4 -2.3 -7.6 -3.5 -4.8 -4.8 -20.0 -1.5 20.0 -6.4 -9.9 GBP 2.9 13.7 11.8 4.3 -1.1 3.2 2.7 0.3 4.2 0.1 15.3 9.7 0.9 14.1 14.5 -1.6 -1.9 -1.7 -1.9 13.5 11.3 5.8 2.0 11.3 0.8 9.4 5.5 -2.2 3.5 2.3 -1.3 4.8 1.5 -2.9 2.7 6.2 3.2 GOLD_micro -4.3 11.2 11.7 4.5 0.1 3.8 2.6 2.7 4.0 0.5 13.4 2.6 5.0 9.6 12.1 -12.5 -11.2 -12.2 -12.2 14.1 15.8 4.3 10.7 9.1 -5.3 -13.8 5.3 -0.9 5.7 1.5 4.1 3.5 -15.5 0.9 -8.8 -0.3 6.3 HEATOIL -14.9 -8.2 -18.7 -4.1 -1.1 -2.8 -3.2 -0.4 -4.9 7.5 -13.2 -6.1 1.9 -8.8 -13.3 0.5 20.0 11.0 19.4 -17.8 -14.6 -7.4 -1.7 -15.9 -1.2 -13.6 -5.3 -0.3 -3.7 -2.6 0.5 -5.1 16.1 6.5 -2.8 -3.4 -7.0 JPY -7.2 -9.5 -3.5 4.3 -1.1 3.2 2.7 0.3 4.2 9.4 2.7 1.0 -7.1 -6.3 -9.6 -16.0 -13.7 -15.7 -15.1 -7.9 -4.5 -2.0 -8.6 -7.6 4.9 9.9 -2.2 1.7 -0.8 -1.2 -5.0 -3.2 -19.9 -20.0 -20.0 -20.0 -17.5 LEANHOG 8.1 -15.6 -20.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -13.2 -15.2 -13.3 -13.0 -14.6 -15.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.9 -20.0 20.0 -11.1 -6.1 -3.9 -6.6 -4.3 -4.8 -4.7 -20.0 -20.0 -1.4 -20.0 -20.0 LIVECOW -10.3 9.4 7.3 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -3.7 12.6 -5.4 11.0 7.1 9.3 20.0 8.1 20.0 20.0 7.9 11.4 -4.3 9.6 -0.0 -20.0 12.0 2.8 0.2 4.7 -1.8 5.0 -0.4 20.0 -11.9 3.6 20.0 20.0 MXP 7.1 16.0 13.5 4.3 -1.1 3.2 2.7 0.3 4.2 13.0 16.2 15.0 15.8 16.2 16.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.3 8.8 7.4 8.1 7.9 6.6 20.0 20.0 17.5 0.7 18.9 NASDAQ -4.4 14.2 20.0 3.2 -1.5 3.5 -0.5 2.1 1.4 13.6 12.1 13.0 -4.7 14.7 15.2 -9.2 -6.3 -8.5 -7.7 16.6 15.1 13.2 3.1 12.9 -4.2 10.2 5.9 6.0 6.2 4.9 3.6 4.6 -3.7 20.0 12.2 10.9 20.0 NIKKEI 10.7 20.0 15.3 3.2 -1.5 3.5 -0.5 2.1 1.4 5.3 13.0 13.0 10.4 15.5 15.5 4.2 12.0 7.7 10.8 20.0 15.2 11.6 8.6 18.7 4.4 -9.4 5.7 1.4 4.0 3.6 1.7 5.5 20.0 20.0 20.0 9.9 16.9 NZD 6.9 1.3 -2.9 4.3 -1.1 3.2 2.7 0.3 4.2 7.6 7.3 11.0 -1.1 8.0 -4.9 1.5 0.8 1.1 0.8 2.3 0.2 14.6 -2.7 9.1 3.1 10.8 2.6 4.7 1.0 8.5 -1.1 6.1 6.0 20.0 4.8 -8.4 -11.6 OAT 6.1 2.0 -0.2 3.2 2.6 1.8 1.5 -2.5 2.2 9.0 -5.8 8.2 -12.7 2.7 -0.6 11.4 12.2 11.0 11.6 0.7 -5.7 7.1 -15.8 4.7 4.6 12.7 2.9 4.5 0.2 3.2 -6.3 3.3 20.0 7.3 4.3 -5.1 -3.2 OJ -20.0 7.4 7.6 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -13.2 14.1 -13.5 15.1 3.4 11.4 19.8 20.0 20.0 20.0 16.2 20.0 -20.0 20.0 -2.9 -20.0 -14.3 4.4 -7.1 8.4 -5.6 10.1 -1.1 20.0 -20.0 -2.8 20.0 20.0 PALLAD 6.1 20.0 -7.9 4.5 0.1 3.8 2.6 2.7 4.0 8.5 -12.7 5.3 -14.1 4.5 -4.9 -3.6 -2.5 -3.3 -3.0 -1.2 -13.0 12.5 -19.2 6.6 20.0 -11.1 1.8 5.5 -1.8 5.1 -3.8 3.7 0.0 5.8 7.6 -12.2 -20.0 PLAT 4.7 16.5 1.4 4.5 0.1 3.8 2.6 2.7 4.0 7.5 9.2 4.3 4.7 8.2 8.6 -2.2 -1.6 -2.3 -2.0 13.1 9.5 10.7 5.4 12.6 1.5 11.2 4.5 3.4 3.1 3.6 1.6 4.4 1.6 -6.5 14.7 -2.2 -12.2 REDWHEAT -10.5 6.7 0.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 11.8 -8.8 5.3 -12.0 2.2 -0.6 7.5 5.6 8.6 8.0 -3.7 -6.1 11.7 -5.8 1.3 1.3 12.9 -2.6 4.7 -2.6 3.3 -1.0 -0.9 1.4 20.0 4.3 10.1 -0.7 ROBUSTA -5.6 20.0 20.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -4.9 13.7 8.2 9.0 14.8 15.8 10.7 10.2 11.0 10.9 20.0 20.0 6.8 14.8 20.0 -14.8 9.6 6.2 -2.8 5.4 1.1 3.1 4.2 6.4 9.0 20.0 20.0 20.0 RUSSELL -3.2 -7.3 -8.9 3.2 -1.5 3.5 -0.5 2.1 1.4 1.8 -8.0 -5.3 -10.1 -7.5 -13.2 -5.8 -4.6 -5.8 -5.6 -10.7 -9.4 -3.8 -8.3 -7.9 12.7 10.0 -4.5 -0.8 -2.8 -1.7 -1.3 -3.8 -0.5 1.7 -11.6 -20.0 -18.9 SILVER-mini -10.4 20.0 6.4 4.5 0.1 3.8 2.6 2.7 4.0 -10.4 12.4 -5.8 3.9 9.9 12.2 -5.9 -5.2 -6.0 -5.8 14.0 13.0 -6.0 7.1 6.9 -3.5 -11.3 4.2 -7.6 3.6 -1.9 1.5 2.2 -4.8 -17.5 -15.2 6.4 -8.0 SOYBEAN -12.2 -12.6 -20.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -13.3 -10.3 -13.5 -5.8 -13.5 -13.1 20.0 20.0 20.0 20.0 -19.7 -16.2 -16.4 -6.8 -18.2 4.5 -11.7 -5.8 -4.7 -4.8 -4.4 -1.4 -5.0 20.0 2.7 -13.5 -20.0 -20.0 SOYMEAL -20.0 -19.8 -7.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -0.6 5.5 -12.7 9.3 -13.8 -12.2 20.0 20.0 20.0 20.0 -12.7 1.1 -11.7 12.5 -17.6 -20.0 -12.0 -4.4 0.7 -0.2 -3.7 4.4 -5.6 20.0 6.4 -15.1 -20.0 -3.7 SOYOIL -1.6 -11.7 -20.0 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -9.7 -13.6 -6.6 -8.1 -10.0 -13.0 6.8 11.5 4.8 6.7 -19.4 -20.0 -9.4 -10.9 -12.9 10.7 12.9 -5.9 -4.4 -6.2 -2.5 -3.1 -3.6 3.9 13.2 -0.1 -15.3 -20.0 SP400 -4.3 -4.7 -9.2 3.2 -1.5 3.5 -0.5 2.1 1.4 -4.8 -0.5 -6.0 -2.2 -2.8 -9.6 -5.6 -4.5 -5.5 -5.2 -8.0 -5.0 -7.3 -2.1 -7.8 8.7 10.2 -4.3 -3.0 -2.3 -3.4 -0.1 -4.3 -0.0 -5.3 -13.4 -20.0 -18.7 SP500 -6.4 11.6 7.4 3.2 -1.5 3.5 -0.5 2.1 1.4 2.9 10.5 2.4 -3.9 10.6 10.4 -8.9 -6.6 -8.5 -7.8 6.9 5.9 1.7 0.5 4.0 2.4 10.2 3.5 1.3 3.9 0.8 1.9 1.7 -3.9 3.9 -0.5 -0.3 3.4 SUGAR11 -2.8 20.0 19.7 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 6.2 16.0 12.5 14.2 14.8 15.8 8.1 20.0 16.1 20.0 20.0 20.0 18.1 20.0 20.0 -20.0 -10.5 6.1 1.0 5.8 2.7 4.5 4.9 20.0 10.0 20.0 20.0 20.0 US10 1.1 9.2 14.1 3.2 2.6 1.8 1.5 -2.5 2.2 6.1 7.0 5.3 -9.3 8.1 11.2 -10.9 -5.8 -10.0 -9.0 6.9 2.8 5.5 -7.5 6.4 -3.5 9.7 4.8 2.8 3.5 2.5 -1.3 3.6 -11.2 4.6 3.9 5.2 6.0 US10U -0.7 7.4 13.0 3.2 2.6 1.8 1.5 -2.5 2.2 3.9 6.4 2.8 -9.6 3.8 9.6 -8.8 -0.6 -5.3 -3.3 4.9 1.7 2.8 -8.2 3.6 -4.8 -14.1 4.6 2.6 3.9 1.6 -0.8 2.9 -1.6 -0.4 0.0 0.3 5.9 US20 -4.0 5.9 13.3 3.2 2.6 1.8 1.5 -2.5 2.2 1.2 7.1 -2.2 -8.2 -2.4 8.1 -1.5 -1.5 -2.2 -2.6 3.0 1.1 -0.4 -7.8 0.6 -1.0 -12.3 3.7 2.1 3.2 0.1 -1.5 1.5 -2.0 -5.5 -5.7 -4.6 3.4 US30 -4.1 2.4 10.5 3.2 2.6 1.8 1.5 -2.5 2.2 -1.1 4.2 -5.3 -10.0 -6.5 1.7 -2.1 -0.9 -1.6 -1.4 -0.7 -2.0 -3.3 -11.5 -2.8 -1.7 10.0 2.2 1.1 2.5 -1.5 -2.2 -0.3 -0.4 -9.7 -8.8 -11.8 0.2 US5 3.0 10.0 16.7 3.2 2.6 1.8 1.5 -2.5 2.2 5.7 6.8 6.2 -9.4 8.8 11.6 -10.9 -6.3 -10.3 -9.5 8.0 3.3 6.6 -7.3 7.8 -2.3 10.8 4.7 2.5 3.0 2.7 -2.0 3.9 -12.2 5.8 6.4 7.6 4.4 VIX 1.5 -6.3 7.7 -3.5 -6.0 -6.9 -3.9 -8.9 -2.6 -13.3 -14.5 -11.2 -14.2 -13.7 -12.7 -20.0 -20.0 -20.0 -20.0 -8.0 -12.0 -7.2 -14.8 -6.5 NaN -13.5 -4.1 -7.0 -8.8 -4.5 -12.3 -2.9 NaN NaN NaN NaN NaN WHEAT -11.0 -5.0 -10.3 -4.5 -4.1 -3.3 -4.7 -2.1 -5.3 -0.6 -14.6 -6.5 -15.2 -8.6 -12.7 -12.3 -9.3 -12.2 -11.2 -19.7 -20.0 -10.2 -18.0 -16.0 13.8 11.9 -5.6 -3.0 -5.1 -2.9 -3.2 -4.7 -20.0 8.2 -9.9 -14.0 -18.5 End of report for caleb_strategy_v1