******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230512_204649 produced at 2023-05-12 21:37:22.731664 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.855000e+07 -4.855000e+07 -0.29 -0.29 -6.64 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.21 0.0 8.904585e+06 -8.904585e+06 -0.13 -0.13 -23.97 999999999.0 -15 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.15 0.0 5.594131e+07 -5.594131e+07 -0.11 -0.11 -2.67 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.13 0.0 5.440551e+07 -5.440551e+07 -0.11 -0.11 -2.32 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.707159e+07 -3.707159e+07 -0.37 -0.37 -3.40 999999999.0 -10 -10 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.235196e+07 -5.235196e+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 1.365103e+07 -1.365103e+07 -0.10 -0.10 -6.55 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.581859e+07 -4.581859e+07 -0.05 -0.05 -1.12 999999999.0 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.05 0.0 8.074558e+06 -8.074558e+06 -0.04 -0.04 -5.75 999999999.0 -5 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 6.047232e+07 -6.047232e+07 0.00 0.00 -0.59 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.191413e+07 -1.191413e+07 -0.06 -0.06 -2.22 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 3.865991e+07 -3.865991e+07 -0.08 -0.08 -0.51 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 3.915912e+07 -3.915912e+07 0.00 0.00 -0.45 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.651365e+07 -2.651365e+07 -0.03 -0.03 -0.74 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.465955e+07 -1.465955e+07 0.00 0.00 -0.41 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.01 0.0 1.698875e+07 -1.698875e+07 -0.02 -0.02 -0.79 999999999.0 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.621755e+07 -4.621755e+07 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.01 0.0 4.405393e+07 -4.405393e+07 0.00 0.00 -0.11 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.053943e+06 -1.053943e+06 -0.02 -0.02 -5.75 999999999.0 -19 -19 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.773032e+06 -9.773032e+06 -0.02 -0.02 -0.98 999999999.0 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 2.446260e+07 -2.446260e+07 0.00 0.00 -0.55 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.029105e+07 -6.029105e+07 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.168682e+07 -1.168682e+07 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.725388e+07 -1.725388e+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 1.330185e+07 -1.330185e+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 1.881565e+07 -1.881565e+07 0.00 0.00 0.17 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.00 0.0 2.737410e+07 -2.737410e+07 0.08 0.08 0.13 999999999.0 3 3 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.652025e+06 -6.652025e+06 0.00 0.00 0.93 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.174365e+07 -1.174365e+07 0.01 0.01 0.64 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.739661e+07 -2.739661e+07 0.03 0.03 0.37 999999999.0 1 1 caleb_strategy_v1 RUSSELL False False 0.00 -0.04 0.01 0.0 3.480792e+06 -3.480792e+06 -0.04 -0.04 1.98 999999999.0 -12 -12 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.725919e+07 -3.725919e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.608028e+07 -1.608028e+07 0.02 0.02 0.51 999999999.0 1 1 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.015023e+07 -1.015023e+07 0.05 0.05 1.42 999999999.0 5 5 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.713001e+06 -9.713001e+06 0.02 0.02 1.65 999999999.0 2 2 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.246246e+07 -8.246246e+07 0.00 0.00 0.24 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.082870e+06 -4.082870e+06 0.00 0.00 5.51 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.446260e+07 -2.446260e+07 0.00 0.00 0.80 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.02 0.0 2.660970e+07 -2.660970e+07 0.00 0.00 0.57 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.123493e+07 -2.123493e+07 0.00 0.00 0.86 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.03 0.0 5.575371e+07 -5.575371e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 2.476675e+07 -2.476675e+07 0.00 0.00 1.03 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.78 0.03 0.0 9.722206e+07 -9.722206e+07 0.78 0.78 0.28 999999999.0 8 8 caleb_strategy_v1 DAX False False 0.01 0.00 0.03 0.0 6.966817e+06 -6.966817e+06 0.00 0.00 4.62 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.04 0.0 3.116105e+07 -3.116105e+07 0.28 0.28 1.35 999999999.0 9 9 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.128981e+07 -1.128981e+07 0.00 0.00 4.37 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.953521e+07 -2.953521e+07 0.00 0.00 1.64 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.068910e+08 -1.068910e+08 0.00 0.00 0.56 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.07 0.0 5.024500e+07 -5.024500e+07 0.15 0.15 1.33 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.09 0.0 5.693209e+07 -5.693209e+07 0.00 0.00 1.57 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.09 0.0 2.600939e+07 -2.600939e+07 0.00 0.00 3.63 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.10 0.0 3.232970e+07 -3.232970e+07 0.03 0.03 3.03 999999999.0 1 1 caleb_strategy_v1 FTSE100 True False 0.04 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.65 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.36 0.31 0.0 5.944959e+07 -5.944959e+07 0.36 0.36 5.18 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.49 0.0 5.173539e+07 -5.173539e+07 0.00 0.00 9.48 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 60.81 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 17.8 Shocked risk 55.8 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': 2498712.69, 'annual_cash_vol_target': 624678.1725, 'daily_cash_vol_target': 39042.38578125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6649 0.7055 11.2876 BITCOIN 959.3632 26335.0000 3.6429 58.2867 BOBL 0.4005 118.3700 0.3384 5.4140 BTP 0.6669 114.9600 0.5801 9.2816 BUND 0.7475 136.0200 0.5496 8.7929 BUXL 1.7203 138.3600 1.2434 19.8941 CAC 53.8454 7397.0000 0.7279 11.6470 CAD 0.0037 0.7380 0.4966 7.9463 CANOLA 8.7009 688.4000 1.2639 20.2230 CHF 0.0053 1.1182 0.4777 7.6428 COCOA 32.4016 2977.0000 1.0884 17.4144 COFFEE 3.3241 182.5500 1.8209 29.1350 COPPER 0.0503 3.7240 1.3516 21.6248 CORN 5.7601 507.2500 1.1355 18.1688 COTTON2 1.4380 80.3600 1.7894 28.6309 CRUDE_W 1.4287 68.4000 2.0888 33.4204 DAX 115.8871 15940.0000 0.7270 11.6323 DOW 243.2014 33243.0000 0.7316 11.7054 EUR 0.0054 1.0876 0.4922 7.8754 EUROSTX 34.5985 4305.0000 0.8037 12.8589 FEEDCOW 1.6142 228.9750 0.7050 11.2794 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.1727 662.5000 2.1393 34.2285 GASOILINE 0.0473 2.3297 2.0315 32.5048 GAS_US 0.0980 2.4420 4.0139 64.2217 GBP 0.0068 1.2458 0.5490 8.7845 GOLD_micro 16.6392 2017.6000 0.8247 13.1952 HEATOIL 0.0438 2.3000 1.9035 30.4562 JPY 0.0001 0.0074 0.6819 10.9100 LEANHOG 1.3017 85.2750 1.5265 24.4233 LIVECOW 0.9903 162.4750 0.6095 9.7524 MXP 0.0004 0.0564 0.6233 9.9724 NASDAQ 116.1588 13354.5000 0.8698 13.9170 NIKKEI 215.3798 29120.0000 0.7396 11.8341 NZD 0.0049 0.6188 0.7840 12.5436 OAT 0.7055 130.2600 0.5416 8.6659 OJ 4.4876 244.2000 1.8377 29.4027 PALLAD 34.6163 1506.5000 2.2978 36.7647 PLAT 19.4427 1061.2000 1.8321 29.3143 REDWHEAT 16.0996 862.2500 1.8672 29.8745 ROBUSTA 31.8543 2427.0000 1.3125 20.9999 RUSSELL 19.5194 1739.5000 1.1221 17.9540 SILVER-mini 0.3969 24.4500 1.6234 25.9738 SOYBEAN 10.9766 1222.5000 0.8979 14.3661 SOYMEAL 4.6649 424.5000 1.0989 17.5825 SOYOIL 0.8312 48.6700 1.7077 27.3238 SP400 24.1070 2429.3000 0.9923 15.8775 SP500 31.6345 4121.0000 0.7676 12.2822 SUGAR11 0.3921 26.2000 1.4964 23.9429 US10 0.5517 115.4844 0.4778 7.6443 US10U 0.7180 121.3125 0.5918 9.4694 US20 1.0198 130.8125 0.7796 12.4736 US30 1.4373 139.3125 1.0317 16.5073 US5 0.4019 110.0781 0.3651 5.8416 VIX 0.6140 22.2500 2.7595 44.1521 WHEAT 10.9674 664.7500 1.6499 26.3977 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.90 0.71 469.07 1.00 469.07 39042.39 83.23 4.29 35.67 BITCOIN 26.34 3.64 95.94 1.00 95.94 39042.39 406.96 -5.99 -243.97 BOBL 1183.70 0.34 400.53 1.10 439.65 39042.39 88.80 14.79 131.38 BTP 1149.60 0.58 666.88 1.10 732.00 39042.39 53.34 12.35 65.85 BUND 1360.20 0.55 747.51 1.10 820.50 39042.39 47.58 15.08 71.74 BUXL 1383.60 1.24 1720.34 1.10 1888.33 39042.39 20.68 -3.42 -7.06 CAC 739.70 0.73 538.45 1.10 591.03 39042.39 66.06 16.30 107.65 CAD 738.00 0.50 366.52 1.00 366.52 39042.39 106.52 8.64 92.08 CANOLA 137.68 1.26 174.02 0.75 130.02 39042.39 300.28 20.00 600.56 CHF 1397.81 0.48 667.70 1.00 667.70 39042.39 58.47 -12.20 -71.33 COCOA 297.70 1.09 324.02 1.00 324.02 39042.39 120.50 -8.44 -101.75 COFFEE 684.56 1.82 1246.54 1.00 1246.54 39042.39 31.32 9.10 28.50 COPPER 931.00 1.35 1258.30 1.00 1258.30 39042.39 31.03 2.76 8.58 CORN 253.62 1.14 288.00 1.00 288.00 39042.39 135.56 11.63 157.68 COTTON2 401.80 1.79 718.99 1.00 718.99 39042.39 54.30 6.21 33.72 CRUDE_W 684.00 2.09 1428.72 1.00 1428.72 39042.39 27.33 0.36 0.98 DAX 159.40 0.73 115.89 1.10 127.20 39042.39 306.93 2.77 85.07 DOW 166.22 0.73 121.60 1.00 121.60 39042.39 321.07 1.02 32.77 EUR 1359.44 0.49 669.13 1.00 669.13 39042.39 58.35 -10.63 -62.02 EUROSTX 430.50 0.80 345.98 1.10 379.77 39042.39 102.81 0.60 6.21 FEEDCOW 1144.88 0.70 807.09 1.00 807.09 39042.39 48.37 -8.60 -41.59 FTSE100 707.00 0.82 576.59 1.26 666.67 39042.39 58.56 7.70 45.08 GASOIL 662.50 2.14 1417.27 1.00 1417.27 39042.39 27.55 -3.79 -10.44 GASOILINE 978.47 2.03 1987.82 1.00 1987.82 39042.39 19.64 -5.55 -10.90 GAS_US 244.20 4.01 980.18 1.00 980.18 39042.39 39.83 -16.38 -65.24 GBP 778.62 0.55 427.49 1.00 427.49 39042.39 91.33 8.27 75.55 GOLD_micro 201.76 0.82 166.39 1.00 166.39 39042.39 234.64 -10.96 -257.18 HEATOIL 966.00 1.90 1838.79 1.00 1838.79 39042.39 21.23 -3.38 -7.18 JPY 926.31 0.68 631.63 1.00 631.63 39042.39 61.81 -8.50 -52.55 LEANHOG 341.10 1.53 520.68 1.00 520.68 39042.39 74.98 -18.69 -140.15 LIVECOW 649.90 0.61 396.13 1.00 396.13 39042.39 98.56 13.72 135.25 MXP 282.10 0.62 175.83 1.00 175.83 39042.39 222.05 16.08 357.12 NASDAQ 2670.90 0.87 2323.18 1.00 2323.18 39042.39 16.81 6.14 10.32 NIKKEI 29120.00 0.74 21537.98 0.01 159.07 39042.39 245.43 13.04 320.14 NZD 618.85 0.78 485.16 1.00 485.16 39042.39 80.47 7.99 64.33 OAT 1302.60 0.54 705.51 1.10 774.40 39042.39 50.42 15.38 77.54 OJ 366.30 1.84 673.14 1.00 673.14 39042.39 58.00 -4.08 -23.67 PALLAD 1506.50 2.30 3461.63 1.00 3461.63 39042.39 11.28 -0.68 -0.76 PLAT 530.60 1.83 972.14 1.00 972.14 39042.39 40.16 8.89 35.72 REDWHEAT 431.12 1.87 804.98 1.00 804.98 39042.39 48.50 7.83 37.98 ROBUSTA 242.70 1.31 318.54 1.00 318.54 39042.39 122.57 10.39 127.39 RUSSELL 86.98 1.12 97.60 1.00 97.60 39042.39 400.04 0.96 38.22 SILVER-mini 611.25 1.62 992.28 1.00 992.28 39042.39 39.35 -6.21 -24.44 SOYBEAN 611.25 0.90 548.83 1.00 548.83 39042.39 71.14 1.91 13.59 SOYMEAL 424.50 1.10 466.49 1.00 466.49 39042.39 83.69 -1.59 -13.33 SOYOIL 292.02 1.71 498.69 1.00 498.69 39042.39 78.29 5.85 45.77 SP400 2429.30 0.99 2410.70 1.00 2410.70 39042.39 16.20 3.36 5.44 SP500 2060.50 0.77 1581.72 1.00 1581.72 39042.39 24.68 3.35 8.28 SUGAR11 293.44 1.50 439.11 1.00 439.11 39042.39 88.91 5.27 46.86 US10 1154.84 0.48 551.75 1.00 551.75 39042.39 70.76 -0.80 -5.63 US10U 1213.12 0.59 717.97 1.00 717.97 39042.39 54.38 -8.38 -45.59 US20 1308.12 0.78 1019.81 1.00 1019.81 39042.39 38.28 -6.04 -23.11 US30 1393.12 1.03 1437.30 1.00 1437.30 39042.39 27.16 2.21 6.00 US5 1100.78 0.37 401.89 1.00 401.89 39042.39 97.15 -0.30 -2.96 VIX 222.50 2.76 613.99 1.00 613.99 39042.39 63.59 -20.00 -127.18 WHEAT 332.38 1.65 548.37 1.00 548.37 39042.39 71.20 -6.86 -48.87 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 35.666 0.006 2.5 0.570 BITCOIN -243.972 0.009 2.5 -5.748 BOBL 131.380 0.029 2.5 9.480 BTP 65.849 0.008 2.5 1.330 BUND 71.742 0.029 2.5 5.177 BUXL -7.063 0.034 2.5 -0.593 CAC 107.652 0.011 2.5 3.026 CAD 92.084 0.007 2.5 1.644 CANOLA 600.559 0.004 2.5 5.513 CHF -71.329 0.015 2.5 -2.670 COCOA -101.748 0.009 2.5 -2.216 COFFEE 28.498 0.005 2.5 0.369 COPPER 8.576 0.011 2.5 0.234 CORN 157.677 0.004 2.5 1.422 COTTON2 33.720 0.006 2.5 0.508 CRUDE_W 0.976 0.053 2.5 0.129 DAX 85.070 0.022 2.5 4.620 DOW 32.773 0.011 2.5 0.934 EUR -62.022 0.015 2.5 -2.321 EUROSTX 6.214 0.011 2.5 0.175 FEEDCOW -41.586 0.011 2.5 -1.117 FTSE100 45.080 0.041 2.5 4.647 GASOIL -10.437 0.029 2.5 -0.744 GASOILINE -10.898 0.016 2.5 -0.447 GAS_US -65.242 0.006 2.5 -0.982 GBP 75.549 0.007 2.5 1.349 GOLD_micro -257.180 0.009 2.5 -5.754 HEATOIL -7.181 0.029 2.5 -0.512 JPY -52.546 0.026 2.5 -3.401 LEANHOG -140.150 0.019 2.5 -6.548 LIVECOW 135.252 0.011 2.5 3.634 MXP 357.121 0.005 2.5 4.372 NASDAQ 10.325 0.022 2.5 0.561 NIKKEI 320.142 0.076 2.5 60.806 NZD 64.334 0.006 2.5 1.028 OAT 77.539 0.008 2.5 1.566 OJ -23.665 0.007 2.5 -0.413 PALLAD -0.764 0.010 2.5 -0.018 PLAT 35.723 0.010 2.5 0.860 REDWHEAT 37.978 0.002 2.5 0.203 ROBUSTA 127.392 0.005 2.5 1.652 RUSSELL 38.217 0.021 2.5 1.979 SILVER-mini -24.439 0.009 2.5 -0.547 SOYBEAN 13.588 0.024 2.5 0.801 SOYMEAL -13.331 0.024 2.5 -0.786 SOYOIL 45.770 0.004 2.5 0.420 SP400 5.435 0.021 2.5 0.282 SP500 8.279 0.011 2.5 0.236 SUGAR11 46.858 0.005 2.5 0.636 US10 -5.635 0.015 2.5 -0.216 US10U -45.587 0.058 2.5 -6.642 US20 -23.113 0.029 2.5 -1.704 US30 6.003 0.034 2.5 0.504 US5 -2.962 0.015 2.5 -0.114 VIX -127.176 0.075 2.5 -23.966 WHEAT -48.870 0.002 2.5 -0.261 ==================== Position diags ==================== AUD 1.33 BITCOIN 9.59 BOBL 6.41 BTP 1.08 BUND 3.43 BUXL 1.74 CAC 1.86 CAD 1.90 CANOLA 2.76 CHF 2.19 COCOA 2.62 COFFEE 0.41 COPPER 0.85 CORN 1.22 COTTON2 0.82 CRUDE_W 3.61 DAX 16.67 DOW 9.15 EUR 2.18 EUROSTX 2.89 FEEDCOW 1.30 FTSE100 6.04 GASOIL 1.97 GASOILINE 0.81 GAS_US 0.60 GBP 1.63 GOLD_micro 5.25 HEATOIL 1.51 JPY 4.00 LEANHOG 3.50 LIVECOW 2.65 MXP 2.72 NASDAQ 0.91 NIKKEI 46.62 NZD 1.29 OAT 1.02 OJ 1.01 PALLAD 0.27 PLAT 0.97 REDWHEAT 0.26 ROBUSTA 1.59 RUSSELL 20.72 SILVER-mini 0.88 SOYBEAN 4.19 SOYMEAL 4.93 SOYOIL 0.72 SP400 0.84 SP500 0.70 SUGAR11 1.21 US10 2.71 US10U 7.92 US20 2.82 US30 2.28 US5 3.73 VIX 11.98 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.4 0.7 0.0 0 BITCOIN -5.7 -6.7 -4.8 -19.0 -19 BOBL 9.5 8.8 10.1 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 -0.8 -0.4 0.0 0 CAC 3.0 2.8 3.2 1.0 1 CAD 1.6 1.5 1.8 0.0 0 CANOLA 5.5 5.2 5.8 NaN 0 CHF -2.7 -2.9 -2.5 -2.0 -2 COCOA -2.2 -2.5 -2.0 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.2 0.1 0.3 0.0 0 CORN 1.4 1.3 1.5 5.0 5 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W 0.1 -0.2 0.5 3.0 3 DAX 4.6 3.0 6.3 0.0 0 DOW 0.9 0.0 1.8 0.0 0 EUR -2.3 -2.5 -2.1 -2.0 -2 EUROSTX 0.2 -0.1 0.5 0.0 0 FEEDCOW -1.1 -1.2 -1.0 -1.0 -1 FTSE100 4.6 4.0 5.3 0.0 0 GASOIL -0.7 -0.9 -0.5 -1.0 -1 GASOILINE -0.4 -0.5 -0.4 0.0 0 GAS_US -1.0 -1.0 -0.9 -2.0 -2 GBP 1.3 1.2 1.5 9.0 9 GOLD_micro -5.8 -6.3 -5.2 -5.0 -5 HEATOIL -0.5 -0.7 -0.4 -2.0 -2 JPY -3.4 -3.8 -3.0 -10.0 -10 LEANHOG -6.5 -6.9 -6.2 -7.0 -7 LIVECOW 3.6 3.4 3.9 0.0 0 MXP 4.4 4.1 4.6 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 60.8 56.1 65.5 0.0 0 NZD 1.0 0.9 1.2 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 0.9 0.8 1.0 0.0 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 1.7 1.5 1.8 2.0 2 RUSSELL 2.0 -0.1 4.1 -12.0 -12 SILVER-mini -0.5 -0.6 -0.5 0.0 0 SOYBEAN 0.8 0.4 1.2 0.0 0 SOYMEAL -0.8 -1.3 -0.3 -1.0 -1 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.3 0.2 0.4 8.0 8 SP500 0.2 0.2 0.3 0.0 0 SUGAR11 0.6 0.5 0.8 1.0 1 US10 -0.2 -0.5 0.1 NaN 0 US10U -6.6 -7.4 -5.8 -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 -24.0 -25.2 -22.8 -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 -0.1 0.1 -0.0 0.0 0.0 -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 1.8 -4.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.4 -0.3 0.1 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 0.0 0.0 -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 0.1 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 -0.1 -0.1 -0.2 -0.1 CAC -0.1 0.3 0.2 0.0 -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 0.2 0.2 -0.0 0.1 CAD -0.1 0.2 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -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 -0.2 -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 0.2 0.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -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 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 0.6 0.2 0.1 0.1 0.1 0.0 -0.0 -0.0 -0.0 0.8 2.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.5 0.0 0.2 0.3 0.3 COPPER -0.2 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.3 -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 2.2 -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 1.2 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 -0.1 -0.0 0.2 0.1 DAX -0.0 0.2 0.2 0.0 -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 0.0 -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 -0.2 -0.2 -0.1 -0.1 EUR -0.1 0.1 0.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -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 -0.2 0.0 0.0 EUROSTX -0.1 0.2 0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.4 -0.0 0.3 0.1 0.3 -0.4 0.1 -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 0.2 -0.0 0.1 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 0.4 0.3 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -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 1.4 0.1 -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 -0.0 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -1.6 -0.7 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 2.4 -1.8 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.1 0.4 -0.1 -0.1 GBP 0.0 0.2 0.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.4 0.0 0.0 0.0 0.3 -0.1 -0.1 -0.0 -0.0 0.1 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 0.0 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 -0.1 -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 0.0 -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 2.1 0.0 -0.0 -0.0 -0.1 JPY -0.1 -0.2 -0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 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 -0.0 -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 0.0 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 0.4 0.1 0.3 NASDAQ -0.1 0.2 0.4 0.0 -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 0.3 0.1 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 -0.0 0.0 0.0 -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 0.4 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 0.3 -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 0.0 0.1 -0.0 0.1 -0.0 -5.1 -3.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 2.8 -0.0 -0.2 0.3 0.3 PALLAD 0.0 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 -0.1 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 -0.1 -0.3 PLAT -0.0 0.2 0.0 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.2 -0.0 0.1 0.0 0.2 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.1 0.0 0.3 2.5 0.1 -0.0 0.0 0.0 0.0 0.0 0.2 -0.0 0.2 -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 0.2 0.0 ROBUSTA -0.1 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.2 0.1 0.3 0.8 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 0.8 0.0 0.4 0.3 0.3 RUSSELL -0.1 -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 1.7 2.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.3 SILVER-mini -0.2 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 -0.3 -0.2 -0.1 -0.1 0.2 0.2 -0.0 0.1 0.0 -0.7 -3.2 0.0 -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 -0.3 -0.0 -0.2 -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 -0.3 -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 -0.0 -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 -0.2 -0.1 SOYOIL -0.0 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 0.6 0.5 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 1.6 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.5 -0.0 -0.1 -0.2 -0.3 SP400 -0.1 -0.1 -0.2 0.0 -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 1.5 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 0.0 -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 0.0 -0.0 0.0 0.0 -0.5 -0.0 -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 0.3 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 -0.2 -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 -0.3 -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 -0.0 -0.1 0.0 US30 -0.0 0.0 0.2 0.1 0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.3 -0.0 0.0 -0.2 -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 -0.1 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 0.4 -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 0.1 -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 1.6 0.1 -6.9 4.0 -6.5 3.2 -0.4 0.3 3.0 -7.4 0.4 0.9 -5.4 1.0 -10.7 -3.6 -3.1 -3.6 -3.5 -3.3 -4.6 -1.2 -6.1 0.0 13.8 11.7 -0.7 -8.7 -2.0 -0.6 -3.6 1.1 -0.9 7.6 -3.1 -13.1 -15.8 BITCOIN -16.0 4.8 20.0 4.5 -1.5 3.9 1.5 2.8 3.6 -13.7 12.4 -12.6 -7.0 -1.8 10.0 -3.9 -2.3 -3.6 -2.8 7.2 10.6 -11.2 1.5 -3.0 8.2 -18.1 1.9 -8.8 4.6 -6.4 2.2 -2.9 0.5 -20.0 -20.0 -20.0 8.1 BOBL 10.1 4.1 12.7 3.2 0.8 1.9 1.2 -2.5 2.2 -2.2 -2.7 8.9 -12.1 5.7 7.2 12.0 6.9 7.3 5.7 4.4 -3.7 8.2 -14.7 8.3 8.3 10.8 3.9 1.2 0.5 2.9 -6.2 4.1 12.4 5.9 7.5 0.1 -0.3 BTP 2.2 1.0 3.5 3.2 0.8 1.9 1.2 -2.5 2.2 4.1 7.2 7.3 -8.1 1.6 4.4 10.2 11.8 9.4 10.5 3.3 1.8 4.3 -8.4 3.5 -9.3 11.4 4.2 2.1 3.5 2.5 -2.7 3.2 20.0 3.6 2.4 -6.7 4.5 BUND 7.6 2.4 6.1 3.2 0.8 1.9 1.2 -2.5 2.2 0.6 -4.8 8.0 -12.8 2.2 2.3 7.0 12.4 7.8 9.7 1.7 -5.3 6.0 -16.5 5.2 6.6 12.3 3.2 1.4 0.4 2.2 -6.2 3.0 20.0 2.8 3.1 -5.1 -1.6 BUXL 4.2 -2.7 1.0 3.2 0.8 1.9 1.2 -2.5 2.2 -2.5 -9.9 2.0 -13.7 -6.5 -5.2 1.5 1.0 2.0 2.2 -4.5 -10.1 -0.1 -19.3 -1.4 9.4 -10.8 0.3 -0.2 -1.5 -0.4 -6.1 0.1 4.6 -6.1 -3.5 -13.5 -9.2 CAC -5.4 16.1 12.1 3.0 -3.0 3.5 -1.4 2.1 1.0 3.9 15.3 -4.2 13.4 10.6 12.2 19.0 5.6 13.6 8.2 14.9 20.0 -1.0 20.0 5.3 -15.9 8.9 5.4 1.1 7.1 1.7 7.1 3.6 19.1 15.3 12.1 -0.9 6.6 CAD -4.2 12.9 4.0 4.0 -6.5 3.2 -0.4 0.3 3.0 -3.1 -2.0 1.0 -9.5 5.4 3.5 -2.9 -2.1 -2.8 -2.5 1.8 -2.0 0.5 -7.1 3.1 17.1 10.4 1.9 -5.0 -0.2 0.9 -3.2 2.5 0.9 7.1 -9.2 -1.0 -7.1 CANOLA 3.9 -3.4 -18.3 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -2.8 -12.0 -3.0 -13.4 -5.6 -11.6 20.0 20.0 20.0 20.0 -17.2 -20.0 -4.0 -15.0 -8.8 20.0 13.2 -5.6 -2.6 -6.6 -1.0 -4.6 -2.7 20.0 19.1 1.2 -20.0 -20.0 CHF -1.0 15.4 8.9 4.0 -6.5 3.2 -0.4 0.3 3.0 -12.7 14.1 -6.3 9.1 10.1 12.0 -15.1 -14.3 -14.7 -14.7 13.5 13.5 -4.6 7.8 6.8 -5.9 -11.5 5.1 -5.1 4.8 -1.5 2.2 2.6 -20.0 -5.8 -0.6 8.2 7.7 COCOA -4.3 11.3 20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 7.2 15.2 8.7 10.0 13.5 14.2 -1.5 -1.2 0.4 0.2 18.9 20.0 11.5 14.4 13.8 -20.0 -10.4 5.9 2.4 6.7 3.8 5.1 4.3 -12.6 20.0 20.0 20.0 20.0 COFFEE -10.8 11.0 16.8 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -12.5 -0.3 -13.3 -5.1 -0.5 6.9 8.0 4.5 6.3 5.3 5.6 3.6 -7.2 -2.9 -1.1 5.0 10.0 2.8 -3.7 2.0 -2.8 -0.4 -0.0 -3.4 0.7 8.3 20.0 20.0 COPPER -20.0 -13.5 -2.5 4.5 -1.5 3.9 1.5 2.8 3.6 -11.4 5.4 -13.7 -2.4 -13.0 -10.6 -2.1 -0.8 -1.4 -1.1 -9.6 -1.1 -20.0 0.9 -16.4 9.1 11.1 -4.4 -11.0 -1.6 -8.7 -0.0 -6.7 3.0 -20.0 -20.0 -20.0 -20.0 CORN -19.4 -7.8 -20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -13.6 -13.6 -14.6 -6.5 -14.5 -15.1 4.4 17.0 11.2 15.3 -20.0 -18.4 -20.0 -8.1 -20.0 20.0 11.0 -6.2 -5.8 -5.5 -5.9 -3.1 -6.2 16.3 -17.7 -20.0 -20.0 -20.0 COTTON2 -2.7 4.4 -0.1 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -5.7 -6.3 -4.5 -12.0 -0.6 -5.6 -3.4 6.0 -3.2 -0.7 -4.1 -7.9 -3.6 -9.8 -2.7 5.0 12.0 -2.2 -4.1 -3.4 -2.2 -2.1 -1.4 -7.1 9.0 5.8 11.7 -0.5 CRUDE_W -19.7 3.8 -7.4 -4.2 -2.5 -2.8 -3.5 -0.4 -4.8 -4.7 -1.0 -8.5 -4.9 -5.9 -3.1 7.4 11.0 8.2 9.0 -7.5 -4.5 -12.1 -0.5 -11.8 -11.6 10.8 -3.1 -4.4 -1.5 -4.9 0.9 -4.8 -7.6 -9.1 -0.1 16.3 6.8 DAX -1.0 13.0 11.3 3.0 -3.0 3.5 -1.4 2.1 1.0 0.7 16.0 2.9 11.1 14.1 14.6 -8.1 -6.3 -8.0 -7.8 12.8 18.4 1.0 15.8 6.4 -18.0 9.9 5.8 -0.1 7.1 2.6 5.9 4.7 -3.7 19.4 14.9 -1.4 4.4 DOW -8.1 10.5 -4.5 3.0 -3.0 3.5 -1.4 2.1 1.0 -10.4 8.3 -8.2 3.1 6.2 4.0 -8.2 -5.8 -8.0 -7.4 1.7 2.3 -8.8 1.6 -2.4 0.3 10.8 1.0 -7.3 2.3 -5.3 2.3 -1.9 -3.1 -13.9 -9.3 -5.5 -8.1 EUR -5.5 8.5 9.4 4.0 -6.5 3.2 -0.4 0.3 3.0 -13.5 14.0 -9.6 1.8 7.1 10.5 -7.1 -8.3 -7.2 -7.8 8.3 11.0 -11.0 4.1 0.1 -12.1 -11.1 4.3 -9.8 5.2 -5.1 1.5 0.4 -9.0 -20.0 -8.9 2.4 2.8 EUROSTX -4.5 13.7 10.9 3.0 -3.0 3.5 -1.4 2.1 1.0 2.7 15.8 -0.9 13.5 12.3 13.5 -4.8 3.5 -0.9 1.9 13.0 20.0 0.5 19.3 5.3 -17.2 -8.5 5.7 1.2 7.6 2.6 7.4 4.3 13.2 19.8 11.3 -1.6 3.7 FEEDCOW -17.5 9.6 20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 6.5 13.1 -0.2 10.8 7.2 12.1 -20.0 -20.0 -20.0 -20.0 17.7 19.5 4.7 13.2 8.0 -20.0 12.2 5.0 3.6 6.1 0.8 4.6 1.9 -20.0 -11.8 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -17.0 -9.6 -20.0 -4.2 -2.5 -2.8 -3.5 -0.4 -4.8 2.5 -14.0 -7.4 2.8 -10.1 -13.8 1.9 20.0 10.8 17.5 -19.8 -15.6 -10.4 -2.0 -18.4 5.6 -15.4 -5.6 -1.8 -4.6 -3.1 -1.6 -5.4 10.8 5.9 -1.0 -5.8 -7.7 GASOILINE -20.0 -3.0 -4.1 -4.2 -2.5 -2.8 -3.5 -0.4 -4.8 -0.1 2.5 -7.7 0.0 -7.7 -4.8 20.0 15.7 18.4 14.2 -7.2 -1.6 -9.1 4.5 -12.1 -20.0 -13.1 -3.0 -2.3 -0.0 -3.7 3.6 -4.9 -0.1 0.2 -4.9 12.0 13.1 GAS_US 3.9 -1.7 -20.0 -4.2 -2.5 -2.8 -3.5 -0.4 -4.8 1.6 -16.7 -8.8 -15.1 -12.7 -15.3 -20.0 -17.3 -20.0 -20.0 -20.0 -20.0 -5.2 -20.0 -11.5 20.0 -9.3 -6.4 1.1 -7.7 -2.0 -5.0 -4.3 -20.0 7.3 20.0 -6.2 -8.2 GBP 1.0 12.7 11.7 4.0 -6.5 3.2 -0.4 0.3 3.0 -9.4 15.1 3.9 0.9 11.7 14.0 -1.6 -1.9 -1.7 -1.9 12.4 11.0 -0.6 2.1 8.4 0.7 9.4 5.2 -6.3 3.5 -0.4 -1.3 3.7 1.5 -7.4 3.8 5.9 3.1 GOLD_micro -4.8 10.8 12.1 4.5 -1.5 3.9 1.5 2.8 3.6 -1.8 13.4 0.6 5.1 8.4 12.0 -12.6 -11.3 -12.3 -12.2 13.9 16.0 1.7 11.0 7.9 -5.3 -13.8 5.3 -1.9 5.8 0.7 4.2 3.1 -15.5 2.1 -5.4 -3.3 6.4 HEATOIL -14.1 -8.5 -19.4 -4.2 -2.5 -2.8 -3.5 -0.4 -4.8 1.7 -13.3 -6.9 1.7 -9.1 -13.4 0.3 20.0 10.6 19.1 -18.3 -15.1 -10.4 -2.0 -16.5 -1.0 -13.6 -5.4 -2.8 -3.8 -3.4 0.4 -5.2 15.3 4.2 -2.9 -3.9 -7.6 JPY -6.7 -9.7 -3.5 4.0 -6.5 3.2 -0.4 0.3 3.0 3.2 2.5 -0.4 -7.1 -6.9 -9.8 -16.0 -13.8 -15.7 -15.1 -8.2 -4.7 -5.3 -8.6 -8.4 5.2 9.9 -2.5 -3.9 -1.0 -3.2 -5.0 -3.8 -19.9 -1.4 -18.6 -20.0 -17.3 LEANHOG 8.0 -15.9 -20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -13.4 -15.3 -14.0 -13.1 -14.9 -15.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.5 -18.5 -20.0 20.0 -11.1 -6.1 -3.2 -6.6 -4.1 -4.9 -4.7 -20.0 -20.0 -1.9 -20.0 -20.0 LIVECOW -11.2 8.3 6.4 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 6.8 12.6 -2.0 11.1 7.9 9.5 20.0 8.3 20.0 20.0 7.8 10.9 0.9 9.3 1.6 -20.0 12.0 2.9 4.4 4.8 0.3 5.1 0.4 20.0 -5.3 6.7 20.0 20.0 MXP 7.9 16.5 13.7 4.0 -6.5 3.2 -0.4 0.3 3.0 12.3 16.2 14.8 15.9 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 6.4 6.8 7.3 7.6 7.7 6.7 20.0 20.0 20.0 5.7 20.0 NASDAQ -3.9 13.8 20.0 3.0 -3.0 3.5 -1.4 2.1 1.0 9.6 12.3 12.1 -4.5 14.3 15.2 -9.3 -6.3 -8.5 -7.7 16.6 15.2 10.9 3.3 12.6 -4.4 10.2 6.0 3.0 6.3 4.1 3.7 4.5 -3.7 17.6 13.8 8.6 20.0 NIKKEI 10.7 20.0 15.3 3.2 -1.4 3.5 -0.4 2.1 1.5 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 6.1 1.0 -2.6 4.0 -6.5 3.2 -0.4 0.3 3.0 -4.7 7.2 5.1 -1.2 5.2 -5.4 1.2 0.7 1.0 0.8 1.3 -0.0 3.5 -2.5 5.1 2.9 10.8 2.2 -7.7 0.9 2.5 -1.2 4.2 6.0 12.0 4.3 -9.3 -11.7 OAT 7.3 2.4 0.7 3.2 0.8 1.9 1.2 -2.5 2.2 2.6 -5.6 8.1 -12.7 2.6 -0.3 11.5 12.2 11.1 11.6 0.9 -5.5 5.7 -15.6 4.6 4.5 12.7 3.0 1.7 0.3 2.5 -6.3 3.2 20.0 3.6 4.2 -4.8 -2.9 OJ -20.0 6.6 11.9 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -13.6 13.8 -14.1 15.0 1.8 10.7 19.2 20.0 20.0 20.0 14.2 20.0 -20.0 20.0 -5.9 -20.0 -14.3 3.9 -7.2 8.3 -6.2 10.1 -1.8 20.0 -20.0 -6.9 20.0 20.0 PALLAD 3.6 20.0 -6.6 4.5 -1.5 3.9 1.5 2.8 3.6 2.3 -12.7 3.1 -14.1 3.7 -4.8 -3.4 -2.5 -3.2 -3.0 -1.3 -12.5 6.4 -18.8 5.2 20.0 -11.1 1.8 -0.2 -1.7 2.9 -3.8 3.2 0.0 -0.6 6.0 -10.4 -20.0 PLAT -1.3 15.1 1.0 4.5 -1.5 3.9 1.5 2.8 3.6 -5.0 9.0 -1.5 4.7 6.9 8.3 -2.2 -1.6 -2.3 -2.0 11.1 8.5 2.1 5.0 8.7 1.6 11.2 4.3 -3.0 3.2 0.9 1.6 3.5 1.6 -13.5 10.9 -1.9 -11.6 REDWHEAT -6.2 7.5 0.9 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 13.2 -8.4 8.1 -11.9 4.5 0.6 7.9 5.7 8.7 8.1 -2.0 -5.2 15.7 -5.3 4.3 1.3 12.9 -2.1 8.3 -2.4 5.2 -0.9 0.3 1.4 20.0 5.7 11.1 0.1 ROBUSTA -7.8 20.0 20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -3.8 13.7 5.6 9.1 14.4 15.7 10.4 10.2 10.9 10.8 20.0 20.0 5.0 15.1 18.6 -15.2 9.6 6.1 -2.2 5.5 0.5 3.3 3.8 6.2 8.7 20.0 20.0 20.0 RUSSELL -4.0 -7.3 -9.7 3.0 -3.0 3.5 -1.4 2.1 1.0 -2.4 -8.3 -6.9 -10.2 -8.0 -13.4 -5.8 -4.7 -5.8 -5.6 -11.0 -9.7 -5.7 -8.6 -8.5 13.1 10.0 -4.6 -2.7 -2.9 -2.5 -1.4 -4.0 -0.5 0.9 -9.8 -20.0 -18.9 SILVER-mini -13.6 18.6 6.6 4.5 -1.5 3.9 1.5 2.8 3.6 -12.8 12.1 -9.2 3.9 7.5 11.5 -5.7 -5.2 -5.9 -5.8 12.4 12.7 -12.5 7.1 3.0 -3.1 -11.3 3.7 -9.3 3.5 -4.2 1.5 0.9 -4.8 -20.0 -17.3 3.7 -8.0 SOYBEAN -11.7 -11.0 -20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -13.8 -10.6 -14.3 -6.1 -14.1 -13.5 20.0 20.0 20.0 20.0 -19.6 -15.7 -20.0 -6.6 -20.0 4.9 -11.7 -5.8 -8.4 -4.7 -6.2 -1.4 -5.6 20.0 -13.8 -18.4 -20.0 -20.0 SOYMEAL -20.0 -20.0 -7.9 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 5.3 5.3 -10.6 9.2 -12.5 -12.0 20.0 20.0 20.0 20.0 -12.5 0.9 -6.8 12.5 -15.6 -20.0 -12.0 -4.4 2.8 -0.2 -2.0 4.4 -4.9 20.0 7.0 -13.4 -18.2 -3.6 SOYOIL -1.8 -9.9 -20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 -12.6 -13.8 -9.7 -8.3 -11.2 -13.4 7.1 11.5 5.0 6.7 -19.6 -19.7 -18.3 -10.6 -16.0 11.0 12.9 -6.0 -9.1 -6.1 -5.2 -3.0 -4.6 3.8 -4.4 -6.1 -17.8 -20.0 SP400 -5.6 -5.0 -10.0 3.0 -3.0 3.5 -1.4 2.1 1.0 -7.9 -0.8 -8.0 -2.3 -4.1 -9.9 -5.7 -4.5 -5.5 -5.2 -8.6 -5.3 -9.1 -2.3 -8.8 9.1 10.2 -4.5 -4.1 -2.4 -4.1 -0.1 -4.6 -0.0 -7.5 -12.1 -20.0 -18.8 SP500 -7.1 11.2 7.0 3.0 -3.0 3.5 -1.4 2.1 1.0 0.0 10.6 0.6 -3.8 9.9 10.2 -8.9 -6.6 -8.5 -7.8 6.5 5.9 -0.5 0.5 3.1 2.4 10.2 3.3 -1.7 3.9 -0.3 1.9 1.2 -3.9 -0.4 -0.2 -1.3 3.7 SUGAR11 0.5 20.0 20.0 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 5.6 16.0 11.8 14.2 14.7 15.7 7.9 20.0 15.8 20.0 20.0 20.0 16.1 20.0 20.0 -20.0 -10.5 6.1 0.7 5.8 2.4 4.6 4.7 20.0 6.4 20.0 20.0 20.0 US10 1.3 9.1 14.9 3.2 0.8 1.9 1.2 -2.5 2.2 2.1 7.3 4.1 -9.3 7.1 11.3 -11.0 -5.9 -10.0 -9.0 6.6 2.9 3.3 -7.4 5.6 -3.6 9.7 4.8 0.1 3.5 1.6 -1.3 3.3 -11.3 3.5 3.2 4.8 6.1 US10U -0.5 7.3 13.7 3.2 0.8 1.9 1.2 -2.5 2.2 0.4 6.6 2.0 -9.5 2.9 9.6 -9.1 -0.7 -5.5 -3.4 4.7 1.7 1.4 -8.1 3.2 -4.8 -14.1 4.6 0.1 4.0 0.9 -0.7 2.7 -1.8 -1.1 -0.4 0.3 5.9 US20 -3.6 5.8 13.5 3.2 0.8 1.9 1.2 -2.5 2.2 -1.4 7.2 -2.4 -8.1 -3.3 8.0 -1.6 -1.5 -2.2 -2.5 2.9 1.1 -0.8 -7.8 0.4 -0.9 -12.3 3.7 0.3 3.2 -0.1 -1.5 1.3 -2.0 -5.5 -5.3 -4.4 3.5 US30 -3.9 2.3 10.3 3.2 0.8 1.9 1.2 -2.5 2.2 -3.3 4.3 -5.3 -10.0 -7.1 1.5 -2.1 -0.9 -1.6 -1.5 -0.9 -2.1 -3.4 -11.6 -3.0 -1.4 10.0 2.0 -0.4 2.4 -1.6 -2.2 -0.5 -0.4 -9.2 -8.7 -11.0 0.2 US5 3.2 9.9 17.6 3.2 0.8 1.9 1.2 -2.5 2.2 1.8 7.0 5.0 -9.4 7.9 11.6 -11.0 -6.4 -10.4 -9.6 7.7 3.3 4.0 -7.2 6.9 -2.4 10.8 4.7 -0.1 3.1 1.7 -2.0 3.6 -12.3 5.1 5.6 6.9 4.5 VIX 1.2 -6.5 6.1 -3.7 -5.0 -6.9 -4.3 -8.9 -3.0 -12.4 -14.7 -12.0 -14.3 -14.0 -13.0 -20.0 -20.0 -20.0 -20.0 -8.5 -12.3 -7.9 -15.1 -7.2 NaN -13.5 -4.3 -5.9 -8.8 -4.9 -12.3 -3.4 NaN NaN NaN NaN NaN WHEAT -10.4 -5.1 -10.4 -4.5 -3.7 -3.4 -4.7 -2.1 -5.3 0.6 -14.5 -6.7 -15.3 -8.5 -12.6 -12.2 -9.3 -12.2 -11.2 -19.6 -20.0 -9.5 -18.2 -15.5 14.2 11.9 -5.6 -1.8 -5.2 -2.7 -3.3 -4.6 -20.0 10.3 -11.5 -15.0 -18.6 End of report for caleb_strategy_v1