******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230515_204642 produced at 2023-05-15 21:37:17.865757 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.34 0.0 4.842511e+07 -4.842511e+07 -0.29 -0.29 -6.93 999999999.0 -6 -6 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.21 0.0 8.711263e+06 -8.711263e+06 -0.13 -0.13 -24.31 999999999.0 -15 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.15 0.0 5.616011e+07 -5.616011e+07 -0.11 -0.11 -2.71 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.13 0.0 5.455053e+07 -5.455053e+07 -0.11 -0.11 -2.39 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.698782e+07 -3.698782e+07 -0.37 -0.37 -3.46 999999999.0 -10 -10 caleb_strategy_v1 US20 False False 0.05 0.00 -0.09 0.0 5.200474e+07 -5.200474e+07 0.00 0.00 -1.75 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.401412e+07 -1.401412e+07 -0.10 -0.10 -6.13 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.623478e+07 -4.623478e+07 -0.05 -0.05 -1.10 999999999.0 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.05 0.0 8.090861e+06 -8.090861e+06 -0.04 -0.04 -5.92 999999999.0 -5 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.972676e+07 -5.972676e+07 0.00 0.00 -0.68 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.190740e+07 -1.190740e+07 -0.06 -0.06 -2.31 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 3.963540e+07 -3.963540e+07 -0.08 -0.08 -0.49 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 3.985409e+07 -3.985409e+07 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.731532e+07 -2.731532e+07 -0.03 -0.03 -0.68 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.506748e+07 -1.506748e+07 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.01 0.0 1.695793e+07 -1.695793e+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 4.616594e+07 -4.616594e+07 0.00 0.00 -0.25 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.01 0.0 4.406948e+07 -4.406948e+07 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.100022e+06 -1.100022e+06 -0.02 -0.02 -5.77 999999999.0 -19 -19 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.017315e+07 -1.017315e+07 -0.02 -0.02 -0.93 999999999.0 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 2.455675e+07 -2.455675e+07 0.00 0.00 -0.57 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 6.121915e+07 -6.121915e+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 1.184732e+07 -1.184732e+07 0.00 0.00 0.41 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.775295e+07 -1.775295e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 1.381787e+07 -1.381787e+07 -0.06 -0.06 -0.21 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.880335e+07 -1.880335e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.00 0.0 2.780395e+07 -2.780395e+07 0.08 0.08 0.07 999999999.0 3 3 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.684442e+06 -6.684442e+06 0.00 0.00 0.97 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.177522e+07 -1.177522e+07 0.01 0.01 0.66 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.826655e+07 -2.826655e+07 0.03 0.03 0.36 999999999.0 1 1 caleb_strategy_v1 RUSSELL False False 0.00 -0.04 0.01 0.0 3.541779e+06 -3.541779e+06 -0.04 -0.04 3.30 999999999.0 -12 -12 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.652937e+07 -1.652937e+07 0.02 0.02 0.48 999999999.0 1 1 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.032835e+07 -1.032835e+07 0.05 0.05 1.39 999999999.0 5 5 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.745843e+07 -3.745843e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.956873e+06 -9.956873e+06 0.02 0.02 1.58 999999999.0 2 2 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.520888e+07 -5.520888e+07 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.306239e+07 -8.306239e+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 4.173911e+06 -4.173911e+06 0.00 0.00 5.42 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.464687e+07 -2.464687e+07 0.00 0.00 0.82 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.02 0.0 2.687074e+07 -2.687074e+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 2.148378e+07 -2.148378e+07 0.00 0.00 0.83 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 2.498030e+07 -2.498030e+07 0.00 0.00 1.01 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.79 0.03 0.0 9.839522e+07 -9.839522e+07 0.79 0.79 0.30 999999999.0 8 8 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 6.962463e+06 -6.962463e+06 0.00 0.00 5.18 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.04 0.0 3.138308e+07 -3.138308e+07 0.28 0.28 1.33 999999999.0 9 9 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.975046e+07 -2.975046e+07 0.00 0.00 1.63 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.140875e+07 -1.140875e+07 0.00 0.00 4.29 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.077974e+08 -1.077974e+08 0.00 0.00 0.60 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.07 0.0 5.001604e+07 -5.001604e+07 0.15 0.15 1.35 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.09 0.0 5.665815e+07 -5.665815e+07 0.00 0.00 1.62 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.604567e+07 -2.604567e+07 0.00 0.00 3.76 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.10 0.0 3.213980e+07 -3.213980e+07 0.03 0.03 3.16 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 4.64 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.32 0.0 5.913480e+07 -5.913480e+07 0.35 0.35 5.34 999999999.0 6 6 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.51 0.0 0.000000e+00 0.000000e+00 0.00 0.00 58.26 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.51 0.0 5.151770e+07 -5.151770e+07 0.00 0.00 9.98 999999999.0 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 18.1 Shocked risk 56.2 Sum abs risk 50.4 Leverage 3.81 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2496767.73, 'annual_cash_vol_target': 624191.9325, 'daily_cash_vol_target': 39011.99578125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6709 0.7125 11.4004 BITCOIN 962.3762 27465.0000 3.5040 56.0642 BOBL 0.3879 118.3600 0.3277 5.2435 BTP 0.6496 114.9100 0.5653 9.0451 BUND 0.7265 135.8600 0.5348 8.5561 BUXL 1.6914 137.2200 1.2326 19.7219 CAC 52.9507 7384.0000 0.7171 11.4736 CAD 0.0037 0.7428 0.4979 7.9658 CANOLA 8.9091 705.0000 1.2637 20.2192 CHF 0.0053 1.1218 0.4746 7.5941 COCOA 31.6837 2973.0000 1.0657 17.0515 COFFEE 3.4187 188.2000 1.8165 29.0648 COPPER 0.0496 3.7410 1.3251 21.2023 CORN 5.8884 515.7500 1.1417 18.2676 COTTON2 1.4648 82.5400 1.7747 28.3947 CRUDE_W 1.4199 69.4200 2.0454 32.7269 DAX 113.7415 15996.0000 0.7111 11.3770 DOW 237.8812 33379.0000 0.7127 11.4027 EUR 0.0053 1.0896 0.4868 7.7888 EUROSTX 33.9511 4320.0000 0.7859 12.5745 FEEDCOW 1.6078 230.8750 0.6964 11.1424 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.6478 682.0000 2.1478 34.3643 GASOILINE 0.0471 2.3692 1.9862 31.7796 GAS_US 0.0988 2.5400 3.8905 62.2480 GBP 0.0069 1.2537 0.5509 8.8141 GOLD_micro 16.3012 2020.1000 0.8069 12.9112 HEATOIL 0.0449 2.3562 1.9047 30.4757 JPY 0.0000 0.0074 0.6732 10.7712 LEANHOG 1.3637 87.4750 1.5590 24.9435 LIVECOW 0.9687 162.5750 0.5959 9.5340 MXP 0.0004 0.0570 0.6303 10.0848 NASDAQ 113.8355 13457.2500 0.8459 13.5345 NIKKEI 227.1406 29875.0000 0.7603 12.1649 NZD 0.0049 0.6237 0.7812 12.4993 OAT 0.6838 130.1700 0.5253 8.4049 OJ 4.7145 250.8000 1.8798 30.0767 PALLAD 34.3064 1528.5000 2.2444 35.9111 PLAT 19.4750 1072.8000 1.8153 29.0454 REDWHEAT 16.2145 886.5000 1.8290 29.2647 ROBUSTA 32.7921 2486.0000 1.3191 21.1051 RUSSELL 19.8299 1768.6000 1.1212 17.9395 SILVER-mini 0.3889 24.5250 1.5858 25.3726 SOYBEAN 10.8737 1230.7500 0.8835 14.1360 SOYMEAL 4.5565 423.4000 1.0762 17.2187 SOYOIL 0.7965 49.3000 1.6156 25.8499 SP400 23.9892 2456.7000 0.9765 15.6237 SP500 30.8234 4147.7500 0.7431 11.8902 SUGAR11 0.3835 26.2500 1.4608 23.3730 US10 0.5435 115.2656 0.4715 7.5442 US10U 0.7091 120.9062 0.5865 9.3833 US20 1.0153 129.8438 0.7819 12.5106 US30 1.4345 137.8438 1.0406 16.6504 US5 0.3931 110.0312 0.3573 5.7166 VIX 0.6048 21.7500 2.7808 44.4929 WHEAT 11.9465 690.0000 1.7314 27.7021 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.90 0.71 478.03 1.00 478.03 39012.0 81.61 4.37 35.68 BITCOIN 27.46 3.50 96.24 1.00 96.24 39012.0 405.37 -6.04 -244.93 BOBL 1183.60 0.33 387.88 1.09 423.61 39012.0 92.09 15.01 138.27 BTP 1149.10 0.57 649.61 1.09 709.43 39012.0 54.99 12.15 66.79 BUND 1358.60 0.53 726.52 1.09 793.43 39012.0 49.17 15.06 74.02 BUXL 1372.20 1.23 1691.40 1.09 1847.18 39012.0 21.12 -3.86 -8.15 CAC 738.40 0.72 529.51 1.09 578.27 39012.0 67.46 16.64 112.27 CAD 742.80 0.50 369.81 1.00 369.81 39012.0 105.49 8.67 91.43 CANOLA 141.00 1.26 178.18 0.74 132.03 39012.0 295.48 20.00 590.95 CHF 1402.19 0.47 665.52 1.00 665.52 39012.0 58.62 -12.38 -72.54 COCOA 297.30 1.07 316.84 1.00 316.84 39012.0 123.13 -8.61 -106.02 COFFEE 705.75 1.82 1282.03 1.00 1282.03 39012.0 30.43 9.03 27.48 COPPER 935.25 1.33 1239.34 1.00 1239.34 39012.0 31.48 2.68 8.43 CORN 257.88 1.14 294.42 1.00 294.42 39012.0 132.50 11.60 153.73 COTTON2 412.70 1.77 732.41 1.00 732.41 39012.0 53.27 6.04 32.18 CRUDE_W 694.20 2.05 1419.94 1.00 1419.94 39012.0 27.47 0.20 0.54 DAX 159.96 0.71 113.74 1.09 124.22 39012.0 314.06 3.03 95.31 DOW 166.90 0.71 118.94 1.00 118.94 39012.0 328.00 1.03 33.92 EUR 1362.00 0.49 663.02 1.00 663.02 39012.0 58.84 -10.84 -63.80 EUROSTX 432.00 0.79 339.51 1.09 370.78 39012.0 105.22 0.79 8.30 FEEDCOW 1154.38 0.70 803.91 1.00 803.91 39012.0 48.53 -8.45 -41.01 FTSE100 707.00 0.82 576.59 1.25 666.67 39012.0 58.52 7.70 45.04 GASOIL 682.00 2.15 1464.78 1.00 1464.78 39012.0 26.63 -3.60 -9.60 GASOILINE 995.06 1.99 1976.42 1.00 1976.42 39012.0 19.74 -5.48 -10.82 GAS_US 254.00 3.89 988.19 1.00 988.19 39012.0 39.48 -15.72 -62.04 GBP 783.56 0.55 431.65 1.00 431.65 39012.0 90.38 8.25 74.55 GOLD_micro 202.01 0.81 163.01 1.00 163.01 39012.0 239.32 -11.06 -264.80 HEATOIL 989.60 1.90 1884.93 1.00 1884.93 39012.0 20.70 -3.32 -6.87 JPY 923.50 0.67 621.70 1.00 621.70 39012.0 62.75 -8.53 -53.52 LEANHOG 349.90 1.56 545.48 1.00 545.48 39012.0 71.52 -18.34 -131.15 LIVECOW 650.30 0.60 387.50 1.00 387.50 39012.0 100.68 13.91 140.00 MXP 284.85 0.63 179.54 1.00 179.54 39012.0 217.29 16.13 350.57 NASDAQ 2691.45 0.85 2276.71 1.00 2276.71 39012.0 17.14 6.43 11.01 NIKKEI 29875.00 0.76 22714.06 0.01 168.61 39012.0 231.37 13.26 306.76 NZD 623.70 0.78 487.24 1.00 487.24 39012.0 80.07 7.89 63.13 OAT 1301.70 0.53 683.79 1.09 746.77 39012.0 52.24 15.32 80.03 OJ 376.20 1.88 707.18 1.00 707.18 39012.0 55.17 -4.54 -25.06 PALLAD 1528.50 2.24 3430.64 1.00 3430.64 39012.0 11.37 -0.87 -0.99 PLAT 536.40 1.82 973.75 1.00 973.75 39012.0 40.06 8.63 34.58 REDWHEAT 443.25 1.83 810.72 1.00 810.72 39012.0 48.12 8.54 41.10 ROBUSTA 248.60 1.32 327.92 1.00 327.92 39012.0 118.97 10.21 121.51 RUSSELL 88.43 1.12 99.15 1.00 99.15 39012.0 393.47 1.62 63.64 SILVER-mini 613.12 1.59 972.28 1.00 972.28 39012.0 40.12 -6.32 -25.35 SOYBEAN 615.38 0.88 543.68 1.00 543.68 39012.0 71.75 1.93 13.83 SOYMEAL 423.40 1.08 455.65 1.00 455.65 39012.0 85.62 -1.67 -14.28 SOYOIL 295.80 1.62 477.90 1.00 477.90 39012.0 81.63 5.54 45.21 SP400 2456.70 0.98 2398.92 1.00 2398.92 39012.0 16.26 3.59 5.84 SP500 2073.88 0.74 1541.17 1.00 1541.17 39012.0 25.31 3.63 9.19 SUGAR11 294.00 1.46 429.48 1.00 429.48 39012.0 90.84 5.34 48.53 US10 1152.66 0.47 543.49 1.00 543.49 39012.0 71.78 -0.92 -6.62 US10U 1209.06 0.59 709.06 1.00 709.06 39012.0 55.02 -8.65 -47.58 US20 1298.44 0.78 1015.27 1.00 1015.27 39012.0 38.43 -6.17 -23.71 US30 1378.44 1.04 1434.47 1.00 1434.47 39012.0 27.20 1.91 5.19 US5 1100.31 0.36 393.13 1.00 393.13 39012.0 99.23 -0.42 -4.20 VIX 217.50 2.78 604.83 1.00 604.83 39012.0 64.50 -20.00 -129.00 WHEAT 345.00 1.73 597.33 1.00 597.33 39012.0 65.31 -6.00 -39.19 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 35.678 0.006 2.5 0.570 BITCOIN -244.927 0.009 2.5 -5.771 BOBL 138.267 0.029 2.5 9.977 BTP 66.789 0.008 2.5 1.349 BUND 74.024 0.029 2.5 5.341 BUXL -8.149 0.034 2.5 -0.684 CAC 112.274 0.011 2.5 3.156 CAD 91.428 0.007 2.5 1.632 CANOLA 590.954 0.004 2.5 5.425 CHF -72.544 0.015 2.5 -2.715 COCOA -106.018 0.009 2.5 -2.309 COFFEE 27.477 0.005 2.5 0.356 COPPER 8.429 0.011 2.5 0.230 CORN 153.730 0.004 2.5 1.387 COTTON2 32.182 0.006 2.5 0.485 CRUDE_W 0.538 0.053 2.5 0.071 DAX 95.313 0.022 2.5 5.176 DOW 33.921 0.011 2.5 0.967 EUR -63.796 0.015 2.5 -2.388 EUROSTX 8.300 0.011 2.5 0.233 FEEDCOW -41.006 0.011 2.5 -1.102 FTSE100 45.045 0.041 2.5 4.644 GASOIL -9.596 0.029 2.5 -0.685 GASOILINE -10.818 0.016 2.5 -0.444 GAS_US -62.042 0.006 2.5 -0.934 GBP 74.546 0.007 2.5 1.331 GOLD_micro -264.797 0.009 2.5 -5.925 HEATOIL -6.875 0.029 2.5 -0.490 JPY -53.523 0.026 2.5 -3.464 LEANHOG -131.150 0.019 2.5 -6.127 LIVECOW 139.997 0.011 2.5 3.762 MXP 350.572 0.005 2.5 4.292 NASDAQ 11.014 0.022 2.5 0.598 NIKKEI 306.761 0.076 2.5 58.264 NZD 63.134 0.006 2.5 1.009 OAT 80.032 0.008 2.5 1.616 OJ -25.061 0.007 2.5 -0.437 PALLAD -0.990 0.010 2.5 -0.024 PLAT 34.579 0.010 2.5 0.832 REDWHEAT 41.097 0.002 2.5 0.219 ROBUSTA 121.514 0.005 2.5 1.575 RUSSELL 63.638 0.021 2.5 3.296 SILVER-mini -25.354 0.009 2.5 -0.567 SOYBEAN 13.832 0.024 2.5 0.816 SOYMEAL -14.276 0.024 2.5 -0.842 SOYOIL 45.209 0.004 2.5 0.415 SP400 5.843 0.021 2.5 0.303 SP500 9.194 0.011 2.5 0.262 SUGAR11 48.531 0.005 2.5 0.659 US10 -6.616 0.015 2.5 -0.254 US10U -47.582 0.058 2.5 -6.933 US20 -23.708 0.029 2.5 -1.747 US30 5.193 0.034 2.5 0.436 US5 -4.198 0.015 2.5 -0.161 VIX -129.003 0.075 2.5 -24.310 WHEAT -39.186 0.002 2.5 -0.209 ==================== Position diags ==================== AUD 1.30 BITCOIN 9.55 BOBL 6.65 BTP 1.11 BUND 3.55 BUXL 1.77 CAC 1.90 CAD 1.88 CANOLA 2.71 CHF 2.19 COCOA 2.68 COFFEE 0.39 COPPER 0.86 CORN 1.20 COTTON2 0.80 CRUDE_W 3.63 DAX 17.06 DOW 9.35 EUR 2.20 EUROSTX 2.96 FEEDCOW 1.30 FTSE100 6.03 GASOIL 1.90 GASOILINE 0.81 GAS_US 0.59 GBP 1.61 GOLD_micro 5.35 HEATOIL 1.48 JPY 4.06 LEANHOG 3.34 LIVECOW 2.71 MXP 2.66 NASDAQ 0.93 NIKKEI 43.94 NZD 1.28 OAT 1.06 OJ 0.96 PALLAD 0.27 PLAT 0.96 REDWHEAT 0.26 ROBUSTA 1.54 RUSSELL 20.38 SILVER-mini 0.90 SOYBEAN 4.23 SOYMEAL 5.05 SOYOIL 0.75 SP400 0.84 SP500 0.72 SUGAR11 1.23 US10 2.75 US10U 8.02 US20 2.83 US30 2.28 US5 3.81 VIX 12.16 WHEAT 0.35 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 -5.8 -6.7 -4.8 -19.0 -19 BOBL 10.0 9.3 10.6 0.0 0 BTP 1.3 1.2 1.5 3.0 3 BUND 5.3 5.0 5.7 6.0 6 BUXL -0.7 -0.9 -0.5 0.0 0 CAC 3.2 3.0 3.3 1.0 1 CAD 1.6 1.4 1.8 0.0 0 CANOLA 5.4 5.2 5.7 NaN 0 CHF -2.7 -2.9 -2.5 -2.0 -2 COCOA -2.3 -2.6 -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 -0.3 0.4 3.0 3 DAX 5.2 3.5 6.9 0.0 0 DOW 1.0 0.0 1.9 0.0 0 EUR -2.4 -2.6 -2.2 -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 5.2 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 -0.9 -1.0 -0.9 -2.0 -2 GBP 1.3 1.2 1.5 9.0 9 GOLD_micro -5.9 -6.5 -5.4 -5.0 -5 HEATOIL -0.5 -0.6 -0.3 -2.0 -2 JPY -3.5 -3.9 -3.1 -10.0 -10 LEANHOG -6.1 -6.5 -5.8 -7.0 -7 LIVECOW 3.8 3.5 4.0 0.0 0 MXP 4.3 4.0 4.6 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 58.3 53.9 62.7 0.0 0 NZD 1.0 0.9 1.1 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 -0.1 0.0 0.0 0 PLAT 0.8 0.7 0.9 0.0 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 1.6 1.4 1.7 2.0 2 RUSSELL 3.3 1.3 5.3 -12.0 -12 SILVER-mini -0.6 -0.7 -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 0.3 0.2 0.3 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.3 -0.5 0.0 NaN 0 US10U -6.9 -7.7 -6.1 -6.0 -6 US20 -1.7 -2.0 -1.5 0.0 0 US30 0.4 0.2 0.7 0.0 0 US5 -0.2 -0.5 0.2 0.0 0 VIX -24.3 -25.5 -23.1 -15.0 -15 WHEAT -0.2 -0.2 -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 -0.0 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 0.1 -0.0 0.0 -0.2 0.0 1.2 2.4 0.0 0.0 0.0 0.0 -0.1 0.0 1.8 -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 0.9 0.5 0.2 0.2 0.0 0.0 0.0 -0.1 0.0 -1.2 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 2.7 -0.1 0.0 -0.1 0.1 BUND 0.1 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 0.1 -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 -0.2 -0.1 -0.2 -0.1 CAC -0.1 0.3 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 0.2 0.2 0.0 0.1 CAD -0.0 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 -0.1 0.2 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.4 0.0 0.2 0.0 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 0.1 0.4 0.3 0.3 COFFEE -0.1 0.2 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -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 0.1 0.3 0.3 COPPER -0.2 -0.2 -0.1 0.1 -0.0 0.1 0.0 0.1 0.0 -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 1.2 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 -0.0 -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 1.1 3.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.0 0.0 0.1 0.4 -0.0 CRUDE_W -0.2 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 -0.1 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 -1.1 -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 0.1 2.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.4 -0.3 -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 0.3 -0.0 0.0 0.0 0.2 -0.5 -0.3 -0.1 -0.2 0.1 0.1 -0.0 0.1 -0.0 -1.6 -2.3 0.0 -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 0.3 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 -0.2 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 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 -0.0 0.1 -0.0 -0.3 0.1 0.9 0.2 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 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.1 -0.0 -0.0 -0.0 -0.1 1.7 0.7 0.4 0.3 -0.1 -0.0 -0.0 0.1 -0.0 -2.5 -2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.2 GAS_US 0.1 0.0 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.0 -0.4 -0.0 -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 0.2 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 -0.0 0.2 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 -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 -2.0 0.0 -0.1 -0.1 0.1 HEATOIL -0.1 -0.1 -0.4 -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 -0.1 -0.0 0.0 -0.0 2.0 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 0.8 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 -0.0 -0.1 -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 -0.0 -0.1 -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 -0.0 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 0.1 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 0.1 0.3 0.1 0.4 0.2 0.4 0.1 0.2 0.2 0.2 0.0 0.1 0.0 0.5 -1.9 0.1 0.0 0.0 0.0 0.0 0.0 2.6 0.2 0.4 0.2 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 0.0 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 0.0 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 0.0 -0.1 -0.3 PLAT -0.1 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 0.0 -0.0 0.0 -0.0 0.0 0.0 0.2 -0.0 0.1 -0.0 -0.2 REDWHEAT -0.0 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 0.1 0.7 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 0.2 0.2 0.0 ROBUSTA -0.1 0.3 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -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 -2.6 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 -0.0 -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 1.7 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 0.0 -0.0 0.3 -0.0 0.1 0.0 0.3 -0.4 -0.2 -0.1 -0.1 0.1 0.2 -0.0 0.1 0.0 -0.5 -3.2 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.3 0.0 -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 0.8 -2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.0 -0.4 -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 -0.0 -0.3 -0.2 -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 0.6 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 -0.1 -0.2 -0.3 -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 -0.3 -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 0.1 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 0.0 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 -0.0 -0.1 -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 -0.3 -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 -0.8 -0.0 -0.1 -0.1 0.0 0.0 -0.0 -0.1 0.0 -0.6 -2.9 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -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 -0.1 -0.1 0.0 US30 -0.0 0.0 0.2 0.0 -0.0 0.1 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 -0.1 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 -0.4 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 -0.4 0.4 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -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 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -1.0 -0.4 -0.3 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 2.2 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 1.9 0.5 -6.8 3.9 -3.2 3.2 -0.4 0.4 2.7 -4.0 0.4 0.8 -5.4 0.7 -10.7 -3.6 -3.2 -3.6 -3.5 -3.2 -4.5 -0.9 -5.9 -0.2 13.9 11.7 -0.7 -3.9 -2.0 -0.6 -3.5 0.8 -0.9 5.5 -3.9 -12.7 -15.9 BITCOIN -14.6 3.6 20.0 4.5 -1.1 4.0 1.1 2.9 3.4 -8.1 12.3 -11.2 -6.9 -3.1 9.7 -3.9 -2.3 -3.6 -2.9 6.7 10.3 -8.6 1.5 -2.9 8.3 -18.1 1.8 -3.7 4.6 -5.1 2.3 -2.9 0.5 -19.6 -20.0 -20.0 7.3 BOBL 11.9 4.4 12.8 3.2 -0.5 1.9 0.7 -2.5 2.0 -4.5 -2.3 9.0 -12.0 5.8 7.5 12.3 7.0 7.6 5.9 4.7 -3.5 7.3 -14.9 8.3 8.3 10.8 4.0 0.3 0.6 2.5 -6.2 4.0 12.6 -3.9 7.4 -0.5 0.3 BTP 3.7 1.2 3.5 3.2 -0.5 1.9 0.7 -2.5 2.0 2.3 7.3 7.5 -8.1 1.6 4.4 10.4 11.8 9.5 10.6 3.5 1.9 3.8 -8.5 3.6 -9.3 11.4 4.2 0.9 3.6 2.2 -2.7 3.1 20.0 -6.8 2.3 -6.1 4.7 BUND 9.0 2.5 6.2 3.2 -0.5 1.9 0.7 -2.5 2.0 -2.9 -4.5 7.7 -12.8 2.2 2.6 7.1 12.4 7.8 9.7 1.9 -5.3 4.7 -16.8 5.0 6.6 12.3 3.1 -0.2 0.5 1.6 -6.1 2.8 20.0 -8.1 3.2 -5.2 -1.3 BUXL 4.9 -2.7 1.3 3.2 -0.5 1.9 0.7 -2.5 2.0 -8.5 -9.9 -0.5 -13.8 -7.1 -5.3 1.4 1.0 1.9 2.2 -4.8 -10.2 -2.4 -19.5 -2.2 9.6 -10.8 0.1 -2.8 -1.6 -1.4 -6.1 -0.4 4.6 -19.4 -4.2 -13.6 -9.0 CAC -6.7 16.3 11.9 3.2 0.7 3.6 0.1 2.2 1.4 11.4 15.4 -1.5 13.4 10.9 12.3 18.9 5.6 13.6 8.2 15.1 20.0 1.9 20.0 6.2 -15.9 8.9 5.5 3.5 7.2 2.9 7.1 4.0 19.1 14.5 12.3 0.0 7.0 CAD -2.9 12.5 4.4 3.9 -3.2 3.2 -0.4 0.4 2.7 0.7 -1.7 1.9 -9.5 5.4 3.6 -2.9 -2.1 -2.8 -2.6 1.9 -1.9 1.1 -7.0 3.0 16.9 10.4 2.0 -1.4 -0.1 1.1 -3.2 2.5 0.9 5.2 -10.2 -0.2 -6.8 CANOLA 6.7 -1.3 -17.5 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 2.9 -12.0 -1.6 -13.4 -4.7 -11.4 20.0 20.0 20.0 20.0 -16.0 -20.0 -1.1 -14.7 -7.3 20.0 13.2 -5.5 -0.1 -6.7 -0.4 -4.7 -2.4 20.0 20.0 1.6 -18.1 -20.0 CHF -3.2 14.8 8.9 3.9 -3.2 3.2 -0.4 0.4 2.7 -9.6 14.0 -7.3 9.2 9.0 11.7 -15.2 -14.4 -14.7 -14.8 12.7 13.3 -5.1 7.9 5.4 -5.9 -11.5 5.0 -3.5 4.9 -1.7 2.2 2.2 -20.0 -6.9 -1.7 8.7 7.9 COCOA -5.2 11.0 20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 5.8 15.2 7.9 10.2 13.0 14.2 -1.8 -1.2 0.2 0.1 19.1 20.0 9.5 14.9 13.5 -20.0 -10.4 5.9 1.0 6.8 3.1 5.2 4.2 -12.8 13.4 20.0 20.0 20.0 COFFEE -10.9 11.5 16.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 5.2 -0.1 -11.4 -5.0 0.0 6.8 8.0 4.6 6.4 5.4 5.6 3.6 -2.1 -2.7 0.2 4.8 10.0 2.9 2.0 2.1 -0.7 -0.3 0.6 -3.4 3.8 5.3 20.0 20.0 COPPER -20.0 -14.9 -3.2 4.5 -1.1 4.0 1.1 2.9 3.4 -9.6 5.0 -13.3 -2.5 -13.1 -11.0 -2.1 -0.8 -1.5 -1.1 -10.6 -1.7 -20.0 0.7 -17.5 9.5 11.1 -4.6 -8.0 -1.7 -8.2 -0.1 -6.8 3.0 -20.0 -20.0 -20.0 -20.0 CORN -18.2 -7.7 -20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 -8.9 -13.7 -13.9 -6.7 -14.2 -15.0 4.4 16.9 11.0 15.1 -20.0 -18.4 -20.0 -8.2 -20.0 20.0 11.0 -6.2 -3.1 -5.5 -5.0 -3.2 -6.0 16.0 -14.4 -20.0 -20.0 -20.0 COTTON2 -0.4 4.8 0.6 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 2.7 -5.8 -1.3 -12.0 0.8 -5.1 -3.3 6.0 -3.2 -0.7 -3.4 -7.5 1.2 -9.6 -1.0 4.4 12.0 -1.8 4.5 -3.3 1.1 -2.1 -0.3 -7.3 7.0 7.6 13.2 -0.9 CRUDE_W -19.7 3.1 -7.8 -4.2 -1.0 -2.9 -3.0 -0.5 -4.6 -0.5 -1.4 -8.3 -5.1 -6.6 -3.6 7.3 10.9 8.1 8.9 -7.9 -4.8 -11.0 -0.7 -11.7 -11.6 10.8 -3.2 -2.7 -1.7 -4.4 0.8 -4.8 -7.9 -8.8 -1.0 16.6 6.8 DAX -1.6 13.3 11.1 3.2 0.7 3.6 0.1 2.2 1.4 6.5 16.1 5.8 11.2 14.4 14.8 -8.2 -6.3 -8.1 -7.8 13.0 18.7 2.5 16.2 6.8 -17.9 9.9 5.8 1.8 7.2 3.1 5.9 4.8 -3.7 16.5 14.7 -0.8 4.7 DOW -9.2 10.2 -4.7 3.2 0.7 3.6 0.1 2.2 1.4 -5.9 8.2 -8.3 3.2 5.6 3.9 -8.3 -5.8 -8.0 -7.4 1.3 2.2 -7.9 1.6 -2.7 0.5 10.8 0.8 -4.5 2.2 -4.7 2.3 -2.1 -3.1 -17.7 -11.0 -6.9 -7.9 EUR -7.7 7.4 9.2 3.9 -3.2 3.2 -0.4 0.4 2.7 -11.8 13.9 -10.5 1.8 4.5 9.8 -7.1 -8.3 -7.2 -7.8 7.2 10.7 -12.5 4.1 -1.8 -11.8 -11.1 3.8 -8.3 5.1 -5.8 1.5 -0.5 -9.0 -20.0 -10.3 1.6 2.2 EUROSTX -5.2 13.9 10.7 3.2 0.7 3.6 0.1 2.2 1.4 7.6 15.8 1.6 13.5 12.5 13.6 -4.9 3.4 -1.1 1.7 13.2 20.0 2.3 19.7 5.8 -17.1 -8.5 5.8 2.9 7.7 3.3 7.4 4.5 13.1 17.9 11.6 -1.2 4.0 FEEDCOW -19.1 9.4 20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 11.6 13.3 4.5 11.0 8.7 12.5 -20.0 -20.0 -20.0 -20.0 18.6 19.9 12.0 13.5 11.1 -20.0 12.2 5.2 5.6 6.1 2.4 4.7 2.6 -20.0 -6.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -13.8 -8.2 -20.0 -4.2 -1.0 -2.9 -3.0 -0.5 -4.6 6.7 -14.0 -6.2 2.6 -9.5 -13.6 1.7 20.0 10.5 17.2 -18.8 -15.2 -7.1 -2.1 -16.2 5.6 -15.4 -5.6 0.3 -4.7 -2.3 -1.7 -5.0 10.1 9.0 -0.8 -5.2 -7.7 GASOILINE -20.0 -3.5 -4.6 -4.2 -1.0 -2.9 -3.0 -0.5 -4.6 5.8 2.3 -6.6 -0.1 -7.6 -5.1 20.0 15.8 18.6 14.4 -7.3 -1.8 -7.1 4.4 -11.2 -20.0 -13.1 -3.0 -0.5 -0.1 -3.0 3.5 -4.6 -0.1 -2.1 -3.8 11.8 12.7 GAS_US 5.6 1.0 -20.0 -4.2 -1.0 -2.9 -3.0 -0.5 -4.6 10.2 -16.6 -4.9 -15.1 -10.9 -14.8 -20.0 -17.5 -20.0 -20.0 -20.0 -20.0 0.2 -20.0 -8.8 20.0 -9.3 -6.0 4.7 -7.7 0.3 -5.1 -3.3 -20.0 14.6 20.0 -4.8 -6.6 GBP 0.0 11.8 11.8 3.9 -3.2 3.2 -0.4 0.4 2.7 -4.5 15.1 2.7 1.0 11.0 13.9 -1.6 -1.9 -1.7 -1.9 11.9 10.9 -0.4 2.2 7.5 0.7 9.4 5.2 -3.1 3.6 -0.4 -1.3 3.4 1.5 -4.8 4.5 5.3 3.1 GOLD_micro -3.5 10.2 12.5 4.5 -1.1 4.0 1.1 2.9 3.4 -8.2 13.4 -0.6 5.2 7.4 11.9 -12.7 -11.3 -12.3 -12.3 13.6 16.2 0.4 11.3 7.0 -5.4 -13.8 5.2 -1.5 5.9 0.2 4.3 2.8 -15.6 1.6 -3.5 -5.6 6.4 HEATOIL -11.4 -7.5 -19.7 -4.2 -1.0 -2.9 -3.0 -0.5 -4.6 5.4 -13.2 -6.0 1.5 -8.6 -13.2 0.3 20.0 10.3 18.7 -17.5 -14.8 -7.8 -2.1 -14.9 -1.0 -13.6 -5.4 -0.6 -3.9 -2.7 0.3 -4.9 14.7 5.0 -2.0 -3.8 -8.0 JPY -7.0 -10.4 -3.8 3.9 -3.2 3.2 -0.4 0.4 2.7 -6.1 2.3 -2.5 -7.2 -7.8 -10.2 -16.0 -13.8 -15.7 -15.1 -8.9 -5.1 -8.3 -8.9 -9.6 5.5 9.9 -2.9 -6.4 -1.2 -4.8 -4.9 -4.4 -20.0 2.1 -19.1 -20.0 -17.3 LEANHOG 10.9 -13.0 -20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 -6.8 -15.3 -11.7 -13.2 -13.9 -15.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.3 -17.8 -18.5 20.0 -11.1 -6.1 0.0 -6.7 -2.7 -5.0 -4.3 -20.0 -20.0 -0.2 -20.0 -20.0 LIVECOW -11.4 8.4 6.4 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 11.6 12.7 0.7 11.2 8.6 9.8 20.0 8.4 20.0 20.0 8.2 11.2 4.1 9.5 3.1 -20.0 12.0 3.1 5.3 4.9 1.7 5.2 1.0 20.0 -3.0 7.1 20.0 20.0 MXP 8.3 15.5 12.5 3.9 -3.2 3.2 -0.4 0.4 2.7 13.4 16.3 15.2 15.9 16.3 16.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.3 8.6 7.0 8.3 7.3 7.0 20.0 20.0 20.0 10.0 20.0 NASDAQ -2.5 13.6 20.0 3.2 0.7 3.6 0.1 2.2 1.4 12.8 12.5 13.6 -4.4 14.9 15.4 -9.4 -6.4 -8.6 -7.8 17.3 15.8 12.6 3.7 13.7 -4.5 10.2 6.1 4.2 6.3 4.5 3.7 4.8 -3.7 15.9 14.7 7.0 20.0 NIKKEI 9.4 20.0 15.1 3.2 0.7 3.6 0.1 2.2 1.4 13.1 13.4 14.7 10.7 16.0 15.8 4.2 11.9 7.5 10.6 20.0 15.6 20.0 8.8 20.0 3.7 -9.4 5.8 8.1 4.0 6.5 1.7 6.4 20.0 20.0 20.0 13.8 19.0 NZD 7.0 0.8 -2.6 3.9 -3.2 3.2 -0.4 0.4 2.7 -5.8 7.2 3.3 -1.2 4.2 -5.5 1.1 0.7 1.0 0.8 1.2 -0.0 1.2 -2.5 3.9 2.8 10.8 2.1 -6.1 0.9 0.9 -1.2 3.4 6.0 8.2 3.7 -9.4 -11.9 OAT 8.8 2.5 0.7 3.2 -0.5 1.9 0.7 -2.5 2.0 0.1 -5.4 8.2 -12.6 2.6 -0.0 11.5 12.2 11.1 11.6 1.2 -5.4 4.8 -15.9 4.6 4.5 12.7 3.0 0.3 0.4 2.0 -6.2 3.0 20.0 -6.9 4.2 -4.5 -2.5 OJ -20.0 1.8 8.3 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 -8.3 13.5 -12.4 14.9 0.9 10.3 19.0 20.0 20.0 20.0 12.2 20.0 -18.7 20.0 -6.3 -20.0 -14.3 3.6 -3.9 8.2 -5.4 10.2 -2.1 20.0 -20.0 -7.4 20.0 20.0 PALLAD 1.7 20.0 -6.7 4.5 -1.1 4.0 1.1 2.9 3.4 2.2 -12.6 2.5 -14.1 3.6 -4.6 -3.3 -2.5 -3.2 -3.0 -1.1 -12.3 4.7 -18.8 4.8 20.0 -11.1 1.8 -0.1 -1.7 2.3 -3.9 3.1 0.0 5.3 0.6 -8.7 -20.0 PLAT -5.3 14.7 1.6 4.5 -1.1 4.0 1.1 2.9 3.4 -6.5 8.9 -4.3 4.8 6.1 8.1 -2.2 -1.6 -2.3 -2.0 10.4 8.4 -0.6 5.0 7.1 1.7 11.2 4.2 -3.2 3.2 -0.1 1.7 3.0 1.6 -10.6 7.3 -2.3 -11.0 REDWHEAT -1.8 8.1 1.3 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 13.8 -7.9 10.7 -11.9 6.7 2.2 8.1 5.7 8.8 8.1 -0.1 -4.4 20.0 -5.0 8.3 1.3 12.9 -1.4 11.5 -2.1 7.4 -0.9 1.8 1.4 20.0 7.7 12.4 1.5 ROBUSTA -10.5 20.0 20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 8.5 13.9 9.4 9.3 14.9 15.8 10.2 10.2 10.8 10.8 20.0 20.0 9.3 14.9 18.9 -15.7 9.6 6.2 1.3 5.6 1.5 3.4 4.0 6.1 11.3 20.0 20.0 20.0 RUSSELL -3.0 -6.3 -9.8 3.2 0.7 3.6 0.1 2.2 1.4 9.0 -8.5 -3.9 -10.2 -6.4 -13.2 -5.9 -4.7 -5.8 -5.6 -10.2 -9.4 -1.7 -8.5 -6.7 13.4 10.0 -4.5 1.7 -3.0 -0.8 -1.4 -3.4 -0.5 2.4 -9.8 -20.0 -18.9 SILVER-mini -15.1 17.2 6.9 4.5 -1.1 4.0 1.1 2.9 3.4 -13.0 11.9 -11.1 4.0 5.8 10.9 -6.0 -5.2 -6.0 -5.9 11.2 12.5 -15.0 7.2 0.4 -2.5 -11.3 3.3 -8.0 3.4 -5.0 1.5 0.0 -4.9 -20.0 -18.0 1.4 -7.6 SOYBEAN -12.3 -11.4 -20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 -11.7 -10.9 -14.1 -6.4 -14.2 -13.7 20.0 20.0 20.0 20.0 -20.0 -16.3 -20.0 -7.0 -20.0 5.4 -11.7 -5.9 -6.6 -4.7 -6.2 -1.5 -5.8 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -19.1 -20.0 -8.4 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 10.7 5.1 -9.5 9.1 -11.8 -12.0 20.0 20.0 20.0 20.0 -12.6 0.6 -4.9 12.6 -14.5 -20.0 -12.0 -4.3 2.4 -0.3 -1.3 4.4 -4.5 20.0 -3.0 -14.4 -17.0 -3.6 SOYOIL -3.6 -11.0 -20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 -12.4 -13.9 -11.3 -8.5 -12.0 -13.7 7.3 11.5 5.2 6.8 -20.0 -20.0 -20.0 -11.3 -18.1 11.4 12.9 -6.0 -7.3 -6.1 -5.5 -3.1 -4.9 3.8 -13.6 -9.8 -20.0 -20.0 SP400 -5.5 -4.8 -10.7 3.2 0.7 3.6 0.1 2.2 1.4 2.7 -1.0 -6.1 -2.4 -3.5 -10.0 -5.8 -4.5 -5.6 -5.3 -8.4 -5.4 -5.8 -2.3 -7.8 9.5 10.2 -4.4 -0.4 -2.5 -2.7 -0.2 -4.1 -0.0 -8.2 -12.2 -20.0 -18.9 SP500 -7.0 11.1 6.9 3.2 0.7 3.6 0.1 2.2 1.4 8.8 10.8 2.5 -3.7 10.2 10.4 -9.0 -6.6 -8.5 -7.9 6.8 6.1 1.4 0.6 3.7 2.5 10.2 3.4 0.9 3.9 0.6 2.0 1.5 -3.9 -2.5 -0.8 -2.3 3.9 SUGAR11 2.2 20.0 20.0 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 6.3 16.0 11.7 14.3 14.7 15.7 7.9 20.0 15.5 20.0 20.0 20.0 15.1 20.0 20.0 -20.0 -10.5 6.1 0.7 5.9 2.2 4.7 4.5 20.0 10.9 20.0 20.0 20.0 US10 1.5 8.8 15.3 3.2 -0.5 1.9 0.7 -2.5 2.0 -7.6 7.4 1.9 -9.3 5.6 11.1 -11.1 -5.9 -10.1 -9.1 6.3 2.8 0.5 -7.4 4.4 -3.6 9.7 4.6 -1.9 3.6 0.4 -1.3 2.8 -11.4 1.1 2.4 4.6 6.1 US10U -0.3 6.9 14.1 3.2 -0.5 1.9 0.7 -2.5 2.0 -8.5 6.7 -0.8 -9.5 1.1 9.3 -9.3 -0.9 -5.8 -3.6 4.2 1.6 -1.4 -8.1 1.9 -4.7 -14.1 4.4 -2.7 4.0 -0.5 -0.7 2.0 -2.1 -3.5 -1.0 0.3 5.8 US20 -3.6 5.3 14.0 3.2 -0.5 1.9 0.7 -2.5 2.0 -9.6 7.2 -6.8 -8.1 -5.7 7.6 -1.5 -1.5 -2.1 -2.5 2.2 0.9 -4.2 -7.8 -1.1 -0.8 -12.3 3.3 -3.8 3.2 -2.0 -1.5 0.5 -2.0 -8.1 -6.0 -4.4 3.3 US30 -4.1 1.8 10.7 3.2 -0.5 1.9 0.7 -2.5 2.0 -11.1 4.2 -9.5 -10.0 -9.2 0.8 -2.1 -1.0 -1.7 -1.5 -1.6 -2.4 -6.6 -11.6 -4.5 -1.2 10.0 1.6 -5.0 2.3 -3.6 -2.2 -1.4 -0.4 -12.5 -9.7 -10.7 -0.0 US5 3.6 9.9 17.8 3.2 -0.5 1.9 0.7 -2.5 2.0 -6.2 7.2 3.8 -9.3 6.9 11.5 -11.1 -6.5 -10.5 -9.6 7.6 3.4 2.1 -7.2 6.1 -2.5 10.8 4.7 -1.2 3.2 1.0 -2.0 3.2 -12.4 3.8 5.3 6.7 4.8 VIX 0.4 -6.9 6.4 -3.9 -7.1 -6.7 -5.6 -8.6 -3.7 -13.8 -14.8 -13.7 -14.4 -14.7 -13.5 -20.0 -20.0 -20.0 -20.0 -9.2 -12.7 -10.5 -15.4 -8.7 NaN -13.5 -4.6 -8.3 -8.6 -6.5 -11.9 -4.3 NaN NaN NaN NaN NaN WHEAT -4.8 -1.9 -7.8 -4.5 0.5 -3.5 -3.0 -2.2 -4.8 9.5 -14.4 -4.1 -15.2 -7.1 -12.1 -12.1 -9.4 -12.2 -11.2 -16.9 -19.2 -1.5 -16.7 -11.2 14.4 11.9 -5.4 3.4 -5.3 -0.5 -3.4 -3.7 -20.0 20.0 -11.1 -14.3 -17.9 End of report for caleb_strategy_v1