******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230516_204652 produced at 2023-05-16 21:37:25.743255 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.36 0.0 4.799252e+07 -4.799252e+07 -0.29 -0.34 -7.42 999999999.0 -6 -7 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.22 0.0 8.765529e+06 -8.765529e+06 -0.13 -0.13 -24.66 999999999.0 -15 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.16 0.0 5.579807e+07 -5.579807e+07 -0.11 -0.11 -2.84 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.14 0.0 5.423920e+07 -5.423920e+07 -0.11 -0.11 -2.49 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.13 0.0 3.673056e+07 -3.673056e+07 -0.37 -0.37 -3.64 999999999.0 -10 -10 caleb_strategy_v1 US20 False False 0.05 0.00 -0.10 0.0 5.146013e+07 -5.146013e+07 0.00 0.00 -1.87 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.09 0.0 1.403680e+07 -1.403680e+07 -0.10 -0.10 -6.15 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.611366e+07 -4.611366e+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 7.947546e+06 -7.947546e+06 -0.04 -0.05 -6.13 999999999.0 -5 -6 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.896285e+07 -5.896285e+07 0.00 0.00 -0.74 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.188925e+07 -1.188925e+07 -0.06 -0.06 -2.38 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 3.918646e+07 -3.918646e+07 -0.08 -0.08 -0.53 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 3.971693e+07 -3.971693e+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 2.695400e+07 -2.695400e+07 -0.03 -0.03 -0.76 999999999.0 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.02 0.0 4.579491e+07 -4.579491e+07 0.00 0.00 -0.34 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.523708e+07 -1.523708e+07 0.00 0.00 -0.45 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.01 0.0 1.624014e+07 -1.624014e+07 -0.02 -0.02 -0.84 999999999.0 -1 -1 caleb_strategy_v1 US5 False False 0.04 0.00 -0.01 0.0 4.373426e+07 -4.373426e+07 0.00 0.00 -0.27 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.079953e+06 -1.079953e+06 -0.02 -0.02 -6.01 999999999.0 -19 -19 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.004848e+07 -1.004848e+07 -0.02 -0.02 -0.96 999999999.0 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 2.395579e+07 -2.395579e+07 0.00 0.00 -0.60 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.966536e+07 -5.966536e+07 0.00 0.00 -0.03 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.125972e+07 -1.125972e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.764561e+07 -1.764561e+07 0.00 0.00 0.24 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.348198e+07 -1.348198e+07 -0.05 -0.05 -0.21 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.864833e+07 -1.864833e+07 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.00 0.0 6.606022e+06 -6.606022e+06 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 -0.00 0.0 2.754368e+07 -2.754368e+07 0.08 0.06 -0.01 999999999.0 3 2 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.656553e+07 -2.656553e+07 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.164700e+07 -1.164700e+07 0.01 0.01 0.67 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.784301e+07 -2.784301e+07 0.03 0.03 0.34 999999999.0 1 1 caleb_strategy_v1 RUSSELL False False 0.00 -0.04 0.01 0.0 3.480911e+06 -3.480911e+06 -0.04 -0.02 3.00 999999999.0 -12 -7 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.658279e+07 -1.658279e+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 1.009032e+07 -1.009032e+07 0.05 0.05 1.37 999999999.0 5 5 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.653632e+07 -3.653632e+07 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 5.457289e+07 -5.457289e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.242088e+07 -8.242088e+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 4.128945e+06 -4.128945e+06 0.00 0.00 5.56 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.400062e+07 -2.400062e+07 0.00 0.00 0.86 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 1.001661e+07 -1.001661e+07 0.02 0.02 1.59 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.130422e+07 -2.130422e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 2.481641e+07 -2.481641e+07 0.00 0.00 1.02 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.78 0.03 0.0 9.688301e+07 -9.688301e+07 0.78 0.78 0.30 999999999.0 8 8 caleb_strategy_v1 DAX False False 0.01 0.00 0.03 0.0 6.907720e+06 -6.907720e+06 0.00 0.00 5.00 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.04 0.0 3.112012e+07 -3.112012e+07 0.28 0.28 1.32 999999999.0 9 9 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.960159e+07 -2.960159e+07 0.00 0.00 1.72 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.132945e+07 -1.132945e+07 0.00 0.00 4.44 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.07 0.0 1.078240e+08 -1.078240e+08 0.00 0.00 0.64 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.07 0.0 4.966250e+07 -4.966250e+07 0.15 0.15 1.40 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.09 0.0 5.614417e+07 -5.614417e+07 0.00 0.00 1.65 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.10 0.0 2.589019e+07 -2.589019e+07 0.00 0.00 3.88 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.10 0.0 3.184115e+07 -3.184115e+07 0.03 0.03 3.19 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 4.67 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.32 0.0 5.859482e+07 -5.859482e+07 0.35 0.35 5.42 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.52 0.0 5.109998e+07 -5.109998e+07 0.00 0.00 10.22 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.54 0.0 0.000000e+00 0.000000e+00 0.00 0.00 61.39 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 57.2 Sum abs risk 50.7 Leverage 3.89 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2509831.31, 'annual_cash_vol_target': 627457.8275, 'daily_cash_vol_target': 39216.11421875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6667 0.7146 11.4341 BITCOIN 942.2765 27105.0000 3.4764 55.6223 BOBL 0.3834 118.0200 0.3248 5.1972 BTP 0.6385 114.7000 0.5567 8.9073 BUND 0.7160 135.3300 0.5291 8.4657 BUXL 1.6607 136.1800 1.2195 19.5120 CAC 51.9929 7354.0000 0.7070 11.3120 CAD 0.0036 0.7430 0.4896 7.8332 CANOLA 8.7602 698.8000 1.2536 20.0578 CHF 0.0052 1.1204 0.4639 7.4218 COCOA 30.9536 2984.0000 1.0373 16.5971 COFFEE 3.4776 186.3500 1.8662 29.8586 COPPER 0.0501 3.6680 1.3659 21.8537 CORN 5.8817 506.5000 1.1612 18.5798 COTTON2 1.4332 83.2400 1.7218 27.5488 CRUDE_W 1.3968 69.1300 2.0206 32.3298 DAX 111.3790 15954.0000 0.6981 11.1700 DOW 236.5626 33160.0000 0.7134 11.4144 EUR 0.0052 1.0890 0.4779 7.6470 EUROSTX 33.2720 4307.0000 0.7725 12.3602 FEEDCOW 1.5789 231.4750 0.6821 10.9135 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.3656 676.5000 2.1235 33.9763 GASOILINE 0.0464 2.3734 1.9570 31.3118 GAS_US 0.0969 2.5220 3.8409 61.4545 GBP 0.0069 1.2497 0.5487 8.7787 GOLD_micro 16.7794 1994.7000 0.8412 13.4592 HEATOIL 0.0443 2.3417 1.8902 30.2427 JPY 0.0000 0.0074 0.6615 10.5837 LEANHOG 1.3446 88.0750 1.5266 24.4256 LIVECOW 0.9536 162.4500 0.5870 9.3920 MXP 0.0004 0.0569 0.6181 9.8890 NASDAQ 111.8184 13531.0000 0.8264 13.2222 NIKKEI 220.6539 29910.0000 0.7377 11.8036 NZD 0.0048 0.6228 0.7682 12.2912 OAT 0.6747 129.6700 0.5203 8.3246 OJ 4.6727 254.9500 1.8328 29.3245 PALLAD 33.8054 1497.5000 2.2575 36.1193 PLAT 18.9913 1069.4000 1.7759 28.4141 REDWHEAT 15.8020 885.7500 1.7840 28.5443 ROBUSTA 32.3227 2514.0000 1.2857 20.5713 RUSSELL 19.6734 1747.3000 1.1259 18.0149 SILVER-mini 0.3859 24.0500 1.6045 25.6722 SOYBEAN 11.6424 1204.7500 0.9664 15.4621 SOYMEAL 4.5023 407.6000 1.1046 17.6736 SOYOIL 0.8622 47.1000 1.8307 29.2908 SP400 23.8892 2431.6000 0.9824 15.7191 SP500 30.2756 4137.2500 0.7318 11.7085 SUGAR11 0.3787 26.1000 1.4508 23.2134 US10 0.5348 114.9375 0.4653 7.4443 US10U 0.6988 120.4531 0.5802 9.2828 US20 1.0014 129.1562 0.7753 12.4049 US30 1.4154 136.9688 1.0334 16.5342 US5 0.3870 109.7656 0.3525 5.6406 VIX 0.5995 22.0000 2.7249 43.5979 WHEAT 11.7125 676.7500 1.7307 27.6913 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.75 0.71 476.48 1.00 476.48 39216.11 82.30 3.95 32.47 BITCOIN 27.10 3.48 94.23 1.00 94.23 39216.11 416.18 -6.12 -254.88 BOBL 1180.20 0.32 383.36 1.09 416.61 39216.11 94.13 15.05 141.63 BTP 1147.00 0.56 638.54 1.09 693.94 39216.11 56.51 12.29 69.44 BUND 1353.30 0.53 716.04 1.09 778.15 39216.11 50.40 14.91 75.14 BUXL 1361.80 1.22 1660.71 1.09 1804.78 39216.11 21.73 -4.03 -8.77 CAC 735.40 0.71 519.93 1.09 565.03 39216.11 69.41 16.35 113.45 CAD 742.95 0.49 363.73 1.00 363.73 39216.11 107.82 8.95 96.45 CANOLA 139.76 1.25 175.20 0.74 129.49 39216.11 302.84 20.00 605.68 CHF 1400.44 0.46 649.61 1.00 649.61 39216.11 60.37 -12.59 -76.02 COCOA 298.40 1.04 309.54 1.00 309.54 39216.11 126.69 -8.62 -109.16 COFFEE 698.81 1.87 1304.10 1.00 1304.10 39216.11 30.07 8.80 26.46 COPPER 917.00 1.37 1252.49 1.00 1252.49 39216.11 31.31 2.39 7.49 CORN 253.25 1.16 294.08 1.00 294.08 39216.11 133.35 11.37 151.59 COTTON2 416.20 1.72 716.61 1.00 716.61 39216.11 54.72 5.78 31.61 CRUDE_W 691.30 2.02 1396.85 1.00 1396.85 39216.11 28.07 -0.04 -0.11 DAX 159.54 0.70 111.38 1.09 121.04 39216.11 323.99 2.84 92.07 DOW 165.80 0.71 118.28 1.00 118.28 39216.11 331.55 0.53 17.52 EUR 1361.31 0.48 650.62 1.00 650.62 39216.11 60.27 -11.06 -66.65 EUROSTX 430.70 0.77 332.72 1.09 361.58 39216.11 108.46 0.65 7.07 FEEDCOW 1157.38 0.68 789.44 1.00 789.44 39216.11 49.68 -8.27 -41.06 FTSE100 707.00 0.82 576.59 1.25 666.67 39216.11 58.82 7.70 45.28 GASOIL 676.50 2.12 1436.56 1.00 1436.56 39216.11 27.30 -3.88 -10.59 GASOILINE 996.83 1.96 1950.78 1.00 1950.78 39216.11 20.10 -5.41 -10.87 GAS_US 252.20 3.84 968.68 1.00 968.68 39216.11 40.48 -15.77 -63.86 GBP 781.06 0.55 428.55 1.00 428.55 39216.11 91.51 8.09 74.05 GOLD_micro 199.47 0.84 167.79 1.00 167.79 39216.11 233.72 -11.73 -274.14 HEATOIL 983.51 1.89 1859.00 1.00 1859.00 39216.11 21.10 -3.52 -7.42 JPY 921.88 0.66 609.80 1.00 609.80 39216.11 64.31 -8.75 -56.30 LEANHOG 352.30 1.53 537.82 1.00 537.82 39216.11 72.92 -18.05 -131.58 LIVECOW 649.80 0.59 381.43 1.00 381.43 39216.11 102.81 14.05 144.47 MXP 284.35 0.62 175.75 1.00 175.75 39216.11 223.14 16.26 362.74 NASDAQ 2706.20 0.83 2236.37 1.00 2236.37 39216.11 17.54 6.74 11.82 NIKKEI 29910.00 0.74 22065.39 0.01 161.99 39216.11 242.09 13.35 323.21 NZD 622.85 0.77 478.47 1.00 478.47 39216.11 81.96 7.77 63.72 OAT 1296.70 0.52 674.65 1.09 733.18 39216.11 53.49 15.26 81.63 OJ 382.42 1.83 700.90 1.00 700.90 39216.11 55.95 -4.57 -25.58 PALLAD 1497.50 2.26 3380.54 1.00 3380.54 39216.11 11.60 -1.15 -1.33 PLAT 534.70 1.78 949.56 1.00 949.56 39216.11 41.30 8.50 35.10 REDWHEAT 442.88 1.78 790.10 1.00 790.10 39216.11 49.63 9.12 45.29 ROBUSTA 251.40 1.29 323.23 1.00 323.23 39216.11 121.33 10.13 122.96 RUSSELL 87.36 1.13 98.37 1.00 98.37 39216.11 398.67 1.46 58.02 SILVER-mini 601.25 1.60 964.71 1.00 964.71 39216.11 40.65 -6.64 -26.98 SOYBEAN 602.38 0.97 582.12 1.00 582.12 39216.11 67.37 2.16 14.58 SOYMEAL 407.60 1.10 450.23 1.00 450.23 39216.11 87.10 -1.64 -14.29 SOYOIL 282.60 1.83 517.35 1.00 517.35 39216.11 75.80 5.29 40.13 SP400 2431.60 0.98 2388.92 1.00 2388.92 39216.11 16.42 3.52 5.79 SP500 2068.62 0.73 1513.78 1.00 1513.78 39216.11 25.91 3.51 9.10 SUGAR11 292.32 1.45 424.11 1.00 424.11 39216.11 92.47 5.38 49.71 US10 1149.38 0.47 534.77 1.00 534.77 39216.11 73.33 -1.20 -8.79 US10U 1204.53 0.58 698.84 1.00 698.84 39216.11 56.12 -9.07 -50.90 US20 1291.56 0.78 1001.36 1.00 1001.36 39216.11 39.16 -6.46 -25.32 US30 1369.69 1.03 1415.42 1.00 1415.42 39216.11 27.71 1.53 4.24 US5 1097.66 0.35 386.97 1.00 386.97 39216.11 101.34 -0.69 -6.96 VIX 220.00 2.72 599.47 1.00 599.47 39216.11 65.42 -20.00 -130.84 WHEAT 338.38 1.73 585.63 1.00 585.63 39216.11 66.96 -5.89 -39.44 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 32.474 0.006 2.5 0.519 BITCOIN -254.881 0.009 2.5 -6.005 BOBL 141.631 0.029 2.5 10.220 BTP 69.439 0.008 2.5 1.402 BUND 75.140 0.029 2.5 5.422 BUXL -8.765 0.034 2.5 -0.736 CAC 113.446 0.011 2.5 3.189 CAD 96.448 0.007 2.5 1.722 CANOLA 605.684 0.004 2.5 5.560 CHF -76.016 0.015 2.5 -2.845 COCOA -109.158 0.009 2.5 -2.378 COFFEE 26.460 0.005 2.5 0.343 COPPER 7.495 0.011 2.5 0.205 CORN 151.588 0.004 2.5 1.367 COTTON2 31.614 0.006 2.5 0.476 CRUDE_W -0.111 0.053 2.5 -0.015 DAX 92.068 0.022 2.5 5.000 DOW 17.520 0.011 2.5 0.499 EUR -66.652 0.015 2.5 -2.494 EUROSTX 7.074 0.011 2.5 0.199 FEEDCOW -41.061 0.011 2.5 -1.103 FTSE100 45.281 0.041 2.5 4.668 GASOIL -10.588 0.029 2.5 -0.755 GASOILINE -10.869 0.016 2.5 -0.446 GAS_US -63.862 0.006 2.5 -0.962 GBP 74.053 0.007 2.5 1.322 GOLD_micro -274.135 0.009 2.5 -6.134 HEATOIL -7.416 0.029 2.5 -0.529 JPY -56.301 0.026 2.5 -3.644 LEANHOG -131.578 0.019 2.5 -6.147 LIVECOW 144.473 0.011 2.5 3.882 MXP 362.740 0.005 2.5 4.441 NASDAQ 11.823 0.022 2.5 0.642 NIKKEI 323.213 0.076 2.5 61.389 NZD 63.724 0.006 2.5 1.018 OAT 81.629 0.008 2.5 1.649 OJ -25.583 0.007 2.5 -0.446 PALLAD -1.331 0.010 2.5 -0.032 PLAT 35.103 0.010 2.5 0.845 REDWHEAT 45.288 0.002 2.5 0.242 ROBUSTA 122.959 0.005 2.5 1.594 RUSSELL 58.016 0.021 2.5 3.005 SILVER-mini -26.985 0.009 2.5 -0.604 SOYBEAN 14.583 0.024 2.5 0.860 SOYMEAL -14.292 0.024 2.5 -0.843 SOYOIL 40.130 0.004 2.5 0.368 SP400 5.786 0.021 2.5 0.300 SP500 9.096 0.011 2.5 0.259 SUGAR11 49.715 0.005 2.5 0.675 US10 -8.788 0.015 2.5 -0.337 US10U -50.898 0.058 2.5 -7.416 US20 -25.315 0.029 2.5 -1.866 US30 4.235 0.034 2.5 0.356 US5 -6.960 0.015 2.5 -0.267 VIX -130.836 0.075 2.5 -24.656 WHEAT -39.437 0.002 2.5 -0.211 ==================== Position diags ==================== AUD 1.32 BITCOIN 9.81 BOBL 6.79 BTP 1.14 BUND 3.64 BUXL 1.82 CAC 1.95 CAD 1.93 CANOLA 2.78 CHF 2.26 COCOA 2.76 COFFEE 0.39 COPPER 0.86 CORN 1.20 COTTON2 0.82 CRUDE_W 3.71 DAX 17.60 DOW 9.45 EUR 2.26 EUROSTX 3.05 FEEDCOW 1.33 FTSE100 6.06 GASOIL 1.95 GASOILINE 0.83 GAS_US 0.61 GBP 1.63 GOLD_micro 5.23 HEATOIL 1.50 JPY 4.16 LEANHOG 3.41 LIVECOW 2.76 MXP 2.73 NASDAQ 0.95 NIKKEI 45.98 NZD 1.31 OAT 1.08 OJ 0.98 PALLAD 0.28 PLAT 0.99 REDWHEAT 0.26 ROBUSTA 1.57 RUSSELL 20.65 SILVER-mini 0.91 SOYBEAN 3.97 SOYMEAL 5.14 SOYOIL 0.70 SP400 0.85 SP500 0.74 SUGAR11 1.25 US10 2.81 US10U 8.18 US20 2.89 US30 2.33 US5 3.89 VIX 12.33 WHEAT 0.36 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.7 0.0 0 BITCOIN -6.0 -7.0 -5.0 -19.0 -19 BOBL 10.2 9.5 10.9 0.0 0 BTP 1.4 1.3 1.5 3.0 3 BUND 5.4 5.1 5.8 6.0 6 BUXL -0.7 -0.9 -0.6 0.0 0 CAC 3.2 3.0 3.4 1.0 1 CAD 1.7 1.5 1.9 0.0 0 CANOLA 5.6 5.3 5.8 NaN 0 CHF -2.8 -3.1 -2.6 -2.0 -2 COCOA -2.4 -2.7 -2.1 -5.0 -5 COFFEE 0.3 0.3 0.4 1.0 1 COPPER 0.2 0.1 0.3 0.0 0 CORN 1.4 1.2 1.5 5.0 5 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W -0.0 -0.4 0.4 3.0 3 DAX 5.0 3.2 6.8 0.0 0 DOW 0.5 -0.4 1.4 0.0 0 EUR -2.5 -2.7 -2.3 -2.0 -2 EUROSTX 0.2 -0.1 0.5 0.0 0 FEEDCOW -1.1 -1.2 -1.0 -1.0 -1 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL -0.8 -0.9 -0.6 -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 -6.1 -6.7 -5.6 -5.0 -5 HEATOIL -0.5 -0.7 -0.4 -2.0 -2 JPY -3.6 -4.1 -3.2 -10.0 -10 LEANHOG -6.1 -6.5 -5.8 -7.0 -7 LIVECOW 3.9 3.6 4.2 0.0 0 MXP 4.4 4.2 4.7 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 61.4 56.8 66.0 0.0 0 NZD 1.0 0.9 1.1 0.0 0 OAT 1.6 1.5 1.8 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 0.3 0.0 0 ROBUSTA 1.6 1.4 1.8 2.0 2 RUSSELL 3.0 0.9 5.1 -12.0 -12 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 0.9 0.5 1.3 0.0 0 SOYMEAL -0.8 -1.4 -0.3 -1.0 -1 SOYOIL 0.4 0.3 0.4 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 -0.6 -0.1 NaN 0 US10U -7.4 -8.2 -6.6 -6.0 -6 US20 -1.9 -2.2 -1.6 0.0 0 US30 0.4 0.1 0.6 0.0 0 US5 -0.3 -0.7 0.1 0.0 0 VIX -24.7 -25.9 -23.4 -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 0.0 -0.1 -0.2 -0.2 BITCOIN -0.1 0.0 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 -0.0 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 1.3 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 0.1 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 -1.1 2.2 0.0 -0.0 0.0 0.0 -0.0 0.0 2.7 0.0 0.1 -0.1 0.1 BUND 0.1 0.0 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.3 0.0 0.1 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 -0.4 -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 0.1 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 0.2 -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 -0.1 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 0.1 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 -0.1 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 0.3 0.0 0.3 -0.2 -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 -1.8 0.1 0.4 0.3 0.3 COFFEE -0.1 0.2 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.0 -0.0 -0.1 0.0 0.1 0.6 0.2 0.1 0.1 0.1 0.0 -0.0 -0.0 0.0 0.7 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 -0.0 0.0 0.3 0.3 COPPER -0.2 -0.3 -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 0.3 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 -0.1 -0.4 -0.3 -0.3 COTTON2 0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -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 0.9 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 0.1 -0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 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 -0.3 -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 -2.2 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 1.7 0.0 0.2 -0.0 0.1 FEEDCOW -0.2 0.1 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.3 0.0 0.3 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 1.3 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 -0.0 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 -0.3 -1.6 -0.8 -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 0.1 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 0.1 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 1.9 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 -0.3 -1.2 -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 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 3.0 -2.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.1 0.1 -0.3 -0.3 LIVECOW -0.1 0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -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 0.2 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 0.1 0.0 -0.5 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.3 0.4 0.1 0.3 NIKKEI 0.1 0.3 0.3 0.0 -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 1.0 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 -0.1 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 -0.0 -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 0.0 -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 -0.0 -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 -0.0 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 -2.7 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 1.8 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 -0.4 -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 -0.0 -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 0.9 -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 -0.0 -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 -0.0 -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 1.7 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.5 -0.1 -0.4 -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 1.6 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 0.2 -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 -0.7 -2.9 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.0 0.0 0.1 US20 -0.1 0.1 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.2 -0.1 -0.1 -0.0 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.1 -0.1 0.0 US30 -0.1 0.0 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.3 -0.0 0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 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 0.1 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 -0.4 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 -0.0 -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 1.5 0.5 -7.1 3.9 -2.4 3.3 -0.6 0.4 2.4 -8.2 0.3 -1.7 -5.4 -0.8 -11.0 -3.6 -3.2 -3.6 -3.5 -3.5 -4.6 -3.4 -6.0 -1.4 13.9 11.7 -0.9 -6.0 -2.0 -2.2 -3.6 -0.0 -0.9 0.1 -5.9 -12.7 -16.3 BITCOIN -14.1 2.6 20.0 4.3 -3.0 4.1 -0.1 2.9 2.8 -8.5 12.1 -10.9 -6.9 -4.8 9.3 -4.0 -2.3 -3.7 -2.9 6.1 10.2 -8.4 1.5 -3.5 8.3 -18.1 1.5 -3.5 4.5 -4.9 2.3 -3.2 0.4 -13.3 -20.0 -20.0 6.8 BOBL 12.3 4.4 13.8 3.0 -3.4 1.9 -0.9 -2.5 1.3 -11.3 -2.1 6.9 -12.0 4.8 7.5 12.4 7.0 7.8 6.0 4.4 -3.5 3.0 -15.0 6.6 8.3 10.8 3.8 -3.0 0.6 0.7 -6.3 3.2 12.8 1.9 7.3 -0.6 0.8 BTP 4.7 1.0 3.5 3.0 -3.4 1.9 -0.9 -2.5 1.3 -1.4 7.4 6.6 -8.1 1.2 4.4 10.5 11.8 9.6 10.6 3.5 2.0 2.2 -8.6 3.1 -9.3 11.4 4.1 -1.0 3.6 1.2 -2.6 2.7 20.0 2.3 2.8 -5.3 5.1 BUND 9.4 2.3 6.8 3.0 -3.4 1.9 -0.9 -2.5 1.3 -10.7 -4.4 5.4 -12.8 1.2 2.5 7.2 12.3 7.8 9.7 1.6 -5.3 1.0 -16.9 3.6 6.6 12.3 2.8 -3.3 0.4 -0.2 -6.1 2.0 20.0 -1.8 3.2 -5.0 -1.0 BUXL 4.8 -3.1 1.4 3.0 -3.4 1.9 -0.9 -2.5 1.3 -12.2 -10.1 -4.4 -13.8 -8.3 -5.5 1.4 1.0 1.9 2.2 -5.4 -10.5 -5.7 -19.9 -3.7 9.6 -10.8 -0.3 -5.3 -1.7 -2.9 -6.1 -1.2 4.6 -13.1 -4.7 -13.7 -8.8 CAC -8.6 15.9 12.3 3.1 -0.4 3.7 -0.3 2.3 1.2 8.8 15.3 -2.2 13.5 10.5 12.2 18.9 5.6 13.6 8.2 14.8 20.0 1.0 20.0 5.7 -15.8 8.9 5.5 1.4 7.3 2.2 7.3 3.8 19.2 6.1 11.9 0.8 7.4 CAD -1.8 12.2 4.0 3.9 -2.4 3.3 -0.6 0.4 2.4 1.8 -1.5 2.6 -9.5 5.4 3.8 -2.9 -2.1 -2.8 -2.6 2.0 -1.8 1.5 -7.0 3.0 16.8 10.4 2.1 -0.1 -0.1 1.3 -3.2 2.4 0.9 15.4 -9.8 0.6 -6.4 CANOLA 7.8 -1.1 -17.6 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 -1.9 -12.1 -1.3 -13.4 -4.8 -11.5 20.0 20.0 20.0 20.0 -16.0 -20.0 -2.1 -15.0 -7.4 20.0 13.2 -5.5 -0.6 -6.8 -0.6 -4.9 -2.4 20.0 11.8 -0.4 -15.2 -20.0 CHF -5.5 14.5 9.1 3.9 -2.4 3.3 -0.6 0.4 2.4 -10.2 14.0 -9.0 9.2 7.8 11.3 -15.4 -14.4 -14.8 -14.8 12.2 13.4 -6.1 8.1 4.0 -5.8 -11.5 4.8 -3.3 4.9 -2.1 2.3 1.7 -20.0 -8.2 -2.8 8.0 8.2 COCOA -5.0 10.5 20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 6.5 15.2 8.1 10.3 12.5 14.2 -2.1 -1.2 0.1 0.0 19.5 20.0 9.0 15.4 13.6 -20.0 -10.4 6.0 1.2 6.8 2.9 5.3 4.2 -12.9 16.0 20.0 20.0 20.0 COFFEE -11.6 12.0 15.1 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 2.4 0.0 -10.4 -4.9 0.2 6.6 8.0 4.6 6.5 5.4 5.4 3.5 -0.7 -2.6 0.7 4.6 10.0 3.0 1.7 2.2 0.0 -0.3 0.8 -3.4 -1.9 1.6 20.0 20.0 COPPER -20.0 -16.3 -3.8 4.3 -3.0 4.1 -0.1 2.9 2.8 -12.5 4.5 -14.1 -2.6 -13.7 -11.6 -2.2 -0.8 -1.5 -1.2 -11.9 -2.5 -20.0 0.3 -19.5 9.9 11.1 -4.7 -9.0 -1.8 -8.6 -0.2 -7.0 2.9 -20.0 -20.0 -20.0 -20.0 CORN -18.1 -8.5 -20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 -12.5 -13.9 -14.7 -7.0 -14.8 -15.3 4.2 16.8 10.7 14.9 -20.0 -19.0 -20.0 -8.6 -20.0 20.0 11.0 -6.2 -4.2 -5.5 -5.3 -3.2 -6.1 15.7 -19.6 -20.0 -20.0 -20.0 COTTON2 1.3 4.9 -0.4 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 7.7 -5.3 3.0 -12.0 2.3 -4.6 -3.1 5.9 -3.1 -0.7 -2.7 -7.3 4.8 -9.7 0.7 3.8 12.0 -1.3 8.2 -3.1 3.6 -2.1 0.9 -7.4 9.2 8.1 14.3 -1.0 CRUDE_W -20.0 2.2 -8.2 -4.2 -0.6 -3.0 -2.6 -0.6 -4.4 0.0 -1.8 -8.0 -5.3 -7.2 -4.0 7.2 10.9 8.1 8.9 -8.3 -5.1 -10.4 -0.8 -11.8 -11.6 10.8 -3.4 -2.3 -1.8 -4.2 0.8 -4.7 -8.2 -6.4 -2.3 16.3 6.8 DAX -2.5 13.0 11.0 3.1 -0.4 3.7 -0.3 2.3 1.2 2.9 16.1 4.1 11.3 14.1 14.7 -8.2 -6.3 -8.1 -7.8 12.7 18.9 1.4 16.5 6.1 -17.9 9.9 5.8 0.5 7.3 2.3 6.1 4.5 -3.7 8.5 14.5 -0.2 5.1 DOW -11.1 8.9 -5.2 3.1 -0.4 3.7 -0.3 2.3 1.2 -11.3 8.1 -10.8 3.2 4.3 3.4 -8.3 -5.8 -8.0 -7.5 0.5 1.9 -10.2 1.5 -4.3 0.7 10.8 0.3 -7.2 2.0 -6.1 2.2 -3.0 -3.1 -20.0 -12.0 -8.0 -7.9 EUR -10.0 6.7 9.2 3.9 -2.4 3.3 -0.6 0.4 2.4 -11.7 13.8 -11.4 1.9 2.3 9.1 -7.1 -8.3 -7.2 -7.8 6.3 10.5 -13.1 4.1 -3.3 -11.4 -11.1 3.4 -7.0 5.0 -6.1 1.5 -1.2 -9.0 -20.0 -11.6 -0.0 1.7 EUROSTX -6.5 13.5 10.6 3.1 -0.4 3.7 -0.3 2.3 1.2 4.5 15.8 0.5 13.6 12.2 13.5 -5.1 3.3 -1.3 1.6 13.0 20.0 1.3 20.0 5.3 -17.0 -8.5 5.8 1.3 7.8 2.5 7.6 4.2 12.9 10.2 11.6 -0.7 4.4 FEEDCOW -18.7 9.1 20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 13.2 13.5 8.3 11.1 10.2 13.0 -20.0 -20.0 -20.0 -20.0 19.8 20.0 16.8 14.0 14.0 -20.0 12.2 5.3 5.9 6.2 3.5 4.8 3.2 -20.0 11.7 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 -14.6 -8.8 -20.0 -4.2 -0.7 -2.9 -2.9 -0.5 -4.6 4.9 -14.0 -6.7 2.6 -9.7 -13.6 1.7 20.0 10.5 17.2 -19.3 -15.5 -8.4 -2.2 -17.0 5.7 -15.4 -5.6 -0.4 -4.7 -2.6 -1.7 -5.1 9.9 6.3 -1.7 -5.6 -7.9 GASOILINE -20.0 -4.2 -5.1 -4.2 -0.6 -3.0 -2.6 -0.6 -4.4 8.6 2.2 -4.5 -0.3 -7.4 -5.2 20.0 15.9 18.8 14.6 -7.3 -2.0 -5.2 4.3 -10.2 -20.0 -13.1 -3.0 0.3 -0.2 -2.3 3.5 -4.3 -0.1 0.3 -2.1 11.9 12.3 GAS_US 5.3 1.0 -20.0 -4.2 -0.6 -3.0 -2.6 -0.6 -4.4 11.7 -16.6 -1.9 -15.2 -9.1 -14.5 -20.0 -17.8 -20.0 -20.0 -20.0 -20.0 2.3 -20.0 -7.3 20.0 -9.3 -5.7 4.4 -7.6 1.1 -5.1 -2.6 -20.0 7.8 20.0 -4.2 -5.2 GBP -1.3 11.3 11.6 3.9 -2.4 3.3 -0.6 0.4 2.4 -6.9 15.1 0.1 1.1 9.9 13.6 -1.6 -1.9 -1.7 -1.9 11.3 10.9 -2.0 2.3 6.2 0.7 9.4 5.0 -3.6 3.7 -1.1 -1.2 2.8 1.5 -1.5 3.9 4.4 3.3 GOLD_micro -5.3 8.3 12.0 4.3 -3.0 4.1 -0.1 2.9 2.8 -11.9 13.3 -5.0 5.2 4.5 11.4 -12.8 -11.3 -12.4 -12.3 12.1 15.4 -4.6 11.0 4.3 -5.4 -13.8 4.9 -5.0 5.9 -1.6 4.4 1.9 -15.7 -6.7 -3.2 -6.8 6.3 HEATOIL -11.0 -7.9 -20.0 -4.2 -0.6 -3.0 -2.6 -0.6 -4.4 5.3 -13.2 -5.1 1.4 -8.4 -13.1 0.3 20.0 10.0 18.4 -17.5 -15.1 -7.0 -2.4 -14.3 -0.8 -13.6 -5.4 -0.6 -4.0 -2.4 0.2 -4.7 14.0 4.2 -1.7 -3.9 -8.3 JPY -7.3 -11.1 -4.2 3.9 -2.4 3.3 -0.6 0.4 2.4 -11.6 2.1 -4.5 -7.2 -8.7 -10.6 -16.1 -13.9 -15.8 -15.2 -9.6 -5.6 -10.4 -9.2 -10.8 5.8 9.9 -3.2 -7.0 -1.3 -5.8 -4.9 -4.9 -20.0 -0.3 -19.5 -20.0 -17.3 LEANHOG 9.7 -12.2 -20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 1.6 -15.2 -9.4 -13.2 -12.7 -15.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -7.2 -18.2 -16.4 20.0 -11.1 -6.0 1.6 -6.8 -1.6 -5.1 -3.9 -20.0 -20.0 5.1 -20.0 -20.0 LIVECOW -11.6 8.0 6.3 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 11.6 12.8 2.7 11.3 9.2 10.0 20.0 8.5 20.0 20.0 8.6 11.5 5.7 9.8 4.3 -20.0 12.0 3.2 4.6 5.0 2.3 5.3 1.5 20.0 4.1 7.7 20.0 20.0 MXP 9.4 16.0 13.6 3.9 -2.4 3.3 -0.6 0.4 2.4 13.3 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 6.9 6.8 7.8 7.0 7.0 20.0 20.0 20.0 12.1 20.0 NASDAQ -0.7 13.4 20.0 3.1 -0.4 3.7 -0.3 2.3 1.2 13.7 12.8 14.4 -4.2 15.2 15.6 -9.5 -6.4 -8.7 -7.8 18.2 16.4 14.8 4.0 15.1 -4.8 10.2 6.1 5.3 6.3 5.2 3.7 5.1 -3.8 19.6 18.3 6.7 20.0 NIKKEI 10.6 20.0 15.9 3.1 -0.4 3.7 -0.3 2.3 1.2 13.8 13.6 15.1 10.9 16.1 15.9 4.2 11.8 7.4 10.5 20.0 16.5 20.0 9.4 20.0 3.3 -9.4 5.9 7.6 4.0 6.7 1.8 6.5 20.0 20.0 20.0 16.3 20.0 NZD 7.3 0.7 -2.6 3.9 -2.4 3.3 -0.6 0.4 2.4 -6.9 7.2 1.7 -1.1 3.2 -5.5 1.2 0.7 1.0 0.8 1.0 -0.0 -0.5 -2.5 2.9 2.7 10.8 1.9 -5.5 0.9 -0.4 -1.2 2.7 6.1 4.1 3.2 -9.1 -12.1 OAT 9.2 2.3 1.2 3.0 -3.4 1.9 -0.9 -2.5 1.3 -8.4 -5.3 5.7 -12.6 1.5 -0.1 11.8 12.3 11.3 11.7 0.9 -5.4 1.2 -16.0 3.2 4.5 12.7 2.7 -2.9 0.3 0.3 -6.1 2.2 20.0 -0.7 3.9 -4.1 -2.2 OJ -20.0 -0.1 8.1 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 -3.7 13.4 -10.1 14.9 0.8 10.0 18.6 20.0 20.0 20.0 11.7 20.0 -12.9 20.0 -5.5 -20.0 -14.3 3.5 -0.9 8.3 -4.0 10.5 -1.9 20.0 -20.0 -5.1 20.0 20.0 PALLAD 0.6 20.0 -5.9 4.3 -3.0 4.1 -0.1 2.9 2.8 -0.9 -12.6 0.5 -14.1 2.3 -4.5 -3.2 -2.5 -3.2 -2.9 -1.5 -12.4 0.7 -19.0 3.3 20.0 -11.1 1.7 -2.6 -1.7 0.7 -4.0 2.5 0.0 15.8 -5.3 -7.4 -20.0 PLAT -4.4 14.5 2.3 4.3 -3.0 4.1 -0.1 2.9 2.8 -7.8 8.8 -6.6 4.9 5.4 7.9 -2.1 -1.6 -2.3 -2.0 10.0 8.5 -2.5 5.2 5.7 1.7 11.2 4.1 -3.1 3.3 -0.8 1.8 2.5 1.6 -2.6 3.9 -1.5 -10.3 REDWHEAT 2.5 8.4 1.3 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 14.0 -7.4 12.4 -11.8 8.5 3.6 8.1 5.8 8.8 8.1 1.6 -3.8 20.0 -4.9 11.4 1.2 12.9 -0.8 10.5 -1.9 8.1 -0.8 2.8 1.4 20.0 11.0 13.9 2.5 ROBUSTA -8.2 20.0 20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 12.2 14.1 11.6 9.5 15.3 16.0 10.2 10.2 10.8 10.8 20.0 20.0 13.8 15.5 20.0 -16.3 9.6 6.2 3.3 5.6 2.5 3.4 4.2 6.0 13.6 20.0 20.0 20.0 RUSSELL -3.2 -6.8 -10.5 3.1 -0.4 3.7 -0.3 2.3 1.2 3.8 -8.8 -5.0 -10.3 -6.8 -13.4 -5.9 -4.7 -5.8 -5.6 -10.3 -9.6 -3.3 -8.6 -7.0 13.8 10.0 -4.6 -0.9 -3.1 -1.5 -1.5 -3.5 -0.5 1.4 -9.5 -20.0 -18.9 SILVER-mini -18.3 15.0 7.0 4.3 -3.0 4.1 -0.1 2.9 2.8 -13.9 11.6 -13.0 3.9 2.7 10.1 -6.1 -5.3 -6.1 -5.9 9.3 11.9 -19.6 7.1 -3.3 -2.0 -11.3 2.7 -9.2 3.2 -6.5 1.5 -1.2 -4.9 -20.0 -18.8 -0.9 -7.5 SOYBEAN -10.9 -11.3 -20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 -13.2 -11.2 -14.7 -6.6 -14.6 -14.0 20.0 20.0 20.0 20.0 -20.0 -16.0 -20.0 -7.0 -20.0 6.1 -11.7 -5.9 -8.9 -4.6 -7.4 -1.5 -6.3 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -17.4 -20.0 -8.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 6.7 4.9 -9.1 8.9 -11.6 -12.1 20.0 20.0 20.0 20.0 -12.7 0.3 -5.4 12.4 -14.0 -20.0 -12.0 -4.4 0.4 -0.4 -1.5 4.3 -4.4 20.0 -6.6 -14.1 -16.2 -3.7 SOYOIL -2.4 -9.7 -20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 -13.5 -14.1 -12.8 -8.7 -12.9 -14.1 7.1 11.5 5.2 6.8 -20.0 -20.0 -20.0 -10.9 -20.0 12.2 12.9 -6.1 -10.4 -5.8 -7.4 -3.0 -5.7 3.7 -20.0 -18.9 -20.0 -20.0 SP400 -6.3 -5.4 -11.5 3.1 -0.4 3.7 -0.3 2.3 1.2 -3.1 -1.3 -7.8 -2.4 -4.5 -10.3 -5.8 -4.5 -5.6 -5.3 -8.7 -5.6 -7.4 -2.5 -8.4 9.9 10.2 -4.6 -2.8 -2.6 -3.3 -0.3 -4.3 -0.0 -11.3 -12.2 -20.0 -19.0 SP500 -7.5 10.3 6.7 3.1 -0.4 3.7 -0.3 2.3 1.2 8.7 10.9 2.1 -3.7 9.9 10.4 -9.1 -6.7 -8.6 -7.9 6.7 6.2 0.8 0.7 3.5 2.5 10.2 3.3 -0.1 3.9 0.3 2.0 1.4 -4.0 -2.2 -0.4 -3.0 4.1 SUGAR11 3.9 20.0 20.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 4.6 16.0 11.1 14.3 14.6 15.6 7.8 20.0 15.2 20.0 20.0 20.0 12.7 20.0 20.0 -20.0 -10.5 6.1 0.2 6.0 1.8 4.8 4.3 20.0 12.8 20.0 20.0 20.0 US10 0.6 8.2 15.8 3.0 -3.4 1.9 -0.9 -2.5 1.3 -12.1 7.5 -1.1 -9.2 3.2 10.8 -11.2 -6.0 -10.2 -9.1 5.7 2.7 -2.8 -7.4 2.8 -3.7 9.7 4.4 -3.9 3.6 -1.0 -1.3 2.1 -11.5 1.1 2.8 4.6 6.3 US10U -1.3 6.1 14.4 3.0 -3.4 1.9 -0.9 -2.5 1.3 -12.5 6.7 -4.5 -9.5 -1.5 8.9 -9.5 -1.0 -6.0 -3.8 3.5 1.4 -4.8 -8.2 0.2 -4.8 -14.1 4.1 -5.2 4.0 -2.2 -0.7 1.2 -2.3 -2.8 -0.7 0.5 5.9 US20 -4.8 4.3 13.9 3.0 -3.4 1.9 -0.9 -2.5 1.3 -12.8 7.2 -10.1 -8.2 -7.8 7.0 -1.6 -1.5 -2.1 -2.5 1.4 0.6 -7.7 -8.0 -2.9 -0.7 -12.3 2.9 -6.7 3.1 -3.9 -1.6 -0.5 -2.0 -7.8 -5.8 -4.3 3.2 US30 -5.4 0.8 10.0 3.0 -3.4 1.9 -0.9 -2.5 1.3 -13.1 4.0 -11.7 -10.0 -10.6 0.0 -2.2 -1.0 -1.7 -1.5 -2.5 -2.8 -9.7 -11.8 -6.2 -1.1 10.0 1.0 -7.8 2.1 -5.5 -2.2 -2.5 -0.5 -10.8 -9.5 -10.4 -0.2 US5 2.7 9.3 18.7 3.0 -3.4 1.9 -0.9 -2.5 1.3 -11.7 7.3 1.3 -9.3 5.0 11.3 -11.3 -6.5 -10.5 -9.7 7.1 3.4 -1.2 -7.2 4.5 -2.6 10.8 4.5 -3.1 3.3 -0.3 -2.0 2.6 -12.5 3.6 5.9 6.8 5.1 VIX 0.1 -6.9 6.9 -4.1 -4.8 -6.7 -5.3 -8.6 -4.0 -11.7 -14.9 -13.1 -14.4 -14.6 -13.7 -20.0 -20.0 -20.0 -20.0 -9.5 -12.9 -10.0 -15.6 -9.1 NaN -13.5 -4.8 -5.6 -8.6 -6.1 -11.8 -4.6 NaN NaN NaN NaN NaN WHEAT -2.9 -2.1 -9.0 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 5.9 -14.3 -3.2 -15.2 -6.7 -12.0 -12.0 -9.4 -12.2 -11.2 -16.7 -19.5 -1.2 -17.1 -10.5 14.7 11.9 -5.4 2.0 -5.4 -0.3 -3.5 -3.5 -20.0 20.0 -12.4 -13.6 -17.7 End of report for caleb_strategy_v1