******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230517_204634 produced at 2023-05-17 21:37:29.690571 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.34 -0.38 0.0 4.830242e+07 -4.830242e+07 -0.34 -0.34 -7.86 999999999.0 -7 -7 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.21 0.0 8.721061e+06 -8.721061e+06 -0.13 -0.13 -24.37 999999999.0 -15 -15 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.17 0.0 5.610164e+07 -5.610164e+07 -0.11 -0.11 -2.96 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.14 0.0 5.455687e+07 -5.455687e+07 -0.11 -0.11 -2.59 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.37 -0.14 0.0 3.669276e+07 -3.669276e+07 -0.37 -0.37 -3.81 999999999.0 -10 -10 caleb_strategy_v1 US20 False False 0.05 0.00 -0.10 0.0 5.178130e+07 -5.178130e+07 0.00 0.00 -1.97 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.08 0.0 1.362816e+07 -1.362816e+07 -0.10 -0.10 -5.71 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.647381e+07 -4.647381e+07 -0.05 -0.05 -1.10 999999999.0 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.05 -0.05 0.0 7.988010e+06 -7.988010e+06 -0.05 -0.05 -6.48 999999999.0 -6 -6 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.965708e+07 -5.965708e+07 0.00 0.00 -0.73 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.205677e+07 -1.205677e+07 -0.06 -0.06 -2.36 999999999.0 -5 -5 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 4.058163e+07 -4.058163e+07 -0.08 -0.08 -0.47 999999999.0 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 2.416377e+07 -2.416377e+07 0.00 0.00 -0.63 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.803198e+07 -2.803198e+07 -0.03 -0.03 -0.71 999999999.0 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.02 0.0 4.607317e+07 -4.607317e+07 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.02 0.0 4.399150e+07 -4.399150e+07 0.00 0.00 -0.41 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 4.150156e+07 -4.150156e+07 0.00 0.00 -0.39 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.520660e+07 -1.520660e+07 0.00 0.00 -0.46 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.01 0.0 1.621233e+07 -1.621233e+07 -0.02 -0.02 -0.89 999999999.0 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.092745e+06 -1.092745e+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 1.007142e+07 -1.007142e+07 -0.02 -0.02 -0.99 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.970109e+07 -5.970109e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.139606e+07 -1.139606e+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 1.749738e+07 -1.749738e+07 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.360405e+07 -1.360405e+07 -0.05 -0.05 -0.21 999999999.0 -4 -4 caleb_strategy_v1 CRUDE_W False False 0.03 0.06 0.00 0.0 2.866697e+07 -2.866697e+07 0.06 0.06 0.04 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.680420e+07 -2.680420e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.01 0.0 1.892906e+07 -1.892906e+07 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.726470e+06 -6.726470e+06 0.00 0.00 0.96 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.164459e+07 -1.164459e+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 2.807719e+07 -2.807719e+07 0.03 0.03 0.35 999999999.0 1 1 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.745016e+07 -1.745016e+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 1.002219e+07 -1.002219e+07 0.05 0.05 1.31 999999999.0 5 5 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.768242e+07 -3.768242e+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 5.494620e+07 -5.494620e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.384476e+07 -8.384476e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.075954e+06 -4.075954e+06 0.00 0.00 5.38 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.425419e+07 -2.425419e+07 0.00 0.00 0.85 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.03 0.02 0.0 3.578850e+06 -3.578850e+06 -0.03 -0.02 4.52 999999999.0 -7 -6 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 1.035274e+07 -1.035274e+07 0.02 0.02 1.51 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.171424e+07 -2.171424e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.03 0.0 2.514640e+07 -2.514640e+07 0.00 0.00 1.02 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.79 0.03 0.0 9.904232e+07 -9.904232e+07 0.79 0.79 0.32 999999999.0 8 8 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 7.004626e+06 -7.004626e+06 0.00 0.00 5.22 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.04 0.0 3.138778e+07 -3.138778e+07 0.28 0.28 1.30 999999999.0 9 9 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.990882e+07 -2.990882e+07 0.00 0.00 1.78 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.136953e+07 -1.136953e+07 0.00 0.00 4.38 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.07 0.0 1.097487e+08 -1.097487e+08 0.00 0.00 0.68 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.07 0.0 5.019255e+07 -5.019255e+07 0.15 0.15 1.45 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.06 0.00 0.09 0.0 5.656911e+07 -5.656911e+07 0.00 0.00 1.67 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.10 0.0 3.221866e+07 -3.221866e+07 0.03 0.03 3.24 999999999.0 1 1 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.621543e+07 -2.621543e+07 0.00 0.00 4.01 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.04 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.63 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.35 0.32 0.0 5.900285e+07 -5.900285e+07 0.35 0.35 5.47 999999999.0 6 6 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.49 0.0 0.000000e+00 0.000000e+00 0.00 0.00 54.93 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.53 0.0 5.138761e+07 -5.138761e+07 0.00 0.00 10.35 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 18.4 Shocked risk 56.4 Sum abs risk 51.4 Leverage 3.95 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2488229.38, 'annual_cash_vol_target': 622057.345, 'daily_cash_vol_target': 38878.5840625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6670 0.7031 11.2498 BITCOIN 926.9263 27190.0000 3.4091 54.5451 BOBL 0.3755 117.8200 0.3187 5.0995 BTP 0.6317 115.0800 0.5490 8.7834 BUND 0.6993 135.2800 0.5170 8.2713 BUXL 1.6349 136.7800 1.1952 19.1240 CAC 51.0084 7387.0000 0.6905 11.0483 CAD 0.0036 0.7442 0.4815 7.7045 CANOLA 8.9435 684.3000 1.3070 20.9112 CHF 0.0051 1.1168 0.4602 7.3627 COCOA 30.4522 3000.0000 1.0151 16.2412 COFFEE 3.3898 186.3000 1.8196 29.1130 COPPER 0.0533 3.7505 1.4201 22.7213 CORN 5.8832 498.7500 1.1796 18.8733 COTTON2 1.5431 86.8400 1.7770 28.4312 CRUDE_W 1.4520 71.3300 2.0356 32.5697 DAX 110.5701 16060.0000 0.6885 11.0157 DOW 247.1133 33474.0000 0.7382 11.8116 EUR 0.0051 1.0860 0.4721 7.5543 EUROSTX 32.9515 4340.0000 0.7593 12.1480 FEEDCOW 1.5486 231.2750 0.6696 10.7135 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.4241 697.5000 2.0680 33.0875 GASOILINE 0.0482 2.4587 1.9599 31.3586 GAS_US 0.0951 2.5060 3.7968 60.7484 GBP 0.0067 1.2496 0.5395 8.6321 GOLD_micro 16.5300 1987.6000 0.8317 13.3065 HEATOIL 0.0456 2.4042 1.8986 30.3773 JPY 0.0000 0.0073 0.6751 10.8020 LEANHOG 1.4314 84.7750 1.6885 27.0161 LIVECOW 0.9403 163.0750 0.5766 9.2261 MXP 0.0004 0.0566 0.6233 9.9723 NASDAQ 111.8023 13654.0000 0.8188 13.1012 NIKKEI 244.7012 30510.0000 0.8020 12.8326 NZD 0.0047 0.6257 0.7541 12.0654 OAT 0.6598 129.7000 0.5087 8.1393 OJ 4.5915 252.2500 1.8202 29.1235 PALLAD 33.1898 1485.5000 2.2342 35.7480 PLAT 18.7253 1080.6000 1.7329 27.7257 REDWHEAT 15.7660 870.7500 1.8106 28.9699 ROBUSTA 33.3744 2576.0000 1.2956 20.7294 RUSSELL 20.5107 1781.0000 1.1516 18.4262 SILVER-mini 0.3747 24.0500 1.5581 24.9292 SOYBEAN 11.4742 1207.0000 0.9506 15.2103 SOYMEAL 4.4692 403.4000 1.1079 17.7261 SOYOIL 0.8500 47.2600 1.7986 28.7775 SP400 24.5844 2464.4000 0.9976 15.9613 SP500 31.0259 4172.5000 0.7436 11.8973 SUGAR11 0.3749 25.8700 1.4492 23.1867 US10 0.5258 114.6406 0.4586 7.3381 US10U 0.6852 120.1875 0.5701 9.1217 US20 0.9802 128.8438 0.7608 12.1722 US30 1.3858 136.7188 1.0136 16.2174 US5 0.3821 109.4609 0.3491 5.5852 VIX 0.6014 21.7000 2.7712 44.3399 WHEAT 11.7042 677.0000 1.7288 27.6613 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.95 0.70 468.94 1.00 468.94 38878.58 82.91 3.82 31.69 BITCOIN 27.19 3.41 92.69 1.00 92.69 38878.58 419.44 -6.08 -254.88 BOBL 1178.20 0.32 375.52 1.09 408.08 38878.58 95.27 15.06 143.47 BTP 1150.80 0.55 631.75 1.09 686.52 38878.58 56.63 12.70 71.91 BUND 1352.80 0.52 699.34 1.09 759.97 38878.58 51.16 14.82 75.82 BUXL 1367.80 1.20 1634.86 1.09 1776.60 38878.58 21.88 -3.99 -8.73 CAC 738.70 0.69 510.08 1.09 554.31 38878.58 70.14 16.41 115.13 CAD 744.20 0.48 358.36 1.00 358.36 38878.58 108.49 9.21 99.88 CANOLA 136.86 1.31 178.87 0.74 132.63 38878.58 293.14 20.00 586.28 CHF 1395.94 0.46 642.37 1.00 642.37 38878.58 60.52 -13.08 -79.14 COCOA 300.00 1.02 304.52 1.00 304.52 38878.58 127.67 -8.49 -108.36 COFFEE 698.62 1.82 1271.19 1.00 1271.19 38878.58 30.58 8.75 26.75 COPPER 937.62 1.42 1331.50 1.00 1331.50 38878.58 29.20 2.49 7.28 CORN 249.38 1.18 294.16 1.00 294.16 38878.58 132.17 10.96 144.90 COTTON2 434.20 1.78 771.55 1.00 771.55 38878.58 50.39 6.28 31.63 CRUDE_W 713.30 2.04 1452.00 1.00 1452.00 38878.58 26.78 0.10 0.27 DAX 160.60 0.69 110.57 1.09 120.16 38878.58 323.57 2.97 96.11 DOW 167.37 0.74 123.56 1.00 123.56 38878.58 314.66 1.07 33.67 EUR 1357.50 0.47 640.93 1.00 640.93 38878.58 60.66 -11.43 -69.31 EUROSTX 434.00 0.76 329.51 1.09 358.08 38878.58 108.57 0.87 9.44 FEEDCOW 1156.38 0.67 774.30 1.00 774.30 38878.58 50.21 -8.17 -41.04 FTSE100 707.00 0.82 576.59 1.25 666.67 38878.58 58.32 7.70 44.89 GASOIL 697.50 2.07 1442.41 1.00 1442.41 38878.58 26.95 -3.69 -9.94 GASOILINE 1032.65 1.96 2023.91 1.00 2023.91 38878.58 19.21 -4.90 -9.41 GAS_US 250.60 3.80 951.47 1.00 951.47 38878.58 40.86 -16.04 -65.55 GBP 781.00 0.54 421.36 1.00 421.36 38878.58 92.27 7.90 72.92 GOLD_micro 198.76 0.83 165.30 1.00 165.30 38878.58 235.20 -12.32 -289.71 HEATOIL 1009.76 1.90 1917.12 1.00 1917.12 38878.58 20.28 -3.28 -6.65 JPY 913.00 0.68 616.39 1.00 616.39 38878.58 63.07 -9.33 -58.86 LEANHOG 339.10 1.69 572.57 1.00 572.57 38878.58 67.90 -18.01 -122.28 LIVECOW 652.30 0.58 376.14 1.00 376.14 38878.58 103.36 14.43 149.12 MXP 282.90 0.62 176.32 1.00 176.32 38878.58 220.50 16.22 357.63 NASDAQ 2730.80 0.82 2236.05 1.00 2236.05 38878.58 17.39 7.19 12.50 NIKKEI 30510.00 0.80 24470.12 0.01 180.11 38878.58 215.86 13.40 289.22 NZD 625.70 0.75 471.83 1.00 471.83 38878.58 82.40 7.77 64.05 OAT 1297.00 0.51 659.79 1.09 716.99 38878.58 54.22 15.21 82.49 OJ 378.38 1.82 688.72 1.00 688.72 38878.58 56.45 -4.69 -26.46 PALLAD 1485.50 2.23 3318.98 1.00 3318.98 38878.58 11.71 -1.44 -1.69 PLAT 540.30 1.73 936.26 1.00 936.26 38878.58 41.53 8.41 34.94 REDWHEAT 435.38 1.81 788.30 1.00 788.30 38878.58 49.32 9.55 47.10 ROBUSTA 257.60 1.30 333.74 1.00 333.74 38878.58 116.49 9.98 116.24 RUSSELL 89.05 1.15 102.55 1.00 102.55 38878.58 379.11 2.30 87.32 SILVER-mini 601.25 1.56 936.79 1.00 936.79 38878.58 41.50 -6.80 -28.22 SOYBEAN 603.50 0.95 573.71 1.00 573.71 38878.58 67.77 2.14 14.47 SOYMEAL 403.40 1.11 446.92 1.00 446.92 38878.58 86.99 -1.73 -15.01 SOYOIL 283.56 1.80 510.01 1.00 510.01 38878.58 76.23 5.28 40.26 SP400 2464.40 1.00 2458.44 1.00 2458.44 38878.58 15.81 3.91 6.18 SP500 2086.25 0.74 1551.29 1.00 1551.29 38878.58 25.06 4.01 10.05 SUGAR11 289.74 1.45 419.89 1.00 419.89 38878.58 92.59 5.24 48.48 US10 1146.41 0.46 525.78 1.00 525.78 38878.58 73.94 -1.53 -11.34 US10U 1201.88 0.57 685.19 1.00 685.19 38878.58 56.74 -9.51 -53.96 US20 1288.44 0.76 980.20 1.00 980.20 38878.58 39.66 -6.75 -26.76 US30 1367.19 1.01 1385.76 1.00 1385.76 38878.58 28.06 1.23 3.44 US5 1094.61 0.35 382.10 1.00 382.10 38878.58 101.75 -1.06 -10.77 VIX 217.00 2.77 601.36 1.00 601.36 38878.58 64.65 -20.00 -129.30 WHEAT 338.50 1.73 585.21 1.00 585.21 38878.58 66.44 -5.89 -39.12 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 31.689 0.006 2.5 0.506 BITCOIN -254.885 0.009 2.5 -6.005 BOBL 143.474 0.029 2.5 10.353 BTP 71.909 0.008 2.5 1.452 BUND 75.820 0.029 2.5 5.471 BUXL -8.726 0.034 2.5 -0.733 CAC 115.128 0.011 2.5 3.237 CAD 99.879 0.007 2.5 1.783 CANOLA 586.278 0.004 2.5 5.382 CHF -79.145 0.015 2.5 -2.962 COCOA -108.357 0.009 2.5 -2.360 COFFEE 26.749 0.005 2.5 0.347 COPPER 7.275 0.011 2.5 0.199 CORN 144.896 0.004 2.5 1.307 COTTON2 31.633 0.006 2.5 0.476 CRUDE_W 0.270 0.053 2.5 0.036 DAX 96.114 0.022 2.5 5.220 DOW 33.666 0.011 2.5 0.959 EUR -69.306 0.015 2.5 -2.594 EUROSTX 9.435 0.011 2.5 0.265 FEEDCOW -41.038 0.011 2.5 -1.103 FTSE100 44.891 0.041 2.5 4.628 GASOIL -9.943 0.029 2.5 -0.709 GASOILINE -9.405 0.016 2.5 -0.386 GAS_US -65.548 0.006 2.5 -0.987 GBP 72.919 0.007 2.5 1.302 GOLD_micro -289.705 0.009 2.5 -6.482 HEATOIL -6.651 0.029 2.5 -0.474 JPY -58.857 0.026 2.5 -3.810 LEANHOG -122.282 0.019 2.5 -5.713 LIVECOW 149.122 0.011 2.5 4.007 MXP 357.627 0.005 2.5 4.378 NASDAQ 12.503 0.022 2.5 0.679 NIKKEI 289.221 0.076 2.5 54.932 NZD 64.048 0.006 2.5 1.023 OAT 82.491 0.008 2.5 1.666 OJ -26.461 0.007 2.5 -0.462 PALLAD -1.686 0.010 2.5 -0.041 PLAT 34.941 0.010 2.5 0.841 REDWHEAT 47.095 0.002 2.5 0.251 ROBUSTA 116.243 0.005 2.5 1.507 RUSSELL 87.321 0.021 2.5 4.523 SILVER-mini -28.219 0.009 2.5 -0.631 SOYBEAN 14.470 0.024 2.5 0.853 SOYMEAL -15.011 0.024 2.5 -0.885 SOYOIL 40.264 0.004 2.5 0.370 SP400 6.184 0.021 2.5 0.320 SP500 10.053 0.011 2.5 0.286 SUGAR11 48.479 0.005 2.5 0.658 US10 -11.341 0.015 2.5 -0.435 US10U -53.962 0.058 2.5 -7.862 US20 -26.762 0.029 2.5 -1.972 US30 3.441 0.034 2.5 0.289 US5 -10.771 0.015 2.5 -0.413 VIX -129.302 0.075 2.5 -24.367 WHEAT -39.123 0.002 2.5 -0.209 ==================== Position diags ==================== AUD 1.32 BITCOIN 9.88 BOBL 6.87 BTP 1.14 BUND 3.69 BUXL 1.84 CAC 1.97 CAD 1.94 CANOLA 2.69 CHF 2.27 COCOA 2.78 COFFEE 0.40 COPPER 0.80 CORN 1.19 COTTON2 0.76 CRUDE_W 3.54 DAX 17.57 DOW 8.97 EUR 2.27 EUROSTX 3.05 FEEDCOW 1.35 FTSE100 6.01 GASOIL 1.92 GASOILINE 0.79 GAS_US 0.62 GBP 1.65 GOLD_micro 5.26 HEATOIL 1.45 JPY 4.08 LEANHOG 3.17 LIVECOW 2.78 MXP 2.70 NASDAQ 0.94 NIKKEI 41.00 NZD 1.32 OAT 1.10 OJ 0.98 PALLAD 0.28 PLAT 1.00 REDWHEAT 0.26 ROBUSTA 1.51 RUSSELL 19.64 SILVER-mini 0.93 SOYBEAN 4.00 SOYMEAL 5.13 SOYOIL 0.70 SP400 0.82 SP500 0.71 SUGAR11 1.26 US10 2.84 US10U 8.27 US20 2.92 US30 2.36 US5 3.90 VIX 12.18 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.6 0.0 0 BITCOIN -6.0 -7.0 -5.0 -19.0 -19 BOBL 10.4 9.7 11.0 0.0 0 BTP 1.5 1.3 1.6 3.0 3 BUND 5.5 5.1 5.8 6.0 6 BUXL -0.7 -0.9 -0.5 0.0 0 CAC 3.2 3.0 3.4 1.0 1 CAD 1.8 1.6 2.0 0.0 0 CANOLA 5.4 5.1 5.7 NaN 0 CHF -3.0 -3.2 -2.7 -2.0 -2 COCOA -2.4 -2.6 -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 1.3 1.2 1.4 5.0 5 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W 0.0 -0.3 0.4 2.0 2 DAX 5.2 3.5 7.0 0.0 0 DOW 1.0 0.1 1.9 0.0 0 EUR -2.6 -2.8 -2.4 -2.0 -2 EUROSTX 0.3 -0.0 0.6 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 -0.3 0.0 0 GAS_US -1.0 -1.0 -0.9 -2.0 -2 GBP 1.3 1.1 1.5 9.0 9 GOLD_micro -6.5 -7.0 -6.0 -6.0 -6 HEATOIL -0.5 -0.6 -0.3 -2.0 -2 JPY -3.8 -4.2 -3.4 -10.0 -10 LEANHOG -5.7 -6.0 -5.4 -7.0 -7 LIVECOW 4.0 3.7 4.3 0.0 0 MXP 4.4 4.1 4.6 0.0 0 NASDAQ 0.7 0.6 0.8 0.0 0 NIKKEI 54.9 50.8 59.0 0.0 0 NZD 1.0 0.9 1.2 0.0 0 OAT 1.7 1.6 1.8 0.0 0 OJ -0.5 -0.6 -0.4 NaN 0 PALLAD -0.0 -0.1 -0.0 0.0 0 PLAT 0.8 0.7 0.9 0.0 0 REDWHEAT 0.3 0.2 0.3 0.0 0 ROBUSTA 1.5 1.4 1.7 2.0 2 RUSSELL 4.5 2.6 6.5 -7.0 -7 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 0.9 0.5 1.3 0.0 0 SOYMEAL -0.9 -1.4 -0.4 -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 0.4 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.4 -0.7 -0.2 NaN 0 US10U -7.9 -8.7 -7.0 -7.0 -7 US20 -2.0 -2.3 -1.7 0.0 0 US30 0.3 0.1 0.5 0.0 0 US5 -0.4 -0.8 -0.0 0.0 0 VIX -24.4 -25.6 -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 -0.1 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 -0.1 -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 0.2 0.1 -0.0 0.1 BUND 0.1 0.0 0.1 0.0 -0.0 0.0 -0.1 -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 -0.0 -0.0 BUXL 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 -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 -0.3 -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 0.2 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.4 -0.0 0.3 0.0 0.3 1.6 0.2 0.3 0.2 0.2 0.3 0.0 0.3 0.0 -1.8 1.7 0.1 0.0 0.1 0.0 0.1 0.0 2.5 -0.0 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 2.3 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 -0.1 0.0 -0.1 CANOLA 0.0 -0.0 -0.2 -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 -0.1 -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 -0.2 -0.1 0.1 0.1 COCOA -0.0 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 -0.1 -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 0.2 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 1.3 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 -0.4 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 2.1 -0.1 -0.4 -0.3 -0.3 COTTON2 0.0 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.7 3.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -1.0 0.0 0.2 0.5 -0.0 CRUDE_W -0.2 0.0 -0.1 -0.1 0.0 -0.1 -0.0 -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 -1.2 -0.0 -0.1 0.2 0.1 DAX -0.0 0.2 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.4 0.0 0.3 0.1 0.4 -0.3 -0.2 -0.1 -0.1 0.2 0.2 0.0 0.2 0.0 -2.7 2.2 0.1 0.0 0.1 0.0 0.1 0.0 -0.5 -0.0 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 -0.0 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 -0.2 -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 0.1 -0.0 0.2 -0.5 -0.3 -0.1 -0.2 0.1 0.1 -0.0 0.1 -0.0 -1.5 -2.3 0.0 -0.0 0.1 -0.0 0.0 -0.0 -1.1 -0.2 -0.3 -0.0 0.0 EUROSTX -0.1 0.2 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.4 0.0 0.4 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 -0.1 -0.2 -0.3 -0.1 0.0 -0.1 -0.0 -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 0.7 -3.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 1.2 0.1 -0.0 -0.1 -0.1 GASOILINE -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -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 -0.0 -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 0.1 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 -0.1 -0.1 -0.1 0.1 HEATOIL -0.1 -0.1 -0.4 -0.1 0.0 -0.1 -0.0 -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 1.8 0.0 -0.0 -0.1 -0.1 JPY -0.1 -0.2 -0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.3 -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 -0.2 -0.4 -0.3 -0.3 LEANHOG 0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 3.0 -2.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.1 0.1 -0.3 -0.3 LIVECOW -0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.3 0.0 0.3 0.0 0.2 1.6 0.4 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 0.2 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 0.1 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 -0.6 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.3 0.5 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 0.4 -1.9 0.1 0.0 0.0 0.0 0.0 0.0 2.6 0.2 0.4 0.3 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 -0.0 -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 1.3 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 -0.2 -0.1 -0.3 PLAT -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 0.2 -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 0.0 -0.0 -0.1 REDWHEAT 0.1 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 0.3 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 -2.8 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 0.1 -0.2 -0.3 -0.3 SILVER-mini -0.2 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 0.2 -0.4 -0.2 -0.1 -0.1 0.1 0.2 -0.0 0.1 -0.0 -0.3 -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 -0.2 -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 -0.2 -0.0 -0.0 0.2 -0.0 -2.8 -2.5 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 2.7 -0.0 -0.3 -0.2 -0.1 SOYOIL -0.0 -0.2 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.0 -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 1.7 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 0.1 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 0.0 -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 -0.4 -0.0 -0.0 0.0 0.1 US20 -0.1 0.0 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 -0.1 -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 -0.2 -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 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.8 -0.0 0.0 0.1 0.1 VIX -0.0 -0.3 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 1.9 -0.6 -7.3 3.7 -3.0 3.3 -1.3 0.4 1.9 -9.5 0.2 -3.5 -5.5 -2.1 -11.2 -3.6 -3.2 -3.7 -3.6 -3.9 -4.7 -4.6 -6.1 -2.3 14.0 11.7 -1.2 -5.5 -2.1 -3.0 -3.6 -0.7 -0.9 3.6 -6.5 -12.6 -16.6 BITCOIN -14.0 1.7 20.0 4.2 -3.4 4.1 -0.9 3.0 2.3 -8.3 11.9 -10.6 -6.9 -6.1 8.9 -4.1 -2.3 -3.7 -2.9 5.6 10.1 -7.8 1.6 -3.9 8.4 -18.1 1.2 -2.5 4.3 -4.6 2.3 -3.3 0.4 -10.5 -17.1 -20.0 6.4 BOBL 10.9 4.0 14.5 2.7 -5.2 1.9 -2.4 -2.6 0.6 -13.2 -2.0 4.5 -12.0 3.6 7.3 12.5 7.1 8.0 6.2 4.0 -3.6 -0.7 -15.1 4.9 8.4 10.8 3.6 -5.1 0.6 -1.0 -6.4 2.4 13.0 6.5 7.9 0.5 1.2 BTP 4.9 0.7 3.9 2.7 -5.2 1.9 -2.4 -2.6 0.6 2.0 7.5 7.3 -8.0 1.4 4.5 10.6 11.8 9.7 10.6 3.6 2.1 2.8 -8.5 3.3 -9.4 11.4 4.1 0.9 3.6 1.6 -2.5 2.7 20.0 11.0 5.6 -2.8 5.7 BUND 8.1 1.8 7.2 2.7 -5.2 1.9 -2.4 -2.6 0.6 -12.9 -4.3 3.5 -12.7 0.3 2.5 7.2 12.3 7.8 9.7 1.3 -5.4 -1.2 -17.2 2.4 6.6 12.3 2.6 -3.8 0.4 -1.2 -6.0 1.4 20.0 4.5 4.3 -3.5 -0.5 BUXL 3.2 -3.8 1.8 2.7 -5.2 1.9 -2.4 -2.6 0.6 -10.8 -10.1 -6.0 -13.8 -9.0 -5.7 1.4 1.0 1.9 2.2 -5.7 -10.8 -6.3 -20.0 -4.5 9.7 -10.8 -0.5 -3.9 -1.7 -3.1 -6.1 -1.5 4.6 -5.1 -4.0 -12.1 -8.3 CAC -9.1 15.7 12.3 3.3 4.1 3.7 1.6 2.3 1.9 12.6 15.4 -0.2 13.5 10.8 12.3 18.9 5.6 13.6 8.2 15.0 20.0 3.0 20.0 6.4 -15.8 8.9 5.6 3.1 7.4 3.0 7.4 4.0 19.2 -2.1 10.4 0.5 7.6 CAD 0.5 10.5 4.2 3.7 -3.0 3.3 -1.3 0.4 1.9 1.8 -1.2 3.6 -9.4 5.6 4.0 -2.8 -2.1 -2.8 -2.6 2.1 -1.7 2.4 -7.0 3.2 16.6 10.4 2.2 1.4 0.0 1.7 -3.2 2.5 0.9 20.0 -6.7 2.0 -5.8 CANOLA 8.8 -1.1 -17.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 -9.9 -12.3 -4.7 -13.5 -6.4 -11.9 20.0 20.0 20.0 20.0 -16.1 -19.9 -7.3 -14.8 -9.1 20.0 13.2 -5.6 -3.3 -6.9 -1.8 -5.0 -2.8 20.0 -0.7 -2.4 -13.0 -20.0 CHF -7.0 13.7 9.1 3.7 -3.0 3.3 -1.3 0.4 1.9 -12.9 13.8 -11.5 9.3 6.2 10.8 -15.5 -14.5 -14.9 -14.9 11.2 13.2 -8.4 8.2 2.2 -5.7 -11.5 4.5 -4.5 4.9 -3.0 2.4 1.0 -20.0 -17.2 -3.9 7.2 8.2 COCOA -2.8 12.4 20.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 8.0 15.3 9.4 10.5 12.8 14.4 -2.2 -1.2 -0.1 -0.1 19.9 20.0 10.1 15.8 14.2 -20.0 -10.4 6.0 2.2 6.9 3.2 5.4 4.3 -13.1 20.0 20.0 20.0 20.0 COFFEE -10.3 11.8 15.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 1.7 0.2 -8.7 -4.8 0.3 6.1 8.0 4.6 6.5 5.5 5.4 3.6 -0.4 -2.6 0.9 4.4 10.0 3.0 1.0 2.2 0.2 -0.3 0.9 -3.4 0.7 0.5 20.0 20.0 COPPER -17.8 -16.8 -4.2 4.2 -3.4 4.1 -0.9 3.0 2.3 -7.1 4.2 -12.1 -2.7 -13.1 -11.6 -2.2 -0.8 -1.5 -1.2 -11.6 -2.8 -18.4 0.1 -17.9 10.3 11.1 -4.8 -4.5 -2.0 -7.1 -0.3 -6.8 2.9 -20.0 -20.0 -20.0 -20.0 CORN -19.0 -9.7 -20.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 -13.6 -14.0 -15.1 -7.3 -15.1 -15.4 3.7 16.7 10.3 14.6 -20.0 -19.8 -20.0 -9.0 -20.0 20.0 11.0 -6.2 -5.6 -5.5 -5.9 -3.2 -6.3 15.3 -20.0 -20.0 -20.0 -20.0 COTTON2 5.6 6.8 1.6 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 12.1 -4.5 7.5 -11.9 5.1 -3.0 -1.3 5.9 -2.5 -0.5 -0.8 -6.1 13.4 -8.7 4.7 2.8 12.0 -0.0 17.7 -2.3 9.1 -1.6 3.4 -7.3 20.0 15.3 16.9 -0.2 CRUDE_W -18.0 0.8 -8.4 -4.1 2.9 -3.0 -0.8 -0.6 -3.7 8.3 -2.0 -5.6 -5.4 -6.7 -4.0 7.1 10.9 8.0 8.8 -7.6 -4.9 -4.9 -0.9 -9.4 -11.5 10.8 -3.3 2.0 -1.8 -2.2 0.7 -4.1 -8.6 -6.4 -3.6 15.9 6.5 DAX -2.9 12.7 10.5 3.3 4.1 3.7 1.6 2.3 1.9 10.5 16.1 8.2 11.5 14.6 15.0 -8.4 -6.4 -8.2 -7.9 12.9 19.0 4.2 16.7 7.0 -17.8 9.9 5.9 3.8 7.3 3.5 6.1 4.8 -3.8 -0.4 13.7 -0.5 5.4 DOW -10.7 7.7 -5.0 3.3 4.1 3.7 1.6 2.3 1.9 -2.2 8.0 -8.9 3.2 3.9 3.2 -8.3 -5.9 -8.0 -7.5 0.2 1.7 -7.0 1.4 -3.8 0.9 10.8 0.2 -1.5 1.9 -4.4 2.2 -2.8 -3.1 -15.0 -12.3 -8.5 -7.9 EUR -10.8 5.5 9.1 3.7 -3.0 3.3 -1.3 0.4 1.9 -13.5 13.6 -13.2 1.9 -0.3 8.3 -7.2 -8.3 -7.3 -7.8 5.1 10.1 -14.8 4.1 -5.2 -11.1 -11.1 2.8 -7.6 4.8 -6.9 1.5 -2.1 -9.0 -20.0 -13.0 -2.1 1.1 EUROSTX -6.3 13.1 10.1 3.3 4.1 3.7 1.6 2.3 1.9 11.4 15.9 5.0 13.7 12.9 13.8 -5.1 3.3 -1.4 1.5 13.3 20.0 4.6 20.0 6.5 -17.0 -8.5 5.9 4.9 7.8 4.1 7.5 4.7 12.7 3.8 11.7 -0.9 4.8 FEEDCOW -19.1 9.8 20.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 13.4 13.7 10.6 11.3 11.3 13.3 -20.0 -20.0 -20.0 -20.0 20.0 20.0 18.3 14.6 15.8 -20.0 12.2 5.4 4.9 6.3 3.8 4.8 3.5 -20.0 20.0 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 -9.5 -12.1 -20.0 -4.1 2.9 -3.0 -0.8 -0.6 -3.7 11.3 -13.9 -1.3 2.3 -8.2 -13.0 1.5 20.0 9.8 16.6 -17.9 -15.4 -1.3 -2.5 -12.9 6.2 -15.4 -5.4 3.3 -4.9 -0.5 -1.8 -4.1 8.9 5.0 -1.9 -4.5 -8.4 GASOILINE -16.9 -4.6 -5.4 -4.1 2.9 -3.0 -0.8 -0.6 -3.7 12.5 2.2 0.1 -0.4 -6.1 -4.7 20.0 16.0 19.1 14.8 -6.1 -1.8 1.4 4.1 -6.9 -20.0 -13.1 -2.8 5.0 -0.2 0.2 3.6 -3.2 -0.1 3.9 0.6 11.7 12.1 GAS_US 5.6 2.0 -20.0 -4.1 2.9 -3.0 -0.8 -0.6 -3.7 11.1 -16.6 -0.2 -15.2 -7.6 -14.2 -20.0 -18.0 -20.0 -20.0 -20.0 -20.0 2.9 -20.0 -6.2 20.0 -9.3 -5.4 3.2 -7.4 1.3 -5.1 -2.1 -20.0 -9.1 20.0 -4.3 -4.5 GBP -1.0 10.6 12.0 3.7 -3.0 3.3 -1.3 0.4 1.9 -8.0 15.0 -1.9 1.1 8.8 13.3 -1.7 -1.9 -1.8 -1.9 10.9 10.9 -2.9 2.4 5.1 0.6 9.4 4.8 -3.4 3.7 -1.6 -1.2 2.3 1.5 -2.3 3.3 4.0 3.4 GOLD_micro -6.8 7.0 12.2 4.2 -3.4 4.1 -0.9 3.0 2.3 -13.4 13.2 -8.9 5.3 1.4 10.9 -12.8 -11.4 -12.4 -12.3 11.0 15.1 -8.7 11.0 1.7 -5.3 -13.8 4.5 -6.4 5.9 -3.2 4.5 1.0 -15.7 -19.6 -3.8 -8.2 6.0 HEATOIL -7.9 -7.7 -20.0 -4.1 2.9 -3.0 -0.8 -0.6 -3.7 11.0 -13.1 -2.3 1.2 -7.4 -12.7 0.4 20.0 9.7 18.1 -16.2 -14.5 -2.2 -2.4 -11.6 -0.6 -13.6 -5.3 2.4 -4.1 -1.0 0.2 -4.1 13.3 2.4 -2.8 -4.1 -8.7 JPY -8.7 -11.9 -4.1 3.7 -3.0 3.3 -1.3 0.4 1.9 -13.2 1.7 -8.5 -7.3 -10.3 -11.2 -16.1 -13.9 -15.8 -15.2 -10.5 -6.0 -15.3 -9.3 -13.0 6.1 9.9 -3.5 -10.9 -1.5 -7.9 -4.6 -5.8 -20.0 -12.7 -20.0 -20.0 -17.6 LEANHOG 11.6 -8.7 -20.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 -8.9 -15.3 -11.6 -13.3 -13.5 -15.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.4 -17.3 -16.3 20.0 -11.1 -6.1 -1.9 -6.9 -2.5 -5.2 -4.1 -20.0 -20.0 3.8 -20.0 -20.0 LIVECOW -10.7 8.0 6.5 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 13.3 12.9 5.3 11.4 10.1 10.4 20.0 8.6 20.0 20.0 9.1 11.8 8.0 10.0 5.7 -20.0 12.0 3.5 5.5 5.1 3.3 5.4 2.1 20.0 20.0 12.5 20.0 20.0 MXP 9.8 15.4 13.2 3.7 -3.0 3.3 -1.3 0.4 1.9 9.3 16.3 13.6 15.9 15.8 16.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.4 3.7 6.8 6.5 7.0 6.7 20.0 20.0 20.0 13.5 20.0 NASDAQ 2.6 12.8 20.0 3.3 4.1 3.7 1.6 2.3 1.9 13.9 13.0 14.9 -4.0 15.5 15.8 -9.5 -6.5 -8.7 -7.9 18.9 16.8 18.1 4.4 16.8 -5.1 10.2 6.2 7.2 6.2 6.1 3.7 5.5 -3.9 20.0 20.0 6.5 20.0 NIKKEI 9.1 18.7 14.9 3.3 4.1 3.7 1.6 2.3 1.9 14.0 13.8 15.4 11.0 16.2 16.0 4.2 11.8 7.3 10.4 20.0 15.8 20.0 8.9 20.0 2.9 -9.4 5.8 11.0 3.9 8.4 1.7 7.0 20.0 20.0 20.0 19.4 20.0 NZD 8.4 0.5 -2.5 3.7 -3.0 3.3 -1.3 0.4 1.9 -4.3 7.2 1.9 -1.1 3.0 -5.4 1.0 0.7 1.0 0.7 1.1 0.1 0.4 -2.5 2.9 2.5 10.8 2.0 -2.2 1.0 0.1 -1.2 2.6 6.0 9.5 4.5 -8.5 -11.8 OAT 8.0 1.8 1.5 2.7 -5.2 1.9 -2.4 -2.6 0.6 -10.7 -5.3 4.1 -12.6 0.7 -0.1 11.8 12.2 11.3 11.7 0.7 -5.5 -0.6 -16.3 2.3 4.4 12.7 2.5 -3.1 0.3 -0.6 -6.1 1.7 20.0 5.7 5.2 -2.3 -1.8 OJ -20.0 -2.3 7.6 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 -4.0 13.2 -9.3 14.8 0.0 9.7 18.1 20.0 20.0 20.0 11.1 20.0 -11.1 20.0 -5.5 -20.0 -14.3 3.3 -0.9 8.3 -3.5 10.7 -1.9 20.0 -20.0 -3.6 20.0 20.0 PALLAD 0.6 20.0 -6.9 4.2 -3.4 4.1 -0.9 3.0 2.3 -5.4 -12.6 -1.3 -14.1 0.9 -4.4 -3.1 -2.5 -3.1 -2.9 -1.9 -12.5 -2.4 -19.2 1.8 20.0 -11.1 1.5 -3.8 -1.8 -0.6 -4.0 1.9 0.0 19.3 -10.6 -6.6 -20.0 PLAT -6.1 14.5 3.0 4.2 -3.4 4.1 -0.9 3.0 2.3 -5.2 8.8 -6.6 5.0 5.2 7.9 -2.1 -1.6 -2.2 -2.0 9.8 8.6 -1.6 5.3 5.4 1.7 11.2 4.0 -1.2 3.4 -0.6 1.9 2.3 1.6 5.3 0.9 -0.1 -9.2 REDWHEAT 6.2 8.5 1.6 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 11.0 -7.0 12.5 -11.7 9.4 4.6 8.3 5.8 8.8 8.2 2.6 -3.3 20.0 -4.7 12.2 1.2 12.9 -0.4 6.6 -1.7 7.3 -0.8 3.2 1.4 20.0 14.4 15.0 3.3 ROBUSTA -8.2 20.0 20.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 13.5 14.3 13.1 9.7 15.6 16.1 10.5 10.3 10.9 10.9 20.0 20.0 20.0 15.4 20.0 -17.0 9.6 6.3 6.2 5.6 4.1 3.4 4.8 6.0 20.0 20.0 20.0 20.0 RUSSELL -1.0 -5.6 -10.2 3.3 4.1 3.7 1.6 2.3 1.9 10.6 -8.8 -0.7 -10.3 -4.9 -13.1 -5.9 -4.7 -5.8 -5.6 -9.1 -9.0 1.3 -8.2 -4.7 14.0 10.0 -4.3 4.1 -3.1 0.6 -1.5 -2.6 -0.5 4.0 -8.3 -20.0 -18.9 SILVER-mini -19.9 13.4 7.4 4.2 -3.4 4.1 -0.9 3.0 2.3 -14.0 11.3 -14.0 3.9 0.3 9.4 -6.1 -5.3 -6.1 -5.9 8.0 11.7 -20.0 7.2 -5.7 -1.6 -11.3 2.2 -8.0 3.1 -6.8 1.5 -1.9 -5.0 -20.0 -19.9 -2.4 -7.4 SOYBEAN -11.3 -11.7 -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 -16.2 -20.0 -7.1 -20.0 6.1 -11.7 -5.9 -8.6 -4.6 -7.3 -1.5 -6.3 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -15.9 -20.0 -9.3 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 -2.3 4.7 -10.3 8.7 -12.1 -12.5 20.0 20.0 20.0 20.0 -13.1 -0.2 -8.3 12.2 -14.6 -20.0 -12.0 -4.5 -2.5 -0.6 -2.6 4.2 -4.6 20.0 -5.7 -13.4 -15.2 -4.0 SOYOIL -2.7 -10.1 -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 -11.0 -20.0 12.2 12.9 -6.1 -10.1 -5.9 -7.3 -3.0 -5.7 3.7 -20.0 -18.6 -20.0 -20.0 SP400 -4.7 -5.3 -11.8 3.3 4.1 3.7 1.6 2.3 1.9 6.2 -1.4 -5.4 -2.5 -3.9 -10.3 -5.7 -4.5 -5.6 -5.3 -8.1 -5.5 -3.7 -2.5 -6.9 10.3 10.2 -4.5 1.2 -2.7 -1.8 -0.3 -3.8 -0.0 -10.4 -12.1 -20.0 -19.2 SP500 -5.6 9.3 6.3 3.3 4.1 3.7 1.6 2.3 1.9 11.5 11.1 4.5 -3.6 10.4 10.7 -9.1 -6.7 -8.6 -7.9 6.7 6.1 3.4 0.8 4.2 2.5 10.2 3.4 3.8 3.9 1.7 2.0 1.8 -4.1 2.0 -0.4 -3.2 4.3 SUGAR11 -0.0 20.0 20.0 -4.5 -1.4 -3.6 -2.6 -2.3 -4.4 -2.2 15.9 9.0 14.3 14.2 15.5 7.7 20.0 15.0 20.0 20.0 20.0 8.7 20.0 20.0 -20.0 -10.5 6.0 -0.5 6.1 1.3 4.9 4.0 20.0 12.7 20.0 20.0 20.0 US10 -1.4 7.3 16.5 2.7 -5.2 1.9 -2.4 -2.6 0.6 -13.4 7.5 -5.1 -9.2 0.6 10.4 -11.3 -6.1 -10.3 -9.2 5.0 2.6 -6.0 -7.5 0.9 -3.8 9.7 4.1 -5.6 3.6 -2.5 -1.3 1.3 -11.6 -4.4 2.6 4.0 6.4 US10U -3.2 5.2 14.8 2.7 -5.2 1.9 -2.4 -2.6 0.6 -13.5 6.7 -8.2 -9.5 -3.9 8.4 -9.7 -1.1 -6.2 -3.9 2.8 1.2 -7.4 -8.3 -1.4 -4.8 -14.1 3.8 -6.4 4.0 -3.5 -0.7 0.3 -2.6 -5.5 -0.6 0.3 5.9 US20 -6.7 3.2 14.0 2.7 -5.2 1.9 -2.4 -2.6 0.6 -13.6 7.1 -12.0 -8.2 -9.5 6.5 -1.6 -1.5 -2.1 -2.5 0.6 0.4 -9.9 -8.1 -4.4 -0.7 -12.3 2.4 -7.5 2.9 -5.1 -1.6 -1.4 -2.0 -8.4 -5.5 -4.4 3.2 US30 -7.2 -0.2 9.4 2.7 -5.2 1.9 -2.4 -2.6 0.6 -13.7 3.9 -13.1 -10.0 -11.7 -0.7 -2.2 -1.0 -1.7 -1.5 -3.2 -3.1 -11.3 -12.1 -7.4 -0.9 10.0 0.6 -8.0 1.9 -6.3 -2.3 -3.2 -0.5 -9.3 -9.1 -10.0 -0.2 US5 0.5 8.4 19.5 2.7 -5.2 1.9 -2.4 -2.6 0.6 -13.3 7.3 -3.0 -9.2 2.3 10.8 -11.4 -6.6 -10.6 -9.8 6.2 3.2 -5.4 -7.3 2.3 -2.7 10.8 4.2 -5.5 3.2 -2.0 -2.0 1.7 -12.6 -4.6 5.2 5.9 5.3 VIX -1.6 -6.6 6.7 -4.2 -5.2 -6.7 -5.3 -8.5 -4.2 -12.8 -15.0 -13.5 -14.5 -14.8 -13.9 -20.0 -20.0 -20.0 -20.0 -9.8 -12.9 -10.0 -15.6 -9.5 NaN -13.5 -4.9 -6.1 -8.5 -6.2 -11.7 -4.9 NaN NaN NaN NaN NaN WHEAT -2.9 -2.1 -9.1 -4.5 0.9 -3.5 -2.1 -2.3 -4.4 6.1 -14.3 -3.1 -15.2 -6.7 -11.9 -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