******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230518_204638 produced at 2023-05-18 21:37:22.580405 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.33 -0.40 0.0 4.693143e+07 -4.693143e+07 -0.33 -0.42 -8.52 999999999.0 -7 -9 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.22 0.0 8.650275e+06 -8.650275e+06 -0.13 -0.14 -25.12 999999999.0 -15 -16 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.17 0.0 5.447953e+07 -5.447953e+07 -0.11 -0.11 -3.11 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.15 0.0 5.300751e+07 -5.300751e+07 -0.11 -0.16 -2.76 999999999.0 -2 -3 caleb_strategy_v1 JPY False False 0.04 -0.36 -0.15 0.0 3.560866e+07 -3.560866e+07 -0.36 -0.39 -4.10 999999999.0 -10 -11 caleb_strategy_v1 US20 False False 0.05 0.00 -0.11 0.0 5.025515e+07 -5.025515e+07 0.00 -0.05 -2.13 999999999.0 0 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.08 0.0 1.318381e+07 -1.318381e+07 -0.09 -0.09 -6.07 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 -0.05 -0.05 0.0 4.608729e+07 -4.608729e+07 -0.05 0.00 -1.08 999999999.0 -1 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.05 -0.05 0.0 7.704250e+06 -7.704250e+06 -0.05 -0.06 -6.90 999999999.0 -6 -8 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.683253e+07 -5.683253e+07 0.00 0.00 -0.75 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.03 0.0 4.282439e+07 -4.282439e+07 0.00 0.00 -0.64 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.03 0.0 4.477501e+07 -4.477501e+07 0.00 0.00 -0.59 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 1.174865e+07 -1.174865e+07 -0.06 -0.05 -2.47 999999999.0 -5 -4 caleb_strategy_v1 HEATOIL False False 0.04 -0.08 -0.02 0.0 3.929215e+07 -3.929215e+07 -0.08 -0.04 -0.51 999999999.0 -2 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 2.337049e+07 -2.337049e+07 0.00 0.00 -0.67 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.708126e+07 -2.708126e+07 -0.03 -0.03 -0.83 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.02 0.0 1.559802e+07 -1.559802e+07 -0.02 -0.02 -1.07 999999999.0 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 4.046135e+07 -4.046135e+07 0.00 0.00 -0.38 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.045897e+06 -1.045897e+06 -0.02 -0.02 -6.10 999999999.0 -19 -19 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.916361e+06 -9.916361e+06 -0.02 -0.02 -1.01 999999999.0 -2 -2 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.497776e+07 -1.497776e+07 0.00 0.00 -0.50 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.748501e+07 -5.748501e+07 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.659280e+07 -1.659280e+07 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.115650e+07 -1.115650e+07 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.261662e+07 -1.261662e+07 -0.05 -0.05 -0.22 999999999.0 -4 -4 caleb_strategy_v1 CRUDE_W False False 0.03 0.06 -0.00 0.0 2.775166e+07 -2.775166e+07 0.06 0.03 -0.03 999999999.0 2 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.971408e+06 -9.971408e+06 0.02 0.02 1.43 999999999.0 2 2 caleb_strategy_v1 US30 False False 0.05 0.00 0.01 0.0 5.336384e+07 -5.336384e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.127367e+07 -1.127367e+07 0.01 0.01 0.65 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.743268e+07 -2.743268e+07 0.03 0.03 0.36 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.631641e+07 -3.631641e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 9.829858e+06 -9.829858e+06 0.05 0.05 1.29 999999999.0 5 5 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.701745e+07 -1.701745e+07 0.02 0.02 0.49 999999999.0 1 1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.603733e+07 -2.603733e+07 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.01 0.0 1.860198e+07 -1.860198e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.572440e+06 -6.572440e+06 0.00 0.00 1.17 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.945367e+06 -3.945367e+06 0.00 0.00 5.60 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.080981e+07 -2.080981e+07 0.00 0.00 0.83 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.331642e+07 -2.331642e+07 0.00 0.00 0.88 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 0.02 0.0 3.508276e+06 -3.508276e+06 -0.02 -0.01 5.57 999999999.0 -6 -3 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.246268e+07 -8.246268e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 2.444489e+07 -2.444489e+07 0.00 0.00 1.04 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 6.902371e+06 -6.902371e+06 0.00 0.00 5.39 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.78 0.04 0.0 9.734312e+07 -9.734312e+07 0.78 0.78 0.36 999999999.0 8 8 caleb_strategy_v1 GBP False False 0.03 0.27 0.04 0.0 3.049959e+07 -3.049959e+07 0.27 0.27 1.23 999999999.0 9 9 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.911997e+07 -2.911997e+07 0.00 0.00 1.81 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.101927e+07 -1.101927e+07 0.00 0.00 4.25 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.15 0.06 0.0 4.843672e+07 -4.843672e+07 0.15 0.15 1.32 999999999.0 3 3 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.08 0.0 1.087143e+08 -1.087143e+08 0.00 0.00 0.72 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.05 0.00 0.08 0.0 5.462176e+07 -5.462176e+07 0.00 0.00 1.53 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.572277e+07 -2.572277e+07 0.00 0.00 4.23 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.11 0.0 3.151304e+07 -3.151304e+07 0.03 0.06 3.36 999999999.0 1 2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.73 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.34 0.29 0.0 5.703699e+07 -5.703699e+07 0.34 0.40 5.11 999999999.0 6 7 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.49 0.0 0.000000e+00 0.000000e+00 0.00 0.00 56.09 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.51 0.0 4.994890e+07 -4.994890e+07 0.00 0.00 10.20 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 18.5 Shocked risk 57.6 Sum abs risk 52.2 Leverage 3.95 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2543271.62, 'annual_cash_vol_target': 635817.905, 'daily_cash_vol_target': 39738.6190625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6622 0.7067 11.3066 BITCOIN 924.1286 26600.0000 3.4742 55.5867 BOBL 0.3862 117.2600 0.3293 5.2693 BTP 0.6775 113.7100 0.5958 9.5328 BUND 0.7469 133.9000 0.5578 8.9254 BUXL 1.7511 133.4200 1.3124 20.9990 CAC 50.3839 7398.0000 0.6810 10.8968 CAD 0.0036 0.7406 0.4816 7.7058 CANOLA 8.7973 676.0000 1.3014 20.8220 CHF 0.0053 1.1084 0.4782 7.6510 COCOA 30.1015 2988.0000 1.0074 16.1186 COFFEE 3.3189 186.0500 1.7839 28.5420 COPPER 0.0526 3.6945 1.4234 22.7741 CORN 5.7936 500.0000 1.1587 18.5396 COTTON2 1.5224 86.5600 1.7588 28.1406 CRUDE_W 1.4140 70.5800 2.0034 32.0538 DAX 114.6649 16204.0000 0.7076 11.3221 DOW 241.1427 33431.0000 0.7213 11.5410 EUR 0.0052 1.0785 0.4849 7.7585 EUROSTX 33.4895 4367.0000 0.7669 12.2700 FEEDCOW 1.6153 234.4250 0.6891 11.0250 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.7367 688.7500 1.9944 31.9111 GASOILINE 0.0472 2.4501 1.9268 30.8293 GAS_US 0.0951 2.5220 3.7711 60.3383 GBP 0.0069 1.2411 0.5523 8.8364 GOLD_micro 16.8630 1959.4000 0.8606 13.7699 HEATOIL 0.0448 2.3793 1.8834 30.1339 JPY 0.0000 0.0072 0.6815 10.9039 LEANHOG 1.4013 83.8250 1.6717 26.7477 LIVECOW 0.9253 163.5500 0.5658 9.0520 MXP 0.0004 0.0560 0.6506 10.4097 NASDAQ 112.7648 13824.5000 0.8157 13.0510 NIKKEI 244.7012 30510.0000 0.8020 12.8326 NZD 0.0047 0.6217 0.7483 11.9733 OAT 0.7196 128.2300 0.5612 8.9790 OJ 4.5049 253.9500 1.7739 28.3828 PALLAD 32.6878 1462.0000 2.2358 35.7732 PLAT 18.7466 1058.5000 1.7711 28.3368 REDWHEAT 16.3986 844.0000 1.9430 31.0873 ROBUSTA 34.8102 2536.0000 1.3726 21.9623 RUSSELL 20.0549 1784.5000 1.1238 17.9814 SILVER-mini 0.3692 23.7750 1.5531 24.8496 SOYBEAN 11.4185 1186.0000 0.9628 15.4043 SOYMEAL 4.5364 396.7000 1.1435 18.2967 SOYOIL 0.8458 47.2900 1.7885 28.6161 SP400 24.1438 2475.7000 0.9752 15.6037 SP500 30.5342 4194.5000 0.7280 11.6473 SUGAR11 0.3725 25.6000 1.4553 23.2840 US10 0.5321 113.8750 0.4672 7.4757 US10U 0.6880 119.3594 0.5764 9.2232 US20 0.9808 127.8125 0.7674 12.2786 US30 1.3798 135.7188 1.0166 16.2664 US5 0.3855 108.9141 0.3539 5.6625 VIX 0.5962 22.0000 2.7099 43.3578 WHEAT 12.0288 641.7500 1.8744 29.9900 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.20 0.71 467.95 1.00 467.95 39738.62 84.92 3.36 28.49 BITCOIN 26.60 3.47 92.41 1.00 92.41 39738.62 430.01 -6.02 -259.06 BOBL 1172.60 0.33 386.17 1.09 419.09 39738.62 94.82 14.91 141.41 BTP 1137.10 0.60 677.48 1.09 735.24 39738.62 54.05 12.12 65.51 BUND 1339.00 0.56 746.94 1.09 810.62 39738.62 49.02 14.45 70.85 BUXL 1334.20 1.31 1751.05 1.09 1900.33 39738.62 20.91 -4.25 -8.89 CAC 739.80 0.68 503.84 1.09 546.79 39738.62 72.68 16.42 119.35 CAD 740.60 0.48 356.68 1.00 356.68 39738.62 111.41 9.08 101.19 CANOLA 135.20 1.30 175.95 0.74 130.38 39738.62 304.78 20.00 609.57 CHF 1385.56 0.48 662.56 1.00 662.56 39738.62 59.98 -13.87 -83.17 COCOA 298.80 1.01 301.02 1.00 301.02 39738.62 132.02 -8.59 -113.37 COFFEE 697.69 1.78 1244.59 1.00 1244.59 39738.62 31.93 8.72 27.85 COPPER 923.62 1.42 1314.67 1.00 1314.67 39738.62 30.23 2.35 7.10 CORN 250.00 1.16 289.68 1.00 289.68 39738.62 137.18 10.44 143.17 COTTON2 432.80 1.76 761.20 1.00 761.20 39738.62 52.21 6.21 32.41 CRUDE_W 705.80 2.00 1413.97 1.00 1413.97 39738.62 28.10 -0.09 -0.25 DAX 162.04 0.71 114.66 1.09 124.44 39738.62 319.34 3.11 99.28 DOW 167.16 0.72 120.57 1.00 120.57 39738.62 329.59 1.25 41.12 EUR 1348.12 0.48 653.72 1.00 653.72 39738.62 60.79 -12.14 -73.77 EUROSTX 436.70 0.77 334.89 1.09 363.44 39738.62 109.34 0.94 10.31 FEEDCOW 1172.12 0.69 807.67 1.00 807.67 39738.62 49.20 -8.19 -40.28 FTSE100 707.00 0.82 576.59 1.25 666.67 39738.62 59.61 7.70 45.88 GASOIL 688.75 1.99 1373.67 1.00 1373.67 39738.62 28.93 -4.03 -11.65 GASOILINE 1029.04 1.93 1982.79 1.00 1982.79 39738.62 20.04 -4.65 -9.32 GAS_US 252.20 3.77 951.08 1.00 951.08 39738.62 41.78 -15.98 -66.78 GBP 775.69 0.55 428.39 1.00 428.39 39738.62 92.76 7.40 68.68 GOLD_micro 195.94 0.86 168.63 1.00 168.63 39738.62 235.66 -13.10 -308.60 HEATOIL 999.31 1.88 1882.06 1.00 1882.06 39738.62 21.11 -3.41 -7.21 JPY 905.62 0.68 617.18 1.00 617.18 39738.62 64.39 -9.85 -63.40 LEANHOG 335.30 1.67 560.53 1.00 560.53 39738.62 70.89 -18.32 -129.85 LIVECOW 654.20 0.57 370.11 1.00 370.11 39738.62 107.37 14.65 157.28 MXP 280.25 0.65 182.33 1.00 182.33 39738.62 217.95 15.92 347.05 NASDAQ 2764.90 0.82 2255.30 1.00 2255.30 39738.62 17.62 7.49 13.21 NIKKEI 30510.00 0.80 24470.12 0.01 180.11 39738.62 220.64 13.38 295.32 NZD 621.70 0.75 465.24 1.00 465.24 39738.62 85.42 7.62 65.06 OAT 1282.30 0.56 719.61 1.09 780.96 39738.62 50.88 14.85 75.56 OJ 380.92 1.77 675.73 1.00 675.73 39738.62 58.81 -4.83 -28.42 PALLAD 1462.00 2.24 3268.78 1.00 3268.78 39738.62 12.16 -1.57 -1.90 PLAT 529.25 1.77 937.33 1.00 937.33 39738.62 42.40 8.14 34.50 REDWHEAT 422.00 1.94 819.93 1.00 819.93 39738.62 48.47 9.66 46.81 ROBUSTA 253.60 1.37 348.10 1.00 348.10 39738.62 114.16 9.69 110.60 RUSSELL 89.22 1.12 100.27 1.00 100.27 39738.62 396.30 2.71 107.55 SILVER-mini 594.38 1.55 923.12 1.00 923.12 39738.62 43.05 -6.97 -30.02 SOYBEAN 593.00 0.96 570.92 1.00 570.92 39738.62 69.60 2.15 14.94 SOYMEAL 396.70 1.14 453.64 1.00 453.64 39738.62 87.60 -2.08 -18.21 SOYOIL 283.74 1.79 507.47 1.00 507.47 39738.62 78.31 5.07 39.68 SP400 2475.70 0.98 2414.38 1.00 2414.38 39738.62 16.46 4.27 7.03 SP500 2097.25 0.73 1526.71 1.00 1526.71 39738.62 26.03 4.60 11.97 SUGAR11 286.72 1.46 417.25 1.00 417.25 39738.62 95.24 5.05 48.10 US10 1138.75 0.47 532.06 1.00 532.06 39738.62 74.69 -2.05 -15.31 US10U 1193.59 0.58 688.05 1.00 688.05 39738.62 57.76 -10.13 -58.49 US20 1278.12 0.77 980.85 1.00 980.85 39738.62 40.51 -7.13 -28.90 US30 1357.19 1.02 1379.78 1.00 1379.78 39738.62 28.80 0.97 2.78 US5 1089.14 0.35 385.45 1.00 385.45 39738.62 103.10 -1.63 -16.76 VIX 220.00 2.71 596.17 1.00 596.17 39738.62 66.66 -20.00 -133.31 WHEAT 320.88 1.87 601.44 1.00 601.44 39738.62 66.07 -6.15 -40.63 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 28.492 0.006 2.5 0.455 BITCOIN -259.064 0.009 2.5 -6.104 BOBL 141.405 0.029 2.5 10.203 BTP 65.513 0.008 2.5 1.323 BUND 70.848 0.029 2.5 5.112 BUXL -8.891 0.034 2.5 -0.746 CAC 119.353 0.011 2.5 3.355 CAD 101.188 0.007 2.5 1.807 CANOLA 609.566 0.004 2.5 5.595 CHF -83.165 0.015 2.5 -3.112 COCOA -113.372 0.009 2.5 -2.470 COFFEE 27.850 0.005 2.5 0.361 COPPER 7.102 0.011 2.5 0.194 CORN 143.172 0.004 2.5 1.291 COTTON2 32.408 0.006 2.5 0.488 CRUDE_W -0.250 0.053 2.5 -0.033 DAX 99.278 0.022 2.5 5.392 DOW 41.116 0.011 2.5 1.172 EUR -73.771 0.015 2.5 -2.761 EUROSTX 10.309 0.011 2.5 0.290 FEEDCOW -40.284 0.011 2.5 -1.082 FTSE100 45.884 0.041 2.5 4.730 GASOIL -11.651 0.029 2.5 -0.831 GASOILINE -9.321 0.016 2.5 -0.383 GAS_US -66.783 0.006 2.5 -1.006 GBP 68.680 0.007 2.5 1.226 GOLD_micro -308.598 0.009 2.5 -6.905 HEATOIL -7.208 0.029 2.5 -0.514 JPY -63.399 0.026 2.5 -4.104 LEANHOG -129.854 0.019 2.5 -6.067 LIVECOW 157.278 0.011 2.5 4.226 MXP 347.050 0.005 2.5 4.249 NASDAQ 13.205 0.022 2.5 0.717 NIKKEI 295.317 0.076 2.5 56.090 NZD 65.059 0.006 2.5 1.040 OAT 75.562 0.008 2.5 1.526 OJ -28.416 0.007 2.5 -0.496 PALLAD -1.903 0.010 2.5 -0.046 PLAT 34.504 0.010 2.5 0.830 REDWHEAT 46.808 0.002 2.5 0.250 ROBUSTA 110.605 0.005 2.5 1.434 RUSSELL 107.553 0.021 2.5 5.571 SILVER-mini -30.022 0.009 2.5 -0.672 SOYBEAN 14.939 0.024 2.5 0.881 SOYMEAL -18.209 0.024 2.5 -1.074 SOYOIL 39.684 0.004 2.5 0.364 SP400 7.027 0.021 2.5 0.364 SP500 11.971 0.011 2.5 0.341 SUGAR11 48.096 0.005 2.5 0.653 US10 -15.306 0.015 2.5 -0.587 US10U -58.489 0.058 2.5 -8.522 US20 -28.903 0.029 2.5 -2.130 US30 2.780 0.034 2.5 0.233 US5 -16.760 0.015 2.5 -0.643 VIX -133.313 0.075 2.5 -25.123 WHEAT -40.633 0.002 2.5 -0.217 ==================== Position diags ==================== AUD 1.36 BITCOIN 10.13 BOBL 6.84 BTP 1.09 BUND 3.54 BUXL 1.76 CAC 2.04 CAD 1.99 CANOLA 2.80 CHF 2.24 COCOA 2.88 COFFEE 0.41 COPPER 0.83 CORN 1.24 COTTON2 0.79 CRUDE_W 3.71 DAX 17.34 DOW 9.39 EUR 2.28 EUROSTX 3.07 FEEDCOW 1.32 FTSE100 6.14 GASOIL 2.06 GASOILINE 0.82 GAS_US 0.63 GBP 1.66 GOLD_micro 5.27 HEATOIL 1.51 JPY 4.17 LEANHOG 3.31 LIVECOW 2.89 MXP 2.67 NASDAQ 0.96 NIKKEI 41.91 NZD 1.36 OAT 1.03 OJ 1.03 PALLAD 0.29 PLAT 1.02 REDWHEAT 0.26 ROBUSTA 1.48 RUSSELL 20.53 SILVER-mini 0.96 SOYBEAN 4.10 SOYMEAL 5.16 SOYOIL 0.72 SP400 0.85 SP500 0.74 SUGAR11 1.29 US10 2.87 US10U 8.42 US20 2.99 US30 2.42 US5 3.96 VIX 12.56 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.3 0.6 0.0 0 BITCOIN -6.1 -7.1 -5.1 -19.0 -19 BOBL 10.2 9.5 10.9 0.0 0 BTP 1.3 1.2 1.4 3.0 3 BUND 5.1 4.8 5.5 6.0 6 BUXL -0.7 -0.9 -0.6 0.0 0 CAC 3.4 3.2 3.6 1.0 1 CAD 1.8 1.6 2.0 0.0 0 CANOLA 5.6 5.3 5.9 NaN 0 CHF -3.1 -3.3 -2.9 -2.0 -2 COCOA -2.5 -2.8 -2.2 -5.0 -5 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.2 0.1 0.3 0.0 0 CORN 1.3 1.2 1.4 5.0 5 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W -0.0 -0.4 0.3 2.0 2 DAX 5.4 3.7 7.1 0.0 0 DOW 1.2 0.2 2.1 0.0 0 EUR -2.8 -3.0 -2.5 -2.0 -2 EUROSTX 0.3 -0.0 0.6 0.0 0 FEEDCOW -1.1 -1.2 -1.0 -1.0 -1 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL -0.8 -1.0 -0.6 -1.0 -1 GASOILINE -0.4 -0.5 -0.3 0.0 0 GAS_US -1.0 -1.1 -0.9 -2.0 -2 GBP 1.2 1.1 1.4 9.0 9 GOLD_micro -6.9 -7.4 -6.4 -6.0 -6 HEATOIL -0.5 -0.7 -0.4 -2.0 -2 JPY -4.1 -4.5 -3.7 -10.0 -10 LEANHOG -6.1 -6.4 -5.7 -7.0 -7 LIVECOW 4.2 3.9 4.5 0.0 0 MXP 4.2 4.0 4.5 0.0 0 NASDAQ 0.7 0.6 0.8 0.0 0 NIKKEI 56.1 51.9 60.3 0.0 0 NZD 1.0 0.9 1.2 0.0 0 OAT 1.5 1.4 1.6 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 0.2 0.2 0.3 0.0 0 ROBUSTA 1.4 1.3 1.6 2.0 2 RUSSELL 5.6 3.5 7.6 -6.0 -6 SILVER-mini -0.7 -0.8 -0.6 0.0 0 SOYBEAN 0.9 0.5 1.3 0.0 0 SOYMEAL -1.1 -1.6 -0.6 -1.0 -1 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 0.4 0.3 0.4 8.0 8 SP500 0.3 0.3 0.4 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.6 -0.9 -0.3 NaN 0 US10U -8.5 -9.4 -7.7 -7.0 -7 US20 -2.1 -2.4 -1.8 0.0 0 US30 0.2 -0.0 0.5 0.0 0 US5 -0.6 -1.0 -0.2 0.0 0 VIX -25.1 -26.4 -23.9 -15.0 -15 WHEAT -0.2 -0.3 -0.2 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -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 -0.2 -0.2 -0.2 BITCOIN -0.2 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 -0.0 -0.3 -0.3 0.1 BOBL 0.1 0.1 0.3 0.0 -0.0 0.0 -0.1 -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 1.9 0.0 0.1 0.0 0.0 BTP 0.0 -0.0 0.1 0.0 -0.1 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 0.1 0.1 -0.0 0.1 BUND 0.1 0.0 0.2 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.0 0.6 0.5 0.2 0.2 0.0 -0.1 -0.0 -0.2 -0.0 0.8 2.5 0.0 -0.0 0.0 -0.0 -0.1 -0.0 2.8 -0.0 0.1 -0.0 -0.0 BUXL 0.0 -0.0 0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.2 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 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.4 0.0 0.4 0.0 0.3 1.6 0.2 0.3 0.2 0.2 0.3 0.0 0.3 0.0 -1.7 1.7 0.1 0.0 0.1 0.0 0.1 0.0 2.5 -0.1 0.1 -0.0 0.1 CAD 0.0 0.2 0.1 0.1 -0.0 0.1 -0.1 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 -0.3 -0.1 -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 -0.1 -0.3 CHF -0.1 0.2 0.1 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.3 -0.0 0.2 0.0 0.2 -1.0 -0.6 -0.3 -0.3 0.1 0.2 -0.0 0.1 -0.0 -0.8 -2.4 0.0 -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 -0.1 -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 -0.1 -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 -0.1 0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.0 -0.0 -0.0 -0.2 -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 -0.2 -0.4 -0.3 -0.3 CORN -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.4 0.2 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 2.0 -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 -0.0 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 0.5 3.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.0 0.0 0.3 0.5 0.0 CRUDE_W -0.2 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -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 0.1 0.1 0.1 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 0.1 0.1 0.1 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 -0.2 0.1 0.2 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.2 -0.5 -0.3 -0.1 -0.2 0.0 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 -0.1 0.0 EUROSTX -0.1 0.2 0.2 0.1 0.0 0.1 0.1 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 -0.0 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 1.1 -0.0 -0.1 -0.1 -0.1 GASOILINE -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 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 0.1 0.2 0.1 -0.0 0.1 -0.1 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 0.0 0.1 GOLD_micro -0.1 0.1 0.2 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.2 -1.0 -0.5 -0.3 -0.3 0.1 0.2 -0.0 0.1 -0.0 -0.7 -2.7 0.0 -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 -0.0 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 -0.0 -2.7 -0.1 0.0 -0.1 -0.0 0.0 -0.0 1.7 -0.0 -0.1 -0.1 -0.1 JPY -0.1 -0.2 -0.1 0.1 -0.0 0.1 -0.1 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 0.9 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 0.0 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -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 0.3 0.3 0.3 MXP 0.1 0.2 0.2 0.0 -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 0.1 0.2 0.4 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 -0.1 0.1 0.4 -0.7 -0.3 -0.2 -0.2 0.3 0.2 0.0 0.1 0.0 -0.6 1.9 0.1 0.1 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 -0.1 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 0.1 0.0 -0.0 0.0 -0.1 -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 -0.1 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 1.3 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 -0.2 -0.0 -0.2 -0.0 3.7 -2.6 0.0 -0.0 -0.0 -0.0 -0.1 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 -0.1 -0.1 -0.1 0.0 -0.2 0.0 -0.3 0.0 0.1 0.7 0.2 0.2 0.2 0.0 -0.0 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 0.1 ROBUSTA -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 0.9 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -3.0 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 0.1 0.1 0.1 0.1 0.0 0.1 -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 0.2 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 0.1 -0.0 0.1 -0.0 -0.2 -3.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.1 SOYBEAN -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 1.1 -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 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.2 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.0 -0.0 0.1 -0.0 -2.8 -2.5 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.1 -0.3 -0.2 -0.1 SOYOIL -0.0 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.3 0.5 0.5 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 1.9 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.4 -0.1 -0.4 -0.3 -0.3 SP400 -0.0 -0.1 -0.2 0.1 0.0 0.1 0.1 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 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.0 -0.1 0.1 0.3 -0.7 -0.3 -0.2 -0.2 0.1 0.1 0.0 0.0 0.0 0.3 2.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.5 0.1 0.0 -0.0 0.1 SUGAR11 -0.0 0.3 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.4 0.0 0.3 0.0 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 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.2 -0.9 -0.3 -0.2 -0.2 0.0 0.0 -0.0 -0.1 -0.0 -0.6 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 -0.1 0.1 0.3 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.2 -0.8 -0.1 -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 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.0 -0.0 0.0 US30 -0.1 -0.0 0.2 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 0.1 -0.0 -0.3 -0.1 -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 -0.0 -0.1 -0.1 -0.0 US5 -0.0 0.1 0.3 0.0 -0.0 0.0 -0.1 -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 -0.4 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 -0.4 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 -0.2 -0.2 -0.0 -0.3 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN WHEAT 0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -1.0 -0.4 -0.3 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 2.3 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.3 -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 2.1 -1.2 -7.4 3.3 -6.8 3.3 -3.4 0.4 0.8 -12.7 0.0 -7.4 -5.6 -4.7 -11.7 -3.6 -3.2 -3.7 -3.6 -4.6 -5.0 -8.0 -6.2 -4.1 14.0 11.7 -1.6 -9.0 -2.2 -5.2 -3.6 -1.9 -0.9 4.5 -7.3 -12.0 -16.9 BITCOIN -14.6 0.4 20.0 3.9 -5.7 4.1 -2.5 3.1 1.4 -11.0 11.7 -11.5 -6.8 -7.6 8.4 -4.2 -2.4 -3.8 -3.0 4.9 9.8 -8.4 1.6 -4.6 8.4 -18.1 0.9 -4.2 4.2 -4.9 2.3 -3.6 0.3 -5.5 -11.7 -20.0 6.1 BOBL 8.5 3.6 16.1 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -13.8 -2.0 0.5 -12.0 1.6 6.8 12.6 7.2 8.2 6.3 2.8 -3.7 -6.6 -14.7 1.8 8.4 10.8 3.0 -9.8 0.5 -3.9 -6.5 0.9 13.2 0.0 8.0 0.7 1.5 BTP 3.0 -0.3 5.1 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -8.9 7.5 1.4 -8.0 -1.2 3.9 10.6 11.8 9.7 10.7 2.5 1.6 -3.4 -7.9 0.6 -9.4 11.4 3.5 -7.6 3.4 -2.2 -2.5 1.1 20.0 8.0 6.1 -1.9 5.9 BUND 6.1 1.8 9.8 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -13.1 -4.4 -1.6 -12.8 -2.0 1.9 7.2 12.3 7.8 9.6 0.2 -5.3 -7.3 -16.0 -0.6 6.6 12.3 1.9 -10.1 0.2 -4.4 -6.0 -0.2 20.0 -0.4 4.1 -3.1 -0.3 BUXL 2.1 -3.1 4.6 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -12.6 -10.4 -8.9 -13.9 -10.3 -6.4 1.4 1.0 1.9 2.2 -6.3 -10.4 -11.2 -18.8 -6.7 9.8 -10.8 -1.1 -9.7 -2.0 -5.8 -6.1 -2.8 4.6 -5.9 -4.3 -11.4 -8.0 CAC -8.5 15.1 11.9 3.5 7.2 3.8 3.7 2.4 2.7 12.3 15.4 0.4 13.6 10.7 12.3 18.9 5.6 13.6 8.2 14.9 20.0 3.5 20.0 6.4 -15.6 8.9 5.7 3.7 7.5 3.1 7.5 4.1 19.2 -5.7 7.3 -0.5 7.4 CAD 1.7 9.6 4.3 3.3 -6.8 3.3 -3.4 0.4 0.8 -4.9 -1.1 1.6 -9.4 4.8 3.8 -2.8 -2.1 -2.8 -2.6 1.8 -1.7 -0.3 -7.0 2.1 16.4 10.4 2.1 -2.1 -0.0 0.2 -3.3 2.0 0.9 20.0 -3.2 3.3 -5.4 CANOLA 6.4 -1.6 -17.5 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -12.7 -12.5 -8.1 -13.6 -8.2 -12.3 20.0 20.0 20.0 20.0 -17.0 -20.0 -12.6 -15.3 -11.5 20.0 13.2 -5.7 -5.0 -6.9 -3.0 -5.0 -3.3 20.0 -6.7 -1.7 -9.7 -20.0 CHF -10.7 11.6 8.4 3.3 -6.8 3.3 -3.4 0.4 0.8 -13.7 13.6 -13.0 9.3 3.8 10.0 -15.4 -14.5 -14.9 -14.9 9.2 12.2 -13.5 7.8 -1.1 -5.5 -11.5 3.9 -8.4 4.8 -5.2 2.4 -0.2 -20.0 -18.8 -7.0 5.9 8.3 COCOA -3.0 12.4 20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 4.4 15.3 9.0 10.6 12.3 14.4 -2.3 -1.3 -0.2 -0.1 19.9 20.0 8.5 16.1 13.7 -20.0 -10.4 6.0 1.0 7.0 2.7 5.5 4.2 -13.2 20.0 20.0 20.0 20.0 COFFEE -10.5 11.9 14.3 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 0.1 0.4 -8.1 -4.7 0.2 5.5 8.0 4.7 6.6 5.5 5.3 3.6 -0.8 -2.5 0.8 4.2 10.0 3.0 0.4 2.3 0.0 -0.2 0.9 -3.3 7.0 2.3 20.0 20.0 COPPER -16.7 -16.9 -5.0 3.9 -5.7 4.1 -2.5 3.1 1.4 -9.4 3.8 -12.4 -2.9 -13.4 -12.0 -2.3 -0.9 -1.6 -1.2 -12.5 -3.4 -18.8 -0.2 -18.7 10.4 11.1 -4.9 -4.7 -2.1 -6.8 -0.4 -6.8 2.9 -16.3 -20.0 -20.0 -20.0 CORN -19.5 -11.9 -20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -13.4 -14.2 -15.2 -7.5 -15.4 -15.6 2.7 16.5 9.8 14.3 -20.0 -20.0 -20.0 -9.6 -20.0 20.0 11.0 -6.2 -4.7 -5.5 -5.7 -3.2 -6.3 14.8 -20.0 -20.0 -20.0 -20.0 COTTON2 9.4 7.6 2.3 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 12.4 -3.7 9.9 -11.9 7.0 -1.5 -1.4 5.9 -2.5 -0.5 0.5 -5.6 17.2 -8.6 7.6 1.9 12.0 0.8 15.6 -1.7 10.4 -1.4 4.8 -7.4 20.0 20.0 19.5 0.7 CRUDE_W -15.7 -0.4 -8.4 -4.0 2.8 -3.1 -0.1 -0.6 -3.2 6.3 -2.2 -4.8 -5.5 -6.7 -4.1 7.0 10.8 8.0 8.8 -7.7 -5.2 -3.6 -1.0 -8.7 -11.5 10.8 -3.3 1.6 -1.9 -1.7 0.7 -3.8 -9.0 -7.1 -4.6 15.5 6.3 DAX -2.7 11.1 9.1 3.5 7.2 3.8 3.7 2.4 2.7 11.3 16.2 9.2 11.6 14.8 15.1 -8.5 -6.4 -8.2 -7.9 12.8 18.4 8.0 16.2 8.1 -17.8 9.9 5.9 8.3 7.1 5.4 5.9 5.3 -3.9 -0.6 14.2 -0.5 5.8 DOW -9.4 7.0 -5.2 3.5 7.2 3.8 3.7 2.4 2.7 -0.5 7.9 -8.1 3.3 3.5 3.1 -8.3 -5.9 -8.1 -7.5 0.0 1.7 -5.5 1.4 -3.7 1.2 10.8 0.1 -0.3 1.9 -3.3 2.2 -2.6 -3.2 -16.0 -13.5 -9.4 -8.1 EUR -14.0 3.3 8.7 3.3 -6.8 3.3 -3.4 0.4 0.8 -13.9 13.4 -14.1 2.0 -3.3 7.0 -7.2 -8.4 -7.3 -7.8 3.3 9.2 -18.9 3.8 -8.1 -10.8 -11.1 1.9 -11.0 4.3 -8.7 1.4 -3.4 -9.0 -20.0 -14.3 -3.9 0.7 EUROSTX -5.6 11.8 9.2 3.5 7.2 3.8 3.7 2.4 2.7 11.8 15.9 6.8 13.7 13.2 14.0 -5.2 3.2 -1.6 1.3 13.2 20.0 7.1 20.0 7.3 -16.8 -8.5 5.9 7.7 7.6 5.2 7.4 5.1 12.6 0.1 10.7 -1.6 5.0 FEEDCOW -20.0 9.0 20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 13.8 13.8 12.3 11.4 12.2 13.7 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 14.3 18.3 -20.0 12.2 5.6 6.9 6.2 5.0 4.8 4.2 -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 -8.4 -13.7 -20.0 -4.0 2.8 -3.1 -0.1 -0.6 -3.2 10.8 -13.8 -0.2 2.2 -7.9 -12.8 1.6 20.0 9.6 16.4 -18.4 -16.2 -1.0 -2.8 -12.5 6.5 -15.4 -5.4 2.2 -5.0 -0.4 -1.9 -3.8 8.2 -0.6 -2.8 -5.0 -8.7 GASOILINE -13.7 -5.4 -5.5 -4.0 2.8 -3.1 -0.1 -0.6 -3.2 12.4 2.3 2.6 -0.5 -5.3 -4.4 20.0 16.1 19.5 15.1 -5.5 -1.7 4.1 4.2 -5.0 -20.0 -13.1 -2.6 5.2 -0.2 1.3 3.7 -2.5 -0.1 5.9 2.2 11.2 11.8 GAS_US 5.7 2.0 -20.0 -4.1 2.9 -3.0 -0.8 -0.6 -3.7 12.3 -16.6 0.2 -15.2 -7.4 -14.1 -20.0 -18.0 -20.0 -20.0 -20.0 -20.0 3.5 -20.0 -6.0 20.0 -9.3 -5.4 3.6 -7.4 1.6 -5.1 -2.1 -20.0 -8.2 20.0 -4.2 -4.4 GBP -3.0 8.9 12.1 3.3 -6.8 3.3 -3.4 0.4 0.8 -12.1 14.9 -6.7 1.2 6.6 12.7 -1.7 -1.9 -1.8 -1.9 9.6 10.4 -7.0 2.3 2.6 0.5 9.4 4.4 -6.9 3.7 -3.6 -1.2 1.2 1.6 -2.1 3.0 3.5 3.5 GOLD_micro -9.3 4.8 11.6 3.9 -5.7 4.1 -2.5 3.1 1.4 -13.8 13.0 -11.2 5.3 -2.0 10.0 -12.8 -11.4 -12.5 -12.3 8.9 14.1 -15.3 10.7 -2.3 -5.2 -13.8 3.8 -10.1 5.7 -5.7 4.5 -0.5 -15.8 -20.0 -6.0 -9.7 5.7 HEATOIL -5.6 -8.2 -20.0 -4.0 2.8 -3.1 -0.1 -0.6 -3.2 8.7 -13.1 -1.2 1.1 -7.0 -12.4 0.5 20.0 9.4 17.9 -16.0 -14.7 -1.2 -2.6 -10.6 -0.2 -13.6 -5.2 1.7 -4.2 -0.6 0.1 -3.7 12.5 -1.0 -3.8 -4.4 -9.1 JPY -10.8 -13.3 -4.2 3.3 -6.8 3.3 -3.4 0.4 0.8 -13.8 1.3 -11.0 -7.4 -11.4 -11.8 -16.1 -13.9 -15.8 -15.3 -12.0 -6.7 -20.0 -9.5 -16.1 6.5 9.9 -3.8 -13.0 -1.7 -9.6 -4.1 -6.6 -20.0 -17.9 -20.0 -20.0 -17.7 LEANHOG 4.1 -9.2 -20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -12.3 -15.4 -13.1 -13.4 -14.1 -15.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.1 -17.9 -17.8 20.0 -11.1 -6.2 -3.6 -6.9 -3.3 -5.3 -4.3 -20.0 -20.0 3.3 -20.0 -20.0 LIVECOW -10.1 8.6 6.5 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 13.8 13.1 8.2 11.5 11.0 11.0 20.0 8.8 20.0 20.0 9.9 12.2 10.6 10.3 7.5 -20.0 12.0 3.7 6.4 5.2 4.4 5.5 2.8 20.0 20.0 15.1 20.0 20.0 MXP 8.3 13.1 11.3 3.3 -6.8 3.3 -3.4 0.4 0.8 -1.9 16.1 10.2 15.9 14.3 15.9 20.0 20.0 20.0 20.0 20.0 20.0 12.1 20.0 19.4 -20.0 9.7 6.3 -0.8 7.0 4.1 7.2 6.0 20.0 20.0 20.0 14.6 20.0 NASDAQ 5.3 12.4 20.0 3.5 7.2 3.8 3.7 2.4 2.7 14.0 13.2 15.3 -3.8 15.7 15.9 -9.6 -6.5 -8.8 -8.0 20.0 17.3 20.0 4.7 19.7 -5.4 10.2 6.2 9.8 5.9 7.6 3.6 6.1 -3.9 20.0 20.0 6.3 20.0 NIKKEI 9.1 18.7 14.9 3.3 3.8 3.7 1.5 2.3 1.8 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 9.0 -0.0 -2.5 3.3 -6.8 3.3 -3.4 0.4 0.8 -8.0 7.2 0.0 -1.1 1.7 -5.6 1.0 0.7 1.0 0.8 0.7 -0.1 -2.0 -2.5 1.6 2.4 10.8 1.7 -4.8 0.9 -1.5 -1.2 1.7 6.1 7.6 7.0 -8.2 -11.5 OAT 6.0 2.0 4.4 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -12.3 -5.5 -1.9 -12.7 -2.1 -0.6 11.8 12.3 11.4 11.8 -0.4 -5.3 -7.2 -14.9 -0.8 4.4 12.7 1.9 -10.4 0.2 -4.2 -6.2 0.0 20.0 0.3 4.6 -2.0 -1.5 OJ -20.0 -4.3 7.9 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -3.1 13.0 -8.4 14.7 -1.1 9.5 17.9 20.0 20.0 20.0 10.6 20.0 -8.6 20.0 -5.1 -20.0 -14.3 3.2 -0.2 8.4 -2.8 10.9 -1.9 20.0 -20.0 -4.2 20.0 20.0 PALLAD -0.0 20.0 -6.3 3.9 -5.7 4.1 -2.5 3.1 1.4 -11.3 -12.6 -3.8 -14.1 -1.0 -4.6 -3.0 -2.5 -3.1 -2.9 -2.6 -12.8 -6.3 -19.5 -0.3 20.0 -11.1 1.2 -5.6 -1.8 -2.3 -4.1 1.0 0.0 20.0 -11.7 -4.5 -20.0 PLAT -8.5 13.4 3.4 3.9 -5.7 4.1 -2.5 3.1 1.4 -11.1 8.7 -9.4 5.1 4.2 7.5 -2.1 -1.6 -2.2 -2.0 8.9 8.4 -4.5 5.3 3.6 1.7 11.2 3.8 -3.4 3.4 -1.7 1.9 1.7 1.5 14.1 -1.7 1.8 -8.0 REDWHEAT 9.2 8.5 2.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 0.6 -6.8 10.8 -11.7 9.1 4.9 8.3 5.9 8.8 8.2 2.6 -3.0 13.9 -4.5 10.3 1.2 12.9 -0.3 0.6 -1.7 4.9 -0.8 2.8 1.4 20.0 16.9 14.6 3.7 ROBUSTA -10.6 18.1 20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 9.3 14.3 11.6 9.9 15.2 15.9 10.9 10.3 11.0 11.0 20.0 20.0 19.0 15.1 20.0 -17.7 9.6 6.3 4.3 5.7 4.1 3.5 4.9 6.1 20.0 20.0 20.0 20.0 RUSSELL 1.7 -5.3 -10.7 3.5 7.2 3.8 3.7 2.4 2.7 12.9 -8.9 2.7 -10.3 -3.0 -12.8 -5.9 -4.7 -5.8 -5.6 -8.5 -9.0 4.2 -8.4 -3.1 14.3 10.0 -4.0 5.5 -3.1 2.1 -1.6 -1.8 -0.5 1.2 -8.5 -20.0 -19.0 SILVER-mini -20.0 11.5 7.5 3.9 -5.7 4.1 -2.5 3.1 1.4 -14.1 11.0 -14.6 3.9 -2.3 8.6 -6.0 -5.3 -6.1 -5.9 6.3 11.1 -20.0 7.1 -8.5 -1.2 -11.3 1.7 -8.3 2.9 -7.5 1.4 -2.8 -5.0 -20.0 -20.0 -2.9 -7.4 SOYBEAN -13.2 -15.3 -20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -14.0 -11.8 -15.4 -7.1 -15.4 -14.6 20.0 20.0 20.0 20.0 -20.0 -18.2 -20.0 -8.1 -20.0 7.4 -11.7 -5.9 -8.7 -4.4 -8.3 -1.6 -6.9 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -14.4 -20.0 -11.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -10.0 4.3 -12.1 8.5 -12.9 -12.9 20.0 20.0 20.0 20.0 -13.9 -0.9 -13.8 11.6 -16.3 -20.0 -12.0 -4.6 -6.3 -0.8 -4.4 4.0 -5.1 20.0 -10.1 -14.7 -13.4 -4.6 SOYOIL -4.2 -12.7 -20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -11.8 -14.4 -13.3 -9.1 -13.6 -14.5 6.3 11.3 5.0 6.6 -20.0 -20.0 -20.0 -11.9 -20.0 13.5 12.9 -6.1 -7.2 -5.6 -7.6 -2.9 -6.4 3.3 -20.0 -20.0 -20.0 -20.0 SP400 -2.4 -5.1 -12.5 3.5 7.2 3.8 3.7 2.4 2.7 11.4 -1.5 -2.3 -2.5 -3.1 -10.2 -5.6 -4.6 -5.6 -5.3 -7.7 -5.5 -0.2 -2.6 -5.4 10.6 10.2 -4.3 3.7 -2.7 -0.2 -0.4 -3.1 -0.0 -7.0 -12.7 -20.0 -19.5 SP500 -3.0 9.1 6.5 3.5 7.2 3.8 3.7 2.4 2.7 13.2 11.4 8.2 -3.5 11.5 11.3 -9.2 -6.8 -8.7 -8.0 7.4 6.5 7.3 1.0 5.9 2.5 10.2 3.7 7.1 4.0 3.8 2.1 2.7 -4.1 4.2 0.4 -3.4 4.4 SUGAR11 -3.8 20.0 20.0 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -9.9 15.8 6.6 14.3 13.7 15.2 7.6 20.0 14.7 20.0 20.0 20.0 4.2 20.0 20.0 -20.0 -10.5 6.0 -1.3 6.2 0.7 5.1 3.7 20.0 6.9 20.0 20.0 20.0 US10 -4.0 5.6 16.9 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -13.9 7.3 -8.8 -9.3 -2.7 9.6 -11.4 -6.1 -10.3 -9.3 3.5 2.1 -11.9 -7.5 -2.3 -3.8 9.7 3.5 -9.8 3.4 -5.2 -1.3 -0.2 -11.7 -5.1 1.8 3.5 6.4 US10U -5.3 3.7 15.1 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -13.9 6.5 -10.8 -9.5 -6.2 7.6 -9.8 -1.2 -6.3 -4.1 1.6 0.8 -12.1 -8.3 -4.0 -4.8 -14.1 3.1 -10.1 3.7 -5.9 -0.7 -1.1 -2.8 -3.1 -0.8 0.4 5.9 US20 -8.6 1.7 14.1 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -13.9 6.9 -13.3 -8.2 -10.8 5.7 -1.6 -1.5 -2.1 -2.5 -0.6 -0.1 -13.8 -8.2 -6.7 -0.7 -12.3 1.7 -10.7 2.6 -7.2 -1.6 -2.6 -1.9 -3.6 -5.2 -3.6 3.2 US30 -8.6 -1.4 9.5 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -14.0 3.7 -14.1 -10.0 -12.6 -1.5 -2.3 -1.0 -1.8 -1.5 -4.1 -3.5 -13.6 -12.2 -9.0 -0.7 10.0 -0.0 -10.1 1.7 -7.9 -2.4 -4.3 -0.5 -1.0 -7.9 -8.2 -0.2 US5 -2.4 6.7 20.0 2.1 -9.0 1.7 -4.8 -2.6 -0.7 -13.8 7.0 -7.4 -9.3 -1.2 10.0 -11.5 -6.7 -10.7 -9.8 4.7 2.8 -11.6 -7.3 -1.1 -2.8 10.8 3.6 -9.3 3.1 -4.7 -2.0 0.3 -12.7 -6.3 4.3 5.1 5.3 VIX -3.4 -7.1 6.9 -4.3 -7.8 -6.4 -6.6 -8.0 -4.8 -13.6 -15.1 -14.3 -14.5 -15.1 -14.2 -20.0 -20.0 -20.0 -20.0 -10.6 -13.3 -12.9 -15.8 -11.1 NaN -13.5 -5.1 -9.1 -8.2 -7.6 -11.1 -5.6 NaN NaN NaN NaN NaN WHEAT 0.7 -1.5 -8.4 -4.6 -3.9 -3.6 -3.7 -2.3 -4.7 -11.8 -14.5 -7.7 -15.3 -9.0 -12.5 -11.9 -9.5 -12.1 -11.3 -17.3 -19.4 -11.8 -17.0 -13.5 15.5 11.9 -5.6 -5.3 -5.5 -3.4 -3.6 -4.3 -20.0 -10.8 -14.0 -13.4 -18.2 End of report for caleb_strategy_v1