******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230519_204648 produced at 2023-05-19 21:37:42.454453 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.42 -0.43 0.0 4.613394e+07 -4.613394e+07 -0.42 -0.42 -9.28 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.14 -0.22 0.0 8.671484e+06 -8.671484e+06 -0.14 -0.14 -25.51 999999999.0 -16 -16 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.17 0.0 5.406825e+07 -5.406825e+07 -0.11 -0.11 -3.11 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.15 0.0 5.251146e+07 -5.251146e+07 -0.16 -0.16 -2.83 999999999.0 -3 -3 caleb_strategy_v1 JPY False False 0.04 -0.39 -0.15 0.0 3.528004e+07 -3.528004e+07 -0.39 -0.39 -4.12 999999999.0 -11 -11 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.11 0.0 4.929845e+07 -4.929845e+07 -0.05 -0.05 -2.32 999999999.0 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.08 0.0 1.268714e+07 -1.268714e+07 -0.09 -0.09 -6.15 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.560774e+07 -4.560774e+07 0.00 0.00 -1.11 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.06 -0.05 0.0 7.679792e+06 -7.679792e+06 -0.06 -0.07 -6.99 999999999.0 -8 -9 caleb_strategy_v1 US5 False False 0.04 0.00 -0.04 0.0 4.216012e+07 -4.216012e+07 0.00 0.00 -0.86 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.598498e+07 -5.598498e+07 0.00 0.00 -0.80 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.03 0.0 4.404246e+07 -4.404246e+07 0.00 0.00 -0.74 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.191505e+07 -1.191505e+07 -0.05 -0.05 -2.31 999999999.0 -4 -4 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.02 0.0 3.835613e+07 -3.835613e+07 -0.04 -0.04 -0.57 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 2.357014e+07 -2.357014e+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 2.638304e+07 -2.638304e+07 -0.03 -0.03 -0.93 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.02 0.0 1.518189e+07 -1.518189e+07 -0.02 -0.02 -1.26 999999999.0 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 3.972983e+07 -3.972983e+07 0.00 0.00 -0.39 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.044458e+06 -1.044458e+06 -0.02 -0.02 -6.33 999999999.0 -19 -19 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.054934e+07 -1.054934e+07 -0.02 -0.02 -0.83 999999999.0 -2 -2 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.509653e+07 -1.509653e+07 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.864406e+07 -5.864406e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.584437e+07 -1.584437e+07 0.00 0.00 0.24 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.099009e+07 -1.099009e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.233310e+07 -1.233310e+07 -0.05 -0.05 -0.23 999999999.0 -4 -4 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 -0.00 0.0 2.724437e+07 -2.724437e+07 0.03 0.03 -0.14 999999999.0 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 1.001391e+07 -1.001391e+07 0.02 0.02 1.47 999999999.0 2 2 caleb_strategy_v1 US30 False False 0.05 0.00 0.01 0.0 5.226897e+07 -5.226897e+07 0.00 0.00 0.13 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.121124e+07 -1.121124e+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 2.774584e+07 -2.774584e+07 0.03 0.03 0.38 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.615058e+07 -3.615058e+07 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 9.689947e+06 -9.689947e+06 0.05 0.05 1.27 999999999.0 5 5 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.680949e+07 -1.680949e+07 0.02 0.02 0.50 999999999.0 1 1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.583016e+07 -2.583016e+07 0.00 0.00 0.47 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.01 0.0 1.836080e+07 -1.836080e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.496629e+06 -6.496629e+06 0.00 0.00 1.43 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.839184e+06 -3.839184e+06 0.00 0.00 5.74 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.078440e+07 -2.078440e+07 0.00 0.00 0.84 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.276507e+07 -2.276507e+07 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 0.02 0.0 3.450552e+06 -3.450552e+06 -0.01 -0.01 5.93 999999999.0 -3 -2 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.157403e+07 -8.157403e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 2.436551e+07 -2.436551e+07 0.00 0.00 1.09 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 6.822831e+06 -6.822831e+06 0.00 0.00 6.38 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.76 0.04 0.0 9.554540e+07 -9.554540e+07 0.76 0.76 0.39 999999999.0 8 8 caleb_strategy_v1 GBP False False 0.03 0.27 0.04 0.0 3.020470e+07 -3.020470e+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 2.873811e+07 -2.873811e+07 0.00 0.00 1.85 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.085390e+07 -1.085390e+07 0.00 0.00 4.37 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.07 0.0 1.074061e+08 -1.074061e+08 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.07 0.0 4.771970e+07 -4.771970e+07 0.14 0.14 1.40 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.369511e+07 -5.369511e+07 0.00 0.00 1.59 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.10 0.0 3.113898e+07 -3.113898e+07 0.06 0.06 3.36 999999999.0 2 2 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.552171e+07 -2.552171e+07 0.00 0.00 4.39 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.79 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.39 0.30 0.0 5.600588e+07 -5.600588e+07 0.39 0.39 5.27 999999999.0 7 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 56.84 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.52 0.0 4.900253e+07 -4.900253e+07 0.00 0.00 10.63 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 18.7 Shocked risk 58.4 Sum abs risk 52.8 Leverage 4.05 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2577413.57, 'annual_cash_vol_target': 644353.3925, 'daily_cash_vol_target': 40272.08703125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6657 0.6934 11.0949 BITCOIN 903.3522 26920.0000 3.3557 53.6911 BOBL 0.3724 117.2700 0.3176 5.0813 BTP 0.6560 114.2000 0.5744 9.1912 BUND 0.7196 134.0300 0.5369 8.5906 BUXL 1.7071 133.9800 1.2742 20.3866 CAC 50.2472 7452.0000 0.6743 10.7884 CAD 0.0035 0.7407 0.4697 7.5160 CANOLA 8.6738 667.8000 1.2989 20.7818 CHF 0.0054 1.1148 0.4802 7.6840 COCOA 33.3333 3071.0000 1.0854 17.3668 COFFEE 3.3385 190.7000 1.7506 28.0103 COPPER 0.0521 3.7270 1.3966 22.3456 CORN 5.6965 499.5000 1.1404 18.2472 COTTON2 1.4886 86.6500 1.7180 27.4873 CRUDE_W 1.3837 70.2200 1.9705 31.5281 DAX 114.3152 16328.0000 0.7001 11.2019 DOW 239.4723 33489.0000 0.7151 11.4412 EUR 0.0052 1.0828 0.4812 7.6991 EUROSTX 33.0470 4394.0000 0.7521 12.0335 FEEDCOW 1.5847 235.1000 0.6741 10.7851 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.5272 680.0000 1.9893 31.8286 GASOILINE 0.0463 2.4381 1.8984 30.3746 GAS_US 0.1025 2.7190 3.7680 60.2885 GBP 0.0068 1.2456 0.5421 8.6734 GOLD_micro 16.9397 1979.4000 0.8558 13.6928 HEATOIL 0.0441 2.3538 1.8731 29.9694 JPY 0.0000 0.0073 0.6785 10.8555 LEANHOG 1.4119 81.7500 1.7270 27.6327 LIVECOW 0.9193 164.4500 0.5590 8.9440 MXP 0.0004 0.0560 0.6403 10.2452 NASDAQ 117.5450 13841.5000 0.8492 13.5875 NIKKEI 244.7012 30510.0000 0.8020 12.8326 NZD 0.0047 0.6280 0.7443 11.9082 OAT 0.6890 128.5000 0.5362 8.5795 OJ 4.5366 259.4000 1.7489 27.9819 PALLAD 33.1426 1511.5000 2.1927 35.0832 PLAT 18.4173 1071.4000 1.7190 27.5038 REDWHEAT 16.8200 816.7500 2.0594 32.9501 ROBUSTA 34.3022 2581.0000 1.3290 21.2644 RUSSELL 19.9736 1778.7000 1.1229 17.9669 SILVER-mini 0.3792 24.3000 1.5603 24.9655 SOYBEAN 11.3288 1173.5000 0.9654 15.4461 SOYMEAL 4.5198 391.3000 1.1551 18.4812 SOYOIL 0.8306 47.2100 1.7594 28.1502 SP400 24.3344 2462.6000 0.9882 15.8106 SP500 30.7678 4205.0000 0.7317 11.7071 SUGAR11 0.3646 25.8000 1.4131 22.6096 US10 0.5214 113.5156 0.4593 7.3496 US10U 0.6761 118.9062 0.5686 9.0971 US20 0.9662 127.0625 0.7604 12.1666 US30 1.3615 134.7188 1.0106 16.1700 US5 0.3771 108.6641 0.3470 5.5526 VIX 0.5950 22.3500 2.6623 42.5965 WHEAT 11.7646 635.7500 1.8505 29.6081 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 665.75 0.69 461.65 1.00 461.65 40272.09 87.23 3.41 29.71 BITCOIN 26.92 3.36 90.34 1.00 90.34 40272.09 445.81 -6.03 -268.79 BOBL 1172.70 0.32 372.43 1.08 403.47 40272.09 99.81 14.77 147.38 BTP 1142.00 0.57 656.02 1.08 710.70 40272.09 56.67 12.27 69.54 BUND 1340.30 0.54 719.63 1.08 779.61 40272.09 51.66 14.15 73.09 BUXL 1339.80 1.27 1707.12 1.08 1849.41 40272.09 21.78 -4.37 -9.51 CAC 745.20 0.67 502.47 1.08 544.35 40272.09 73.98 16.14 119.42 CAD 740.70 0.47 347.94 1.00 347.94 40272.09 115.74 8.96 103.72 CANOLA 133.56 1.30 173.48 0.74 128.75 40272.09 312.80 20.00 625.59 CHF 1393.56 0.48 669.26 1.00 669.26 40272.09 60.17 -13.80 -83.05 COCOA 307.10 1.09 333.33 1.00 333.33 40272.09 120.82 -8.76 -105.85 COFFEE 715.12 1.75 1251.93 1.00 1251.93 40272.09 32.17 9.05 29.10 COPPER 931.75 1.40 1301.28 1.00 1301.28 40272.09 30.95 2.41 7.44 CORN 249.75 1.14 284.83 1.00 284.83 40272.09 141.39 9.97 141.03 COTTON2 433.25 1.72 744.30 1.00 744.30 40272.09 54.11 6.14 33.24 CRUDE_W 702.20 1.97 1383.69 1.00 1383.69 40272.09 29.10 -0.37 -1.08 DAX 163.28 0.70 114.32 1.08 123.84 40272.09 325.19 3.61 117.55 DOW 167.44 0.72 119.74 1.00 119.74 40272.09 336.34 1.49 50.10 EUR 1353.44 0.48 651.26 1.00 651.26 40272.09 61.84 -12.25 -75.75 EUROSTX 439.40 0.75 330.47 1.08 358.01 40272.09 112.49 1.16 13.04 FEEDCOW 1175.50 0.67 792.37 1.00 792.37 40272.09 50.82 -8.12 -41.26 FTSE100 707.00 0.82 576.59 1.25 666.67 40272.09 60.41 7.70 46.50 GASOIL 680.00 1.99 1352.72 1.00 1352.72 40272.09 29.77 -4.38 -13.03 GASOILINE 1024.00 1.90 1943.98 1.00 1943.98 40272.09 20.72 -4.53 -9.38 GAS_US 271.90 3.77 1024.53 1.00 1024.53 40272.09 39.31 -14.08 -55.33 GBP 778.50 0.54 422.01 1.00 422.01 40272.09 95.43 7.22 68.93 GOLD_micro 197.94 0.86 169.40 1.00 169.40 40272.09 237.74 -13.15 -312.59 HEATOIL 988.60 1.87 1851.72 1.00 1851.72 40272.09 21.75 -3.68 -8.01 JPY 909.31 0.68 616.94 1.00 616.94 40272.09 65.28 -9.75 -63.68 LEANHOG 327.00 1.73 564.74 1.00 564.74 40272.09 71.31 -18.47 -131.69 LIVECOW 657.80 0.56 367.71 1.00 367.71 40272.09 109.52 14.93 163.55 MXP 279.75 0.64 179.13 1.00 179.13 40272.09 224.82 15.86 356.64 NASDAQ 2768.30 0.85 2350.90 1.00 2350.90 40272.09 17.13 7.50 12.84 NIKKEI 30510.00 0.80 24470.12 0.01 180.11 40272.09 223.60 13.38 299.28 NZD 628.00 0.74 467.40 1.00 467.40 40272.09 86.16 7.94 68.43 OAT 1285.00 0.54 689.04 1.08 746.47 40272.09 53.95 14.63 78.94 OJ 389.10 1.75 680.49 1.00 680.49 40272.09 59.18 -4.90 -29.01 PALLAD 1511.50 2.19 3314.26 1.00 3314.26 40272.09 12.15 -1.42 -1.72 PLAT 535.70 1.72 920.86 1.00 920.86 40272.09 43.73 7.96 34.80 REDWHEAT 408.38 2.06 841.00 1.00 841.00 40272.09 47.89 9.42 45.13 ROBUSTA 258.10 1.33 343.02 1.00 343.02 40272.09 117.40 9.67 113.55 RUSSELL 88.94 1.12 99.87 1.00 99.87 40272.09 403.25 2.84 114.53 SILVER-mini 607.50 1.56 947.91 1.00 947.91 40272.09 42.49 -7.02 -29.83 SOYBEAN 586.75 0.97 566.44 1.00 566.44 40272.09 71.10 2.18 15.47 SOYMEAL 391.30 1.16 451.98 1.00 451.98 40272.09 89.10 -2.39 -21.31 SOYOIL 283.26 1.76 498.36 1.00 498.36 40272.09 80.81 5.00 40.42 SP400 2462.60 0.99 2433.44 1.00 2433.44 40272.09 16.55 4.52 7.47 SP500 2102.50 0.73 1538.39 1.00 1538.39 40272.09 26.18 4.99 13.05 SUGAR11 288.96 1.41 408.33 1.00 408.33 40272.09 98.63 4.91 48.39 US10 1135.16 0.46 521.43 1.00 521.43 40272.09 77.23 -2.50 -19.30 US10U 1189.06 0.57 676.06 1.00 676.06 40272.09 59.57 -10.69 -63.69 US20 1270.62 0.76 966.20 1.00 966.20 40272.09 41.68 -7.54 -31.41 US30 1347.19 1.01 1361.50 1.00 1361.50 40272.09 29.58 0.53 1.57 US5 1086.64 0.35 377.10 1.00 377.10 40272.09 106.79 -2.11 -22.54 VIX 223.50 2.66 595.02 1.00 595.02 40272.09 67.68 -20.00 -135.36 WHEAT 317.88 1.85 588.23 1.00 588.23 40272.09 68.46 -6.36 -43.51 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 29.706 0.006 2.5 0.475 BITCOIN -268.792 0.009 2.5 -6.333 BOBL 147.381 0.029 2.5 10.635 BTP 69.538 0.008 2.5 1.404 BUND 73.094 0.029 2.5 5.274 BUXL -9.515 0.034 2.5 -0.799 CAC 119.418 0.011 2.5 3.357 CAD 103.721 0.007 2.5 1.852 CANOLA 625.592 0.004 2.5 5.743 CHF -83.045 0.015 2.5 -3.108 COCOA -105.854 0.009 2.5 -2.306 COFFEE 29.101 0.005 2.5 0.377 COPPER 7.444 0.011 2.5 0.203 CORN 141.030 0.004 2.5 1.272 COTTON2 33.241 0.006 2.5 0.501 CRUDE_W -1.079 0.053 2.5 -0.143 DAX 117.550 0.022 2.5 6.384 DOW 50.095 0.011 2.5 1.428 EUR -75.749 0.015 2.5 -2.835 EUROSTX 13.045 0.011 2.5 0.367 FEEDCOW -41.259 0.011 2.5 -1.109 FTSE100 46.500 0.041 2.5 4.794 GASOIL -13.028 0.029 2.5 -0.929 GASOILINE -9.381 0.016 2.5 -0.385 GAS_US -55.328 0.006 2.5 -0.833 GBP 68.930 0.007 2.5 1.231 GOLD_micro -312.586 0.009 2.5 -6.994 HEATOIL -8.006 0.029 2.5 -0.571 JPY -63.678 0.026 2.5 -4.122 LEANHOG -131.691 0.019 2.5 -6.153 LIVECOW 163.550 0.011 2.5 4.395 MXP 356.643 0.005 2.5 4.366 NASDAQ 12.845 0.022 2.5 0.698 NIKKEI 299.281 0.076 2.5 56.843 NZD 68.435 0.006 2.5 1.093 OAT 78.937 0.008 2.5 1.594 OJ -29.008 0.007 2.5 -0.506 PALLAD -1.724 0.010 2.5 -0.041 PLAT 34.797 0.010 2.5 0.837 REDWHEAT 45.127 0.002 2.5 0.241 ROBUSTA 113.554 0.005 2.5 1.472 RUSSELL 114.530 0.021 2.5 5.932 SILVER-mini -29.832 0.009 2.5 -0.667 SOYBEAN 15.474 0.024 2.5 0.912 SOYMEAL -21.307 0.024 2.5 -1.256 SOYOIL 40.415 0.004 2.5 0.371 SP400 7.473 0.021 2.5 0.387 SP500 13.054 0.011 2.5 0.372 SUGAR11 48.392 0.005 2.5 0.657 US10 -19.297 0.015 2.5 -0.740 US10U -63.687 0.058 2.5 -9.279 US20 -31.415 0.029 2.5 -2.315 US30 1.574 0.034 2.5 0.132 US5 -22.543 0.015 2.5 -0.865 VIX -135.364 0.075 2.5 -25.509 WHEAT -43.513 0.002 2.5 -0.232 ==================== Position diags ==================== AUD 1.39 BITCOIN 10.50 BOBL 7.20 BTP 1.14 BUND 3.73 BUXL 1.83 CAC 2.08 CAD 2.07 CANOLA 2.87 CHF 2.25 COCOA 2.63 COFFEE 0.42 COPPER 0.85 CORN 1.28 COTTON2 0.81 CRUDE_W 3.85 DAX 17.66 DOW 9.58 EUR 2.31 EUROSTX 3.16 FEEDCOW 1.37 FTSE100 6.23 GASOIL 2.12 GASOILINE 0.85 GAS_US 0.59 GBP 1.70 GOLD_micro 5.32 HEATOIL 1.55 JPY 4.23 LEANHOG 3.33 LIVECOW 2.94 MXP 2.75 NASDAQ 0.93 NIKKEI 42.47 NZD 1.38 OAT 1.09 OJ 1.03 PALLAD 0.29 PLAT 1.05 REDWHEAT 0.26 ROBUSTA 1.52 RUSSELL 20.89 SILVER-mini 0.95 SOYBEAN 4.19 SOYMEAL 5.25 SOYOIL 0.74 SP400 0.86 SP500 0.75 SUGAR11 1.34 US10 2.96 US10U 8.68 US20 3.07 US30 2.48 US5 4.10 VIX 12.75 WHEAT 0.37 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 -6.3 -7.4 -5.3 -19.0 -19 BOBL 10.6 9.9 11.4 0.0 0 BTP 1.4 1.3 1.5 3.0 3 BUND 5.3 4.9 5.6 7.0 7 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 3.4 3.1 3.6 2.0 2 CAD 1.9 1.6 2.1 0.0 0 CANOLA 5.7 5.5 6.0 NaN 0 CHF -3.1 -3.3 -2.9 -2.0 -2 COCOA -2.3 -2.6 -2.0 -4.0 -4 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.2 0.1 0.3 0.0 0 CORN 1.3 1.1 1.4 5.0 5 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W -0.1 -0.5 0.2 1.0 1 DAX 6.4 4.6 8.1 0.0 0 DOW 1.4 0.5 2.4 0.0 0 EUR -2.8 -3.1 -2.6 -3.0 -3 EUROSTX 0.4 0.1 0.7 0.0 0 FEEDCOW -1.1 -1.2 -1.0 0.0 0 FTSE100 4.8 4.2 5.4 0.0 0 GASOIL -0.9 -1.1 -0.7 -1.0 -1 GASOILINE -0.4 -0.5 -0.3 0.0 0 GAS_US -0.8 -0.9 -0.8 -2.0 -2 GBP 1.2 1.1 1.4 9.0 9 GOLD_micro -7.0 -7.5 -6.5 -8.0 -8 HEATOIL -0.6 -0.7 -0.4 -1.0 -1 JPY -4.1 -4.5 -3.7 -11.0 -11 LEANHOG -6.2 -6.5 -5.8 -7.0 -7 LIVECOW 4.4 4.1 4.7 0.0 0 MXP 4.4 4.1 4.6 0.0 0 NASDAQ 0.7 0.6 0.8 0.0 0 NIKKEI 56.8 52.6 61.1 0.0 0 NZD 1.1 1.0 1.2 0.0 0 OAT 1.6 1.5 1.7 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 1.5 1.3 1.6 2.0 2 RUSSELL 5.9 3.8 8.0 -3.0 -3 SILVER-mini -0.7 -0.8 -0.6 0.0 0 SOYBEAN 0.9 0.5 1.3 0.0 0 SOYMEAL -1.3 -1.8 -0.7 -1.0 -1 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 0.4 0.3 0.5 8.0 8 SP500 0.4 0.3 0.4 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.7 -1.0 -0.4 NaN 0 US10U -9.3 -10.1 -8.4 -9.0 -9 US20 -2.3 -2.6 -2.0 -1.0 -1 US30 0.1 -0.1 0.4 0.0 0 US5 -0.9 -1.3 -0.5 0.0 0 VIX -25.5 -26.8 -24.2 -16.0 -16 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 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -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 0.0 -0.1 -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 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.3 0.1 BOBL 0.1 0.0 0.3 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 0.0 0.1 1.0 0.3 0.2 0.1 0.0 -0.0 -0.0 -0.2 -0.0 1.2 2.4 0.0 -0.0 0.0 -0.0 -0.1 -0.0 1.9 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 0.2 0.2 -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 -0.1 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 -0.0 -0.1 -0.1 -0.1 CAC -0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.0 0.4 0.0 0.3 1.3 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 0.0 0.1 0.0 0.1 CAD 0.0 0.1 0.1 0.0 -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 0.1 0.0 0.1 -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 -0.2 -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 -1.1 -0.6 -0.3 -0.3 0.1 0.1 -0.0 0.1 -0.0 -0.7 -2.4 0.0 -0.0 0.1 -0.0 0.0 -0.0 -2.6 -0.1 -0.2 0.1 0.1 COCOA -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 -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 0.6 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.1 0.2 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 -0.2 -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 0.1 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 -0.0 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 3.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.0 0.0 0.3 0.6 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 -1.3 -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 0.1 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 0.1 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 0.2 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 0.0 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 0.0 -0.0 -1.4 -2.3 0.0 -0.0 0.1 -0.0 0.0 -0.0 -1.1 -0.1 -0.3 -0.1 0.0 EUROSTX -0.0 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 0.8 -3.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 1.0 -0.1 -0.1 -0.1 -0.1 GASOILINE -0.1 -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 0.2 0.2 -0.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 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 -0.0 0.0 -0.1 0.0 -0.1 0.0 -2.7 0.2 0.4 -0.0 -0.0 GBP -0.0 0.1 0.2 0.0 -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 0.0 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.2 -1.0 -0.5 -0.3 -0.3 0.1 0.2 -0.0 0.1 -0.0 -0.6 -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 -0.0 -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 1.6 -0.0 -0.1 -0.1 -0.1 JPY -0.1 -0.2 -0.1 0.0 -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 -0.2 -0.1 -0.0 -0.1 -0.0 1.0 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 -0.0 -0.3 -0.3 LIVECOW -0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.3 0.0 0.3 0.0 0.3 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 0.0 0.3 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 0.1 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 -0.7 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 0.0 -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 0.3 2.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.8 0.0 0.2 -0.1 -0.2 OAT 0.1 0.0 0.1 0.0 -0.1 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 -0.1 -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 -0.3 -0.0 -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 -0.2 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 0.1 0.3 0.2 0.1 ROBUSTA -0.1 0.3 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 0.9 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -3.1 2.1 0.1 0.0 0.1 0.0 0.0 0.0 0.9 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 0.1 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 1.9 2.0 -0.0 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 -0.1 -0.1 SOYBEAN -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 1.2 -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 -0.1 -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 0.5 0.5 0.1 0.1 -0.2 -0.2 -0.0 -0.2 -0.0 2.0 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 0.1 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 1.8 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 0.1 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 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.1 0.0 -0.0 0.1 SUGAR11 -0.1 0.3 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 0.6 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 -0.1 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 -0.9 -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 0.0 0.2 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.2 -0.8 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.6 -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 -0.1 -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 -0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -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 0.0 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 0.0 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 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -1.0 -0.4 -0.3 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 2.4 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 2.5 -1.3 -7.6 3.1 -4.5 3.3 -3.3 0.4 0.4 -10.3 -0.1 -7.6 -5.6 -5.4 -11.9 -3.6 -3.2 -3.7 -3.6 -4.8 -5.1 -7.0 -6.3 -4.4 14.0 11.7 -1.8 -5.0 -2.3 -4.5 -3.6 -2.1 -0.9 1.5 -5.5 -11.4 -17.1 BITCOIN -15.1 -0.4 20.0 3.8 -2.7 4.2 -2.0 3.2 1.3 -6.9 11.6 -11.3 -6.8 -8.5 8.1 -4.3 -2.4 -3.8 -3.0 4.5 9.7 -7.6 1.6 -4.8 8.4 -18.1 0.7 -2.9 4.1 -4.4 2.3 -3.7 0.2 -8.3 -9.3 -20.0 5.5 BOBL 7.3 2.5 16.4 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -14.0 -2.0 -2.4 -12.0 0.0 6.3 12.8 7.3 8.5 6.5 2.0 -4.0 -9.9 -15.2 -0.5 8.3 10.8 2.5 -9.8 0.4 -5.3 -6.5 -0.2 13.4 0.9 8.4 0.8 1.9 BTP 3.4 -0.8 5.1 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -8.5 7.5 0.3 -8.0 -1.9 3.7 10.8 11.9 9.8 10.7 2.2 1.6 -3.9 -8.1 -0.0 -9.5 11.4 3.2 -5.4 3.3 -2.5 -2.5 0.7 20.0 13.2 8.9 -0.2 6.6 BUND 5.1 0.6 9.7 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -13.7 -4.5 -5.0 -12.8 -3.6 1.4 7.3 12.3 7.8 9.6 -0.7 -5.7 -10.2 -16.6 -2.6 6.5 12.3 1.4 -9.7 0.0 -5.7 -6.0 -1.2 20.0 2.1 4.7 -2.7 0.1 BUXL 1.2 -4.4 4.6 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -12.3 -10.6 -10.7 -13.9 -11.2 -7.0 1.5 1.0 1.9 2.2 -7.2 -10.9 -13.1 -19.4 -8.3 9.8 -10.8 -1.6 -8.9 -2.2 -6.7 -6.2 -3.7 4.6 -0.3 -3.3 -10.6 -7.7 CAC -8.0 14.8 11.2 3.7 6.8 3.8 4.7 2.3 3.4 13.5 15.5 4.8 13.7 11.7 12.7 15.9 5.5 12.8 7.9 15.3 20.0 7.9 20.0 8.2 -15.5 8.9 5.8 7.4 7.3 5.0 7.3 4.8 18.9 1.0 6.7 0.5 7.6 CAD 2.5 9.0 4.3 3.1 -4.5 3.3 -3.3 0.4 0.4 -6.3 -1.0 0.9 -9.4 3.6 3.7 -2.8 -2.1 -2.8 -2.6 1.7 -1.7 -1.2 -7.1 1.6 16.3 10.4 2.0 -2.4 0.0 -0.3 -3.3 1.7 0.9 8.7 0.2 3.9 -5.2 CANOLA 1.7 -3.2 -18.3 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -13.6 -12.8 -10.7 -13.7 -9.8 -12.8 20.0 20.0 20.0 20.0 -18.3 -20.0 -18.2 -15.7 -14.5 20.0 13.2 -5.8 -6.2 -6.9 -4.2 -5.0 -3.9 20.0 -19.9 -3.4 -9.1 -20.0 CHF -11.8 10.1 8.1 3.1 -4.5 3.3 -3.3 0.4 0.4 -8.4 13.5 -11.6 9.3 2.7 9.5 -15.6 -14.5 -15.0 -15.0 8.3 11.8 -11.8 7.7 -2.0 -5.4 -11.5 3.7 -5.1 4.8 -4.8 2.5 -0.6 -20.0 -8.0 -7.9 5.3 8.6 COCOA -3.6 8.5 19.5 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 11.0 15.4 11.5 10.8 13.2 14.7 -2.3 -1.3 -0.2 -0.2 18.8 20.0 14.2 14.8 14.8 -20.0 -10.4 6.1 7.0 6.8 5.0 5.3 5.0 -13.2 20.0 20.0 20.0 20.0 COFFEE -9.0 11.7 14.6 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 10.0 0.6 -2.4 -4.6 1.1 5.5 8.1 4.7 6.7 5.6 5.7 3.8 3.7 -2.4 2.5 3.8 10.0 3.2 5.0 2.4 2.2 -0.2 1.8 -3.2 15.6 7.9 20.0 20.0 COPPER -15.7 -17.4 -5.4 3.8 -2.7 4.2 -2.0 3.2 1.3 -7.7 3.5 -11.3 -3.0 -13.1 -12.1 -2.3 -0.9 -1.6 -1.3 -13.0 -3.8 -16.1 -0.4 -18.3 10.7 11.1 -5.0 -2.8 -2.2 -5.8 -0.5 -6.5 2.8 -17.2 -20.0 -20.0 -20.0 CORN -20.0 -12.9 -20.0 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -13.4 -14.3 -15.2 -7.7 -15.5 -15.7 1.8 16.3 9.2 13.9 -20.0 -20.0 -20.0 -10.1 -20.0 20.0 11.0 -6.3 -3.8 -5.5 -5.4 -3.2 -6.2 14.3 -20.0 -20.0 -20.0 -20.0 COTTON2 11.2 8.6 2.3 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 12.9 -3.0 11.6 -11.8 8.6 -0.0 -0.3 6.0 -2.1 -0.3 1.8 -5.1 18.8 -8.6 9.7 0.9 12.0 1.4 12.5 -1.3 10.5 -1.2 5.6 -7.2 20.0 20.0 20.0 1.6 CRUDE_W -14.2 -1.6 -8.5 -4.0 2.1 -3.2 0.2 -0.7 -2.9 3.8 -2.5 -4.5 -5.6 -6.8 -4.3 6.9 10.8 7.9 8.7 -7.7 -5.4 -3.3 -1.1 -8.3 -11.4 10.8 -3.3 0.7 -2.0 -1.5 0.7 -3.6 -9.4 -8.1 -6.7 15.0 6.1 DAX -1.1 11.6 8.7 3.7 6.8 3.8 4.7 2.3 3.4 13.2 16.2 11.4 11.7 15.1 15.3 -8.5 -6.4 -8.3 -7.9 13.9 18.8 14.2 16.5 11.0 -17.8 9.9 5.9 11.3 6.6 7.5 5.4 6.0 -3.9 7.0 16.1 1.7 6.5 DOW -8.7 6.5 -5.1 3.7 6.8 3.8 4.7 2.3 3.4 4.9 8.0 -5.7 3.4 3.7 3.4 -8.3 -5.9 -8.1 -7.6 0.3 1.7 -2.4 1.5 -2.4 1.3 10.8 0.2 1.5 1.9 -1.5 2.2 -1.8 -3.2 -16.0 -13.4 -9.9 -8.2 EUR -16.1 2.2 8.5 3.1 -4.5 3.3 -3.3 0.4 0.4 -11.0 13.2 -13.3 2.0 -5.0 6.2 -7.3 -8.4 -7.3 -7.8 2.3 8.7 -17.7 3.7 -9.1 -10.5 -11.1 1.4 -7.7 4.1 -8.2 1.3 -3.9 -9.0 -16.9 -15.5 -4.8 0.5 EUROSTX -4.2 12.2 9.0 3.7 6.8 3.8 4.7 2.3 3.4 13.3 16.0 9.9 13.8 13.9 14.3 -5.3 3.1 -1.8 1.2 14.1 20.0 11.7 20.0 9.5 -16.7 -8.5 6.0 10.2 7.3 7.0 6.9 5.8 12.4 5.2 11.2 -0.2 5.4 FEEDCOW -20.0 9.8 20.0 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 14.0 14.0 13.5 11.5 13.1 14.0 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 14.9 20.0 -20.0 12.2 5.7 7.0 6.2 5.7 4.8 4.7 -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 -6.1 -14.5 -20.0 -4.0 2.1 -3.2 0.2 -0.7 -2.9 5.7 -13.8 0.2 2.0 -7.7 -12.6 1.6 20.0 9.4 16.2 -18.2 -16.5 -1.8 -3.1 -12.0 7.0 -15.4 -5.4 0.6 -5.1 -0.6 -2.0 -3.7 7.5 -6.6 -3.9 -5.5 -9.1 GASOILINE -11.0 -6.3 -5.4 -4.0 2.1 -3.2 0.2 -0.7 -2.9 10.6 2.3 4.0 -0.6 -4.7 -4.2 20.0 16.3 19.8 15.4 -5.1 -1.7 4.8 4.2 -3.8 -20.0 -13.1 -2.5 3.8 -0.2 1.6 3.8 -2.0 -0.1 7.0 2.8 10.7 11.4 GAS_US 12.9 11.8 -20.0 -4.0 2.1 -3.2 0.2 -0.7 -2.9 12.9 -16.4 8.5 -15.2 0.1 -12.6 -20.0 -18.2 -20.0 -20.0 -16.4 -20.0 12.6 -20.0 0.4 20.0 -9.3 -4.1 9.1 -6.9 5.8 -5.0 0.6 -20.0 15.6 20.0 -0.9 -1.8 GBP -4.4 8.0 12.4 3.1 -4.5 3.3 -3.3 0.4 0.4 -10.1 14.8 -7.9 1.3 5.1 12.4 -1.8 -1.9 -1.8 -1.9 9.1 10.3 -6.7 2.4 1.7 0.4 9.4 4.2 -4.7 3.7 -3.5 -1.2 0.8 1.5 -3.5 2.9 3.1 3.6 GOLD_micro -10.4 2.7 11.3 3.8 -2.7 4.2 -2.0 3.2 1.3 -9.6 12.8 -10.7 5.3 -3.5 9.6 -12.8 -11.4 -12.5 -12.4 7.8 13.6 -14.3 10.5 -3.5 -5.1 -13.8 3.5 -6.6 5.6 -5.5 4.6 -1.1 -15.8 -15.1 -6.5 -10.8 5.4 HEATOIL -3.0 -8.9 -20.0 -4.0 2.1 -3.2 0.2 -0.7 -2.9 3.9 -13.0 -1.2 0.9 -6.8 -12.2 0.5 20.0 9.1 17.6 -15.9 -15.0 -2.1 -2.8 -10.3 0.1 -13.6 -5.2 0.1 -4.3 -0.9 0.1 -3.6 11.7 -6.4 -4.9 -5.1 -9.5 JPY -11.7 -14.5 -4.3 3.1 -4.5 3.3 -3.3 0.4 0.4 -11.5 1.0 -11.5 -7.5 -12.0 -12.2 -16.1 -14.0 -15.8 -15.3 -12.9 -7.3 -20.0 -9.7 -17.3 6.9 9.9 -4.1 -9.4 -1.8 -9.1 -4.0 -6.8 -20.0 -13.8 -20.0 -20.0 -17.9 LEANHOG 1.6 -8.1 -20.0 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -13.5 -15.5 -14.0 -13.5 -14.6 -15.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.6 -18.1 -20.0 20.0 -11.1 -6.2 -5.7 -6.9 -4.5 -5.2 -4.8 -20.0 -12.0 -0.6 -20.0 -20.0 LIVECOW -9.5 8.8 6.9 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 14.0 13.3 10.9 11.7 12.1 11.6 20.0 8.9 20.0 20.0 10.8 12.6 14.5 10.5 9.8 -20.0 12.0 4.0 8.3 5.2 5.9 5.4 3.7 20.0 20.0 18.5 20.0 20.0 MXP 8.1 14.2 11.2 3.1 -4.5 3.3 -3.3 0.4 0.4 -6.5 16.0 8.0 15.9 13.0 15.5 20.0 20.0 20.0 20.0 20.0 20.0 7.6 20.0 17.5 -20.0 9.7 6.2 -2.4 7.1 2.6 7.4 5.4 20.0 20.0 20.0 14.0 20.0 NASDAQ 8.0 12.0 20.0 3.7 6.8 3.8 4.7 2.3 3.4 12.0 13.4 14.8 -3.6 15.6 15.9 -9.7 -6.6 -8.9 -8.0 20.0 17.3 20.0 4.9 20.0 -5.8 10.2 6.2 9.0 5.7 8.2 3.4 6.6 -4.0 20.0 20.0 6.4 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 10.0 -0.1 -2.2 3.1 -4.5 3.3 -3.3 0.4 0.4 -2.0 7.3 1.9 -1.1 2.5 -5.2 1.1 0.8 1.0 0.8 1.1 0.1 1.4 -2.5 2.5 2.1 10.8 1.9 1.5 1.0 0.7 -1.2 2.2 6.1 12.9 11.6 -7.0 -11.1 OAT 5.2 0.7 4.0 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -12.8 -5.6 -5.0 -12.7 -3.8 -1.0 12.1 12.3 11.5 11.8 -1.2 -5.7 -9.6 -15.6 -2.6 4.3 12.7 1.4 -9.4 0.0 -5.3 -6.2 -0.9 20.0 3.6 5.7 -1.3 -1.1 OJ -20.0 -7.0 7.4 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 7.6 12.9 -6.3 14.7 -1.3 9.4 17.9 20.0 20.0 20.0 10.5 20.0 -3.3 20.0 -3.3 -20.0 -14.3 3.2 2.4 8.5 -1.4 11.2 -1.4 20.0 -15.6 -3.1 20.0 20.0 PALLAD 0.9 20.0 -5.6 3.8 -2.7 4.2 -2.0 3.2 1.3 -7.2 -12.6 -2.5 -14.1 -0.8 -4.1 -2.9 -2.5 -3.0 -2.9 -2.4 -12.3 -3.0 -19.1 0.2 20.0 -11.1 1.3 -0.8 -1.8 -0.9 -4.2 1.2 0.0 20.0 -13.5 -2.6 -19.5 PLAT -9.3 13.2 3.6 3.8 -2.7 4.2 -2.0 3.2 1.3 -9.3 8.6 -8.9 5.2 4.0 7.5 -2.0 -1.6 -2.2 -2.0 8.7 8.4 -3.6 5.5 3.2 1.9 11.2 3.8 -1.8 3.5 -1.4 2.0 1.6 1.5 14.1 -9.2 2.9 -7.1 REDWHEAT 11.5 7.8 2.1 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -9.0 -6.8 7.7 -11.7 7.8 4.6 8.2 5.9 8.8 8.2 1.9 -3.0 4.2 -4.3 6.9 1.3 12.9 -0.5 -5.4 -1.8 1.5 -0.8 1.8 1.4 18.9 16.0 12.3 3.5 ROBUSTA -9.5 19.0 20.0 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 12.5 14.5 13.1 10.0 15.5 16.1 11.6 10.4 11.3 11.1 20.0 20.0 20.0 15.7 20.0 -18.5 9.6 6.4 5.0 5.7 4.6 3.5 5.1 6.3 20.0 20.0 20.0 20.0 RUSSELL 3.1 -4.4 -10.7 3.7 6.8 3.8 4.7 2.3 3.4 8.3 -8.9 5.3 -10.3 -1.4 -12.5 -5.9 -4.8 -5.9 -5.7 -7.8 -8.7 5.4 -8.4 -1.7 14.7 10.0 -3.8 4.3 -3.1 2.7 -1.6 -1.1 -0.5 -2.3 -9.1 -20.0 -19.2 SILVER-mini -20.0 8.7 7.0 3.8 -2.7 4.2 -2.0 3.2 1.3 -9.6 10.8 -13.1 3.9 -3.5 8.2 -6.2 -5.3 -6.1 -5.9 5.2 10.4 -18.5 6.9 -8.5 -0.7 -11.3 1.4 -4.1 2.8 -6.2 1.4 -2.9 -5.0 -20.0 -20.0 -3.8 -7.2 SOYBEAN -14.2 -16.8 -20.0 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -14.0 -12.1 -15.6 -7.4 -15.6 -14.9 20.0 20.0 20.0 20.0 -20.0 -19.3 -20.0 -8.7 -20.0 8.1 -11.7 -5.9 -8.3 -4.4 -8.3 -1.6 -7.1 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -14.0 -20.0 -11.7 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -12.7 3.8 -13.4 8.3 -13.6 -13.3 20.0 20.0 20.0 20.0 -15.1 -1.7 -19.6 11.2 -19.0 -20.0 -12.0 -4.8 -8.7 -1.0 -6.1 3.6 -5.7 20.0 -12.0 -15.9 -12.6 -5.3 SOYOIL -5.6 -13.5 -20.0 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -11.1 -14.5 -13.0 -9.3 -13.7 -14.5 5.9 11.2 4.9 6.6 -20.0 -20.0 -20.0 -12.4 -20.0 14.0 12.9 -6.2 -5.4 -5.6 -6.9 -2.9 -6.4 3.2 -20.0 -20.0 -20.0 -20.0 SP400 -1.7 -4.5 -12.5 3.7 6.8 3.8 4.7 2.3 3.4 5.4 -1.6 -0.9 -2.5 -2.6 -10.1 -5.6 -4.6 -5.6 -5.3 -7.2 -5.4 0.7 -2.6 -4.4 11.0 10.2 -4.2 2.3 -2.7 0.3 -0.4 -2.7 -0.0 -9.6 -13.5 -20.0 -19.9 SP500 -0.8 9.1 6.8 3.7 6.8 3.8 4.7 2.3 3.4 11.6 11.7 10.0 -3.4 12.2 11.8 -9.3 -6.8 -8.7 -8.0 8.2 6.8 11.0 1.2 8.0 2.5 10.2 4.2 8.6 4.3 5.9 2.2 4.0 -4.1 5.4 2.3 -3.3 4.6 SUGAR11 -7.2 20.0 20.0 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -9.3 15.8 3.7 14.3 13.4 15.0 7.5 20.0 14.4 20.0 20.0 20.0 3.2 20.0 20.0 -20.0 -10.5 5.9 -0.9 6.3 0.5 5.2 3.5 20.0 3.3 20.0 20.0 20.0 US10 -5.3 4.0 16.5 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -14.0 7.0 -11.2 -9.3 -5.2 8.7 -11.4 -6.2 -10.4 -9.3 2.1 1.7 -16.4 -7.7 -5.3 -3.8 9.7 2.8 -11.3 3.2 -7.1 -1.3 -1.5 -11.8 -7.5 0.9 3.1 6.3 US10U -6.8 2.1 14.7 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -14.0 6.3 -12.5 -9.6 -8.1 6.7 -10.0 -1.4 -6.5 -4.3 0.3 0.3 -16.2 -8.6 -6.8 -4.7 -14.1 2.3 -11.7 3.4 -7.8 -0.8 -2.4 -3.1 -5.3 -1.3 0.4 5.8 US20 -10.1 -0.2 13.7 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -14.0 6.6 -14.2 -8.3 -11.9 4.8 -1.6 -1.5 -2.1 -2.5 -2.0 -0.6 -17.9 -8.4 -9.5 -0.5 -12.3 0.9 -12.3 2.2 -8.9 -1.6 -3.9 -1.9 -6.3 -5.6 -3.4 3.0 US30 -9.8 -2.9 9.1 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -14.0 3.4 -14.7 -10.1 -13.4 -2.6 -2.3 -1.0 -1.8 -1.6 -5.3 -4.0 -16.9 -12.4 -11.2 -0.5 10.0 -0.8 -12.5 1.3 -9.9 -2.4 -5.6 -0.6 -3.7 -7.9 -7.4 -0.4 US5 -3.9 5.2 19.7 1.6 -9.7 1.5 -6.3 -2.6 -1.8 -14.0 6.8 -10.3 -9.3 -4.0 9.2 -11.5 -6.7 -10.8 -9.9 3.3 2.3 -16.2 -7.5 -4.2 -2.8 10.8 3.0 -10.7 2.9 -6.5 -2.1 -1.0 -12.8 -8.2 3.0 4.6 5.3 VIX -4.0 -7.2 6.7 -4.4 -5.0 -6.3 -6.0 -7.9 -4.9 -9.5 -15.2 -13.5 -14.6 -14.8 -14.3 -20.0 -20.0 -20.0 -20.0 -10.9 -13.5 -12.0 -15.9 -11.3 NaN -13.5 -5.2 -5.9 -8.1 -7.0 -10.9 -5.7 NaN NaN NaN NaN NaN WHEAT 1.5 -2.6 -9.4 -4.6 -4.4 -3.7 -4.2 -2.3 -4.8 -13.3 -14.6 -10.4 -15.3 -10.4 -13.0 -11.9 -9.5 -12.2 -11.3 -18.4 -20.0 -16.1 -17.5 -15.8 15.9 11.9 -5.7 -6.2 -5.5 -4.5 -3.6 -4.8 -20.0 -17.5 -13.5 -14.7 -18.5 End of report for caleb_strategy_v1