******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230522_204645 produced at 2023-05-22 21:37:27.284822 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.46 0.0 4.656610e+07 -4.656610e+07 -0.42 -0.42 -9.84 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.14 -0.22 0.0 8.705410e+06 -8.705410e+06 -0.14 -0.14 -25.72 999999999.0 -16 -16 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.17 0.0 5.480095e+07 -5.480095e+07 -0.11 -0.11 -3.09 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.39 -0.15 0.0 3.553239e+07 -3.553239e+07 -0.39 -0.39 -4.12 999999999.0 -11 -11 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.15 0.0 5.310741e+07 -5.310741e+07 -0.16 -0.16 -2.89 999999999.0 -3 -3 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.12 0.0 4.972770e+07 -4.972770e+07 -0.05 -0.10 -2.46 999999999.0 -1 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.08 0.0 1.261108e+07 -1.261108e+07 -0.09 -0.09 -6.18 999999999.0 -7 -7 caleb_strategy_v1 GOLD_micro False False 0.01 -0.07 -0.06 0.0 7.744286e+06 -7.744286e+06 -0.07 -0.07 -7.12 999999999.0 -9 -9 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.05 0.0 5.674649e+07 -5.674649e+07 0.00 0.00 -0.84 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.662002e+07 -4.662002e+07 0.00 0.00 -1.10 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 -0.04 0.0 4.259879e+07 -4.259879e+07 0.00 0.00 -1.05 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.04 0.0 4.450126e+07 -4.450126e+07 0.00 0.00 -0.87 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.187387e+07 -1.187387e+07 -0.05 -0.05 -2.27 999999999.0 -4 -4 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.673384e+07 -2.673384e+07 -0.03 -0.03 -0.93 999999999.0 -1 -1 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.02 0.0 3.883389e+07 -3.883389e+07 -0.04 -0.04 -0.63 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.02 0.0 1.547759e+07 -1.547759e+07 -0.02 -0.02 -1.26 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 2.357715e+07 -2.357715e+07 0.00 0.00 -0.69 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 -0.01 0.0 2.764164e+07 -2.764164e+07 0.03 0.03 -0.23 999999999.0 1 1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.577562e+07 -1.577562e+07 0.00 0.00 -0.48 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.001514e+07 -1.001514e+07 -0.02 -0.02 -0.80 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.059354e+06 -1.059354e+06 -0.02 -0.02 -6.33 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.061756e+07 -4.061756e+07 0.00 0.00 -0.37 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.600894e+07 -1.600894e+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 1.142056e+07 -1.142056e+07 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.00 0.0 5.265646e+07 -5.265646e+07 0.00 0.00 0.04 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.836938e+07 -5.836938e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.247972e+07 -1.247972e+07 -0.05 -0.05 -0.23 999999999.0 -4 -4 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.610447e+07 -2.610447e+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 1.863134e+07 -1.863134e+07 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 6.553958e+06 -6.553958e+06 0.00 0.00 1.20 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.140581e+07 -1.140581e+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 2.781467e+07 -2.781467e+07 0.03 0.03 0.37 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.608138e+07 -3.608138e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 1.032101e+07 -1.032101e+07 0.02 0.02 1.45 999999999.0 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.671674e+07 -1.671674e+07 0.02 0.02 0.50 999999999.0 1 1 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 9.974949e+06 -9.974949e+06 0.05 0.05 1.18 999999999.0 5 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.885945e+06 -3.885945e+06 0.00 0.00 5.70 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.345461e+07 -2.345461e+07 0.00 0.00 0.96 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.114591e+07 -2.114591e+07 0.00 0.00 0.86 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.261317e+07 -8.261317e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 0.03 0.0 3.543337e+06 -3.543337e+06 -0.01 -0.00 7.24 999999999.0 -2 -1 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 2.464376e+07 -2.464376e+07 0.00 0.00 1.13 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.27 0.04 0.0 3.050570e+07 -3.050570e+07 0.27 0.27 1.20 999999999.0 9 9 caleb_strategy_v1 SP400 False False 0.10 0.78 0.04 0.0 9.731237e+07 -9.731237e+07 0.78 0.78 0.40 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.087980e+07 -1.087980e+07 0.00 0.00 4.18 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.905137e+07 -2.905137e+07 0.00 0.00 1.86 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.05 0.0 6.902460e+06 -6.902460e+06 0.00 0.00 6.67 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.07 0.0 4.829813e+07 -4.829813e+07 0.14 0.14 1.40 999999999.0 3 3 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.08 0.0 1.091588e+08 -1.091588e+08 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.449868e+07 -5.449868e+07 0.00 0.00 1.60 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.566528e+07 -2.566528e+07 0.00 0.00 4.40 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.11 0.0 3.163044e+07 -3.163044e+07 0.06 0.06 3.35 999999999.0 2 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 4.74 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.40 0.30 0.0 5.685676e+07 -5.685676e+07 0.40 0.40 5.28 999999999.0 7 7 caleb_strategy_v1 BOBL False False 0.05 0.00 0.54 0.0 4.973588e+07 -4.973588e+07 0.00 0.00 10.77 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.55 0.0 0.000000e+00 0.000000e+00 0.00 0.00 62.38 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 19.1 Shocked risk 61.4 Sum abs risk 53.4 Leverage 4.20 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2550138.25, 'annual_cash_vol_target': 637534.5625, 'daily_cash_vol_target': 39845.91015625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6657 0.6804 10.8869 BITCOIN 885.1347 27015.0000 3.2765 52.4233 BOBL 0.3636 117.2700 0.3101 4.9612 BTP 0.6481 113.8800 0.5691 9.1063 BUND 0.7047 134.0600 0.5257 8.4108 BUXL 1.6793 133.8000 1.2551 20.0810 CAC 49.0370 7458.0000 0.6575 10.5201 CAD 0.0034 0.7408 0.4608 7.3727 CANOLA 8.6395 669.4000 1.2906 20.6501 CHF 0.0053 1.1180 0.4740 7.5847 COCOA 33.8688 3028.0000 1.1185 17.8963 COFFEE 3.3876 189.1500 1.7910 28.6553 COPPER 0.0515 3.6805 1.3981 22.3703 CORN 5.9912 508.7500 1.1776 18.8421 COTTON2 1.4924 85.2600 1.7505 28.0072 CRUDE_W 1.3535 70.4900 1.9201 30.7217 DAX 113.6973 16275.0000 0.6986 11.1776 DOW 235.1308 33427.0000 0.7034 11.2547 EUR 0.0051 1.0834 0.4720 7.5516 EUROSTX 32.5506 4393.0000 0.7410 11.8554 FEEDCOW 1.5561 237.7750 0.6545 10.4713 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.3384 681.7500 1.9565 31.3038 GASOILINE 0.0455 2.4662 1.8465 29.5433 GAS_US 0.1064 2.5540 4.1672 66.6753 GBP 0.0066 1.2447 0.5323 8.5166 GOLD_micro 16.6080 1974.9000 0.8410 13.4553 HEATOIL 0.0432 2.3579 1.8306 29.2897 JPY 0.0000 0.0072 0.6760 10.8159 LEANHOG 1.3983 80.4000 1.7392 27.8276 LIVECOW 0.9131 163.6250 0.5581 8.9291 MXP 0.0004 0.0555 0.6541 10.4651 NASDAQ 115.2294 13918.5000 0.8279 13.2462 NIKKEI 231.2158 31245.0000 0.7400 11.8401 NZD 0.0046 0.6284 0.7249 11.5980 OAT 0.6754 128.5000 0.5256 8.4097 OJ 4.7257 268.2000 1.7620 28.1921 PALLAD 32.6500 1488.5000 2.1935 35.0958 PLAT 18.0659 1078.5000 1.6751 26.8015 REDWHEAT 16.5035 816.5000 2.0213 32.3401 ROBUSTA 34.3239 2632.0000 1.3041 20.8656 RUSSELL 20.5500 1807.2000 1.1371 18.1939 SILVER-mini 0.3651 24.0500 1.5183 24.2922 SOYBEAN 12.1754 1196.2500 1.0178 16.2847 SOYMEAL 4.5120 394.7000 1.1432 18.2904 SOYOIL 0.8608 48.5400 1.7733 28.3735 SP400 24.3379 2481.6000 0.9807 15.6917 SP500 30.3278 4213.5000 0.7198 11.5164 SUGAR11 0.3569 25.9700 1.3744 21.9897 US10 0.5072 113.4844 0.4470 7.1516 US10U 0.6601 118.7500 0.5558 8.8934 US20 0.9429 126.8125 0.7435 11.8964 US30 1.3330 134.2812 0.9927 15.8825 US5 0.3665 108.6328 0.3374 5.3981 VIX 0.5839 22.2000 2.6301 42.0824 WHEAT 11.5370 636.5000 1.8126 29.0012 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 665.70 0.68 452.96 1.00 452.96 39845.91 87.97 3.31 29.10 BITCOIN 27.02 3.28 88.51 1.00 88.51 39845.91 450.17 -5.96 -268.51 BOBL 1172.70 0.31 363.62 1.08 391.62 39845.91 101.75 14.66 149.19 BTP 1138.80 0.57 648.14 1.08 698.04 39845.91 57.08 12.11 69.12 BUND 1340.60 0.53 704.72 1.08 758.98 39845.91 52.50 13.93 73.12 BUXL 1338.00 1.26 1679.27 1.08 1808.57 39845.91 22.03 -4.53 -9.97 CAC 745.80 0.66 490.37 1.08 528.13 39845.91 75.45 15.80 119.20 CAD 740.85 0.46 341.38 1.00 341.38 39845.91 116.72 8.92 104.09 CANOLA 133.88 1.29 172.79 0.74 128.24 39845.91 310.71 20.00 621.43 CHF 1397.50 0.47 662.48 1.00 662.48 39845.91 60.15 -13.74 -82.64 COCOA 302.80 1.12 338.69 1.00 338.69 39845.91 117.65 -8.87 -104.33 COFFEE 709.31 1.79 1270.35 1.00 1270.35 39845.91 31.37 9.13 28.63 COPPER 920.12 1.40 1286.47 1.00 1286.47 39845.91 30.97 2.19 6.80 CORN 254.38 1.18 299.56 1.00 299.56 39845.91 133.01 9.87 131.35 COTTON2 426.30 1.75 746.22 1.00 746.22 39845.91 53.40 6.27 33.50 CRUDE_W 704.90 1.92 1353.48 1.00 1353.48 39845.91 29.44 -0.58 -1.71 DAX 162.75 0.70 113.70 1.08 122.45 39845.91 325.40 3.77 122.83 DOW 167.14 0.70 117.57 1.00 117.57 39845.91 338.93 1.24 42.09 EUR 1354.31 0.47 639.20 1.00 639.20 39845.91 62.34 -12.38 -77.14 EUROSTX 439.30 0.74 325.51 1.08 350.57 39845.91 113.66 1.30 14.83 FEEDCOW 1188.88 0.65 778.07 1.00 778.07 39845.91 51.21 -7.96 -40.78 FTSE100 707.00 0.82 576.59 1.24 666.67 39845.91 59.77 7.70 46.01 GASOIL 681.75 1.96 1333.84 1.00 1333.84 39845.91 29.87 -4.37 -13.06 GASOILINE 1035.80 1.85 1912.56 1.00 1912.56 39845.91 20.83 -4.31 -8.98 GAS_US 255.40 4.17 1064.30 1.00 1064.30 39845.91 37.44 -14.25 -53.35 GBP 777.94 0.53 414.09 1.00 414.09 39845.91 96.23 7.01 67.44 GOLD_micro 197.49 0.84 166.08 1.00 166.08 39845.91 239.92 -13.26 -318.22 HEATOIL 990.32 1.83 1812.88 1.00 1812.88 39845.91 21.98 -3.99 -8.77 JPY 906.12 0.68 612.54 1.00 612.54 39845.91 65.05 -9.80 -63.72 LEANHOG 321.60 1.74 559.33 1.00 559.33 39845.91 71.24 -18.56 -132.22 LIVECOW 654.50 0.56 365.26 1.00 365.26 39845.91 109.09 15.00 163.68 MXP 277.45 0.65 181.47 1.00 181.47 39845.91 219.57 15.56 341.64 NASDAQ 2783.70 0.83 2304.59 1.00 2304.59 39845.91 17.29 7.56 13.08 NIKKEI 31245.00 0.74 23121.58 0.01 167.13 39845.91 238.42 13.77 328.41 NZD 628.45 0.72 455.55 1.00 455.55 39845.91 87.47 8.07 70.57 OAT 1285.00 0.53 675.40 1.08 727.41 39845.91 54.78 14.45 79.18 OJ 402.30 1.76 708.86 1.00 708.86 39845.91 56.21 -4.85 -27.29 PALLAD 1488.50 2.19 3265.00 1.00 3265.00 39845.91 12.20 -1.27 -1.55 PLAT 539.25 1.68 903.29 1.00 903.29 39845.91 44.11 8.13 35.84 REDWHEAT 408.25 2.02 825.18 1.00 825.18 39845.91 48.29 9.13 44.10 ROBUSTA 263.20 1.30 343.24 1.00 343.24 39845.91 116.09 9.62 111.64 RUSSELL 90.36 1.14 102.75 1.00 102.75 39845.91 387.80 3.60 139.70 SILVER-mini 601.25 1.52 912.85 1.00 912.85 39845.91 43.65 -7.06 -30.81 SOYBEAN 598.12 1.02 608.77 1.00 608.77 39845.91 65.45 2.48 16.23 SOYMEAL 394.70 1.14 451.20 1.00 451.20 39845.91 88.31 -2.42 -21.40 SOYOIL 291.24 1.77 516.47 1.00 516.47 39845.91 77.15 5.20 40.11 SP400 2481.60 0.98 2433.79 1.00 2433.79 39845.91 16.37 4.76 7.79 SP500 2106.75 0.72 1516.39 1.00 1516.39 39845.91 26.28 5.12 13.44 SUGAR11 290.86 1.37 399.75 1.00 399.75 39845.91 99.68 4.83 48.10 US10 1134.84 0.45 507.24 1.00 507.24 39845.91 78.55 -2.89 -22.67 US10U 1187.50 0.56 660.05 1.00 660.05 39845.91 60.37 -11.19 -67.57 US20 1268.12 0.74 942.88 1.00 942.88 39845.91 42.26 -7.90 -33.41 US30 1342.81 0.99 1332.95 1.00 1332.95 39845.91 29.89 0.18 0.52 US5 1086.33 0.34 366.51 1.00 366.51 39845.91 108.72 -2.53 -27.48 VIX 222.00 2.63 583.89 1.00 583.89 39845.91 68.24 -20.00 -136.48 WHEAT 318.25 1.81 576.85 1.00 576.85 39845.91 69.07 -6.31 -43.57 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 29.099 0.006 2.5 0.465 BITCOIN -268.510 0.009 2.5 -6.327 BOBL 149.192 0.029 2.5 10.765 BTP 69.118 0.008 2.5 1.396 BUND 73.120 0.029 2.5 5.276 BUXL -9.973 0.034 2.5 -0.837 CAC 119.198 0.011 2.5 3.351 CAD 104.088 0.007 2.5 1.858 CANOLA 621.430 0.004 2.5 5.704 CHF -82.642 0.015 2.5 -3.093 COCOA -104.328 0.009 2.5 -2.273 COFFEE 28.631 0.005 2.5 0.371 COPPER 6.798 0.011 2.5 0.186 CORN 131.346 0.004 2.5 1.185 COTTON2 33.499 0.006 2.5 0.504 CRUDE_W -1.711 0.053 2.5 -0.226 DAX 122.831 0.022 2.5 6.671 DOW 42.090 0.011 2.5 1.199 EUR -77.145 0.015 2.5 -2.887 EUROSTX 14.832 0.011 2.5 0.417 FEEDCOW -40.780 0.011 2.5 -1.096 FTSE100 46.008 0.041 2.5 4.743 GASOIL -13.064 0.029 2.5 -0.932 GASOILINE -8.983 0.016 2.5 -0.369 GAS_US -53.346 0.006 2.5 -0.803 GBP 67.442 0.007 2.5 1.204 GOLD_micro -318.224 0.009 2.5 -7.120 HEATOIL -8.765 0.029 2.5 -0.625 JPY -63.719 0.026 2.5 -4.124 LEANHOG -132.218 0.019 2.5 -6.177 LIVECOW 163.680 0.011 2.5 4.398 MXP 341.644 0.005 2.5 4.183 NASDAQ 13.078 0.022 2.5 0.710 NIKKEI 328.408 0.076 2.5 62.376 NZD 70.574 0.006 2.5 1.128 OAT 79.175 0.008 2.5 1.599 OJ -27.286 0.007 2.5 -0.476 PALLAD -1.551 0.010 2.5 -0.037 PLAT 35.841 0.010 2.5 0.862 REDWHEAT 44.097 0.002 2.5 0.235 ROBUSTA 111.638 0.005 2.5 1.447 RUSSELL 139.698 0.021 2.5 7.236 SILVER-mini -30.813 0.009 2.5 -0.689 SOYBEAN 16.226 0.024 2.5 0.957 SOYMEAL -21.400 0.024 2.5 -1.262 SOYOIL 40.110 0.004 2.5 0.368 SP400 7.789 0.021 2.5 0.403 SP500 13.441 0.011 2.5 0.383 SUGAR11 48.103 0.005 2.5 0.653 US10 -22.666 0.015 2.5 -0.870 US10U -67.569 0.058 2.5 -9.845 US20 -33.406 0.029 2.5 -2.462 US30 0.523 0.034 2.5 0.044 US5 -27.482 0.015 2.5 -1.054 VIX -136.484 0.075 2.5 -25.720 WHEAT -43.572 0.002 2.5 -0.233 ==================== Position diags ==================== AUD 1.41 BITCOIN 10.61 BOBL 7.34 BTP 1.15 BUND 3.79 BUXL 1.85 CAC 2.12 CAD 2.08 CANOLA 2.85 CHF 2.25 COCOA 2.56 COFFEE 0.41 COPPER 0.85 CORN 1.20 COTTON2 0.80 CRUDE_W 3.89 DAX 17.67 DOW 9.66 EUR 2.33 EUROSTX 3.20 FEEDCOW 1.38 FTSE100 6.16 GASOIL 2.13 GASOILINE 0.86 GAS_US 0.56 GBP 1.72 GOLD_micro 5.37 HEATOIL 1.57 JPY 4.21 LEANHOG 3.33 LIVECOW 2.93 MXP 2.69 NASDAQ 0.94 NIKKEI 45.28 NZD 1.40 OAT 1.11 OJ 0.98 PALLAD 0.29 PLAT 1.06 REDWHEAT 0.26 ROBUSTA 1.51 RUSSELL 20.09 SILVER-mini 0.98 SOYBEAN 3.86 SOYMEAL 5.21 SOYOIL 0.71 SP400 0.85 SP500 0.75 SUGAR11 1.35 US10 3.01 US10U 8.80 US20 3.11 US30 2.51 US5 4.17 VIX 12.86 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 10.8 10.0 11.5 0.0 0 BTP 1.4 1.3 1.5 3.0 3 BUND 5.3 4.9 5.7 7.0 7 BUXL -0.8 -1.0 -0.7 0.0 0 CAC 3.4 3.1 3.6 2.0 2 CAD 1.9 1.7 2.1 0.0 0 CANOLA 5.7 5.4 6.0 NaN 0 CHF -3.1 -3.3 -2.9 -2.0 -2 COCOA -2.3 -2.5 -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 1.2 1.1 1.3 5.0 5 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W -0.2 -0.6 0.2 1.0 1 DAX 6.7 4.9 8.4 0.0 0 DOW 1.2 0.2 2.2 0.0 0 EUR -2.9 -3.1 -2.7 -3.0 -3 EUROSTX 0.4 0.1 0.7 0.0 0 FEEDCOW -1.1 -1.2 -1.0 0.0 0 FTSE100 4.7 4.1 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 -0.7 -2.0 -2 GBP 1.2 1.0 1.4 9.0 9 GOLD_micro -7.1 -7.7 -6.6 -9.0 -9 HEATOIL -0.6 -0.8 -0.5 -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 4.2 3.9 4.5 0.0 0 NASDAQ 0.7 0.6 0.8 0.0 0 NIKKEI 62.4 57.8 66.9 0.0 0 NZD 1.1 1.0 1.3 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 0.9 0.8 1.0 0.0 0 REDWHEAT 0.2 0.2 0.3 0.0 0 ROBUSTA 1.4 1.3 1.6 2.0 2 RUSSELL 7.2 5.2 9.2 -2.0 -2 SILVER-mini -0.7 -0.8 -0.6 0.0 0 SOYBEAN 1.0 0.6 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 0.5 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -0.9 -1.2 -0.6 NaN 0 US10U -9.8 -10.7 -9.0 -9.0 -9 US20 -2.5 -2.8 -2.2 -1.0 -1 US30 0.0 -0.2 0.3 0.0 0 US5 -1.1 -1.5 -0.6 0.0 0 VIX -25.7 -27.0 -24.4 -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 -0.1 -0.1 -0.1 -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 0.0 0.1 -0.0 0.0 -0.0 1.9 -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 0.0 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 1.1 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 -0.2 -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 0.0 -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 -0.2 -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 -0.0 -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 0.1 0.3 1.1 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 0.0 0.1 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 -0.2 0.1 0.1 0.0 -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 -0.0 -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 0.0 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 0.5 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 -0.1 -0.0 -0.0 -0.0 1.4 2.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.4 -0.3 -0.4 -0.3 -0.3 CORN -0.1 -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 -0.4 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 1.9 -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 0.1 3.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.9 0.0 0.3 0.6 0.1 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 -0.3 -0.3 -0.2 -0.1 EUR -0.2 0.0 0.2 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.1 -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 0.0 -0.0 0.0 -0.0 -1.0 -0.1 -0.4 -0.1 0.0 EUROSTX -0.0 0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.4 0.0 0.4 0.1 0.4 -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 0.2 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.3 0.0 0.3 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.2 0.0 -3.4 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 -0.0 -0.2 -0.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.3 0.0 0.0 -0.0 -0.3 0.1 0.9 0.2 0.3 -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 0.9 -0.0 -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 0.1 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 0.1 0.4 0.0 -0.0 GBP -0.1 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 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 -0.0 0.0 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 -0.2 -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 1.5 -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 -0.1 -0.3 -1.2 -0.6 -0.3 -0.3 -0.2 -0.1 -0.0 -0.1 -0.0 1.0 2.0 -0.1 -0.0 -0.0 -0.0 -0.0 -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 -0.4 -1.4 -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 -0.1 -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 0.0 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 0.2 0.3 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.4 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 0.3 -2.1 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 0.3 -0.1 -0.2 OAT 0.0 -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 0.3 0.3 -0.0 -0.1 -0.0 -0.2 -0.0 0.5 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 0.1 -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 -0.0 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 -0.0 -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 -0.2 -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 -0.1 0.1 -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 0.6 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 0.1 0.0 ROBUSTA -0.1 0.3 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.3 0.0 0.2 0.1 0.4 1.0 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -3.2 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 0.1 -0.0 -0.2 0.1 0.1 0.1 0.1 0.1 0.1 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 1.9 2.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.2 -0.3 -0.3 SILVER-mini -0.2 0.1 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 -0.1 -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 1.3 -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 -0.1 -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 0.4 0.5 0.1 0.1 -0.2 -0.2 -0.0 -0.2 -0.0 2.1 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 0.1 -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 0.0 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 -1.7 -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 0.1 -0.0 -0.2 -0.0 0.1 -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 -0.5 -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 -0.1 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 -0.1 0.1 0.0 -0.1 0.0 -0.2 -0.1 -0.0 -0.0 0.1 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 -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 -0.2 -0.1 -0.0 US5 -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 -0.4 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 -0.1 -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 -0.5 -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 -0.2 -0.2 -0.3 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 3.0 -1.4 -7.8 3.0 -3.3 3.3 -3.2 0.5 0.1 -9.5 -0.2 -7.9 -5.6 -6.2 -12.1 -3.6 -3.2 -3.7 -3.6 -5.0 -5.3 -6.4 -6.5 -4.7 14.0 11.7 -1.9 -3.5 -2.3 -4.0 -3.6 -2.3 -0.9 -3.4 -4.0 -10.6 -17.2 BITCOIN -16.0 -1.2 20.0 3.7 -2.4 4.2 -2.1 3.3 1.0 -7.6 11.4 -12.0 -6.8 -9.6 7.7 -4.6 -2.4 -4.0 -3.1 4.0 9.5 -7.6 1.6 -5.2 8.6 -18.1 0.4 -2.8 3.9 -4.4 2.3 -3.8 0.1 4.3 -7.4 -20.0 5.0 BOBL 4.9 1.6 16.4 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -13.9 -2.0 -6.3 -12.0 -1.1 5.9 13.0 7.4 8.7 6.7 1.2 -4.3 -11.2 -15.5 -2.1 8.2 10.8 2.1 -8.5 0.2 -5.9 -6.6 -1.0 13.6 0.9 9.9 0.7 2.4 BTP 1.8 -1.7 4.9 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -11.8 7.5 -2.8 -8.0 -3.3 3.3 10.9 11.9 9.9 10.8 1.7 1.4 -5.7 -8.2 -1.2 -9.6 11.4 2.8 -6.2 3.2 -3.5 -2.5 -0.1 20.0 12.3 10.8 0.2 7.0 BUND 2.8 -0.2 9.5 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -13.3 -4.6 -8.1 -12.8 -4.7 1.0 7.4 12.2 7.9 9.6 -1.4 -6.0 -11.1 -16.9 -3.9 6.3 12.3 1.0 -8.1 -0.1 -6.0 -6.0 -1.9 20.0 2.9 6.2 -2.4 0.5 BUXL -1.4 -5.1 4.4 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -12.3 -10.8 -11.7 -14.0 -11.8 -7.5 1.6 1.0 1.9 2.2 -7.9 -11.2 -13.5 -19.7 -9.4 9.7 -10.8 -1.9 -7.7 -2.3 -6.8 -6.3 -4.2 4.7 0.9 -1.7 -9.9 -7.5 CAC -7.3 15.2 11.6 3.8 6.4 3.8 5.2 2.4 3.8 13.9 15.5 8.4 13.7 12.4 13.1 13.3 5.4 12.0 7.7 16.0 20.0 10.2 20.0 9.6 -15.4 8.9 5.9 7.4 7.3 5.8 7.2 5.2 18.7 1.1 6.1 1.7 7.8 CAD 2.6 8.5 4.2 3.0 -3.3 3.3 -3.2 0.5 0.1 -6.3 -0.8 0.6 -9.4 2.6 3.6 -2.9 -2.1 -2.8 -2.6 1.6 -1.7 -1.5 -7.2 1.2 16.2 10.4 2.0 -2.1 0.0 -0.5 -3.4 1.5 0.9 3.4 3.3 3.8 -4.9 CANOLA 1.7 -3.3 -18.4 -4.6 -4.2 -3.7 -4.1 -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 -17.7 -15.8 -14.3 20.0 13.2 -5.8 -6.0 -6.9 -4.1 -5.1 -3.8 20.0 -19.2 -3.2 -9.0 -20.0 CHF -12.4 9.1 8.2 3.0 -3.3 3.3 -3.2 0.5 0.1 -3.4 13.4 -9.4 9.4 2.4 9.3 -15.8 -14.6 -15.1 -15.0 7.9 11.7 -8.7 7.8 -1.8 -5.3 -11.5 3.5 -1.9 4.8 -3.6 2.5 -0.6 -20.0 -2.4 -8.7 5.2 9.1 COCOA -4.0 7.3 18.9 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 4.5 15.4 10.8 10.9 12.8 14.7 -2.4 -1.3 -0.3 -0.2 18.6 20.0 12.5 14.7 14.5 -20.0 -10.4 6.2 4.4 6.9 4.7 5.4 5.0 -13.3 20.0 20.0 20.0 20.0 COFFEE -7.7 11.3 14.3 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 6.9 0.9 1.3 -4.5 1.7 5.4 8.1 4.8 6.7 5.7 5.9 3.9 4.7 -2.2 3.4 3.4 10.0 3.4 4.0 2.5 2.8 -0.1 2.2 -3.1 20.0 9.6 20.0 20.0 COPPER -15.6 -18.1 -6.3 3.7 -2.4 4.2 -2.1 3.3 1.0 -10.4 3.1 -12.1 -3.1 -13.5 -12.4 -2.4 -0.9 -1.7 -1.3 -13.7 -4.4 -16.8 -0.7 -18.9 11.1 11.1 -5.1 -3.7 -2.3 -5.7 -0.6 -6.5 2.7 -20.0 -20.0 -20.0 -20.0 CORN -14.8 -11.2 -20.0 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -5.4 -14.3 -13.3 -7.9 -14.9 -15.5 1.1 16.1 8.7 13.6 -20.0 -20.0 -20.0 -9.9 -20.0 20.0 11.0 -6.2 -1.0 -5.6 -4.1 -3.3 -5.8 13.9 -20.0 -20.0 -20.0 -20.0 COTTON2 12.2 8.4 2.8 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 9.4 -2.5 11.1 -11.8 8.9 0.9 1.1 6.0 -1.4 0.0 2.4 -4.7 15.7 -8.4 9.9 0.3 12.0 1.7 6.6 -1.1 8.8 -1.1 5.7 -7.0 20.0 20.0 20.0 2.7 CRUDE_W -13.5 -2.5 -8.5 -3.9 1.9 -3.2 0.5 -0.7 -2.5 4.7 -2.7 -2.9 -5.8 -6.7 -4.4 6.8 10.8 7.9 8.7 -7.7 -5.5 -2.4 -1.2 -7.6 -11.3 10.8 -3.3 0.9 -2.1 -1.1 0.7 -3.3 -9.9 -7.9 -7.8 13.9 5.9 DAX -0.3 11.7 8.8 3.8 6.4 3.8 5.2 2.4 3.8 11.2 16.3 11.7 11.9 15.1 15.3 -8.6 -6.5 -8.3 -8.0 14.6 19.2 15.4 16.7 12.4 -17.8 9.9 5.9 8.7 6.5 7.5 5.2 6.3 -3.9 6.7 16.9 2.9 6.9 DOW -10.0 5.8 -4.9 3.8 6.4 3.8 5.2 2.4 3.8 3.3 7.9 -6.1 3.4 3.0 3.2 -8.4 -6.0 -8.1 -7.6 0.1 1.6 -3.0 1.5 -2.7 1.6 10.8 0.1 -0.3 1.8 -1.8 2.2 -1.9 -3.2 -18.6 -15.4 -10.8 -8.4 EUR -17.6 1.0 8.5 3.0 -3.3 3.3 -3.2 0.5 0.1 -9.1 13.0 -12.7 2.1 -6.2 5.4 -7.3 -8.4 -7.3 -7.8 1.4 8.4 -16.3 3.7 -9.8 -10.2 -11.1 1.0 -5.3 3.9 -7.4 1.3 -4.2 -9.0 -13.7 -17.4 -5.4 0.2 EUROSTX -3.0 12.4 9.4 3.8 6.4 3.8 5.2 2.4 3.8 13.3 16.1 11.7 13.9 14.3 14.6 -5.3 3.0 -1.9 1.1 14.9 20.0 13.9 20.0 11.2 -16.7 -8.5 6.0 9.0 7.0 7.5 6.6 6.1 12.3 4.2 11.6 1.0 5.8 FEEDCOW -18.3 12.5 20.0 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 13.7 14.2 14.2 11.7 13.7 14.3 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 15.5 20.0 -20.0 12.2 5.8 5.8 6.2 5.7 4.8 4.9 -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 -3.7 -14.8 -20.0 -3.9 1.9 -3.2 0.5 -0.7 -2.5 4.6 -13.7 0.9 1.8 -7.5 -12.3 1.6 20.0 9.1 15.9 -18.1 -16.7 -2.0 -3.3 -11.5 7.5 -15.4 -5.4 0.3 -5.2 -0.7 -2.1 -3.6 6.7 -3.9 -3.4 -5.1 -9.4 GASOILINE -8.6 -7.0 -5.3 -3.9 1.9 -3.2 0.5 -0.7 -2.5 13.0 2.4 7.6 -0.8 -3.9 -3.8 20.0 16.5 20.0 15.8 -4.4 -1.6 6.8 4.2 -2.1 -20.0 -13.1 -2.2 4.6 -0.2 2.4 3.8 -1.4 -0.1 9.1 3.7 10.0 11.1 GAS_US 14.3 15.2 -20.0 -3.9 1.9 -3.2 0.5 -0.7 -2.5 5.1 -16.3 6.6 -15.2 0.6 -12.3 -20.0 -18.3 -20.0 -20.0 -15.2 -20.0 8.1 -20.0 0.2 20.0 -9.3 -3.8 2.9 -6.8 4.1 -5.0 0.6 -20.0 8.6 18.0 0.3 -1.4 GBP -6.1 7.2 12.4 3.0 -3.3 3.3 -3.2 0.5 0.1 -10.2 14.7 -9.3 1.4 3.3 12.0 -1.9 -1.9 -1.8 -2.0 8.5 10.3 -7.0 2.5 0.8 0.4 9.4 4.0 -4.1 3.7 -3.6 -1.3 0.3 1.6 -4.1 1.9 2.5 3.7 GOLD_micro -11.3 1.6 11.7 3.7 -2.4 4.2 -2.1 3.3 1.0 -9.1 12.7 -10.8 5.3 -5.0 9.1 -12.8 -11.5 -12.5 -12.4 6.9 13.4 -14.2 10.6 -4.8 -5.2 -13.8 3.2 -5.5 5.5 -5.5 4.6 -1.6 -15.9 -10.4 -6.6 -11.0 5.2 HEATOIL -1.3 -9.7 -20.0 -3.9 1.9 -3.2 0.5 -0.7 -2.5 2.6 -13.0 0.2 0.7 -6.7 -12.0 0.5 20.0 8.8 17.3 -15.9 -15.3 -2.4 -3.1 -10.0 0.4 -13.6 -5.2 -0.2 -4.4 -0.9 0.0 -3.5 10.8 -8.0 -6.1 -5.8 -9.8 JPY -12.2 -15.6 -4.5 3.0 -3.3 3.3 -3.2 0.5 0.1 -12.4 0.7 -12.5 -7.6 -12.7 -12.6 -16.1 -14.0 -15.9 -15.3 -13.8 -7.9 -20.0 -10.0 -18.5 7.4 9.9 -4.3 -8.3 -2.0 -8.8 -3.9 -7.0 -20.0 -13.4 -20.0 -20.0 -18.1 LEANHOG -3.2 -7.9 -20.0 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -13.9 -15.6 -14.7 -13.6 -15.0 -15.7 -17.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.6 -20.0 20.0 -11.1 -6.3 -6.8 -6.8 -5.5 -5.2 -5.3 -20.0 -14.7 -7.6 -20.0 -20.0 LIVECOW -9.7 9.8 6.9 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 10.4 13.4 11.1 11.8 12.4 11.9 20.0 9.0 20.0 20.0 11.1 12.8 12.8 10.7 10.1 -20.0 12.0 4.2 5.0 5.3 5.2 5.5 3.9 20.0 20.0 18.4 20.0 20.0 MXP 5.1 12.6 10.4 3.0 -3.3 3.3 -3.2 0.5 0.1 -12.3 15.8 4.0 15.8 10.6 14.8 20.0 20.0 20.0 20.0 20.0 20.0 0.1 20.0 13.4 -20.0 9.7 6.0 -5.7 7.2 0.1 7.6 4.2 20.0 16.8 20.0 12.3 20.0 NASDAQ 9.2 12.6 20.0 3.8 6.4 3.8 5.2 2.4 3.8 13.4 13.6 15.2 -3.4 15.8 16.0 -9.8 -6.6 -8.9 -8.1 20.0 18.2 20.0 5.4 20.0 -6.2 10.2 6.2 8.2 5.6 8.2 3.3 6.8 -4.0 20.0 20.0 7.6 20.0 NIKKEI 20.0 20.0 17.8 3.8 6.4 3.8 5.2 2.4 3.8 14.1 14.3 15.8 11.5 16.5 16.3 4.1 11.6 7.0 10.1 20.0 19.7 20.0 10.9 20.0 1.9 -10.1 5.8 10.9 3.7 9.6 1.7 7.7 20.0 20.0 20.0 20.0 20.0 NZD 10.2 0.1 -1.9 3.0 -3.3 3.3 -3.2 0.5 0.1 -0.1 7.3 3.0 -1.0 3.0 -4.8 1.1 0.8 1.0 0.8 1.4 0.3 3.1 -2.4 3.1 1.9 10.8 2.0 3.1 1.1 1.7 -1.1 2.5 6.1 7.5 14.2 -5.6 -10.7 OAT 2.8 -0.1 3.7 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -12.6 -5.7 -7.9 -12.7 -5.1 -1.4 12.3 12.4 11.6 11.9 -1.8 -6.0 -10.5 -15.9 -3.9 4.1 12.7 1.0 -7.9 -0.1 -5.7 -6.2 -1.6 20.0 4.4 7.3 -1.0 -0.6 OJ -20.0 -7.0 5.4 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 11.5 13.0 -2.4 14.7 -0.0 9.6 17.9 20.0 20.0 20.0 10.8 20.0 5.3 20.0 0.4 -20.0 -14.3 3.4 6.5 8.6 1.1 11.4 -0.4 20.0 9.6 -0.6 20.0 20.0 PALLAD 0.8 20.0 -5.6 3.7 -2.4 4.2 -2.1 3.3 1.0 -8.8 -12.5 -3.0 -14.1 -1.5 -4.0 -2.8 -2.5 -3.0 -2.9 -2.6 -12.4 -3.5 -19.3 -0.4 20.0 -11.1 1.2 -1.5 -1.8 -1.2 -4.3 0.9 0.0 8.6 -10.9 -1.7 -18.5 PLAT -9.5 13.0 4.3 3.7 -2.4 4.2 -2.1 3.3 1.0 -6.8 8.6 -7.6 5.3 4.1 7.5 -2.0 -1.6 -2.2 -2.0 8.6 8.6 -1.9 5.6 3.4 1.9 11.2 3.7 -0.1 3.5 -0.7 2.1 1.6 1.5 14.7 -7.8 4.3 -6.1 REDWHEAT 12.8 7.3 1.7 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -12.1 -6.7 5.5 -11.8 6.5 4.3 7.9 5.9 8.7 8.1 1.3 -3.1 -1.2 -4.4 4.4 1.7 12.9 -0.8 -6.4 -1.9 -0.6 -0.9 0.9 1.4 7.5 15.8 10.3 3.4 ROBUSTA -8.5 19.1 20.0 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 13.6 14.6 14.1 10.2 15.7 16.2 12.3 10.5 11.6 11.2 20.0 20.0 20.0 16.2 20.0 -19.4 9.6 6.4 6.5 5.6 5.6 3.5 5.5 6.5 20.0 20.0 20.0 20.0 RUSSELL 4.9 -2.7 -10.2 3.8 6.4 3.8 5.2 2.4 3.8 11.8 -8.8 8.6 -10.2 1.3 -12.1 -6.0 -4.8 -5.9 -5.7 -6.5 -8.1 8.9 -8.1 0.5 14.9 10.0 -3.3 7.9 -3.0 4.6 -1.6 0.0 -0.5 3.4 -7.0 -20.0 -19.0 SILVER-mini -20.0 7.0 7.5 3.7 -2.4 4.2 -2.1 3.3 1.0 -10.6 10.5 -13.3 3.9 -5.5 7.6 -6.1 -5.3 -6.1 -5.9 4.1 10.2 -18.6 7.0 -10.0 -0.4 -11.3 1.0 -4.0 2.7 -6.1 1.4 -3.3 -5.1 -20.0 -20.0 -4.9 -7.3 SOYBEAN -11.2 -15.1 -20.0 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -9.1 -12.2 -13.6 -7.6 -15.0 -14.8 20.0 20.0 20.0 20.0 -20.0 -18.5 -20.0 -8.4 -20.0 8.6 -11.7 -6.0 -4.3 -4.4 -6.9 -1.7 -6.8 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -14.0 -20.0 -12.6 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -10.5 3.4 -12.8 8.0 -13.8 -13.5 20.0 20.0 20.0 20.0 -15.9 -2.3 -19.7 10.9 -19.8 -20.0 -12.0 -4.9 -6.4 -1.1 -6.0 3.4 -5.8 20.0 -11.8 -14.2 -10.9 -6.2 SOYOIL -3.6 -11.8 -20.0 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -6.4 -14.5 -10.8 -9.4 -12.9 -14.3 5.6 11.2 4.9 6.5 -20.0 -20.0 -20.0 -12.2 -20.0 14.4 12.9 -6.2 -1.7 -5.7 -5.3 -3.0 -6.0 3.1 -20.0 -19.1 -19.6 -20.0 SP400 -1.6 -3.8 -12.6 3.8 6.4 3.8 5.2 2.4 3.8 9.2 -1.7 1.9 -2.5 -1.8 -10.0 -5.7 -4.6 -5.6 -5.3 -6.7 -5.2 2.7 -2.6 -3.1 11.4 10.2 -4.0 3.8 -2.8 1.3 -0.4 -2.1 -0.0 -6.9 -13.3 -20.0 -20.0 SP500 -0.7 9.1 7.1 3.8 6.4 3.8 5.2 2.4 3.8 12.3 12.0 11.5 -3.3 12.8 12.2 -9.4 -6.8 -8.8 -8.1 8.8 7.2 12.1 1.4 9.2 2.4 10.2 4.5 8.0 4.4 6.4 2.3 4.6 -4.2 4.4 2.8 -3.1 4.8 SUGAR11 -10.4 20.0 20.0 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -6.2 15.7 2.9 14.3 13.3 14.9 7.5 20.0 14.2 20.0 20.0 20.0 3.8 20.0 20.0 -20.0 -10.5 5.9 -0.2 6.4 0.6 5.3 3.3 20.0 6.0 20.0 20.0 20.0 US10 -7.5 2.4 16.4 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -14.1 6.7 -12.8 -9.3 -7.3 8.0 -11.4 -6.3 -10.5 -9.4 0.9 1.2 -18.6 -7.9 -7.7 -3.8 9.7 2.2 -10.3 2.9 -7.8 -1.3 -2.5 -11.9 -6.7 -0.7 3.0 6.3 US10U -9.0 0.4 14.5 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -14.1 6.0 -13.7 -9.6 -9.7 5.9 -10.1 -1.5 -6.7 -4.4 -1.0 -0.1 -18.4 -8.8 -9.0 -4.7 -14.1 1.6 -11.0 3.1 -8.6 -0.8 -3.4 -3.3 -4.8 -2.8 0.5 5.6 US20 -12.3 -2.0 13.5 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -14.1 6.4 -14.8 -8.3 -12.8 3.9 -1.6 -1.5 -2.1 -2.5 -3.2 -1.2 -20.0 -8.8 -11.6 -0.5 -12.3 0.2 -11.6 1.9 -9.5 -1.6 -4.8 -1.9 -5.9 -7.2 -3.1 2.8 US30 -12.0 -4.6 8.6 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -14.1 3.1 -15.1 -10.1 -14.0 -3.7 -2.3 -1.1 -1.8 -1.6 -6.5 -4.6 -18.8 -12.8 -13.0 -0.4 10.0 -1.4 -11.9 1.0 -10.2 -2.4 -6.2 -0.6 -3.3 -9.1 -6.5 -0.7 US5 -6.2 3.7 19.6 1.1 -9.0 1.4 -6.9 -2.6 -2.6 -14.0 6.5 -12.2 -9.3 -6.4 8.5 -11.6 -6.8 -10.8 -10.0 2.1 1.9 -18.5 -7.7 -6.7 -2.8 10.8 2.4 -9.9 2.7 -7.3 -2.1 -2.0 -13.0 -7.4 1.3 4.4 5.4 VIX -4.5 -7.6 6.0 -4.5 -4.4 -6.3 -5.7 -7.8 -5.0 -9.8 -15.3 -13.4 -14.6 -14.7 -14.4 -20.0 -20.0 -20.0 -20.0 -11.4 -13.9 -11.8 -16.3 -11.8 NaN -13.5 -5.4 -5.1 -8.0 -6.6 -10.7 -5.8 NaN NaN NaN NaN NaN WHEAT 2.1 -3.3 -10.3 -4.7 -3.4 -3.7 -4.1 -2.4 -4.8 -13.5 -14.8 -12.0 -15.4 -11.5 -13.4 -11.9 -9.5 -12.2 -11.3 -19.4 -20.0 -17.8 -18.1 -17.3 16.4 11.9 -5.8 -5.4 -5.5 -4.8 -3.6 -5.0 -20.0 -19.2 -11.5 -15.9 -18.7 End of report for caleb_strategy_v1