******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230523_204649 produced at 2023-05-23 21:37:19.669794 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.41 -0.48 0.0 4.582870e+07 -4.582870e+07 -0.41 -0.41 -10.48 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.14 -0.23 0.0 8.694621e+06 -8.694621e+06 -0.14 -0.14 -26.54 999999999.0 -16 -16 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.17 0.0 5.361844e+07 -5.361844e+07 -0.11 -0.11 -3.24 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.16 0.0 5.199663e+07 -5.199663e+07 -0.16 -0.16 -3.04 999999999.0 -3 -3 caleb_strategy_v1 JPY False False 0.03 -0.38 -0.15 0.0 3.492066e+07 -3.492066e+07 -0.38 -0.38 -4.31 999999999.0 -11 -11 caleb_strategy_v1 US20 False False 0.05 -0.10 -0.13 0.0 4.894339e+07 -4.894339e+07 -0.10 -0.10 -2.62 999999999.0 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.08 0.0 1.237682e+07 -1.237682e+07 -0.09 -0.09 -6.37 999999999.0 -7 -7 caleb_strategy_v1 GOLD_micro False False 0.01 -0.07 -0.06 0.0 7.625048e+06 -7.625048e+06 -0.07 -0.08 -7.43 999999999.0 -9 -10 caleb_strategy_v1 US5 False False 0.04 0.00 -0.05 0.0 4.188263e+07 -4.188263e+07 0.00 0.00 -1.23 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.05 0.0 5.580322e+07 -5.580322e+07 0.00 0.00 -0.88 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.562748e+07 -4.562748e+07 0.00 0.00 -1.11 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.04 0.0 4.378036e+07 -4.378036e+07 0.00 0.00 -0.98 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.03 0.0 2.625737e+07 -2.625737e+07 -0.03 -0.03 -1.01 999999999.0 -1 -1 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.814328e+07 -3.814328e+07 -0.04 -0.04 -0.69 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.168279e+07 -1.168279e+07 -0.05 -0.05 -2.31 999999999.0 -4 -4 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.02 0.0 1.512980e+07 -1.512980e+07 -0.02 -0.02 -1.35 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 2.302580e+07 -2.302580e+07 0.00 0.00 -0.72 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 -0.01 0.0 2.751047e+07 -2.751047e+07 0.03 0.03 -0.20 999999999.0 1 1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.652942e+07 -1.652942e+07 0.00 0.00 -0.42 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.940015e+06 -9.940015e+06 -0.02 -0.02 -0.84 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.056849e+06 -1.056849e+06 -0.02 -0.02 -6.27 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.035538e+07 -4.035538e+07 0.00 0.00 -0.35 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 5.590776e+07 -5.590776e+07 0.00 0.00 -0.03 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.103966e+07 -1.103966e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.00 0.0 5.187132e+07 -5.187132e+07 0.00 0.00 0.01 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.608312e+07 -1.608312e+07 0.00 0.00 0.24 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.257925e+07 -1.257925e+07 -0.05 -0.05 -0.21 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.802335e+07 -1.802335e+07 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.00 0.0 6.387558e+06 -6.387558e+06 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.550936e+07 -2.550936e+07 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.115441e+07 -1.115441e+07 0.01 0.01 0.68 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.713936e+07 -2.713936e+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 3.512068e+07 -3.512068e+07 0.00 0.00 0.17 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.870612e+06 -9.870612e+06 0.02 0.02 1.33 999999999.0 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.624795e+07 -1.624795e+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 9.981463e+06 -9.981463e+06 0.05 0.05 1.17 999999999.0 5 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.802593e+06 -3.802593e+06 0.00 0.00 5.82 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.288363e+07 -2.288363e+07 0.00 0.00 0.98 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.042176e+07 -2.042176e+07 0.00 0.00 0.88 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.022764e+07 -8.022764e+07 0.00 0.00 0.33 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.00 0.03 0.0 3.463775e+06 -3.463775e+06 -0.00 -0.00 8.16 999999999.0 -1 -1 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 2.407889e+07 -2.407889e+07 0.00 0.00 1.14 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.27 0.04 0.0 2.992993e+07 -2.992993e+07 0.27 0.27 1.20 999999999.0 9 9 caleb_strategy_v1 SP400 False False 0.09 0.76 0.04 0.0 9.463449e+07 -9.463449e+07 0.76 0.76 0.42 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.065910e+07 -1.065910e+07 0.00 0.00 4.21 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 6.716051e+06 -6.716051e+06 0.00 0.00 5.60 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.856501e+07 -2.856501e+07 0.00 0.00 1.93 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.07 0.0 1.059433e+08 -1.059433e+08 0.00 0.00 0.64 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.07 0.0 4.738733e+07 -4.738733e+07 0.14 0.14 1.43 999999999.0 3 3 caleb_strategy_v1 CAC False False 0.03 0.06 0.08 0.0 3.051179e+07 -3.051179e+07 0.06 0.06 2.61 999999999.0 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.353260e+07 -5.353260e+07 0.00 0.00 1.64 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.507367e+07 -2.507367e+07 0.00 0.00 4.37 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 4.82 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.39 0.30 0.0 5.586572e+07 -5.586572e+07 0.39 0.39 5.39 999999999.0 7 7 caleb_strategy_v1 BOBL False False 0.05 0.00 0.54 0.0 4.886636e+07 -4.886636e+07 0.00 0.00 11.12 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 63.33 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 18.8 Shocked risk 60.3 Sum abs risk 53.2 Leverage 4.22 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2593557.58, 'annual_cash_vol_target': 648389.395, 'daily_cash_vol_target': 40524.3371875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6616 0.6830 10.9280 BITCOIN 871.4255 27410.0000 3.1792 50.8676 BOBL 0.3553 117.2900 0.3029 4.8466 BTP 0.6352 113.7400 0.5584 8.9350 BUND 0.6896 134.0900 0.5143 8.2286 BUXL 1.6476 133.9400 1.2301 19.6815 CAC 55.9828 7323.5000 0.7644 12.2308 CAD 0.0033 0.7408 0.4520 7.2313 CANOLA 8.6403 665.8000 1.2977 20.7637 CHF 0.0053 1.1125 0.4739 7.5818 COCOA 33.3514 3030.0000 1.1007 17.6113 COFFEE 3.3294 187.7000 1.7738 28.3803 COPPER 0.0506 3.6435 1.3885 22.2163 CORN 6.2088 517.7500 1.1992 19.1870 COTTON2 1.4758 84.2800 1.7510 28.0166 CRUDE_W 1.3357 71.3500 1.8720 29.9519 DAX 117.0723 16120.0000 0.7263 11.6201 DOW 235.1327 33133.0000 0.7097 11.3546 EUR 0.0051 1.0788 0.4697 7.5145 EUROSTX 35.3368 4326.0000 0.8168 13.0696 FEEDCOW 1.5543 236.6750 0.6567 10.5079 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.0641 681.0000 1.9184 30.6940 GASOILINE 0.0450 2.4920 1.8076 28.9220 GAS_US 0.1052 2.5780 4.0814 65.3025 GBP 0.0065 1.2420 0.5256 8.4094 GOLD_micro 16.2747 1977.6000 0.8230 13.1673 HEATOIL 0.0422 2.3554 1.7935 28.6954 JPY 0.0000 0.0072 0.6652 10.6425 LEANHOG 1.3729 80.2500 1.7108 27.3730 LIVECOW 0.9252 162.5750 0.5691 9.1054 MXP 0.0004 0.0553 0.6486 10.3778 NASDAQ 119.7800 13738.5000 0.8719 13.9497 NIKKEI 231.2158 31245.0000 0.7400 11.8401 NZD 0.0046 0.6245 0.7297 11.6746 OAT 0.6605 128.4900 0.5141 8.2248 OJ 5.5094 285.8000 1.9277 30.8435 PALLAD 32.7451 1450.0000 2.2583 36.1325 PLAT 17.9932 1059.3000 1.6986 27.1775 REDWHEAT 16.4360 834.2500 1.9702 31.5225 ROBUSTA 36.8748 2560.0000 1.4404 23.0467 RUSSELL 19.9448 1796.7000 1.1101 17.7613 SILVER-mini 0.3582 23.8875 1.4997 23.9951 SOYBEAN 12.0440 1187.0000 1.0147 16.2345 SOYMEAL 4.4374 392.4000 1.1308 18.0935 SOYOIL 0.8591 47.7200 1.8002 28.8039 SP400 24.0573 2454.4000 0.9802 15.6827 SP500 31.1436 4161.5000 0.7484 11.9740 SUGAR11 0.3519 25.8300 1.3625 21.7993 US10 0.4974 113.5469 0.4381 7.0090 US10U 0.6489 118.8594 0.5459 8.7349 US20 0.9259 126.9375 0.7294 11.6705 US30 1.3123 134.5312 0.9754 15.6069 US5 0.3584 108.6250 0.3300 5.2793 VIX 0.5756 22.5500 2.5524 40.8389 WHEAT 11.8388 652.5000 1.8144 29.0301 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.60 0.68 451.87 1.00 451.87 40524.34 89.68 2.98 26.69 BITCOIN 27.41 3.18 87.14 1.00 87.14 40524.34 465.04 -5.72 -266.07 BOBL 1172.90 0.30 355.29 1.08 384.26 40524.34 105.46 14.62 154.17 BTP 1137.40 0.56 635.17 1.08 686.97 40524.34 58.99 12.02 70.89 BUND 1340.90 0.51 689.61 1.08 745.84 40524.34 54.33 13.75 74.72 BUXL 1339.40 1.23 1647.59 1.08 1781.95 40524.34 22.74 -4.62 -10.50 CAC 732.35 0.76 559.83 1.08 605.48 40524.34 66.93 13.86 92.79 CAD 740.85 0.45 334.83 1.00 334.83 40524.34 121.03 8.95 108.36 CANOLA 133.16 1.30 172.81 0.74 127.91 40524.34 316.82 20.00 633.64 CHF 1390.62 0.47 658.96 1.00 658.96 40524.34 61.50 -14.07 -86.50 COCOA 303.00 1.10 333.51 1.00 333.51 40524.34 121.51 -8.72 -105.95 COFFEE 703.88 1.77 1248.51 1.00 1248.51 40524.34 32.46 9.08 29.49 COPPER 910.88 1.39 1264.77 1.00 1264.77 40524.34 32.04 1.94 6.22 CORN 258.88 1.20 310.44 1.00 310.44 40524.34 130.54 9.92 129.44 COTTON2 421.40 1.75 737.89 1.00 737.89 40524.34 54.92 6.10 33.50 CRUDE_W 713.50 1.87 1335.67 1.00 1335.67 40524.34 30.34 -0.50 -1.50 DAX 161.20 0.73 117.07 1.08 126.62 40524.34 320.05 3.22 103.08 DOW 165.66 0.71 117.57 1.00 117.57 40524.34 344.69 0.53 18.27 EUR 1348.56 0.47 633.36 1.00 633.36 40524.34 63.98 -12.71 -81.34 EUROSTX 432.60 0.82 353.37 1.08 382.19 40524.34 106.03 0.52 5.56 FEEDCOW 1183.38 0.66 777.17 1.00 777.17 40524.34 52.14 -7.92 -41.31 FTSE100 707.00 0.82 576.59 1.24 666.67 40524.34 60.79 7.70 46.79 GASOIL 681.00 1.92 1306.41 1.00 1306.41 40524.34 31.02 -4.56 -14.15 GASOILINE 1046.64 1.81 1891.93 1.00 1891.93 40524.34 21.42 -3.94 -8.45 GAS_US 257.80 4.08 1052.19 1.00 1052.19 40524.34 38.51 -14.53 -55.95 GBP 776.25 0.53 407.99 1.00 407.99 40524.34 99.33 6.78 67.35 GOLD_micro 197.76 0.82 162.75 1.00 162.75 40524.34 249.00 -13.33 -331.92 HEATOIL 989.27 1.79 1774.22 1.00 1774.22 40524.34 22.84 -4.26 -9.72 JPY 905.69 0.67 602.42 1.00 602.42 40524.34 67.27 -9.90 -66.60 LEANHOG 321.00 1.71 549.17 1.00 549.17 40524.34 73.79 -18.48 -136.37 LIVECOW 650.30 0.57 370.08 1.00 370.08 40524.34 109.50 14.86 162.76 MXP 276.45 0.65 179.31 1.00 179.31 40524.34 226.00 15.23 344.23 NASDAQ 2747.70 0.87 2395.60 1.00 2395.60 40524.34 16.92 6.97 11.79 NIKKEI 31245.00 0.74 23121.58 0.01 167.13 40524.34 242.48 13.75 333.45 NZD 624.50 0.73 455.68 1.00 455.68 40524.34 88.93 8.01 71.22 OAT 1284.90 0.51 660.50 1.08 714.37 40524.34 56.73 14.28 81.02 OJ 428.70 1.93 826.41 1.00 826.41 40524.34 49.04 -4.89 -23.99 PALLAD 1450.00 2.26 3274.51 1.00 3274.51 40524.34 12.38 -1.12 -1.39 PLAT 529.65 1.70 899.66 1.00 899.66 40524.34 45.04 8.08 36.40 REDWHEAT 417.12 1.97 821.80 1.00 821.80 40524.34 49.31 9.29 45.81 ROBUSTA 256.00 1.44 368.75 1.00 368.75 40524.34 109.90 9.36 102.89 RUSSELL 89.84 1.11 99.72 1.00 99.72 40524.34 406.36 3.88 157.52 SILVER-mini 597.19 1.50 895.60 1.00 895.60 40524.34 45.25 -7.10 -32.12 SOYBEAN 593.50 1.01 602.20 1.00 602.20 40524.34 67.29 2.48 16.68 SOYMEAL 392.40 1.13 443.74 1.00 443.74 40524.34 91.32 -2.51 -22.91 SOYOIL 286.32 1.80 515.45 1.00 515.45 40524.34 78.62 5.33 41.88 SP400 2454.40 0.98 2405.73 1.00 2405.73 40524.34 16.84 4.77 8.04 SP500 2080.75 0.75 1557.18 1.00 1557.18 40524.34 26.02 4.50 11.72 SUGAR11 289.30 1.36 394.15 1.00 394.15 40524.34 102.81 4.89 50.25 US10 1135.47 0.44 497.40 1.00 497.40 40524.34 81.47 -3.15 -25.64 US10U 1188.59 0.55 648.89 1.00 648.89 40524.34 62.45 -11.52 -71.92 US20 1269.38 0.73 925.89 1.00 925.89 40524.34 43.77 -8.12 -35.54 US30 1345.31 0.98 1312.26 1.00 1312.26 40524.34 30.88 0.03 0.08 US5 1086.25 0.33 358.41 1.00 358.41 40524.34 113.07 -2.84 -32.10 VIX 225.50 2.55 575.57 1.00 575.57 40524.34 70.41 -20.00 -140.81 WHEAT 326.25 1.81 591.94 1.00 591.94 40524.34 68.46 -5.78 -39.60 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 26.686 0.006 2.5 0.426 BITCOIN -266.070 0.009 2.5 -6.269 BOBL 154.166 0.029 2.5 11.124 BTP 70.892 0.008 2.5 1.432 BUND 74.723 0.029 2.5 5.392 BUXL -10.503 0.034 2.5 -0.882 CAC 92.795 0.011 2.5 2.609 CAD 108.363 0.007 2.5 1.935 CANOLA 633.640 0.004 2.5 5.816 CHF -86.496 0.015 2.5 -3.237 COCOA -105.949 0.009 2.5 -2.308 COFFEE 29.485 0.005 2.5 0.382 COPPER 6.221 0.011 2.5 0.170 CORN 129.439 0.004 2.5 1.168 COTTON2 33.502 0.006 2.5 0.504 CRUDE_W -1.504 0.053 2.5 -0.199 DAX 103.078 0.022 2.5 5.598 DOW 18.269 0.011 2.5 0.521 EUR -81.335 0.015 2.5 -3.044 EUROSTX 5.565 0.011 2.5 0.156 FEEDCOW -41.312 0.011 2.5 -1.110 FTSE100 46.791 0.041 2.5 4.824 GASOIL -14.151 0.029 2.5 -1.009 GASOILINE -8.448 0.016 2.5 -0.347 GAS_US -55.951 0.006 2.5 -0.842 GBP 67.351 0.007 2.5 1.203 GOLD_micro -331.924 0.009 2.5 -7.427 HEATOIL -9.722 0.029 2.5 -0.693 JPY -66.601 0.026 2.5 -4.311 LEANHOG -136.367 0.019 2.5 -6.371 LIVECOW 162.760 0.011 2.5 4.374 MXP 344.228 0.005 2.5 4.214 NASDAQ 11.792 0.022 2.5 0.640 NIKKEI 333.455 0.076 2.5 63.334 NZD 71.219 0.006 2.5 1.138 OAT 81.021 0.008 2.5 1.636 OJ -23.994 0.007 2.5 -0.419 PALLAD -1.391 0.010 2.5 -0.033 PLAT 36.405 0.010 2.5 0.876 REDWHEAT 45.813 0.002 2.5 0.245 ROBUSTA 102.888 0.005 2.5 1.334 RUSSELL 157.524 0.021 2.5 8.159 SILVER-mini -32.124 0.009 2.5 -0.719 SOYBEAN 16.678 0.024 2.5 0.983 SOYMEAL -22.907 0.024 2.5 -1.351 SOYOIL 41.881 0.004 2.5 0.384 SP400 8.039 0.021 2.5 0.416 SP500 11.721 0.011 2.5 0.334 SUGAR11 50.248 0.005 2.5 0.682 US10 -25.642 0.015 2.5 -0.984 US10U -71.925 0.058 2.5 -10.480 US20 -35.541 0.029 2.5 -2.620 US30 0.083 0.034 2.5 0.007 US5 -32.104 0.015 2.5 -1.232 VIX -140.814 0.075 2.5 -26.536 WHEAT -39.600 0.002 2.5 -0.211 ==================== Position diags ==================== AUD 1.43 BITCOIN 10.96 BOBL 7.61 BTP 1.19 BUND 3.92 BUXL 1.91 CAC 1.88 CAD 2.16 CANOLA 2.91 CHF 2.30 COCOA 2.65 COFFEE 0.42 COPPER 0.88 CORN 1.18 COTTON2 0.83 CRUDE_W 4.01 DAX 17.38 DOW 9.82 EUR 2.39 EUROSTX 2.98 FEEDCOW 1.40 FTSE100 6.27 GASOIL 2.21 GASOILINE 0.88 GAS_US 0.58 GBP 1.77 GOLD_micro 5.57 HEATOIL 1.63 JPY 4.35 LEANHOG 3.45 LIVECOW 2.94 MXP 2.77 NASDAQ 0.92 NIKKEI 46.05 NZD 1.42 OAT 1.15 OJ 0.86 PALLAD 0.30 PLAT 1.08 REDWHEAT 0.26 ROBUSTA 1.42 RUSSELL 21.05 SILVER-mini 1.01 SOYBEAN 3.97 SOYMEAL 5.38 SOYOIL 0.72 SP400 0.87 SP500 0.74 SUGAR11 1.40 US10 3.13 US10U 9.10 US20 3.23 US30 2.59 US5 4.34 VIX 13.27 WHEAT 0.37 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.6 0.0 0 BITCOIN -6.3 -7.4 -5.2 -19.0 -19 BOBL 11.1 10.4 11.9 0.0 0 BTP 1.4 1.3 1.6 3.0 3 BUND 5.4 5.0 5.8 7.0 7 BUXL -0.9 -1.1 -0.7 0.0 0 CAC 2.6 2.4 2.8 2.0 2 CAD 1.9 1.7 2.2 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -3.2 -3.5 -3.0 -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 1.2 1.0 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 5.6 3.9 7.3 0.0 0 DOW 0.5 -0.5 1.5 0.0 0 EUR -3.0 -3.3 -2.8 -3.0 -3 EUROSTX 0.2 -0.1 0.5 0.0 0 FEEDCOW -1.1 -1.3 -1.0 0.0 0 FTSE100 4.8 4.2 5.5 0.0 0 GASOIL -1.0 -1.2 -0.8 -1.0 -1 GASOILINE -0.3 -0.4 -0.3 0.0 0 GAS_US -0.8 -0.9 -0.8 -2.0 -2 GBP 1.2 1.0 1.4 9.0 9 GOLD_micro -7.4 -8.0 -6.9 -9.0 -9 HEATOIL -0.7 -0.9 -0.5 -1.0 -1 JPY -4.3 -4.7 -3.9 -11.0 -11 LEANHOG -6.4 -6.7 -6.0 -7.0 -7 LIVECOW 4.4 4.1 4.7 0.0 0 MXP 4.2 3.9 4.5 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 63.3 58.7 67.9 0.0 0 NZD 1.1 1.0 1.3 0.0 0 OAT 1.6 1.5 1.8 0.0 0 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.0 -0.1 -0.0 0.0 0 PLAT 0.9 0.8 1.0 0.0 0 REDWHEAT 0.2 0.2 0.3 0.0 0 ROBUSTA 1.3 1.2 1.5 2.0 2 RUSSELL 8.2 6.1 10.3 -1.0 -1 SILVER-mini -0.7 -0.8 -0.6 0.0 0 SOYBEAN 1.0 0.6 1.4 0.0 0 SOYMEAL -1.4 -1.9 -0.8 -1.0 -1 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.4 0.3 0.5 8.0 8 SP500 0.3 0.3 0.4 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -1.0 -1.3 -0.7 NaN 0 US10U -10.5 -11.4 -9.6 -9.0 -9 US20 -2.6 -2.9 -2.3 -2.0 -2 US30 0.0 -0.3 0.3 0.0 0 US5 -1.2 -1.7 -0.8 0.0 0 VIX -26.5 -27.9 -25.2 -16.0 -16 WHEAT -0.2 -0.2 -0.2 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.6 2.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.3 BITCOIN -0.1 -0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.3 -0.0 -0.2 -0.0 0.2 -0.2 -0.1 -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 0.1 -0.1 -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 -0.1 -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 0.3 0.0 0.1 BUND 0.0 -0.0 0.2 0.0 -0.0 0.0 -0.2 -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 -0.1 -0.2 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.3 -0.0 1.2 -2.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.6 0.0 -0.0 -0.1 -0.1 CAC -0.1 0.2 0.1 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.4 0.0 0.4 0.0 0.3 0.9 0.2 0.2 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 2.4 -0.1 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 0.2 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 -0.1 -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 -0.1 0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 1.4 2.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.3 -0.4 -0.3 -0.3 CORN -0.1 -0.1 -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 0.0 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 1.8 -0.0 -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 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 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 -1.4 -0.0 -0.1 0.2 0.1 DAX -0.0 0.2 0.1 0.1 0.0 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 0.1 0.1 DOW -0.2 0.1 -0.1 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.2 -0.0 0.1 0.0 0.1 -0.6 -0.3 -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 0.1 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 -0.1 0.1 0.1 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 0.2 0.0 -2.2 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 1.6 0.0 0.1 0.0 0.1 FEEDCOW -0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.3 0.0 0.3 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.2 0.0 -3.4 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 0.8 -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 0.4 -0.0 -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 0.3 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 0.0 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 -0.1 0.1 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.2 -1.0 -0.5 -0.3 -0.3 0.1 0.2 -0.0 0.1 -0.0 -0.7 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -2.0 -0.0 -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 0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 1.4 -0.0 -0.1 -0.1 -0.1 JPY -0.1 -0.3 -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 1.1 2.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.5 -0.1 -0.4 -0.3 -0.3 LEANHOG -0.1 -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 -1.2 -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 -0.2 -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 -0.1 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 0.3 0.2 0.3 NASDAQ 0.1 0.2 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.0 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 -0.8 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 -0.2 -0.0 -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 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.1 -0.1 -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 -0.1 -0.0 -0.3 PLAT -0.1 0.2 0.1 0.1 -0.0 0.1 -0.1 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 0.2 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 0.4 0.1 0.1 ROBUSTA -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 1.0 0.4 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -3.3 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 0.0 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 -0.0 -0.3 -0.3 SILVER-mini -0.2 0.1 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.2 -0.4 -0.2 -0.1 -0.1 0.0 0.1 -0.0 0.1 -0.0 -0.0 -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 -0.0 -0.3 -0.2 -0.1 SOYOIL -0.0 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.0 -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 -0.3 -0.3 -0.3 SP400 -0.0 -0.1 -0.2 0.1 0.0 0.1 0.1 0.1 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 1.9 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 0.0 0.1 0.1 0.1 0.1 0.0 0.3 0.0 -0.1 0.0 0.3 -0.7 -0.3 -0.2 -0.2 0.1 0.1 0.0 0.0 0.0 0.3 2.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.0 0.1 -0.0 0.1 SUGAR11 -0.0 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 0.1 -0.0 -0.2 -0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -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 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============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 2.6 -1.8 -7.9 2.6 -5.5 3.2 -4.3 0.5 -0.6 -12.5 -0.3 -10.6 -5.7 -8.1 -12.6 -3.7 -3.2 -3.7 -3.6 -5.6 -5.5 -8.5 -6.6 -5.9 13.9 11.7 -2.3 -6.7 -2.5 -5.4 -3.7 -3.1 -0.9 -4.8 -2.5 -10.3 -17.3 BITCOIN -13.6 -1.3 20.0 3.5 -3.4 4.2 -2.7 3.4 0.5 -2.1 11.3 -10.8 -6.7 -9.7 7.5 -4.8 -2.5 -4.0 -3.2 3.8 9.5 -5.7 1.6 -4.8 8.6 -18.1 0.3 -0.5 3.8 -3.2 2.2 -3.5 0.1 16.7 -4.9 -20.0 4.8 BOBL 3.6 1.2 16.4 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.4 -2.0 -9.2 -12.0 -2.3 5.4 13.2 7.5 8.9 6.8 0.4 -4.6 -11.9 -15.8 -3.6 8.3 10.8 1.6 -7.1 0.1 -6.1 -6.7 -1.7 13.8 -0.1 10.2 0.6 2.9 BTP 0.8 -2.0 5.1 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.3 7.4 -5.8 -8.0 -4.8 2.8 11.0 11.9 10.0 10.8 1.1 1.2 -7.3 -8.4 -2.5 -9.6 11.4 2.4 -6.6 3.1 -4.5 -2.5 -0.9 20.0 12.2 11.9 0.7 7.5 BUND 1.7 -0.8 9.5 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.1 -4.7 -10.4 -12.8 -6.0 0.6 7.5 12.2 7.9 9.6 -2.1 -6.3 -11.6 -17.3 -5.2 6.2 12.3 0.5 -6.6 -0.2 -6.1 -6.0 -2.5 20.0 3.0 6.5 -2.3 0.9 BUXL -2.5 -5.9 4.6 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -12.5 -11.0 -12.7 -14.1 -12.6 -8.0 1.7 1.0 1.9 2.2 -8.7 -11.7 -13.6 -20.0 -10.4 9.6 -10.8 -2.3 -6.3 -2.5 -6.8 -6.4 -4.6 4.7 2.7 -1.2 -9.3 -7.0 CAC -11.8 9.8 5.5 3.8 0.5 3.9 3.1 2.5 3.3 -3.2 15.5 3.5 13.8 10.9 12.8 11.1 5.3 11.2 7.4 13.1 20.0 2.2 20.0 6.2 -15.2 8.9 5.6 -3.0 7.4 1.9 7.4 4.0 18.4 -4.9 2.6 1.7 7.7 CAD 2.6 8.5 4.4 2.6 -5.5 3.2 -4.3 0.5 -0.6 -6.8 -0.7 0.1 -9.4 1.6 3.5 -2.9 -2.1 -2.8 -2.6 1.4 -1.8 -1.9 -7.3 0.8 16.1 10.4 1.9 -2.0 0.0 -0.8 -3.4 1.2 0.9 5.0 7.4 4.1 -4.7 CANOLA 4.1 -3.3 -18.7 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -14.0 -13.0 -13.0 -13.8 -11.3 -13.3 20.0 20.0 20.0 20.0 -19.4 -20.0 -20.0 -16.0 -17.3 20.0 13.2 -5.8 -6.0 -6.9 -4.1 -5.1 -3.8 20.0 -20.0 -4.8 -9.2 -20.0 CHF -13.5 8.6 8.3 2.6 -5.5 3.2 -4.3 0.5 -0.6 -7.1 13.3 -10.3 9.4 1.1 8.8 -15.9 -14.6 -15.2 -15.1 6.9 11.3 -10.1 7.7 -3.1 -5.2 -11.5 3.2 -3.8 4.8 -4.3 2.6 -1.2 -20.0 -2.5 -10.2 5.8 8.9 COCOA -3.4 7.9 18.9 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 0.8 15.4 10.0 11.0 12.3 14.6 -1.8 -1.3 -0.2 -0.1 18.7 20.0 10.8 15.1 14.2 -20.0 -10.4 6.2 2.6 6.9 4.1 5.5 4.9 -13.1 20.0 20.0 20.0 20.0 COFFEE -6.8 11.5 14.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 2.9 1.2 1.2 -4.4 1.7 5.0 8.1 4.8 6.8 5.7 5.9 4.0 3.2 -2.2 3.2 3.0 10.0 3.4 1.3 2.6 2.0 -0.0 2.1 -3.1 17.1 11.4 20.0 20.0 COPPER -16.8 -19.3 -7.2 3.5 -3.4 4.2 -2.7 3.4 0.5 -12.9 2.6 -13.4 -3.2 -14.1 -12.9 -2.5 -0.9 -1.8 -1.3 -14.8 -5.1 -18.8 -1.0 -20.0 11.5 11.1 -5.2 -4.7 -2.5 -6.0 -0.6 -6.5 2.7 -20.0 -20.0 -20.0 -20.0 CORN -8.9 -9.9 -20.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 5.1 -14.3 -9.7 -8.1 -13.7 -15.0 0.5 15.9 8.2 13.2 -20.0 -20.0 -10.7 -9.7 -20.0 20.0 11.0 -6.1 2.0 -5.7 -2.4 -3.4 -5.2 13.5 -0.6 -20.0 -20.0 -20.0 COTTON2 12.4 8.7 3.3 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 5.8 -2.0 9.4 -11.8 8.5 1.4 1.1 6.0 -1.4 0.0 2.6 -4.5 11.4 -8.3 9.2 -0.2 12.0 1.9 1.7 -1.0 6.5 -1.1 5.3 -7.0 20.0 20.0 20.0 3.5 CRUDE_W -12.0 -2.6 -8.3 -3.8 1.9 -3.3 0.7 -0.8 -2.3 11.0 -2.8 -0.4 -5.9 -6.2 -4.3 6.9 10.8 7.9 8.7 -7.3 -5.5 0.1 -1.3 -6.2 -11.3 10.8 -3.2 2.6 -2.1 -0.1 0.6 -2.8 -10.4 -5.3 -6.9 13.3 5.8 DAX -1.3 10.7 7.4 3.8 0.5 3.9 3.1 2.5 3.3 3.7 16.2 8.6 12.0 13.8 15.0 -8.7 -6.5 -8.4 -8.0 14.0 18.6 10.6 16.3 11.1 -17.8 9.9 6.0 2.8 6.6 5.6 5.3 5.9 -4.0 5.4 15.7 3.9 7.4 DOW -12.0 5.3 -5.0 3.8 0.5 3.9 3.1 2.5 3.3 -7.3 7.7 -9.3 3.4 0.3 2.7 -8.4 -6.0 -8.1 -7.6 -0.7 1.3 -7.0 1.4 -4.3 1.8 10.8 -0.4 -6.0 1.6 -4.3 2.1 -2.9 -3.3 -19.7 -15.6 -11.3 -8.7 EUR -18.9 0.1 8.4 2.6 -5.5 3.2 -4.3 0.5 -0.6 -12.5 12.8 -13.9 2.1 -8.2 4.4 -7.4 -8.4 -7.4 -7.8 0.2 7.9 -17.6 3.6 -11.3 -9.9 -11.1 0.5 -6.7 3.5 -7.8 1.2 -4.8 -9.0 -10.3 -18.6 -6.0 -0.1 EUROSTX -5.7 9.3 5.9 3.8 0.5 3.9 3.1 2.5 3.3 1.4 16.0 7.6 13.9 12.8 14.2 -5.4 2.9 -2.1 0.9 13.2 19.4 7.2 19.2 8.8 -16.5 -8.5 6.0 0.5 7.2 4.5 6.8 5.4 12.1 2.1 9.8 1.5 6.1 FEEDCOW -17.7 13.1 20.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 11.6 14.3 13.8 11.8 13.8 14.4 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 15.8 20.0 -20.0 12.2 5.9 3.6 6.3 5.0 4.9 5.0 -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 -1.8 -15.3 -20.0 -3.8 1.9 -3.3 0.7 -0.8 -2.3 3.3 -13.7 2.0 1.5 -7.5 -12.1 1.5 20.0 8.8 15.7 -18.1 -17.1 -2.4 -3.6 -11.3 7.8 -15.4 -5.4 0.1 -5.3 -0.8 -2.2 -3.5 5.8 -1.5 -4.8 -5.6 -9.6 GASOILINE -6.1 -6.5 -4.5 -3.8 1.9 -3.3 0.7 -0.8 -2.3 13.7 2.5 10.7 -0.9 -2.7 -3.2 20.0 16.7 20.0 16.2 -3.4 -1.3 9.7 4.3 0.2 -20.0 -13.1 -1.9 5.9 -0.1 3.7 3.9 -0.4 -0.1 11.8 5.6 9.8 11.1 GAS_US 14.4 15.4 -20.0 -3.8 1.9 -3.3 0.7 -0.8 -2.3 0.2 -16.3 4.1 -15.2 0.3 -12.3 -20.0 -18.3 -20.0 -20.0 -15.0 -20.0 4.1 -20.0 -0.6 20.0 -9.3 -3.7 -0.4 -6.7 2.3 -5.0 0.3 -20.0 6.0 13.7 1.5 -1.1 GBP -6.8 6.9 12.6 2.6 -5.5 3.2 -4.3 0.5 -0.6 -12.6 14.6 -11.4 1.4 1.3 11.5 -1.9 -1.9 -1.8 -2.0 7.8 10.1 -8.0 2.5 -0.5 0.3 9.4 3.7 -4.8 3.7 -4.2 -1.3 -0.3 1.6 -4.0 2.0 2.4 3.9 GOLD_micro -11.6 1.3 12.0 3.5 -3.4 4.2 -2.7 3.4 0.5 -8.2 12.5 -10.7 5.3 -6.1 8.6 -12.9 -11.5 -12.5 -12.4 6.1 13.2 -13.2 10.8 -5.6 -5.2 -13.8 2.9 -4.0 5.5 -5.1 4.7 -1.9 -15.9 -6.1 -5.9 -11.1 5.1 HEATOIL 0.2 -10.2 -20.0 -3.8 1.9 -3.3 0.7 -0.8 -2.3 1.7 -13.0 2.6 0.5 -6.7 -11.8 0.3 20.0 8.5 17.0 -15.9 -15.6 -2.8 -3.3 -9.8 0.7 -13.6 -5.2 -0.4 -4.5 -1.0 -0.0 -3.4 9.9 -10.1 -6.2 -6.1 -10.2 JPY -11.2 -16.7 -4.8 2.6 -5.5 3.2 -4.3 0.5 -0.6 -13.3 0.3 -13.6 -7.7 -13.4 -13.0 -16.1 -14.1 -15.9 -15.4 -14.9 -8.5 -20.0 -10.4 -19.7 7.8 9.9 -4.4 -6.9 -2.1 -8.3 -3.8 -7.0 -20.0 -10.8 -20.0 -20.0 -18.3 LEANHOG -8.0 -9.5 -20.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -14.0 -15.7 -15.1 -13.7 -15.3 -15.9 -14.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.3 -20.0 20.0 -11.1 -6.3 -6.1 -6.7 -5.8 -5.1 -5.5 -20.0 -19.8 -12.5 -20.0 -20.0 LIVECOW -9.0 9.4 6.1 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 3.6 13.4 8.9 11.8 11.4 11.8 20.0 9.1 20.0 20.0 10.7 12.5 7.9 10.6 8.8 -20.0 12.0 4.1 0.1 5.4 3.2 5.7 3.4 20.0 20.0 16.8 20.0 20.0 MXP 2.7 12.4 10.0 2.6 -5.5 3.2 -4.3 0.5 -0.6 -13.5 15.6 0.9 15.7 8.6 14.1 20.0 20.0 20.0 20.0 19.5 20.0 -4.8 20.0 10.3 -20.0 9.7 5.7 -6.9 7.3 -1.7 7.8 3.2 20.0 13.3 18.3 11.5 20.0 NASDAQ 7.4 12.0 20.0 3.8 0.5 3.9 3.1 2.5 3.3 7.8 13.7 13.5 -3.2 14.9 15.8 -9.8 -6.7 -9.0 -8.1 20.0 17.8 20.0 5.5 20.0 -6.6 10.2 6.2 3.8 5.6 6.6 3.4 6.5 -4.1 20.0 20.0 8.9 20.0 NIKKEI 20.0 20.0 17.8 3.8 6.0 3.8 5.0 2.4 3.7 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 -1.7 2.6 -5.5 3.2 -4.3 0.5 -0.6 -3.3 7.4 2.2 -1.0 2.6 -4.8 1.2 0.8 1.0 0.8 1.3 0.3 1.4 -2.4 2.6 1.7 10.8 1.9 -0.6 1.1 0.7 -1.1 2.1 6.2 5.3 15.2 -4.7 -10.3 OAT 1.6 -0.7 3.8 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.1 -5.8 -10.4 -12.7 -6.6 -1.8 12.3 12.4 11.6 11.9 -2.6 -6.3 -11.2 -16.2 -5.2 4.0 12.7 0.6 -6.7 -0.3 -5.9 -6.2 -2.3 20.0 4.7 7.7 -0.8 -0.2 OJ -20.0 -11.3 -1.2 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 13.2 13.2 3.7 14.7 3.0 10.3 18.5 20.0 20.0 20.0 11.3 19.7 18.2 20.0 6.6 -20.0 -14.3 3.9 13.3 8.3 5.5 10.9 1.6 20.0 20.0 5.2 20.0 20.0 PALLAD 0.9 20.0 -4.8 3.5 -3.4 4.2 -2.7 3.4 0.5 -12.3 -12.6 -5.5 -14.1 -3.2 -4.3 -2.6 -2.5 -2.9 -2.8 -3.2 -12.4 -7.1 -19.2 -2.2 20.0 -11.1 0.9 -5.2 -1.9 -2.9 -4.4 0.1 0.1 1.4 -7.1 -1.1 -17.8 PLAT -9.1 12.7 4.5 3.5 -3.4 4.2 -2.7 3.4 0.5 -11.5 8.5 -9.9 5.3 3.3 7.2 -2.0 -1.6 -2.2 -2.0 7.9 8.4 -4.3 5.6 2.0 1.9 11.2 3.5 -2.5 3.6 -1.7 2.1 1.1 1.5 5.5 -8.0 5.8 -5.3 REDWHEAT 15.7 7.5 1.3 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -8.3 -6.5 5.4 -11.7 6.4 4.4 7.7 5.9 8.6 8.1 1.3 -3.0 -0.6 -4.4 3.9 1.8 12.9 -0.8 -2.9 -1.9 -0.4 -0.9 0.7 1.4 7.8 19.3 9.0 3.7 ROBUSTA -11.8 16.5 20.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 8.4 14.6 11.6 10.3 15.1 15.9 12.7 10.6 11.8 11.4 20.0 20.0 19.9 15.3 20.0 -20.0 9.6 6.4 2.8 5.7 4.4 3.6 5.3 6.7 20.0 20.0 20.0 20.0 RUSSELL 5.9 -2.7 -10.6 3.8 0.5 3.9 3.1 2.5 3.3 11.4 -8.8 10.2 -10.2 2.6 -11.8 -6.0 -4.8 -5.9 -5.7 -6.0 -8.1 9.1 -8.3 1.5 15.0 10.0 -3.0 6.0 -2.9 4.7 -1.7 0.5 -0.6 9.2 -1.4 -20.0 -19.0 SILVER-mini -20.0 6.4 7.8 3.5 -3.4 4.2 -2.7 3.4 0.5 -11.8 10.3 -13.8 3.8 -7.3 7.1 -6.1 -5.3 -6.1 -5.9 3.0 9.8 -18.6 7.0 -11.1 -0.0 -11.3 0.7 -4.2 2.5 -6.0 1.4 -3.6 -5.1 -20.0 -19.8 -5.9 -7.3 SOYBEAN -13.3 -16.4 -20.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -9.5 -12.4 -13.2 -7.8 -14.9 -14.8 20.0 20.0 20.0 20.0 -20.0 -19.3 -20.0 -8.9 -20.0 9.1 -11.7 -6.0 -3.6 -4.5 -6.2 -1.7 -6.7 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -14.7 -20.0 -13.7 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -12.0 3.0 -13.4 7.8 -14.2 -13.8 20.0 20.0 20.0 20.0 -16.9 -3.1 -20.0 10.6 -20.0 -20.0 -12.0 -5.0 -5.8 -1.3 -6.1 3.2 -6.0 20.0 -5.8 -13.4 -11.2 -6.8 SOYOIL -3.0 -12.3 -20.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -6.7 -14.5 -10.6 -9.6 -12.8 -14.3 5.4 11.1 4.8 6.4 -20.0 -20.0 -19.4 -12.6 -20.0 14.7 12.9 -6.2 -2.0 -5.7 -4.7 -3.1 -5.8 3.0 -20.0 -16.3 -18.6 -20.0 SP400 -2.0 -4.1 -13.1 3.8 0.5 3.9 3.1 2.5 3.3 1.5 -1.8 0.2 -2.6 -2.7 -10.1 -5.6 -4.6 -5.6 -5.3 -6.8 -5.4 0.1 -2.7 -3.6 11.8 10.2 -4.1 -0.2 -2.9 0.0 -0.5 -2.3 -0.0 -4.6 -10.1 -20.0 -20.0 SP500 -2.3 8.7 7.3 3.8 0.5 3.9 3.1 2.5 3.3 1.6 12.0 8.6 -3.2 11.3 12.1 -9.4 -6.9 -8.9 -8.1 8.2 6.9 6.7 1.4 7.5 2.4 10.2 4.3 0.4 4.4 3.6 2.3 3.8 -4.2 3.3 4.3 -2.9 4.7 SUGAR11 -4.6 20.0 20.0 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -7.4 15.7 1.5 14.3 13.1 14.8 7.5 20.0 14.0 20.0 20.0 20.0 3.0 20.0 18.9 -20.0 -10.5 5.8 -0.3 6.5 0.5 5.5 3.2 20.0 4.4 20.0 20.0 20.0 US10 -8.0 1.7 16.9 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.4 6.5 -13.5 -9.4 -8.9 7.2 -11.5 -6.3 -10.5 -9.5 -0.3 0.8 -19.1 -8.2 -9.5 -3.8 9.7 1.6 -8.4 2.7 -7.9 -1.4 -3.3 -12.1 -6.2 -1.5 2.8 6.2 US10U -9.4 -0.3 14.8 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.2 5.8 -14.0 -9.7 -10.8 5.1 -10.2 -1.6 -6.9 -4.6 -2.1 -0.6 -18.9 -9.1 -10.7 -4.7 -14.1 1.0 -8.9 2.8 -8.6 -0.8 -4.1 -3.5 -4.4 -3.5 0.5 5.4 US20 -12.5 -2.9 13.6 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.5 6.1 -14.9 -8.4 -13.4 3.0 -1.6 -1.5 -2.1 -2.4 -4.4 -1.7 -20.0 -9.0 -13.3 -0.4 -12.3 -0.4 -9.3 1.5 -9.3 -1.6 -5.3 -1.9 -4.6 -8.1 -3.1 2.6 US30 -12.4 -5.4 8.4 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -13.2 2.9 -15.0 -10.2 -14.3 -4.6 -2.3 -1.1 -1.9 -1.6 -7.5 -5.1 -18.9 -13.1 -14.3 -0.3 10.0 -1.8 -9.2 0.6 -9.7 -2.3 -6.5 -0.6 -1.6 -9.0 -6.0 -1.0 US5 -7.0 3.0 20.0 0.6 -7.4 1.2 -7.0 -2.6 -3.2 -14.0 6.2 -13.4 -9.4 -8.2 7.7 -11.8 -6.9 -10.9 -10.0 0.8 1.5 -19.6 -8.0 -8.8 -2.8 10.8 1.8 -8.5 2.5 -7.6 -2.1 -2.8 -13.1 -7.8 -0.1 4.1 5.3 VIX -3.9 -7.9 5.4 -4.6 -1.4 -6.4 -4.3 -7.9 -4.7 -2.7 -15.3 -11.8 -14.6 -13.6 -14.3 -20.0 -20.0 -20.0 -20.0 -11.4 -14.1 -8.9 -16.5 -11.1 NaN -13.5 -5.4 -1.6 -8.1 -5.0 -10.9 -5.4 NaN NaN NaN NaN NaN WHEAT 5.4 -2.5 -9.9 -4.7 -4.1 -3.7 -4.4 -2.4 -4.9 -7.8 -14.8 -9.9 -15.4 -11.5 -13.4 -11.9 -9.6 -12.2 -11.4 -18.7 -20.0 -13.1 -17.7 -15.9 16.7 11.9 -5.8 -1.7 -5.6 -3.6 -3.7 -4.7 -20.0 -6.8 -7.4 -15.7 -18.5 End of report for caleb_strategy_v1