******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230524_204704 produced at 2023-05-24 21:37:31.886785 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.50 0.0 4.674838e+07 -4.674838e+07 -0.42 -0.42 -10.72 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.14 -0.24 0.0 8.872117e+06 -8.872117e+06 -0.14 -0.16 -26.54 999999999.0 -16 -18 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.18 0.0 5.412919e+07 -5.412919e+07 -0.11 -0.11 -3.31 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.17 0.0 5.261224e+07 -5.261224e+07 -0.16 -0.21 -3.16 999999999.0 -3 -4 caleb_strategy_v1 JPY False False 0.04 -0.39 -0.16 0.0 3.524419e+07 -3.524419e+07 -0.39 -0.39 -4.48 999999999.0 -11 -11 caleb_strategy_v1 US20 False False 0.05 -0.10 -0.13 0.0 4.953924e+07 -4.953924e+07 -0.10 -0.15 -2.72 999999999.0 -2 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.08 0.0 1.255385e+07 -1.255385e+07 -0.09 -0.09 -6.40 999999999.0 -7 -7 caleb_strategy_v1 US5 False False 0.04 0.00 -0.06 0.0 4.240027e+07 -4.240027e+07 0.00 -0.04 -1.39 999999999.0 0 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.07 -0.06 0.0 7.668714e+06 -7.668714e+06 -0.07 -0.08 -7.59 999999999.0 -9 -11 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.05 0.0 5.647830e+07 -5.647830e+07 0.00 0.00 -0.91 999999999.0 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 4.461097e+07 -4.461097e+07 0.00 0.00 -1.06 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.643693e+07 -4.643693e+07 0.00 0.00 -1.08 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.916379e+07 -3.916379e+07 -0.04 -0.04 -0.68 999999999.0 -1 -1 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.03 0.0 2.699742e+07 -2.699742e+07 -0.03 -0.03 -1.02 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.181125e+07 -1.181125e+07 -0.05 -0.05 -2.29 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 2.292533e+07 -2.292533e+07 0.00 0.00 -0.74 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 -0.02 -0.02 0.0 1.526629e+07 -1.526629e+07 -0.02 -0.02 -1.43 999999999.0 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 4.150955e+07 -4.150955e+07 0.00 0.00 -0.30 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.031432e+06 -1.031432e+06 -0.02 -0.02 -6.37 999999999.0 -19 -19 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.725080e+07 -1.725080e+07 0.00 0.00 -0.33 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 1.031042e+07 -1.031042e+07 -0.02 -0.02 -0.84 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 5.497195e+07 -5.497195e+07 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.577048e+07 -1.577048e+07 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.124453e+07 -1.124453e+07 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.00 0.0 5.258048e+07 -5.258048e+07 0.00 -0.05 -0.04 999999999.0 0 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.242878e+07 -1.242878e+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 1.795351e+07 -1.795351e+07 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.00 0.0 6.418019e+06 -6.418019e+06 0.00 -0.10 -0.19 999999999.0 0 -15 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 -0.00 0.0 2.818363e+07 -2.818363e+07 0.03 0.00 -0.09 999999999.0 1 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 1.003292e+07 -1.003292e+07 0.02 0.02 1.35 999999999.0 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.115370e+07 -1.115370e+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 2.750307e+07 -2.750307e+07 0.03 0.03 0.38 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 3.479472e+07 -3.479472e+07 0.00 0.00 0.15 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.014724e+07 -1.014724e+07 0.05 0.05 1.16 999999999.0 5 5 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.598154e+07 -1.598154e+07 0.02 0.02 0.48 999999999.0 1 1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.556889e+07 -2.556889e+07 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.382574e+07 -2.382574e+07 0.00 0.00 0.87 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 6.687355e+06 -6.687355e+06 0.00 0.01 3.05 999999999.0 0 2 caleb_strategy_v1 SP500 False False 0.08 0.00 0.02 0.0 8.059654e+07 -8.059654e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.02 0.0 2.314763e+07 -2.314763e+07 0.00 0.00 0.95 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.00 0.02 0.0 3.455435e+06 -3.455435e+06 -0.00 0.00 6.98 999999999.0 -1 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.819729e+06 -3.819729e+06 0.00 0.00 5.87 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.02 0.0 2.010883e+07 -2.010883e+07 0.00 0.00 0.80 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.27 0.03 0.0 3.021698e+07 -3.021698e+07 0.27 0.30 1.13 999999999.0 9 10 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.089668e+07 -1.089668e+07 0.00 0.00 3.98 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.76 0.04 0.0 9.472450e+07 -9.472450e+07 0.76 0.76 0.39 999999999.0 8 8 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.876207e+07 -2.876207e+07 0.00 0.00 1.78 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.064947e+08 -1.064947e+08 0.00 0.00 0.57 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.06 0.0 3.040799e+07 -3.040799e+07 0.06 0.06 2.06 999999999.0 2 2 caleb_strategy_v1 BTP False False 0.05 0.14 0.07 0.0 4.789991e+07 -4.789991e+07 0.14 0.14 1.43 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.406286e+07 -5.406286e+07 0.00 0.00 1.62 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.11 0.0 2.568224e+07 -2.568224e+07 0.00 0.00 4.16 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 4.76 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.39 0.30 0.0 5.642772e+07 -5.642772e+07 0.39 0.45 5.34 999999999.0 7 8 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.50 0.0 0.000000e+00 0.000000e+00 0.00 0.00 58.14 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.55 0.0 4.934580e+07 -4.934580e+07 0.00 0.00 11.11 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 18.2 Shocked risk 56.8 Sum abs risk 52.3 Leverage 4.16 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2558577.71, 'annual_cash_vol_target': 639644.4275, 'daily_cash_vol_target': 39977.77671875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6542 0.7107 11.3707 BITCOIN 879.2547 26390.0000 3.3318 53.3084 BOBL 0.3465 117.0600 0.2960 4.7363 BTP 0.6223 113.6300 0.5477 8.7629 BUND 0.6726 133.8600 0.5025 8.0396 BUXL 1.6129 133.9800 1.2038 19.2610 CAC 59.5895 7213.5000 0.8261 13.2173 CAD 0.0034 0.7359 0.4676 7.4820 CANOLA 8.4411 660.0000 1.2790 20.4633 CHF 0.0052 1.1080 0.4727 7.5631 COCOA 32.8136 3022.0000 1.0858 17.3732 COFFEE 3.2636 187.6500 1.7392 27.8274 COPPER 0.0511 3.5610 1.4351 22.9620 CORN 6.0586 519.2500 1.1668 18.6688 COTTON2 1.5287 81.7800 1.8693 29.9093 CRUDE_W 1.3308 72.1100 1.8455 29.5275 DAX 131.2014 15864.0000 0.8270 13.2326 DOW 236.0244 32842.0000 0.7187 11.4987 EUR 0.0050 1.0769 0.4626 7.4017 EUROSTX 38.2475 4259.0000 0.8980 14.3686 FEEDCOW 1.5207 237.6250 0.6400 10.2392 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 12.9424 690.7500 1.8737 29.9788 GASOILINE 0.0447 2.5287 1.7668 28.2682 GAS_US 0.1039 2.6380 3.9396 63.0336 GBP 0.0065 1.2370 0.5249 8.3983 GOLD_micro 16.1350 1962.1000 0.8223 13.1573 HEATOIL 0.0416 2.3858 1.7452 27.9230 JPY 0.0000 0.0072 0.6573 10.5170 LEANHOG 1.3479 80.3000 1.6786 26.8576 LIVECOW 0.9658 164.2750 0.5879 9.4070 MXP 0.0004 0.0558 0.6596 10.5539 NASDAQ 120.1941 13623.7500 0.8822 14.1158 NIKKEI 240.6403 30480.0000 0.7895 12.6320 NZD 0.0054 0.6096 0.8804 14.0860 OAT 0.6449 128.2500 0.5029 8.0461 OJ 5.5615 294.2500 1.8901 30.2410 PALLAD 32.9633 1406.5000 2.3436 37.4983 PLAT 18.5206 1029.0000 1.7999 28.7978 REDWHEAT 16.7779 807.0000 2.0790 33.2646 ROBUSTA 36.2199 2567.0000 1.4110 22.5757 RUSSELL 20.2645 1768.2000 1.1461 18.3368 SILVER-mini 0.3582 23.4625 1.5268 24.4291 SOYBEAN 11.7838 1184.5000 0.9948 15.9173 SOYMEAL 4.3511 390.6000 1.1140 17.8234 SOYOIL 0.8412 47.9500 1.7544 28.0703 SP400 24.1565 2423.6000 0.9967 15.9475 SP500 31.3641 4124.2500 0.7605 12.1677 SUGAR11 0.3522 25.4800 1.3822 22.1153 US10 0.4893 114.1406 0.4286 6.8584 US10U 0.6370 119.6094 0.5326 8.5210 US20 0.9083 126.7500 0.7166 11.4654 US30 1.2872 134.5312 0.9568 15.3093 US5 0.3524 108.4844 0.3249 5.1981 VIX 0.5677 22.7000 2.5009 40.0140 WHEAT 11.8190 636.0000 1.8583 29.7332 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.20 0.71 464.92 1.00 464.92 39977.78 85.99 2.32 19.98 BITCOIN 26.39 3.33 87.93 1.00 87.93 39977.78 454.68 -5.95 -270.46 BOBL 1170.60 0.30 346.52 1.08 374.43 39977.78 106.77 14.43 154.02 BTP 1136.30 0.55 622.33 1.08 672.46 39977.78 59.45 11.91 70.83 BUND 1338.60 0.50 672.61 1.08 726.79 39977.78 55.01 13.44 73.95 BUXL 1339.80 1.20 1612.87 1.08 1742.78 39977.78 22.94 -4.73 -10.84 CAC 721.35 0.83 595.90 1.08 643.89 39977.78 62.09 11.82 73.37 CAD 735.90 0.47 344.13 1.00 344.13 39977.78 116.17 8.57 99.54 CANOLA 132.00 1.28 168.82 0.74 125.03 39977.78 319.73 20.00 639.47 CHF 1384.94 0.47 654.65 1.00 654.65 39977.78 61.07 -14.50 -88.57 COCOA 302.20 1.09 328.14 1.00 328.14 39977.78 121.83 -8.65 -105.35 COFFEE 703.69 1.74 1223.86 1.00 1223.86 39977.78 32.67 8.91 29.10 COPPER 890.25 1.44 1277.62 1.00 1277.62 39977.78 31.29 1.74 5.45 CORN 259.62 1.17 302.93 1.00 302.93 39977.78 131.97 9.75 128.63 COTTON2 408.90 1.87 764.37 1.00 764.37 39977.78 52.30 6.10 31.89 CRUDE_W 721.10 1.85 1330.77 1.00 1330.77 39977.78 30.04 -0.23 -0.68 DAX 158.64 0.83 131.20 1.08 141.77 39977.78 281.99 1.99 56.14 DOW 164.21 0.72 118.01 1.00 118.01 39977.78 338.76 -0.20 -6.76 EUR 1346.12 0.46 622.73 1.00 622.73 39977.78 64.20 -13.14 -84.34 EUROSTX 425.90 0.90 382.48 1.08 413.28 39977.78 96.73 -0.42 -4.10 FEEDCOW 1188.12 0.64 760.34 1.00 760.34 39977.78 52.58 -7.65 -40.22 FTSE100 707.00 0.82 576.59 1.24 666.67 39977.78 59.97 7.70 46.16 GASOIL 690.75 1.87 1294.24 1.00 1294.24 39977.78 30.89 -4.63 -14.29 GASOILINE 1062.05 1.77 1876.40 1.00 1876.40 39977.78 21.31 -3.44 -7.33 GAS_US 263.80 3.94 1039.27 1.00 1039.27 39977.78 38.47 -14.55 -55.98 GBP 773.12 0.52 405.81 1.00 405.81 39977.78 98.51 6.40 63.02 GOLD_micro 196.21 0.82 161.35 1.00 161.35 39977.78 247.77 -13.69 -339.14 HEATOIL 1002.04 1.75 1748.74 1.00 1748.74 39977.78 22.86 -4.20 -9.59 JPY 901.75 0.66 592.73 1.00 592.73 39977.78 67.45 -10.25 -69.14 LEANHOG 321.20 1.68 539.17 1.00 539.17 39977.78 74.15 -18.47 -136.92 LIVECOW 657.10 0.59 386.33 1.00 386.33 39977.78 103.48 14.96 154.79 MXP 278.80 0.66 183.90 1.00 183.90 39977.78 217.39 14.97 325.43 NASDAQ 2724.75 0.88 2403.88 1.00 2403.88 39977.78 16.63 6.30 10.48 NIKKEI 30480.00 0.79 24064.03 0.01 173.55 39977.78 230.35 13.29 306.08 NZD 609.60 0.88 536.68 1.00 536.68 39977.78 74.49 7.30 54.39 OAT 1282.50 0.50 644.95 1.08 696.90 39977.78 57.37 13.98 80.19 OJ 441.38 1.89 834.23 1.00 834.23 39977.78 47.92 -4.00 -19.15 PALLAD 1406.50 2.34 3296.33 1.00 3296.33 39977.78 12.13 -1.22 -1.48 PLAT 514.50 1.80 926.03 1.00 926.03 39977.78 43.17 7.68 33.16 REDWHEAT 403.50 2.08 838.89 1.00 838.89 39977.78 47.66 8.98 42.77 ROBUSTA 256.70 1.41 362.20 1.00 362.20 39977.78 110.38 9.46 104.40 RUSSELL 88.41 1.15 101.32 1.00 101.32 39977.78 394.56 3.41 134.68 SILVER-mini 586.56 1.53 895.58 1.00 895.58 39977.78 44.64 -7.45 -33.24 SOYBEAN 592.25 0.99 589.19 1.00 589.19 39977.78 67.85 2.39 16.20 SOYMEAL 390.60 1.11 435.11 1.00 435.11 39977.78 91.88 -2.64 -24.27 SOYOIL 287.70 1.75 504.74 1.00 504.74 39977.78 79.20 5.39 42.70 SP400 2423.60 1.00 2415.65 1.00 2415.65 39977.78 16.55 4.54 7.51 SP500 2062.12 0.76 1568.21 1.00 1568.21 39977.78 25.49 3.59 9.14 SUGAR11 285.38 1.38 394.45 1.00 394.45 39977.78 101.35 4.75 48.17 US10 1141.41 0.43 489.26 1.00 489.26 39977.78 81.71 -3.40 -27.76 US10U 1196.09 0.53 637.00 1.00 637.00 39977.78 62.76 -11.72 -73.57 US20 1267.50 0.72 908.27 1.00 908.27 39977.78 44.02 -8.39 -36.93 US30 1345.31 0.96 1287.24 1.00 1287.24 39977.78 31.06 -0.15 -0.47 US5 1084.84 0.32 352.45 1.00 352.45 39977.78 113.43 -3.20 -36.32 VIX 227.00 2.50 567.70 1.00 567.70 39977.78 70.42 -20.00 -140.84 WHEAT 318.00 1.86 590.95 1.00 590.95 39977.78 67.65 -5.70 -38.56 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 19.976 0.006 2.5 0.319 BITCOIN -270.456 0.009 2.5 -6.372 BOBL 154.016 0.029 2.5 11.113 BTP 70.834 0.008 2.5 1.431 BUND 73.945 0.029 2.5 5.336 BUXL -10.842 0.034 2.5 -0.910 CAC 73.368 0.011 2.5 2.063 CAD 99.538 0.007 2.5 1.777 CANOLA 639.467 0.004 2.5 5.870 CHF -88.573 0.015 2.5 -3.315 COCOA -105.348 0.009 2.5 -2.295 COFFEE 29.095 0.005 2.5 0.377 COPPER 5.447 0.011 2.5 0.149 CORN 128.630 0.004 2.5 1.160 COTTON2 31.887 0.006 2.5 0.480 CRUDE_W -0.685 0.053 2.5 -0.090 DAX 56.144 0.022 2.5 3.049 DOW -6.764 0.011 2.5 -0.193 EUR -84.340 0.015 2.5 -3.156 EUROSTX -4.096 0.011 2.5 -0.115 FEEDCOW -40.218 0.011 2.5 -1.081 FTSE100 46.160 0.041 2.5 4.759 GASOIL -14.290 0.029 2.5 -1.019 GASOILINE -7.331 0.016 2.5 -0.301 GAS_US -55.977 0.006 2.5 -0.843 GBP 63.015 0.007 2.5 1.125 GOLD_micro -339.139 0.009 2.5 -7.588 HEATOIL -9.592 0.029 2.5 -0.684 JPY -69.141 0.026 2.5 -4.475 LEANHOG -136.923 0.019 2.5 -6.397 LIVECOW 154.788 0.011 2.5 4.159 MXP 325.429 0.005 2.5 3.984 NASDAQ 10.482 0.022 2.5 0.569 NIKKEI 306.082 0.076 2.5 58.135 NZD 54.394 0.006 2.5 0.869 OAT 80.190 0.008 2.5 1.620 OJ -19.154 0.007 2.5 -0.334 PALLAD -1.481 0.010 2.5 -0.036 PLAT 33.156 0.010 2.5 0.798 REDWHEAT 42.771 0.002 2.5 0.228 ROBUSTA 104.405 0.005 2.5 1.354 RUSSELL 134.676 0.021 2.5 6.976 SILVER-mini -33.236 0.009 2.5 -0.744 SOYBEAN 16.197 0.024 2.5 0.955 SOYMEAL -24.267 0.024 2.5 -1.431 SOYOIL 42.695 0.004 2.5 0.392 SP400 7.509 0.021 2.5 0.389 SP500 9.140 0.011 2.5 0.260 SUGAR11 48.168 0.005 2.5 0.654 US10 -27.758 0.015 2.5 -1.065 US10U -73.568 0.058 2.5 -10.719 US20 -36.929 0.029 2.5 -2.722 US30 -0.473 0.034 2.5 -0.040 US5 -36.320 0.015 2.5 -1.393 VIX -140.841 0.075 2.5 -26.542 WHEAT -38.559 0.002 2.5 -0.206 ==================== Position diags ==================== AUD 1.37 BITCOIN 10.71 BOBL 7.70 BTP 1.20 BUND 3.97 BUXL 1.93 CAC 1.75 CAD 2.07 CANOLA 2.93 CHF 2.29 COCOA 2.65 COFFEE 0.42 COPPER 0.86 CORN 1.19 COTTON2 0.79 CRUDE_W 3.97 DAX 15.31 DOW 9.65 EUR 2.40 EUROSTX 2.72 FEEDCOW 1.41 FTSE100 6.18 GASOIL 2.20 GASOILINE 0.87 GAS_US 0.58 GBP 1.76 GOLD_micro 5.54 HEATOIL 1.63 JPY 4.37 LEANHOG 3.46 LIVECOW 2.78 MXP 2.66 NASDAQ 0.90 NIKKEI 43.75 NZD 1.19 OAT 1.16 OJ 0.84 PALLAD 0.29 PLAT 1.04 REDWHEAT 0.25 ROBUSTA 1.43 RUSSELL 20.44 SILVER-mini 1.00 SOYBEAN 4.00 SOYMEAL 5.42 SOYOIL 0.73 SP400 0.86 SP500 0.73 SUGAR11 1.38 US10 3.13 US10U 9.14 US20 3.24 US30 2.61 US5 4.35 VIX 13.27 WHEAT 0.36 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.2 0.5 0.0 0 BITCOIN -6.4 -7.4 -5.3 -19.0 -19 BOBL 11.1 10.3 11.9 0.0 0 BTP 1.4 1.3 1.6 3.0 3 BUND 5.3 4.9 5.7 7.0 7 BUXL -0.9 -1.1 -0.7 0.0 0 CAC 2.1 1.9 2.2 2.0 2 CAD 1.8 1.6 2.0 0.0 0 CANOLA 5.9 5.6 6.2 NaN 0 CHF -3.3 -3.5 -3.1 -2.0 -2 COCOA -2.3 -2.6 -2.0 -4.0 -4 COFFEE 0.4 0.3 0.4 1.0 1 COPPER 0.1 0.1 0.2 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 -0.1 -0.5 0.3 1.0 1 DAX 3.0 1.5 4.6 0.0 0 DOW -0.2 -1.2 0.8 0.0 0 EUR -3.2 -3.4 -2.9 -3.0 -3 EUROSTX -0.1 -0.4 0.2 0.0 0 FEEDCOW -1.1 -1.2 -0.9 0.0 0 FTSE100 4.8 4.1 5.4 0.0 0 GASOIL -1.0 -1.2 -0.8 -1.0 -1 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -0.8 -0.9 -0.8 -2.0 -2 GBP 1.1 0.9 1.3 9.0 9 GOLD_micro -7.6 -8.1 -7.0 -9.0 -9 HEATOIL -0.7 -0.8 -0.5 -1.0 -1 JPY -4.5 -4.9 -4.0 -11.0 -11 LEANHOG -6.4 -6.7 -6.1 -7.0 -7 LIVECOW 4.2 3.9 4.4 0.0 0 MXP 4.0 3.7 4.3 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 58.1 53.8 62.5 0.0 0 NZD 0.9 0.8 1.0 0.0 0 OAT 1.6 1.5 1.7 0.0 0 OJ -0.3 -0.4 -0.3 NaN 0 PALLAD -0.0 -0.1 -0.0 0.0 0 PLAT 0.8 0.7 0.9 0.0 0 REDWHEAT 0.2 0.2 0.3 0.0 0 ROBUSTA 1.4 1.2 1.5 2.0 2 RUSSELL 7.0 4.9 9.0 -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 -2.0 -0.9 -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 0.2 0.3 0.0 0 SUGAR11 0.7 0.5 0.8 1.0 1 US10 -1.1 -1.4 -0.8 NaN 0 US10U -10.7 -11.6 -9.8 -9.0 -9 US20 -2.7 -3.0 -2.4 -2.0 -2 US30 -0.0 -0.3 0.2 0.0 0 US5 -1.4 -1.8 -1.0 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 -0.0 -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 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 0.1 1.1 0.3 0.2 0.2 -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 2.0 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 -0.1 -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 -0.1 -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 -0.1 -0.1 0.1 0.0 -0.1 0.0 -0.2 -0.1 -0.1 -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 0.1 0.0 -0.1 -0.1 CAC -0.2 0.1 0.0 0.1 -0.1 0.1 0.0 0.1 0.0 -0.0 0.4 -0.0 0.4 0.0 0.3 0.6 0.2 0.2 0.1 0.1 0.2 -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 -0.0 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 2.2 2.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 CANOLA 0.0 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -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 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 2.7 -0.0 -0.1 -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 -0.0 -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 0.1 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 0.4 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 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.0 -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 1.5 2.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.2 -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 -0.0 -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 0.2 -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 -0.2 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 -1.5 -0.0 -0.1 0.2 0.1 DAX -0.0 0.1 0.1 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.4 0.0 0.3 0.0 0.4 -0.3 -0.2 -0.1 -0.1 0.1 0.2 0.0 0.2 0.0 -2.6 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 -0.1 0.1 0.0 0.1 0.0 -0.1 0.2 -0.0 0.1 -0.0 0.0 -0.6 -0.3 -0.2 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.2 2.1 -0.0 -0.1 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 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.3 -0.1 0.1 -0.0 0.1 -0.5 -0.3 -0.1 -0.2 -0.0 0.1 -0.0 0.0 -0.0 -1.3 -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 0.0 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.4 0.0 0.4 0.0 0.3 -0.4 0.1 -0.0 0.0 0.1 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 -0.0 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 0.9 -3.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.7 -0.1 -0.1 -0.1 -0.1 GASOILINE -0.0 -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 0.2 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 -0.2 0.0 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.3 -0.0 0.1 -0.0 0.2 -1.0 -0.5 -0.3 -0.3 0.1 0.2 -0.0 0.1 -0.0 -0.7 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -2.0 -0.0 -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 1.2 -0.0 -0.1 -0.1 -0.1 JPY -0.1 -0.3 -0.1 0.0 -0.1 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 -1.0 -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 -0.4 -0.3 -0.3 LIVECOW -0.0 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.3 0.0 0.3 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 0.1 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 0.4 0.2 0.3 NASDAQ 0.1 0.2 0.4 0.1 -0.1 0.1 0.0 0.1 0.0 0.0 0.3 0.0 -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 -0.0 0.1 0.0 0.1 0.0 0.0 0.4 0.0 0.3 0.1 0.4 0.2 0.4 0.1 0.2 0.2 0.3 0.0 0.1 0.0 0.2 -1.9 0.1 0.0 0.0 0.0 0.0 0.0 2.6 0.2 0.4 0.3 0.3 NZD 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 2.3 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.8 -0.0 0.2 -0.1 -0.2 OAT -0.0 -0.0 0.1 0.0 -0.0 0.0 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 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 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 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 0.5 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 0.0 -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 -0.2 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 0.3 2.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.0 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 -0.1 0.1 0.0 0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.3 -0.4 -0.2 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 1.9 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 -0.1 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 -0.2 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 1.4 -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 -0.3 -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 -0.2 -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 -0.2 -0.3 SP400 -0.0 -0.1 -0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 -0.1 -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 2.0 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 0.0 0.1 0.0 -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 0.0 -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 -0.1 -0.0 0.1 -0.0 -0.2 -0.0 0.1 -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 0.3 0.0 -0.0 0.0 -0.2 -0.1 -0.1 -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 -0.2 -0.1 0.2 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -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 -0.0 -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 -0.2 -0.1 0.1 0.0 -0.1 0.0 -0.2 -0.1 -0.1 -0.0 0.1 -0.1 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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 1.0 -1.9 -7.7 2.0 -8.8 2.9 -6.2 0.4 -1.8 -13.5 -0.6 -12.4 -5.8 -9.7 -13.0 -3.7 -3.2 -3.7 -3.6 -6.6 -5.8 -13.8 -6.6 -8.5 13.9 11.7 -3.1 -13.7 -2.8 -9.1 -3.8 -4.9 -0.9 -9.0 -2.1 -10.2 -17.6 BITCOIN -14.2 -2.8 20.0 3.1 -6.4 4.1 -4.3 3.4 -0.5 -9.9 11.1 -12.5 -6.7 -11.0 7.0 -4.8 -2.5 -4.1 -3.2 3.0 9.0 -7.9 1.6 -5.7 8.6 -18.1 -0.1 -4.7 3.6 -4.7 2.2 -4.1 0.1 18.3 -4.6 -20.0 4.6 BOBL 0.1 0.4 16.6 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -14.1 -2.1 -11.7 -12.0 -4.1 4.8 13.4 7.6 9.2 7.0 -0.7 -5.0 -14.2 -16.2 -5.8 8.2 10.8 1.0 -7.9 -0.1 -7.0 -6.7 -2.7 14.0 1.0 8.9 0.5 3.6 BTP -1.2 -2.4 4.8 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -13.8 7.3 -8.4 -8.0 -6.3 2.3 11.2 11.9 10.1 10.8 0.5 1.0 -8.5 -8.5 -3.7 -9.8 11.4 1.9 -6.4 2.9 -5.0 -2.5 -1.6 20.0 14.5 12.8 1.3 8.4 BUND -1.4 -1.5 9.5 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -14.0 -4.9 -12.5 -12.9 -7.6 0.1 7.5 12.2 7.9 9.6 -3.0 -6.8 -12.9 -17.7 -6.8 6.0 12.3 0.0 -6.4 -0.4 -6.5 -6.0 -3.2 20.0 5.3 6.6 -1.9 1.7 BUXL -5.3 -6.6 4.0 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -12.5 -11.2 -13.5 -14.1 -13.3 -8.5 1.8 1.1 2.0 2.2 -9.4 -12.2 -13.3 -20.0 -11.1 9.3 -10.8 -2.7 -5.0 -2.7 -6.6 -6.6 -5.0 4.7 7.9 0.4 -8.3 -6.2 CAC -13.3 6.8 2.1 3.5 -5.4 3.9 0.1 2.5 2.3 -9.1 15.3 -1.8 13.7 7.4 12.1 7.6 5.1 9.9 6.8 10.9 18.6 -6.0 19.7 2.4 -14.9 8.9 4.9 -12.0 7.1 -2.8 7.3 2.0 17.9 -9.0 -0.4 1.3 7.6 CAD 2.5 7.7 5.0 2.0 -8.8 2.9 -6.2 0.4 -1.8 -11.6 -0.9 -4.2 -9.5 -1.0 3.0 -3.0 -2.1 -2.9 -2.6 0.5 -1.9 -6.3 -7.1 -1.3 15.9 10.4 1.4 -7.7 -0.1 -3.6 -3.5 -0.1 0.9 3.6 9.3 3.5 -4.4 CANOLA 2.2 -5.1 -19.8 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -14.1 -13.2 -14.2 -13.9 -12.4 -13.7 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -16.7 -20.0 20.0 13.2 -6.0 -6.3 -6.9 -5.7 -5.1 -4.7 20.0 -20.0 -8.0 -9.9 -20.0 CHF -15.4 7.6 8.3 2.0 -8.8 2.9 -6.2 0.4 -1.8 -11.7 13.1 -12.2 9.4 -1.2 8.1 -15.9 -14.6 -15.2 -15.1 5.8 10.9 -12.8 7.7 -5.0 -5.1 -11.5 2.7 -6.2 4.6 -5.5 2.6 -2.0 -20.0 -0.4 -11.1 6.2 8.8 COCOA -1.0 8.1 19.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -2.2 15.4 9.0 11.1 11.6 14.5 -1.4 -1.2 -0.1 -0.1 18.7 20.0 8.7 15.5 13.6 -20.0 -10.4 6.2 1.2 7.0 3.4 5.6 4.7 -13.0 15.6 20.0 20.0 20.0 COFFEE -6.3 11.1 13.3 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 1.3 1.5 0.9 -4.3 1.6 4.7 8.1 4.8 6.8 5.7 5.8 4.0 2.1 -2.1 2.9 2.5 10.0 3.4 0.3 2.6 1.4 -0.0 2.0 -2.9 17.7 11.4 20.0 20.0 COPPER -17.4 -20.0 -7.4 3.1 -6.4 4.1 -4.3 3.4 -0.5 -13.7 2.0 -14.3 -3.4 -14.6 -13.3 -2.6 -1.0 -1.8 -1.4 -16.1 -5.9 -20.0 -1.3 -20.0 11.9 11.1 -5.2 -7.1 -2.5 -6.9 -0.7 -6.8 2.7 -16.5 -20.0 -20.0 -20.0 CORN -5.2 -10.7 -20.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 10.8 -14.2 -5.9 -8.2 -12.6 -14.6 -0.3 15.7 7.7 12.9 -20.0 -20.0 -5.3 -10.1 -19.8 20.0 11.0 -6.1 2.8 -5.8 -1.2 -3.5 -4.6 13.1 7.1 -20.0 -20.0 -20.0 COTTON2 11.6 8.5 4.3 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -1.9 -1.8 5.0 -11.8 6.4 1.1 1.8 6.0 -1.0 0.2 2.0 -4.4 3.3 -8.0 6.2 -0.8 12.0 1.6 -6.3 -1.1 2.2 -1.1 3.9 -6.8 20.0 20.0 20.0 4.0 CRUDE_W -8.1 -3.0 -8.0 -3.6 3.6 -3.3 1.9 -0.8 -1.5 13.1 -2.7 3.0 -5.9 -5.1 -3.8 7.0 10.7 7.9 8.7 -6.4 -5.3 4.0 -1.2 -3.9 -11.3 10.8 -2.9 4.5 -2.1 1.6 0.7 -1.9 -11.0 -4.3 -5.5 12.4 5.8 DAX -3.7 6.9 3.8 3.5 -5.4 3.9 0.1 2.5 2.3 -7.2 16.1 2.3 12.0 10.6 14.3 -8.6 -6.5 -8.4 -8.0 11.6 16.3 1.9 14.5 7.3 -17.7 9.9 5.6 -5.9 6.5 1.7 5.4 4.6 -4.0 0.9 13.2 4.3 7.6 DOW -12.8 3.8 -5.2 3.5 -5.4 3.9 0.1 2.5 2.3 -11.7 7.4 -11.5 3.3 -2.7 1.9 -8.5 -6.0 -8.2 -7.7 -1.9 0.8 -12.1 1.2 -6.8 2.1 10.8 -1.1 -11.6 1.3 -7.5 2.0 -4.4 -3.3 -20.0 -15.1 -11.8 -9.0 EUR -20.0 -0.8 8.4 2.0 -8.8 2.9 -6.2 0.4 -1.8 -13.6 12.6 -14.6 2.1 -9.8 3.4 -7.5 -8.4 -7.4 -7.8 -1.0 7.4 -18.7 3.5 -12.8 -9.6 -11.1 -0.1 -7.0 3.2 -8.1 1.1 -5.3 -9.0 -6.3 -20.0 -6.2 -0.5 EUROSTX -6.9 6.2 2.5 3.5 -5.4 3.9 0.1 2.5 2.3 -7.6 15.9 0.9 13.9 8.9 13.6 -5.4 2.9 -2.2 0.8 11.2 17.5 -0.8 17.7 5.4 -16.4 -8.5 5.5 -8.4 7.1 0.2 6.9 3.8 12.0 -1.1 7.8 1.6 6.3 FEEDCOW -4.6 13.6 20.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 12.6 14.4 14.3 11.9 14.2 14.7 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 16.5 20.0 -20.0 12.2 5.9 3.4 6.3 4.8 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 1.0 -15.1 -20.0 -3.6 3.6 -3.3 1.9 -0.8 -1.5 11.3 -13.6 6.8 1.3 -6.8 -11.6 1.4 20.0 8.5 15.4 -17.4 -17.1 0.8 -3.7 -9.3 8.2 -15.4 -5.3 2.0 -5.4 0.2 -2.3 -2.9 5.0 -8.3 -6.3 -5.8 -9.8 GASOILINE -1.3 -6.7 -4.1 -3.6 3.6 -3.3 1.9 -0.8 -1.5 14.0 2.9 12.5 -0.9 -1.1 -2.3 20.0 17.0 20.0 16.6 -2.1 -0.9 13.9 4.5 3.2 -20.0 -13.1 -1.3 7.6 0.1 5.4 4.0 0.8 -0.1 11.8 6.7 9.6 11.1 GAS_US 15.5 15.2 -20.0 -3.6 3.6 -3.3 1.9 -0.8 -1.5 1.2 -16.3 4.0 -15.2 1.0 -12.0 -20.0 -18.3 -20.0 -20.0 -14.5 -20.0 3.8 -20.0 -0.4 19.8 -9.3 -3.5 0.5 -6.6 2.1 -5.0 0.4 -20.0 7.4 9.3 1.2 -0.9 GBP -8.1 6.0 12.7 2.0 -8.8 2.9 -6.2 0.4 -1.8 -13.5 14.4 -12.9 1.5 -1.6 10.9 -1.9 -1.9 -1.9 -2.0 6.8 9.8 -10.5 2.5 -2.2 0.3 9.4 3.2 -7.0 3.5 -5.5 -1.3 -1.2 1.6 -1.2 0.9 2.5 4.4 GOLD_micro -12.7 0.2 12.0 3.1 -6.4 4.1 -4.3 3.4 -0.5 -11.5 12.3 -12.3 5.3 -7.9 8.0 -12.9 -11.5 -12.6 -12.5 5.0 12.7 -14.9 10.7 -7.3 -5.3 -13.8 2.4 -5.6 5.3 -5.8 4.7 -2.6 -15.9 -3.3 -4.6 -10.7 4.9 HEATOIL 2.0 -10.6 -20.0 -3.6 3.6 -3.3 1.9 -0.8 -1.5 7.7 -12.9 6.6 0.3 -6.1 -11.3 0.3 20.0 8.2 16.7 -15.3 -15.6 -0.0 -3.5 -8.2 1.0 -13.6 -5.1 1.4 -4.6 -0.1 -0.1 -3.0 8.9 -11.4 -5.3 -6.3 -10.5 JPY -11.7 -17.4 -5.2 2.0 -8.8 2.9 -6.2 0.4 -1.8 -13.8 -0.1 -14.4 -7.8 -14.1 -13.4 -16.3 -14.1 -16.0 -15.4 -16.1 -9.3 -20.0 -10.8 -20.0 8.0 9.9 -4.6 -7.0 -2.2 -8.2 -3.7 -7.1 -20.0 -11.0 -20.0 -20.0 -18.3 LEANHOG -10.2 -10.4 -20.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -14.0 -15.8 -15.3 -13.8 -15.5 -16.0 -12.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -11.1 -6.4 -4.9 -6.7 -5.6 -5.1 -5.6 -20.0 -17.7 -19.0 -20.0 -20.0 LIVECOW -5.6 7.8 5.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 10.4 13.6 11.2 11.9 12.3 12.4 20.0 9.2 20.0 20.0 10.8 12.2 10.2 10.3 9.6 -20.0 12.0 4.3 4.3 5.4 4.4 5.7 4.0 20.0 20.0 18.3 20.0 20.0 MXP 0.5 10.9 8.0 2.0 -8.8 2.9 -6.2 0.4 -1.8 -8.2 15.5 -0.2 15.7 7.7 13.8 20.0 20.0 20.0 20.0 18.3 20.0 -3.4 20.0 9.0 -20.0 9.7 5.6 -3.1 7.4 -1.2 8.0 3.0 20.0 14.6 20.0 11.6 20.0 NASDAQ 7.3 11.4 20.0 3.5 -5.4 3.9 0.1 2.5 2.3 1.9 13.7 10.7 -3.1 13.4 15.4 -9.9 -6.7 -9.1 -8.2 20.0 17.8 15.2 5.7 20.0 -7.0 10.2 6.2 0.3 5.7 4.7 3.5 6.0 -4.1 20.0 20.0 9.6 20.0 NIKKEI 17.8 20.0 18.4 3.5 -5.4 3.9 0.1 2.5 2.3 8.1 14.3 13.2 11.6 15.4 16.0 4.1 11.5 6.8 9.9 20.0 20.0 20.0 11.2 20.0 1.1 -9.1 5.9 3.0 3.8 6.6 1.8 7.1 20.0 20.0 20.0 20.0 20.0 NZD 7.1 -0.5 -1.1 2.0 -8.8 2.9 -6.2 0.4 -1.8 -10.4 7.1 -3.8 -1.1 -0.9 -6.0 1.0 0.8 1.0 0.8 -0.3 -0.2 -8.0 -2.2 -1.6 1.7 10.8 0.8 -15.4 0.8 -6.1 -1.2 -0.8 6.2 -9.4 12.2 -5.4 -10.3 OAT -1.3 -1.3 3.6 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -14.0 -6.0 -12.5 -12.8 -8.3 -2.3 12.4 12.4 11.7 11.9 -3.5 -6.7 -12.5 -16.6 -6.8 3.7 12.7 0.1 -6.7 -0.4 -6.4 -6.3 -3.0 20.0 6.0 7.8 -0.4 0.7 OJ -20.0 -11.2 -2.4 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 13.8 13.4 7.8 14.8 5.5 11.0 20.0 20.0 20.0 20.0 13.6 20.0 20.0 20.0 13.0 -20.0 -14.3 4.3 14.9 7.9 8.2 10.1 3.4 20.0 20.0 17.4 20.0 20.0 PALLAD 0.8 20.0 -3.7 3.1 -6.4 4.1 -4.3 3.4 -0.5 -13.5 -12.7 -8.9 -14.2 -5.6 -5.0 -2.5 -2.5 -2.9 -2.8 -4.4 -12.6 -12.6 -19.1 -5.1 20.0 -11.1 0.3 -9.5 -2.1 -5.4 -4.4 -1.3 0.1 -9.0 -6.0 -1.0 -17.1 PLAT -11.2 11.4 4.3 3.1 -6.4 4.1 -4.3 3.4 -0.5 -13.2 8.1 -11.9 5.3 1.0 6.5 -2.1 -1.6 -2.2 -2.0 6.3 7.7 -10.0 5.4 -1.0 2.0 11.2 3.0 -7.3 3.4 -4.1 2.1 -0.1 1.5 -4.6 -9.3 6.6 -4.4 REDWHEAT 17.9 6.5 1.5 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -12.2 -6.5 3.3 -11.8 5.0 3.9 7.4 5.9 8.4 8.0 0.5 -3.1 -5.3 -4.4 1.3 1.9 12.9 -1.1 -6.1 -2.0 -2.3 -0.9 -0.2 1.4 0.6 20.0 7.1 3.5 ROBUSTA -11.4 17.6 20.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 7.2 14.7 10.2 10.4 14.5 15.7 12.8 10.6 11.9 11.4 20.0 20.0 17.2 15.9 20.0 -20.0 9.6 6.4 1.7 5.8 3.7 3.7 5.1 6.8 20.0 20.0 20.0 20.0 RUSSELL 6.7 -2.2 -10.5 3.5 -5.4 3.9 0.1 2.5 2.3 2.2 -9.0 7.3 -10.3 2.0 -11.8 -6.1 -4.8 -5.9 -5.7 -5.9 -7.9 4.4 -8.2 0.5 15.2 10.0 -3.1 -0.3 -3.0 2.4 -1.8 0.0 -0.6 5.8 1.7 -20.0 -19.3 SILVER-mini -20.0 4.0 7.8 3.1 -6.4 4.1 -4.3 3.4 -0.5 -13.3 9.9 -14.5 3.8 -9.0 6.3 -6.4 -5.4 -6.2 -6.0 1.4 9.0 -20.0 6.8 -13.1 0.2 -11.3 0.2 -6.3 2.2 -6.8 1.3 -4.2 -5.1 -17.4 -18.9 -6.6 -7.3 SOYBEAN -14.4 -17.8 -20.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -10.2 -12.5 -13.1 -8.0 -14.9 -14.9 19.5 20.0 20.0 20.0 -20.0 -20.0 -20.0 -9.5 -20.0 9.5 -11.7 -6.0 -3.2 -4.5 -5.7 -1.8 -6.5 20.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -15.0 -20.0 -15.1 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -13.4 2.6 -14.3 7.6 -14.7 -14.2 20.0 20.0 20.0 20.0 -18.1 -3.8 -20.0 10.4 -20.0 -20.0 -12.0 -5.1 -5.6 -1.5 -6.2 3.0 -6.2 20.0 -5.3 -11.0 -11.5 -7.4 SOYOIL -2.8 -13.1 -20.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -4.7 -14.5 -10.1 -9.7 -12.5 -14.3 5.2 11.1 4.8 6.4 -20.0 -20.0 -17.1 -13.1 -20.0 15.0 12.9 -6.2 -1.4 -5.8 -4.1 -3.2 -5.6 2.9 -20.0 -14.5 -17.8 -20.0 SP400 -2.3 -4.4 -13.6 3.5 -5.4 3.9 0.1 2.5 2.3 -9.2 -2.1 -4.5 -2.7 -5.0 -10.5 -5.6 -4.6 -5.6 -5.3 -7.3 -5.6 -5.0 -2.8 -5.4 12.1 10.2 -4.3 -5.4 -3.0 -2.6 -0.6 -3.2 -0.0 -7.0 -8.4 -20.0 -20.0 SP500 -2.6 7.6 7.4 3.5 -5.4 3.9 0.1 2.5 2.3 -9.0 12.0 4.1 -3.2 8.3 11.6 -9.5 -6.9 -8.9 -8.2 7.4 6.7 0.3 1.4 5.0 2.4 10.2 3.8 -5.9 4.2 0.1 2.3 2.5 -4.3 -1.9 5.0 -3.1 4.3 SUGAR11 -5.4 20.0 20.0 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -12.0 15.6 -2.0 14.3 12.3 14.5 7.4 20.0 13.7 20.0 20.0 20.0 -0.9 20.0 16.2 -20.0 -10.5 5.8 -1.4 6.6 -0.1 5.6 2.8 20.0 -6.5 20.0 20.0 20.0 US10 -9.9 0.5 17.2 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -13.7 6.2 -14.2 -9.4 -10.2 6.5 -11.4 -6.3 -10.5 -9.4 -1.4 0.3 -19.4 -8.4 -11.0 -3.8 9.7 1.1 -7.7 2.5 -7.9 -1.4 -3.9 -12.0 -5.5 -0.8 3.1 6.2 US10U -11.3 -1.6 14.9 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -13.7 5.5 -14.6 -9.7 -11.8 4.3 -10.1 -1.6 -6.8 -4.5 -3.2 -1.1 -19.2 -9.3 -12.1 -4.6 -14.1 0.5 -8.0 2.5 -8.5 -0.9 -4.7 -3.5 -2.6 -2.5 0.8 5.4 US20 -14.4 -4.4 13.6 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -13.8 5.8 -15.2 -8.4 -14.0 2.1 -1.6 -1.5 -2.1 -2.4 -5.7 -2.3 -20.0 -9.3 -14.9 -0.3 -12.3 -0.9 -8.5 1.2 -9.1 -1.6 -5.8 -1.9 -2.6 -7.3 -2.8 2.5 US30 -14.2 -6.8 8.3 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -13.8 2.6 -15.4 -10.2 -14.8 -5.7 -2.3 -1.1 -1.9 -1.6 -8.6 -5.7 -19.4 -13.5 -15.6 -0.1 10.0 -2.3 -8.3 0.3 -9.4 -2.3 -6.8 -0.6 1.8 -7.7 -5.5 -1.1 US5 -9.1 1.8 20.0 0.1 -7.6 1.0 -7.5 -2.5 -3.9 -13.8 5.9 -14.0 -9.4 -9.6 7.0 -11.9 -6.9 -11.0 -10.1 -0.4 1.0 -20.0 -8.2 -10.5 -2.8 10.8 1.3 -7.9 2.3 -7.7 -2.1 -3.4 -13.2 -7.7 0.2 4.2 5.3 VIX -4.4 -8.1 4.9 -4.6 0.3 -6.4 -3.3 -8.0 -4.4 2.3 -15.3 -10.9 -14.7 -13.0 -14.2 -20.0 -20.0 -20.0 -20.0 -11.5 -14.3 -7.0 -16.8 -10.5 NaN -13.5 -5.4 0.4 -8.2 -3.8 -11.0 -5.1 NaN NaN NaN NaN NaN WHEAT 7.9 -3.0 -9.7 -4.8 -4.8 -3.7 -4.9 -2.4 -5.1 -11.9 -14.9 -12.0 -15.4 -12.5 -13.8 -11.9 -9.6 -12.2 -11.4 -19.2 -20.0 -14.6 -17.9 -16.7 16.9 11.9 -5.8 -3.3 -5.7 -4.0 -3.8 -4.9 -20.0 -7.2 -5.0 -16.7 -18.7 End of report for caleb_strategy_v1