******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230531_204704 produced at 2023-05-31 21:37:44.687997 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.52 0.0 4.626431e+07 -4.626431e+07 -0.42 -0.42 -11.32 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.15 -0.23 0.0 8.199164e+06 -8.199164e+06 -0.15 -0.15 -27.61 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.21 0.0 5.277612e+07 -5.277612e+07 -0.11 -0.11 -3.90 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.21 -0.18 0.0 5.129278e+07 -5.129278e+07 -0.21 -0.21 -3.59 999999999.0 -4 -4 caleb_strategy_v1 JPY False False 0.03 -0.41 -0.17 0.0 3.454882e+07 -3.454882e+07 -0.41 -0.41 -4.95 999999999.0 -12 -12 caleb_strategy_v1 US20 False False 0.05 -0.20 -0.16 0.0 4.930059e+07 -4.930059e+07 -0.20 -0.20 -3.17 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.10 0.0 4.165288e+07 -4.165288e+07 -0.12 -0.12 -2.32 999999999.0 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.08 0.0 7.612741e+06 -7.612741e+06 -0.09 -0.10 -10.23 999999999.0 -12 -13 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 4.396610e+07 -4.396610e+07 0.00 0.00 -1.51 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.06 0.0 1.256565e+07 -1.256565e+07 -0.09 -0.09 -4.87 999999999.0 -7 -7 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.05 0.0 5.691335e+07 -5.691335e+07 0.00 0.00 -0.81 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.649713e+07 -4.649713e+07 0.00 0.00 -1.07 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.04 0.0 3.636074e+07 -3.636074e+07 -0.04 -0.04 -0.98 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.158252e+07 -1.158252e+07 -0.05 -0.05 -2.76 999999999.0 -4 -4 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.03 0.0 2.511594e+07 -2.511594e+07 -0.03 -0.03 -1.31 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.294614e+07 -2.294614e+07 0.00 0.00 -1.20 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.02 0.0 2.583793e+07 -2.583793e+07 0.00 0.00 -0.72 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.02 0.0 1.450503e+07 -1.450503e+07 -0.01 -0.01 -1.67 999999999.0 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.013320e+06 -9.013320e+06 -0.02 -0.02 -1.00 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.726560e+07 -3.726560e+07 0.00 0.00 -0.33 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.11 -0.01 0.0 5.260090e+07 -5.260090e+07 -0.11 -0.11 -0.14 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.040353e+06 -1.040353e+06 -0.02 -0.02 -11.37 999999999.0 -19 -19 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 5.236328e+07 -5.236328e+07 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.552177e+07 -1.552177e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.506860e+07 -1.506860e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.00 0.0 2.495272e+07 -2.495272e+07 0.00 0.00 0.18 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.203472e+07 -1.203472e+07 -0.05 -0.05 -0.16 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.00 0.0 1.740662e+07 -1.740662e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.00 0.0 6.329294e+06 -6.329294e+06 -0.02 -0.02 0.32 999999999.0 -3 -3 caleb_strategy_v1 COPPER False False 0.04 -0.04 -0.00 0.0 3.510567e+07 -3.510567e+07 -0.04 -0.04 -0.00 999999999.0 -1 -1 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 1.063257e+07 -1.063257e+07 0.01 0.01 0.50 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.065238e+07 -1.065238e+07 0.00 0.00 0.47 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.532476e+07 -2.532476e+07 0.03 0.03 0.30 999999999.0 1 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.922867e+07 -1.922867e+07 0.00 0.00 0.47 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.000893e+07 -1.000893e+07 0.05 0.05 1.06 999999999.0 5 5 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.553617e+07 -1.553617e+07 0.02 0.02 0.45 999999999.0 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.800593e+06 -9.800593e+06 0.02 0.02 1.25 999999999.0 2 2 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 6.461267e+06 -6.461267e+06 0.01 0.01 1.65 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.308823e+07 -2.308823e+07 0.00 0.00 0.69 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.510492e+06 -3.510492e+06 0.00 0.00 5.78 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.046990e+07 -8.046990e+07 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.30 0.03 0.0 2.982518e+07 -2.982518e+07 0.30 0.30 1.15 999999999.0 10 10 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3.360313e+06 -3.360313e+06 0.00 0.00 7.82 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.03 0.0 2.199085e+07 -2.199085e+07 0.00 0.00 1.22 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.74 0.04 0.0 9.254110e+07 -9.254110e+07 0.74 0.74 0.43 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.081445e+07 -1.081445e+07 0.00 0.00 3.94 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.829768e+07 -2.829768e+07 0.00 0.00 1.71 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.05 0.0 2.923482e+07 -2.923482e+07 0.06 0.06 1.64 999999999.0 2 2 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.098458e+08 -1.098458e+08 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.07 0.0 4.766185e+07 -4.766185e+07 0.14 0.14 1.41 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.359957e+07 -5.359957e+07 0.00 0.00 1.65 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.12 0.0 2.576112e+07 -2.576112e+07 0.00 0.00 4.54 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 4.80 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.45 0.29 0.0 5.587035e+07 -5.587035e+07 0.45 0.45 5.27 999999999.0 8 8 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.52 0.0 0.000000e+00 0.000000e+00 0.00 0.00 61.36 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.52 0.0 4.852007e+07 -4.852007e+07 0.00 0.00 10.72 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 18.4 Shocked risk 56.6 Sum abs risk 54.5 Leverage 4.33 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2603924.11, 'annual_cash_vol_target': 650981.0275, 'daily_cash_vol_target': 40686.31421875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6498 0.6646 10.6337 BITCOIN 841.5184 27090.0000 3.1064 49.7021 BOBL 0.3624 118.1600 0.3067 4.9067 BTP 0.6824 116.0700 0.5879 9.4068 BUND 0.7098 136.0600 0.5216 8.3463 BUXL 1.6694 138.6000 1.2045 19.2715 CAC 59.4659 7119.5000 0.8353 13.3641 CAD 0.0032 0.7368 0.4349 6.9578 CANOLA 8.7906 623.1000 1.4108 22.5725 CHF 0.0050 1.0994 0.4504 7.2062 COCOA 31.3351 3016.0000 1.0390 16.6234 COFFEE 3.2268 175.8500 1.8350 29.3595 COPPER 0.0513 3.6565 1.4018 22.4281 CORN 6.8303 521.2500 1.3104 20.9659 COTTON2 1.6229 80.9100 2.0058 32.0925 CRUDE_W 1.3489 67.2800 2.0048 32.0774 DAX 129.2630 15735.0000 0.8215 13.1440 DOW 232.6830 32962.0000 0.7059 11.2946 EUR 0.0048 1.0685 0.4467 7.1472 EUROSTX 38.6646 4239.0000 0.9121 14.5939 FEEDCOW 1.4644 242.1500 0.6047 9.6758 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.0530 654.0000 1.9959 31.9340 GASOILINE 0.0451 2.3104 1.9523 31.2371 GAS_US 0.1008 2.3470 4.2954 68.7272 GBP 0.0062 1.2426 0.4949 7.9189 GOLD_micro 15.5270 1982.3000 0.7833 12.5325 HEATOIL 0.0417 2.2543 1.8488 29.5808 JPY 0.0000 0.0072 0.6307 10.0915 LEANHOG 1.6164 81.8000 1.9761 31.6169 LIVECOW 0.9091 167.7000 0.5421 8.6738 MXP 0.0004 0.0563 0.6604 10.5667 NASDAQ 132.5211 14301.5000 0.9266 14.8260 NIKKEI 237.4306 31035.0000 0.7650 12.2407 NZD 0.0048 0.6012 0.7989 12.7824 OAT 0.6863 130.5300 0.5258 8.4121 OJ 5.2240 269.4500 1.9388 31.0203 PALLAD 31.5500 1363.5000 2.3139 37.0224 PLAT 17.8586 1001.4000 1.7834 28.5338 REDWHEAT 15.6385 784.7500 1.9928 31.8849 ROBUSTA 34.3053 2552.0000 1.3443 21.5080 RUSSELL 20.0173 1750.0000 1.1438 18.3015 SILVER-mini 0.3599 23.9000 1.5058 24.0933 SOYBEAN 11.9579 1145.2500 1.0441 16.7060 SOYMEAL 4.3317 377.7000 1.1469 18.3499 SOYOIL 0.7977 46.2300 1.7255 27.6079 SP400 24.1473 2409.7000 1.0021 16.0334 SP500 31.2212 4190.7500 0.7450 11.9200 SUGAR11 0.3691 24.7200 1.4931 23.8890 US10 0.4835 114.4844 0.4223 6.7572 US10U 0.6303 120.4688 0.5232 8.3707 US20 0.8963 128.3750 0.6982 11.1713 US30 1.2723 136.9688 0.9289 14.8628 US5 0.3528 108.4609 0.3252 5.2039 VIX 0.5554 21.3500 2.6012 41.6193 WHEAT 11.3124 626.7500 1.8049 28.8789 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.75 0.66 431.83 1.00 431.83 40686.31 94.22 1.20 11.28 BITCOIN 27.09 3.11 84.15 1.00 84.15 40686.31 483.49 -9.98 -482.41 BOBL 1181.60 0.31 362.36 1.07 387.36 40686.31 105.03 14.15 148.63 BTP 1160.70 0.59 682.40 1.07 729.49 40686.31 55.77 12.51 69.75 BUND 1360.60 0.52 709.75 1.07 758.72 40686.31 53.62 13.63 73.07 BUXL 1386.00 1.20 1669.40 1.07 1784.59 40686.31 22.80 -4.25 -9.69 CAC 711.95 0.84 594.66 1.07 635.69 40686.31 64.00 9.14 58.51 CAD 736.85 0.43 320.43 1.00 320.43 40686.31 126.97 7.52 95.50 CANOLA 124.62 1.41 175.81 0.74 129.31 40686.31 314.65 20.00 629.30 CHF 1374.25 0.45 618.95 1.00 618.95 40686.31 65.73 -15.84 -104.16 COCOA 301.60 1.04 313.35 1.00 313.35 40686.31 129.84 -9.77 -126.85 COFFEE 659.44 1.83 1210.05 1.00 1210.05 40686.31 33.62 6.82 22.91 COPPER 914.12 1.40 1281.38 1.00 1281.38 40686.31 31.75 -0.01 -0.02 CORN 260.62 1.31 341.51 1.00 341.51 40686.31 119.13 9.86 117.44 COTTON2 404.55 2.01 811.44 1.00 811.44 40686.31 50.14 5.90 29.59 CRUDE_W 672.80 2.00 1348.85 1.00 1348.85 40686.31 30.16 -1.81 -5.47 DAX 157.35 0.82 129.26 1.07 138.18 40686.31 294.44 1.03 30.45 DOW 164.81 0.71 116.34 1.00 116.34 40686.31 349.71 0.32 11.30 EUR 1335.62 0.45 596.62 1.00 596.62 40686.31 68.19 -14.05 -95.85 EUROSTX 423.90 0.91 386.65 1.07 413.32 40686.31 98.44 -1.02 -10.08 FEEDCOW 1210.75 0.60 732.18 1.00 732.18 40686.31 55.57 -7.15 -39.71 FTSE100 707.00 0.82 576.59 1.23 666.67 40686.31 61.03 7.63 46.57 GASOIL 654.00 2.00 1305.30 1.00 1305.30 40686.31 31.17 -5.91 -18.42 GASOILINE 970.37 1.95 1894.47 1.00 1894.47 40686.31 21.48 -3.73 -8.02 GAS_US 234.70 4.30 1008.14 1.00 1008.14 40686.31 40.36 -16.50 -66.58 GBP 776.62 0.49 384.38 1.00 384.38 40686.31 105.85 6.11 64.65 GOLD_micro 198.23 0.78 155.27 1.00 155.27 40686.31 262.04 -17.44 -457.01 HEATOIL 946.81 1.85 1750.46 1.00 1750.46 40686.31 23.24 -5.93 -13.78 JPY 899.62 0.63 567.41 1.00 567.41 40686.31 71.71 -10.67 -76.49 LEANHOG 327.20 1.98 646.57 1.00 646.57 40686.31 62.93 -16.56 -104.20 LIVECOW 670.80 0.54 363.65 1.00 363.65 40686.31 111.88 15.10 168.90 MXP 281.60 0.66 185.97 1.00 185.97 40686.31 218.77 14.73 322.22 NASDAQ 2860.30 0.93 2650.42 1.00 2650.42 40686.31 15.35 6.52 10.01 NIKKEI 31035.00 0.77 23743.06 0.01 171.53 40686.31 237.20 13.62 323.09 NZD 601.20 0.80 480.30 1.00 480.30 40686.31 84.71 5.09 43.08 OAT 1305.30 0.53 686.27 1.07 733.62 40686.31 55.46 14.71 81.59 OJ 404.18 1.94 783.60 1.00 783.60 40686.31 51.92 -3.09 -16.06 PALLAD 1363.50 2.31 3155.00 1.00 3155.00 40686.31 12.90 -1.60 -2.07 PLAT 500.70 1.78 892.93 1.00 892.93 40686.31 45.56 4.25 19.36 REDWHEAT 392.38 1.99 781.93 1.00 781.93 40686.31 52.03 6.75 35.14 ROBUSTA 255.20 1.34 343.05 1.00 343.05 40686.31 118.60 8.13 96.38 RUSSELL 87.50 1.14 100.09 1.00 100.09 40686.31 406.51 3.72 151.06 SILVER-mini 597.50 1.51 899.74 1.00 899.74 40686.31 45.22 -11.87 -53.67 SOYBEAN 572.62 1.04 597.89 1.00 597.89 40686.31 68.05 3.03 20.63 SOYMEAL 377.70 1.15 433.17 1.00 433.17 40686.31 93.93 -3.01 -28.25 SOYOIL 277.38 1.73 478.62 1.00 478.62 40686.31 85.01 6.03 51.24 SP400 2409.70 1.00 2414.73 1.00 2414.73 40686.31 16.85 4.93 8.31 SP500 2095.38 0.75 1561.06 1.00 1561.06 40686.31 26.06 5.27 13.74 SUGAR11 276.86 1.49 413.37 1.00 413.37 40686.31 98.42 3.72 36.66 US10 1144.84 0.42 483.50 1.00 483.50 40686.31 84.15 -4.67 -39.28 US10U 1204.69 0.52 630.26 1.00 630.26 40686.31 64.56 -12.04 -77.69 US20 1283.75 0.70 896.32 1.00 896.32 40686.31 45.39 -9.48 -43.02 US30 1369.69 0.93 1272.34 1.00 1272.34 40686.31 31.98 -0.52 -1.66 US5 1084.61 0.33 352.76 1.00 352.76 40686.31 115.34 -5.24 -60.44 VIX 213.50 2.60 555.36 1.00 555.36 40686.31 73.26 -20.00 -146.52 WHEAT 313.38 1.80 565.62 1.00 565.62 40686.31 71.93 -4.14 -29.80 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 11.280 0.006 2.5 0.180 BITCOIN -482.406 0.009 2.5 -11.366 BOBL 148.631 0.029 2.5 10.725 BTP 69.750 0.008 2.5 1.409 BUND 73.070 0.029 2.5 5.273 BUXL -9.695 0.034 2.5 -0.814 CAC 58.508 0.011 2.5 1.645 CAD 95.499 0.007 2.5 1.705 CANOLA 629.301 0.004 2.5 5.777 CHF -104.156 0.015 2.5 -3.898 COCOA -126.855 0.009 2.5 -2.763 COFFEE 22.915 0.005 2.5 0.297 COPPER -0.021 0.011 2.5 -0.001 CORN 117.443 0.004 2.5 1.059 COTTON2 29.585 0.006 2.5 0.445 CRUDE_W -5.471 0.053 2.5 -0.723 DAX 30.449 0.022 2.5 1.654 DOW 11.305 0.011 2.5 0.322 EUR -95.845 0.015 2.5 -3.587 EUROSTX -10.082 0.011 2.5 -0.283 FEEDCOW -39.712 0.011 2.5 -1.067 FTSE100 46.569 0.041 2.5 4.801 GASOIL -18.418 0.029 2.5 -1.314 GASOILINE -8.017 0.016 2.5 -0.329 GAS_US -66.577 0.006 2.5 -1.002 GBP 64.653 0.007 2.5 1.154 GOLD_micro -457.010 0.009 2.5 -10.225 HEATOIL -13.777 0.029 2.5 -0.983 JPY -76.486 0.026 2.5 -4.951 LEANHOG -104.201 0.019 2.5 -4.868 LIVECOW 168.901 0.011 2.5 4.539 MXP 322.219 0.005 2.5 3.945 NASDAQ 10.007 0.022 2.5 0.543 NIKKEI 323.086 0.076 2.5 61.365 NZD 43.078 0.006 2.5 0.688 OAT 81.591 0.008 2.5 1.648 OJ -16.059 0.007 2.5 -0.280 PALLAD -2.066 0.010 2.5 -0.050 PLAT 19.358 0.010 2.5 0.466 REDWHEAT 35.140 0.002 2.5 0.188 ROBUSTA 96.380 0.005 2.5 1.250 RUSSELL 151.056 0.021 2.5 7.824 SILVER-mini -53.666 0.009 2.5 -1.201 SOYBEAN 20.627 0.024 2.5 1.216 SOYMEAL -28.249 0.024 2.5 -1.666 SOYOIL 51.244 0.004 2.5 0.470 SP400 8.309 0.021 2.5 0.430 SP500 13.741 0.011 2.5 0.392 SUGAR11 36.662 0.005 2.5 0.497 US10 -39.276 0.015 2.5 -1.507 US10U -77.693 0.058 2.5 -11.320 US20 -43.017 0.029 2.5 -3.171 US30 -1.660 0.034 2.5 -0.139 US5 -60.435 0.015 2.5 -2.319 VIX -146.523 0.075 2.5 -27.612 WHEAT -29.800 0.002 2.5 -0.159 ==================== Position diags ==================== AUD 1.51 BITCOIN 11.39 BOBL 7.58 BTP 1.13 BUND 3.87 BUXL 1.91 CAC 1.80 CAD 2.27 CANOLA 2.89 CHF 2.46 COCOA 2.83 COFFEE 0.44 COPPER 0.87 CORN 1.07 COTTON2 0.75 CRUDE_W 3.98 DAX 15.99 DOW 9.97 EUR 2.55 EUROSTX 2.77 FEEDCOW 1.49 FTSE100 6.29 GASOIL 2.22 GASOILINE 0.88 GAS_US 0.61 GBP 1.89 GOLD_micro 5.86 HEATOIL 1.66 JPY 4.64 LEANHOG 2.94 LIVECOW 3.01 MXP 2.68 NASDAQ 0.83 NIKKEI 45.05 NZD 1.35 OAT 1.12 OJ 0.91 PALLAD 0.31 PLAT 1.10 REDWHEAT 0.28 ROBUSTA 1.54 RUSSELL 21.06 SILVER-mini 1.01 SOYBEAN 4.01 SOYMEAL 5.54 SOYOIL 0.78 SP400 0.87 SP500 0.74 SUGAR11 1.34 US10 3.23 US10U 9.41 US20 3.35 US30 2.68 US5 4.42 VIX 13.81 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.2 0.0 0.3 0.0 0 BITCOIN -11.4 -12.5 -10.2 -19.0 -19 BOBL 10.7 10.0 11.5 0.0 0 BTP 1.4 1.3 1.5 3.0 3 BUND 5.3 4.9 5.7 8.0 8 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 1.6 1.5 1.8 2.0 2 CAD 1.7 1.5 1.9 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -3.9 -4.1 -3.7 -2.0 -2 COCOA -2.8 -3.0 -2.5 -4.0 -4 COFFEE 0.3 0.3 0.3 1.0 1 COPPER -0.0 -0.1 0.1 -1.0 -1 CORN 1.1 1.0 1.2 5.0 5 COTTON2 0.4 0.4 0.5 1.0 1 CRUDE_W -0.7 -1.1 -0.3 0.0 0 DAX 1.7 0.1 3.3 2.0 2 DOW 0.3 -0.7 1.3 -3.0 -3 EUR -3.6 -3.8 -3.3 -4.0 -4 EUROSTX -0.3 -0.6 -0.0 0.0 0 FEEDCOW -1.1 -1.2 -0.9 0.0 0 FTSE100 4.8 4.2 5.4 0.0 0 GASOIL -1.3 -1.5 -1.1 -1.0 -1 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -1.0 -1.1 -0.9 -2.0 -2 GBP 1.2 1.0 1.3 10.0 10 GOLD_micro -10.2 -10.8 -9.6 -12.0 -12 HEATOIL -1.0 -1.1 -0.8 -1.0 -1 JPY -5.0 -5.4 -4.5 -12.0 -12 LEANHOG -4.9 -5.2 -4.6 -7.0 -7 LIVECOW 4.5 4.2 4.8 0.0 0 MXP 3.9 3.7 4.2 0.0 0 NASDAQ 0.5 0.5 0.6 0.0 0 NIKKEI 61.4 56.9 65.9 0.0 0 NZD 0.7 0.6 0.8 0.0 0 OAT 1.6 1.5 1.8 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.0 -0.1 -0.0 0.0 0 PLAT 0.5 0.4 0.6 0.0 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 1.2 1.1 1.4 2.0 2 RUSSELL 7.8 5.7 9.9 0.0 0 SILVER-mini -1.2 -1.3 -1.1 0.0 0 SOYBEAN 1.2 0.8 1.6 0.0 0 SOYMEAL -1.7 -2.2 -1.1 -1.0 -1 SOYOIL 0.5 0.4 0.5 0.0 0 SP400 0.4 0.3 0.5 8.0 8 SP500 0.4 0.3 0.5 0.0 0 SUGAR11 0.5 0.4 0.6 1.0 1 US10 -1.5 -1.8 -1.2 NaN 0 US10U -11.3 -12.3 -10.4 -9.0 -9 US20 -3.2 -3.5 -2.8 -4.0 -4 US30 -0.1 -0.4 0.1 -2.0 -2 US5 -2.3 -2.8 -1.9 -3.0 -3 VIX -27.6 -29.0 -26.2 -18.0 -18 WHEAT -0.2 -0.2 -0.1 -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 -0.1 -0.1 -0.2 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.4 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.6 2.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.3 BITCOIN -0.1 -0.1 0.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.0 -4.8 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.2 0.1 BOBL -0.1 0.0 0.3 -0.0 0.0 0.0 0.0 -0.1 -0.0 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 1.1 2.4 0.0 0.0 -0.0 0.0 -0.1 -0.0 1.8 -0.0 0.0 0.0 0.0 BTP -0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -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 -1.4 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 2.6 0.1 0.2 0.1 0.1 BUND -0.1 0.0 0.3 -0.0 0.1 0.0 0.0 -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 0.6 2.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 2.5 0.0 0.1 0.0 0.0 BUXL -0.0 -0.1 0.2 -0.0 0.1 0.0 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.4 -0.0 -0.2 0.2 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.2 -0.0 0.9 -2.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.4 0.0 -0.0 -0.0 -0.1 CAC -0.2 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.4 -0.0 0.4 -0.0 0.2 0.3 0.2 0.2 0.1 0.1 0.2 -0.0 0.2 -0.0 -1.3 1.7 0.0 -0.1 0.1 -0.0 0.1 -0.0 2.3 -0.2 -0.3 -0.0 0.1 CAD -0.1 0.0 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 0.0 -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 0.1 0.4 0.0 -0.1 CANOLA -0.0 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 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 -0.0 -0.0 2.7 -0.0 -0.1 -0.2 -0.3 CHF -0.2 0.0 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 -0.1 0.2 -0.0 0.1 -1.1 -0.6 -0.3 -0.3 0.0 0.1 -0.0 0.1 -0.0 -0.7 -2.4 0.0 -0.0 0.0 -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 -0.0 -0.1 -0.0 0.4 0.0 0.3 0.0 0.3 -0.0 -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 -2.4 0.2 0.4 0.3 0.3 COFFEE -0.1 0.0 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.6 0.2 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.4 2.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.0 0.1 0.3 0.3 0.3 COPPER -0.2 -0.3 -0.2 0.0 -0.0 0.1 -0.1 0.0 -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 0.5 2.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.3 0.0 -0.4 -0.3 -0.3 CORN 0.0 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -0.2 -0.0 -0.3 -0.2 0.6 0.1 0.2 -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 0.9 0.1 0.4 -0.2 -0.3 COTTON2 0.0 0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 0.3 0.2 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 3.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -1.5 0.0 0.3 0.6 0.1 CRUDE_W -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -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 -1.8 0.1 -0.0 0.1 0.1 DAX -0.1 0.0 0.1 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.4 -0.0 0.3 -0.0 0.3 -0.3 -0.2 -0.1 -0.1 0.1 0.2 -0.0 0.2 -0.0 -2.3 2.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.5 -0.0 -0.0 0.1 0.1 DOW -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.2 -0.0 0.1 -0.0 -0.0 -0.7 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 0.0 -0.0 0.6 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.4 -0.0 -0.4 -0.2 -0.1 EUR -0.2 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.3 -0.1 0.1 -0.1 -0.0 -0.5 -0.3 -0.1 -0.2 -0.1 0.1 -0.0 0.0 -0.0 -1.1 -2.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.0 -0.4 -0.1 -0.0 EUROSTX -0.1 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.4 -0.0 0.4 -0.0 0.3 -0.4 0.1 -0.1 0.0 0.1 0.2 -0.0 0.2 -0.0 -1.9 -1.8 0.1 -0.0 0.1 -0.0 0.1 0.0 1.6 -0.0 0.0 0.1 0.1 FEEDCOW 0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.3 0.0 0.3 0.1 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.2 0.0 -3.4 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 -0.7 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.0 0.0 GASOIL 0.1 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -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 -0.1 -0.0 1.0 -3.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 -0.1 -0.1 -0.1 GASOILINE 0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.0 -0.1 1.7 0.8 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 0.1 0.0 -0.0 0.0 0.2 0.1 0.2 GAS_US 0.2 0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -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 2.2 -1.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.0 -0.1 0.1 -0.0 GBP -0.2 0.0 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 -0.0 0.0 -0.0 0.2 -0.2 -0.1 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.1 2.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.1 0.1 GOLD_micro -0.2 -0.1 0.2 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.3 -0.0 0.1 -0.0 0.1 -1.1 -0.5 -0.3 -0.3 0.0 0.1 -0.0 0.1 -0.0 -1.8 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -2.0 -0.1 -0.3 -0.1 0.2 HEATOIL 0.0 -0.2 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.3 -0.0 -0.0 -0.0 -0.3 -0.0 0.9 0.2 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.7 0.0 0.0 -0.1 -0.1 JPY -0.2 -0.3 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.3 -1.2 -0.6 -0.3 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 1.1 2.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.5 0.0 -0.3 -0.3 -0.3 LEANHOG -0.0 -0.0 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.0 -0.3 -0.0 -0.3 -0.3 -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 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.3 0.0 0.3 0.1 0.3 1.6 0.4 0.4 0.4 0.2 0.2 0.0 0.1 0.0 -3.3 2.6 0.1 0.0 0.1 0.0 0.1 0.0 2.4 0.0 0.4 0.3 0.3 MXP -0.0 0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 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 0.3 0.3 NASDAQ 0.2 0.2 0.4 0.0 -0.1 0.1 -0.1 0.1 0.0 0.1 0.4 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 -1.1 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.3 0.5 0.3 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 0.1 0.3 0.1 0.4 0.2 0.4 0.1 0.2 0.2 0.3 0.0 0.2 0.0 0.3 -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 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.2 0.1 0.0 0.0 0.0 -0.1 -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 -0.0 -0.1 -0.2 OAT -0.0 0.0 0.2 -0.0 0.0 0.0 0.0 -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 0.3 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 0.3 -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 0.1 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 -0.1 0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.0 -0.2 -0.0 3.7 -2.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.1 -0.2 PLAT -0.2 0.1 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.9 2.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.2 0.2 0.0 REDWHEAT 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 0.5 0.2 0.2 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 0.7 2.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 0.1 0.4 0.1 0.0 ROBUSTA -0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.3 0.0 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 0.3 0.0 0.4 0.3 0.3 RUSSELL 0.1 -0.0 -0.2 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 -0.2 0.0 -0.3 -0.0 -0.3 -0.4 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 2.2 2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.2 -0.3 SILVER-mini -0.2 -0.1 0.2 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.4 -0.2 -0.1 -0.1 -0.0 0.1 -0.0 0.1 -0.0 -1.7 -3.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.0 SOYBEAN -0.2 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.4 1.3 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.1 -2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 0.0 -0.4 -0.3 -0.3 SOYMEAL -0.2 -0.3 -0.3 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 0.0 -0.0 0.2 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.1 -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 -0.1 -0.1 -0.2 SOYOIL -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 0.4 0.4 0.1 0.1 -0.2 -0.2 -0.0 -0.2 -0.0 2.8 2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.3 0.1 0.0 -0.1 -0.3 SP400 -0.0 -0.1 -0.3 0.0 -0.0 0.1 -0.1 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 2.4 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 0.2 0.0 -0.1 0.1 -0.1 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 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.3 0.2 0.1 0.1 SUGAR11 -0.2 0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.3 0.0 0.3 0.5 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 0.3 0.3 0.3 US10 -0.2 -0.1 0.3 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 0.1 -0.0 -0.2 -0.0 0.1 -0.9 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.6 2.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -2.0 -0.0 -0.0 -0.0 0.0 US10U -0.2 -0.1 0.3 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 0.1 -0.0 -0.2 -0.0 0.0 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.7 -2.9 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 -0.0 -0.2 -0.1 0.0 US20 -0.2 -0.1 0.3 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.0 -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 -0.6 -0.0 -0.1 -0.1 0.0 US30 -0.2 -0.1 0.2 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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 -12.1 -6.5 -8.7 -0.5 -5.5 1.7 -6.9 0.2 -4.6 -13.1 -2.5 -14.5 -6.4 -13.3 -14.4 -3.8 -3.3 -3.7 -3.6 -11.6 -8.4 -18.5 -8.0 -15.8 13.8 11.7 -4.5 -7.2 -3.1 -8.5 -3.2 -6.9 -0.8 -5.4 -1.4 -9.4 -17.9 BITCOIN -11.5 -8.1 20.0 0.1 -0.5 2.1 -3.1 1.6 -2.9 1.9 10.6 -8.6 -6.6 -10.8 6.4 -4.8 -2.6 -4.2 -3.4 2.3 8.2 -1.3 1.7 -3.4 0.0 -18.1 -0.3 0.3 3.2 -0.6 2.1 -2.4 -0.2 8.5 -1.1 -10.9 8.3 BOBL -7.2 1.1 20.0 -0.7 9.5 0.2 1.5 -2.8 -2.1 10.4 -2.1 -3.9 -12.0 -4.3 3.7 14.1 8.0 10.2 7.8 -1.9 -5.2 1.9 -15.2 -3.3 7.2 10.8 0.2 10.0 -0.5 1.2 -6.5 -1.5 12.8 -2.8 3.0 3.4 1.9 BTP -2.1 -1.6 8.5 -0.7 9.5 0.2 1.5 -2.8 -2.1 12.2 7.5 4.2 -7.8 -2.0 3.8 10.6 11.9 10.1 10.8 1.1 1.0 9.0 -7.4 1.6 -11.1 11.4 2.2 15.5 2.9 5.8 -2.3 1.4 19.3 5.9 11.0 6.8 6.5 BUND -5.1 0.2 15.7 -0.7 9.5 0.2 1.5 -2.8 -2.1 11.3 -4.9 -1.7 -12.9 -5.0 0.2 7.8 12.1 8.0 9.5 -2.9 -6.4 4.5 -16.4 -2.4 4.6 12.3 -0.2 10.6 -0.6 2.4 -5.8 -1.1 18.2 0.0 3.5 2.0 0.5 BUXL -4.2 -3.4 9.7 -0.7 9.5 0.2 1.5 -2.8 -2.1 12.4 -11.6 -2.3 -14.2 -8.5 -8.4 1.9 1.1 2.0 2.2 -7.8 -11.5 4.6 -19.6 -4.5 7.6 -10.8 -2.5 10.9 -3.1 2.8 -7.2 -2.1 2.6 2.4 -1.0 -2.9 -5.9 CAC -16.8 -2.3 2.6 2.9 -7.0 4.1 -2.4 3.2 0.8 -13.0 14.5 -11.3 13.6 -5.4 9.2 3.2 4.7 7.5 5.9 5.2 15.8 -16.4 18.9 -6.7 -11.7 8.9 1.9 -12.7 5.8 -8.8 6.9 -3.3 17.4 -20.0 -13.8 -0.3 6.1 CAD -6.7 1.3 5.3 -0.5 -5.5 1.7 -6.9 0.2 -4.6 -4.1 -1.9 -9.9 -9.7 -8.2 0.7 -3.4 -2.2 -3.0 -2.8 -2.4 -3.1 -7.7 -7.7 -5.9 15.4 10.4 -0.4 -1.7 -0.7 -4.4 -3.7 -2.9 0.8 7.2 16.9 1.9 -3.9 CANOLA -12.9 -5.7 -20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -14.0 -14.1 -15.6 -14.3 -15.2 -15.1 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -17.7 -20.0 20.0 13.2 -6.5 -7.3 -6.6 -7.0 -4.8 -6.4 20.0 -18.4 -7.7 -14.1 -20.0 CHF -20.0 0.5 9.3 -0.5 -5.5 1.7 -6.9 0.2 -4.6 -13.8 12.0 -15.1 9.3 -10.2 4.9 -16.7 -14.9 -15.7 -15.4 0.8 8.8 -16.9 7.4 -11.0 -5.0 -11.5 0.5 -7.7 3.6 -7.1 2.4 -4.4 -20.0 -2.2 -9.7 6.6 8.3 COCOA 0.1 7.0 19.4 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -8.2 15.3 5.7 11.4 9.0 14.0 -0.2 -1.1 0.2 0.1 17.9 20.0 3.2 16.6 10.3 -20.0 -10.4 6.1 -1.1 7.3 1.1 6.0 3.8 -17.6 20.0 20.0 20.0 20.0 COFFEE -8.9 2.6 12.2 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -12.7 2.0 -12.5 -4.2 -6.6 0.9 7.6 4.9 6.8 5.9 1.3 2.6 -16.1 -2.3 -7.1 2.6 10.0 2.3 -5.2 2.4 -4.5 -0.0 -1.0 -7.6 20.0 15.5 20.0 20.0 COPPER -15.2 -20.0 -9.0 0.1 -0.5 2.1 -3.1 1.6 -2.9 1.2 0.5 -9.1 -3.9 -12.9 -13.2 -3.0 -1.1 -2.1 -1.6 -16.9 -7.6 -10.9 -2.4 -18.8 4.3 11.1 -5.4 0.2 -2.9 -3.4 -1.0 -5.9 2.5 1.0 -19.6 -20.0 -20.0 CORN 4.8 -6.3 -20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 4.5 -13.5 4.4 -8.7 -8.2 -12.5 -2.3 14.9 5.9 11.5 -17.0 -17.4 4.7 -9.3 -7.6 20.0 11.0 -5.4 5.1 -6.0 3.0 -3.9 -2.1 6.6 20.0 20.0 -13.9 -20.0 COTTON2 6.7 8.9 4.3 -4.5 -12.1 -2.9 -7.9 -1.4 -5.9 -1.6 -1.3 0.9 -11.8 3.1 1.0 4.1 6.2 0.2 0.8 1.0 -4.0 -0.1 -7.4 2.5 0.1 12.0 1.1 -3.3 -1.1 -0.8 -1.2 2.0 -11.2 20.0 20.0 20.0 5.0 CRUDE_W -2.6 -8.8 -8.6 -3.6 -5.5 -3.6 -2.2 -1.0 -2.2 -13.3 -3.9 -5.8 -6.5 -8.2 -5.4 6.7 10.6 7.7 8.6 -7.7 -5.9 -13.0 -1.7 -8.7 -11.3 10.8 -3.0 -2.6 -2.3 -1.1 0.6 -2.0 -13.0 10.3 -1.1 8.1 5.9 DAX -8.6 1.0 3.1 2.9 -7.0 4.1 -2.4 3.2 0.8 -12.1 15.4 -9.5 12.2 -0.2 11.3 -8.4 -6.6 -8.3 -8.1 7.9 14.9 -8.3 14.4 -0.0 -15.2 9.9 4.3 -8.6 6.7 -4.3 6.1 0.7 -3.7 -4.7 -0.1 6.1 6.8 DOW -11.8 -2.5 -4.4 2.9 -7.0 4.1 -2.4 3.2 0.8 -7.5 6.2 -9.7 3.3 -8.1 -0.0 -8.8 -6.2 -8.4 -7.8 -4.2 -0.4 -10.0 0.7 -8.9 4.9 10.8 -2.2 -2.8 0.6 -5.7 1.7 -5.2 -3.1 -3.2 -17.4 -11.6 -7.8 EUR -20.0 -8.1 7.2 -0.5 -5.5 1.7 -6.9 0.2 -4.6 -12.9 11.2 -15.3 2.2 -13.9 -1.6 -8.0 -8.5 -7.7 -8.0 -6.5 4.4 -19.8 2.6 -17.7 -8.1 -11.1 -2.1 -6.1 1.6 -7.4 0.6 -6.4 -9.0 -3.2 -19.6 -6.7 -1.2 EUROSTX -9.0 -0.6 2.0 2.9 -7.0 4.1 -2.4 3.2 0.8 -11.4 15.4 -7.6 13.9 -0.4 11.8 -5.4 2.5 -2.7 0.3 7.9 15.8 -7.6 17.2 -0.1 -14.1 -8.5 4.3 -9.3 7.3 -4.4 7.6 0.5 11.7 -5.5 0.6 4.0 6.7 FEEDCOW 17.5 12.1 20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 13.9 14.9 15.5 12.4 15.5 15.5 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 18.5 20.0 -20.0 12.2 6.1 2.9 6.5 4.3 5.1 5.2 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.0 6.4 -3.1 5.4 -2.7 1.5 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 -6.3 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -16.0 -14.7 3.1 0.3 GASOIL 7.0 -14.7 -20.0 -3.6 -5.5 -3.6 -2.2 -1.0 -2.2 -12.1 -13.5 1.0 0.2 -7.8 -11.1 1.2 20.0 7.4 14.3 -16.3 -17.0 -8.8 -4.6 -10.3 9.6 -15.4 -5.4 -5.9 -5.8 -3.2 -2.7 -3.6 1.5 -5.8 -2.7 -6.6 -8.8 GASOILINE 6.7 -11.3 -5.4 -3.6 -5.5 -3.6 -2.2 -1.0 -2.2 -13.1 2.8 4.6 -1.5 -2.0 -2.2 20.0 17.8 20.0 18.1 -2.0 -0.9 -4.9 4.2 -0.9 -20.0 -13.1 -0.7 0.5 0.3 3.1 4.2 1.5 -0.1 19.8 13.1 9.8 12.0 GAS_US 14.3 13.5 -20.0 -3.6 -5.5 -3.6 -2.2 -1.0 -2.2 -14.0 -16.4 -9.8 -15.4 -6.2 -13.0 -20.0 -18.5 -20.0 -20.0 -15.8 -20.0 -12.5 -20.0 -7.6 18.1 -9.3 -3.7 -5.5 -6.6 -3.0 -5.1 -1.5 -20.0 0.9 -2.4 8.1 -0.5 GBP -16.8 1.8 13.0 -0.5 -5.5 1.7 -6.9 0.2 -4.6 4.3 13.6 -9.6 1.8 -7.2 8.9 -2.1 -1.9 -1.9 -2.0 3.6 8.6 -5.5 2.5 -4.5 0.5 9.4 1.6 1.6 3.0 -2.8 -1.4 -2.4 1.7 13.5 4.6 4.6 7.9 GOLD_micro -20.0 -5.3 12.3 0.1 -0.5 2.1 -3.1 1.6 -2.9 0.1 11.4 -11.7 5.3 -10.9 5.6 -13.3 -11.7 -12.8 -12.6 0.6 10.7 -12.4 10.4 -11.2 -14.1 -13.8 0.7 -4.1 4.4 -6.8 4.3 -4.6 -16.2 -10.5 -16.0 -8.1 11.0 HEATOIL 2.6 -11.8 -20.0 -3.6 -5.5 -3.6 -2.2 -1.0 -2.2 -13.6 -13.2 -5.1 -0.5 -9.0 -11.6 -0.2 20.0 7.0 15.5 -16.2 -16.2 -14.6 -4.3 -13.0 2.2 -13.6 -5.2 -1.8 -4.9 -1.6 -0.3 -3.2 5.3 2.7 0.4 -6.0 -10.2 JPY -19.5 -20.0 -6.7 -0.5 -5.5 1.7 -6.9 0.2 -4.6 -4.3 -2.1 -12.9 -8.4 -14.6 -14.3 -16.8 -14.4 -16.3 -15.7 -20.0 -12.8 -18.9 -12.7 -20.0 8.3 9.9 -5.1 -1.2 -2.7 -5.4 -3.4 -6.7 -20.0 0.8 -13.1 -20.0 -19.7 LEANHOG -4.2 -0.7 -20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 4.8 -15.6 -6.3 -13.9 -12.1 -15.1 -4.1 -20.0 -20.0 -20.0 -20.0 -20.0 -14.3 -18.0 -20.0 20.0 -11.1 -6.5 -4.0 -6.3 -6.7 -4.7 -6.6 -20.0 -18.6 -20.0 -20.0 -20.0 LIVECOW 12.4 7.0 6.5 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 14.1 14.3 15.2 12.4 14.9 14.0 20.0 9.9 20.0 20.0 16.5 15.0 20.0 11.9 20.0 -20.0 12.0 5.0 7.8 5.4 7.9 5.4 5.9 17.2 20.0 20.0 20.0 20.0 MXP -3.9 6.6 4.7 -0.5 -5.5 1.7 -6.9 0.2 -4.6 8.8 15.4 4.9 15.7 9.4 13.7 20.0 20.0 20.0 20.0 17.9 20.0 7.6 20.0 11.3 -20.0 9.7 5.9 2.4 7.6 3.0 8.3 4.1 20.0 18.5 20.0 20.0 20.0 NASDAQ 16.0 11.4 20.0 2.9 -7.0 4.1 -2.4 3.2 0.8 11.0 14.4 14.6 -2.0 15.5 16.1 -10.0 -6.9 -9.3 -8.4 20.0 19.5 20.0 7.0 20.0 -9.4 10.2 6.3 7.4 5.2 8.8 3.1 7.5 -4.0 20.0 20.0 20.0 20.0 NIKKEI 19.2 20.0 19.4 3.1 -5.4 4.0 -0.6 3.0 1.9 12.5 14.5 14.5 11.8 15.8 16.2 4.0 11.4 6.7 9.8 20.0 20.0 20.0 11.9 20.0 1.8 -9.1 5.9 4.7 3.8 6.8 1.8 7.1 20.0 20.0 20.0 20.0 20.0 NZD -11.7 -4.2 -2.2 -0.5 -5.5 1.7 -6.9 0.2 -4.6 -14.0 5.2 -14.2 -1.6 -10.8 -10.3 1.1 0.8 1.0 0.8 -7.0 -2.9 -20.0 -3.4 -14.4 2.2 10.8 -2.5 -9.8 -0.7 -10.2 -1.3 -6.3 6.4 -13.5 -0.5 -8.6 -10.4 OAT -3.7 0.8 9.7 -0.7 9.5 0.2 1.5 -2.8 -2.1 11.8 -6.1 -0.0 -12.8 -4.8 -0.8 12.5 12.5 11.9 12.1 -2.9 -6.2 5.8 -15.2 -1.6 2.2 12.7 0.0 12.3 -0.6 3.3 -6.4 -0.6 20.0 1.2 5.1 3.7 -0.4 OJ -0.6 -12.6 10.2 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 8.0 13.8 10.5 14.9 9.3 12.1 20.0 20.0 20.0 20.0 19.1 20.0 20.0 20.0 20.0 -20.0 -14.3 5.1 7.8 7.5 8.9 9.3 5.8 20.0 20.0 20.0 20.0 20.0 PALLAD -8.4 13.6 -0.4 0.1 -0.5 2.1 -3.1 1.6 -2.9 -14.0 -13.2 -14.6 -14.4 -11.8 -7.7 -2.5 -2.5 -2.8 -2.8 -9.0 -14.3 -20.0 -20.0 -14.2 20.0 -11.1 -1.2 -10.1 -2.5 -9.0 -4.4 -4.3 0.2 -13.3 2.1 5.9 -10.7 PLAT -16.7 5.0 5.7 0.1 -0.5 2.1 -3.1 1.6 -2.9 -14.0 6.6 -15.3 5.1 -7.0 3.8 -2.2 -1.7 -2.2 -2.1 1.4 6.0 -19.0 5.1 -9.5 -5.6 11.2 1.3 -10.1 2.8 -8.8 2.0 -3.5 1.5 -18.0 -8.4 11.1 2.8 REDWHEAT 3.5 0.8 1.9 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -12.7 -6.8 -9.1 -12.0 -0.1 1.4 6.1 5.8 7.8 7.7 -3.1 -4.4 -17.0 -5.0 -7.6 4.8 12.9 -1.5 -1.6 -2.3 -2.3 -1.1 -1.4 -5.1 7.2 20.0 7.1 3.4 ROBUSTA -12.1 13.0 20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -9.0 14.7 7.0 10.9 12.4 14.9 13.2 10.8 12.2 11.7 20.0 20.0 8.3 17.7 19.4 -20.0 9.6 6.4 0.4 6.1 2.3 4.0 4.5 2.3 20.0 20.0 20.0 20.0 RUSSELL 7.4 -1.8 -10.9 2.9 -7.0 4.1 -2.4 3.2 0.8 -11.3 -9.6 0.5 -10.4 -0.4 -11.9 -6.2 -4.9 -6.0 -5.8 -5.9 -7.9 -3.8 -8.3 -2.3 17.5 10.0 -3.3 -4.7 -3.2 -1.9 -2.0 -1.3 -0.3 4.1 3.6 -13.7 -20.0 SILVER-mini -20.0 -6.5 8.9 0.1 -0.5 2.1 -3.1 1.6 -2.9 3.7 8.6 -11.6 3.6 -11.0 4.1 -6.3 -5.4 -6.2 -6.1 -2.8 6.5 -12.3 6.0 -14.2 -7.7 -11.3 -1.0 0.1 1.6 -4.5 1.1 -4.7 -5.1 -0.1 -20.0 -8.7 -0.1 SOYBEAN -20.0 -20.0 -20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -13.8 -13.3 -14.9 -8.8 -15.6 -15.5 15.7 20.0 20.0 20.0 -20.0 -20.0 -20.0 -11.1 -20.0 14.3 -11.7 -6.1 -1.7 -4.7 -4.2 -2.0 -6.0 20.0 20.0 -20.0 -20.0 -20.0 SOYMEAL -15.5 -20.0 -18.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -14.0 0.5 -15.2 6.5 -15.6 -15.1 20.0 20.0 20.0 20.0 -20.0 -7.4 -20.0 8.4 -20.0 -20.0 -12.0 -5.4 -3.7 -1.9 -6.0 2.4 -6.5 20.0 4.7 -5.7 -10.7 -11.3 SOYOIL -13.4 -13.4 -20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -13.3 -14.8 -13.2 -10.3 -13.5 -14.6 4.4 10.8 4.5 6.2 -20.0 -20.0 -20.0 -14.9 -20.0 19.4 12.9 -6.1 1.1 -6.1 -1.4 -3.5 -4.4 -2.3 20.0 1.4 -10.2 -20.0 SP400 -1.4 -5.6 -15.6 2.9 -7.0 4.1 -2.4 3.2 0.8 -11.4 -3.1 -9.2 -3.0 -9.1 -11.4 -5.9 -4.7 -5.7 -5.4 -8.2 -6.2 -8.4 -3.3 -7.6 15.0 10.2 -4.8 -7.0 -3.3 -5.6 -0.8 -4.6 0.3 -3.7 -10.8 -19.0 -20.0 SP500 3.0 5.1 9.1 2.9 -7.0 4.1 -2.4 3.2 0.8 4.9 12.8 10.7 -2.8 10.9 12.9 -9.8 -7.1 -9.1 -8.4 8.7 7.4 7.2 2.0 8.0 2.9 10.2 4.5 3.8 4.6 4.3 2.6 4.1 -4.2 18.1 9.8 3.7 6.4 SUGAR11 -19.0 7.1 20.0 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -7.0 15.0 -8.9 14.1 7.8 13.1 6.6 20.0 12.7 20.0 20.0 20.0 -8.5 20.0 6.0 -20.0 -10.5 5.3 -2.2 6.9 -1.7 6.1 1.5 20.0 18.1 18.2 20.0 20.0 US10 -18.2 -4.2 19.4 -0.7 9.5 0.2 1.5 -2.8 -2.1 4.8 4.8 -10.1 -9.6 -10.8 3.4 -11.0 -6.5 -10.5 -9.5 -5.6 -1.7 -11.8 -8.9 -13.8 -4.1 9.7 -0.9 -4.0 1.4 -7.9 -1.4 -5.9 -14.4 -20.0 -17.5 -3.9 3.6 US10U -16.5 -5.4 17.0 -0.7 9.5 0.2 1.5 -2.8 -2.1 9.6 4.4 -8.7 -9.9 -11.0 1.6 -5.8 -1.4 -5.5 -4.0 -6.2 -2.8 -8.2 -9.8 -12.5 -5.0 -14.1 -1.3 -3.7 1.4 -7.8 -1.0 -6.2 -5.0 -20.0 -16.9 -5.5 2.7 US20 -17.2 -8.2 15.2 -0.7 9.5 0.2 1.5 -2.8 -2.1 9.9 4.9 -8.2 -8.6 -11.9 -0.4 -1.7 -1.6 -2.0 -2.4 -8.2 -4.0 -7.1 -9.9 -13.5 -0.8 -12.3 -2.2 -0.5 0.4 -5.9 -1.6 -6.2 -4.1 -20.0 -16.0 -7.8 0.0 US30 -14.4 -9.2 10.5 -0.7 9.5 0.2 1.5 -2.8 -2.1 10.2 1.7 -7.9 -10.4 -12.5 -7.8 -1.5 -1.0 -1.6 -1.5 -9.9 -7.0 -4.9 -13.9 -12.6 -0.7 10.0 -3.0 1.6 -0.3 -4.4 -2.3 -6.2 -2.6 -15.0 -12.2 -7.8 -3.5 US5 -20.0 -3.6 20.0 -0.7 9.5 0.2 1.5 -2.8 -2.1 0.3 4.1 -10.9 -9.6 -11.0 3.3 -12.5 -7.2 -11.4 -10.4 -6.0 -1.6 -16.9 -8.8 -16.3 -2.9 10.8 -0.9 -5.9 1.1 -9.1 -2.0 -6.1 -15.8 -20.0 -20.0 -4.9 2.4 VIX -10.2 -7.2 3.5 -4.9 -4.6 -6.0 -5.4 -7.2 -5.3 -13.9 -15.6 -14.8 -14.9 -14.7 -15.1 -20.0 -20.0 -20.0 -20.0 -13.8 -15.5 -15.4 -17.5 -14.6 NaN -13.5 -5.8 -8.0 -7.8 -7.9 -10.2 -6.5 NaN NaN NaN NaN NaN WHEAT -3.3 -7.1 -11.3 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -13.1 -15.3 -14.2 -15.6 -14.4 -14.8 -12.2 -9.8 -12.3 -11.5 -20.0 -20.0 -16.6 -19.4 -18.9 20.0 11.9 -5.9 0.6 -6.0 -1.8 -4.1 -4.3 -20.0 20.0 17.4 -10.6 -18.8 End of report for caleb_strategy_v1