******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230601_204705 produced at 2023-06-01 21:37:49.843306 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 4.681877e+07 -4.681877e+07 -0.42 -0.42 -11.12 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.14 -0.21 0.0 7.909755e+06 -7.909755e+06 -0.14 -0.14 -26.43 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.20 0.0 5.360410e+07 -5.360410e+07 -0.11 -0.11 -3.82 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.42 -0.17 0.0 3.499291e+07 -3.499291e+07 -0.42 -0.42 -4.88 999999999.0 -12 -12 caleb_strategy_v1 EUR False False 0.05 -0.21 -0.17 0.0 5.221310e+07 -5.221310e+07 -0.21 -0.21 -3.32 999999999.0 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.20 -0.16 0.0 4.998122e+07 -4.998122e+07 -0.20 -0.20 -3.12 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.13 -0.09 0.0 4.215688e+07 -4.215688e+07 -0.13 -0.13 -2.25 999999999.0 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.08 0.0 7.729846e+06 -7.729846e+06 -0.09 -0.12 -10.17 999999999.0 -12 -15 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 4.449237e+07 -4.449237e+07 0.00 0.00 -1.44 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.06 0.0 1.242297e+07 -1.242297e+07 -0.09 -0.09 -4.69 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.752153e+07 -4.752153e+07 0.00 0.00 -1.01 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.738067e+07 -5.738067e+07 0.00 0.00 -0.74 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.03 0.0 2.612352e+07 -2.612352e+07 -0.03 -0.03 -1.26 999999999.0 -1 -1 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.766346e+07 -3.766346e+07 -0.04 -0.04 -0.90 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.174443e+07 -1.174443e+07 -0.05 -0.05 -2.76 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.326398e+07 -2.326398e+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 2.682725e+07 -2.682725e+07 0.00 0.00 -0.64 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.02 0.0 1.480365e+07 -1.480365e+07 -0.01 -0.01 -1.50 999999999.0 -1 -1 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.01 0.0 1.769444e+07 -1.769444e+07 0.00 0.00 -0.35 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.048624e+06 -1.048624e+06 -0.02 -0.02 -11.69 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.783119e+07 -3.783119e+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 8.840314e+06 -8.840314e+06 -0.02 -0.02 -1.06 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 5.385612e+07 -5.385612e+07 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.02 0.00 -0.00 0.0 1.560432e+07 -1.560432e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.00 0.0 1.068716e+07 -1.068716e+07 0.01 0.01 0.46 999999999.0 1 1 caleb_strategy_v1 US30 False False 0.05 -0.11 -0.00 0.0 5.334965e+07 -5.334965e+07 -0.11 -0.11 -0.09 999999999.0 -2 -2 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.546086e+07 -1.546086e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.248016e+07 -1.248016e+07 -0.05 -0.05 -0.14 999999999.0 -4 -4 caleb_strategy_v1 COPPER False False 0.04 -0.04 0.00 0.0 3.594770e+07 -3.594770e+07 -0.04 -0.04 0.04 999999999.0 -1 -1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.550120e+07 -2.550120e+07 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.01 0.0 6.429777e+06 -6.429777e+06 -0.02 -0.01 0.81 999999999.0 -3 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.107831e+07 -1.107831e+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 2.631011e+07 -2.631011e+07 0.03 0.03 0.28 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 6.585944e+06 -6.585944e+06 0.01 0.01 1.06 999999999.0 2 1 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.556942e+07 -1.556942e+07 0.02 0.02 0.42 999999999.0 1 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.955919e+07 -1.955919e+07 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.029431e+07 -1.029431e+07 0.05 0.05 1.06 999999999.0 5 5 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 1.011596e+07 -1.011596e+07 0.02 0.02 1.23 999999999.0 2 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.615947e+06 -3.615947e+06 0.00 0.00 5.68 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.351989e+07 -2.351989e+07 0.00 0.00 0.67 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.03 0.0 8.217518e+07 -8.217518e+07 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.03 0.0 2.261938e+07 -2.261938e+07 0.00 0.00 1.15 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3.442100e+06 -3.442100e+06 0.00 0.00 8.97 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.75 0.04 0.0 9.435096e+07 -9.435096e+07 0.75 0.75 0.44 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.099999e+07 -1.099999e+07 0.00 0.00 3.95 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 2.959907e+07 -2.959907e+07 0.06 0.03 1.51 999999999.0 2 1 caleb_strategy_v1 GBP False False 0.03 0.30 0.04 0.0 3.036919e+07 -3.036919e+07 0.30 0.30 1.20 999999999.0 10 10 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.885509e+07 -2.885509e+07 0.00 0.00 1.71 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.125085e+08 -1.125085e+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 4.832645e+07 -4.832645e+07 0.14 0.14 1.49 999999999.0 3 3 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.08 0.0 2.674195e+07 -2.674195e+07 0.00 0.00 3.07 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.415560e+07 -5.415560e+07 0.00 0.00 1.73 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 4.75 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.45 0.31 0.0 5.644089e+07 -5.644089e+07 0.45 0.51 5.54 999999999.0 8 9 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.52 0.0 0.000000e+00 0.000000e+00 0.00 0.00 60.78 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.55 0.0 4.896401e+07 -4.896401e+07 0.00 0.00 11.20 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 54.4 Sum abs risk 54.4 Leverage 4.31 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2579093.93, 'annual_cash_vol_target': 644773.4825, 'daily_cash_vol_target': 40298.34265625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6577 0.6862 10.9794 BITCOIN 821.7142 27045.0000 3.0383 48.6132 BOBL 0.3532 118.2700 0.2987 4.7788 BTP 0.6773 116.7300 0.5802 9.2835 BUND 0.6941 136.3300 0.5091 8.1462 BUXL 1.6353 138.6000 1.1798 18.8774 CAC 60.6073 7149.5000 0.8477 13.5634 CAD 0.0035 0.7442 0.4677 7.4825 CANOLA 8.8753 632.9000 1.4023 22.4372 CHF 0.0050 1.1060 0.4507 7.2112 COCOA 30.7328 3029.0000 1.0146 16.2339 COFFEE 3.3263 180.9500 1.8382 29.4119 COPPER 0.0511 3.7085 1.3778 22.0447 CORN 6.9076 531.0000 1.3009 20.8138 COTTON2 1.5883 80.3100 1.9777 31.6433 CRUDE_W 1.4208 69.1900 2.0535 32.8563 DAX 140.2904 15908.0000 0.8819 14.1102 DOW 234.0658 33166.0000 0.7057 11.2918 EUR 0.0049 1.0773 0.4571 7.3144 EUROSTX 41.1741 4274.0000 0.9634 15.4138 FEEDCOW 1.5161 245.1250 0.6185 9.8961 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.2282 673.7500 1.9634 31.4140 GASOILINE 0.0450 2.3231 1.9383 31.0132 GAS_US 0.0995 2.2800 4.3631 69.8096 GBP 0.0063 1.2532 0.5049 8.0781 GOLD_micro 15.4143 1993.6000 0.7732 12.3710 HEATOIL 0.0436 2.3128 1.8854 30.1670 JPY 0.0000 0.0072 0.6233 9.9727 LEANHOG 1.5993 80.1000 1.9966 31.9460 LIVECOW 1.2827 172.4250 0.7439 11.9024 MXP 0.0004 0.0567 0.6545 10.4713 NASDAQ 134.0818 14508.5000 0.9242 14.7866 NIKKEI 237.4306 31035.0000 0.7650 12.2407 NZD 0.0048 0.6066 0.7942 12.7077 OAT 0.6720 130.8100 0.5137 8.2196 OJ 5.0910 268.3000 1.8975 30.3599 PALLAD 31.6412 1389.0000 2.2780 36.4478 PLAT 17.8089 1008.9000 1.7652 28.2428 REDWHEAT 15.4492 797.5000 1.9372 30.9953 ROBUSTA 34.6054 2609.0000 1.3264 21.2222 RUSSELL 20.2134 1775.5000 1.1385 18.2154 SILVER-mini 0.3528 24.0000 1.4702 23.5230 SOYBEAN 12.6296 1166.7500 1.0825 17.3194 SOYMEAL 4.3579 381.8000 1.1414 18.2624 SOYOIL 0.8304 47.6200 1.7439 27.9024 SP400 24.2444 2433.4000 0.9963 15.9411 SP500 32.0145 4238.7500 0.7553 12.0845 SUGAR11 0.3604 24.6100 1.4645 23.4319 US10 0.4771 114.7500 0.4158 6.6520 US10U 0.6198 120.7500 0.5133 8.2125 US20 0.8855 128.9062 0.6869 10.9905 US30 1.2546 137.5938 0.9118 14.5893 US5 0.3502 108.7266 0.3221 5.1535 VIX 0.5747 20.4000 2.8169 45.0711 WHEAT 11.6440 643.7500 1.8088 28.9405 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 657.70 0.69 451.32 1.00 451.32 40298.34 89.29 1.80 16.08 BITCOIN 27.04 3.04 82.17 1.00 82.17 40298.34 490.42 -10.11 -495.94 BOBL 1182.70 0.30 353.24 1.07 377.71 40298.34 106.69 14.55 155.23 BTP 1167.30 0.58 677.29 1.07 724.19 40298.34 55.65 13.24 73.70 BUND 1363.30 0.51 694.11 1.07 742.17 40298.34 54.30 14.13 76.72 BUXL 1386.00 1.18 1635.26 1.07 1748.50 40298.34 23.05 -3.82 -8.81 CAC 714.95 0.85 606.07 1.07 648.04 40298.34 62.18 8.65 53.78 CAD 744.20 0.47 348.03 1.00 348.03 40298.34 115.79 8.25 95.51 CANOLA 126.58 1.40 177.51 0.73 130.20 40298.34 309.50 20.00 619.01 CHF 1382.50 0.45 623.09 1.00 623.09 40298.34 64.67 -15.78 -102.08 COCOA 302.90 1.01 307.33 1.00 307.33 40298.34 131.12 -9.65 -126.48 COFFEE 678.56 1.84 1247.36 1.00 1247.36 40298.34 32.31 6.65 21.49 COPPER 927.12 1.38 1277.39 1.00 1277.39 40298.34 31.55 0.44 1.39 CORN 265.50 1.30 345.38 1.00 345.38 40298.34 116.68 10.03 116.97 COTTON2 401.55 1.98 794.15 1.00 794.15 40298.34 50.74 5.52 27.99 CRUDE_W 691.90 2.05 1420.83 1.00 1420.83 40298.34 28.36 -1.72 -4.87 DAX 159.08 0.88 140.29 1.07 150.01 40298.34 268.65 0.72 19.46 DOW 165.83 0.71 117.03 1.00 117.03 40298.34 344.33 0.83 28.56 EUR 1346.62 0.46 615.61 1.00 615.61 40298.34 65.46 -13.54 -88.65 EUROSTX 427.40 0.96 411.74 1.07 440.25 40298.34 91.53 -1.36 -12.45 FEEDCOW 1225.62 0.62 758.06 1.00 758.06 40298.34 53.16 -7.10 -37.75 FTSE100 707.00 0.82 576.59 1.24 666.67 40298.34 60.45 7.63 46.12 GASOIL 673.75 1.96 1322.82 1.00 1322.82 40298.34 30.46 -5.78 -17.62 GASOILINE 975.70 1.94 1891.23 1.00 1891.23 40298.34 21.31 -3.82 -8.14 GAS_US 228.00 4.36 994.79 1.00 994.79 40298.34 40.51 -17.45 -70.69 GBP 783.25 0.50 395.45 1.00 395.45 40298.34 101.91 6.62 67.47 GOLD_micro 199.36 0.77 154.14 1.00 154.14 40298.34 261.44 -17.39 -454.66 HEATOIL 971.38 1.89 1831.47 1.00 1831.47 40298.34 22.00 -5.75 -12.65 JPY 902.50 0.62 562.52 1.00 562.52 40298.34 71.64 -10.53 -75.45 LEANHOG 320.40 2.00 639.72 1.00 639.72 40298.34 62.99 -15.94 -100.42 LIVECOW 689.70 0.74 513.07 1.00 513.07 40298.34 78.54 14.56 114.36 MXP 283.70 0.65 185.67 1.00 185.67 40298.34 217.04 14.86 322.57 NASDAQ 2901.70 0.92 2681.64 1.00 2681.64 40298.34 15.03 6.64 9.98 NIKKEI 31035.00 0.77 23743.06 0.01 171.53 40298.34 234.94 13.62 320.01 NZD 606.60 0.79 481.78 1.00 481.78 40298.34 83.64 4.99 41.74 OAT 1308.10 0.51 672.01 1.07 718.54 40298.34 56.08 15.26 85.59 OJ 402.45 1.90 763.65 1.00 763.65 40298.34 52.77 -3.07 -16.21 PALLAD 1389.00 2.28 3164.12 1.00 3164.12 40298.34 12.74 -1.85 -2.35 PLAT 504.45 1.77 890.44 1.00 890.44 40298.34 45.26 4.12 18.64 REDWHEAT 398.75 1.94 772.46 1.00 772.46 40298.34 52.17 6.78 35.36 ROBUSTA 260.90 1.33 346.05 1.00 346.05 40298.34 116.45 8.13 94.73 RUSSELL 88.78 1.14 101.07 1.00 101.07 40298.34 398.73 4.34 173.11 SILVER-mini 600.00 1.47 882.11 1.00 882.11 40298.34 45.68 -11.75 -53.69 SOYBEAN 583.38 1.08 631.48 1.00 631.48 40298.34 63.82 3.06 19.54 SOYMEAL 381.80 1.14 435.79 1.00 435.79 40298.34 92.47 -2.75 -25.45 SOYOIL 285.72 1.74 498.27 1.00 498.27 40298.34 80.88 6.36 51.44 SP400 2433.40 1.00 2424.44 1.00 2424.44 40298.34 16.62 5.11 8.49 SP500 2119.38 0.76 1600.72 1.00 1600.72 40298.34 25.18 5.83 14.67 SUGAR11 275.63 1.46 403.66 1.00 403.66 40298.34 99.83 3.42 34.15 US10 1147.50 0.42 477.08 1.00 477.08 40298.34 84.47 -4.46 -37.63 US10U 1207.50 0.51 619.79 1.00 619.79 40298.34 65.02 -11.74 -76.30 US20 1289.06 0.69 885.47 1.00 885.47 40298.34 45.51 -9.31 -42.38 US30 1375.94 0.91 1254.62 1.00 1254.62 40298.34 32.12 -0.32 -1.04 US5 1087.27 0.32 350.20 1.00 350.20 40298.34 115.07 -5.09 -58.53 VIX 204.00 2.82 574.66 1.00 574.66 40298.34 70.13 -20.00 -140.25 WHEAT 321.88 1.81 582.20 1.00 582.20 40298.34 69.22 -3.82 -26.43 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 16.085 0.006 2.5 0.257 BITCOIN -495.945 0.009 2.5 -11.685 BOBL 155.235 0.029 2.5 11.201 BTP 73.702 0.008 2.5 1.488 BUND 76.721 0.029 2.5 5.536 BUXL -8.808 0.034 2.5 -0.739 CAC 53.778 0.011 2.5 1.512 CAD 95.514 0.007 2.5 1.705 CANOLA 619.005 0.004 2.5 5.682 CHF -102.076 0.015 2.5 -3.820 COCOA -126.478 0.009 2.5 -2.755 COFFEE 21.488 0.005 2.5 0.279 COPPER 1.389 0.011 2.5 0.038 CORN 116.972 0.004 2.5 1.055 COTTON2 27.994 0.006 2.5 0.422 CRUDE_W -4.871 0.053 2.5 -0.644 DAX 19.459 0.022 2.5 1.057 DOW 28.561 0.011 2.5 0.814 EUR -88.654 0.015 2.5 -3.318 EUROSTX -12.450 0.011 2.5 -0.350 FEEDCOW -37.752 0.011 2.5 -1.014 FTSE100 46.125 0.041 2.5 4.755 GASOIL -17.622 0.029 2.5 -1.257 GASOILINE -8.143 0.016 2.5 -0.334 GAS_US -70.693 0.006 2.5 -1.064 GBP 67.469 0.007 2.5 1.205 GOLD_micro -454.663 0.009 2.5 -10.173 HEATOIL -12.650 0.029 2.5 -0.902 JPY -75.449 0.026 2.5 -4.884 LEANHOG -100.422 0.019 2.5 -4.692 LIVECOW 114.362 0.011 2.5 3.073 MXP 322.574 0.005 2.5 3.949 NASDAQ 9.978 0.022 2.5 0.542 NIKKEI 320.005 0.076 2.5 60.780 NZD 41.741 0.006 2.5 0.667 OAT 85.588 0.008 2.5 1.729 OJ -16.214 0.007 2.5 -0.283 PALLAD -2.352 0.010 2.5 -0.057 PLAT 18.642 0.010 2.5 0.449 REDWHEAT 35.357 0.002 2.5 0.189 ROBUSTA 94.731 0.005 2.5 1.228 RUSSELL 173.109 0.021 2.5 8.966 SILVER-mini -53.690 0.009 2.5 -1.201 SOYBEAN 19.542 0.024 2.5 1.152 SOYMEAL -25.454 0.024 2.5 -1.501 SOYOIL 51.444 0.004 2.5 0.472 SP400 8.490 0.021 2.5 0.440 SP500 14.667 0.011 2.5 0.418 SUGAR11 34.149 0.005 2.5 0.463 US10 -37.633 0.015 2.5 -1.444 US10U -76.301 0.058 2.5 -11.117 US20 -42.376 0.029 2.5 -3.123 US30 -1.038 0.034 2.5 -0.087 US5 -58.527 0.015 2.5 -2.245 VIX -140.252 0.075 2.5 -26.430 WHEAT -26.427 0.002 2.5 -0.141 ==================== Position diags ==================== AUD 1.43 BITCOIN 11.56 BOBL 7.70 BTP 1.12 BUND 3.92 BUXL 1.93 CAC 1.75 CAD 2.07 CANOLA 2.84 CHF 2.42 COCOA 2.86 COFFEE 0.42 COPPER 0.86 CORN 1.05 COTTON2 0.76 CRUDE_W 3.75 DAX 14.59 DOW 9.81 EUR 2.45 EUROSTX 2.57 FEEDCOW 1.43 FTSE100 6.23 GASOIL 2.17 GASOILINE 0.87 GAS_US 0.61 GBP 1.82 GOLD_micro 5.85 HEATOIL 1.57 JPY 4.64 LEANHOG 2.94 LIVECOW 2.11 MXP 2.66 NASDAQ 0.82 NIKKEI 44.62 NZD 1.34 OAT 1.13 OJ 0.92 PALLAD 0.31 PLAT 1.09 REDWHEAT 0.28 ROBUSTA 1.51 RUSSELL 20.65 SILVER-mini 1.02 SOYBEAN 3.76 SOYMEAL 5.45 SOYOIL 0.74 SP400 0.86 SP500 0.72 SUGAR11 1.35 US10 3.24 US10U 9.47 US20 3.35 US30 2.70 US5 4.41 VIX 13.22 WHEAT 0.37 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.1 0.4 0.0 0 BITCOIN -11.7 -12.8 -10.5 -19.0 -19 BOBL 11.2 10.4 12.0 0.0 0 BTP 1.5 1.4 1.6 3.0 3 BUND 5.5 5.1 5.9 8.0 8 BUXL -0.7 -0.9 -0.5 0.0 0 CAC 1.5 1.3 1.7 2.0 2 CAD 1.7 1.5 1.9 0.0 0 CANOLA 5.7 5.4 6.0 NaN 0 CHF -3.8 -4.1 -3.6 -2.0 -2 COCOA -2.8 -3.0 -2.5 -4.0 -4 COFFEE 0.3 0.2 0.3 1.0 1 COPPER 0.0 -0.0 0.1 -1.0 -1 CORN 1.1 0.9 1.2 5.0 5 COTTON2 0.4 0.3 0.5 1.0 1 CRUDE_W -0.6 -1.0 -0.3 0.0 0 DAX 1.1 -0.4 2.5 2.0 2 DOW 0.8 -0.2 1.8 -3.0 -3 EUR -3.3 -3.6 -3.1 -4.0 -4 EUROSTX -0.4 -0.6 -0.1 0.0 0 FEEDCOW -1.0 -1.2 -0.9 0.0 0 FTSE100 4.8 4.1 5.4 0.0 0 GASOIL -1.3 -1.5 -1.0 -1.0 -1 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -1.1 -1.1 -1.0 -2.0 -2 GBP 1.2 1.0 1.4 10.0 10 GOLD_micro -10.2 -10.8 -9.6 -12.0 -12 HEATOIL -0.9 -1.1 -0.7 -1.0 -1 JPY -4.9 -5.3 -4.4 -12.0 -12 LEANHOG -4.7 -5.0 -4.4 -7.0 -7 LIVECOW 3.1 2.9 3.3 0.0 0 MXP 3.9 3.7 4.2 0.0 0 NASDAQ 0.5 0.5 0.6 0.0 0 NIKKEI 60.8 56.3 65.2 0.0 0 NZD 0.7 0.5 0.8 0.0 0 OAT 1.7 1.6 1.8 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT 0.4 0.3 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 9.0 6.9 11.0 0.0 0 SILVER-mini -1.2 -1.3 -1.1 0.0 0 SOYBEAN 1.2 0.8 1.5 0.0 0 SOYMEAL -1.5 -2.0 -1.0 -1.0 -1 SOYOIL 0.5 0.4 0.5 0.0 0 SP400 0.4 0.4 0.5 8.0 8 SP500 0.4 0.3 0.5 0.0 0 SUGAR11 0.5 0.3 0.6 1.0 1 US10 -1.4 -1.8 -1.1 NaN 0 US10U -11.1 -12.1 -10.2 -9.0 -9 US20 -3.1 -3.5 -2.8 -4.0 -4 US30 -0.1 -0.4 0.2 -2.0 -2 US5 -2.2 -2.7 -1.8 -3.0 -3 VIX -26.4 -27.8 -25.1 -18.0 -18 WHEAT -0.1 -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 -0.1 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.3 -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 0.1 -0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.1 -0.3 -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 -0.1 -0.2 0.1 BOBL -0.1 0.0 0.3 -0.0 0.0 0.0 0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.3 -0.0 0.1 1.2 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 0.2 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 0.2 0.0 -0.2 0.0 0.1 0.9 0.5 0.2 0.2 0.0 0.0 0.0 -0.1 0.0 -1.4 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 -0.0 0.0 0.3 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.0 0.7 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 0.0 0.0 0.0 BUXL -0.0 -0.0 0.2 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.2 0.2 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.2 -0.0 1.0 -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 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.0 0.3 -0.0 0.2 0.2 0.2 0.2 0.1 0.0 0.2 -0.0 0.2 -0.0 -1.3 1.7 0.0 -0.0 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 2.1 2.2 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.4 0.0 -0.0 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 -0.0 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 0.3 2.2 0.0 0.0 0.0 -0.0 0.0 -0.0 -1.0 0.1 0.4 0.3 0.3 COPPER -0.2 -0.3 -0.2 0.0 0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.3 -0.2 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 0.6 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 0.1 -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 0.8 0.1 0.4 -0.1 -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 -0.2 3.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -1.5 0.0 0.3 0.6 0.2 CRUDE_W -0.0 -0.1 -0.2 -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 -1.8 0.1 0.0 0.1 0.1 DAX -0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 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 -2.2 2.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.5 -0.1 -0.1 0.1 0.1 DOW -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -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 -0.3 -0.2 -0.1 EUR -0.2 -0.2 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 -0.0 0.1 -0.1 -0.0 -0.5 -0.3 -0.1 -0.2 -0.1 0.0 -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 -0.3 -0.1 -0.0 EUROSTX -0.1 -0.1 0.0 0.0 -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 -0.1 0.0 0.1 0.2 -0.0 0.2 -0.0 -1.8 -1.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.6 -0.0 -0.1 0.0 0.1 FEEDCOW 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 0.1 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 -0.0 -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 -0.1 -0.0 1.1 -3.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 GASOILINE 0.1 -0.2 -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 0.8 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 -0.0 -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 2.2 -1.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.3 -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 0.1 -0.0 0.2 -0.2 -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 0.1 0.1 0.1 0.1 GOLD_micro -0.2 -0.1 0.2 0.0 0.0 0.1 -0.0 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 -0.0 -0.4 -0.1 0.2 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 0.3 -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 0.6 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 -0.1 -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 0.0 0.0 -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 0.1 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 -0.0 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 0.3 0.3 NASDAQ 0.2 0.2 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.1 -0.0 0.1 0.4 -0.7 -0.3 -0.2 -0.2 0.3 0.3 0.0 0.1 0.0 -1.2 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 -0.2 -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 0.4 2.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.8 -0.0 -0.1 -0.1 -0.2 OAT -0.0 0.0 0.2 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.0 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 0.1 -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 0.1 -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 0.0 0.1 0.0 0.0 0.1 -0.0 0.0 -0.0 -0.0 0.1 -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 -0.8 2.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.2 0.1 0.0 REDWHEAT 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -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 0.6 2.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.7 0.1 0.4 0.1 0.1 ROBUSTA -0.1 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 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 -0.0 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 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 -0.0 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 -1.6 -3.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.2 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 1.2 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.1 -0.0 2.2 -2.5 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 2.7 0.0 -0.4 -0.3 -0.3 SOYMEAL -0.2 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.2 -0.1 -0.4 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 0.1 -0.1 -0.1 -0.2 SOYOIL -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 0.3 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 0.1 -0.1 -0.3 SP400 -0.0 -0.1 -0.3 0.0 -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 2.4 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 -0.0 0.1 -0.0 0.1 0.0 0.1 0.3 0.0 -0.1 0.1 0.3 -0.7 -0.3 -0.2 -0.2 0.1 0.1 0.0 0.0 0.0 0.3 2.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.3 0.3 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 0.1 -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 0.1 0.0 0.1 -0.1 -0.0 0.0 0.1 -0.0 -0.2 -0.0 0.0 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.6 -2.9 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 -0.0 -0.3 -0.1 0.0 US20 -0.2 -0.1 0.2 -0.0 0.0 0.0 0.1 -0.1 -0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.0 -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 -0.2 -0.1 -0.0 US30 -0.2 -0.1 0.1 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.3 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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 -12.3 -6.1 -8.2 -0.5 0.4 1.7 -4.4 0.2 -4.0 -5.1 -2.7 -12.4 -6.5 -12.5 -14.2 -3.8 -3.3 -3.7 -3.7 -10.8 -8.1 -11.5 -7.7 -13.3 13.8 11.7 -4.5 -0.2 -3.2 -5.5 -3.3 -6.1 -0.8 -4.8 -0.5 -8.4 -17.9 BITCOIN -11.1 -8.8 20.0 0.2 2.6 2.1 -1.4 1.7 -2.3 -1.5 10.5 -9.2 -6.5 -11.1 6.2 -4.9 -2.7 -4.2 -3.4 2.1 8.2 -2.1 1.7 -3.6 0.1 -18.1 -0.4 -1.1 3.0 -1.1 2.1 -2.4 -0.2 1.1 -3.1 -10.9 7.8 BOBL -6.6 2.1 20.0 -0.3 11.0 0.3 4.1 -2.7 -0.6 12.9 -1.8 0.5 -11.9 -2.2 4.2 14.2 8.1 10.3 7.9 -0.9 -4.9 7.3 -15.4 -0.5 7.4 10.8 0.7 11.2 -0.3 3.9 -6.4 0.0 13.0 -2.2 0.8 3.5 1.6 BTP -0.1 -0.5 9.0 -0.3 11.0 0.3 4.1 -2.7 -0.6 13.4 7.8 8.1 -7.6 1.3 5.1 10.4 11.9 10.1 10.8 2.6 1.5 15.4 -7.2 5.2 -10.9 11.4 3.0 18.7 3.1 9.7 -2.2 3.6 19.3 9.2 11.8 7.5 6.2 BUND -3.9 1.3 16.6 -0.3 11.0 0.3 4.1 -2.7 -0.6 13.2 -4.6 3.1 -12.8 -2.0 1.0 7.8 12.0 8.0 9.5 -1.8 -6.1 9.7 -16.5 0.6 4.7 12.3 0.3 11.8 -0.4 4.9 -5.7 0.4 18.1 2.1 2.4 2.2 0.4 BUXL -2.8 -2.5 10.1 -0.3 11.0 0.3 4.1 -2.7 -0.6 13.2 -11.5 2.0 -14.2 -5.7 -7.8 1.9 1.1 2.0 2.2 -6.9 -11.4 7.8 -19.9 -2.2 7.7 -10.8 -2.0 10.3 -2.9 4.6 -7.2 -0.7 2.6 1.8 -1.9 -2.8 -6.1 CAC -17.9 -5.2 1.2 2.9 -1.9 4.2 -1.3 3.3 0.9 -11.1 14.3 -11.4 13.5 -6.7 8.3 2.6 4.6 7.1 5.7 3.7 14.8 -17.2 18.3 -8.4 -11.3 8.9 1.1 -10.3 5.3 -9.1 6.6 -4.2 17.3 -20.0 -17.8 -1.9 4.9 CAD -6.5 1.5 6.9 -0.5 0.4 1.7 -4.4 0.2 -4.0 8.2 -1.6 -4.2 -9.6 -5.9 1.4 -3.3 -2.3 -3.0 -2.8 -1.4 -2.6 0.8 -7.0 -2.5 15.1 10.4 0.1 9.1 -0.6 0.9 -3.6 -1.0 0.8 10.0 19.9 2.8 -3.3 CANOLA -14.7 -6.4 -20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -10.7 -14.2 -14.7 -14.3 -15.0 -15.1 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -17.9 -20.0 20.0 13.2 -6.5 -4.7 -6.6 -6.2 -4.8 -6.3 20.0 -14.3 -10.8 -14.5 -20.0 CHF -20.0 -1.2 9.3 -0.5 0.4 1.7 -4.4 0.2 -4.0 -7.7 11.9 -13.3 9.3 -10.5 4.5 -16.7 -14.9 -15.8 -15.5 0.2 8.4 -13.6 7.3 -10.5 -4.9 -11.5 0.3 -3.5 3.5 -5.8 2.4 -4.3 -20.0 -1.0 -11.2 5.4 8.0 COCOA -1.2 7.0 19.9 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -5.7 15.3 5.4 11.5 9.1 14.0 0.0 -1.1 0.3 0.1 18.1 20.0 4.4 17.0 10.5 -20.0 -10.4 6.2 0.3 7.5 1.4 6.1 3.8 -17.6 20.0 20.0 20.0 20.0 COFFEE -8.9 0.6 12.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -5.8 2.2 -8.9 -4.2 -7.1 0.5 7.4 4.9 6.8 5.9 1.1 2.4 -9.8 -2.3 -5.9 1.7 10.0 2.5 2.5 2.5 -0.6 0.0 -0.0 -7.6 20.0 19.1 20.0 20.0 COPPER -13.4 -20.0 -9.5 0.2 2.6 2.1 -1.4 1.7 -2.3 8.1 0.3 -6.7 -4.0 -11.9 -12.7 -3.0 -1.1 -2.1 -1.6 -16.3 -7.7 -5.6 -2.5 -16.1 4.5 11.1 -5.3 2.1 -3.0 -1.5 -1.0 -5.0 2.5 0.8 -17.2 -20.0 -20.0 CORN 8.4 -6.0 -20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 9.2 -13.3 7.5 -8.8 -6.9 -11.8 -2.7 14.7 5.4 11.2 -15.4 -16.8 8.2 -9.2 -4.8 20.0 11.0 -5.0 6.0 -6.0 4.4 -4.0 -0.8 6.2 20.0 20.0 -10.0 -20.0 COTTON2 6.4 8.7 3.8 -4.5 -11.1 -2.8 -8.6 -1.3 -6.2 -2.9 -1.0 -0.6 -11.8 2.4 1.1 4.3 6.2 0.4 0.9 0.9 -4.0 -0.9 -7.5 2.0 -0.9 12.0 1.1 -1.5 -1.1 -0.6 -1.2 1.7 -11.1 20.0 20.0 20.0 6.4 CRUDE_W -2.1 -9.3 -8.6 -3.6 -2.0 -3.7 -1.6 -1.1 -2.2 -6.0 -4.3 -5.1 -6.6 -8.8 -5.8 6.6 10.6 7.6 8.5 -7.6 -5.8 -10.0 -1.7 -8.5 -11.3 10.8 -2.8 2.5 -2.3 0.9 0.6 -1.3 -13.4 12.3 0.2 7.7 6.0 DAX -10.2 -2.4 2.1 2.9 -1.9 4.2 -1.3 3.3 0.9 -6.6 15.2 -7.8 12.2 -1.0 10.7 -8.3 -6.6 -8.3 -8.1 6.7 13.4 -6.7 13.2 -0.7 -14.9 9.9 4.0 -4.5 6.7 -4.0 6.1 0.2 -3.7 -8.0 -3.8 5.4 5.8 DOW -11.5 -3.6 -4.2 2.9 -1.9 4.2 -1.3 3.3 0.9 -1.5 5.8 -7.7 3.3 -8.2 -0.2 -8.8 -6.2 -8.4 -7.8 -4.3 -0.6 -6.8 0.6 -8.0 5.1 10.8 -2.2 1.7 0.6 -3.0 1.7 -4.5 -3.1 0.3 -15.1 -11.9 -7.7 EUR -20.0 -9.3 6.9 -0.5 0.4 1.7 -4.4 0.2 -4.0 -3.2 11.1 -13.3 2.2 -13.3 -1.9 -8.1 -8.5 -7.7 -8.0 -6.3 3.9 -13.3 2.4 -15.3 -7.9 -11.1 -2.2 -0.6 1.5 -5.1 0.6 -5.8 -9.0 0.4 -17.0 -6.8 -1.2 EUROSTX -10.3 -3.9 0.5 2.9 -1.9 4.2 -1.3 3.3 0.9 -7.2 15.3 -7.0 13.9 -1.5 11.2 -5.3 2.4 -2.7 0.2 6.6 14.4 -7.6 16.0 -1.3 -13.8 -8.5 3.8 -6.5 7.1 -4.9 7.6 -0.3 11.6 -8.0 -3.7 2.9 5.7 FEEDCOW 19.8 10.5 20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 14.0 15.0 15.7 12.5 15.8 15.6 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 18.4 20.0 -20.0 12.2 6.3 5.0 6.5 5.6 5.1 5.7 -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 6.2 -13.9 -20.0 -3.6 -2.0 -3.7 -1.6 -1.1 -2.2 -4.8 -13.4 0.7 0.0 -7.6 -11.0 1.3 20.0 7.2 14.1 -15.7 -16.7 -6.2 -4.6 -9.4 9.9 -15.4 -5.4 -2.1 -5.9 -2.4 -2.8 -3.4 0.8 -4.2 -3.3 -6.3 -8.5 GASOILINE 5.8 -12.0 -5.6 -3.6 -2.0 -3.7 -1.6 -1.1 -2.2 -10.7 2.6 0.8 -1.6 -2.9 -2.7 20.0 17.9 20.0 18.3 -2.6 -1.1 -7.0 4.1 -2.7 -20.0 -13.1 -0.5 1.1 0.3 2.7 4.3 1.5 -0.1 14.2 12.6 9.0 12.0 GAS_US 12.7 12.4 -20.0 -3.6 -2.0 -3.7 -1.6 -1.1 -2.2 -14.0 -16.4 -12.1 -15.4 -8.4 -13.5 -20.0 -18.5 -20.0 -20.0 -16.8 -20.0 -15.8 -20.0 -10.2 17.8 -9.3 -4.0 -6.0 -6.6 -4.5 -5.1 -2.6 -20.0 -18.3 -6.0 8.9 -0.6 GBP -16.6 1.2 12.8 -0.5 0.4 1.7 -4.4 0.2 -4.0 11.9 13.7 -4.3 2.0 -4.7 9.3 -2.1 -2.0 -1.9 -2.0 4.3 8.5 2.0 2.5 -1.4 0.3 9.4 2.1 8.8 3.2 1.5 -1.3 -0.7 1.7 17.2 7.4 5.7 8.6 GOLD_micro -20.0 -6.4 12.4 0.2 2.6 2.1 -1.4 1.7 -2.3 6.7 11.3 -9.5 5.4 -10.2 5.5 -13.5 -11.7 -12.9 -12.7 0.5 10.4 -7.8 10.4 -9.7 -14.2 -13.8 0.4 -0.9 4.3 -4.9 4.4 -4.4 -16.2 -5.4 -19.8 -8.6 10.8 HEATOIL 3.5 -10.4 -20.0 -3.6 -2.0 -3.7 -1.6 -1.1 -2.2 -5.3 -13.3 -4.2 -0.7 -9.3 -11.7 -0.2 20.0 6.8 15.2 -15.5 -15.6 -10.7 -4.3 -12.0 2.3 -13.6 -5.0 2.1 -4.9 0.2 -0.4 -2.5 4.6 5.7 1.1 -5.2 -9.8 JPY -19.9 -20.0 -7.1 -0.5 0.4 1.7 -4.4 0.2 -4.0 0.0 -2.4 -11.3 -8.5 -13.9 -14.1 -16.9 -14.4 -16.4 -15.8 -20.0 -13.2 -14.1 -13.0 -20.0 8.2 9.9 -5.1 0.6 -2.8 -3.9 -3.4 -6.1 -20.0 0.6 -13.7 -20.0 -19.8 LEANHOG -2.9 -0.5 -20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 6.9 -15.4 -4.7 -13.9 -10.9 -14.7 -1.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.0 -18.4 -20.0 20.0 -11.1 -6.5 -4.0 -6.3 -6.4 -4.7 -6.7 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 9.8 0.4 1.6 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 14.1 14.4 15.5 12.6 15.3 14.3 20.0 10.0 20.0 20.0 14.5 11.7 20.0 8.8 20.0 -20.0 12.0 5.1 15.7 4.6 12.5 4.4 7.7 17.2 20.0 20.0 20.0 20.0 MXP -3.3 6.1 4.8 -0.5 0.4 1.7 -4.4 0.2 -4.0 12.4 15.5 7.6 15.7 10.4 14.0 20.0 20.0 20.0 20.0 18.3 20.0 10.3 20.0 12.5 -20.0 9.7 6.0 4.5 7.6 4.0 8.3 4.5 20.0 18.0 20.0 20.0 20.0 NASDAQ 17.3 11.5 20.0 2.9 -1.9 4.2 -1.3 3.3 0.9 13.0 14.6 15.1 -1.7 15.7 16.2 -10.0 -6.9 -9.3 -8.4 20.0 20.0 20.0 7.5 20.0 -10.2 10.2 6.3 7.2 5.0 8.8 3.0 7.8 -4.1 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 -14.5 -4.5 -2.2 -0.5 0.4 1.7 -4.4 0.2 -4.0 -10.9 4.9 -13.4 -1.7 -11.1 -10.5 0.9 0.8 1.0 0.8 -7.4 -3.2 -18.0 -3.5 -13.9 2.4 10.8 -2.8 -4.8 -0.8 -8.3 -1.3 -6.2 6.4 -19.5 -3.7 -8.6 -10.5 OAT -2.5 1.8 10.5 -0.3 11.0 0.3 4.1 -2.7 -0.6 13.3 -5.8 4.8 -12.7 -1.2 0.4 12.5 12.5 11.9 12.1 -1.7 -5.9 11.0 -15.3 1.4 2.3 12.7 0.7 13.7 -0.4 6.2 -6.4 1.1 20.0 4.0 4.4 4.0 -0.5 OJ 3.3 -13.0 10.9 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 6.9 13.8 10.2 14.9 9.5 12.2 20.0 20.0 20.0 20.0 19.9 20.0 19.6 20.0 20.0 -20.0 -14.3 5.4 5.1 7.4 7.8 9.2 6.1 20.0 20.0 20.0 20.0 20.0 PALLAD -12.4 10.5 0.7 0.2 2.6 2.1 -1.4 1.7 -2.3 -10.9 -13.4 -13.9 -14.4 -12.2 -8.3 -2.5 -2.5 -2.8 -2.8 -9.9 -14.5 -20.0 -20.0 -15.2 20.0 -11.1 -1.6 -4.9 -2.6 -7.4 -4.5 -4.6 0.2 -16.7 0.9 5.0 -11.3 PLAT -20.0 3.0 5.6 0.2 2.6 2.1 -1.4 1.7 -2.3 -11.5 6.1 -14.6 5.1 -8.5 3.1 -2.2 -1.7 -2.3 -2.1 0.2 5.4 -18.5 4.9 -10.9 -5.2 11.2 0.7 -6.2 2.6 -8.1 2.0 -4.2 1.5 -20.0 -8.5 9.5 2.5 REDWHEAT 1.1 -0.2 2.2 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -7.4 -6.9 -9.7 -12.0 -0.7 1.0 5.9 5.8 7.7 7.7 -3.7 -4.6 -13.7 -5.1 -7.9 4.6 12.9 -1.5 1.3 -2.3 -0.5 -1.1 -0.9 -5.1 14.4 20.0 8.7 4.2 ROBUSTA -13.4 10.9 20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 2.0 14.8 9.5 11.0 12.9 15.1 13.1 10.8 12.2 11.7 20.0 20.0 12.2 17.9 20.0 -20.0 9.6 6.5 2.9 6.2 3.5 4.1 4.9 2.4 20.0 20.0 20.0 20.0 RUSSELL 7.7 -1.3 -11.1 2.9 -1.9 4.2 -1.3 3.3 0.9 -4.1 -9.7 0.9 -10.4 0.2 -11.7 -6.2 -4.9 -6.0 -5.8 -5.5 -7.7 -1.1 -8.2 -1.6 17.5 10.0 -3.0 1.6 -3.2 0.7 -2.0 -0.5 -0.3 8.4 4.2 -12.1 -19.9 SILVER-mini -20.0 -8.0 9.4 0.2 2.6 2.1 -1.4 1.7 -2.3 7.6 8.4 -9.6 3.6 -10.4 3.9 -6.2 -5.4 -6.2 -6.0 -2.9 6.3 -8.0 6.0 -12.6 -7.5 -11.3 -1.1 0.9 1.5 -3.2 1.1 -4.3 -5.1 -0.8 -20.0 -10.0 0.1 SOYBEAN -17.0 -19.7 -20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -6.3 -13.4 -13.5 -9.0 -15.0 -15.4 14.9 20.0 20.0 20.0 -20.0 -20.0 -20.0 -10.9 -20.0 14.4 -11.7 -6.1 1.2 -4.8 -2.3 -2.1 -5.3 20.0 20.0 -20.0 -20.0 -20.0 SOYMEAL -14.6 -20.0 -18.2 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -9.8 0.0 -14.2 6.2 -15.5 -15.1 20.0 20.0 20.0 20.0 -20.0 -8.1 -20.0 7.9 -20.0 -20.0 -12.0 -5.5 -0.9 -2.0 -4.3 2.3 -6.1 20.0 10.8 -3.7 -9.0 -11.4 SOYOIL -11.0 -12.2 -20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -3.4 -14.8 -12.0 -10.4 -13.1 -14.6 4.4 10.8 4.5 6.2 -20.0 -20.0 -15.0 -14.6 -20.0 19.5 12.9 -5.9 3.8 -6.2 0.7 -3.6 -3.4 -2.4 20.0 2.9 -7.1 -20.0 SP400 -1.0 -5.8 -15.8 2.9 -1.9 4.2 -1.3 3.3 0.9 -6.3 -3.5 -8.0 -3.0 -9.2 -11.5 -5.9 -4.8 -5.7 -5.5 -8.2 -6.3 -6.5 -3.4 -7.2 15.1 10.2 -4.9 -1.8 -3.4 -3.7 -0.9 -4.3 0.3 -2.8 -9.7 -18.1 -20.0 SP500 3.5 4.5 8.8 2.9 -1.9 4.2 -1.3 3.3 0.9 10.9 13.0 12.5 -2.7 12.0 13.3 -9.8 -7.1 -9.2 -8.4 9.1 7.6 10.4 2.1 9.4 2.6 10.2 5.1 8.5 4.8 7.4 2.7 5.7 -4.2 20.0 12.7 4.6 6.8 SUGAR11 -20.0 4.9 20.0 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -9.9 14.8 -10.7 14.1 6.4 12.7 6.3 20.0 12.3 20.0 20.0 20.0 -10.0 20.0 4.2 -20.0 -10.5 5.1 -2.0 7.0 -1.9 6.3 1.1 20.0 12.9 15.0 20.0 20.0 US10 -18.4 -4.3 18.5 -0.3 11.0 0.3 4.1 -2.7 -0.6 10.7 4.7 -7.7 -9.6 -9.7 3.2 -10.7 -6.5 -10.4 -9.5 -5.5 -1.9 -6.8 -9.0 -11.8 -3.8 9.7 -1.2 -1.3 1.2 -6.1 -1.5 -5.7 -14.4 -20.0 -20.0 -5.9 3.1 US10U -16.1 -5.3 15.4 -0.3 11.0 0.3 4.1 -2.7 -0.6 12.5 4.4 -5.9 -9.8 -9.4 1.6 -5.1 -1.4 -5.3 -3.9 -6.0 -2.9 -3.4 -9.9 -10.3 -4.7 -14.1 -1.6 -1.2 1.2 -6.0 -1.0 -6.0 -4.9 -20.0 -19.7 -7.5 2.1 US20 -16.1 -8.0 12.5 -0.3 11.0 0.3 4.1 -2.7 -0.6 12.7 4.9 -4.9 -8.6 -9.9 -0.3 -1.7 -1.6 -2.0 -2.4 -7.6 -4.0 -1.7 -10.0 -10.8 -0.6 -12.3 -2.2 1.6 0.3 -3.7 -1.7 -5.5 -4.1 -20.0 -17.2 -9.4 -0.4 US30 -13.1 -8.9 7.6 -0.3 11.0 0.3 4.1 -2.7 -0.6 12.8 1.7 -4.4 -10.4 -10.7 -7.6 -1.4 -1.0 -1.6 -1.5 -9.4 -7.0 -0.5 -14.1 -10.2 -0.6 10.0 -3.0 3.1 -0.4 -2.3 -2.4 -5.3 -2.6 -19.7 -12.9 -9.2 -4.1 US5 -20.0 -3.9 20.0 -0.3 11.0 0.3 4.1 -2.7 -0.6 8.9 3.9 -8.3 -9.6 -9.9 3.1 -12.5 -7.3 -11.4 -10.5 -6.0 -1.8 -10.6 -8.8 -14.2 -2.6 10.8 -1.3 -2.2 0.9 -6.9 -2.0 -6.0 -15.9 -20.0 -20.0 -6.8 1.9 VIX -10.9 -6.5 4.9 -4.9 -8.6 -5.6 -7.0 -6.6 -5.8 -14.0 -15.7 -15.2 -14.9 -15.1 -15.3 -20.0 -20.0 -20.0 -20.0 -14.6 -15.5 -19.9 -17.1 -16.9 NaN -13.5 -5.9 -11.2 -7.1 -10.2 -9.0 -7.6 NaN NaN NaN NaN NaN WHEAT -1.2 -5.9 -9.7 -4.5 -6.0 -2.8 -7.3 -1.4 -6.1 -0.3 -15.3 -11.5 -15.6 -13.8 -14.7 -12.3 -9.8 -12.3 -11.6 -20.0 -20.0 -10.3 -19.0 -16.4 20.0 11.9 -5.6 3.7 -6.1 0.5 -4.2 -3.3 -20.0 20.0 16.6 -7.6 -18.0 End of report for caleb_strategy_v1