******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230602_204701 produced at 2023-06-02 21:37:53.408527 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 US10U False False 0.05 -0.41 -0.49 0.0 4.594252e+07 -4.594252e+07 -0.41 -0.41 -10.76 999999999.0 -9 -9 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.21 0.0 5.284829e+07 -5.284829e+07 -0.11 -0.11 -3.95 999999999.0 -2 -2 caleb_strategy_v1 VIX False False 0.01 -0.14 -0.20 0.0 7.538794e+06 -7.538794e+06 -0.14 -0.14 -26.58 999999999.0 -18 -18 caleb_strategy_v1 JPY False False 0.03 -0.41 -0.17 0.0 3.434899e+07 -3.434899e+07 -0.41 -0.41 -4.94 999999999.0 -12 -12 caleb_strategy_v1 EUR False False 0.05 -0.21 -0.17 0.0 5.140959e+07 -5.140959e+07 -0.21 -0.21 -3.39 999999999.0 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.20 -0.15 0.0 4.908369e+07 -4.908369e+07 -0.20 -0.20 -3.13 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.09 0.0 4.146457e+07 -4.146457e+07 -0.12 -0.12 -2.24 999999999.0 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.08 0.0 7.548769e+06 -7.548769e+06 -0.09 -0.11 -10.17 999999999.0 -12 -14 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 4.368256e+07 -4.368256e+07 0.00 0.00 -1.41 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.697359e+07 -4.697359e+07 0.00 0.00 -1.04 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.05 0.0 1.262220e+07 -1.262220e+07 -0.09 -0.09 -4.28 999999999.0 -7 -7 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.04 0.0 5.668435e+07 -5.668435e+07 0.00 0.00 -0.76 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.03 0.0 2.635700e+07 -2.635700e+07 -0.03 -0.03 -1.19 999999999.0 -1 -1 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.792784e+07 -3.792784e+07 -0.04 -0.04 -0.87 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.164005e+07 -1.164005e+07 -0.05 -0.05 -2.83 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.299524e+07 -2.299524e+07 0.00 0.00 -1.24 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.02 0.0 1.462104e+07 -1.462104e+07 -0.01 -0.01 -1.41 999999999.0 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.0 2.706676e+07 -2.706676e+07 0.00 0.00 -0.55 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8.877745e+06 -8.877745e+06 -0.02 -0.02 -1.10 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 1.045072e+06 -1.045072e+06 -0.02 -0.02 -11.90 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.826784e+07 -3.826784e+07 0.00 0.00 -0.31 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 5.426781e+07 -5.426781e+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 1.538835e+07 -1.538835e+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 1.054035e+07 -1.054035e+07 0.01 0.01 0.43 999999999.0 1 1 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.00 0.0 5.227281e+07 -5.227281e+07 -0.10 -0.10 -0.09 999999999.0 -2 -2 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.550920e+07 -1.550920e+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 1.252150e+07 -1.252150e+07 -0.05 -0.05 -0.14 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.00 0.0 1.790706e+07 -1.790706e+07 0.00 -0.04 -0.28 999999999.0 0 -2 caleb_strategy_v1 COPPER False False 0.04 -0.04 0.00 0.0 3.573734e+07 -3.573734e+07 -0.04 -0.04 0.07 999999999.0 -1 -1 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.537485e+07 -2.537485e+07 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.559449e+07 -2.559449e+07 0.03 0.03 0.27 999999999.0 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.886754e+06 -9.886754e+06 0.02 0.02 1.28 999999999.0 2 2 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.038263e+07 -1.038263e+07 0.05 0.05 1.07 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.930161e+07 -1.930161e+07 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.586408e+07 -1.586408e+07 0.02 0.02 0.39 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 6.644582e+06 -6.644582e+06 0.01 0.01 1.48 999999999.0 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.133006e+07 -1.133006e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.01 0.0 6.489309e+06 -6.489309e+06 -0.02 -0.01 2.11 999999999.0 -3 -2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.642581e+06 -3.642581e+06 0.00 0.00 5.77 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.326859e+07 -2.326859e+07 0.00 0.00 0.68 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.03 0.0 2.267873e+07 -2.267873e+07 0.00 0.00 1.22 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.77 0.04 0.0 9.628172e+07 -9.628172e+07 0.77 0.77 0.47 999999999.0 8 8 caleb_strategy_v1 SP500 False False 0.08 0.00 0.04 0.0 8.242798e+07 -8.242798e+07 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 3.007998e+07 -3.007998e+07 0.06 0.03 1.43 999999999.0 2 1 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3.510623e+06 -3.510623e+06 0.00 0.00 11.30 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.04 0.0 1.090152e+07 -1.090152e+07 0.00 0.00 4.06 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.30 0.04 0.0 2.986504e+07 -2.986504e+07 0.30 0.30 1.19 999999999.0 10 10 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.857260e+07 -2.857260e+07 0.00 0.00 1.84 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.07 0.0 1.119770e+08 -1.119770e+08 0.00 0.00 0.61 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.08 0.0 4.830733e+07 -4.830733e+07 0.14 0.14 1.60 999999999.0 3 3 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.09 0.0 2.656801e+07 -2.656801e+07 0.00 0.00 3.28 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.05 0.00 0.10 0.0 5.343603e+07 -5.343603e+07 0.00 0.00 1.79 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 4.81 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.45 0.32 0.0 5.600658e+07 -5.600658e+07 0.45 0.50 5.63 999999999.0 8 9 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.53 0.0 0.000000e+00 0.000000e+00 0.00 0.00 61.49 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.54 0.0 4.836932e+07 -4.836932e+07 0.00 0.00 11.16 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 18.9 Shocked risk 54.8 Sum abs risk 54.8 Leverage 4.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2606517.73, 'annual_cash_vol_target': 651629.4325, 'daily_cash_vol_target': 40726.83953125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6614 0.6811 10.8970 BITCOIN 811.2133 27240.0000 2.9780 47.6484 BOBL 0.3579 117.0400 0.3058 4.8923 BTP 0.6610 116.8900 0.5655 9.0484 BUND 0.6920 135.5200 0.5106 8.1702 BUXL 1.6124 137.1600 1.1755 18.8086 CAC 65.7442 7278.5000 0.9033 14.4523 CAD 0.0034 0.7448 0.4545 7.2721 CANOLA 8.8012 637.6000 1.3804 22.0857 CHF 0.0049 1.1020 0.4491 7.1863 COCOA 30.1435 3034.0000 0.9935 15.8964 COFFEE 3.2468 177.9000 1.8251 29.2008 COPPER 0.0502 3.7260 1.3465 21.5440 CORN 7.0258 541.2500 1.2981 20.7690 COTTON2 1.5606 82.7000 1.8870 30.1922 CRUDE_W 1.4109 70.5500 1.9999 31.9981 DAX 140.7565 16078.0000 0.8755 14.0074 DOW 266.2985 33829.0000 0.7872 12.5950 EUR 0.0049 1.0720 0.4591 7.3449 EUROSTX 42.1331 4333.0000 0.9724 15.5581 FEEDCOW 1.4758 244.8750 0.6027 9.6427 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.2391 687.0000 1.9271 30.8334 GASOILINE 0.0451 2.3749 1.8980 30.3678 GAS_US 0.0985 2.3140 4.2556 68.0891 GBP 0.0064 1.2455 0.5163 8.2615 GOLD_micro 15.9837 1967.6000 0.8123 12.9975 HEATOIL 0.0434 2.3538 1.8439 29.5025 JPY 0.0000 0.0072 0.6357 10.1717 LEANHOG 1.6561 82.2500 2.0135 32.2156 LIVECOW 1.2527 173.1250 0.7236 11.5774 MXP 0.0004 0.0568 0.6449 10.3184 NASDAQ 130.4498 14593.5000 0.8939 14.3022 NIKKEI 237.4306 30970.0000 0.7666 12.2664 NZD 0.0047 0.6065 0.7823 12.5165 OAT 0.6615 129.3000 0.5116 8.1858 OJ 4.9882 267.4000 1.8654 29.8471 PALLAD 31.4470 1414.5000 2.2232 35.5710 PLAT 17.4326 1006.2000 1.7325 27.7202 REDWHEAT 15.2054 808.5000 1.8807 30.0910 ROBUSTA 34.3307 2577.0000 1.3322 21.3151 RUSSELL 22.6815 1830.1000 1.2394 19.8297 SILVER-mini 0.3449 23.9750 1.4387 23.0193 SOYBEAN 12.8774 1182.2500 1.0892 17.4277 SOYMEAL 4.3252 381.1000 1.1349 18.1588 SOYOIL 0.8679 49.2200 1.7634 28.2137 SP400 28.1992 2509.6000 1.1237 17.9785 SP500 33.0791 4297.0000 0.7698 12.3171 SUGAR11 0.3520 24.5300 1.4349 22.9585 US10 0.4946 113.8594 0.4344 6.9500 US10U 0.6391 119.7500 0.5337 8.5392 US20 0.8976 127.9375 0.7016 11.2252 US30 1.2803 136.2500 0.9397 15.0352 US5 0.3591 108.0781 0.3323 5.3162 VIX 0.5775 19.6500 2.9390 47.0236 WHEAT 11.5186 652.7500 1.7646 28.2341 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.40 0.68 450.45 1.00 450.45 40726.84 90.41 2.38 21.47 BITCOIN 27.24 2.98 81.12 1.00 81.12 40726.84 502.05 -10.06 -505.21 BOBL 1170.40 0.31 357.87 1.07 382.12 40726.84 106.58 14.51 154.60 BTP 1168.90 0.57 661.04 1.07 705.83 40726.84 57.70 13.71 79.13 BUND 1355.20 0.51 692.02 1.07 738.90 40726.84 55.12 14.15 77.97 BUXL 1371.60 1.18 1612.37 1.07 1721.61 40726.84 23.66 -3.81 -9.01 CAC 727.85 0.90 657.44 1.07 701.98 40726.84 58.02 8.80 51.04 CAD 744.75 0.45 338.49 1.00 338.49 40726.84 120.32 8.57 103.06 CANOLA 127.52 1.38 176.02 0.74 129.69 40726.84 314.04 20.00 628.08 CHF 1377.50 0.45 618.69 1.00 618.69 40726.84 65.83 -16.02 -105.47 COCOA 303.40 0.99 301.43 1.00 301.43 40726.84 135.11 -9.61 -129.88 COFFEE 667.12 1.83 1217.54 1.00 1217.54 40726.84 33.45 6.19 20.72 COPPER 931.50 1.35 1254.27 1.00 1254.27 40726.84 32.47 0.83 2.69 CORN 270.62 1.30 351.29 1.00 351.29 40726.84 115.94 10.25 118.85 COTTON2 413.50 1.89 780.28 1.00 780.28 40726.84 52.20 4.92 25.66 CRUDE_W 705.50 2.00 1410.91 1.00 1410.91 40726.84 28.87 -1.45 -4.19 DAX 160.78 0.88 140.76 1.07 150.29 40726.84 270.98 1.00 27.17 DOW 169.14 0.79 133.15 1.00 133.15 40726.84 305.87 2.42 74.11 EUR 1340.00 0.46 615.13 1.00 615.13 40726.84 66.21 -13.67 -90.49 EUROSTX 433.30 0.97 421.33 1.07 449.88 40726.84 90.53 -1.09 -9.87 FEEDCOW 1224.38 0.60 737.89 1.00 737.89 40726.84 55.19 -7.01 -38.66 FTSE100 707.00 0.82 576.59 1.24 666.67 40726.84 61.09 7.63 46.62 GASOIL 687.00 1.93 1323.91 1.00 1323.91 40726.84 30.76 -5.42 -16.68 GASOILINE 997.46 1.90 1893.16 1.00 1893.16 40726.84 21.51 -3.50 -7.52 GAS_US 231.40 4.26 984.74 1.00 984.74 40726.84 41.36 -17.63 -72.90 GBP 778.44 0.52 401.94 1.00 401.94 40726.84 101.33 6.59 66.77 GOLD_micro 196.76 0.81 159.84 1.00 159.84 40726.84 254.80 -17.84 -454.64 HEATOIL 988.60 1.84 1822.88 1.00 1822.88 40726.84 22.34 -5.44 -12.15 JPY 895.31 0.64 569.18 1.00 569.18 40726.84 71.55 -10.66 -76.26 LEANHOG 329.00 2.01 662.43 1.00 662.43 40726.84 61.48 -14.92 -91.71 LIVECOW 692.50 0.72 501.09 1.00 501.09 40726.84 81.28 15.02 122.11 MXP 284.15 0.64 183.25 1.00 183.25 40726.84 222.25 14.92 331.65 NASDAQ 2918.70 0.89 2609.00 1.00 2609.00 40726.84 15.61 7.19 11.23 NIKKEI 30970.00 0.77 23743.06 0.01 171.53 40726.84 237.44 13.63 323.74 NZD 606.50 0.78 474.45 1.00 474.45 40726.84 85.84 4.93 42.35 OAT 1293.00 0.51 661.52 1.07 706.34 40726.84 57.66 15.39 88.74 OJ 401.10 1.87 748.23 1.00 748.23 40726.84 54.43 -2.97 -16.14 PALLAD 1414.50 2.22 3144.70 1.00 3144.70 40726.84 12.95 -1.87 -2.42 PLAT 503.10 1.73 871.63 1.00 871.63 40726.84 46.73 4.06 18.95 REDWHEAT 404.25 1.88 760.27 1.00 760.27 40726.84 53.57 6.82 36.51 ROBUSTA 257.70 1.33 343.31 1.00 343.31 40726.84 118.63 8.33 98.85 RUSSELL 91.50 1.24 113.41 1.00 113.41 40726.84 359.12 6.08 218.24 SILVER-mini 599.38 1.44 862.33 1.00 862.33 40726.84 47.23 -11.69 -55.21 SOYBEAN 591.12 1.09 643.87 1.00 643.87 40726.84 63.25 3.28 20.72 SOYMEAL 381.10 1.13 432.52 1.00 432.52 40726.84 94.16 -2.55 -23.98 SOYOIL 295.32 1.76 520.76 1.00 520.76 40726.84 78.21 6.92 54.11 SP400 2509.60 1.12 2819.92 1.00 2819.92 40726.84 14.44 6.24 9.02 SP500 2148.50 0.77 1653.95 1.00 1653.95 40726.84 24.62 6.62 16.31 SUGAR11 274.74 1.43 394.22 1.00 394.22 40726.84 103.31 3.10 32.03 US10 1138.59 0.43 494.57 1.00 494.57 40726.84 82.35 -4.48 -36.86 US10U 1197.50 0.53 639.10 1.00 639.10 40726.84 63.72 -11.59 -73.87 US20 1279.38 0.70 897.58 1.00 897.58 40726.84 45.37 -9.35 -42.41 US30 1362.50 0.94 1280.34 1.00 1280.34 40726.84 31.81 -0.34 -1.08 US5 1080.78 0.33 359.11 1.00 359.11 40726.84 113.41 -5.15 -58.43 VIX 196.50 2.94 577.51 1.00 577.51 40726.84 70.52 -20.00 -141.04 WHEAT 326.38 1.76 575.93 1.00 575.93 40726.84 70.71 -3.60 -25.44 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 21.474 0.006 2.5 0.343 BITCOIN -505.206 0.009 2.5 -11.903 BOBL 154.601 0.029 2.5 11.156 BTP 79.130 0.008 2.5 1.598 BUND 77.972 0.029 2.5 5.626 BUXL -9.011 0.034 2.5 -0.756 CAC 51.044 0.011 2.5 1.435 CAD 103.060 0.007 2.5 1.840 CANOLA 628.083 0.004 2.5 5.765 CHF -105.466 0.015 2.5 -3.947 COCOA -129.881 0.009 2.5 -2.829 COFFEE 20.722 0.005 2.5 0.269 COPPER 2.691 0.011 2.5 0.074 CORN 118.850 0.004 2.5 1.072 COTTON2 25.661 0.006 2.5 0.386 CRUDE_W -4.195 0.053 2.5 -0.554 DAX 27.165 0.022 2.5 1.475 DOW 74.105 0.011 2.5 2.112 EUR -90.486 0.015 2.5 -3.386 EUROSTX -9.869 0.011 2.5 -0.277 FEEDCOW -38.665 0.011 2.5 -1.039 FTSE100 46.615 0.041 2.5 4.806 GASOIL -16.678 0.029 2.5 -1.190 GASOILINE -7.519 0.016 2.5 -0.309 GAS_US -72.901 0.006 2.5 -1.098 GBP 66.771 0.007 2.5 1.192 GOLD_micro -454.638 0.009 2.5 -10.172 HEATOIL -12.149 0.029 2.5 -0.867 JPY -76.262 0.026 2.5 -4.936 LEANHOG -91.714 0.019 2.5 -4.285 LIVECOW 122.114 0.011 2.5 3.281 MXP 331.645 0.005 2.5 4.060 NASDAQ 11.227 0.022 2.5 0.610 NIKKEI 323.743 0.076 2.5 61.489 NZD 42.349 0.006 2.5 0.677 OAT 88.736 0.008 2.5 1.792 OJ -16.143 0.007 2.5 -0.282 PALLAD -2.420 0.010 2.5 -0.058 PLAT 18.947 0.010 2.5 0.456 REDWHEAT 36.508 0.002 2.5 0.195 ROBUSTA 98.854 0.005 2.5 1.282 RUSSELL 218.236 0.021 2.5 11.304 SILVER-mini -55.206 0.009 2.5 -1.235 SOYBEAN 20.721 0.024 2.5 1.222 SOYMEAL -23.977 0.024 2.5 -1.414 SOYOIL 54.114 0.004 2.5 0.497 SP400 9.018 0.021 2.5 0.467 SP500 16.311 0.011 2.5 0.465 SUGAR11 32.031 0.005 2.5 0.435 US10 -36.858 0.015 2.5 -1.414 US10U -73.866 0.058 2.5 -10.762 US20 -42.407 0.029 2.5 -3.126 US30 -1.080 0.034 2.5 -0.091 US5 -58.432 0.015 2.5 -2.242 VIX -141.043 0.075 2.5 -26.580 WHEAT -25.443 0.002 2.5 -0.136 ==================== Position diags ==================== AUD 1.44 BITCOIN 11.83 BOBL 7.69 BTP 1.17 BUND 3.98 BUXL 1.99 CAC 1.63 CAD 2.15 CANOLA 2.88 CHF 2.46 COCOA 2.94 COFFEE 0.43 COPPER 0.89 CORN 1.05 COTTON2 0.79 CRUDE_W 3.81 DAX 14.72 DOW 8.72 EUR 2.48 EUROSTX 2.55 FEEDCOW 1.48 FTSE100 6.30 GASOIL 2.19 GASOILINE 0.88 GAS_US 0.62 GBP 1.81 GOLD_micro 5.70 HEATOIL 1.59 JPY 4.63 LEANHOG 2.87 LIVECOW 2.18 MXP 2.72 NASDAQ 0.85 NIKKEI 45.10 NZD 1.37 OAT 1.16 OJ 0.95 PALLAD 0.31 PLAT 1.12 REDWHEAT 0.29 ROBUSTA 1.54 RUSSELL 18.60 SILVER-mini 1.06 SOYBEAN 3.73 SOYMEAL 5.55 SOYOIL 0.72 SP400 0.75 SP500 0.70 SUGAR11 1.40 US10 3.16 US10U 9.28 US20 3.34 US30 2.67 US5 4.35 VIX 13.29 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.2 0.5 0.0 0 BITCOIN -11.9 -13.1 -10.7 -19.0 -19 BOBL 11.2 10.4 11.9 0.0 0 BTP 1.6 1.5 1.7 3.0 3 BUND 5.6 5.2 6.0 8.0 8 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 1.4 1.3 1.6 2.0 2 CAD 1.8 1.6 2.1 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -3.9 -4.2 -3.7 -2.0 -2 COCOA -2.8 -3.1 -2.5 -4.0 -4 COFFEE 0.3 0.2 0.3 1.0 1 COPPER 0.1 -0.0 0.2 -1.0 -1 CORN 1.1 1.0 1.2 5.0 5 COTTON2 0.4 0.3 0.5 1.0 1 CRUDE_W -0.6 -0.9 -0.2 0.0 0 DAX 1.5 0.0 2.9 2.0 2 DOW 2.1 1.2 3.0 -3.0 -3 EUR -3.4 -3.6 -3.1 -4.0 -4 EUROSTX -0.3 -0.5 -0.0 0.0 0 FEEDCOW -1.0 -1.2 -0.9 0.0 0 FTSE100 4.8 4.2 5.4 0.0 0 GASOIL -1.2 -1.4 -1.0 -1.0 -1 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -1.1 -1.2 -1.0 -2.0 -2 GBP 1.2 1.0 1.4 10.0 10 GOLD_micro -10.2 -10.7 -9.6 -12.0 -12 HEATOIL -0.9 -1.0 -0.7 -1.0 -1 JPY -4.9 -5.4 -4.5 -12.0 -12 LEANHOG -4.3 -4.6 -4.0 -7.0 -7 LIVECOW 3.3 3.1 3.5 0.0 0 MXP 4.1 3.8 4.3 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 61.5 57.0 66.0 0.0 0 NZD 0.7 0.5 0.8 0.0 0 OAT 1.8 1.7 1.9 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT 0.5 0.3 0.6 0.0 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 1.3 1.1 1.4 2.0 2 RUSSELL 11.3 9.4 13.2 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 -1.4 -2.0 -0.9 -1.0 -1 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 0.5 0.4 0.5 8.0 8 SP500 0.5 0.4 0.5 0.0 0 SUGAR11 0.4 0.3 0.6 1.0 1 US10 -1.4 -1.7 -1.1 NaN 0 US10U -10.8 -11.7 -9.8 -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 -26.6 -27.9 -25.3 -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 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.6 2.2 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 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 0.2 -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 0.1 -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 1.1 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 0.2 -0.0 0.0 0.0 0.1 -0.1 -0.0 0.0 0.2 0.0 -0.2 0.0 0.1 0.8 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 0.2 0.3 0.1 0.1 BUND -0.1 0.0 0.3 -0.0 0.0 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 0.0 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 -0.3 -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 0.1 0.1 0.1 0.1 0.1 0.0 -0.0 0.3 -0.0 0.3 -0.0 0.2 0.2 0.2 0.1 0.1 0.0 0.2 -0.0 0.2 -0.0 -1.2 1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.3 -0.2 -0.4 -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 0.1 -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 0.2 0.4 0.1 -0.0 CANOLA -0.0 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 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 -0.1 -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 0.1 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 0.1 -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 0.2 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 -0.1 -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 -0.3 -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 -0.3 -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 -0.2 -0.3 0.6 0.1 0.2 -0.2 -0.2 0.0 -0.1 -0.0 3.0 2.3 -0.0 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 -0.7 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 -0.2 -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 0.5 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 -1.9 0.1 0.0 0.1 0.1 DAX -0.1 -0.1 0.0 0.1 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 -2.2 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 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.0 0.1 -0.0 0.0 -0.7 -0.3 -0.2 -0.2 -0.0 -0.0 0.0 0.0 -0.0 0.6 2.1 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.4 0.1 -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 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0.2 GAS_US 0.1 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 2.1 -1.8 -0.1 -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 0.0 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 0.0 -0.0 0.1 -0.0 -2.0 -0.1 -0.4 -0.1 0.1 HEATOIL 0.1 -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 0.1 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 0.5 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 -0.1 -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 -0.3 -0.0 -0.3 -0.0 -0.3 0.2 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 3.0 -2.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.1 -0.4 -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 0.0 0.0 0.0 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 -0.0 0.0 -0.0 0.0 0.4 0.0 0.4 0.0 0.3 1.5 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 0.0 0.1 0.0 0.1 0.0 2.2 0.0 0.4 0.3 0.3 NASDAQ 0.3 0.2 0.4 0.1 0.1 0.1 0.1 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 -0.3 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 0.0 0.0 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.0 1.0 0.5 0.3 0.3 -0.0 -0.1 0.0 -0.2 0.0 0.3 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 0.1 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 0.2 0.4 0.1 0.1 ROBUSTA -0.0 0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.3 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 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.3 -0.4 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.0 2.2 2.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 -0.1 -0.3 SILVER-mini -0.2 -0.2 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 -0.1 -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 -0.3 1.2 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 -0.3 -0.2 -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 0.1 -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 -0.0 -0.1 -0.2 SOYOIL -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 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 0.1 -0.0 -0.3 SP400 0.0 -0.1 -0.3 0.1 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 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.3 SP500 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 -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 0.1 0.1 0.0 0.0 0.0 -0.5 0.3 0.3 0.1 0.1 SUGAR11 -0.2 0.0 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 0.2 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 0.2 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 -0.8 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.5 2.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -2.0 -0.0 -0.0 -0.1 0.0 US10U -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 0.0 -0.3 -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 -0.1 -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 -0.1 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.3 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.1 -0.3 -0.1 -0.1 US5 -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 -1.0 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 2.4 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -2.2 -0.0 -0.1 -0.1 0.0 VIX -0.1 -0.3 0.3 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.5 -0.0 -0.5 -0.1 -0.5 -3.1 -1.6 -0.8 -0.8 -0.2 -0.3 -0.0 -0.3 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 NaN NaN NaN NaN NaN WHEAT 0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -1.0 -0.4 -0.3 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 3.0 2.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -2.7 0.1 0.3 -0.1 -0.3 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -11.7 -6.0 -8.0 -0.6 -0.0 1.6 -3.7 0.2 -3.9 2.2 -2.9 -9.6 -6.5 -11.1 -13.8 -3.7 -3.3 -3.7 -3.7 -10.3 -8.1 -5.6 -7.8 -11.0 13.7 11.7 -4.3 4.5 -3.2 -2.6 -3.4 -5.1 -0.8 2.2 0.9 -6.7 -17.6 BITCOIN -9.9 -8.6 20.0 0.3 3.6 2.1 -0.1 1.7 -1.7 -1.1 10.4 -7.0 -6.5 -11.3 6.0 -4.7 -2.7 -4.2 -3.4 1.9 8.1 -2.2 1.7 -3.6 0.2 -18.1 -0.5 -0.5 2.9 -1.2 2.1 -2.4 -0.2 2.5 -4.6 -10.9 7.2 BOBL -7.7 2.9 20.0 -0.1 6.1 0.4 3.7 -2.7 -0.1 8.1 -1.7 0.5 -11.9 -2.0 4.2 13.9 8.1 10.3 7.9 -0.8 -4.8 4.8 -15.0 -0.4 7.6 10.8 0.7 4.4 -0.3 2.6 -6.3 0.1 12.9 -6.1 -1.2 3.2 1.3 BTP 1.2 1.0 9.6 -0.1 6.1 0.4 3.7 -2.7 -0.1 13.9 8.1 10.7 -7.5 4.1 6.2 10.2 11.9 10.0 10.7 4.0 2.1 19.3 -7.1 8.3 -10.9 11.4 3.5 16.4 3.1 10.8 -1.8 4.9 19.2 13.3 14.8 9.1 6.2 BUND -4.6 2.2 17.9 -0.1 6.1 0.4 3.7 -2.7 -0.1 9.9 -4.5 3.7 -12.8 -0.9 1.3 7.9 12.0 8.0 9.5 -1.4 -5.9 8.1 -16.4 1.2 4.8 12.3 0.5 6.2 -0.4 4.1 -5.6 0.7 18.0 -0.3 2.0 2.2 0.2 BUXL -2.9 -1.5 10.5 -0.1 6.1 0.4 3.7 -2.7 -0.1 10.6 -11.5 3.3 -14.2 -4.1 -7.5 1.9 1.1 2.0 2.2 -6.4 -11.3 7.2 -20.0 -1.3 7.8 -10.8 -1.8 6.2 -2.9 4.2 -7.2 -0.2 2.6 0.2 -0.7 -2.6 -6.3 CAC -18.1 -8.9 -2.4 3.1 8.1 4.1 2.9 3.2 2.2 -3.8 14.2 -7.8 13.5 -5.7 8.2 1.9 4.5 6.6 5.5 3.3 13.4 -9.4 16.8 -6.4 -10.9 8.9 1.1 -0.7 5.3 -5.8 6.7 -3.6 17.1 -20.0 -18.9 -2.7 4.0 CAD -4.9 1.3 7.2 -0.6 -0.0 1.6 -3.7 0.2 -3.9 12.1 -1.3 -0.4 -9.6 -3.9 2.1 -3.3 -2.3 -3.1 -2.8 -0.7 -2.4 5.3 -7.1 -0.3 14.9 10.4 0.6 11.1 -0.4 3.8 -3.5 0.5 0.8 17.3 18.7 4.0 -3.2 CANOLA -16.1 -7.3 -20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 -6.8 -14.3 -13.5 -14.4 -14.5 -15.1 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -18.3 -20.0 20.0 13.2 -6.5 -2.7 -6.6 -5.2 -4.9 -6.1 20.0 -7.9 -14.8 -14.6 -20.0 CHF -20.0 -2.6 9.2 -0.6 -0.0 1.6 -3.7 0.2 -3.9 -10.1 11.7 -13.6 9.2 -11.3 3.9 -16.7 -15.0 -15.8 -15.5 -0.6 7.9 -14.1 7.2 -11.2 -4.9 -11.5 -0.1 -4.5 3.3 -6.0 2.3 -4.7 -20.0 -5.4 -9.8 4.2 7.6 COCOA -1.5 6.2 20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 5.7 15.3 4.5 11.6 9.1 14.0 0.2 -1.0 0.3 0.1 18.1 20.0 4.8 17.4 10.4 -20.0 -10.4 6.2 0.8 7.6 1.5 6.3 3.7 -17.5 17.6 20.0 20.0 20.0 COFFEE -8.9 -1.1 11.8 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 -6.9 2.3 -9.5 -4.2 -8.4 -0.2 7.3 5.0 6.8 5.9 0.4 2.1 -10.0 -2.4 -6.8 1.0 10.0 2.3 -0.2 2.5 -1.3 0.0 -0.4 -7.6 12.2 18.5 20.0 20.0 COPPER -11.6 -20.0 -10.0 0.3 3.6 2.1 -0.1 1.7 -1.7 12.3 0.1 -4.8 -4.0 -10.9 -12.3 -3.1 -1.1 -2.2 -1.6 -15.8 -7.9 -1.9 -2.7 -13.9 4.7 11.1 -5.2 2.6 -3.1 -0.4 -1.1 -4.3 2.4 2.8 -15.3 -20.0 -20.0 CORN 13.3 -5.7 -20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 12.3 -12.9 10.3 -8.8 -5.0 -10.9 -3.2 14.5 5.0 10.9 -13.3 -15.9 13.5 -9.0 -1.0 20.0 11.0 -4.4 7.2 -5.9 5.8 -4.0 0.4 5.8 20.0 20.0 -6.0 -20.0 COTTON2 9.1 8.3 4.5 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 9.2 -0.2 3.9 -11.8 4.6 2.8 4.5 6.2 0.7 1.0 2.0 -3.5 5.5 -7.4 4.5 -2.7 12.0 1.8 5.2 -0.8 4.0 -1.1 3.5 -10.9 14.3 20.0 20.0 8.6 CRUDE_W -0.8 -9.5 -9.0 -3.5 1.7 -3.7 -0.2 -1.1 -1.7 0.7 -4.4 -1.7 -6.7 -8.3 -5.8 6.6 10.6 7.6 8.5 -7.2 -5.8 -4.8 -1.8 -6.9 -11.3 10.8 -2.2 6.2 -2.2 3.5 0.6 0.1 -13.8 13.3 1.6 7.7 6.0 DAX -9.5 -3.7 1.3 3.1 8.1 4.1 2.9 3.2 2.2 1.0 15.1 -4.3 12.3 -0.4 10.7 -8.2 -6.7 -8.3 -8.1 6.8 13.3 -1.7 13.2 0.5 -14.7 9.9 4.1 2.1 6.8 -1.5 6.2 0.7 -3.7 -20.0 -6.2 4.8 5.2 DOW -7.7 -3.6 -4.3 3.1 8.1 4.1 2.9 3.2 2.2 8.8 5.7 0.6 3.4 -5.1 0.6 -8.7 -6.3 -8.4 -7.9 -2.5 -0.2 3.7 0.6 -3.0 5.3 10.8 -1.1 13.1 0.8 4.3 1.7 -1.1 -3.2 6.8 -12.0 -11.1 -7.6 EUR -20.0 -10.6 6.6 -0.6 -0.0 1.6 -3.7 0.2 -3.9 -7.7 10.9 -13.6 2.2 -13.7 -2.6 -8.1 -8.5 -7.7 -8.0 -7.0 3.4 -13.4 2.2 -15.4 -7.6 -11.1 -2.4 -2.3 1.3 -5.1 0.5 -5.8 -9.0 -2.2 -15.8 -7.5 -1.2 EUROSTX -10.2 -5.7 -0.9 3.1 8.1 4.1 2.9 3.2 2.2 0.4 15.2 -3.5 13.9 -0.6 11.2 -5.2 2.4 -2.8 0.1 6.5 14.0 -2.6 15.6 -0.1 -13.6 -8.5 3.9 1.4 7.2 -2.1 7.7 0.2 11.5 -18.7 -6.1 2.3 5.2 FEEDCOW 20.0 11.4 20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 13.9 15.2 15.7 12.6 15.9 15.8 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 19.3 20.0 -20.0 12.2 6.4 4.1 6.5 5.4 5.1 5.9 -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 7.3 -13.2 -20.0 -3.5 1.7 -3.7 -0.2 -1.1 -1.7 4.3 -13.4 3.7 -0.2 -7.0 -10.7 1.5 20.0 7.1 13.9 -14.9 -16.5 -1.8 -4.7 -7.8 10.1 -15.4 -5.3 1.6 -6.0 -0.8 -2.9 -2.9 0.2 -0.9 -4.6 -6.0 -8.2 GASOILINE 6.6 -10.9 -6.2 -3.5 1.7 -3.7 -0.2 -1.1 -1.7 -4.1 2.6 1.1 -1.7 -2.7 -2.6 20.0 18.1 20.0 18.6 -2.4 -1.1 -3.3 4.0 -2.0 -20.0 -13.1 -0.0 4.8 0.5 4.6 4.3 2.5 -0.1 14.3 13.7 8.8 12.0 GAS_US 11.9 10.1 -20.0 -3.5 1.7 -3.7 -0.2 -1.1 -1.7 -11.9 -16.5 -12.6 -15.5 -9.5 -13.7 -20.0 -18.7 -20.0 -20.0 -17.4 -20.0 -15.4 -20.0 -11.4 17.4 -9.3 -4.2 -3.9 -6.7 -4.1 -5.2 -2.9 -20.0 -20.0 -6.8 9.1 -0.8 GBP -14.4 0.3 13.0 -0.6 -0.0 1.6 -3.7 0.2 -3.9 6.4 13.6 -3.9 2.0 -4.5 9.3 -2.1 -2.0 -1.9 -2.0 4.1 8.2 1.5 2.5 -1.0 0.2 9.4 2.1 4.2 3.2 1.2 -1.3 -0.4 1.7 14.8 7.0 5.8 9.1 GOLD_micro -20.0 -8.2 11.5 0.3 3.6 2.1 -0.1 1.7 -1.7 -3.2 11.1 -10.9 5.5 -11.0 5.0 -13.6 -11.8 -13.0 -12.7 -0.4 9.5 -9.8 9.8 -10.2 -14.1 -13.8 -0.1 -4.4 4.0 -6.0 4.2 -5.0 -16.3 -14.7 -20.0 -10.1 10.1 HEATOIL 4.6 -10.0 -20.0 -3.5 1.7 -3.7 -0.2 -1.1 -1.7 2.3 -13.2 -0.5 -0.9 -8.7 -11.5 0.1 20.0 6.6 15.0 -14.9 -15.5 -5.1 -4.4 -10.1 2.4 -13.6 -4.6 4.9 -5.0 2.3 -0.4 -1.4 3.9 9.5 1.2 -4.3 -9.3 JPY -20.0 -20.0 -6.7 -0.6 -0.0 1.6 -3.7 0.2 -3.9 -4.2 -2.8 -11.9 -8.6 -14.0 -14.2 -17.0 -14.5 -16.4 -15.8 -20.0 -13.5 -14.4 -13.1 -20.0 8.3 9.9 -5.1 -1.7 -2.9 -4.1 -3.5 -6.0 -20.0 -4.3 -13.1 -20.0 -20.0 LEANHOG 1.5 2.0 -20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 11.7 -15.2 -2.0 -13.9 -9.3 -14.1 2.3 -20.0 -20.0 -20.0 -20.0 -20.0 -5.8 -17.9 -18.7 20.0 -11.1 -6.6 -1.7 -6.3 -5.0 -4.8 -6.4 -20.0 -8.1 -20.0 -20.0 -20.0 LIVECOW 15.0 3.2 2.3 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 14.1 14.6 15.7 12.7 15.6 14.6 20.0 10.2 20.0 20.0 17.5 13.1 20.0 9.5 20.0 -20.0 12.0 5.2 13.0 4.3 12.2 3.9 8.3 17.5 20.0 20.0 20.0 20.0 MXP -4.1 6.2 4.9 -0.6 -0.0 1.6 -3.7 0.2 -3.9 13.5 15.6 10.0 15.7 11.5 14.2 20.0 20.0 20.0 20.0 18.8 20.0 12.2 20.0 13.6 -20.0 9.7 6.1 4.9 7.6 4.6 8.2 4.8 20.0 20.0 20.0 20.0 20.0 NASDAQ 19.6 13.1 20.0 3.1 8.1 4.1 2.9 3.2 2.2 13.7 14.7 15.4 -1.4 15.9 16.3 -10.1 -6.9 -9.3 -8.5 20.0 20.0 20.0 8.2 20.0 -10.8 10.2 6.3 6.3 4.9 8.3 2.9 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 4.1 11.4 6.8 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 -15.8 -4.9 -2.4 -0.6 -0.0 1.6 -3.7 0.2 -3.9 -9.8 4.5 -12.8 -1.8 -11.3 -10.7 0.8 0.8 1.0 0.8 -7.9 -3.6 -15.4 -3.7 -13.8 2.5 10.8 -3.0 -3.0 -1.0 -7.0 -1.4 -6.0 6.4 -20.0 -4.3 -8.3 -10.4 OAT -2.8 2.8 11.4 -0.1 6.1 0.4 3.7 -2.7 -0.1 11.7 -5.6 6.3 -12.7 0.6 1.1 12.5 12.5 11.9 12.1 -1.1 -5.7 10.7 -15.4 2.6 2.3 12.7 1.0 9.0 -0.3 6.0 -6.3 1.8 20.0 3.6 4.7 4.4 -0.6 OJ 6.6 -13.0 12.9 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 4.2 13.8 10.0 14.9 9.7 12.2 20.0 20.0 20.0 20.0 20.0 20.0 17.0 20.0 20.0 -20.0 -14.3 5.5 3.4 7.4 6.7 9.1 6.1 20.0 20.0 20.0 20.0 20.0 PALLAD -14.1 9.1 1.7 0.3 3.6 2.1 -0.1 1.7 -1.7 -6.1 -13.5 -12.3 -14.5 -11.7 -8.5 -2.5 -2.5 -2.8 -2.8 -10.3 -14.8 -16.6 -20.0 -14.5 20.0 -11.1 -1.7 -0.6 -2.7 -5.0 -4.6 -4.1 0.2 -16.8 0.6 4.8 -11.1 PLAT -20.0 0.8 5.5 0.3 3.6 2.1 -0.1 1.7 -1.7 -11.3 5.6 -14.3 5.0 -9.7 2.4 -2.3 -1.7 -2.3 -2.1 -0.9 5.0 -17.6 4.9 -11.9 -4.8 11.2 0.2 -4.6 2.4 -7.2 1.9 -4.5 1.5 -20.0 -8.9 8.2 2.3 REDWHEAT -0.1 -0.8 2.4 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 -1.9 -6.8 -8.9 -12.0 -0.6 0.8 5.6 5.8 7.5 7.6 -3.8 -4.7 -9.2 -5.2 -7.0 4.3 12.9 -1.2 3.6 -2.2 1.3 -1.1 -0.1 -5.2 20.0 20.0 10.4 4.5 ROBUSTA -1.4 9.2 20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 -3.2 14.8 9.1 11.1 12.5 15.0 13.0 10.9 12.2 11.7 20.0 20.0 10.1 18.2 19.2 -20.0 9.6 6.5 1.3 6.3 2.9 4.2 4.7 2.5 20.0 20.0 20.0 20.0 RUSSELL 11.0 1.0 -9.5 3.1 8.1 4.1 2.9 3.2 2.2 7.8 -9.5 5.9 -10.3 3.3 -10.8 -6.2 -4.9 -6.0 -5.8 -3.5 -6.3 7.7 -7.2 2.2 17.4 10.0 -1.8 11.8 -2.7 6.6 -1.8 2.2 -0.3 15.2 5.9 -10.0 -19.7 SILVER-mini -20.0 -9.4 9.8 0.3 3.6 2.1 -0.1 1.7 -1.7 10.5 8.2 -8.5 3.6 -10.0 3.7 -6.0 -5.4 -6.2 -6.0 -3.1 6.1 -5.7 6.0 -11.4 -7.4 -11.3 -1.2 0.7 1.4 -2.5 1.1 -4.0 -5.1 -3.4 -20.0 -11.1 -0.0 SOYBEAN -13.7 -19.2 -20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 2.2 -13.4 -11.0 -9.1 -13.9 -15.0 14.3 20.0 20.0 20.0 -20.0 -20.0 -16.7 -11.0 -20.0 14.4 -11.7 -5.9 3.0 -4.9 -0.6 -2.2 -4.4 20.0 20.0 -17.0 -18.6 -20.0 SOYMEAL -17.8 -20.0 -17.7 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 -8.9 -0.4 -13.5 6.0 -15.3 -15.2 20.0 20.0 20.0 20.0 -20.0 -8.8 -20.0 7.5 -20.0 -20.0 -12.0 -5.5 -0.5 -2.2 -3.4 2.2 -5.7 20.0 17.6 -0.9 -7.9 -11.6 SOYOIL -6.3 -9.6 -20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 8.5 -14.8 -8.4 -10.5 -11.5 -14.2 4.5 10.7 4.5 6.1 -20.0 -20.0 -4.9 -14.0 -17.0 19.5 12.9 -5.4 6.8 -6.2 3.2 -3.7 -1.9 -2.5 20.0 5.0 -3.3 -20.0 SP400 3.5 -3.8 -14.6 3.1 8.1 4.1 2.9 3.2 2.2 7.3 -3.6 0.5 -3.0 -4.9 -10.8 -5.8 -4.8 -5.7 -5.5 -5.7 -5.0 4.1 -2.8 -2.3 15.2 10.2 -3.9 9.9 -3.2 2.9 -0.9 -1.5 0.3 6.7 -6.6 -16.2 -20.0 SP500 5.1 4.2 9.1 3.1 8.1 4.1 2.9 3.2 2.2 13.0 13.3 13.7 -2.5 12.9 13.7 -9.9 -7.2 -9.2 -8.5 10.2 7.9 16.5 2.3 12.3 2.4 10.2 5.4 12.5 4.6 10.0 2.5 7.0 -4.3 20.0 14.0 5.5 7.0 SUGAR11 -19.8 3.5 20.0 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 -12.2 14.7 -12.4 14.0 5.1 12.3 6.0 20.0 12.0 20.0 20.0 20.0 -11.1 20.0 2.4 -20.0 -10.5 5.0 -1.9 7.1 -2.0 6.5 0.7 20.0 6.0 10.3 20.0 20.0 US10 -19.9 -4.7 19.9 -0.1 6.1 0.4 3.7 -2.7 -0.1 1.2 4.3 -8.9 -9.6 -10.2 2.6 -10.6 -6.6 -10.4 -9.5 -6.0 -2.2 -9.2 -8.8 -12.0 -3.4 9.7 -1.7 -5.0 0.9 -7.1 -1.5 -6.2 -14.5 -20.0 -20.0 -7.9 2.5 US10U -17.0 -5.4 16.7 -0.1 6.1 0.4 3.7 -2.7 -0.1 4.2 4.2 -6.6 -9.8 -9.4 1.1 -4.2 -1.3 -5.0 -3.7 -6.1 -3.1 -5.5 -9.7 -10.1 -4.4 -14.1 -2.1 -4.7 0.9 -6.9 -1.1 -6.4 -4.8 -20.0 -20.0 -9.3 1.4 US20 -16.1 -7.9 13.5 -0.1 6.1 0.4 3.7 -2.7 -0.1 7.2 4.8 -4.5 -8.6 -9.1 -0.4 -1.7 -1.6 -2.0 -2.4 -7.4 -4.1 -2.1 -9.9 -9.7 -0.5 -12.3 -2.5 -1.4 0.1 -4.1 -1.7 -5.5 -4.1 -20.0 -18.4 -10.7 -0.7 US30 -12.7 -8.4 8.7 -0.1 6.1 0.4 3.7 -2.7 -0.1 6.4 1.6 -4.1 -10.4 -10.0 -7.7 -1.1 -1.0 -1.4 -1.4 -9.0 -6.9 -1.1 -13.8 -9.1 -0.5 10.0 -3.2 -0.6 -0.6 -3.0 -2.4 -5.3 -2.6 -18.9 -14.0 -10.2 -4.4 US5 -20.0 -4.4 20.0 -0.1 6.1 0.4 3.7 -2.7 -0.1 1.4 3.5 -9.2 -9.7 -10.4 2.4 -12.5 -7.4 -11.5 -10.5 -6.7 -2.2 -12.5 -8.7 -14.5 -2.1 10.8 -1.8 -5.2 0.6 -7.6 -2.0 -6.5 -16.1 -20.0 -20.0 -8.9 1.3 VIX -12.5 -6.7 5.4 -4.8 -10.9 -5.1 -8.4 -5.8 -6.2 -14.1 -15.8 -15.5 -15.0 -15.4 -15.5 -20.0 -20.0 -20.0 -20.0 -16.2 -16.1 -20.0 -17.3 -20.0 NaN -13.5 -5.8 -11.9 -6.3 -11.1 -7.8 -8.2 NaN NaN NaN NaN NaN WHEAT 0.4 -6.8 -9.8 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 9.4 -15.2 -8.1 -15.6 -12.7 -14.5 -12.4 -9.8 -12.4 -11.6 -19.4 -20.0 -4.5 -19.2 -13.9 20.0 11.9 -5.3 5.1 -6.1 2.2 -4.3 -2.2 -20.0 20.0 17.2 -4.6 -17.7 End of report for caleb_strategy_v1