******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230605_204648 produced at 2023-06-05 21:37:35.307662 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 0.04 -0.40 -0.50 0.0 4.447918e+07 -4.447918e+07 -0.40 -0.40 -11.28 999999999.0 -9 -9 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.21 0.0 5.130795e+07 -5.130795e+07 -0.10 -0.10 -4.09 999999999.0 -2 -2 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.21 0.0 7.349592e+06 -7.349592e+06 -0.13 -0.13 -28.40 999999999.0 -18 -18 caleb_strategy_v1 EUR False False 0.05 -0.20 -0.18 0.0 4.973966e+07 -4.973966e+07 -0.20 -0.20 -3.56 999999999.0 -4 -4 caleb_strategy_v1 JPY False False 0.03 -0.40 -0.17 0.0 3.330052e+07 -3.330052e+07 -0.40 -0.40 -5.09 999999999.0 -12 -12 caleb_strategy_v1 US20 False False 0.05 -0.19 -0.16 0.0 4.751251e+07 -4.751251e+07 -0.19 -0.19 -3.33 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.10 0.0 4.012928e+07 -4.012928e+07 -0.12 -0.12 -2.43 999999999.0 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.08 0.0 7.342539e+06 -7.342539e+06 -0.09 -0.10 -10.39 999999999.0 -12 -13 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 4.229263e+07 -4.229263e+07 0.00 0.00 -1.49 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.561944e+07 -4.561944e+07 0.00 0.00 -1.08 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.05 0.0 1.212683e+07 -1.212683e+07 -0.08 -0.08 -4.29 999999999.0 -7 -7 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.04 0.0 5.376451e+07 -5.376451e+07 0.00 0.00 -0.81 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.03 0.0 2.570501e+07 -2.570501e+07 -0.03 -0.03 -0.99 999999999.0 -1 -1 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.697179e+07 -3.697179e+07 -0.04 -0.04 -0.86 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.135846e+07 -1.135846e+07 -0.05 -0.05 -2.88 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.219029e+07 -2.219029e+07 0.00 0.00 -1.28 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.02 0.0 1.423148e+07 -1.423148e+07 -0.01 -0.01 -1.47 999999999.0 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.0 2.626922e+07 -2.626922e+07 0.00 0.00 -0.47 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.01 0.0 1.704515e+07 -1.704515e+07 0.00 0.00 -0.33 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.01 0.0 5.056324e+07 -5.056324e+07 -0.10 -0.10 -0.14 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 9.493223e+05 -9.493223e+05 -0.02 -0.02 -11.85 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.732100e+07 -3.732100e+07 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8.752696e+06 -8.752696e+06 -0.02 -0.02 -1.15 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 5.235656e+07 -5.235656e+07 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 1.476321e+07 -1.476321e+07 0.00 0.00 -0.30 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.00 0.0 1.005662e+07 -1.005662e+07 0.01 0.01 0.41 999999999.0 1 1 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.512605e+07 -1.512605e+07 0.00 0.00 0.21 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.216580e+07 -1.216580e+07 -0.05 -0.05 -0.14 999999999.0 -4 -4 caleb_strategy_v1 COPPER False False 0.03 -0.03 0.00 0.0 3.491520e+07 -3.491520e+07 -0.03 -0.03 0.13 999999999.0 -1 -1 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 2.457659e+07 -2.457659e+07 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.087071e+07 -1.087071e+07 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.504847e+07 -2.504847e+07 0.03 0.03 0.27 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 6.340702e+06 -6.340702e+06 0.01 0.01 1.51 999999999.0 2 2 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.537104e+07 -1.537104e+07 0.02 0.02 0.40 999999999.0 1 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.920174e+07 -1.920174e+07 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 9.971132e+06 -9.971132e+06 0.05 0.05 1.13 999999999.0 5 5 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.680675e+06 -9.680675e+06 0.02 0.02 1.35 999999999.0 2 2 caleb_strategy_v1 DOW False False 0.01 -0.02 0.02 0.0 6.243998e+06 -6.243998e+06 -0.02 -0.01 2.77 999999999.0 -3 -2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.482484e+06 -3.482484e+06 0.00 0.00 6.01 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.254060e+07 -2.254060e+07 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.03 0.0 2.187710e+07 -2.187710e+07 0.00 0.00 1.30 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 2.857208e+07 -2.857208e+07 0.06 0.06 1.39 999999999.0 2 2 caleb_strategy_v1 SP500 False False 0.08 0.00 0.04 0.0 7.935146e+07 -7.935146e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3.356870e+06 -3.356870e+06 0.00 0.00 11.93 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.29 0.04 0.0 2.885086e+07 -2.885086e+07 0.29 0.29 1.24 999999999.0 10 10 caleb_strategy_v1 SP400 False False 0.09 0.74 0.05 0.0 9.201466e+07 -9.201466e+07 0.74 0.74 0.51 999999999.0 8 8 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.059937e+07 -1.059937e+07 0.00 0.00 4.26 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 2.763150e+07 -2.763150e+07 0.00 0.00 1.96 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.07 0.0 1.080835e+08 -1.080835e+08 0.00 0.00 0.62 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.07 0.0 4.607196e+07 -4.607196e+07 0.14 0.14 1.58 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.101235e+07 -5.101235e+07 0.00 0.00 1.79 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.09 0.0 2.573100e+07 -2.573100e+07 0.00 0.00 3.58 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 4.97 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.43 0.30 0.0 5.351829e+07 -5.351829e+07 0.43 0.43 5.69 999999999.0 8 8 caleb_strategy_v1 BOBL False False 0.05 0.00 0.43 0.0 4.634598e+07 -4.634598e+07 0.00 0.00 9.31 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.45 0.0 0.000000e+00 0.000000e+00 0.00 0.00 52.86 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 19.4 Shocked risk 53.9 Sum abs risk 54.2 Leverage 4.15 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2694027.14, 'annual_cash_vol_target': 673506.785, 'daily_cash_vol_target': 42094.1740625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6621 0.6667 10.6664 BITCOIN 869.3453 25575.0000 3.3992 54.3872 BOBL 0.3547 116.7000 0.3039 4.8628 BTP 0.6804 116.0100 0.5865 9.3846 BUND 0.6940 134.7600 0.5150 8.2396 BUXL 1.6186 135.3800 1.1956 19.1297 CAC 65.4675 7194.5000 0.9100 14.5594 CAD 0.0033 0.7444 0.4464 7.1426 CANOLA 8.6368 630.3000 1.3703 21.9244 CHF 0.0049 1.1058 0.4465 7.1441 COCOA 29.9260 3060.0000 0.9780 15.6476 COFFEE 3.2122 179.9500 1.7850 28.5606 COPPER 0.0495 3.7625 1.3165 21.0634 CORN 6.9365 537.2500 1.2911 20.6578 COTTON2 1.5615 82.8200 1.8854 30.1664 CRUDE_W 1.3804 70.7700 1.9506 31.2091 DAX 140.4653 15966.0000 0.8798 14.0764 DOW 262.3782 33643.0000 0.7799 12.4782 EUR 0.0048 1.0720 0.4524 7.2388 EUROSTX 42.1516 4292.0000 0.9821 15.7136 FEEDCOW 1.4409 245.8000 0.5862 9.3793 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.8721 692.5000 2.0032 32.0510 GASOILINE 0.0443 2.3939 1.8498 29.5967 GAS_US 0.0974 2.3580 4.1295 66.0716 GBP 0.0063 1.2436 0.5088 8.1413 GOLD_micro 16.2079 1978.1000 0.8194 13.1099 HEATOIL 0.0427 2.3715 1.7987 28.7792 JPY 0.0000 0.0072 0.6298 10.0764 LEANHOG 1.6192 81.6750 1.9825 31.7195 LIVECOW 1.2225 173.3000 0.7054 11.2866 MXP 0.0004 0.0571 0.6370 10.1914 NASDAQ 128.2935 14559.0000 0.8812 14.0992 NIKKEI 291.3725 32115.0000 0.9073 14.5165 NZD 0.0047 0.6072 0.7687 12.2993 OAT 0.6696 128.4500 0.5213 8.3401 OJ 4.9171 265.1500 1.8545 29.6716 PALLAD 30.9843 1410.5000 2.1967 35.1471 PLAT 17.9413 1034.6000 1.7341 27.7461 REDWHEAT 14.8598 815.0000 1.8233 29.1725 ROBUSTA 33.9417 2608.0000 1.3014 20.8231 RUSSELL 23.3507 1808.7000 1.2910 20.6563 SILVER-mini 0.3451 23.9125 1.4433 23.0926 SOYBEAN 12.6819 1178.7500 1.0759 17.2140 SOYMEAL 4.2790 383.4000 1.1161 17.8573 SOYOIL 0.8550 48.8100 1.7516 28.0256 SP400 28.2747 2478.9000 1.1406 18.2498 SP500 32.0456 4275.5000 0.7495 11.9923 SUGAR11 0.3492 24.1900 1.4434 23.0943 US10 0.4882 113.9375 0.4285 6.8561 US10U 0.6298 119.8281 0.5256 8.4090 US20 0.8821 128.0000 0.6892 11.0267 US30 1.2640 136.2188 0.9279 14.8466 US5 0.3515 108.1094 0.3252 5.2027 VIX 0.5587 19.8000 2.8216 45.1462 WHEAT 11.2463 655.5000 1.7157 27.4510 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.10 0.67 441.39 1.00 441.39 42094.17 95.37 2.64 25.21 BITCOIN 25.58 3.40 86.93 1.00 86.93 42094.17 484.21 -10.38 -502.84 BOBL 1167.00 0.30 354.68 1.08 382.06 42094.17 110.18 11.71 128.97 BTP 1160.10 0.59 680.44 1.08 732.97 42094.17 57.43 13.64 78.34 BUND 1347.60 0.51 693.98 1.08 747.55 42094.17 56.31 13.99 78.79 BUXL 1353.80 1.20 1618.61 1.08 1743.57 42094.17 24.14 -3.99 -9.62 CAC 719.45 0.91 654.67 1.08 705.22 42094.17 59.69 8.29 49.49 CAD 744.40 0.45 332.31 1.00 332.31 42094.17 126.67 8.66 109.75 CANOLA 126.06 1.37 172.74 0.74 128.61 42094.17 327.30 20.00 654.60 CHF 1382.25 0.45 617.18 1.00 617.18 42094.17 68.20 -16.01 -109.20 COCOA 306.00 0.98 299.26 1.00 299.26 42094.17 140.66 -9.41 -132.39 COFFEE 674.81 1.79 1204.56 1.00 1204.56 42094.17 34.95 6.04 21.11 COPPER 940.62 1.32 1238.30 1.00 1238.30 42094.17 33.99 1.41 4.79 CORN 268.62 1.29 346.83 1.00 346.83 42094.17 121.37 10.36 125.72 COTTON2 414.10 1.89 780.74 1.00 780.74 42094.17 53.92 4.93 26.59 CRUDE_W 707.70 1.95 1380.42 1.00 1380.42 42094.17 30.49 -1.17 -3.57 DAX 159.66 0.88 140.47 1.08 151.31 42094.17 278.20 1.00 27.78 DOW 168.22 0.78 131.19 1.00 131.19 42094.17 320.87 3.03 97.23 EUR 1340.00 0.45 606.25 1.00 606.25 42094.17 69.43 -13.71 -95.20 EUROSTX 429.20 0.98 421.52 1.08 454.06 42094.17 92.71 -1.26 -11.65 FEEDCOW 1229.00 0.59 720.45 1.00 720.45 42094.17 58.43 -6.87 -40.13 FTSE100 707.00 0.82 576.59 1.25 666.67 42094.17 63.14 7.63 48.18 GASOIL 692.50 2.00 1387.21 1.00 1387.21 42094.17 30.34 -4.60 -13.95 GASOILINE 1005.44 1.85 1859.85 1.00 1859.85 42094.17 22.63 -2.98 -6.75 GAS_US 235.80 4.13 973.73 1.00 973.73 42094.17 43.23 -17.67 -76.39 GBP 777.25 0.51 395.49 1.00 395.49 42094.17 106.44 6.54 69.56 GOLD_micro 197.81 0.82 162.08 1.00 162.08 42094.17 259.71 -17.88 -464.38 HEATOIL 996.03 1.80 1791.56 1.00 1791.56 42094.17 23.50 -5.11 -12.01 JPY 897.12 0.63 564.99 1.00 564.99 42094.17 74.50 -10.56 -78.65 LEANHOG 326.70 1.98 647.67 1.00 647.67 42094.17 64.99 -14.13 -91.82 LIVECOW 693.20 0.71 488.99 1.00 488.99 42094.17 86.08 15.47 133.18 MXP 285.55 0.64 181.88 1.00 181.88 42094.17 231.43 15.02 347.67 NASDAQ 2911.80 0.88 2565.87 1.00 2565.87 42094.17 16.41 7.00 11.48 NIKKEI 32115.00 0.91 29137.25 0.01 209.79 42094.17 200.65 13.87 278.33 NZD 607.25 0.77 466.80 1.00 466.80 42094.17 90.18 4.85 43.72 OAT 1284.50 0.52 669.56 1.08 721.25 42094.17 58.36 15.16 88.48 OJ 397.72 1.85 737.57 1.00 737.57 42094.17 57.07 -3.00 -17.11 PALLAD 1410.50 2.20 3098.43 1.00 3098.43 42094.17 13.59 -2.04 -2.77 PLAT 517.30 1.73 897.06 1.00 897.06 42094.17 46.92 4.33 20.30 REDWHEAT 407.50 1.82 742.99 1.00 742.99 42094.17 56.66 6.80 38.51 ROBUSTA 260.80 1.30 339.42 1.00 339.42 42094.17 124.02 8.40 104.14 RUSSELL 90.44 1.29 116.75 1.00 116.75 42094.17 360.54 6.39 230.41 SILVER-mini 597.81 1.44 862.81 1.00 862.81 42094.17 48.79 -11.70 -57.10 SOYBEAN 589.38 1.08 634.09 1.00 634.09 42094.17 66.38 3.33 22.08 SOYMEAL 383.40 1.12 427.90 1.00 427.90 42094.17 98.37 -2.54 -24.94 SOYOIL 292.86 1.75 512.97 1.00 512.97 42094.17 82.06 7.20 59.04 SP400 2478.90 1.14 2827.47 1.00 2827.47 42094.17 14.89 6.55 9.75 SP500 2137.75 0.75 1602.28 1.00 1602.28 42094.17 26.27 6.72 17.66 SUGAR11 270.93 1.44 391.06 1.00 391.06 42094.17 107.64 2.82 30.33 US10 1139.38 0.43 488.23 1.00 488.23 42094.17 86.22 -4.52 -38.96 US10U 1198.28 0.53 629.77 1.00 629.77 42094.17 66.84 -11.58 -77.40 US20 1280.00 0.69 882.14 1.00 882.14 42094.17 47.72 -9.47 -45.21 US30 1362.19 0.93 1263.99 1.00 1263.99 42094.17 33.30 -0.48 -1.61 US5 1081.09 0.33 351.54 1.00 351.54 42094.17 119.74 -5.28 -63.25 VIX 198.00 2.82 558.68 1.00 558.68 42094.17 75.35 -20.00 -150.69 WHEAT 327.75 1.72 562.32 1.00 562.32 42094.17 74.86 -3.49 -26.11 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 25.209 0.006 2.5 0.403 BITCOIN -502.839 0.009 2.5 -11.848 BOBL 128.966 0.029 2.5 9.306 BTP 78.339 0.008 2.5 1.582 BUND 78.787 0.029 2.5 5.685 BUXL -9.622 0.034 2.5 -0.808 CAC 49.489 0.011 2.5 1.391 CAD 109.751 0.007 2.5 1.960 CANOLA 654.600 0.004 2.5 6.009 CHF -109.195 0.015 2.5 -4.087 COCOA -132.388 0.009 2.5 -2.884 COFFEE 21.105 0.005 2.5 0.274 COPPER 4.786 0.011 2.5 0.131 CORN 125.721 0.004 2.5 1.134 COTTON2 26.591 0.006 2.5 0.400 CRUDE_W -3.570 0.053 2.5 -0.472 DAX 27.775 0.022 2.5 1.508 DOW 97.225 0.011 2.5 2.771 EUR -95.199 0.015 2.5 -3.563 EUROSTX -11.646 0.011 2.5 -0.327 FEEDCOW -40.131 0.011 2.5 -1.078 FTSE100 48.180 0.041 2.5 4.967 GASOIL -13.949 0.029 2.5 -0.995 GASOILINE -6.746 0.016 2.5 -0.277 GAS_US -76.393 0.006 2.5 -1.150 GBP 69.556 0.007 2.5 1.242 GOLD_micro -464.383 0.009 2.5 -10.390 HEATOIL -12.007 0.029 2.5 -0.856 JPY -78.651 0.026 2.5 -5.091 LEANHOG -91.819 0.019 2.5 -4.290 LIVECOW 133.179 0.011 2.5 3.579 MXP 347.670 0.005 2.5 4.256 NASDAQ 11.478 0.022 2.5 0.623 NIKKEI 278.327 0.076 2.5 52.863 NZD 43.724 0.006 2.5 0.699 OAT 88.485 0.008 2.5 1.787 OJ -17.110 0.007 2.5 -0.298 PALLAD -2.771 0.010 2.5 -0.067 PLAT 20.302 0.010 2.5 0.489 REDWHEAT 38.505 0.002 2.5 0.206 ROBUSTA 104.144 0.005 2.5 1.350 RUSSELL 230.413 0.021 2.5 11.934 SILVER-mini -57.100 0.009 2.5 -1.278 SOYBEAN 22.084 0.024 2.5 1.302 SOYMEAL -24.941 0.024 2.5 -1.471 SOYOIL 59.042 0.004 2.5 0.542 SP400 9.754 0.021 2.5 0.505 SP500 17.663 0.011 2.5 0.503 SUGAR11 30.334 0.005 2.5 0.412 US10 -38.961 0.015 2.5 -1.495 US10U -77.396 0.058 2.5 -11.277 US20 -45.211 0.029 2.5 -3.332 US30 -1.612 0.034 2.5 -0.135 US5 -63.253 0.015 2.5 -2.427 VIX -150.690 0.075 2.5 -28.398 WHEAT -26.106 0.002 2.5 -0.139 ==================== Position diags ==================== AUD 1.52 BITCOIN 11.41 BOBL 7.95 BTP 1.16 BUND 4.06 BUXL 2.03 CAC 1.68 CAD 2.26 CANOLA 3.00 CHF 2.55 COCOA 3.06 COFFEE 0.45 COPPER 0.93 CORN 1.09 COTTON2 0.81 CRUDE_W 4.03 DAX 15.11 DOW 9.14 EUR 2.60 EUROSTX 2.61 FEEDCOW 1.57 FTSE100 6.51 GASOIL 2.16 GASOILINE 0.93 GAS_US 0.65 GBP 1.90 GOLD_micro 5.81 HEATOIL 1.68 JPY 4.82 LEANHOG 3.04 LIVECOW 2.31 MXP 2.83 NASDAQ 0.89 NIKKEI 38.11 NZD 1.44 OAT 1.18 OJ 1.00 PALLAD 0.33 PLAT 1.13 REDWHEAT 0.30 ROBUSTA 1.61 RUSSELL 18.67 SILVER-mini 1.09 SOYBEAN 3.91 SOYMEAL 5.80 SOYOIL 0.75 SP400 0.77 SP500 0.75 SUGAR11 1.46 US10 3.31 US10U 9.74 US20 3.52 US30 2.80 US5 4.59 VIX 14.20 WHEAT 0.40 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.6 0.0 0 BITCOIN -11.8 -13.0 -10.7 -19.0 -19 BOBL 9.3 8.5 10.1 0.0 0 BTP 1.6 1.5 1.7 3.0 3 BUND 5.7 5.3 6.1 8.0 8 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 1.4 1.2 1.6 2.0 2 CAD 2.0 1.7 2.2 0.0 0 CANOLA 6.0 5.7 6.3 NaN 0 CHF -4.1 -4.3 -3.8 -2.0 -2 COCOA -2.9 -3.2 -2.6 -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 -0.5 -0.9 -0.1 0.0 0 DAX 1.5 -0.0 3.0 2.0 2 DOW 2.8 1.9 3.7 -3.0 -3 EUR -3.6 -3.8 -3.3 -4.0 -4 EUROSTX -0.3 -0.6 -0.1 0.0 0 FEEDCOW -1.1 -1.2 -0.9 0.0 0 FTSE100 5.0 4.3 5.6 0.0 0 GASOIL -1.0 -1.2 -0.8 -1.0 -1 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -1.2 -1.2 -1.1 -2.0 -2 GBP 1.2 1.1 1.4 10.0 10 GOLD_micro -10.4 -11.0 -9.8 -12.0 -12 HEATOIL -0.9 -1.0 -0.7 -1.0 -1 JPY -5.1 -5.6 -4.6 -12.0 -12 LEANHOG -4.3 -4.6 -4.0 -7.0 -7 LIVECOW 3.6 3.3 3.8 0.0 0 MXP 4.3 4.0 4.5 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 52.9 49.1 56.7 0.0 0 NZD 0.7 0.6 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 0.4 0.6 0.0 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 1.4 1.2 1.5 2.0 2 RUSSELL 11.9 10.1 13.8 0.0 0 SILVER-mini -1.3 -1.4 -1.2 0.0 0 SOYBEAN 1.3 0.9 1.7 0.0 0 SOYMEAL -1.5 -2.1 -0.9 -1.0 -1 SOYOIL 0.5 0.5 0.6 0.0 0 SP400 0.5 0.4 0.6 8.0 8 SP500 0.5 0.4 0.6 0.0 0 SUGAR11 0.4 0.3 0.6 1.0 1 US10 -1.5 -1.8 -1.2 NaN 0 US10U -11.3 -12.3 -10.3 -9.0 -9 US20 -3.3 -3.7 -3.0 -4.0 -4 US30 -0.1 -0.4 0.1 -2.0 -2 US5 -2.4 -2.9 -2.0 -3.0 -3 VIX -28.4 -29.8 -27.0 -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 0.1 0.0 -0.1 -0.3 BITCOIN -0.1 -0.2 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 0.1 -4.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.1 BOBL -0.1 0.0 0.3 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.3 -0.0 0.1 0.3 0.3 0.1 0.1 -0.0 -0.1 0.0 -0.2 -0.0 1.2 2.4 0.0 -0.0 -0.0 0.0 -0.1 -0.0 1.5 -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 0.2 0.8 0.5 0.2 0.2 0.1 0.0 0.0 -0.1 0.0 -1.3 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 -0.2 -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 -0.2 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.3 -0.0 0.3 -0.0 0.2 0.1 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 2.2 -0.2 -0.4 -0.0 0.0 CAD -0.0 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 -0.2 -0.2 -0.3 CHF -0.2 -0.1 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 0.0 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 0.1 -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 0.0 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 -0.2 -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 0.1 -0.3 -0.3 -0.3 CORN 0.2 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -0.2 -0.0 -0.2 -0.3 0.6 0.1 0.2 -0.1 -0.2 0.0 -0.1 0.0 3.0 2.3 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.7 0.1 0.4 -0.0 -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 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.5 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 0.0 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 0.2 -0.2 -0.1 -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 -0.1 -0.5 -0.4 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.0 -1.0 -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 0.1 0.1 0.0 0.0 0.4 -0.0 0.4 -0.0 0.3 -0.4 0.1 -0.1 0.0 0.1 0.2 -0.0 0.2 -0.0 -1.8 -1.8 0.0 -0.0 0.1 -0.0 0.1 0.0 1.5 -0.0 -0.1 0.0 0.1 FEEDCOW 0.2 0.2 0.3 -0.1 -0.0 -0.1 -0.0 -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 -0.2 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 0.0 0.0 -0.0 -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 0.1 0.0 0.2 0.1 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 -0.2 0.1 -0.0 GBP -0.1 -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 -0.2 0.2 0.0 0.1 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 -0.2 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 -0.0 -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 -0.3 -0.0 -0.3 -0.0 -0.3 0.5 -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 -0.0 -0.4 -0.3 -0.3 LIVECOW 0.2 0.1 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 0.2 0.0 0.1 0.0 -3.3 2.6 0.1 0.0 0.0 0.0 0.0 0.0 2.5 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 -1.3 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 0.0 0.0 0.1 0.1 0.1 0.0 0.0 0.4 0.0 0.3 0.1 0.4 0.7 0.4 0.2 0.2 0.2 0.3 0.0 0.2 0.0 -0.3 -1.9 0.1 0.0 0.1 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 0.1 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 -0.1 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 -0.7 2.5 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.1 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 0.4 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 0.2 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 0.1 0.0 0.3 0.0 0.4 0.3 0.3 RUSSELL 0.2 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 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.2 -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 1.1 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 -0.0 -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 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 0.1 -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 0.4 -0.7 -0.3 -0.2 -0.2 0.1 0.1 0.0 0.0 0.0 0.2 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 0.4 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 0.1 0.3 0.3 US10 -0.2 -0.1 0.3 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.2 -0.0 0.0 -0.8 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.4 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 0.0 -0.1 -0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -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 0.2 -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 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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 -10.3 -6.3 -8.4 -0.7 0.7 1.5 -2.9 0.1 -3.6 9.9 -3.0 -7.5 -6.6 -9.8 -13.4 -3.7 -3.3 -3.7 -3.7 -10.0 -8.2 -1.9 -7.9 -9.2 13.5 11.7 -4.2 5.7 -3.3 -0.7 -3.5 -4.2 -0.8 3.8 0.3 -5.4 -17.3 BITCOIN -10.0 -9.9 20.0 0.6 5.9 2.1 1.8 1.7 -0.7 -9.5 10.1 -9.7 -6.5 -12.2 5.4 -4.9 -2.7 -4.3 -3.5 0.8 7.0 -7.5 1.5 -5.4 0.6 -18.1 -1.0 -8.9 2.7 -4.8 2.0 -3.8 -0.3 -12.8 -5.3 -12.6 6.1 BOBL -8.6 3.2 20.0 -0.0 2.2 0.4 2.5 -2.7 -0.1 2.9 -1.7 -0.7 -11.8 -2.4 4.1 3.8 7.0 6.6 6.0 -1.1 -4.9 1.0 -15.1 -1.1 7.8 10.8 0.6 -1.1 -0.3 0.6 -6.2 -0.3 10.6 -9.3 -3.3 2.9 1.1 BTP 1.6 1.6 10.8 -0.0 2.2 0.4 2.5 -2.7 -0.1 9.8 8.3 10.1 -7.4 5.0 6.8 9.9 11.8 9.9 10.7 4.5 2.3 15.9 -6.7 8.6 -10.7 11.4 3.7 8.6 3.2 9.1 -1.7 5.2 19.1 11.6 15.3 9.9 6.1 BUND -5.1 2.7 18.9 -0.0 2.2 0.4 2.5 -2.7 -0.1 4.6 -4.4 2.5 -12.7 -0.9 1.4 7.9 12.0 8.0 9.5 -1.5 -5.9 4.1 -16.3 0.6 4.9 12.3 0.4 0.2 -0.4 2.1 -5.6 0.4 18.0 -3.7 0.6 2.1 -0.0 BUXL -2.9 -0.8 11.5 -0.0 2.2 0.4 2.5 -2.7 -0.1 4.7 -11.5 2.0 -14.2 -3.9 -7.5 2.0 1.2 2.0 2.2 -6.3 -11.1 3.2 -19.9 -1.8 7.9 -10.8 -1.8 -0.3 -2.9 1.9 -7.3 -0.6 2.6 -2.6 -1.3 -2.6 -6.4 CAC -19.0 -10.7 -3.1 3.1 5.5 4.2 2.9 3.3 2.2 -3.8 14.0 -7.8 13.5 -6.2 7.7 1.2 4.4 6.1 5.3 2.6 13.0 -9.4 16.7 -6.8 -10.6 8.9 0.7 -2.5 5.1 -5.6 6.7 -3.8 16.8 -20.0 -20.0 -3.0 3.3 CAD -3.0 1.5 5.7 -0.7 0.7 1.5 -2.9 0.1 -3.6 12.9 -1.1 2.2 -9.6 -2.3 2.7 -3.3 -2.3 -3.1 -2.8 -0.1 -2.2 7.4 -7.1 1.3 14.6 10.4 1.0 9.7 -0.2 5.1 -3.5 1.5 0.8 18.9 17.2 4.8 -3.0 CANOLA -17.7 -9.8 -20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 -9.1 -14.4 -13.7 -14.4 -14.6 -15.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -19.0 -20.0 20.0 13.2 -6.6 -2.9 -6.6 -4.9 -4.9 -6.0 20.0 -11.2 -19.9 -15.5 -20.0 CHF -20.0 -4.0 9.4 -0.7 0.7 1.5 -2.9 0.1 -3.6 -4.5 11.5 -12.4 9.2 -11.4 3.6 -16.8 -15.0 -15.9 -15.6 -1.1 7.5 -11.3 7.1 -10.7 -4.9 -11.5 -0.3 -1.8 3.2 -4.9 2.3 -4.5 -20.0 -6.2 -8.3 3.5 7.4 COCOA -1.1 6.0 20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 11.5 15.3 6.4 11.7 10.0 14.2 0.3 -1.0 0.3 0.2 18.5 20.0 7.8 17.7 11.5 -20.0 -10.4 6.3 3.0 7.6 2.6 6.3 4.1 -17.5 20.0 20.0 20.0 20.0 COFFEE -8.4 -1.8 11.7 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 -3.0 2.4 -8.0 -4.1 -8.8 -0.6 7.1 5.0 6.7 5.9 0.2 1.9 -7.3 -2.4 -6.3 0.3 10.0 2.4 1.9 2.5 -0.1 0.1 0.0 -7.5 14.1 20.0 20.0 20.0 COPPER -8.2 -20.0 -9.8 0.6 5.9 2.1 1.8 1.7 -0.7 13.5 -0.1 -2.1 -4.1 -9.7 -11.7 -3.1 -1.1 -2.2 -1.7 -14.9 -7.9 2.4 -2.8 -11.0 4.9 11.1 -5.0 3.7 -3.1 0.8 -1.2 -3.5 2.4 7.1 -14.3 -20.0 -20.0 CORN 17.4 -5.2 -20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 10.5 -12.6 11.2 -8.8 -3.8 -10.2 -3.5 14.4 4.6 10.6 -12.0 -15.6 14.1 -9.1 1.0 20.0 11.0 -3.9 5.5 -5.8 5.7 -4.1 1.1 5.4 20.0 20.0 -3.3 -20.0 COTTON2 9.1 8.3 4.5 -4.6 -3.2 -2.9 -6.0 -1.4 -5.9 9.7 -0.2 4.1 -11.8 4.7 2.9 4.6 6.2 0.7 1.0 2.0 -3.5 5.8 -7.4 4.6 -2.7 12.0 1.8 5.4 -0.8 4.1 -1.0 3.5 -10.9 14.7 20.0 20.0 8.6 CRUDE_W 1.0 -9.4 -8.5 -3.3 3.6 -3.7 1.2 -1.2 -1.1 3.7 -4.5 1.0 -6.8 -7.8 -5.6 6.6 10.5 7.6 8.5 -6.9 -5.9 -1.4 -1.9 -5.6 -11.3 10.8 -1.8 6.5 -2.1 4.8 0.6 1.1 -13.8 12.1 2.0 7.4 6.0 DAX -9.7 -4.2 1.0 3.1 5.5 4.2 2.9 3.3 2.2 1.8 15.0 -3.3 12.3 -0.5 10.5 -8.2 -6.7 -8.3 -8.1 6.6 13.1 -1.0 13.2 0.7 -14.6 9.9 4.0 0.9 6.9 -1.1 6.4 0.7 -3.7 -17.7 -6.4 5.1 5.0 DOW -5.6 -3.9 -3.5 3.1 5.5 4.2 2.9 3.3 2.2 9.1 5.4 4.0 3.5 -3.5 1.1 -8.7 -6.3 -8.4 -7.9 -1.8 -0.0 6.3 0.7 -1.0 5.4 10.8 -0.6 10.8 0.9 5.8 1.7 0.5 -3.2 14.8 -8.4 -9.7 -7.3 EUR -20.0 -11.9 6.3 -0.7 0.7 1.5 -2.9 0.1 -3.6 -8.0 10.6 -13.8 2.2 -14.0 -3.3 -8.2 -8.5 -7.8 -8.0 -7.6 2.9 -13.0 2.1 -15.5 -7.3 -11.1 -2.6 -2.4 1.1 -4.9 0.5 -5.7 -9.0 -4.9 -15.0 -8.2 -1.2 EUROSTX -10.7 -6.9 -1.1 3.1 5.5 4.2 2.9 3.3 2.2 1.5 15.1 -3.2 13.9 -1.0 11.0 -5.2 2.3 -2.9 0.0 6.2 13.7 -2.4 15.5 -0.3 -13.4 -8.5 3.8 -0.3 7.2 -2.0 7.9 0.1 11.4 -18.2 -7.4 2.4 4.9 FEEDCOW 20.0 14.0 20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 14.1 15.3 15.8 12.8 16.1 15.9 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 20.0 20.0 -20.0 12.2 6.4 4.0 6.5 5.4 5.1 6.0 -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 10.5 -10.9 -20.0 -3.3 3.6 -3.7 1.2 -1.2 -1.1 8.3 -13.2 7.0 -0.3 -5.8 -10.1 1.6 19.9 7.0 13.7 -13.0 -15.3 3.3 -4.5 -4.7 10.2 -15.4 -4.9 4.0 -6.0 1.3 -3.0 -1.9 0.2 3.0 -2.3 -5.2 -7.8 GASOILINE 8.0 -10.2 -5.0 -3.3 3.6 -3.7 1.2 -1.2 -1.1 0.2 2.7 2.5 -1.9 -2.2 -2.4 20.0 18.2 20.0 18.9 -2.0 -1.0 0.1 4.1 -0.9 -20.0 -13.1 0.5 6.0 0.7 5.7 4.4 3.3 0.5 10.0 14.2 8.5 12.0 GAS_US 9.5 10.6 -20.0 -3.3 3.6 -3.7 1.2 -1.2 -1.1 -9.2 -16.5 -12.2 -15.5 -10.0 -13.9 -20.0 -18.8 -20.0 -20.0 -17.7 -20.0 -13.1 -20.0 -11.5 17.0 -9.3 -4.2 -1.5 -6.7 -3.1 -5.2 -2.8 -20.0 -20.0 -8.0 9.3 -0.8 GBP -13.0 -0.3 12.6 -0.7 0.7 1.5 -2.9 0.1 -3.6 2.8 13.6 -4.2 2.1 -4.6 9.2 -2.0 -2.0 -1.9 -2.0 4.0 8.2 0.4 2.6 -1.0 0.2 9.4 2.1 1.3 3.2 0.5 -1.3 -0.4 1.7 11.8 6.1 5.7 9.4 GOLD_micro -20.0 -9.8 11.7 0.6 5.9 2.1 1.8 1.7 -0.7 -1.9 11.0 -11.0 5.5 -11.4 4.6 -13.6 -11.8 -13.0 -12.8 -0.9 8.9 -8.8 9.6 -9.9 -14.0 -13.8 -0.5 -2.9 3.7 -5.5 4.2 -5.1 -16.3 -18.4 -20.0 -11.6 9.7 HEATOIL 6.2 -9.6 -20.0 -3.3 3.6 -3.7 1.2 -1.2 -1.1 7.2 -13.2 3.2 -1.1 -7.9 -11.1 0.2 20.0 6.5 14.8 -14.2 -15.5 -0.6 -4.6 -8.0 2.5 -13.6 -4.2 5.8 -4.9 3.7 -0.4 -0.3 3.6 11.0 1.6 -3.6 -8.9 JPY -19.9 -20.0 -6.9 -0.7 0.7 1.5 -2.9 0.1 -3.6 -3.5 -3.1 -12.0 -8.7 -14.0 -14.3 -17.1 -14.5 -16.5 -15.9 -20.0 -13.9 -13.4 -13.4 -20.0 8.4 9.9 -5.2 -1.4 -3.0 -3.8 -3.5 -5.8 -20.0 -1.7 -12.3 -20.0 -20.0 LEANHOG 2.9 2.5 -20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 11.8 -15.0 -0.7 -13.8 -8.2 -13.6 5.6 -20.0 -20.0 -20.0 -20.0 -20.0 -3.6 -18.4 -17.0 20.0 -11.1 -6.6 -1.2 -6.4 -4.3 -4.8 -6.1 -20.0 -1.9 -20.0 -20.0 -20.0 LIVECOW 19.0 4.6 3.1 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 14.1 14.7 15.8 12.8 15.8 14.9 20.0 10.5 20.0 20.0 20.0 14.5 20.0 10.2 20.0 -20.0 12.0 5.4 9.9 4.2 11.0 3.6 8.3 18.0 20.0 20.0 20.0 20.0 MXP -4.4 6.0 5.9 -0.7 0.7 1.5 -2.9 0.1 -3.6 13.9 15.7 11.8 15.8 12.4 14.5 20.0 20.0 20.0 20.0 19.5 20.0 14.6 20.0 15.0 -20.0 9.7 6.1 6.0 7.5 5.3 8.1 5.2 20.0 20.0 20.0 20.0 20.0 NASDAQ 20.0 14.7 20.0 3.1 5.5 4.2 2.9 3.3 2.2 13.3 14.8 15.4 -1.1 16.0 16.4 -10.1 -7.0 -9.4 -8.5 20.0 20.0 20.0 8.8 20.0 -11.5 10.2 6.4 4.6 4.9 7.3 2.9 7.6 -4.2 20.0 20.0 20.0 20.0 NIKKEI 16.0 20.0 18.3 3.1 5.5 4.2 2.9 3.3 2.2 12.7 15.0 14.1 12.5 15.3 16.0 11.6 12.0 9.5 11.1 20.0 20.0 20.0 12.4 20.0 -2.4 -9.1 6.0 5.4 4.2 5.8 2.1 6.6 20.0 20.0 20.0 20.0 20.0 NZD -15.0 -5.1 -2.4 -0.7 0.7 1.5 -2.9 0.1 -3.6 -8.4 4.2 -12.3 -1.8 -11.4 -10.8 0.9 0.8 1.0 0.8 -8.4 -3.9 -13.1 -3.9 -13.5 2.7 10.8 -3.1 -1.6 -1.1 -5.9 -1.4 -5.8 6.4 -20.0 -7.5 -8.2 -10.5 OAT -3.3 3.4 12.8 -0.0 2.2 0.4 2.5 -2.7 -0.1 6.2 -5.6 5.0 -12.6 0.9 1.3 11.8 12.5 11.7 12.0 -1.1 -5.5 6.4 -15.1 2.0 2.5 12.7 0.9 1.7 -0.2 3.6 -6.3 1.4 20.0 -0.6 3.5 4.3 -0.8 OJ 10.6 -13.5 12.7 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 -7.8 13.9 9.5 14.9 9.5 12.2 20.0 20.0 20.0 20.0 20.0 20.0 13.5 20.0 19.0 -20.0 -14.3 5.7 1.8 7.5 5.5 9.2 5.9 20.0 20.0 20.0 20.0 20.0 PALLAD -14.4 7.0 0.9 0.6 5.9 2.1 1.8 1.7 -0.7 -2.8 -13.5 -11.3 -14.5 -11.4 -8.7 -2.2 -2.4 -2.7 -2.7 -10.7 -15.1 -13.7 -20.0 -13.9 20.0 -11.1 -1.8 0.1 -2.8 -3.7 -4.7 -3.8 0.3 -19.2 -3.8 4.1 -11.2 PLAT -18.1 -1.3 5.7 0.6 5.9 2.1 1.8 1.7 -0.7 -1.8 5.4 -11.6 5.1 -9.4 2.3 -2.2 -1.7 -2.3 -2.1 -0.9 4.7 -10.6 4.7 -9.7 -4.5 11.2 0.2 0.8 2.4 -4.3 2.0 -3.8 1.5 -20.0 -8.0 7.9 2.3 REDWHEAT -2.5 -0.9 2.8 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 2.0 -6.8 -7.8 -12.1 -0.4 0.8 5.5 5.8 7.4 7.6 -3.7 -4.8 -5.3 -5.3 -5.9 4.0 12.9 -0.9 4.8 -2.2 2.6 -1.1 0.7 -5.2 20.0 20.0 11.7 4.8 ROBUSTA 0.2 8.5 20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 8.2 14.9 10.5 11.2 12.8 15.1 12.8 10.9 12.2 11.7 20.0 20.0 11.5 18.7 19.5 -20.0 9.6 6.5 2.1 6.4 3.1 4.3 4.7 2.5 20.0 20.0 20.0 20.0 RUSSELL 13.0 2.1 -9.0 3.1 5.5 4.2 2.9 3.3 2.2 6.1 -9.3 6.3 -10.3 4.4 -10.3 -6.1 -4.9 -6.0 -5.8 -2.6 -5.8 8.8 -6.9 3.5 17.3 10.0 -1.1 9.0 -2.4 7.3 -1.7 3.3 -0.3 14.1 8.7 -7.6 -19.2 SILVER-mini -20.0 -9.5 9.8 0.4 3.8 2.1 0.0 1.7 -1.6 9.2 8.2 -8.7 3.6 -10.2 3.7 -6.1 -5.4 -6.2 -6.0 -3.1 6.1 -6.3 6.0 -11.6 -7.4 -11.3 -1.2 0.3 1.4 -2.7 1.1 -4.1 -5.1 -4.6 -20.0 -11.3 -0.1 SOYBEAN -13.5 -19.7 -20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 5.6 -13.3 -9.3 -9.3 -13.2 -14.8 13.6 20.0 20.0 20.0 -20.0 -20.0 -12.8 -11.4 -20.0 14.4 -11.7 -5.8 2.5 -5.0 -0.0 -2.3 -3.9 20.0 20.0 -15.2 -17.2 -20.0 SOYMEAL -18.4 -20.0 -18.8 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 -5.3 -0.8 -12.6 5.7 -15.0 -15.1 20.0 20.0 20.0 20.0 -20.0 -9.5 -19.2 7.1 -20.0 -20.0 -12.0 -5.5 0.5 -2.3 -2.5 2.2 -5.2 20.0 17.4 -0.1 -6.9 -11.9 SOYOIL -4.4 -9.3 -20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 9.4 -14.7 -6.3 -10.6 -10.5 -13.9 4.5 10.7 4.6 6.1 -20.0 -20.0 -1.4 -14.4 -14.7 19.6 12.9 -5.1 5.6 -6.2 3.8 -3.8 -1.1 -2.5 20.0 5.7 -0.8 -20.0 SP400 5.3 -3.5 -14.3 3.1 5.5 4.2 2.9 3.3 2.2 6.1 -3.8 2.5 -3.0 -3.3 -10.5 -5.7 -4.8 -5.7 -5.5 -5.0 -4.8 5.2 -2.8 -1.0 15.1 10.2 -3.5 7.4 -3.1 3.9 -0.9 -0.5 0.3 8.1 -3.6 -14.3 -20.0 SP500 7.0 4.8 9.4 3.1 5.5 4.2 2.9 3.3 2.2 11.9 13.4 13.6 -2.4 13.3 14.0 -10.0 -7.2 -9.3 -8.5 11.3 8.5 17.2 2.6 13.8 2.2 10.2 5.5 9.0 4.5 9.3 2.5 7.2 -4.3 20.0 15.8 6.9 7.5 SUGAR11 -20.0 5.5 20.0 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 -13.6 14.5 -13.7 13.9 3.1 11.8 5.6 20.0 11.7 20.0 20.0 20.0 -14.1 20.0 -0.2 -20.0 -10.5 4.7 -2.7 7.2 -2.6 6.7 0.2 20.0 -5.4 5.2 20.0 20.0 US10 -20.0 -5.3 20.0 -0.0 2.2 0.4 2.5 -2.7 -0.1 -1.0 4.0 -9.5 -9.6 -10.5 2.1 -10.3 -6.6 -10.3 -9.5 -6.6 -2.6 -9.7 -9.0 -12.3 -3.1 9.7 -2.1 -4.5 0.6 -6.9 -1.5 -6.4 -14.6 -20.0 -20.0 -9.1 2.0 US10U -17.1 -5.9 17.3 -0.0 2.2 0.4 2.5 -2.7 -0.1 2.0 4.0 -7.0 -9.8 -9.3 0.8 -3.6 -1.3 -4.7 -3.6 -6.5 -3.4 -6.2 -9.9 -10.2 -4.1 -14.1 -2.4 -4.3 0.6 -6.7 -1.1 -6.5 -4.7 -20.0 -20.0 -10.4 0.9 US20 -15.8 -8.3 13.8 -0.0 2.2 0.4 2.5 -2.7 -0.1 5.6 4.7 -4.4 -8.5 -8.5 -0.6 -1.7 -1.6 -2.0 -2.4 -7.5 -4.3 -2.4 -10.1 -9.2 -0.6 -12.3 -2.7 -1.8 -0.1 -4.0 -1.8 -5.4 -4.1 -19.0 -17.8 -11.4 -1.0 US30 -12.4 -8.6 8.9 -0.0 2.2 0.4 2.5 -2.7 -0.1 3.9 1.4 -4.4 -10.4 -9.7 -7.9 -1.1 -1.0 -1.4 -1.4 -9.1 -7.2 -2.0 -14.0 -8.8 -0.5 10.0 -3.4 -1.6 -0.7 -3.3 -2.5 -5.3 -2.6 -15.3 -13.4 -10.8 -4.7 US5 -20.0 -5.2 20.0 -0.0 2.2 0.4 2.5 -2.7 -0.1 -0.5 3.2 -9.7 -9.7 -10.6 1.9 -12.4 -7.4 -11.5 -10.5 -7.5 -2.7 -12.8 -9.0 -14.9 -1.7 10.8 -2.2 -4.7 0.3 -7.3 -2.1 -6.6 -16.2 -20.0 -20.0 -10.1 0.9 VIX -14.3 -8.1 3.7 -4.8 -8.8 -4.9 -8.1 -5.5 -6.3 -14.1 -15.9 -15.7 -15.0 -15.7 -15.7 -20.0 -20.0 -20.0 -20.0 -17.8 -17.2 -20.0 -18.1 -20.0 NaN -13.5 -5.9 -8.9 -6.1 -10.0 -7.3 -8.2 NaN NaN NaN NaN NaN WHEAT 1.1 -7.3 -9.8 -4.6 -1.2 -3.0 -4.8 -1.5 -5.6 12.5 -15.2 -5.6 -15.6 -11.8 -14.2 -12.5 -9.9 -12.4 -11.7 -18.9 -20.0 -0.8 -19.7 -11.8 19.8 11.9 -5.0 5.2 -6.2 3.1 -4.5 -1.4 -20.0 20.0 17.4 -2.4 -17.5 End of report for caleb_strategy_v1