******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230606_204651 produced at 2023-06-06 21:37:27.151752 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.51 0.0 4.501094e+07 -4.501094e+07 -0.41 -0.41 -11.31 999999999.0 -9 -9 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.22 0.0 5.184011e+07 -5.184011e+07 -0.10 -0.10 -4.18 999999999.0 -2 -2 caleb_strategy_v1 VIX False False 0.01 -0.13 -0.20 0.0 7.028848e+06 -7.028848e+06 -0.13 -0.13 -27.78 999999999.0 -18 -18 caleb_strategy_v1 EUR False False 0.05 -0.20 -0.18 0.0 5.028258e+07 -5.028258e+07 -0.20 -0.25 -3.60 999999999.0 -4 -5 caleb_strategy_v1 JPY False False 0.03 -0.40 -0.17 0.0 3.370652e+07 -3.370652e+07 -0.40 -0.40 -5.16 999999999.0 -12 -12 caleb_strategy_v1 US20 False False 0.05 -0.19 -0.16 0.0 4.807666e+07 -4.807666e+07 -0.19 -0.19 -3.36 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.10 0.0 4.062378e+07 -4.062378e+07 -0.12 -0.12 -2.44 999999999.0 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.08 0.0 7.440055e+06 -7.440055e+06 -0.09 -0.10 -10.54 999999999.0 -12 -14 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 4.277919e+07 -4.277919e+07 0.00 0.00 -1.53 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.05 0.00 -0.05 0.0 4.633590e+07 -4.633590e+07 0.00 0.00 -1.08 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.05 0.0 1.272710e+07 -1.272710e+07 -0.09 -0.09 -3.65 999999999.0 -7 -7 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.04 0.0 5.479867e+07 -5.479867e+07 0.00 0.00 -0.82 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.733875e+07 -3.733875e+07 -0.04 -0.04 -0.85 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.144913e+07 -1.144913e+07 -0.05 -0.05 -2.87 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.245849e+07 -2.245849e+07 0.00 0.00 -1.30 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.02 0.0 1.424563e+07 -1.424563e+07 -0.01 -0.01 -1.57 999999999.0 -1 -1 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.593532e+07 -2.593532e+07 -0.03 -0.03 -0.95 999999999.0 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.0 2.647658e+07 -2.647658e+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 1.734727e+07 -1.734727e+07 0.00 -0.02 -0.31 999999999.0 0 -1 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.01 0.0 5.128334e+07 -5.128334e+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 1.007719e+06 -1.007719e+06 -0.02 -0.02 -11.26 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.800494e+07 -3.800494e+07 0.00 0.00 -0.24 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8.957083e+06 -8.957083e+06 -0.02 -0.02 -1.12 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 5.301706e+07 -5.301706e+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 1.448713e+07 -1.448713e+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 1.025926e+07 -1.025926e+07 0.01 0.01 0.39 999999999.0 1 1 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 1.528868e+07 -1.528868e+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 1.236626e+07 -1.236626e+07 -0.05 -0.05 -0.13 999999999.0 -4 -4 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.509712e+07 -2.509712e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 -0.04 0.01 0.0 3.542145e+07 -3.542145e+07 -0.04 -0.04 0.17 999999999.0 -1 -1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.829111e+06 -9.829111e+06 0.02 0.02 1.38 999999999.0 2 2 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 1.015330e+07 -1.015330e+07 0.05 0.05 1.15 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.953982e+07 -1.953982e+07 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.593895e+07 -1.593895e+07 0.02 0.02 0.37 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.545608e+07 -2.545608e+07 0.03 0.03 0.26 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 6.463309e+06 -6.463309e+06 0.01 0.01 1.81 999999999.0 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.132584e+07 -1.132584e+07 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.283248e+07 -2.283248e+07 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.629266e+06 -3.629266e+06 0.00 0.00 5.58 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.02 0.0 6.308861e+06 -6.308861e+06 -0.02 -0.01 2.92 999999999.0 -3 -2 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.03 0.0 2.640517e+07 -2.640517e+07 0.00 0.00 1.28 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.03 0.0 2.224706e+07 -2.224706e+07 0.00 0.00 1.40 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.04 0.0 8.060153e+07 -8.060153e+07 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 2.911431e+07 -2.911431e+07 0.06 0.03 1.42 999999999.0 2 1 caleb_strategy_v1 GBP False False 0.03 0.29 0.04 0.0 2.921013e+07 -2.921013e+07 0.29 0.29 1.24 999999999.0 10 10 caleb_strategy_v1 SP400 False False 0.10 0.76 0.05 0.0 9.509994e+07 -9.509994e+07 0.76 0.76 0.54 999999999.0 8 8 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.05 0.0 3.491872e+06 -3.491872e+06 0.00 0.00 13.17 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.077444e+07 -1.077444e+07 0.00 0.00 4.30 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.805525e+07 -2.805525e+07 0.00 0.00 2.00 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.07 0.0 1.096839e+08 -1.096839e+08 0.00 0.00 0.63 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.08 0.0 4.679813e+07 -4.679813e+07 0.14 0.14 1.64 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.192895e+07 -5.192895e+07 0.00 0.00 1.82 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 4.90 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.44 0.32 0.0 5.444802e+07 -5.444802e+07 0.44 0.44 5.80 999999999.0 8 8 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.45 0.0 0.000000e+00 0.000000e+00 0.00 0.00 52.26 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.45 0.0 4.711654e+07 -4.711654e+07 0.00 0.00 9.62 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 52.4 Sum abs risk 53.7 Leverage 4.17 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2660464.32, 'annual_cash_vol_target': 665116.08, 'daily_cash_vol_target': 41569.755} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6677 0.6725 10.7605 BITCOIN 881.9437 26810.0000 3.2896 52.6337 BOBL 0.3458 116.9000 0.2958 4.7332 BTP 0.6606 116.1100 0.5689 9.1025 BUND 0.6765 135.0900 0.5008 8.0126 BUXL 1.5789 135.9600 1.1613 18.5804 CAC 63.8627 7223.5000 0.8841 14.1455 CAD 0.0033 0.7464 0.4412 7.0586 CANOLA 9.1817 647.5000 1.4180 22.6884 CHF 0.0048 1.1034 0.4380 7.0077 COCOA 29.5024 3046.0000 0.9686 15.4970 COFFEE 3.1475 180.6000 1.7428 27.8845 COPPER 0.0484 3.7695 1.2841 20.5452 CORN 6.7984 540.2500 1.2584 20.1341 COTTON2 1.5569 84.8100 1.8357 29.3714 CRUDE_W 1.3500 70.4400 1.9165 30.6642 DAX 137.2030 16036.0000 0.8556 13.6895 DOW 257.4355 33569.0000 0.7669 12.2702 EUR 0.0048 1.0702 0.4458 7.1329 EUROSTX 41.0950 4304.0000 0.9548 15.2770 FEEDCOW 1.4095 246.5500 0.5717 9.1471 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.6195 690.0000 1.9738 31.5814 GASOILINE 0.0433 2.4074 1.7991 28.7851 GAS_US 0.0965 2.3830 4.0509 64.8136 GBP 0.0062 1.2434 0.5000 7.9994 GOLD_micro 15.8251 1979.4000 0.7995 12.7918 HEATOIL 0.0417 2.3652 1.7631 28.2102 JPY 0.0000 0.0072 0.6191 9.9058 LEANHOG 1.7152 84.6500 2.0262 32.4193 LIVECOW 1.2499 175.6250 0.7117 11.3874 MXP 0.0004 0.0573 0.6247 9.9948 NASDAQ 124.9973 14590.5000 0.8567 13.7073 NIKKEI 291.3725 32115.0000 0.9073 14.5165 NZD 0.0046 0.6074 0.7535 12.0557 OAT 0.6528 128.8400 0.5067 8.1069 OJ 5.1593 256.9500 2.0079 32.1262 PALLAD 30.2889 1410.5000 2.1474 34.3582 PLAT 17.6297 1039.7000 1.6956 27.1304 REDWHEAT 14.5505 813.5000 1.7886 28.6181 ROBUSTA 33.0636 2615.0000 1.2644 20.2301 RUSSELL 24.3180 1858.0000 1.3088 20.9412 SILVER-mini 0.3307 23.9000 1.3835 22.1359 SOYBEAN 12.4247 1183.7500 1.0496 16.7937 SOYMEAL 4.2455 379.0000 1.1202 17.9231 SOYOIL 0.8612 50.2200 1.7149 27.4392 SP400 28.7799 2530.1000 1.1375 18.2000 SP500 31.1861 4288.7500 0.7272 11.6346 SUGAR11 0.3431 24.3700 1.4080 22.5285 US10 0.4769 113.8125 0.4190 6.7043 US10U 0.6154 119.7500 0.5139 8.2231 US20 0.8622 127.9062 0.6741 10.7858 US30 1.2415 136.4375 0.9099 14.5588 US5 0.3443 108.0781 0.3186 5.0977 VIX 0.5639 18.7000 3.0156 48.2501 WHEAT 10.9951 658.0000 1.6710 26.7358 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.70 0.67 449.05 1.00 449.05 41569.75 92.57 3.44 31.84 BITCOIN 26.81 3.29 88.19 1.00 88.19 41569.75 471.34 -10.14 -477.89 BOBL 1169.00 0.30 345.82 1.07 369.99 41569.75 112.35 11.87 133.35 BTP 1161.10 0.57 660.56 1.07 706.73 41569.75 58.82 13.77 81.01 BUND 1350.90 0.50 676.52 1.07 723.81 41569.75 57.43 13.99 80.37 BUXL 1359.60 1.16 1578.87 1.07 1689.23 41569.75 24.61 -3.95 -9.72 CAC 722.35 0.88 638.63 1.07 683.27 41569.75 60.84 8.31 50.57 CAD 746.40 0.44 329.28 1.00 329.28 41569.75 126.24 8.89 112.18 CANOLA 129.50 1.42 183.63 0.74 136.67 41569.75 304.17 20.00 608.33 CHF 1379.19 0.44 604.06 1.00 604.06 41569.75 68.82 -16.22 -111.63 COCOA 304.60 0.97 295.02 1.00 295.02 41569.75 140.90 -9.35 -131.78 COFFEE 677.25 1.74 1180.30 1.00 1180.30 41569.75 35.22 5.77 20.31 COPPER 942.38 1.28 1210.08 1.00 1210.08 41569.75 34.35 1.85 6.34 CORN 270.12 1.26 339.92 1.00 339.92 41569.75 122.29 10.39 127.07 COTTON2 424.05 1.84 778.44 1.00 778.44 41569.75 53.40 4.66 24.87 CRUDE_W 704.40 1.92 1349.99 1.00 1349.99 41569.75 30.79 -1.14 -3.52 DAX 160.36 0.86 137.20 1.07 146.79 41569.75 283.19 1.18 33.42 DOW 167.84 0.77 128.72 1.00 128.72 41569.75 322.95 3.17 102.39 EUR 1337.75 0.45 596.38 1.00 596.38 41569.75 69.70 -13.81 -96.25 EUROSTX 430.40 0.95 410.95 1.07 439.68 41569.75 94.55 -1.18 -11.13 FEEDCOW 1232.75 0.57 704.75 1.00 704.75 41569.75 58.98 -6.82 -40.24 FTSE100 707.00 0.82 576.59 1.24 666.67 41569.75 62.35 7.63 47.58 GASOIL 690.00 1.97 1361.95 1.00 1361.95 41569.75 30.52 -4.34 -13.26 GASOILINE 1011.11 1.80 1819.06 1.00 1819.06 41569.75 22.85 -2.56 -5.85 GAS_US 238.30 4.05 965.32 1.00 965.32 41569.75 43.06 -17.32 -74.58 GBP 777.12 0.50 388.53 1.00 388.53 41569.75 106.99 6.47 69.23 GOLD_micro 197.94 0.80 158.25 1.00 158.25 41569.75 262.68 -17.94 -471.18 HEATOIL 993.38 1.76 1751.47 1.00 1751.47 41569.75 23.73 -5.02 -11.91 JPY 896.75 0.62 555.19 1.00 555.19 41569.75 74.88 -10.64 -79.67 LEANHOG 338.60 2.03 686.07 1.00 686.07 41569.75 60.59 -12.89 -78.09 LIVECOW 702.50 0.71 499.98 1.00 499.98 41569.75 83.14 5.72 47.54 MXP 286.65 0.62 179.06 1.00 179.06 41569.75 232.15 15.13 351.15 NASDAQ 2918.10 0.86 2499.95 1.00 2499.95 41569.75 16.63 7.00 11.65 NIKKEI 32115.00 0.91 29137.25 0.01 209.79 41569.75 198.15 13.89 275.16 NZD 607.45 0.75 457.70 1.00 457.70 41569.75 90.82 4.79 43.55 OAT 1288.40 0.51 652.81 1.07 698.44 41569.75 59.52 15.17 90.29 OJ 385.42 2.01 773.89 1.00 773.89 41569.75 53.72 -3.25 -17.47 PALLAD 1410.50 2.15 3028.89 1.00 3028.89 41569.75 13.72 -2.25 -3.09 PLAT 519.85 1.70 881.48 1.00 881.48 41569.75 47.16 4.45 20.98 REDWHEAT 406.75 1.79 727.52 1.00 727.52 41569.75 57.14 6.77 38.68 ROBUSTA 261.50 1.26 330.64 1.00 330.64 41569.75 125.73 8.48 106.64 RUSSELL 92.90 1.31 121.59 1.00 121.59 41569.75 341.88 7.44 254.29 SILVER-mini 597.50 1.38 826.64 1.00 826.64 41569.75 50.29 -11.57 -58.16 SOYBEAN 591.88 1.05 621.23 1.00 621.23 41569.75 66.91 3.56 23.82 SOYMEAL 379.00 1.12 424.55 1.00 424.55 41569.75 97.91 -2.71 -26.55 SOYOIL 301.32 1.71 516.75 1.00 516.75 41569.75 80.44 7.92 63.70 SP400 2530.10 1.14 2877.99 1.00 2877.99 41569.75 14.44 7.22 10.42 SP500 2144.38 0.73 1559.30 1.00 1559.30 41569.75 26.66 7.06 18.82 SUGAR11 272.94 1.41 384.31 1.00 384.31 41569.75 108.17 2.63 28.42 US10 1138.12 0.42 476.90 1.00 476.90 41569.75 87.17 -4.57 -39.87 US10U 1197.50 0.51 615.45 1.00 615.45 41569.75 67.54 -11.49 -77.63 US20 1279.06 0.67 862.24 1.00 862.24 41569.75 48.21 -9.47 -45.65 US30 1364.38 0.91 1241.48 1.00 1241.48 41569.75 33.48 -0.48 -1.62 US5 1080.78 0.32 344.34 1.00 344.34 41569.75 120.72 -5.27 -63.61 VIX 187.00 3.02 563.92 1.00 563.92 41569.75 73.72 -20.00 -147.43 WHEAT 329.00 1.67 549.76 1.00 549.76 41569.75 75.62 -3.34 -25.24 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 31.837 0.006 2.5 0.509 BITCOIN -477.891 0.009 2.5 -11.260 BOBL 133.350 0.029 2.5 9.622 BTP 81.014 0.008 2.5 1.636 BUND 80.367 0.029 2.5 5.799 BUXL -9.718 0.034 2.5 -0.816 CAC 50.574 0.011 2.5 1.422 CAD 112.183 0.007 2.5 2.003 CANOLA 608.331 0.004 2.5 5.584 CHF -111.631 0.015 2.5 -4.178 COCOA -131.782 0.009 2.5 -2.871 COFFEE 20.315 0.005 2.5 0.263 COPPER 6.340 0.011 2.5 0.173 CORN 127.066 0.004 2.5 1.146 COTTON2 24.867 0.006 2.5 0.374 CRUDE_W -3.524 0.053 2.5 -0.466 DAX 33.420 0.022 2.5 1.815 DOW 102.388 0.011 2.5 2.918 EUR -96.248 0.015 2.5 -3.602 EUROSTX -11.125 0.011 2.5 -0.313 FEEDCOW -40.241 0.011 2.5 -1.081 FTSE100 47.580 0.041 2.5 4.905 GASOIL -13.260 0.029 2.5 -0.946 GASOILINE -5.850 0.016 2.5 -0.240 GAS_US -74.578 0.006 2.5 -1.123 GBP 69.229 0.007 2.5 1.236 GOLD_micro -471.175 0.009 2.5 -10.542 HEATOIL -11.911 0.029 2.5 -0.850 JPY -79.673 0.026 2.5 -5.157 LEANHOG -78.090 0.019 2.5 -3.648 LIVECOW 47.536 0.011 2.5 1.277 MXP 351.150 0.005 2.5 4.299 NASDAQ 11.647 0.022 2.5 0.633 NIKKEI 275.161 0.076 2.5 52.262 NZD 43.545 0.006 2.5 0.696 OAT 90.291 0.008 2.5 1.824 OJ -17.469 0.007 2.5 -0.305 PALLAD -3.088 0.010 2.5 -0.074 PLAT 20.978 0.010 2.5 0.505 REDWHEAT 38.678 0.002 2.5 0.206 ROBUSTA 106.639 0.005 2.5 1.383 RUSSELL 254.291 0.021 2.5 13.171 SILVER-mini -58.160 0.009 2.5 -1.301 SOYBEAN 23.816 0.024 2.5 1.404 SOYMEAL -26.553 0.024 2.5 -1.566 SOYOIL 63.700 0.004 2.5 0.585 SP400 10.424 0.021 2.5 0.540 SP500 18.816 0.011 2.5 0.536 SUGAR11 28.417 0.005 2.5 0.386 US10 -39.873 0.015 2.5 -1.530 US10U -77.630 0.058 2.5 -11.311 US20 -45.645 0.029 2.5 -3.364 US30 -1.619 0.034 2.5 -0.136 US5 -63.612 0.015 2.5 -2.440 VIX -147.430 0.075 2.5 -27.783 WHEAT -25.237 0.002 2.5 -0.135 ==================== Position diags ==================== AUD 1.48 BITCOIN 11.11 BOBL 8.11 BTP 1.19 BUND 4.14 BUXL 2.07 CAC 1.71 CAD 2.25 CANOLA 2.79 CHF 2.58 COCOA 3.07 COFFEE 0.46 COPPER 0.94 CORN 1.10 COTTON2 0.80 CRUDE_W 4.07 DAX 15.38 DOW 9.20 EUR 2.61 EUROSTX 2.66 FEEDCOW 1.58 FTSE100 6.43 GASOIL 2.18 GASOILINE 0.94 GAS_US 0.65 GBP 1.91 GOLD_micro 5.88 HEATOIL 1.69 JPY 4.85 LEANHOG 2.83 LIVECOW 2.23 MXP 2.84 NASDAQ 0.90 NIKKEI 37.64 NZD 1.45 OAT 1.20 OJ 0.94 PALLAD 0.33 PLAT 1.13 REDWHEAT 0.31 ROBUSTA 1.63 RUSSELL 17.71 SILVER-mini 1.13 SOYBEAN 3.95 SOYMEAL 5.77 SOYOIL 0.74 SP400 0.75 SP500 0.76 SUGAR11 1.47 US10 3.34 US10U 9.84 US20 3.55 US30 2.81 US5 4.63 VIX 13.89 WHEAT 0.40 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.7 0.0 0 BITCOIN -11.3 -12.4 -10.1 -19.0 -19 BOBL 9.6 8.8 10.4 0.0 0 BTP 1.6 1.5 1.8 3.0 3 BUND 5.8 5.4 6.2 8.0 8 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 1.4 1.3 1.6 2.0 2 CAD 2.0 1.8 2.2 0.0 0 CANOLA 5.6 5.3 5.9 NaN 0 CHF -4.2 -4.4 -3.9 -2.0 -2 COCOA -2.9 -3.2 -2.6 -4.0 -4 COFFEE 0.3 0.2 0.3 1.0 1 COPPER 0.2 0.1 0.3 -1.0 -1 CORN 1.1 1.0 1.3 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 1.8 0.3 3.4 2.0 2 DOW 2.9 2.0 3.8 -3.0 -3 EUR -3.6 -3.9 -3.3 -4.0 -4 EUROSTX -0.3 -0.6 -0.0 0.0 0 FEEDCOW -1.1 -1.2 -0.9 0.0 0 FTSE100 4.9 4.3 5.5 0.0 0 GASOIL -0.9 -1.2 -0.7 -1.0 -1 GASOILINE -0.2 -0.3 -0.1 0.0 0 GAS_US -1.1 -1.2 -1.1 -2.0 -2 GBP 1.2 1.0 1.4 10.0 10 GOLD_micro -10.5 -11.1 -10.0 -12.0 -12 HEATOIL -0.8 -1.0 -0.7 -1.0 -1 JPY -5.2 -5.6 -4.7 -12.0 -12 LEANHOG -3.6 -3.9 -3.4 -7.0 -7 LIVECOW 1.3 1.1 1.5 0.0 0 MXP 4.3 4.0 4.6 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 52.3 48.5 56.0 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 13.2 11.4 14.9 0.0 0 SILVER-mini -1.3 -1.4 -1.2 0.0 0 SOYBEAN 1.4 1.0 1.8 0.0 0 SOYMEAL -1.6 -2.1 -1.0 -1.0 -1 SOYOIL 0.6 0.5 0.7 0.0 0 SP400 0.5 0.5 0.6 8.0 8 SP500 0.5 0.5 0.6 0.0 0 SUGAR11 0.4 0.2 0.5 1.0 1 US10 -1.5 -1.9 -1.2 NaN 0 US10U -11.3 -12.3 -10.3 -9.0 -9 US20 -3.4 -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 -27.8 -29.2 -26.4 -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 0.1 -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 1.5 2.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.2 0.1 -0.0 -0.2 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 -0.2 -0.1 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.2 -4.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.1 BOBL -0.1 0.1 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 -0.1 0.0 0.0 BTP 0.0 0.0 0.2 0.0 0.0 0.0 0.0 -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 2.5 0.2 0.3 0.1 0.1 BUND -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -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 0.0 -0.1 0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.2 0.2 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 -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 -0.2 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.3 -0.0 0.3 -0.0 0.2 0.1 0.2 0.1 0.1 0.0 0.2 -0.0 0.2 -0.0 -1.1 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 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 2.0 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 -0.1 -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 -0.1 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 0.5 0.2 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.1 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 0.2 -0.2 -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 -0.1 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 0.4 0.2 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.1 3.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.4 0.0 0.3 0.6 0.3 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 0.4 0.2 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -1.4 2.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -1.8 0.0 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 -2.1 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 0.7 2.1 -0.0 0.0 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 -0.1 0.1 -0.1 -0.1 -0.6 -0.4 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.9 -2.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.1 -0.3 -0.1 -0.0 EUROSTX -0.1 -0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.0 0.0 0.4 -0.0 0.4 -0.0 0.3 -0.4 0.1 -0.1 -0.0 0.1 0.2 -0.0 0.2 0.0 -1.7 -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 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.0 -0.0 -0.0 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 0.2 0.0 0.2 0.1 0.2 GAS_US 0.1 0.2 -0.3 -0.0 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 2.0 -1.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.2 -0.1 0.1 -0.0 GBP -0.1 -0.0 0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 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 0.0 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 -1.7 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.1 -0.1 -0.4 -0.2 0.1 HEATOIL 0.1 -0.1 -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 -0.0 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 -0.0 -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 1.2 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 0.1 -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 0.8 -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 -0.3 -0.2 -0.3 LIVECOW 0.2 0.1 0.0 -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 0.4 0.4 0.4 0.2 0.2 0.0 0.1 0.0 -3.3 -2.2 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 0.3 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 -1.4 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.6 0.3 0.5 0.3 0.3 NIKKEI 0.2 0.3 0.3 0.1 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 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.3 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.4 2.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.8 -0.0 -0.2 -0.1 -0.2 OAT -0.0 0.1 0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.0 0.0 0.9 0.5 0.2 0.3 -0.0 -0.1 0.0 -0.2 0.0 0.4 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 -0.3 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 -0.2 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 -0.2 0.1 0.0 REDWHEAT -0.1 -0.0 0.1 -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 0.5 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 -0.0 -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 0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.0 -0.3 0.0 -0.2 -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 0.3 0.3 -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 -1.5 -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 -0.0 -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 -0.2 -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 0.2 0.0 -0.3 SP400 0.1 -0.0 -0.3 0.1 0.0 0.1 0.1 0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.1 -0.1 -0.0 -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 0.0 -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 -0.8 -0.3 -0.2 -0.2 0.2 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 0.4 0.1 0.1 SUGAR11 -0.2 0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.3 -0.0 0.3 0.0 0.2 0.4 0.8 0.2 0.4 0.2 0.2 -0.0 0.2 -0.0 -3.3 -2.3 0.0 -0.0 0.1 -0.0 0.1 0.0 2.7 -0.0 0.0 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 0.0 -0.1 0.0 0.0 0.1 -0.0 -0.2 -0.0 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.5 -2.9 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.6 -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 0.0 -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 -0.2 -0.1 -0.1 US5 -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 -1.0 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 2.4 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -2.3 -0.0 -0.1 -0.1 0.0 VIX -0.2 -0.5 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 -0.3 -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 2.9 2.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -2.7 0.1 0.4 0.0 -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 -8.5 -5.6 -7.5 -0.8 0.7 1.5 -2.4 0.1 -3.4 12.7 -3.1 -4.0 -6.6 -7.6 -12.5 -3.7 -3.3 -3.7 -3.7 -8.7 -7.8 4.2 -7.7 -5.9 13.3 11.7 -3.7 10.0 -3.2 2.5 -3.5 -2.6 -0.8 12.2 2.9 -3.2 -16.8 BITCOIN -9.4 -10.0 20.0 0.7 4.4 2.1 1.8 1.7 -0.4 -3.2 10.0 -6.8 -6.5 -11.7 5.3 -4.7 -2.7 -4.2 -3.5 0.6 6.7 -5.5 1.4 -5.0 0.7 -18.1 -1.1 -3.7 2.6 -3.8 2.0 -3.6 -0.3 -13.4 -1.5 -12.9 5.4 BOBL -8.8 3.7 20.0 0.0 1.3 0.4 2.0 -2.6 0.0 3.4 -1.7 -0.6 -11.8 -2.3 4.1 4.3 7.1 6.8 6.1 -1.1 -4.9 0.5 -15.4 -1.0 8.0 10.8 0.6 -0.5 -0.3 0.4 -6.2 -0.3 10.7 -7.1 -4.4 2.8 1.1 BTP 2.6 2.7 10.2 0.0 1.3 0.4 2.0 -2.6 0.0 9.0 8.5 10.1 -7.3 6.1 7.5 9.6 11.8 9.8 10.6 5.2 2.7 14.8 -6.7 9.5 -10.6 11.4 3.9 5.9 3.3 8.0 -1.6 5.4 19.0 12.8 16.1 10.6 5.9 BUND -4.9 3.3 18.1 0.0 1.3 0.4 2.0 -2.6 0.0 4.7 -4.4 2.5 -12.7 -0.4 1.5 7.9 12.0 8.0 9.4 -1.3 -5.9 3.2 -16.6 0.7 5.1 12.3 0.5 0.2 -0.4 1.6 -5.5 0.5 17.9 -2.2 0.2 2.1 -0.1 BUXL -2.3 -0.3 9.9 0.0 1.3 0.4 2.0 -2.6 0.0 4.4 -11.5 1.9 -14.3 -3.3 -7.5 2.1 1.2 2.1 2.2 -6.2 -11.3 2.1 -20.0 -1.8 8.1 -10.8 -1.8 -0.5 -2.9 1.2 -7.2 -0.6 2.6 -1.8 -0.9 -2.6 -6.6 CAC -19.4 -12.0 -3.4 3.3 5.8 4.2 3.9 3.3 2.8 1.7 13.8 -6.6 13.5 -6.0 7.5 0.8 4.4 5.8 5.1 2.4 13.0 -7.4 16.9 -6.4 -10.2 8.9 0.6 -0.8 5.1 -4.4 6.8 -3.6 16.7 -20.0 -20.0 -3.2 2.6 CAD -1.8 2.0 6.5 -0.8 0.7 1.5 -2.4 0.1 -3.4 13.5 -0.7 5.1 -9.5 -0.4 3.6 -3.3 -2.3 -3.1 -2.8 0.7 -1.9 9.9 -7.0 3.2 14.4 10.4 1.4 10.3 -0.0 6.5 -3.3 2.6 0.8 18.5 17.3 5.6 -2.6 CANOLA -16.2 -6.4 -20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 -0.4 -14.4 -11.6 -14.4 -13.6 -14.9 20.0 20.0 20.0 20.0 -20.0 -20.0 -16.7 -18.1 -20.0 20.0 13.2 -6.5 0.2 -6.7 -3.4 -5.0 -5.5 20.0 -4.6 -20.0 -14.1 -20.0 CHF -20.0 -5.4 9.7 -0.8 0.7 1.5 -2.4 0.1 -3.4 -4.1 11.3 -12.6 9.1 -12.0 3.1 -16.9 -15.1 -16.0 -15.7 -1.7 7.2 -11.3 7.1 -11.1 -4.8 -11.5 -0.5 -2.4 3.0 -4.8 2.3 -4.6 -20.0 -8.6 -8.2 2.0 7.2 COCOA -1.1 5.4 20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 8.9 15.4 5.7 11.8 10.3 14.3 0.4 -1.0 0.4 0.2 18.6 20.0 7.4 18.1 11.5 -20.0 -10.4 6.3 1.9 7.7 2.4 6.5 4.0 -17.5 20.0 20.0 20.0 20.0 COFFEE -8.4 -2.4 11.1 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 -0.4 2.6 -6.4 -4.1 -8.8 -0.9 7.0 5.0 6.7 5.9 0.1 1.9 -4.7 -2.4 -5.4 -0.6 10.0 2.5 3.0 2.6 1.0 0.1 0.6 -7.5 15.9 20.0 20.0 20.0 COPPER -5.6 -20.0 -10.1 0.7 4.4 2.1 1.8 1.7 -0.4 13.9 -0.2 1.0 -4.1 -8.7 -11.2 -3.1 -1.1 -2.2 -1.7 -14.2 -8.0 4.8 -3.0 -8.9 5.0 11.1 -4.8 3.6 -3.2 1.4 -1.2 -2.8 2.4 11.9 -11.1 -20.0 -20.0 CORN 19.1 -5.1 -20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 12.1 -12.3 12.6 -8.9 -2.6 -9.4 -3.9 14.2 4.2 10.3 -10.8 -15.4 15.2 -9.2 2.9 20.0 11.0 -3.5 4.9 -5.7 5.7 -4.1 1.7 4.9 20.0 20.0 0.0 -20.0 COTTON2 10.6 8.8 5.2 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 13.1 0.8 8.7 -11.7 7.6 4.9 6.0 6.3 1.5 1.4 3.4 -2.8 10.5 -7.1 7.3 -4.4 12.0 2.6 8.4 -0.3 6.4 -0.8 4.9 -10.6 20.0 20.0 20.0 10.7 CRUDE_W 1.6 -9.7 -8.6 -3.2 3.1 -3.7 1.7 -1.2 -0.7 3.4 -4.6 1.9 -6.9 -7.6 -5.6 6.6 10.5 7.5 8.4 -6.8 -6.0 -0.5 -2.0 -4.9 -11.3 10.8 -1.4 4.8 -2.0 4.7 0.7 1.6 -13.6 8.5 2.1 6.6 6.1 DAX -9.3 -4.6 0.9 3.3 5.8 4.2 3.9 3.3 2.8 8.0 15.0 -1.4 12.4 0.0 10.5 -8.1 -6.7 -8.3 -8.1 6.8 13.4 1.1 13.5 1.5 -14.4 9.9 4.1 2.3 7.0 0.1 6.6 1.1 -3.7 -18.6 -7.4 5.3 4.8 DOW -4.3 -4.2 -3.3 3.3 5.8 4.2 3.9 3.3 2.8 7.6 5.1 5.2 3.5 -2.7 1.5 -8.7 -6.3 -8.4 -7.9 -1.4 0.1 6.4 0.7 0.0 5.7 10.8 -0.2 7.6 1.0 5.7 1.8 1.2 -3.2 13.0 -8.4 -9.5 -7.3 EUR -20.0 -13.3 6.2 -0.8 0.7 1.5 -2.4 0.1 -3.4 -11.7 10.4 -14.5 2.2 -14.5 -4.0 -8.2 -8.5 -7.8 -8.1 -8.3 2.5 -13.3 1.9 -15.9 -6.9 -11.1 -2.8 -3.0 0.9 -4.9 0.4 -5.7 -9.0 -7.2 -13.9 -9.3 -1.4 EUROSTX -10.6 -7.5 -1.3 3.3 5.8 4.2 3.9 3.3 2.8 4.5 15.1 -2.1 14.0 -0.7 10.9 -5.2 2.3 -3.0 -0.1 6.2 13.9 -1.3 15.9 0.1 -13.1 -8.5 3.7 0.5 7.3 -1.3 8.1 0.2 11.3 -17.8 -8.5 2.3 4.4 FEEDCOW 20.0 14.3 20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 14.1 15.4 15.9 12.9 16.3 16.1 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 20.0 20.0 -20.0 12.2 6.5 3.9 6.5 5.3 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 10.7 -10.1 -20.0 -3.2 3.1 -3.7 1.7 -1.2 -0.7 8.4 -13.1 8.5 -0.5 -5.1 -9.7 1.8 19.8 6.9 13.5 -12.3 -15.3 4.4 -4.7 -3.4 10.4 -15.4 -4.7 3.0 -6.0 1.8 -3.1 -1.4 0.2 3.4 -0.4 -4.6 -7.5 GASOILINE 8.6 -9.6 -5.2 -3.2 3.1 -3.7 1.7 -1.2 -0.7 2.9 2.8 3.9 -1.9 -1.7 -2.1 20.0 18.5 20.0 19.3 -1.6 -0.9 2.7 4.2 0.3 -20.0 -13.1 1.0 6.1 0.8 6.2 4.4 4.0 1.2 9.5 15.1 8.1 12.3 GAS_US 7.8 11.1 -20.0 -3.2 3.1 -3.7 1.7 -1.2 -0.7 -6.4 -16.5 -10.8 -15.5 -9.7 -13.9 -20.0 -18.9 -20.0 -20.0 -17.5 -20.0 -9.8 -20.0 -10.7 16.8 -9.3 -4.1 0.2 -6.6 -1.8 -5.2 -2.4 -20.0 -12.0 -6.4 10.0 -0.7 GBP -12.4 -0.8 13.0 -0.8 0.7 1.5 -2.4 0.1 -3.4 1.4 13.5 -4.5 2.2 -4.8 9.1 -2.1 -2.0 -2.0 -2.0 3.8 8.2 -0.4 2.6 -1.1 0.2 9.4 2.0 0.1 3.3 0.0 -1.3 -0.5 1.7 8.7 5.0 5.4 9.6 GOLD_micro -20.0 -9.5 12.0 0.7 4.4 2.1 1.8 1.7 -0.4 0.2 10.8 -10.6 5.6 -11.4 4.3 -13.7 -11.8 -13.1 -12.8 -1.3 8.8 -7.5 9.7 -9.5 -13.9 -13.8 -0.7 -1.7 3.6 -4.7 4.1 -4.9 -16.4 -20.0 -20.0 -12.1 9.4 HEATOIL 5.4 -9.0 -20.0 -3.2 3.1 -3.7 1.7 -1.2 -0.7 7.7 -13.1 4.9 -1.2 -7.5 -10.9 0.3 20.0 6.3 14.6 -13.9 -15.7 1.0 -4.8 -6.8 2.6 -13.6 -3.9 4.7 -4.9 4.0 -0.4 0.3 3.5 13.0 1.6 -3.0 -8.6 JPY -19.4 -20.0 -7.1 -0.8 0.7 1.5 -2.4 0.1 -3.4 -1.7 -3.5 -12.0 -8.7 -13.9 -14.3 -17.2 -14.6 -16.6 -15.9 -20.0 -14.5 -12.3 -13.8 -20.0 8.4 9.9 -5.2 -1.2 -3.1 -3.5 -3.6 -5.6 -20.0 -4.9 -11.8 -20.0 -19.8 LEANHOG 4.6 6.2 -19.6 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 13.3 -14.7 2.4 -13.7 -6.3 -12.9 9.4 -20.0 -20.0 -20.0 -20.0 -20.0 3.0 -17.4 -12.2 20.0 -11.1 -6.5 1.2 -6.5 -2.7 -4.9 -5.4 -20.0 6.4 -17.3 -18.2 -20.0 LIVECOW 20.0 5.2 3.2 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 14.1 14.9 15.8 12.9 16.0 15.1 20.0 10.8 20.0 20.0 20.0 15.4 20.0 10.5 20.0 -20.0 -10.0 5.5 9.7 4.0 10.5 3.3 8.4 18.4 20.0 20.0 20.0 20.0 MXP -4.1 6.3 6.7 -0.8 0.7 1.5 -2.4 0.1 -3.4 14.0 15.7 13.2 15.8 13.2 14.8 20.0 20.0 20.0 20.0 20.0 20.0 17.4 20.0 16.8 -20.0 9.7 6.2 6.8 7.4 6.0 7.9 5.6 20.0 20.0 20.0 20.0 20.0 NASDAQ 20.0 16.4 20.0 3.3 5.8 4.2 3.9 3.3 2.8 14.0 15.0 15.7 -0.8 16.2 16.5 -10.2 -7.0 -9.5 -8.6 20.0 20.0 20.0 9.5 20.0 -12.1 10.2 6.4 3.7 4.9 6.6 2.9 7.4 -4.3 20.0 20.0 20.0 20.0 NIKKEI 16.0 20.0 18.3 3.1 5.8 4.1 3.0 3.3 2.3 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 -15.3 -5.2 -2.4 -0.8 0.7 1.5 -2.4 0.1 -3.4 -1.0 3.8 -11.9 -1.9 -11.5 -11.0 0.8 0.8 0.9 0.8 -8.8 -4.3 -11.2 -4.0 -13.1 2.8 10.8 -3.3 -0.9 -1.3 -4.9 -1.5 -5.6 6.4 -20.0 -9.4 -7.3 -10.5 OAT -2.9 4.1 12.3 0.0 1.3 0.4 2.0 -2.6 0.0 6.8 -5.5 5.4 -12.6 1.9 1.8 11.2 12.4 11.5 11.9 -0.7 -5.4 5.9 -15.3 2.5 2.7 12.7 1.1 1.9 -0.2 3.3 -6.3 1.6 20.0 1.7 3.6 4.5 -0.8 OJ 10.2 -17.7 11.5 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 -11.9 13.7 7.4 14.9 8.4 11.9 20.0 20.0 20.0 20.0 18.8 20.0 5.5 20.0 14.9 -20.0 -14.3 5.6 -1.4 7.6 3.5 9.3 5.2 20.0 20.0 20.0 20.0 20.0 PALLAD -15.4 5.5 1.5 0.7 4.4 2.1 1.8 1.7 -0.4 1.1 -13.6 -11.0 -14.5 -11.4 -9.0 -2.3 -2.5 -2.7 -2.8 -11.2 -15.5 -12.0 -20.0 -13.7 20.0 -11.1 -1.9 0.1 -2.9 -3.1 -4.8 -3.6 0.3 -15.6 -6.5 3.7 -10.7 PLAT -17.2 -2.9 6.0 0.7 4.4 2.1 1.8 1.7 -0.4 8.9 5.2 -9.5 5.1 -8.9 2.2 -2.2 -1.7 -2.2 -2.1 -0.8 4.6 -6.0 4.7 -8.1 -4.2 11.2 0.3 2.8 2.4 -2.4 2.0 -3.1 1.5 -17.2 -8.7 8.6 2.8 REDWHEAT -5.4 -0.6 3.3 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 8.7 -6.7 -7.0 -12.1 -0.1 0.8 5.4 5.8 7.3 7.5 -3.6 -4.9 -3.0 -5.4 -4.9 3.7 12.9 -0.6 4.2 -2.1 3.1 -1.1 1.3 -5.3 20.0 20.0 13.7 5.3 ROBUSTA 2.2 8.1 20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 12.1 15.0 11.7 11.4 13.3 15.2 12.7 10.9 12.2 11.7 20.0 20.0 12.5 19.5 20.0 -20.0 9.6 6.6 2.3 6.4 3.2 4.4 4.8 2.5 20.0 20.0 20.0 20.0 RUSSELL 14.7 3.7 -8.1 3.3 5.8 4.2 3.9 3.3 2.8 11.6 -8.9 9.8 -10.2 6.9 -9.1 -6.0 -5.0 -6.0 -5.8 -0.8 -4.9 14.7 -6.4 6.8 17.1 10.0 0.1 12.8 -1.8 9.7 -1.5 5.0 -0.3 18.4 12.6 -4.9 -18.5 SILVER-mini -20.0 -11.8 11.0 0.7 4.4 2.1 1.8 1.7 -0.4 10.4 7.7 -7.6 3.6 -9.9 3.3 -6.5 -5.5 -6.3 -6.1 -3.6 5.7 -4.7 6.1 -10.3 -6.8 -11.3 -1.5 -0.1 1.2 -2.2 1.0 -3.8 -5.2 -9.7 -20.0 -13.5 -0.2 SOYBEAN -12.1 -20.0 -20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 8.9 -13.3 -7.6 -9.4 -12.5 -14.5 13.1 20.0 20.0 20.0 -20.0 -20.0 -9.0 -11.9 -20.0 14.4 -11.7 -5.7 2.5 -5.2 0.5 -2.4 -3.3 20.0 20.0 -9.9 -15.7 -20.0 SOYMEAL -19.6 -20.0 -20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 -9.9 -1.3 -13.5 5.4 -15.3 -15.3 20.0 20.0 20.0 20.0 -20.0 -10.2 -19.5 6.7 -20.0 -20.0 -12.0 -5.5 -1.2 -2.4 -2.8 2.0 -5.2 20.0 12.0 1.4 -7.5 -12.2 SOYOIL 0.3 -7.8 -20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 12.9 -14.6 -1.1 -10.7 -8.7 -13.3 5.0 10.7 4.8 6.2 -20.0 -20.0 5.6 -14.3 -10.4 19.5 12.9 -4.5 7.3 -6.1 5.3 -3.8 0.2 -2.5 20.0 11.1 2.6 -20.0 SP400 7.5 -2.5 -14.2 3.3 5.8 4.2 3.9 3.3 2.8 11.7 -3.8 7.4 -2.9 0.8 -9.6 -5.7 -4.8 -5.7 -5.5 -3.5 -4.2 11.1 -2.6 2.4 15.1 10.2 -2.5 11.5 -2.7 7.0 -0.8 1.5 0.3 15.7 0.4 -12.2 -20.0 SP500 8.9 5.4 10.1 3.3 5.8 4.2 3.9 3.3 2.8 13.6 13.6 14.6 -2.2 14.1 14.3 -10.0 -7.3 -9.3 -8.6 12.6 9.2 18.8 2.9 15.7 1.9 10.2 5.6 7.7 4.5 8.8 2.4 7.4 -4.4 20.0 17.1 8.2 7.8 SUGAR11 -20.0 5.9 20.0 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 -10.4 14.3 -13.6 13.8 1.9 11.4 5.3 20.0 11.4 19.8 19.7 20.0 -13.4 20.0 -1.4 -20.0 -10.5 4.6 -1.9 7.3 -2.4 6.9 0.0 20.0 -6.6 2.5 20.0 20.0 US10 -20.0 -5.9 20.0 0.0 1.3 0.4 2.0 -2.6 0.0 -3.2 3.7 -10.2 -9.6 -10.9 1.6 -10.2 -6.6 -10.3 -9.5 -7.2 -3.1 -10.3 -9.3 -12.7 -2.8 9.7 -2.5 -4.2 0.4 -6.5 -1.5 -6.4 -14.6 -20.0 -20.0 -10.4 1.6 US10U -17.1 -6.3 17.7 0.0 1.3 0.4 2.0 -2.6 0.0 0.6 3.8 -7.4 -9.8 -9.4 0.4 -3.0 -1.2 -4.5 -3.5 -6.9 -3.7 -6.7 -10.1 -10.3 -3.9 -14.1 -2.7 -3.8 0.4 -6.3 -1.1 -6.5 -4.6 -20.0 -20.0 -11.5 0.4 US20 -15.2 -8.5 14.1 0.0 1.3 0.4 2.0 -2.6 0.0 4.6 4.6 -4.5 -8.5 -8.2 -0.8 -1.4 -1.6 -1.9 -2.3 -7.7 -4.6 -2.8 -10.3 -9.0 -0.6 -12.3 -2.9 -1.8 -0.2 -3.9 -1.8 -5.4 -4.1 -19.7 -17.7 -12.1 -1.4 US30 -11.4 -8.7 9.1 0.0 1.3 0.4 2.0 -2.6 0.0 4.2 1.3 -4.1 -10.4 -9.2 -8.1 -0.9 -1.0 -1.4 -1.4 -9.0 -7.4 -1.8 -14.2 -8.3 -0.6 10.0 -3.5 -0.9 -0.9 -3.0 -2.5 -5.1 -2.6 -14.7 -12.8 -11.4 -5.2 US5 -20.0 -5.8 20.0 0.0 1.3 0.4 2.0 -2.6 0.0 -1.2 2.9 -9.9 -9.7 -10.8 1.4 -12.0 -7.5 -11.4 -10.5 -8.1 -3.1 -12.4 -9.3 -14.9 -1.4 10.8 -2.5 -3.9 0.1 -6.6 -2.1 -6.5 -16.2 -20.0 -20.0 -11.1 0.7 VIX -16.4 -8.9 4.1 -4.7 -10.6 -4.5 -9.1 -4.8 -6.6 -14.1 -15.9 -15.8 -15.1 -15.9 -15.8 -20.0 -20.0 -20.0 -20.0 -19.8 -18.0 -20.0 -18.3 -20.0 NaN -13.5 -5.8 -10.6 -5.5 -10.4 -6.3 -8.4 NaN NaN NaN NaN NaN WHEAT -1.8 -6.9 -9.9 -4.6 -0.4 -3.0 -3.9 -1.5 -5.3 13.6 -15.1 -3.5 -15.6 -10.8 -13.9 -12.5 -9.9 -12.4 -11.7 -18.3 -20.0 2.0 -20.0 -9.8 19.6 11.9 -4.7 5.0 -6.2 3.6 -4.6 -0.6 -20.0 20.0 19.9 0.6 -17.2 End of report for caleb_strategy_v1