******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230607_204645 produced at 2023-06-07 21:37:42.879549 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.48 0.0 4.400001e+07 -4.400001e+07 -0.40 -0.40 -10.98 999999999.0 -9 -9 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.22 0.0 5.090125e+07 -5.090125e+07 -0.10 -0.10 -4.40 999999999.0 -2 -2 caleb_strategy_v1 VIX False False 0.01 -0.12 -0.20 0.0 6.938241e+06 -6.938241e+06 -0.12 -0.12 -28.44 999999999.0 -18 -18 caleb_strategy_v1 JPY False False 0.03 -0.40 -0.18 0.0 3.306997e+07 -3.306997e+07 -0.40 -0.40 -5.46 999999999.0 -12 -12 caleb_strategy_v1 EUR False False 0.05 -0.20 -0.18 0.0 4.953210e+07 -4.953210e+07 -0.20 -0.20 -3.73 999999999.0 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.19 -0.15 0.0 4.683312e+07 -4.683312e+07 -0.19 -0.19 -3.27 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.11 0.0 3.985152e+07 -3.985152e+07 -0.12 -0.12 -2.69 999999999.0 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.08 0.0 7.246484e+06 -7.246484e+06 -0.09 -0.09 -10.89 999999999.0 -12 -13 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 4.190119e+07 -4.190119e+07 0.00 0.00 -1.58 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 5.294624e+07 -5.294624e+07 0.00 0.00 -0.94 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 0.00 -0.04 0.0 4.475165e+07 -4.475165e+07 0.00 0.00 -0.96 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.04 0.0 1.233712e+07 -1.233712e+07 -0.09 -0.09 -3.54 999999999.0 -7 -7 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.725647e+07 -3.725647e+07 -0.04 -0.04 -0.80 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.143422e+07 -1.143422e+07 -0.05 -0.05 -2.84 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.197110e+07 -2.197110e+07 0.00 0.00 -1.36 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.02 0.0 1.411331e+07 -1.411331e+07 -0.01 -0.01 -1.53 999999999.0 -1 -1 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.590277e+07 -2.590277e+07 -0.03 -0.03 -0.91 999999999.0 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.0 2.635051e+07 -2.635051e+07 0.00 0.00 -0.36 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.01 0.0 1.695576e+07 -1.695576e+07 0.00 0.00 -0.36 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.01 0.0 4.988595e+07 -4.988595e+07 -0.10 -0.10 -0.13 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 9.841201e+05 -9.841201e+05 -0.02 -0.02 -11.30 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.808484e+07 -3.808484e+07 0.00 0.00 -0.18 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 9.021563e+06 -9.021563e+06 -0.02 -0.02 -1.13 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 5.143549e+07 -5.143549e+07 0.00 0.00 -0.09 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 1.386260e+07 -1.386260e+07 0.00 0.00 -0.32 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.00 0.0 1.005442e+07 -1.005442e+07 0.01 0.01 0.37 999999999.0 1 1 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 1.453330e+07 -1.453330e+07 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.192915e+07 -1.192915e+07 -0.05 -0.05 -0.13 999999999.0 -4 -4 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 2.469829e+07 -2.469829e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 -0.03 0.01 0.0 3.472358e+07 -3.472358e+07 -0.03 -0.03 0.22 999999999.0 -1 -1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.883755e+06 -9.883755e+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 9.773668e+06 -9.773668e+06 0.05 0.05 1.11 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.896452e+07 -1.896452e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.539734e+07 -1.539734e+07 0.02 0.02 0.39 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.102126e+07 -1.102126e+07 0.00 0.00 0.64 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 6.307227e+06 -6.307227e+06 0.01 0.01 1.84 999999999.0 2 2 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.526907e+07 -2.526907e+07 0.03 0.03 0.26 999999999.0 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.566267e+06 -3.566267e+06 0.00 0.00 5.81 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.02 0.0 6.236646e+06 -6.236646e+06 -0.02 -0.02 3.51 999999999.0 -3 -3 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.234669e+07 -2.234669e+07 0.00 0.00 0.69 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.03 0.0 2.179070e+07 -2.179070e+07 0.00 0.00 1.52 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.03 0.0 2.566224e+07 -2.566224e+07 0.00 0.00 1.26 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.04 0.0 7.913295e+07 -7.913295e+07 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 2.845920e+07 -2.845920e+07 0.06 0.06 1.42 999999999.0 2 2 caleb_strategy_v1 GBP False False 0.03 0.29 0.04 0.0 2.877751e+07 -2.877751e+07 0.29 0.29 1.28 999999999.0 10 10 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.05 0.0 3.510010e+06 -3.510010e+06 0.00 0.00 14.79 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.064234e+07 -1.064234e+07 0.00 0.00 4.46 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.76 0.06 0.0 9.514456e+07 -9.514456e+07 0.76 0.76 0.60 999999999.0 8 8 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.063808e+08 -1.063808e+08 0.00 0.00 0.57 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.767155e+07 -2.767155e+07 0.00 0.00 2.15 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.07 0.0 4.537741e+07 -4.537741e+07 0.14 0.14 1.52 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.044043e+07 -5.044043e+07 0.00 0.00 1.78 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 4.98 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.42 0.30 0.0 5.298972e+07 -5.298972e+07 0.42 0.42 5.74 999999999.0 8 8 caleb_strategy_v1 BOBL False False 0.05 0.00 0.39 0.0 4.601375e+07 -4.601375e+07 0.00 0.00 8.58 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 53.09 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 19.6 Shocked risk 53.2 Sum abs risk 53.5 Leverage 4.09 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2702414.17, 'annual_cash_vol_target': 675603.5425, 'daily_cash_vol_target': 42225.22140625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6674 0.6708 10.7333 BITCOIN 885.9960 26595.0000 3.3314 53.3030 BOBL 0.3430 116.4200 0.2947 4.7146 BTP 0.6836 114.8100 0.5954 9.5266 BUND 0.6732 134.0700 0.5021 8.0343 BUXL 1.5554 133.9600 1.1611 18.5776 CAC 62.3896 7200.5000 0.8665 13.8634 CAD 0.0032 0.7478 0.4331 6.9292 CANOLA 8.9541 646.1000 1.3859 22.1739 CHF 0.0048 1.1004 0.4330 6.9282 COCOA 30.1217 3090.0000 0.9748 15.5970 COFFEE 3.1205 182.1000 1.7136 27.4183 COPPER 0.0473 3.7535 1.2614 20.1824 CORN 7.1838 528.2500 1.3599 21.7589 COTTON2 1.4982 83.2200 1.8003 28.8041 CRUDE_W 1.3336 71.2100 1.8728 29.9647 DAX 134.5365 15958.0000 0.8431 13.4891 DOW 251.6735 33708.0000 0.7466 11.9461 EUR 0.0047 1.0708 0.4391 7.0253 EUROSTX 40.2835 4290.0000 0.9390 15.0241 FEEDCOW 1.7180 241.8750 0.7103 11.3648 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.3554 700.0000 1.9079 30.5266 GASOILINE 0.0433 2.4505 1.7667 28.2678 GAS_US 0.0958 2.4380 3.9294 62.8702 GBP 0.0061 1.2443 0.4919 7.8707 GOLD_micro 15.9246 1958.3000 0.8132 13.0109 HEATOIL 0.0418 2.3972 1.7420 27.8717 JPY 0.0000 0.0071 0.6119 9.7907 LEANHOG 1.6720 83.3500 2.0060 32.0964 LIVECOW 1.3237 173.3750 0.7635 12.2162 MXP 0.0004 0.0575 0.6146 9.8332 NASDAQ 132.6973 14374.2500 0.9232 14.7706 NIKKEI 291.3725 32115.0000 0.9073 14.5165 NZD 0.0045 0.6039 0.7521 12.0329 OAT 0.6570 127.6200 0.5148 8.2372 OJ 5.2274 249.7500 2.0930 33.4886 PALLAD 29.7479 1390.0000 2.1401 34.2422 PLAT 17.4508 1025.0000 1.7025 27.2402 REDWHEAT 15.3317 785.5000 1.9518 31.2295 ROBUSTA 33.6380 2671.0000 1.2594 20.1501 RUSSELL 24.6446 1897.1000 1.2991 20.7851 SILVER-mini 0.3245 23.7500 1.3662 21.8596 SOYBEAN 12.2308 1177.7500 1.0385 16.6158 SOYMEAL 4.1631 381.4000 1.0915 17.4645 SOYOIL 0.8463 49.6400 1.7048 27.2767 SP400 28.9972 2571.2000 1.1278 18.0443 SP500 30.8053 4277.0000 0.7203 11.5241 SUGAR11 0.3336 24.2600 1.3752 22.0030 US10 0.4892 113.2344 0.4320 6.9120 US10U 0.6460 118.9062 0.5433 8.6921 US20 0.9127 126.5625 0.7211 11.5379 US30 1.3111 134.8125 0.9725 15.5603 US5 0.3412 107.6953 0.3168 5.0687 VIX 0.5596 18.7500 2.9844 47.7496 WHEAT 11.1050 644.7500 1.7224 27.5581 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.45 0.67 447.74 1.00 447.74 42225.22 94.31 3.41 32.16 BITCOIN 26.60 3.33 88.60 1.00 88.60 42225.22 476.58 -10.06 -479.64 BOBL 1164.20 0.29 343.05 1.07 367.85 42225.22 114.79 10.36 118.94 BTP 1148.10 0.60 683.59 1.07 733.02 42225.22 57.60 13.09 75.42 BUND 1340.70 0.50 673.22 1.07 721.90 42225.22 58.49 13.60 79.56 BUXL 1339.60 1.16 1555.41 1.07 1667.86 42225.22 25.32 -4.41 -11.17 CAC 720.05 0.87 623.90 1.07 669.00 42225.22 63.12 8.00 50.49 CAD 747.80 0.43 323.85 1.00 323.85 42225.22 130.38 9.25 120.54 CANOLA 129.22 1.39 179.08 0.75 133.52 42225.22 316.24 20.00 632.48 CHF 1375.56 0.43 595.64 1.00 595.64 42225.22 70.89 -16.60 -117.66 COCOA 309.00 0.97 301.22 1.00 301.22 42225.22 140.18 -9.30 -130.32 COFFEE 682.88 1.71 1170.21 1.00 1170.21 42225.22 36.08 5.48 19.76 COPPER 938.38 1.26 1183.67 1.00 1183.67 42225.22 35.67 2.22 7.92 CORN 264.12 1.36 359.19 1.00 359.19 42225.22 117.56 10.44 122.74 COTTON2 416.10 1.80 749.09 1.00 749.09 42225.22 56.37 4.57 25.75 CRUDE_W 712.10 1.87 1333.62 1.00 1333.62 42225.22 31.66 -0.87 -2.74 DAX 159.58 0.84 134.54 1.07 144.26 42225.22 292.70 1.16 33.86 DOW 168.54 0.75 125.84 1.00 125.84 42225.22 335.56 3.68 123.33 EUR 1338.56 0.44 587.74 1.00 587.74 42225.22 71.84 -13.89 -99.77 EUROSTX 429.00 0.94 402.83 1.07 431.96 42225.22 97.75 -1.31 -12.84 FEEDCOW 1209.38 0.71 859.02 1.00 859.02 42225.22 49.16 -7.27 -35.76 FTSE100 707.00 0.82 576.59 1.24 666.67 42225.22 63.34 7.63 48.33 GASOIL 700.00 1.91 1335.54 1.00 1335.54 42225.22 31.62 -4.06 -12.82 GASOILINE 1029.21 1.77 1818.35 1.00 1818.35 42225.22 23.22 -1.92 -4.47 GAS_US 243.80 3.93 957.98 1.00 957.98 42225.22 44.08 -16.98 -74.84 GBP 777.69 0.49 382.56 1.00 382.56 42225.22 110.38 6.49 71.63 GOLD_micro 195.83 0.81 159.25 1.00 159.25 42225.22 265.16 -18.35 -486.62 HEATOIL 1006.82 1.74 1753.87 1.00 1753.87 42225.22 24.08 -4.68 -11.26 JPY 893.69 0.61 546.86 1.00 546.86 42225.22 77.21 -10.92 -84.28 LEANHOG 333.40 2.01 668.81 1.00 668.81 42225.22 63.14 -11.99 -75.67 LIVECOW 693.50 0.76 529.49 1.00 529.49 42225.22 79.75 5.86 46.71 MXP 287.60 0.61 176.75 1.00 176.75 42225.22 238.90 15.24 364.13 NASDAQ 2874.85 0.92 2653.95 1.00 2653.95 42225.22 15.91 6.54 10.41 NIKKEI 32115.00 0.91 29137.25 0.01 209.79 42225.22 201.27 13.89 279.50 NZD 603.90 0.75 454.17 1.00 454.17 42225.22 92.97 4.64 43.10 OAT 1276.20 0.51 657.02 1.07 704.53 42225.22 59.93 14.68 87.98 OJ 374.62 2.09 784.10 1.00 784.10 42225.22 53.85 -3.43 -18.47 PALLAD 1390.00 2.14 2974.79 1.00 2974.79 42225.22 14.19 -2.72 -3.87 PLAT 512.50 1.70 872.54 1.00 872.54 42225.22 48.39 4.39 21.24 REDWHEAT 392.75 1.95 766.59 1.00 766.59 42225.22 55.08 6.48 35.71 ROBUSTA 267.10 1.26 336.38 1.00 336.38 42225.22 125.53 8.50 106.73 RUSSELL 94.86 1.30 123.22 1.00 123.22 42225.22 342.67 8.33 285.49 SILVER-mini 593.75 1.37 811.19 1.00 811.19 42225.22 52.05 -11.64 -60.60 SOYBEAN 588.88 1.04 611.54 1.00 611.54 42225.22 69.05 3.72 25.71 SOYMEAL 381.40 1.09 416.31 1.00 416.31 42225.22 101.43 -2.56 -25.92 SOYOIL 297.84 1.70 507.76 1.00 507.76 42225.22 83.16 8.45 70.26 SP400 2571.20 1.13 2899.72 1.00 2899.72 42225.22 14.56 7.99 11.63 SP500 2138.50 0.72 1540.27 1.00 1540.27 42225.22 27.41 6.99 19.17 SUGAR11 271.71 1.38 373.65 1.00 373.65 42225.22 113.01 2.40 27.08 US10 1132.34 0.43 489.17 1.00 489.17 42225.22 86.32 -4.77 -41.14 US10U 1189.06 0.54 645.97 1.00 645.97 42225.22 65.37 -11.52 -75.33 US20 1265.62 0.72 912.66 1.00 912.66 42225.22 46.27 -9.58 -44.33 US30 1348.12 0.97 1311.07 1.00 1311.07 42225.22 32.21 -0.50 -1.60 US5 1076.95 0.32 341.17 1.00 341.17 42225.22 123.77 -5.66 -70.00 VIX 187.50 2.98 559.57 1.00 559.57 42225.22 75.46 -20.00 -150.92 WHEAT 322.38 1.72 555.25 1.00 555.25 42225.22 76.05 -3.29 -25.04 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 32.163 0.006 2.5 0.514 BITCOIN -479.635 0.009 2.5 -11.301 BOBL 118.943 0.029 2.5 8.583 BTP 75.417 0.008 2.5 1.523 BUND 79.561 0.029 2.5 5.741 BUXL -11.167 0.034 2.5 -0.937 CAC 50.491 0.011 2.5 1.419 CAD 120.541 0.007 2.5 2.152 CANOLA 632.476 0.004 2.5 5.806 CHF -117.656 0.015 2.5 -4.403 COCOA -130.322 0.009 2.5 -2.839 COFFEE 19.760 0.005 2.5 0.256 COPPER 7.924 0.011 2.5 0.217 CORN 122.744 0.004 2.5 1.107 COTTON2 25.747 0.006 2.5 0.388 CRUDE_W -2.743 0.053 2.5 -0.362 DAX 33.859 0.022 2.5 1.839 DOW 123.331 0.011 2.5 3.515 EUR -99.768 0.015 2.5 -3.734 EUROSTX -12.837 0.011 2.5 -0.361 FEEDCOW -35.757 0.011 2.5 -0.961 FTSE100 48.330 0.041 2.5 4.982 GASOIL -12.823 0.029 2.5 -0.915 GASOILINE -4.468 0.016 2.5 -0.183 GAS_US -74.836 0.006 2.5 -1.127 GBP 71.634 0.007 2.5 1.279 GOLD_micro -486.622 0.009 2.5 -10.888 HEATOIL -11.256 0.029 2.5 -0.803 JPY -84.279 0.026 2.5 -5.455 LEANHOG -75.673 0.019 2.5 -3.535 LIVECOW 46.705 0.011 2.5 1.255 MXP 364.126 0.005 2.5 4.458 NASDAQ 10.410 0.022 2.5 0.565 NIKKEI 279.500 0.076 2.5 53.086 NZD 43.103 0.006 2.5 0.689 OAT 87.981 0.008 2.5 1.777 OJ -18.470 0.007 2.5 -0.322 PALLAD -3.867 0.010 2.5 -0.093 PLAT 21.243 0.010 2.5 0.511 REDWHEAT 35.706 0.002 2.5 0.191 ROBUSTA 106.728 0.005 2.5 1.384 RUSSELL 285.489 0.021 2.5 14.787 SILVER-mini -60.603 0.009 2.5 -1.356 SOYBEAN 25.715 0.024 2.5 1.516 SOYMEAL -25.923 0.024 2.5 -1.528 SOYOIL 70.260 0.004 2.5 0.645 SP400 11.632 0.021 2.5 0.602 SP500 19.169 0.011 2.5 0.546 SUGAR11 27.081 0.005 2.5 0.367 US10 -41.138 0.015 2.5 -1.578 US10U -75.331 0.058 2.5 -10.976 US20 -44.326 0.029 2.5 -3.267 US30 -1.599 0.034 2.5 -0.134 US5 -70.001 0.015 2.5 -2.686 VIX -150.921 0.075 2.5 -28.441 WHEAT -25.036 0.002 2.5 -0.134 ==================== Position diags ==================== AUD 1.51 BITCOIN 11.23 BOBL 8.28 BTP 1.16 BUND 4.22 BUXL 2.13 CAC 1.77 CAD 2.33 CANOLA 2.90 CHF 2.65 COCOA 3.05 COFFEE 0.47 COPPER 0.97 CORN 1.06 COTTON2 0.85 CRUDE_W 4.18 DAX 15.90 DOW 9.56 EUR 2.69 EUROSTX 2.75 FEEDCOW 1.32 FTSE100 6.53 GASOIL 2.26 GASOILINE 0.95 GAS_US 0.66 GBP 1.97 GOLD_micro 5.93 HEATOIL 1.72 JPY 5.00 LEANHOG 2.95 LIVECOW 2.14 MXP 2.92 NASDAQ 0.86 NIKKEI 38.23 NZD 1.49 OAT 1.21 OJ 0.94 PALLAD 0.34 PLAT 1.16 REDWHEAT 0.29 ROBUSTA 1.63 RUSSELL 17.75 SILVER-mini 1.16 SOYBEAN 4.07 SOYMEAL 5.98 SOYOIL 0.76 SP400 0.75 SP500 0.78 SUGAR11 1.53 US10 3.31 US10U 9.52 US20 3.41 US30 2.70 US5 4.75 VIX 14.22 WHEAT 0.41 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 -10.2 -19.0 -19 BOBL 8.6 7.8 9.4 0.0 0 BTP 1.5 1.4 1.6 3.0 3 BUND 5.7 5.3 6.2 8.0 8 BUXL -0.9 -1.1 -0.7 0.0 0 CAC 1.4 1.2 1.6 2.0 2 CAD 2.2 1.9 2.4 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -4.4 -4.7 -4.1 -2.0 -2 COCOA -2.8 -3.1 -2.5 -4.0 -4 COFFEE 0.3 0.2 0.3 1.0 1 COPPER 0.2 0.1 0.3 -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 -0.4 -0.8 0.1 0.0 0 DAX 1.8 0.2 3.4 2.0 2 DOW 3.5 2.6 4.5 -3.0 -3 EUR -3.7 -4.0 -3.5 -4.0 -4 EUROSTX -0.4 -0.6 -0.1 0.0 0 FEEDCOW -1.0 -1.1 -0.8 0.0 0 FTSE100 5.0 4.3 5.6 0.0 0 GASOIL -0.9 -1.1 -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 1.3 1.1 1.5 10.0 10 GOLD_micro -10.9 -11.5 -10.3 -12.0 -12 HEATOIL -0.8 -1.0 -0.6 -1.0 -1 JPY -5.5 -6.0 -5.0 -12.0 -12 LEANHOG -3.5 -3.8 -3.2 -7.0 -7 LIVECOW 1.3 1.0 1.5 0.0 0 MXP 4.5 4.2 4.8 0.0 0 NASDAQ 0.6 0.5 0.7 0.0 0 NIKKEI 53.1 49.3 56.9 0.0 0 NZD 0.7 0.5 0.8 0.0 0 OAT 1.8 1.7 1.9 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.1 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 14.8 13.0 16.6 0.0 0 SILVER-mini -1.4 -1.5 -1.2 0.0 0 SOYBEAN 1.5 1.1 1.9 0.0 0 SOYMEAL -1.5 -2.1 -0.9 -1.0 -1 SOYOIL 0.6 0.6 0.7 0.0 0 SP400 0.6 0.5 0.7 8.0 8 SP500 0.5 0.5 0.6 0.0 0 SUGAR11 0.4 0.2 0.5 1.0 1 US10 -1.6 -1.9 -1.2 NaN 0 US10U -11.0 -11.9 -10.0 -9.0 -9 US20 -3.3 -3.6 -2.9 -4.0 -4 US30 -0.1 -0.4 0.1 -2.0 -2 US5 -2.7 -3.2 -2.2 -3.0 -3 VIX -28.4 -29.9 -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 0.1 -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 0.0 0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.2 -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 -0.0 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 1.3 -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 0.1 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 0.7 2.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.4 -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 0.1 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 0.3 -0.0 -0.0 -0.0 -0.1 CAC -0.2 -0.2 -0.1 0.1 0.0 0.1 0.1 0.1 0.0 0.0 0.3 -0.0 0.3 -0.0 0.2 0.0 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 -0.1 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 -0.0 0.0 -0.0 -0.0 0.3 -0.0 0.2 -0.1 0.1 -1.2 -0.6 -0.3 -0.3 -0.0 0.1 -0.0 0.1 -0.0 -0.6 -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 -0.3 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -1.0 0.1 0.4 0.3 0.3 COPPER -0.0 -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 -0.1 -0.3 -0.3 CORN 0.2 -0.0 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -0.2 -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 0.6 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 -0.1 -0.0 0.0 -0.1 0.1 -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 0.1 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 -0.2 0.1 0.1 DOW -0.0 -0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 -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 0.3 -0.1 -0.1 -0.1 EUR -0.2 -0.2 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.3 -0.1 0.1 -0.1 -0.1 -0.6 -0.4 -0.2 -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 -0.2 -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 0.1 0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.3 0.0 0.3 0.1 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 0.2 -0.1 -0.3 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.0 -0.0 -0.2 0.2 0.8 0.1 0.3 -0.1 -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 0.1 -0.0 -0.1 -0.1 GASOILINE 0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 0.1 0.0 -0.1 -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 0.3 0.0 0.3 0.1 0.2 GAS_US 0.1 0.2 -0.3 -0.0 0.0 -0.1 0.1 -0.0 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 2.0 -1.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.1 -0.1 0.2 -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 0.0 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 -0.1 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 -0.0 0.0 -0.1 0.1 -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 0.3 -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 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.4 -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 1.1 -0.8 -0.4 -0.4 -0.2 -0.2 0.0 -0.2 -0.0 3.0 -2.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.0 -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 0.5 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 2.6 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 0.1 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 0.0 0.1 0.1 0.1 0.0 0.0 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 -0.1 -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 0.0 0.1 -0.0 OJ 0.0 -0.4 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 0.0 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 -0.2 0.0 -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 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.6 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 0.0 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 2.1 2.0 0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.3 0.4 -0.0 -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 -0.1 0.1 -0.0 0.1 -0.0 -1.4 -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 1.0 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.2 -0.0 2.1 -2.5 -0.1 0.0 -0.1 0.0 -0.0 -0.0 2.7 0.0 -0.1 -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 0.1 -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 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.3 0.1 0.3 0.1 -0.3 SP400 0.1 -0.0 -0.2 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 -0.0 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 -0.1 -0.3 SP500 0.1 0.1 0.2 0.1 0.0 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 -0.6 0.3 0.3 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 -0.3 -0.0 -0.0 -0.2 -0.0 -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 -0.0 -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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 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============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -8.6 -5.6 -7.6 -0.8 0.8 1.5 -2.3 0.1 -3.4 12.7 -3.1 -4.1 -6.6 -7.7 -12.5 -3.7 -3.3 -3.7 -3.7 -8.8 -7.8 4.0 -7.8 -6.0 13.3 11.7 -3.7 9.8 -3.2 2.4 -3.6 -2.7 -0.8 11.8 2.7 -3.3 -16.8 BITCOIN -8.7 -10.4 19.1 0.6 1.4 2.1 1.1 1.7 -0.4 -2.1 9.9 -4.8 -6.5 -11.3 5.1 -4.7 -2.7 -4.3 -3.5 0.4 6.5 -4.8 1.4 -4.8 0.8 -18.1 -1.2 -2.7 2.5 -3.3 2.0 -3.6 -0.3 -13.6 1.0 -12.3 3.9 BOBL -9.7 3.8 20.0 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -2.5 -1.8 -3.4 -11.8 -3.8 3.6 -0.4 6.5 5.0 5.1 -1.9 -5.2 -4.7 -15.5 -3.1 8.2 10.8 0.1 -5.4 -0.5 -2.3 -6.2 -1.3 9.4 -7.7 -4.8 2.9 0.9 BTP 1.5 2.8 11.0 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 2.0 8.3 5.8 -7.2 4.4 7.1 9.4 11.8 9.7 10.6 4.4 2.4 6.0 -6.4 6.5 -10.3 11.4 3.7 -3.5 3.4 3.5 -1.6 4.1 18.8 8.7 15.1 10.7 5.5 BUND -5.6 3.5 19.1 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -1.9 -4.5 -1.0 -12.7 -2.0 1.1 7.9 12.0 8.0 9.4 -2.1 -6.1 -2.9 -16.6 -1.6 5.3 12.3 0.1 -5.4 -0.5 -1.5 -5.5 -0.7 17.8 -4.7 -0.4 2.1 -0.4 BUXL -2.4 -0.2 9.8 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -2.4 -11.7 -1.9 -14.3 -4.8 -8.0 2.2 1.2 2.1 2.3 -7.0 -11.6 -3.5 -20.0 -3.9 8.3 -10.8 -2.2 -6.1 -3.1 -2.1 -7.4 -1.8 2.6 -4.7 -0.5 -2.5 -6.8 CAC -20.0 -13.6 -3.8 3.4 3.5 4.3 3.5 3.4 2.9 0.7 13.6 -6.9 13.4 -6.4 7.1 0.5 4.3 5.4 4.9 1.9 12.8 -7.5 17.2 -6.8 -9.8 8.9 0.3 -1.8 4.9 -4.4 6.8 -3.8 16.5 -19.7 -20.0 -3.8 1.7 CAD -0.4 2.8 7.3 -0.8 1.5 1.5 -1.6 0.1 -3.1 13.9 -0.3 8.7 -9.4 1.8 4.5 -3.3 -2.3 -3.1 -2.8 1.7 -1.6 12.4 -6.9 5.2 14.0 10.4 1.9 10.6 0.2 7.7 -3.1 3.7 0.8 20.0 18.2 6.7 -2.1 CANOLA -16.6 -6.4 -20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 2.2 -14.4 -10.2 -14.5 -12.9 -14.8 20.0 20.0 20.0 20.0 -20.0 -20.0 -12.9 -18.7 -20.0 20.0 13.2 -6.5 0.7 -6.8 -2.6 -5.1 -5.1 20.0 1.7 -19.8 -12.6 -20.0 CHF -20.0 -7.1 9.7 -0.8 1.5 1.5 -1.6 0.1 -3.1 -10.6 11.1 -13.7 9.1 -12.9 2.6 -17.0 -15.1 -16.1 -15.7 -2.5 6.8 -12.4 7.0 -11.9 -4.7 -11.5 -0.9 -3.9 2.8 -5.3 2.2 -4.9 -20.0 -13.8 -9.1 -0.3 6.7 COCOA -1.3 4.3 20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 12.5 15.5 9.3 12.0 11.6 14.6 0.5 -1.0 0.4 0.2 18.7 20.0 11.3 17.9 12.9 -20.0 -10.4 6.4 5.0 7.7 3.9 6.4 4.6 -17.5 20.0 20.0 20.0 20.0 COFFEE -8.3 -3.1 11.2 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 8.7 2.7 -4.9 -4.1 -8.8 -1.1 7.0 5.0 6.7 5.9 0.1 1.8 -2.3 -2.4 -4.5 -1.6 10.0 2.6 4.5 2.6 2.0 0.2 1.1 -7.6 19.8 20.0 20.0 20.0 COPPER -3.0 -20.0 -10.4 0.6 1.4 2.1 1.1 1.7 -0.4 12.6 -0.3 5.3 -4.2 -8.1 -10.8 -3.0 -1.2 -2.2 -1.7 -13.8 -8.1 4.8 -3.1 -7.7 5.2 11.1 -4.7 2.4 -3.3 1.3 -1.3 -2.5 2.4 14.9 -6.6 -20.0 -20.0 CORN 20.0 -2.5 -18.4 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 3.9 -12.1 10.5 -9.0 -2.7 -9.1 -4.2 14.0 3.8 10.0 -9.8 -14.4 9.1 -8.7 2.0 20.0 11.0 -3.4 1.2 -5.8 4.2 -4.3 1.6 4.5 20.0 20.0 2.3 -20.0 COTTON2 10.0 8.3 4.6 -4.6 -0.5 -3.0 -4.0 -1.5 -5.3 13.1 0.7 6.6 -11.8 6.5 4.4 5.9 6.3 1.5 1.4 3.0 -3.0 7.7 -7.4 6.2 -4.3 12.0 2.4 4.8 -0.4 4.7 -0.9 4.3 -10.6 20.0 20.0 20.0 10.5 CRUDE_W 3.1 -9.9 -8.6 -3.0 4.1 -3.7 2.5 -1.3 -0.2 8.7 -4.7 3.7 -7.0 -7.1 -5.5 6.6 10.5 7.5 8.4 -6.4 -6.0 1.6 -2.0 -3.7 -11.3 10.8 -1.0 5.6 -1.8 5.2 0.7 2.2 -13.4 8.8 2.8 5.8 6.1 DAX -9.5 -5.3 0.5 3.4 3.5 4.3 3.5 3.4 2.9 6.0 14.9 -1.9 12.4 -0.6 10.3 -8.1 -6.7 -8.3 -8.1 6.6 13.4 -0.1 13.7 1.1 -14.1 9.9 4.0 0.0 7.1 -0.5 6.8 0.8 -3.7 -11.5 -8.3 4.9 4.4 DOW -1.6 -4.4 -2.4 3.4 3.5 4.3 3.5 3.4 2.9 10.1 5.0 8.0 3.6 -1.1 2.3 -8.7 -6.4 -8.5 -7.9 -0.7 0.3 8.3 0.8 1.7 5.8 10.8 0.4 7.8 1.2 6.5 1.8 2.3 -3.3 17.7 -6.2 -8.5 -6.7 EUR -20.0 -14.6 6.1 -0.8 1.5 1.5 -1.6 0.1 -3.1 -11.1 10.2 -14.6 2.2 -14.8 -4.6 -8.3 -8.5 -7.9 -8.1 -8.8 2.0 -12.6 1.7 -15.8 -6.5 -11.1 -3.0 -2.4 0.8 -4.6 0.3 -5.7 -9.0 -11.1 -13.4 -10.8 -1.6 EUROSTX -11.0 -8.5 -1.6 3.4 3.5 4.3 3.5 3.4 2.9 3.0 15.0 -2.5 14.0 -1.3 10.7 -5.1 2.2 -3.0 -0.2 5.9 13.9 -2.0 16.1 -0.3 -12.8 -8.5 3.5 -1.0 7.2 -1.6 8.1 -0.0 11.1 -11.1 -8.8 1.9 3.9 FEEDCOW 16.3 3.9 20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 4.8 15.3 13.1 12.9 15.0 15.7 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 17.7 20.0 -20.0 12.2 6.4 -1.1 6.6 3.1 5.2 5.3 -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 12.0 -9.1 -20.0 -3.0 4.1 -3.7 2.5 -1.3 -0.2 12.0 -12.9 11.1 -0.7 -4.3 -9.3 1.9 19.7 6.8 13.4 -11.6 -15.2 6.6 -4.8 -1.8 10.5 -15.4 -4.5 4.1 -6.0 2.7 -3.1 -0.7 0.2 4.1 -1.7 -4.0 -7.2 GASOILINE 9.9 -9.0 -4.7 -3.0 4.1 -3.7 2.5 -1.3 -0.2 9.7 2.9 6.8 -2.1 -0.7 -1.6 20.0 18.7 20.0 19.7 -0.8 -0.6 6.6 4.2 2.2 -20.0 -13.1 1.5 8.0 1.0 7.3 4.3 4.8 2.0 13.7 16.3 8.2 12.6 GAS_US 7.3 11.1 -20.0 -3.0 4.1 -3.7 2.5 -1.3 -0.2 -0.4 -16.5 -9.3 -15.5 -9.2 -13.8 -20.0 -19.0 -20.0 -20.0 -17.2 -20.0 -6.5 -20.0 -9.6 16.5 -9.3 -3.9 2.0 -6.5 -0.6 -5.3 -1.9 -20.0 -8.7 -4.0 11.7 -0.6 GBP -11.7 -1.4 13.2 -0.8 1.5 1.5 -1.6 0.1 -3.1 1.5 13.4 -2.7 2.3 -4.8 9.0 -2.1 -2.0 -2.0 -2.0 3.7 8.1 -0.5 2.7 -1.1 0.3 9.4 2.0 0.4 3.3 -0.0 -1.3 -0.4 1.7 6.1 4.6 5.1 9.9 GOLD_micro -20.0 -10.9 11.8 0.6 1.4 2.1 1.1 1.7 -0.4 -9.3 10.6 -12.4 5.6 -12.4 3.8 -13.8 -11.9 -13.2 -12.9 -2.1 8.1 -10.2 9.4 -10.6 -13.8 -13.8 -1.1 -4.5 3.2 -5.5 4.0 -5.3 -16.4 -20.0 -20.0 -13.2 9.0 HEATOIL 7.1 -8.3 -20.0 -3.0 4.1 -3.7 2.5 -1.3 -0.2 11.5 -13.0 7.7 -1.5 -6.7 -10.5 0.5 20.0 6.2 14.3 -13.0 -15.4 3.8 -4.9 -5.0 2.7 -13.6 -3.5 5.7 -4.8 4.7 -0.4 1.0 3.5 14.7 2.0 -2.3 -8.2 JPY -19.0 -20.0 -7.8 -0.8 1.5 1.5 -1.6 0.1 -3.1 -6.2 -3.8 -12.7 -8.8 -14.2 -14.5 -17.3 -14.6 -16.7 -16.0 -20.0 -15.0 -13.0 -14.2 -20.0 8.5 9.9 -5.3 -2.2 -3.2 -3.6 -3.6 -5.6 -20.0 -9.7 -13.9 -20.0 -19.7 LEANHOG 4.6 5.1 -20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 11.8 -14.5 3.4 -13.7 -5.3 -12.4 13.6 -20.0 -20.0 -20.0 -20.0 -20.0 3.9 -17.9 -10.6 20.0 -11.1 -6.5 0.8 -6.6 -2.2 -5.1 -5.1 -20.0 7.5 -14.3 -16.0 -20.0 LIVECOW 20.0 4.2 3.1 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 10.4 14.8 14.3 12.9 15.3 15.0 20.0 11.1 20.0 20.0 20.0 15.3 20.0 10.3 20.0 -20.0 -10.0 5.5 5.5 4.1 8.7 3.3 8.0 19.0 20.0 20.0 20.0 20.0 MXP -3.5 6.5 7.9 -0.8 1.5 1.5 -1.6 0.1 -3.1 14.1 15.8 14.1 15.8 13.8 15.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 18.9 -20.0 9.7 6.3 7.1 7.2 6.6 7.7 6.0 20.0 20.0 20.0 20.0 20.0 NASDAQ 19.3 14.3 20.0 3.4 3.5 4.3 3.5 3.4 2.9 7.3 15.0 13.8 -0.6 15.5 16.3 -10.2 -7.1 -9.5 -8.6 20.0 20.0 20.0 9.3 20.0 -12.7 10.2 6.4 0.7 5.0 4.9 3.0 6.8 -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 -15.9 -5.4 -2.3 -0.8 1.5 1.5 -1.6 0.1 -3.1 -3.3 3.3 -12.5 -2.0 -12.1 -11.3 0.7 0.8 0.9 0.8 -9.3 -4.7 -11.7 -4.2 -13.4 2.9 10.8 -3.5 -2.8 -1.4 -5.1 -1.5 -5.6 6.4 -17.9 -13.1 -7.0 -10.6 OAT -3.7 4.4 13.4 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -0.9 -5.6 1.1 -12.6 0.0 1.3 10.7 12.3 11.3 11.8 -1.5 -5.6 -1.4 -15.2 -0.2 3.0 12.7 0.6 -6.1 -0.3 -0.9 -6.3 0.1 20.0 -2.2 2.3 4.4 -1.1 OJ 8.3 -20.0 10.7 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 -13.3 13.5 4.6 14.8 6.7 11.2 20.0 20.0 20.0 20.0 17.1 20.0 -2.6 20.0 10.5 -20.0 -14.3 5.5 -4.2 7.7 1.4 9.6 4.3 20.0 4.1 20.0 20.0 20.0 PALLAD -16.0 1.5 1.6 0.6 1.4 2.1 1.1 1.7 -0.4 -2.4 -13.8 -11.3 -14.6 -11.8 -9.5 -2.6 -2.5 -2.8 -2.8 -11.9 -16.0 -12.7 -20.0 -14.3 20.0 -11.1 -2.2 -2.1 -3.0 -3.6 -4.9 -3.9 0.3 -15.9 -11.2 3.0 -10.5 PLAT -17.1 -2.9 6.1 0.6 1.4 2.1 1.1 1.7 -0.4 5.8 4.9 -9.0 5.1 -9.2 2.0 -2.2 -1.7 -2.3 -2.1 -1.2 4.4 -6.1 4.7 -7.9 -3.9 11.2 0.1 0.4 2.4 -2.4 2.0 -3.1 1.6 -15.9 -11.4 8.2 3.1 REDWHEAT -8.8 -0.0 3.7 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 -3.7 -6.9 -9.5 -12.1 -1.1 0.2 5.1 5.7 7.2 7.4 -4.2 -4.9 -7.1 -5.2 -6.3 3.6 12.9 -0.8 -2.7 -2.2 0.4 -1.2 0.4 -5.4 20.0 20.0 14.2 5.3 ROBUSTA 1.1 8.6 20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 13.4 15.1 13.1 11.5 13.9 15.4 12.6 10.9 12.2 11.8 20.0 20.0 17.1 19.5 20.0 -20.0 9.6 6.6 4.5 6.4 4.1 4.4 5.1 2.5 20.0 20.0 20.0 20.0 RUSSELL 18.0 5.4 -7.5 3.4 3.5 4.3 3.5 3.4 2.9 13.3 -8.3 11.9 -9.9 8.8 -7.4 -6.0 -5.0 -6.0 -5.8 1.3 -4.0 20.0 -6.0 11.0 16.8 10.0 1.1 14.7 -1.1 11.2 -1.1 6.3 -0.3 20.0 17.8 -1.1 -17.3 SILVER-mini -20.0 -13.2 11.6 0.6 1.4 2.1 1.1 1.7 -0.4 7.6 7.5 -5.8 3.6 -10.0 3.1 -6.8 -5.6 -6.4 -6.2 -3.9 5.4 -5.4 6.0 -10.3 -6.6 -11.3 -1.7 -1.1 1.1 -2.4 1.0 -3.8 -5.2 -9.3 -20.0 -14.5 -0.4 SOYBEAN -11.2 -20.0 -20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 7.4 -13.3 -7.1 -9.5 -12.1 -14.4 12.9 20.0 20.0 20.0 -20.0 -20.0 -8.1 -12.3 -20.0 14.4 -11.7 -5.6 1.5 -5.3 0.5 -2.5 -3.1 20.0 20.0 -6.0 -14.3 -20.0 SOYMEAL -20.0 -20.0 -20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 -6.3 -1.7 -13.1 5.2 -15.1 -15.3 20.0 20.0 20.0 20.0 -20.0 -10.9 -16.8 6.4 -20.0 -20.0 -12.0 -5.5 -0.4 -2.5 -2.2 2.0 -4.9 20.0 18.2 4.2 -7.7 -12.1 SOYOIL 2.1 -7.0 -20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 11.2 -14.5 2.2 -10.7 -7.7 -13.0 5.6 10.7 5.0 6.3 -20.0 -20.0 6.6 -14.6 -8.5 19.6 12.9 -4.1 5.4 -6.1 5.1 -3.9 0.8 -2.5 20.0 15.9 5.5 -20.0 SP400 11.1 -1.3 -12.4 3.4 3.5 4.3 3.5 3.4 2.9 13.3 -3.6 10.3 -2.7 3.8 -8.3 -5.5 -4.8 -5.6 -5.4 -1.5 -3.5 17.8 -2.4 6.5 14.9 10.2 -1.3 14.3 -2.2 9.6 -0.7 3.6 0.3 20.0 5.9 -9.1 -20.0 SP500 10.5 5.7 10.4 3.4 3.5 4.3 3.5 3.4 2.9 11.8 13.8 14.1 -2.1 14.1 14.5 -10.1 -7.3 -9.4 -8.6 13.3 9.7 17.4 3.2 16.2 1.7 10.2 5.7 5.0 4.5 7.7 2.5 7.2 -4.5 20.0 16.6 9.5 8.2 SUGAR11 -20.0 8.1 20.0 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 -11.8 14.1 -14.2 13.8 0.6 11.0 5.0 20.0 11.1 19.5 18.6 20.0 -13.9 20.0 -2.9 -20.0 -10.5 4.4 -1.8 7.3 -2.5 7.1 -0.3 20.0 -1.9 -1.8 20.0 20.0 US10 -20.0 -6.7 18.8 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -9.4 3.3 -11.7 -9.7 -11.7 1.0 -9.7 -6.6 -10.1 -9.4 -7.8 -3.4 -12.6 -9.2 -13.4 -2.5 9.7 -2.8 -6.1 0.1 -6.9 -1.6 -6.6 -14.7 -20.0 -20.0 -11.5 1.4 US10U -16.6 -6.7 17.5 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -6.2 3.5 -9.2 -9.9 -10.1 -0.2 -2.0 -1.1 -4.1 -3.2 -7.2 -3.9 -9.3 -9.7 -10.7 -3.7 -14.1 -3.1 -6.3 0.1 -6.8 -1.2 -6.7 -4.4 -20.0 -20.0 -12.3 0.2 US20 -14.1 -8.7 14.4 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -2.5 4.3 -6.4 -8.6 -8.8 -1.3 -1.0 -1.5 -1.7 -2.2 -7.7 -4.6 -6.4 -9.8 -9.4 -0.7 -12.3 -3.2 -5.7 -0.4 -5.2 -1.8 -5.7 -4.0 -16.0 -17.0 -12.8 -1.6 US30 -9.8 -8.4 10.4 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -2.0 1.1 -5.8 -10.4 -9.5 -8.5 -0.5 -0.9 -1.2 -1.3 -8.8 -7.1 -4.4 -13.5 -8.3 -0.6 10.0 -3.7 -4.7 -1.0 -4.2 -2.5 -5.3 -2.6 -9.5 -10.8 -11.5 -5.3 US5 -20.0 -7.0 20.0 -0.2 -4.0 0.3 -0.6 -2.6 -0.8 -8.4 2.4 -11.7 -9.8 -11.8 0.6 -12.2 -7.5 -11.5 -10.6 -9.1 -3.7 -15.2 -9.5 -16.2 -1.1 10.8 -2.9 -5.5 -0.2 -7.0 -2.1 -6.7 -16.4 -20.0 -20.0 -12.4 0.5 VIX -18.8 -9.9 -2.9 -4.7 -8.6 -4.3 -8.6 -4.5 -6.7 -13.6 -16.0 -15.6 -15.1 -16.0 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -20.0 -18.8 -20.0 NaN -13.5 -5.9 -8.4 -5.3 -9.6 -5.9 -8.3 NaN NaN NaN NaN NaN WHEAT -1.6 -5.6 -9.8 -4.6 -1.5 -3.1 -3.8 -1.6 -5.2 6.1 -15.1 -4.4 -15.6 -10.8 -13.9 -12.5 -10.0 -12.5 -11.7 -17.8 -20.0 -0.2 -20.0 -9.5 19.5 11.9 -4.6 1.4 -6.3 2.5 -4.7 -0.6 -20.0 20.0 20.0 2.2 -17.0 End of report for caleb_strategy_v1