******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230608_204642 produced at 2023-06-08 21:37:55.365886 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.39 -0.47 0.0 4.339372e+07 -4.339372e+07 -0.39 -0.39 -10.76 999999999.0 -9 -9 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.20 0.0 5.049141e+07 -5.049141e+07 -0.10 -0.10 -3.87 999999999.0 -2 -2 caleb_strategy_v1 VIX False False 0.01 -0.12 -0.20 0.0 6.678050e+06 -6.678050e+06 -0.12 -0.12 -29.42 999999999.0 -18 -18 caleb_strategy_v1 JPY False False 0.03 -0.39 -0.17 0.0 3.269160e+07 -3.269160e+07 -0.39 -0.39 -5.27 999999999.0 -12 -12 caleb_strategy_v1 EUR False False 0.05 -0.20 -0.17 0.0 4.891490e+07 -4.891490e+07 -0.20 -0.24 -3.50 999999999.0 -4 -5 caleb_strategy_v1 US20 False False 0.05 -0.19 -0.15 0.0 4.630856e+07 -4.630856e+07 -0.19 -0.19 -3.26 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.11 0.0 3.938156e+07 -3.938156e+07 -0.12 -0.16 -2.82 999999999.0 -3 -4 caleb_strategy_v1 GOLD_micro False False 0.01 -0.09 -0.08 0.0 7.183985e+06 -7.183985e+06 -0.09 -0.11 -10.68 999999999.0 -13 -15 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 4.126713e+07 -4.126713e+07 0.00 0.00 -1.56 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 5.265618e+07 -5.265618e+07 0.00 0.00 -0.96 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 0.00 -0.04 0.0 4.378841e+07 -4.378841e+07 0.00 0.00 -1.02 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.04 0.0 1.199508e+07 -1.199508e+07 -0.08 -0.08 -3.37 999999999.0 -7 -7 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.627771e+07 -3.627771e+07 -0.04 -0.04 -0.86 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.145431e+07 -1.145431e+07 -0.05 -0.05 -2.72 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.227529e+07 -2.227529e+07 0.00 0.00 -1.20 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.02 0.0 1.379525e+07 -1.379525e+07 -0.01 -0.01 -1.74 999999999.0 -1 -1 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.544192e+07 -2.544192e+07 -0.03 -0.05 -0.92 999999999.0 -1 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 4.908730e+07 -4.908730e+07 0.00 0.00 -0.11 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.0 2.584115e+07 -2.584115e+07 0.00 0.00 -0.37 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.01 0.0 1.675636e+07 -1.675636e+07 0.00 0.00 -0.33 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.01 0.0 4.934816e+07 -4.934816e+07 -0.10 -0.10 -0.16 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 9.681358e+05 -9.681358e+05 -0.02 -0.02 -11.65 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.703378e+07 -3.703378e+07 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8.775829e+06 -8.775829e+06 -0.02 -0.02 -1.18 999999999.0 -2 -2 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 1.365643e+07 -1.365643e+07 0.00 0.00 -0.34 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.00 0.0 1.026794e+07 -1.026794e+07 0.01 0.01 0.31 999999999.0 1 1 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 1.456740e+07 -1.456740e+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 1.190435e+07 -1.190435e+07 -0.05 -0.05 -0.13 999999999.0 -4 -4 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.525971e+07 -1.525971e+07 0.02 0.02 0.40 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.03 0.01 0.0 2.599540e+07 -2.599540e+07 0.03 0.00 0.23 999999999.0 1 0 caleb_strategy_v1 COPPER False False 0.03 -0.03 0.01 0.0 3.437472e+07 -3.437472e+07 -0.03 0.00 0.28 999999999.0 -1 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.890047e+06 -9.890047e+06 0.02 0.02 1.33 999999999.0 2 2 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 9.667748e+06 -9.667748e+06 0.05 0.05 1.17 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.840456e+07 -1.840456e+07 0.00 0.00 0.51 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.108847e+07 -1.108847e+07 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 6.228623e+06 -6.228623e+06 0.01 0.01 2.48 999999999.0 2 1 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 2.436944e+07 -2.436944e+07 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.211378e+07 -2.211378e+07 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.555495e+06 -3.555495e+06 0.00 0.00 5.95 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.02 0.00 0.03 0.0 2.499188e+07 -2.499188e+07 0.00 0.00 1.32 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.03 0.0 6.148343e+06 -6.148343e+06 -0.02 -0.01 4.26 999999999.0 -3 -1 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 2.810870e+07 -2.810870e+07 0.06 0.03 1.50 999999999.0 2 1 caleb_strategy_v1 GBP False False 0.03 0.28 0.04 0.0 2.847698e+07 -2.847698e+07 0.28 0.28 1.33 999999999.0 10 10 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.04 0.0 2.154941e+07 -2.154941e+07 0.00 0.00 1.68 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.041631e+07 -1.041631e+07 0.00 0.00 4.72 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.05 0.0 7.795898e+07 -7.795898e+07 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.716587e+07 -2.716587e+07 0.00 0.00 2.33 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.06 0.0 3.422138e+06 -3.422138e+06 0.00 0.00 16.20 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 1.052355e+08 -1.052355e+08 0.00 0.11 0.54 999999999.0 0 1 caleb_strategy_v1 SP400 False False 0.09 0.74 0.06 0.0 9.291200e+07 -9.291200e+07 0.74 0.74 0.66 999999999.0 8 8 caleb_strategy_v1 BTP False False 0.04 0.00 0.07 0.0 4.475620e+07 -4.475620e+07 0.00 0.04 1.67 999999999.0 0 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 4.987641e+07 -4.987641e+07 0.00 0.00 1.85 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 5.08 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.42 0.30 0.0 5.204969e+07 -5.204969e+07 0.42 0.42 5.75 999999999.0 8 8 caleb_strategy_v1 BOBL False False 0.05 0.00 0.35 0.0 4.533548e+07 -4.533548e+07 0.00 0.00 7.78 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.42 0.0 0.000000e+00 0.000000e+00 0.00 0.00 50.61 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 19.8 Shocked risk 52.6 Sum abs risk 53.2 Leverage 3.97 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2755295.24, 'annual_cash_vol_target': 688823.81, 'daily_cash_vol_target': 43051.488125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6714 0.6699 10.7176 BITCOIN 872.5783 26675.0000 3.2711 52.3383 BOBL 0.3365 116.6100 0.2885 4.6167 BTP 0.6549 115.1200 0.5689 9.1024 BUND 0.6590 133.8800 0.4923 7.8760 BUXL 1.5295 135.4400 1.1293 18.0690 CAC 61.2622 7230.0000 0.8473 13.5573 CAD 0.0032 0.7485 0.4254 6.8060 CANOLA 8.9008 654.5000 1.3599 21.7590 CHF 0.0054 1.1130 0.4840 7.7441 COCOA 32.1200 3156.0000 1.0177 16.2839 COFFEE 3.5355 191.0000 1.8510 29.6164 COPPER 0.0468 3.7885 1.2348 19.7565 CORN 6.8599 532.7500 1.2876 20.6022 COTTON2 1.4315 84.0900 1.7024 27.2383 CRUDE_W 1.3334 71.2000 1.8727 29.9631 DAX 131.5682 16021.0000 0.8212 13.1396 DOW 247.6762 33881.0000 0.7310 11.6963 EUR 0.0049 1.0782 0.4576 7.3213 EUROSTX 39.4797 4310.0000 0.9160 14.6560 FEEDCOW 1.6520 241.3000 0.6846 10.9543 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.3772 701.0000 1.9083 30.5328 GASOILINE 0.0428 2.4295 1.7636 28.2182 GAS_US 0.0937 2.4180 3.8744 61.9902 GBP 0.0065 1.2554 0.5157 8.2505 GOLD_micro 16.5242 1979.4000 0.8348 13.3569 HEATOIL 0.0412 2.3799 1.7308 27.6929 JPY 0.0000 0.0072 0.6267 10.0274 LEANHOG 1.6375 82.6250 1.9819 31.7104 LIVECOW 1.3358 172.1500 0.7759 12.4148 MXP 0.0003 0.0574 0.6082 9.7317 NASDAQ 137.0731 14497.7500 0.9455 15.1277 NIKKEI 302.5946 31790.0000 0.9519 15.2297 NZD 0.0047 0.6093 0.7660 12.2553 OAT 0.6402 128.2900 0.4990 7.9848 OJ 5.0703 250.8500 2.0213 32.3400 PALLAD 29.8241 1352.5000 2.2051 35.2817 PLAT 17.1685 1014.2000 1.6928 27.0850 REDWHEAT 15.2884 802.7500 1.9045 30.4721 ROBUSTA 36.3445 2725.0000 1.3337 21.3399 RUSSELL 24.3199 1885.8000 1.2896 20.6341 SILVER-mini 0.3601 24.5500 1.4667 23.4665 SOYBEAN 12.1140 1187.5000 1.0201 16.3220 SOYMEAL 4.0820 380.1000 1.0739 17.1827 SOYOIL 0.8615 50.9200 1.6919 27.0707 SP400 28.8003 2560.0000 1.1250 18.0002 SP500 30.3899 4296.0000 0.7074 11.3184 SUGAR11 0.3826 25.2600 1.5147 24.2357 US10 0.5077 113.7031 0.4465 7.1446 US10U 0.6735 119.5625 0.5633 9.0131 US20 0.9498 127.5938 0.7444 11.9100 US30 1.3460 135.9688 0.9899 15.8384 US5 0.3426 108.5078 0.3158 5.0525 VIX 0.5516 18.4000 2.9977 47.9640 WHEAT 11.0249 656.0000 1.6806 26.8899 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.45 0.67 449.77 1.00 449.77 43051.49 95.72 4.61 44.17 BITCOIN 26.68 3.27 87.26 1.00 87.26 43051.49 493.38 -10.02 -494.57 BOBL 1166.10 0.29 336.47 1.07 359.39 43051.49 119.79 9.00 107.76 BTP 1151.20 0.57 654.92 1.07 699.52 43051.49 61.54 13.43 82.67 BUND 1338.80 0.49 659.03 1.07 703.91 43051.49 61.16 13.03 79.71 BUXL 1354.40 1.13 1529.54 1.07 1633.71 43051.49 26.35 -4.33 -11.40 CAC 723.00 0.85 612.62 1.07 654.34 43051.49 65.79 8.13 53.52 CAD 748.50 0.43 318.39 1.00 318.39 43051.49 135.22 9.65 130.42 CANOLA 130.90 1.36 178.02 0.75 132.77 43051.49 324.26 20.00 648.52 CHF 1391.19 0.48 673.34 1.00 673.34 43051.49 63.94 -16.16 -103.35 COCOA 315.60 1.02 321.20 1.00 321.20 43051.49 134.03 -9.32 -124.89 COFFEE 716.25 1.85 1325.80 1.00 1325.80 43051.49 32.47 5.39 17.50 COPPER 947.12 1.23 1169.49 1.00 1169.49 43051.49 36.81 2.79 10.27 CORN 266.38 1.29 343.00 1.00 343.00 43051.49 125.52 10.35 129.89 COTTON2 420.45 1.70 715.77 1.00 715.77 43051.49 60.15 4.46 26.81 CRUDE_W 712.00 1.87 1333.36 1.00 1333.36 43051.49 32.29 -0.87 -2.81 DAX 160.21 0.82 131.57 1.07 140.53 43051.49 306.36 1.49 45.68 DOW 169.40 0.73 123.84 1.00 123.84 43051.49 347.64 4.30 149.37 EUR 1347.75 0.46 616.71 1.00 616.71 43051.49 69.81 -13.39 -93.48 EUROSTX 431.00 0.92 394.80 1.07 421.68 43051.49 102.09 -1.14 -11.66 FEEDCOW 1206.50 0.68 826.02 1.00 826.02 43051.49 52.12 -7.28 -37.96 FTSE100 707.00 0.82 576.59 1.24 666.67 43051.49 64.58 7.63 49.28 GASOIL 701.00 1.91 1337.72 1.00 1337.72 43051.49 32.18 -4.02 -12.94 GASOILINE 1020.39 1.76 1799.60 1.00 1799.60 43051.49 23.92 -1.63 -3.90 GAS_US 241.80 3.87 936.83 1.00 936.83 43051.49 45.95 -17.08 -78.49 GBP 784.62 0.52 404.60 1.00 404.60 43051.49 106.41 6.98 74.32 GOLD_micro 197.94 0.83 165.24 1.00 165.24 43051.49 260.54 -18.32 -477.33 HEATOIL 999.56 1.73 1730.04 1.00 1730.04 43051.49 24.88 -4.86 -12.09 JPY 900.75 0.63 564.51 1.00 564.51 43051.49 76.26 -10.67 -81.37 LEANHOG 330.50 1.98 655.02 1.00 655.02 43051.49 65.73 -10.98 -72.16 LIVECOW 688.60 0.78 534.30 1.00 534.30 43051.49 80.58 6.09 49.07 MXP 287.00 0.61 174.56 1.00 174.56 43051.49 246.62 15.65 385.90 NASDAQ 2899.55 0.95 2741.46 1.00 2741.46 43051.49 15.70 6.28 9.86 NIKKEI 31790.00 0.95 30259.46 0.01 217.31 43051.49 198.11 13.45 266.45 NZD 609.30 0.77 466.70 1.00 466.70 43051.49 92.25 4.84 44.61 OAT 1282.90 0.50 640.23 1.07 683.83 43051.49 62.96 14.53 91.47 OJ 376.28 2.02 760.55 1.00 760.55 43051.49 56.61 -3.46 -19.56 PALLAD 1352.50 2.21 2982.41 1.00 2982.41 43051.49 14.44 -3.19 -4.60 PLAT 507.10 1.69 858.43 1.00 858.43 43051.49 50.15 4.21 21.12 REDWHEAT 401.38 1.90 764.42 1.00 764.42 43051.49 56.32 6.31 35.55 ROBUSTA 272.50 1.33 363.44 1.00 363.44 43051.49 118.45 8.68 102.81 RUSSELL 94.29 1.29 121.60 1.00 121.60 43051.49 354.04 8.84 312.81 SILVER-mini 613.75 1.47 900.16 1.00 900.16 43051.49 47.83 -11.20 -53.59 SOYBEAN 593.75 1.02 605.70 1.00 605.70 43051.49 71.08 4.01 28.53 SOYMEAL 380.10 1.07 408.20 1.00 408.20 43051.49 105.47 -2.80 -29.51 SOYOIL 305.52 1.69 516.91 1.00 516.91 43051.49 83.29 9.33 77.74 SP400 2560.00 1.13 2880.03 1.00 2880.03 43051.49 14.95 8.48 12.68 SP500 2148.00 0.71 1519.49 1.00 1519.49 43051.49 28.33 7.18 20.34 SUGAR11 282.91 1.51 428.54 1.00 428.54 43051.49 100.46 2.31 23.20 US10 1137.03 0.45 507.73 1.00 507.73 43051.49 84.79 -4.80 -40.73 US10U 1195.62 0.56 673.52 1.00 673.52 43051.49 63.92 -11.55 -73.83 US20 1275.94 0.74 949.78 1.00 949.78 43051.49 45.33 -9.75 -44.18 US30 1359.69 0.99 1345.95 1.00 1345.95 43051.49 31.99 -0.60 -1.93 US5 1085.08 0.32 342.65 1.00 342.65 43051.49 125.64 -5.86 -73.60 VIX 184.00 3.00 551.59 1.00 551.59 43051.49 78.05 -20.00 -156.10 WHEAT 328.00 1.68 551.24 1.00 551.24 43051.49 78.10 -3.10 -24.25 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 44.168 0.006 2.5 0.706 BITCOIN -494.571 0.009 2.5 -11.653 BOBL 107.761 0.029 2.5 7.776 BTP 82.671 0.008 2.5 1.670 BUND 79.707 0.029 2.5 5.751 BUXL -11.398 0.034 2.5 -0.957 CAC 53.517 0.011 2.5 1.504 CAD 130.419 0.007 2.5 2.329 CANOLA 648.520 0.004 2.5 5.953 CHF -103.350 0.015 2.5 -3.868 COCOA -124.888 0.009 2.5 -2.721 COFFEE 17.496 0.005 2.5 0.227 COPPER 10.269 0.011 2.5 0.281 CORN 129.887 0.004 2.5 1.172 COTTON2 26.814 0.006 2.5 0.404 CRUDE_W -2.809 0.053 2.5 -0.371 DAX 45.677 0.022 2.5 2.481 DOW 149.369 0.011 2.5 4.257 EUR -93.485 0.015 2.5 -3.499 EUROSTX -11.659 0.011 2.5 -0.328 FEEDCOW -37.960 0.011 2.5 -1.020 FTSE100 49.276 0.041 2.5 5.080 GASOIL -12.940 0.029 2.5 -0.923 GASOILINE -3.899 0.016 2.5 -0.160 GAS_US -78.495 0.006 2.5 -1.182 GBP 74.320 0.007 2.5 1.327 GOLD_micro -477.332 0.009 2.5 -10.680 HEATOIL -12.095 0.029 2.5 -0.863 JPY -81.366 0.026 2.5 -5.267 LEANHOG -72.162 0.019 2.5 -3.371 LIVECOW 49.074 0.011 2.5 1.319 MXP 385.900 0.005 2.5 4.724 NASDAQ 9.859 0.022 2.5 0.535 NIKKEI 266.450 0.076 2.5 50.608 NZD 44.607 0.006 2.5 0.713 OAT 91.465 0.008 2.5 1.847 OJ -19.564 0.007 2.5 -0.341 PALLAD -4.604 0.010 2.5 -0.111 PLAT 21.121 0.010 2.5 0.508 REDWHEAT 35.554 0.002 2.5 0.190 ROBUSTA 102.809 0.005 2.5 1.333 RUSSELL 312.809 0.021 2.5 16.202 SILVER-mini -53.586 0.009 2.5 -1.199 SOYBEAN 28.533 0.024 2.5 1.682 SOYMEAL -29.509 0.024 2.5 -1.740 SOYOIL 77.744 0.004 2.5 0.714 SP400 12.683 0.021 2.5 0.657 SP500 20.341 0.011 2.5 0.580 SUGAR11 23.205 0.005 2.5 0.315 US10 -40.733 0.015 2.5 -1.563 US10U -73.829 0.058 2.5 -10.757 US20 -44.178 0.029 2.5 -3.256 US30 -1.934 0.034 2.5 -0.162 US5 -73.600 0.015 2.5 -2.824 VIX -156.101 0.075 2.5 -29.417 WHEAT -24.248 0.002 2.5 -0.129 ==================== Position diags ==================== AUD 1.53 BITCOIN 11.62 BOBL 8.64 BTP 1.24 BUND 4.41 BUXL 2.21 CAC 1.85 CAD 2.41 CANOLA 2.98 CHF 2.39 COCOA 2.92 COFFEE 0.42 COPPER 1.01 CORN 1.13 COTTON2 0.91 CRUDE_W 4.27 DAX 16.64 DOW 9.91 EUR 2.61 EUROSTX 2.87 FEEDCOW 1.40 FTSE100 6.66 GASOIL 2.30 GASOILINE 0.98 GAS_US 0.69 GBP 1.90 GOLD_micro 5.83 HEATOIL 1.78 JPY 4.94 LEANHOG 3.07 LIVECOW 2.17 MXP 3.02 NASDAQ 0.85 NIKKEI 37.63 NZD 1.47 OAT 1.27 OJ 0.99 PALLAD 0.35 PLAT 1.21 REDWHEAT 0.30 ROBUSTA 1.54 RUSSELL 18.34 SILVER-mini 1.07 SOYBEAN 4.19 SOYMEAL 6.22 SOYOIL 0.76 SP400 0.77 SP500 0.81 SUGAR11 1.36 US10 3.25 US10U 9.31 US20 3.34 US30 2.69 US5 4.82 VIX 14.71 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.6 0.9 0.0 0 BITCOIN -11.7 -12.8 -10.5 -19.0 -19 BOBL 7.8 6.9 8.6 0.0 0 BTP 1.7 1.5 1.8 0.0 0 BUND 5.8 5.3 6.2 8.0 8 BUXL -1.0 -1.2 -0.7 0.0 0 CAC 1.5 1.3 1.7 2.0 2 CAD 2.3 2.1 2.6 0.0 0 CANOLA 6.0 5.7 6.3 NaN 0 CHF -3.9 -4.1 -3.6 -2.0 -2 COCOA -2.7 -3.0 -2.4 -4.0 -4 COFFEE 0.2 0.2 0.3 1.0 1 COPPER 0.3 0.2 0.4 -1.0 -1 CORN 1.2 1.1 1.3 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 2.5 0.8 4.1 2.0 2 DOW 4.3 3.3 5.2 -3.0 -3 EUR -3.5 -3.8 -3.2 -4.0 -4 EUROSTX -0.3 -0.6 -0.0 0.0 0 FEEDCOW -1.0 -1.2 -0.9 0.0 0 FTSE100 5.1 4.4 5.7 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 -1.2 -1.3 -1.1 -2.0 -2 GBP 1.3 1.1 1.5 10.0 10 GOLD_micro -10.7 -11.3 -10.1 -13.0 -13 HEATOIL -0.9 -1.0 -0.7 -1.0 -1 JPY -5.3 -5.8 -4.8 -12.0 -12 LEANHOG -3.4 -3.7 -3.1 -7.0 -7 LIVECOW 1.3 1.1 1.5 0.0 0 MXP 4.7 4.4 5.0 0.0 0 NASDAQ 0.5 0.5 0.6 0.0 0 NIKKEI 50.6 46.8 54.4 0.0 0 NZD 0.7 0.6 0.9 0.0 0 OAT 1.8 1.7 2.0 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 1.3 1.2 1.5 2.0 2 RUSSELL 16.2 14.4 18.0 0.0 0 SILVER-mini -1.2 -1.3 -1.1 0.0 0 SOYBEAN 1.7 1.3 2.1 0.0 0 SOYMEAL -1.7 -2.4 -1.1 -1.0 -1 SOYOIL 0.7 0.6 0.8 0.0 0 SP400 0.7 0.6 0.7 8.0 8 SP500 0.6 0.5 0.7 0.0 0 SUGAR11 0.3 0.2 0.5 1.0 1 US10 -1.6 -1.9 -1.2 NaN 0 US10U -10.8 -11.7 -9.8 -9.0 -9 US20 -3.3 -3.6 -2.9 -4.0 -4 US30 -0.2 -0.4 0.1 -2.0 -2 US5 -2.8 -3.3 -2.3 -3.0 -3 VIX -29.4 -30.9 -27.9 -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 0.1 0.0 0.0 0.0 -0.0 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 0.3 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 0.0 BOBL -0.1 0.0 0.3 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 0.1 -0.4 0.3 0.1 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 1.3 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 1.1 -0.0 -0.1 0.0 0.0 BTP 0.0 0.1 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 0.2 0.1 BUND -0.1 0.0 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 0.6 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 0.1 -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 0.1 0.1 -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 -0.1 -0.0 -0.0 -0.1 CAC -0.2 -0.2 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 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 0.1 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 1.9 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 -0.1 -0.3 CHF -0.2 -0.1 0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 0.2 -0.0 0.1 -1.1 -0.6 -0.3 -0.3 -0.0 0.1 -0.0 0.1 -0.0 -0.7 -2.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 -2.6 -0.1 -0.1 -0.0 0.1 COCOA -0.0 0.0 0.3 -0.1 0.0 -0.1 -0.0 -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 -0.0 -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 -0.4 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 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 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 -0.1 0.0 -0.0 -0.0 0.7 2.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.3 0.2 0.0 -0.3 -0.3 CORN 0.2 -0.0 -0.3 -0.1 0.0 -0.1 -0.0 -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 0.5 0.1 0.4 0.1 -0.3 COTTON2 0.0 0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.6 0.2 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.5 3.0 0.0 0.0 0.0 0.0 -0.0 0.0 -1.4 0.0 0.3 0.6 0.4 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 0.1 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 0.1 0.1 0.1 0.1 0.1 0.1 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 -0.0 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 -0.2 -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 0.0 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 0.0 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 0.4 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 0.1 0.1 0.1 0.2 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 0.4 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 -0.3 -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 -0.4 -0.3 -0.3 LEANHOG 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 1.5 -0.8 -0.4 -0.4 -0.2 -0.2 0.0 -0.2 -0.0 3.0 -2.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.1 -0.3 -0.2 -0.3 LIVECOW 0.2 0.1 0.1 -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 2.7 0.0 0.4 0.3 0.3 MXP -0.0 0.1 0.3 -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 0.2 0.2 0.4 0.1 0.1 0.1 0.1 0.1 0.1 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 -1.5 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 0.1 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 0.8 0.4 0.2 0.2 0.2 0.3 0.0 0.2 0.0 -0.6 -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 0.5 2.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.8 -0.0 -0.3 -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 0.8 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 -0.2 -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 -0.3 0.0 -0.2 PLAT -0.2 -0.1 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 -0.5 2.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.3 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 0.1 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 -0.8 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 0.1 0.3 1.1 0.4 0.3 0.2 0.2 0.2 0.0 0.2 0.0 -3.3 2.1 0.1 0.0 0.1 0.0 0.0 0.0 0.3 0.0 0.4 0.3 0.3 RUSSELL 0.2 0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.0 -0.3 0.0 -0.2 -0.4 -0.2 -0.1 -0.1 0.0 -0.0 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 -0.3 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 -1.4 -3.2 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.2 0.0 SOYBEAN -0.1 -0.3 -0.3 -0.1 0.0 -0.1 -0.0 -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 -0.2 -0.0 2.2 -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 -0.1 -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 -2.7 -2.5 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 0.1 -0.0 -0.1 -0.2 SOYOIL 0.1 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -0.3 -0.0 -0.3 0.5 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 0.4 0.1 -0.3 SP400 0.2 -0.0 -0.2 0.1 0.0 0.1 0.1 0.1 0.1 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 0.2 -0.1 -0.3 SP500 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 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 -0.0 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 -0.7 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 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 0.2 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.3 -0.0 -0.0 -0.1 -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 -0.2 -0.0 US20 -0.1 -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 -0.2 -0.0 US30 -0.1 -0.1 0.1 -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 -0.0 -0.1 2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.1 -0.2 -0.2 -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 -0.1 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 -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -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 -0.0 -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 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -2.7 0.1 0.4 0.1 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -4.3 -4.2 -6.3 -0.6 5.5 1.5 0.5 0.1 -2.2 13.2 -3.1 5.1 -6.6 -3.7 -10.6 -3.6 -3.3 -3.7 -3.6 -6.7 -7.2 10.2 -7.6 -1.2 13.0 11.7 -2.7 11.4 -3.0 6.0 -3.6 -0.1 -0.8 17.9 5.1 -1.1 -15.9 BITCOIN -8.6 -10.7 19.4 0.7 2.0 2.1 1.3 1.7 -0.2 -2.1 9.8 -4.2 -6.5 -11.2 4.9 -4.7 -2.8 -4.3 -3.5 0.1 6.3 -4.6 1.4 -4.9 1.1 -18.1 -1.4 -2.1 2.4 -3.2 1.9 -3.7 -0.3 -16.2 0.7 -11.5 2.4 BOBL -9.7 2.9 16.3 -0.1 -0.6 0.3 0.1 -2.6 -0.5 -1.8 -1.8 -3.5 -11.8 -4.2 3.4 -4.6 6.0 3.3 4.2 -2.1 -5.4 -5.1 -15.7 -3.6 8.6 10.8 -0.0 -3.6 -0.5 -2.4 -6.2 -1.5 8.1 -10.8 -6.0 2.3 0.6 BTP 2.5 3.5 10.2 -0.1 -0.6 0.3 0.1 -2.6 -0.5 5.5 8.5 7.1 -7.1 5.5 7.7 9.4 11.8 9.7 10.6 5.2 2.8 7.8 -6.5 7.7 -10.1 11.4 4.0 1.2 3.5 4.4 -1.5 4.6 18.7 8.1 15.6 11.3 5.4 BUND -5.5 2.7 12.3 -0.1 -0.6 0.3 0.1 -2.6 -0.5 -0.3 -4.5 -0.4 -12.7 -2.1 1.1 6.7 11.8 7.6 9.2 -2.2 -6.2 -2.7 -16.9 -1.7 5.6 12.3 -0.0 -2.9 -0.5 -1.4 -5.5 -0.8 17.4 -7.8 -1.5 1.8 -0.7 BUXL -1.9 -1.0 4.9 -0.1 -0.6 0.3 0.1 -2.6 -0.5 0.8 -11.7 -0.1 -14.3 -4.2 -7.9 2.8 1.3 2.4 2.4 -6.8 -11.7 -2.1 -20.0 -3.5 8.4 -10.8 -2.1 -1.9 -3.1 -1.2 -7.3 -1.6 2.7 -8.3 -0.5 -2.4 -6.9 CAC -20.0 -14.6 -2.1 3.6 4.6 4.3 4.2 3.4 3.4 3.8 13.5 -5.9 13.4 -6.1 7.0 0.0 4.2 5.1 4.7 1.8 12.8 -5.4 17.4 -6.1 -9.5 8.9 0.2 0.2 4.9 -3.2 6.9 -3.5 16.3 -15.2 -20.0 -4.4 0.4 CAD 0.8 3.7 8.2 -0.6 5.5 1.5 0.5 0.1 -2.2 14.0 0.1 11.1 -9.3 4.3 5.5 -3.2 -2.3 -3.1 -2.8 2.6 -1.2 14.1 -6.9 7.0 13.7 10.4 2.4 9.8 0.4 8.2 -2.9 4.5 0.8 20.0 18.7 6.7 -1.8 CANOLA -15.1 -5.3 -20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 8.0 -14.3 -8.1 -14.5 -11.8 -14.4 20.0 20.0 20.0 20.0 -20.0 -20.0 -7.0 -19.0 -20.0 20.0 13.2 -6.4 2.1 -7.0 -1.4 -5.3 -4.5 20.0 4.9 -18.6 -11.1 -20.0 CHF -20.0 -8.8 8.5 -0.6 5.5 1.5 0.5 0.1 -2.2 5.8 11.1 -7.9 9.1 -11.5 2.7 -16.9 -15.1 -16.1 -15.7 -1.8 6.0 -3.9 6.2 -7.9 -4.8 -11.5 -0.6 4.5 2.8 -1.7 2.3 -3.7 -20.0 -8.7 -6.9 -1.1 6.7 COCOA -1.6 3.4 18.9 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 13.5 15.6 11.5 12.1 12.6 14.8 0.6 -1.0 0.5 0.2 18.9 20.0 18.2 17.1 15.6 -20.0 -10.4 6.4 9.7 7.3 6.4 6.0 5.6 -17.7 20.0 20.0 20.0 20.0 COFFEE -6.1 -2.9 11.9 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 12.3 3.2 1.9 -3.9 -6.4 -0.3 6.9 5.0 6.7 5.9 1.4 2.0 7.1 -2.0 0.0 -2.7 10.0 3.3 14.8 2.7 7.2 0.3 3.5 -7.8 20.0 20.0 20.0 20.0 COPPER -1.9 -20.0 -10.7 0.7 2.0 2.1 1.3 1.7 -0.2 13.6 -0.4 9.0 -4.2 -7.2 -10.2 -2.9 -1.2 -2.2 -1.7 -12.9 -8.1 6.9 -3.2 -5.6 5.4 11.1 -4.5 3.3 -3.3 2.0 -1.4 -1.9 2.5 14.8 0.9 -20.0 -20.0 CORN 20.0 -2.2 -18.3 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 3.1 -11.9 10.6 -9.0 -2.2 -8.7 -4.3 13.8 3.5 9.7 -9.4 -14.7 8.6 -9.1 2.6 20.0 11.0 -3.1 1.2 -5.8 3.8 -4.4 1.8 3.9 20.0 20.0 4.4 -20.0 COTTON2 8.1 10.0 3.3 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 14.0 1.6 10.1 -11.7 9.1 6.3 8.5 6.6 2.8 2.1 4.4 -2.4 10.4 -7.4 8.4 -6.0 12.0 3.0 5.8 0.0 5.7 -0.7 5.1 -10.1 20.0 20.0 20.0 13.2 CRUDE_W 3.1 -9.9 -8.6 -3.0 4.1 -3.7 2.4 -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 -3.8 -11.3 10.8 -1.0 5.5 -1.8 5.2 0.7 2.2 -13.4 8.8 2.8 5.8 6.1 DAX -9.4 -5.8 2.4 3.6 4.6 4.3 4.2 3.4 3.4 8.8 14.8 -0.7 12.5 -0.1 10.3 -8.1 -6.7 -8.3 -8.1 6.7 13.6 1.3 14.0 1.7 -13.9 9.9 4.1 1.5 7.2 0.3 7.0 1.1 -3.7 -8.4 -8.3 5.1 3.8 DOW 0.1 -4.0 -1.8 3.6 4.6 4.3 4.2 3.4 3.4 12.8 4.9 10.7 3.7 0.8 3.3 -8.8 -6.4 -8.5 -8.0 0.2 0.6 10.8 0.9 3.6 5.9 10.8 1.0 9.1 1.4 7.6 1.9 3.4 -3.3 20.0 -3.8 -8.2 -6.1 EUR -20.0 -14.7 5.7 -0.6 5.5 1.5 0.5 0.1 -2.2 5.4 10.1 -10.7 2.2 -13.9 -4.7 -8.3 -8.5 -7.9 -8.1 -8.0 1.7 -6.5 1.6 -12.9 -6.3 -11.1 -2.9 2.5 0.7 -2.4 0.3 -4.9 -9.1 -9.7 -11.9 -11.2 -1.6 EUROSTX -10.9 -8.9 0.6 3.6 4.6 4.3 4.2 3.4 3.4 6.0 14.9 -1.2 14.0 -0.7 10.7 -5.1 2.1 -3.1 -0.2 6.0 14.1 -0.3 16.4 0.3 -12.6 -8.5 3.5 1.1 7.2 -0.5 8.1 0.3 11.1 -10.3 -9.8 2.0 3.1 FEEDCOW 15.8 4.0 20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 0.8 15.2 10.4 12.9 14.0 15.4 -20.0 -20.0 -20.0 -20.0 20.0 20.0 15.7 18.7 20.0 -20.0 12.2 6.3 -2.6 6.7 1.6 5.4 4.6 -20.0 15.3 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 12.1 -9.1 -20.0 -3.0 4.1 -3.7 2.4 -1.3 -0.2 12.4 -12.9 11.3 -0.7 -4.3 -9.2 1.9 19.7 6.8 13.4 -11.5 -15.2 6.8 -4.8 -1.7 10.4 -15.4 -4.4 4.3 -6.0 2.8 -3.1 -0.7 0.2 4.5 -1.6 -4.0 -7.1 GASOILINE 9.0 -8.1 -4.7 -2.8 2.4 -3.8 2.2 -1.3 -0.1 9.8 3.1 8.0 -2.2 -0.0 -1.2 20.0 19.0 20.0 20.0 -0.2 -0.4 7.3 4.3 3.1 -20.0 -13.1 1.9 5.9 1.2 6.9 4.3 5.1 2.7 15.1 17.1 8.4 12.9 GAS_US 6.3 10.6 -20.0 -2.8 2.4 -3.8 2.2 -1.3 -0.1 2.0 -16.5 -8.8 -15.6 -9.0 -13.8 -20.0 -19.0 -20.0 -20.0 -17.2 -20.0 -5.2 -20.0 -9.1 16.1 -9.3 -3.7 1.6 -6.4 -0.2 -5.3 -1.6 -20.0 -8.8 -3.7 13.3 -0.5 GBP -10.4 -1.6 12.9 -0.6 5.5 1.5 0.5 0.1 -2.2 9.8 13.5 3.5 2.4 -2.7 9.4 -2.1 -2.0 -2.0 -2.0 4.1 7.8 4.8 2.7 1.2 0.2 9.4 2.4 8.4 3.4 3.5 -1.2 1.0 1.7 10.1 7.0 6.0 10.6 GOLD_micro -20.0 -12.4 11.3 0.7 2.0 2.1 1.3 1.7 -0.2 -1.2 10.5 -10.6 5.7 -12.0 3.6 -13.8 -11.9 -13.2 -12.9 -2.2 7.5 -7.2 8.9 -9.3 -13.7 -13.8 -1.3 -1.2 3.1 -4.3 4.0 -5.0 -16.4 -19.8 -20.0 -13.6 8.9 HEATOIL 5.8 -8.0 -20.0 -2.8 2.4 -3.8 2.2 -1.3 -0.1 10.6 -13.0 8.7 -1.7 -6.1 -10.2 0.2 20.0 5.8 14.0 -12.4 -15.4 4.1 -5.0 -4.0 2.8 -13.6 -3.2 4.0 -4.8 4.5 -0.5 1.4 3.0 16.3 2.8 -1.8 -7.8 JPY -15.7 -20.0 -7.8 -0.6 5.5 1.5 0.5 0.1 -2.2 3.6 -4.1 -11.0 -8.9 -13.6 -14.4 -17.4 -14.7 -16.7 -16.1 -20.0 -14.7 -8.5 -13.9 -18.5 8.6 9.9 -5.2 0.6 -3.3 -2.4 -3.7 -5.1 -20.0 -9.3 -16.7 -20.0 -19.6 LEANHOG 3.2 5.6 -20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 9.8 -14.3 3.4 -13.7 -4.7 -12.0 18.8 -20.0 -20.0 -20.0 -20.0 -20.0 2.8 -18.4 -9.8 20.0 -11.1 -6.5 -0.0 -6.7 -2.1 -5.2 -4.9 -20.0 11.4 -15.0 -14.2 -20.0 LIVECOW 20.0 4.3 3.7 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 6.6 14.7 12.0 12.9 14.2 14.6 20.0 11.6 20.0 20.0 20.0 15.7 20.0 10.5 20.0 -20.0 -10.0 5.6 2.4 4.1 6.9 3.3 7.5 19.6 20.0 20.0 20.0 20.0 MXP -2.2 7.4 15.4 -0.6 5.5 1.5 0.5 0.1 -2.2 12.6 15.9 14.3 15.9 14.2 15.2 20.0 20.0 20.0 20.0 20.0 20.0 19.3 20.0 19.5 -20.0 9.7 6.3 5.2 7.2 6.2 7.6 6.0 20.0 20.0 20.0 20.0 20.0 NASDAQ 16.4 14.3 20.0 3.6 4.6 4.3 4.2 3.4 3.4 5.3 15.0 13.4 -0.4 15.2 16.2 -10.1 -7.1 -9.5 -8.6 20.0 20.0 20.0 9.4 20.0 -13.4 10.2 6.3 0.9 5.1 4.2 3.1 6.4 -4.3 17.4 20.0 20.0 20.0 NIKKEI 10.8 19.8 18.7 3.6 4.6 4.3 4.2 3.4 3.4 4.9 15.1 12.1 12.7 14.5 15.7 13.0 12.2 10.3 11.5 20.0 20.0 20.0 13.1 20.0 -4.4 -9.1 6.1 1.5 4.3 4.3 2.3 6.1 20.0 20.0 20.0 20.0 20.0 NZD -15.3 -5.0 -1.9 -0.6 5.5 1.5 0.5 0.1 -2.2 7.6 3.0 -10.9 -2.0 -11.7 -11.3 0.7 0.8 0.9 0.8 -8.9 -4.7 -7.9 -4.2 -11.7 3.1 10.8 -3.5 0.7 -1.5 -3.6 -1.6 -5.1 6.4 -13.4 -14.7 -7.1 -10.6 OAT -3.4 3.7 8.8 -0.1 -0.6 0.3 0.1 -2.6 -0.5 1.5 -5.6 2.0 -12.6 0.4 1.6 10.3 12.3 11.1 11.7 -1.4 -5.7 -0.7 -15.5 -0.0 3.2 12.7 0.6 -2.5 -0.3 -0.5 -6.2 0.2 20.0 -4.3 1.3 4.2 -1.4 OJ 8.1 -20.0 10.9 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 -13.3 13.3 2.8 14.8 5.3 10.6 20.0 20.0 20.0 20.0 16.3 20.0 -6.7 20.0 7.6 -20.0 -14.3 5.4 -4.2 7.8 0.3 9.8 3.6 20.0 -7.7 20.0 20.0 20.0 PALLAD -16.8 -0.1 2.9 0.7 2.0 2.1 1.3 1.7 -0.2 -10.3 -13.9 -12.9 -14.6 -12.7 -10.2 -2.8 -2.5 -2.9 -2.8 -12.8 -16.4 -16.0 -20.0 -15.8 20.0 -11.1 -2.6 -6.2 -3.2 -5.4 -4.8 -4.6 0.3 -20.0 -16.9 1.3 -10.9 PLAT -17.8 -4.5 6.1 0.7 2.0 2.1 1.3 1.7 -0.2 -0.3 4.5 -9.3 5.1 -10.0 1.5 -2.2 -1.7 -2.3 -2.1 -1.8 4.1 -7.7 4.6 -8.6 -3.4 11.2 -0.2 -2.1 2.2 -3.2 2.0 -3.3 1.6 -20.0 -15.4 6.7 3.2 REDWHEAT -10.7 0.6 3.3 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 1.1 -6.9 -9.4 -12.2 -1.2 -0.0 4.7 5.7 7.0 7.3 -4.3 -5.0 -5.7 -5.3 -5.9 3.4 12.9 -0.8 -0.5 -2.2 0.6 -1.2 0.5 -5.7 20.0 20.0 15.9 5.3 ROBUSTA 0.6 5.7 20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 13.9 15.2 14.1 11.7 14.5 15.6 13.7 11.1 12.6 12.0 20.0 20.0 20.0 18.5 20.0 -20.0 9.6 6.6 8.0 6.2 6.0 4.2 5.8 2.5 20.0 20.0 20.0 20.0 RUSSELL 18.6 6.3 -6.9 3.6 4.6 4.3 4.2 3.4 3.4 12.3 -7.8 12.5 -9.8 9.9 -6.1 -6.0 -5.0 -6.0 -5.8 2.9 -3.3 20.0 -5.8 13.5 16.5 10.0 1.8 11.2 -0.7 10.7 -0.9 6.8 -0.2 20.0 20.0 1.2 -16.6 SILVER-mini -16.4 -14.5 10.8 0.7 2.0 2.1 1.3 1.7 -0.2 11.9 7.4 1.6 3.7 -8.7 3.3 -6.8 -5.6 -6.5 -6.2 -2.7 4.9 1.8 5.5 -6.1 -6.5 -11.3 -1.4 4.9 1.2 0.3 1.0 -2.6 -5.2 5.4 -13.8 -13.6 0.2 SOYBEAN -7.6 -19.4 -20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 11.1 -13.2 -4.8 -9.6 -11.5 -14.1 13.0 20.0 20.0 20.0 -20.0 -20.0 -4.9 -12.7 -20.0 14.4 -11.7 -5.5 2.1 -5.4 0.9 -2.6 -2.6 20.0 20.0 -4.4 -13.5 -20.0 SOYMEAL -20.0 -20.0 -20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 -7.8 -2.2 -13.4 5.0 -15.2 -15.4 20.0 20.0 20.0 20.0 -20.0 -11.6 -15.9 6.1 -20.0 -19.8 -12.0 -5.5 -0.8 -2.6 -2.2 1.9 -4.7 20.0 18.1 -1.7 -9.1 -12.3 SOYOIL 8.7 -4.1 -20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 13.0 -14.3 6.8 -10.8 -6.0 -12.4 6.5 10.7 5.3 6.5 -18.0 -20.0 11.1 -14.3 -4.8 19.6 12.9 -3.5 6.9 -5.9 6.1 -3.9 1.7 -2.5 20.0 20.0 8.6 -20.0 SP400 12.5 -0.2 -11.0 3.6 4.6 4.3 4.2 3.4 3.4 12.0 -3.4 11.2 -2.6 5.7 -7.2 -5.7 -4.8 -5.7 -5.5 -0.1 -3.0 19.4 -2.2 8.9 14.8 10.2 -0.4 11.2 -1.8 9.7 -0.6 4.6 0.2 20.0 8.4 -6.9 -20.0 SP500 11.5 7.1 11.2 3.6 4.6 4.3 4.2 3.4 3.4 13.1 13.9 14.6 -1.9 14.6 14.7 -10.2 -7.4 -9.5 -8.7 14.2 10.3 17.5 3.5 17.0 1.4 10.2 5.8 5.0 4.5 7.2 2.5 7.2 -4.5 20.0 15.8 10.0 8.7 SUGAR11 -20.0 -0.3 20.0 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 5.3 14.1 -8.4 13.8 1.5 11.1 4.8 20.0 10.8 19.2 16.3 20.0 -3.5 20.0 0.0 -20.0 -10.5 4.5 2.5 7.5 -0.5 7.3 0.4 20.0 17.9 1.2 20.0 20.0 US10 -19.9 -7.6 14.7 -0.1 -0.6 0.3 0.1 -2.6 -0.5 -5.6 2.9 -11.0 -9.7 -11.7 0.5 -9.2 -6.6 -9.9 -9.4 -7.9 -3.6 -11.2 -8.9 -12.9 -2.2 9.7 -3.0 -3.7 -0.1 -6.2 -1.6 -6.5 -14.7 -20.0 -20.0 -13.1 0.9 US10U -15.4 -7.3 12.7 -0.1 -0.6 0.3 0.1 -2.6 -0.5 -4.2 3.2 -9.1 -9.9 -10.4 -0.6 -1.7 -1.1 -3.9 -3.2 -7.1 -4.0 -8.2 -9.4 -10.2 -3.4 -14.1 -3.3 -3.8 -0.1 -6.1 -1.2 -6.5 -4.5 -20.0 -20.0 -13.7 -0.3 US20 -12.6 -9.1 9.8 -0.1 -0.6 0.3 0.1 -2.6 -0.5 -1.7 4.2 -5.9 -8.6 -8.8 -1.6 -1.0 -1.5 -1.7 -2.2 -7.5 -4.6 -5.4 -9.5 -8.8 -0.6 -12.3 -3.3 -3.1 -0.6 -4.7 -1.9 -5.6 -4.1 -17.0 -18.1 -13.7 -1.9 US30 -8.3 -8.6 6.9 -0.1 -0.6 0.3 0.1 -2.6 -0.5 -2.4 0.9 -5.2 -10.4 -9.4 -8.7 -0.5 -0.9 -1.2 -1.3 -8.5 -7.1 -3.9 -13.2 -7.8 -0.6 10.0 -3.8 -2.5 -1.2 -3.8 -2.6 -5.3 -2.7 -13.7 -11.4 -12.1 -5.5 US5 -20.0 -8.1 15.4 -0.1 -0.6 0.3 0.1 -2.6 -0.5 -4.7 2.1 -11.2 -9.8 -11.9 0.2 -12.3 -7.5 -11.6 -10.6 -9.4 -4.0 -12.7 -9.6 -15.5 -0.8 10.8 -3.1 -2.8 -0.3 -5.8 -2.1 -6.4 -16.5 -20.0 -20.0 -13.8 0.2 VIX -20.0 -12.4 -8.3 -4.7 -7.6 -4.1 -8.3 -4.2 -6.7 -13.8 -16.1 -15.6 -15.2 -16.1 -16.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.9 -20.0 -19.4 -20.0 NaN -13.5 -5.9 -7.4 -5.2 -8.9 -5.6 -8.1 NaN NaN NaN NaN NaN WHEAT -0.8 -4.0 -10.3 -4.6 0.3 -3.2 -2.8 -1.6 -4.8 10.3 -15.0 -3.0 -15.6 -10.2 -13.6 -12.5 -10.0 -12.5 -11.8 -17.0 -20.0 1.8 -20.0 -7.9 19.3 11.9 -4.4 2.7 -6.3 2.9 -4.9 -0.2 -20.0 20.0 20.0 4.5 -16.6 End of report for caleb_strategy_v1