******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230609_204652 produced at 2023-06-09 21:37:48.821480 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.48 0.0 4.346455e+07 -4.346455e+07 -0.39 -0.39 -11.01 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.12 -0.20 0.0 6.723824e+06 -6.723824e+06 -0.12 -0.12 -29.71 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.19 0.0 5.049701e+07 -5.049701e+07 -0.10 -0.10 -3.84 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.39 -0.17 0.0 3.271942e+07 -3.271942e+07 -0.39 -0.39 -5.32 999999999.0 -12 -12 caleb_strategy_v1 EUR False False 0.05 -0.24 -0.17 0.0 4.898688e+07 -4.898688e+07 -0.24 -0.24 -3.44 999999999.0 -5 -5 caleb_strategy_v1 US20 False False 0.05 -0.19 -0.16 0.0 4.645406e+07 -4.645406e+07 -0.19 -0.19 -3.36 999999999.0 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.16 -0.12 0.0 3.943869e+07 -3.943869e+07 -0.16 -0.16 -3.05 999999999.0 -4 -4 caleb_strategy_v1 GOLD_micro False False 0.01 -0.11 -0.08 0.0 7.200505e+06 -7.200505e+06 -0.11 -0.11 -10.81 999999999.0 -15 -15 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 4.131781e+07 -4.131781e+07 0.00 0.00 -1.64 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 0.00 -0.05 0.0 4.405562e+07 -4.405562e+07 0.00 0.00 -1.04 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 5.364907e+07 -5.364907e+07 0.00 0.00 -0.92 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.04 0.0 1.227417e+07 -1.227417e+07 -0.09 -0.09 -3.19 999999999.0 -7 -7 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.606462e+07 -3.606462e+07 -0.04 -0.04 -0.90 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.03 0.0 1.379022e+07 -1.379022e+07 -0.01 -0.01 -1.94 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.155623e+07 -1.155623e+07 -0.05 -0.05 -2.76 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.242413e+07 -2.242413e+07 0.00 0.00 -1.16 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.504579e+07 -2.504579e+07 -0.03 -0.03 -0.97 999999999.0 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 4.792319e+07 -4.792319e+07 0.00 0.00 -0.13 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.0 2.528449e+07 -2.528449e+07 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.01 0.0 1.687730e+07 -1.687730e+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 4.956314e+07 -4.956314e+07 -0.10 -0.10 -0.19 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 9.679391e+05 -9.679391e+05 -0.02 -0.02 -11.96 999999999.0 -19 -19 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 3.682534e+07 -3.682534e+07 0.00 0.00 -0.14 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8.538709e+06 -8.538709e+06 -0.02 -0.02 -1.22 999999999.0 -2 -2 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 1.369637e+07 -1.369637e+07 0.00 0.00 -0.33 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.00 0.0 1.020010e+07 -1.020010e+07 0.01 0.01 0.33 999999999.0 1 1 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 1.449540e+07 -1.449540e+07 0.00 0.00 0.18 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.200813e+07 -1.200813e+07 -0.05 -0.05 -0.12 999999999.0 -4 -4 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.537551e+07 -1.537551e+07 0.02 0.02 0.39 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.561066e+07 -2.561066e+07 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 3.440265e+07 -3.440265e+07 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 9.854319e+06 -9.854319e+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 9.666635e+06 -9.666635e+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 1.847503e+07 -1.847503e+07 0.00 0.00 0.53 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.156716e+07 -1.156716e+07 0.00 0.00 0.74 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 6.275951e+06 -6.275951e+06 0.01 0.01 2.61 999999999.0 1 1 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 2.456838e+07 -2.456838e+07 0.00 0.00 0.82 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.231617e+07 -2.231617e+07 0.00 0.00 0.77 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.641621e+06 -3.641621e+06 0.00 0.00 5.80 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.03 0.0 2.506219e+07 -2.506219e+07 0.00 0.00 1.40 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 0.03 0.0 6.175714e+06 -6.175714e+06 -0.01 -0.01 4.71 999999999.0 -1 -1 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 2.836651e+07 -2.836651e+07 0.06 0.06 1.55 999999999.0 2 2 caleb_strategy_v1 GBP False False 0.03 0.29 0.04 0.0 2.865142e+07 -2.865142e+07 0.29 0.29 1.42 999999999.0 10 10 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.04 0.0 2.194809e+07 -2.194809e+07 0.00 0.00 1.94 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.11 0.05 0.0 1.061508e+08 -1.061508e+08 0.11 0.11 0.51 999999999.0 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.053763e+07 -1.053763e+07 0.00 0.00 4.82 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.05 0.0 7.847194e+07 -7.847194e+07 0.00 0.00 0.60 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.06 0.0 3.398538e+06 -3.398538e+06 0.00 0.00 16.46 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.74 0.06 0.0 9.267579e+07 -9.267579e+07 0.74 0.74 0.68 999999999.0 8 8 caleb_strategy_v1 CAD False False 0.03 0.00 0.07 0.0 2.730711e+07 -2.730711e+07 0.00 0.00 2.43 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.05 0.08 0.0 4.550114e+07 -4.550114e+07 0.05 0.05 1.69 999999999.0 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 5.051797e+07 -5.051797e+07 0.00 0.00 1.86 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 5.06 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.42 0.31 0.0 5.269835e+07 -5.269835e+07 0.42 0.42 5.81 999999999.0 8 8 caleb_strategy_v1 BOBL False False 0.05 0.00 0.33 0.0 4.581543e+07 -4.581543e+07 0.00 0.00 7.16 999999999.0 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.39 0.0 0.000000e+00 0.000000e+00 0.00 0.00 46.34 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 52.5 Sum abs risk 53.4 Leverage 3.99 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2743974.38, 'annual_cash_vol_target': 685993.595, 'daily_cash_vol_target': 42874.5996875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6742 0.6600 10.5596 BITCOIN 857.2269 26560.0000 3.2275 51.6402 BOBL 0.3282 116.6200 0.2814 4.5022 BTP 0.6608 115.8200 0.5706 9.1291 BUND 0.6476 134.1400 0.4828 7.7250 BUXL 1.5316 136.5600 1.1216 17.9450 CAC 59.8640 7220.5000 0.8291 13.2654 CAD 0.0031 0.7493 0.4173 6.6769 CANOLA 9.0600 667.6000 1.3571 21.7135 CHF 0.0054 1.1085 0.4866 7.7856 COCOA 30.6680 3171.0000 0.9671 15.4742 COFFEE 3.4683 187.4000 1.8507 29.6119 COPPER 0.0457 3.7760 1.2112 19.3791 CORN 6.7307 530.5000 1.2687 20.2998 COTTON2 1.3991 84.3800 1.6580 26.5287 CRUDE_W 1.3063 69.3800 1.8828 30.1245 DAX 128.8822 15975.0000 0.8068 12.9084 DOW 241.3558 33892.0000 0.7121 11.3941 EUR 0.0049 1.0754 0.4593 7.3483 EUROSTX 38.6494 4296.0000 0.8997 14.3945 FEEDCOW 1.6091 241.7750 0.6655 10.6483 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 12.9659 687.2500 1.8866 30.1861 GASOILINE 0.0424 2.4059 1.7612 28.1785 GAS_US 0.0927 2.3430 3.9585 63.3365 GBP 0.0064 1.2579 0.5118 8.1888 GOLD_micro 16.1919 1975.8000 0.8195 13.1122 HEATOIL 0.0406 2.3562 1.7242 27.5867 JPY 0.0000 0.0072 0.6201 9.9209 LEANHOG 1.6495 84.2000 1.9590 31.3444 LIVECOW 1.3064 171.9250 0.7599 12.1582 MXP 0.0003 0.0578 0.6018 9.6290 NASDAQ 134.7015 14563.7500 0.9249 14.7985 NIKKEI 322.7540 32315.0000 0.9988 15.9804 NZD 0.0046 0.6123 0.7546 12.0729 OAT 0.6307 128.5900 0.4905 7.8478 OJ 4.9405 250.5500 1.9719 31.5500 PALLAD 29.8612 1315.0000 2.2708 36.3330 PLAT 16.7625 1013.9000 1.6533 26.4522 REDWHEAT 15.0531 795.5000 1.8923 30.2766 ROBUSTA 36.2872 2704.0000 1.3420 21.4717 RUSSELL 24.2573 1865.1000 1.3006 20.8094 SILVER-mini 0.3523 24.6125 1.4313 22.9003 SOYBEAN 12.3134 1204.5000 1.0223 16.3566 SOYMEAL 4.0048 378.4000 1.0584 16.9336 SOYOIL 0.9071 52.9000 1.7148 27.4372 SP400 28.4147 2543.0000 1.1174 17.8779 SP500 29.7484 4306.5000 0.6908 11.0525 SUGAR11 0.3589 24.9900 1.4363 22.9805 US10 0.4970 113.3750 0.4383 7.0134 US10U 0.6564 119.2656 0.5503 8.8054 US20 0.9251 127.4688 0.7258 11.6121 US30 1.3147 136.0000 0.9667 15.4670 US5 0.3377 108.2188 0.3121 4.9928 VIX 0.5438 18.4500 2.9477 47.1626 WHEAT 10.7957 659.0000 1.6382 26.2110 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.15 0.66 444.92 1.00 444.92 42874.6 96.36 5.34 51.46 BITCOIN 26.56 3.23 85.72 1.00 85.72 42874.6 500.15 -10.15 -507.66 BOBL 1166.20 0.28 328.16 1.07 351.52 42874.6 121.97 8.13 99.20 BTP 1158.20 0.57 660.83 1.07 707.88 42874.6 60.57 13.83 83.76 BUND 1341.40 0.48 647.64 1.07 693.75 42874.6 61.80 13.04 80.56 BUXL 1365.60 1.12 1531.61 1.07 1640.66 42874.6 26.13 -4.18 -10.93 CAC 722.05 0.83 598.64 1.07 641.26 42874.6 66.86 8.24 55.07 CAD 749.30 0.42 312.69 1.00 312.69 42874.6 137.12 9.92 135.97 CANOLA 133.52 1.36 181.20 0.75 135.61 42874.6 316.17 20.00 632.33 CHF 1385.62 0.49 674.25 1.00 674.25 42874.6 63.59 -16.15 -102.71 COCOA 317.10 0.97 306.68 1.00 306.68 42874.6 139.80 -9.07 -126.80 COFFEE 702.75 1.85 1300.61 1.00 1300.61 42874.6 32.97 5.06 16.68 COPPER 944.00 1.21 1143.37 1.00 1143.37 42874.6 37.50 2.79 10.44 CORN 265.25 1.27 336.53 1.00 336.53 42874.6 127.40 10.14 129.20 COTTON2 421.90 1.66 699.53 1.00 699.53 42874.6 61.29 4.20 25.76 CRUDE_W 693.80 1.88 1306.27 1.00 1306.27 42874.6 32.82 -1.18 -3.89 DAX 159.75 0.81 128.88 1.07 138.06 42874.6 310.55 1.55 48.07 DOW 169.46 0.71 120.68 1.00 120.68 42874.6 355.28 4.65 165.15 EUR 1344.19 0.46 617.35 1.00 617.35 42874.6 69.45 -13.24 -91.97 EUROSTX 429.60 0.90 386.49 1.07 414.01 42874.6 103.56 -1.14 -11.84 FEEDCOW 1208.88 0.67 804.53 1.00 804.53 42874.6 53.29 -7.28 -38.81 FTSE100 707.00 0.82 576.59 1.24 666.67 42874.6 64.31 7.63 49.07 GASOIL 687.25 1.89 1296.59 1.00 1296.59 42874.6 33.07 -4.13 -13.65 GASOILINE 1010.48 1.76 1779.61 1.00 1779.61 42874.6 24.09 -1.41 -3.40 GAS_US 234.30 3.96 927.48 1.00 927.48 42874.6 46.23 -17.53 -81.02 GBP 786.19 0.51 402.37 1.00 402.37 42874.6 106.55 7.47 79.65 GOLD_micro 197.58 0.82 161.92 1.00 161.92 42874.6 264.79 -18.24 -482.98 HEATOIL 989.60 1.72 1706.25 1.00 1706.25 42874.6 25.13 -5.00 -12.57 JPY 897.81 0.62 556.69 1.00 556.69 42874.6 77.02 -10.66 -82.13 LEANHOG 336.80 1.96 659.80 1.00 659.80 42874.6 64.98 -10.51 -68.30 LIVECOW 687.70 0.76 522.57 1.00 522.57 42874.6 82.05 6.33 51.97 MXP 289.15 0.60 174.01 1.00 174.01 42874.6 246.39 15.98 393.61 NASDAQ 2912.75 0.92 2694.03 1.00 2694.03 42874.6 15.91 5.95 9.46 NIKKEI 32315.00 1.00 32275.40 0.01 230.76 42874.6 185.79 13.13 243.98 NZD 612.35 0.75 462.05 1.00 462.05 42874.6 92.79 5.19 48.18 OAT 1285.90 0.49 630.72 1.07 675.63 42874.6 63.46 14.48 91.89 OJ 375.82 1.97 741.08 1.00 741.08 42874.6 57.85 -3.24 -18.75 PALLAD 1315.00 2.27 2986.12 1.00 2986.12 42874.6 14.36 -3.81 -5.47 PLAT 506.95 1.65 838.12 1.00 838.12 42874.6 51.16 4.28 21.88 REDWHEAT 397.75 1.89 752.66 1.00 752.66 42874.6 56.96 5.83 33.20 ROBUSTA 270.40 1.34 362.87 1.00 362.87 42874.6 118.15 9.04 106.82 RUSSELL 93.26 1.30 121.29 1.00 121.29 42874.6 353.50 8.99 317.78 SILVER-mini 615.31 1.43 880.68 1.00 880.68 42874.6 48.68 -10.68 -51.99 SOYBEAN 602.25 1.02 615.67 1.00 615.67 42874.6 69.64 4.73 32.97 SOYMEAL 378.40 1.06 400.48 1.00 400.48 42874.6 107.06 -3.07 -32.90 SOYOIL 317.40 1.71 544.29 1.00 544.29 42874.6 78.77 10.24 80.63 SP400 2543.00 1.12 2841.47 1.00 2841.47 42874.6 15.09 8.74 13.19 SP500 2153.25 0.69 1487.42 1.00 1487.42 42874.6 28.82 7.36 21.22 SUGAR11 279.89 1.44 402.00 1.00 402.00 42874.6 106.65 2.27 24.22 US10 1133.75 0.44 496.97 1.00 496.97 42874.6 86.27 -4.96 -42.77 US10U 1192.66 0.55 656.36 1.00 656.36 42874.6 65.32 -11.57 -75.58 US20 1274.69 0.73 925.12 1.00 925.12 42874.6 46.35 -9.82 -45.53 US30 1360.00 0.97 1314.69 1.00 1314.69 42874.6 32.61 -0.68 -2.21 US5 1082.19 0.31 337.70 1.00 337.70 42874.6 126.96 -6.25 -79.41 VIX 184.50 2.95 543.84 1.00 543.84 42874.6 78.84 -20.00 -157.67 WHEAT 329.50 1.64 539.78 1.00 539.78 42874.6 79.43 -2.93 -23.30 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 51.464 0.006 2.5 0.822 BITCOIN -507.661 0.009 2.5 -11.961 BOBL 99.205 0.029 2.5 7.158 BTP 83.756 0.008 2.5 1.692 BUND 80.561 0.029 2.5 5.813 BUXL -10.931 0.034 2.5 -0.918 CAC 55.075 0.011 2.5 1.548 CAD 135.972 0.007 2.5 2.428 CANOLA 632.333 0.004 2.5 5.804 CHF -102.709 0.015 2.5 -3.844 COCOA -126.802 0.009 2.5 -2.762 COFFEE 16.682 0.005 2.5 0.216 COPPER 10.444 0.011 2.5 0.285 CORN 129.204 0.004 2.5 1.165 COTTON2 25.764 0.006 2.5 0.388 CRUDE_W -3.886 0.053 2.5 -0.513 DAX 48.073 0.022 2.5 2.611 DOW 165.147 0.011 2.5 4.706 EUR -91.971 0.015 2.5 -3.442 EUROSTX -11.842 0.011 2.5 -0.333 FEEDCOW -38.807 0.011 2.5 -1.043 FTSE100 49.074 0.041 2.5 5.059 GASOIL -13.654 0.029 2.5 -0.974 GASOILINE -3.402 0.016 2.5 -0.140 GAS_US -81.019 0.006 2.5 -1.220 GBP 79.649 0.007 2.5 1.422 GOLD_micro -482.975 0.009 2.5 -10.806 HEATOIL -12.571 0.029 2.5 -0.897 JPY -82.126 0.026 2.5 -5.316 LEANHOG -68.302 0.019 2.5 -3.191 LIVECOW 51.969 0.011 2.5 1.396 MXP 393.609 0.005 2.5 4.819 NASDAQ 9.463 0.022 2.5 0.514 NIKKEI 243.983 0.076 2.5 46.340 NZD 48.182 0.006 2.5 0.770 OAT 91.890 0.008 2.5 1.856 OJ -18.753 0.007 2.5 -0.327 PALLAD -5.469 0.010 2.5 -0.132 PLAT 21.880 0.010 2.5 0.526 REDWHEAT 33.204 0.002 2.5 0.177 ROBUSTA 106.819 0.005 2.5 1.385 RUSSELL 317.780 0.021 2.5 16.460 SILVER-mini -51.988 0.009 2.5 -1.163 SOYBEAN 32.973 0.024 2.5 1.944 SOYMEAL -32.897 0.024 2.5 -1.940 SOYOIL 80.632 0.004 2.5 0.740 SP400 13.188 0.021 2.5 0.683 SP500 21.223 0.011 2.5 0.605 SUGAR11 24.216 0.005 2.5 0.329 US10 -42.767 0.015 2.5 -1.641 US10U -75.581 0.058 2.5 -11.012 US20 -45.527 0.029 2.5 -3.356 US30 -2.207 0.034 2.5 -0.185 US5 -79.409 0.015 2.5 -3.046 VIX -157.673 0.075 2.5 -29.713 WHEAT -23.296 0.002 2.5 -0.124 ==================== Position diags ==================== AUD 1.54 BITCOIN 11.78 BOBL 8.80 BTP 1.22 BUND 4.46 BUXL 2.19 CAC 1.88 CAD 2.45 CANOLA 2.90 CHF 2.38 COCOA 3.05 COFFEE 0.43 COPPER 1.02 CORN 1.15 COTTON2 0.92 CRUDE_W 4.34 DAX 16.87 DOW 10.12 EUR 2.60 EUROSTX 2.91 FEEDCOW 1.43 FTSE100 6.63 GASOIL 2.36 GASOILINE 0.99 GAS_US 0.70 GBP 1.90 GOLD_micro 5.92 HEATOIL 1.79 JPY 4.99 LEANHOG 3.04 LIVECOW 2.20 MXP 3.02 NASDAQ 0.86 NIKKEI 35.29 NZD 1.48 OAT 1.28 OJ 1.01 PALLAD 0.35 PLAT 1.23 REDWHEAT 0.30 ROBUSTA 1.53 RUSSELL 18.31 SILVER-mini 1.09 SOYBEAN 4.11 SOYMEAL 6.31 SOYOIL 0.72 SP400 0.78 SP500 0.82 SUGAR11 1.45 US10 3.31 US10U 9.52 US20 3.42 US30 2.74 US5 4.87 VIX 14.86 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.7 1.0 0.0 0 BITCOIN -12.0 -13.1 -10.8 -19.0 -19 BOBL 7.2 6.3 8.0 0.0 0 BTP 1.7 1.6 1.8 1.0 1 BUND 5.8 5.4 6.3 8.0 8 BUXL -0.9 -1.1 -0.7 0.0 0 CAC 1.5 1.4 1.7 2.0 2 CAD 2.4 2.2 2.7 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -3.8 -4.1 -3.6 -2.0 -2 COCOA -2.8 -3.1 -2.5 -4.0 -4 COFFEE 0.2 0.2 0.3 0.0 0 COPPER 0.3 0.2 0.4 0.0 0 CORN 1.2 1.1 1.3 5.0 5 COTTON2 0.4 0.3 0.5 1.0 1 CRUDE_W -0.5 -0.9 -0.1 0.0 0 DAX 2.6 0.9 4.3 1.0 1 DOW 4.7 3.7 5.7 -1.0 -1 EUR -3.4 -3.7 -3.2 -5.0 -5 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 -1.0 -1.2 -0.7 -1.0 -1 GASOILINE -0.1 -0.2 -0.0 0.0 0 GAS_US -1.2 -1.3 -1.2 -2.0 -2 GBP 1.4 1.2 1.6 10.0 10 GOLD_micro -10.8 -11.4 -10.2 -15.0 -15 HEATOIL -0.9 -1.1 -0.7 -1.0 -1 JPY -5.3 -5.8 -4.8 -12.0 -12 LEANHOG -3.2 -3.5 -2.9 -7.0 -7 LIVECOW 1.4 1.2 1.6 0.0 0 MXP 4.8 4.5 5.1 0.0 0 NASDAQ 0.5 0.4 0.6 1.0 1 NIKKEI 46.3 42.8 49.9 0.0 0 NZD 0.8 0.6 0.9 0.0 0 OAT 1.9 1.7 2.0 0.0 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.5 0.4 0.6 0.0 0 REDWHEAT 0.2 0.1 0.2 0.0 0 ROBUSTA 1.4 1.2 1.5 2.0 2 RUSSELL 16.5 14.6 18.3 0.0 0 SILVER-mini -1.2 -1.3 -1.1 0.0 0 SOYBEAN 1.9 1.5 2.4 0.0 0 SOYMEAL -1.9 -2.6 -1.3 -1.0 -1 SOYOIL 0.7 0.7 0.8 0.0 0 SP400 0.7 0.6 0.8 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 -2.0 -1.3 NaN 0 US10U -11.0 -12.0 -10.1 -9.0 -9 US20 -3.4 -3.7 -3.0 -4.0 -4 US30 -0.2 -0.5 0.1 -2.0 -2 US5 -3.0 -3.5 -2.6 -4.0 -4 VIX -29.7 -31.2 -28.2 -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 -0.0 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.2 -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 0.2 -0.0 -0.2 BITCOIN -0.1 -0.2 0.2 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 0.3 -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 0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 0.1 -0.5 0.2 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 0.1 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 0.7 0.5 0.2 0.2 0.1 0.0 0.0 -0.1 0.0 -1.2 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 2.5 0.2 0.4 0.2 0.1 BUND -0.0 0.0 0.1 -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 0.0 -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 0.1 -0.1 -0.1 -0.0 -0.3 -0.0 1.1 -2.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.4 -0.0 0.0 -0.0 -0.1 CAC -0.2 -0.2 0.1 0.1 0.0 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 -1.0 1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.2 -0.1 -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 0.2 -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 -0.0 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.2 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 -0.1 -0.1 -0.3 CHF -0.2 -0.2 0.1 -0.0 0.0 0.0 0.1 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 -0.2 -0.0 0.1 COCOA 0.0 0.1 0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.4 0.0 0.3 0.1 0.3 0.1 -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 -0.0 -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 -0.6 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 -0.1 -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 0.1 0.1 -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 -0.4 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 0.4 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 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.7 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 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.5 0.4 0.2 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -1.3 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 0.1 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 -2.0 2.2 0.1 0.0 0.1 -0.0 0.1 0.0 -0.5 -0.0 -0.2 0.1 0.1 DOW 0.0 -0.1 -0.0 0.1 0.0 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 -0.0 -0.1 -0.1 EUR -0.2 -0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 0.2 -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 -0.8 -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 0.1 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 -1.6 -1.8 0.0 -0.0 0.1 -0.0 0.1 0.0 1.5 -0.0 -0.2 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 0.1 -0.1 -0.3 -0.0 -0.0 -0.1 0.0 -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 1.2 -3.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.1 GASOILINE 0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.1 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 0.5 0.0 0.3 0.1 0.2 GAS_US 0.0 0.2 -0.3 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 1.9 -1.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.1 -0.2 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 0.1 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 0.2 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 0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.1 -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 0.1 -0.0 -0.1 JPY -0.2 -0.3 -0.2 -0.0 0.0 0.0 0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.3 -1.2 -0.6 -0.3 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 1.2 2.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -2.5 -0.1 -0.4 -0.3 -0.3 LEANHOG 0.1 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 -0.3 1.6 -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 0.0 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 2.8 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 0.3 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.1 -0.0 0.1 0.4 -0.7 -0.3 -0.2 -0.2 0.3 0.3 0.0 0.1 0.0 -1.6 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.6 0.2 0.5 0.3 0.3 NIKKEI 0.1 0.3 0.3 0.1 0.0 0.1 0.1 0.1 0.1 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 -0.7 -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 -0.2 -0.1 -0.2 OAT -0.0 0.1 0.1 -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 0.5 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 -0.3 0.3 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.0 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 -0.1 0.0 0.0 0.0 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 -0.2 -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 -0.4 -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 0.0 -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 0.1 REDWHEAT -0.1 0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 0.4 0.2 0.1 0.2 -0.1 -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 0.3 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 1.2 0.5 0.3 0.3 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 0.4 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 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.4 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 2.1 2.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.3 0.4 0.0 -0.2 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 -0.1 -0.2 0.0 SOYBEAN -0.0 -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 -0.0 -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 -0.1 -0.1 -0.2 SOYOIL 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 -0.3 0.6 0.5 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 -0.4 0.1 0.4 0.2 -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 0.2 0.1 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.1 -0.0 0.1 0.4 -0.8 -0.3 -0.2 -0.2 0.2 0.1 0.0 0.1 0.0 0.1 2.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.6 0.3 0.4 0.2 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 0.2 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.2 -0.0 -0.0 -0.7 -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 -0.1 -0.0 -0.1 -0.0 -0.4 -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 -0.2 0.1 -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 0.2 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.0 -1.0 -0.3 -0.3 -0.2 -0.1 -0.1 -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 -0.2 -0.0 VIX -0.2 -0.7 -0.6 -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 -0.0 -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 -1.3 -2.9 -6.3 -0.3 7.2 1.6 2.4 0.2 -1.2 13.8 -2.9 8.7 -6.6 -1.0 -9.3 -3.5 -3.3 -3.7 -3.6 -5.3 -6.8 14.3 -7.6 1.9 12.8 11.7 -1.9 12.7 -2.7 8.0 -3.4 1.5 -0.8 20.0 7.1 -0.1 -15.3 BITCOIN -7.9 -11.1 13.5 0.7 1.1 2.1 1.1 1.7 -0.1 -2.6 9.6 -3.7 -6.5 -11.2 4.7 -4.7 -2.8 -4.3 -3.5 -0.1 6.2 -4.4 1.4 -5.0 1.4 -18.1 -1.5 -2.1 2.2 -3.1 1.9 -3.7 -0.3 -16.9 1.0 -11.1 1.0 BOBL -8.4 2.6 7.1 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -6.8 -1.8 -3.3 -11.8 -4.7 3.2 -6.3 5.7 2.3 3.7 -2.5 -5.6 -5.4 -16.1 -4.1 8.8 10.8 -0.2 -2.6 -0.6 -2.5 -6.1 -1.7 7.5 -9.1 -6.8 1.9 0.4 BTP 4.8 4.0 10.2 -0.1 -0.1 0.3 0.1 -2.6 -0.5 8.0 8.7 8.5 -7.0 6.7 8.3 8.8 11.7 9.5 10.5 5.7 3.1 9.8 -6.3 8.5 -9.9 11.4 4.2 5.5 3.6 5.6 -1.4 4.9 18.6 14.6 17.0 12.2 5.5 BUND -3.9 2.7 6.4 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -3.8 -4.5 0.2 -12.7 -2.1 1.1 7.2 11.8 7.8 9.3 -2.2 -6.3 -2.0 -17.1 -1.8 5.7 12.3 -0.1 -0.7 -0.6 -1.0 -5.5 -0.8 17.5 -4.8 -1.7 1.8 -0.8 BUXL -0.3 -0.4 1.4 -0.1 -0.1 0.3 0.1 -2.6 -0.5 0.6 -11.8 1.6 -14.3 -3.7 -7.9 2.7 1.3 2.3 2.4 -6.5 -11.5 -0.2 -20.0 -2.9 8.6 -10.8 -2.0 2.0 -3.0 -0.0 -7.3 -1.2 2.6 -4.3 0.5 -2.0 -6.9 CAC -20.0 -14.6 3.8 3.7 3.3 4.4 3.9 3.5 3.5 4.6 13.4 -5.7 13.4 -6.1 6.7 -0.2 4.1 4.8 4.6 1.5 12.7 -4.9 17.6 -6.0 -9.2 8.9 0.1 -0.1 4.8 -2.9 6.9 -3.3 16.2 -13.5 -20.0 -5.1 -0.8 CAD 2.7 4.9 7.2 -0.3 7.2 1.6 2.4 0.2 -1.2 14.1 0.5 12.7 -9.2 6.7 6.5 -3.2 -2.3 -3.1 -2.8 3.6 -0.8 15.3 -6.8 8.7 13.5 10.4 2.8 8.9 0.6 8.4 -2.7 5.1 0.8 19.0 18.3 6.0 -1.4 CANOLA -10.5 -4.3 -20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 12.4 -14.1 -4.9 -14.5 -10.1 -13.9 20.0 20.0 20.0 20.0 -20.0 -20.0 0.9 -18.7 -15.9 20.0 13.2 -6.2 4.3 -7.1 0.2 -5.5 -3.7 20.0 12.6 -12.7 -8.9 -20.0 CHF -16.9 -10.0 8.2 -0.3 7.2 1.6 2.4 0.2 -1.2 4.4 11.0 -6.3 9.1 -11.0 2.6 -16.8 -15.1 -16.1 -15.7 -1.7 5.8 -2.3 6.1 -6.9 -4.9 -11.5 -0.6 3.6 2.8 -0.8 2.3 -3.2 -20.0 -12.9 -8.1 -2.7 6.4 COCOA 1.4 5.1 20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 13.9 15.7 13.0 12.2 13.3 15.1 0.7 -0.9 0.5 0.3 20.0 20.0 20.0 18.1 18.8 -20.0 -10.4 6.5 9.9 7.0 7.3 5.8 6.1 -17.9 20.0 20.0 20.0 20.0 COFFEE -5.1 -3.0 12.1 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 9.9 3.5 4.6 -3.8 -5.5 0.1 6.8 5.0 6.7 5.9 2.0 2.2 8.6 -1.9 1.6 -3.8 10.0 3.7 11.1 2.9 7.7 0.4 4.3 -8.1 20.0 20.0 20.0 20.0 COPPER 0.3 -20.0 -11.0 0.7 1.1 2.1 1.1 1.7 -0.1 12.4 -0.5 10.8 -4.2 -6.5 -9.8 -2.9 -1.2 -2.2 -1.7 -12.3 -8.1 6.9 -3.3 -4.5 5.5 11.1 -4.4 2.5 -3.4 2.0 -1.4 -1.6 2.5 7.5 3.9 -20.0 -20.0 CORN 20.0 -1.4 -18.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 0.2 -11.8 9.7 -9.1 -2.2 -8.4 -4.5 13.6 3.1 9.4 -9.1 -14.7 6.3 -9.3 2.2 20.0 11.0 -3.0 0.3 -5.8 3.0 -4.5 1.7 3.2 20.0 20.0 4.2 -20.0 COTTON2 7.1 11.3 2.4 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 14.0 2.1 11.5 -11.6 10.3 7.3 9.2 6.7 3.2 2.4 5.1 -2.1 11.3 -7.3 9.4 -6.8 12.0 3.3 5.7 0.2 5.9 -0.6 5.4 -10.2 20.0 20.0 20.0 14.5 CRUDE_W 1.7 -9.5 -8.5 -2.9 -0.2 -3.8 1.2 -1.4 -0.3 3.5 -5.1 1.3 -7.2 -7.5 -5.9 6.6 10.4 7.5 8.4 -6.6 -6.2 -2.0 -2.2 -4.4 -11.2 10.8 -0.9 -1.0 -1.8 2.4 0.7 1.8 -13.0 8.1 3.2 4.0 6.0 DAX -9.6 -5.9 5.8 3.7 3.3 4.4 3.9 3.5 3.5 7.2 14.7 -1.0 12.5 -0.4 10.1 -8.1 -6.8 -8.3 -8.1 6.6 13.7 0.5 14.2 1.5 -13.7 9.9 4.0 0.1 7.3 -0.1 7.1 1.0 -3.7 -7.3 -10.0 5.0 3.4 DOW 1.0 -3.2 -1.1 3.7 3.3 4.4 3.9 3.5 3.5 13.6 4.8 12.5 3.8 2.3 4.1 -8.9 -6.4 -8.5 -8.0 1.0 0.9 11.7 1.0 5.0 6.2 10.8 1.5 8.1 1.5 7.7 1.9 4.1 -3.3 20.0 -1.5 -7.3 -5.6 EUR -17.4 -15.4 5.3 -0.3 7.2 1.6 2.4 0.2 -1.2 3.8 9.9 -9.3 2.3 -13.5 -4.9 -8.3 -8.5 -7.9 -8.1 -7.9 1.5 -4.7 1.5 -11.6 -6.1 -11.1 -2.9 1.9 0.7 -1.6 0.3 -4.4 -9.1 -12.6 -12.4 -12.4 -1.9 EUROSTX -11.5 -8.8 4.9 3.7 3.3 4.4 3.9 3.5 3.5 5.1 14.8 -1.7 14.0 -1.1 10.5 -5.1 2.1 -3.2 -0.3 5.8 14.1 -1.0 16.7 -0.0 -12.4 -8.5 3.3 -0.3 7.0 -0.9 8.1 0.1 10.9 -12.4 -12.0 1.6 2.5 FEEDCOW 15.5 3.7 20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 -5.5 15.1 8.3 12.9 13.2 15.1 -20.0 -20.0 -20.0 -20.0 20.0 20.0 12.1 19.4 20.0 -20.0 12.2 6.2 -2.3 6.8 0.9 5.5 4.2 -20.0 16.0 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 11.5 -7.2 -20.0 -2.9 -0.2 -3.8 1.2 -1.4 -0.3 7.0 -12.8 9.5 -1.2 -3.6 -8.9 2.6 19.5 6.7 13.1 -10.9 -15.2 3.6 -5.0 -1.5 10.7 -15.4 -4.3 0.1 -6.2 1.5 -3.4 -0.6 0.2 4.1 -2.4 -3.4 -6.7 GASOILINE 8.3 -7.2 -4.6 -2.9 -0.2 -3.8 1.2 -1.4 -0.3 6.9 3.1 6.6 -2.3 0.5 -1.1 20.0 19.3 20.0 20.0 -0.1 -0.4 5.4 4.3 2.9 -20.0 -13.1 2.1 2.8 1.3 5.6 4.4 4.9 3.7 14.4 17.2 8.5 13.1 GAS_US 0.3 10.7 -20.0 -2.9 -0.2 -3.8 1.2 -1.4 -0.3 -0.7 -16.5 -10.1 -15.6 -9.8 -14.0 -20.0 -19.1 -20.0 -20.0 -17.5 -20.0 -6.8 -20.0 -9.6 15.7 -9.3 -3.8 -1.1 -6.5 -1.1 -5.3 -1.9 -20.0 -3.5 -7.8 13.9 -0.5 GBP -7.3 -1.5 12.5 -0.3 7.2 1.6 2.4 0.2 -1.2 12.7 13.6 7.6 2.5 -0.2 9.9 -2.1 -2.0 -2.0 -2.0 5.0 8.1 8.9 2.8 3.4 0.2 9.4 2.9 10.8 3.5 6.0 -1.1 2.5 1.7 11.1 8.2 7.0 11.0 GOLD_micro -17.5 -12.8 11.4 0.7 1.1 2.1 1.1 1.7 -0.1 -0.1 10.3 -9.7 5.7 -11.8 3.4 -13.8 -11.9 -13.2 -12.9 -2.4 7.3 -5.9 9.0 -8.9 -13.7 -13.8 -1.4 -0.6 3.0 -3.6 4.0 -4.8 -16.5 -16.8 -20.0 -12.6 8.8 HEATOIL 5.6 -7.6 -20.0 -2.9 -0.2 -3.8 1.2 -1.4 -0.3 7.2 -13.0 7.5 -2.0 -5.9 -10.2 0.0 20.0 5.6 13.8 -12.3 -15.5 2.1 -5.2 -4.1 2.9 -13.6 -3.1 1.3 -4.8 3.4 -0.5 1.3 3.0 17.2 3.8 -1.0 -7.5 JPY -13.5 -20.0 -8.9 -0.3 7.2 1.6 2.4 0.2 -1.2 1.2 -4.4 -10.5 -9.0 -13.4 -14.4 -17.4 -14.7 -16.8 -16.1 -20.0 -15.1 -7.6 -14.3 -17.7 8.7 9.9 -5.2 0.2 -3.4 -2.1 -3.8 -4.9 -20.0 -8.8 -20.0 -20.0 -19.8 LEANHOG 6.6 2.4 -20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 11.5 -14.0 4.7 -13.6 -3.8 -11.5 20.0 -20.0 -20.0 -20.0 -19.5 -20.0 5.0 -18.2 -7.7 20.0 -11.1 -6.4 1.1 -6.8 -1.4 -5.3 -4.5 -20.0 20.0 -14.2 -13.2 -20.0 LIVECOW 20.0 5.0 4.5 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 3.6 14.6 10.5 13.0 13.3 14.3 20.0 12.1 20.0 20.0 20.0 16.5 20.0 11.0 20.0 -20.0 -10.0 5.6 1.1 4.2 5.6 3.4 7.0 20.0 20.0 20.0 20.0 20.0 MXP 0.6 8.1 19.6 -0.3 7.2 1.6 2.4 0.2 -1.2 13.8 16.0 15.0 15.9 14.7 15.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.3 6.6 7.0 6.7 7.3 6.3 20.0 16.2 20.0 20.0 20.0 NASDAQ 16.9 15.6 20.0 3.7 3.3 4.4 3.9 3.5 3.5 9.7 15.1 14.1 -0.1 15.4 16.3 -10.2 -7.1 -9.5 -8.7 20.0 20.0 20.0 10.0 20.0 -14.0 10.2 6.4 1.5 5.2 4.0 3.1 6.2 -4.4 9.5 20.0 20.0 20.0 NIKKEI 7.7 18.2 18.2 3.7 3.3 4.4 3.9 3.5 3.5 9.6 15.1 12.7 12.8 14.6 15.7 13.5 12.3 10.6 11.6 20.0 20.0 20.0 12.6 20.0 -5.1 -9.1 6.1 2.7 4.4 4.3 2.3 6.0 20.0 18.0 20.0 20.0 20.0 NZD -14.4 -4.5 -2.5 -0.3 7.2 1.6 2.4 0.2 -1.2 11.9 2.8 -8.5 -2.1 -10.8 -10.9 0.7 0.8 0.9 0.8 -8.6 -4.7 -3.5 -4.3 -9.8 3.3 10.8 -3.4 3.7 -1.5 -1.6 -1.7 -4.3 6.4 -7.0 -12.8 -6.6 -10.4 OAT -1.7 3.8 5.6 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -1.1 -5.6 2.6 -12.6 0.6 1.7 9.9 12.3 11.0 11.6 -1.4 -5.7 -0.0 -15.6 -0.0 3.5 12.7 0.6 0.2 -0.3 -0.0 -6.2 0.2 20.0 -1.2 1.1 4.3 -1.5 OJ 7.5 -14.9 11.8 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 -13.3 13.2 0.4 14.7 4.1 10.1 20.0 20.0 20.0 20.0 15.4 20.0 -9.0 20.0 5.2 -20.0 -14.3 5.3 -3.8 8.0 -0.4 10.1 3.0 20.0 -12.2 20.0 20.0 20.0 PALLAD -17.8 -0.8 -3.5 0.7 1.1 2.1 1.1 1.7 -0.1 -12.8 -14.1 -13.9 -14.7 -13.5 -10.9 -2.8 -2.5 -2.9 -2.8 -14.1 -16.9 -20.0 -20.0 -18.1 20.0 -11.1 -3.1 -9.7 -3.2 -7.3 -4.6 -5.5 0.3 -20.0 -20.0 -1.0 -11.4 PLAT -17.4 -5.9 6.2 0.7 1.1 2.1 1.1 1.7 -0.1 -2.2 4.2 -9.4 5.0 -10.5 1.2 -2.2 -1.7 -2.3 -2.1 -2.3 3.8 -8.3 4.6 -8.9 -3.0 11.2 -0.4 -2.5 2.1 -3.4 2.0 -3.5 1.6 -19.6 -13.6 5.6 3.4 REDWHEAT -11.3 1.2 3.7 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 -1.0 -6.9 -10.0 -12.2 -1.6 -0.3 4.5 5.7 6.8 7.2 -4.6 -5.2 -6.1 -5.4 -6.2 3.4 12.9 -0.8 -1.5 -2.2 -0.1 -1.3 0.3 -6.1 19.2 14.2 14.5 5.1 ROBUSTA 2.7 5.2 20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 12.0 15.3 13.9 11.8 14.6 15.7 15.0 11.2 13.2 12.3 20.0 20.0 20.0 18.9 20.0 -20.0 9.6 6.6 6.7 6.1 6.1 4.2 6.0 2.6 20.0 20.0 20.0 20.0 RUSSELL 18.6 8.0 -6.1 3.7 3.3 4.4 3.9 3.5 3.5 9.3 -7.5 11.2 -9.6 9.9 -5.0 -6.0 -5.0 -6.0 -5.8 3.8 -2.8 20.0 -5.6 13.8 16.4 10.0 2.1 6.4 -0.5 9.0 -0.8 6.7 -0.2 20.0 20.0 3.1 -16.2 SILVER-mini -12.6 -14.8 10.9 0.7 1.1 2.1 1.1 1.7 -0.1 13.4 7.4 6.4 3.8 -7.5 3.6 -6.8 -5.6 -6.5 -6.2 -1.9 5.1 5.9 5.6 -3.7 -6.5 -11.3 -1.0 6.3 1.2 2.0 1.1 -1.7 -5.2 9.4 -7.4 -11.9 0.7 SOYBEAN -1.3 -17.1 -20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 13.3 -13.0 -1.1 -9.6 -10.3 -13.6 13.2 20.0 20.0 20.0 -20.0 -20.0 1.4 -12.6 -16.1 14.4 -11.7 -5.2 4.1 -5.4 2.1 -2.7 -1.8 20.0 20.0 3.4 -11.7 -20.0 SOYMEAL -20.0 -20.0 -20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 -10.7 -2.6 -14.1 4.7 -15.5 -15.6 20.0 20.0 20.0 20.0 -20.0 -12.4 -16.0 5.8 -20.0 -19.4 -12.0 -5.6 -1.6 -2.8 -2.4 1.8 -4.7 20.0 12.3 -6.9 -10.6 -12.6 SOYOIL 14.9 0.1 -20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 13.7 -14.0 9.9 -10.7 -3.2 -11.4 7.6 10.8 5.8 6.7 -14.5 -19.9 19.1 -13.4 0.7 19.4 12.9 -2.6 10.2 -5.4 7.9 -3.7 3.1 -2.6 20.0 20.0 12.3 -19.5 SP400 12.7 1.2 -10.1 3.7 3.3 4.4 3.9 3.5 3.5 9.7 -3.4 10.6 -2.5 6.5 -6.3 -5.8 -4.9 -5.7 -5.5 0.8 -2.6 17.4 -2.2 9.7 14.8 10.2 0.0 6.9 -1.6 8.5 -0.5 4.9 0.2 20.0 9.4 -5.2 -20.0 SP500 11.9 8.4 12.3 3.7 3.3 4.4 3.9 3.5 3.5 13.8 14.1 15.0 -1.8 15.0 15.0 -10.3 -7.4 -9.6 -8.7 15.2 11.0 18.3 3.9 18.1 1.1 10.2 5.9 5.1 4.5 6.9 2.5 7.1 -4.6 20.0 17.3 11.0 9.5 SUGAR11 -20.0 0.3 20.0 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 9.1 14.0 -6.8 13.7 1.1 11.0 4.6 20.0 10.5 18.9 16.9 20.0 -1.5 20.0 0.7 -20.0 -10.5 4.5 2.2 7.6 -0.1 7.5 0.5 20.0 13.2 -0.1 20.0 20.0 US10 -19.0 -8.7 11.7 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -8.1 2.5 -11.7 -9.7 -12.3 -0.1 -9.2 -6.6 -9.9 -9.4 -8.7 -4.1 -11.9 -9.2 -13.5 -1.9 9.7 -3.3 -3.9 -0.3 -6.0 -1.6 -6.4 -14.6 -20.0 -20.0 -14.3 0.5 US10U -14.4 -8.2 11.0 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -6.1 2.9 -9.5 -9.9 -10.9 -1.1 -1.4 -1.1 -3.7 -3.1 -7.7 -4.4 -8.6 -9.7 -10.7 -3.2 -14.1 -3.5 -3.5 -0.3 -5.7 -1.3 -6.4 -4.3 -20.0 -20.0 -14.7 -0.7 US20 -11.1 -9.8 8.6 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -2.5 4.1 -5.0 -8.5 -8.8 -1.8 -1.0 -1.5 -1.7 -2.2 -7.7 -4.9 -5.1 -9.8 -8.7 -0.7 -12.3 -3.5 -2.2 -0.8 -4.2 -1.9 -5.5 -4.1 -20.0 -17.9 -14.0 -2.0 US30 -6.9 -9.1 6.6 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -2.1 0.8 -3.4 -10.4 -9.1 -8.9 -0.6 -0.9 -1.2 -1.3 -8.6 -7.3 -3.3 -13.5 -7.6 -0.6 10.0 -3.9 -1.3 -1.3 -3.3 -2.6 -5.1 -2.6 -20.0 -10.9 -12.3 -5.5 US5 -20.0 -9.3 10.1 -0.1 -0.1 0.3 0.1 -2.6 -0.5 -10.0 1.7 -12.1 -9.8 -12.5 -0.4 -12.7 -7.6 -11.7 -10.7 -10.1 -4.6 -13.5 -9.9 -16.0 -0.5 10.8 -3.3 -3.5 -0.5 -5.7 -2.1 -6.4 -16.7 -20.0 -20.0 -14.9 -0.1 VIX -20.0 -13.9 -9.2 -4.8 -6.0 -4.1 -7.6 -4.1 -6.6 -13.7 -16.1 -15.6 -15.2 -16.2 -16.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -13.5 -5.9 -5.8 -5.1 -8.0 -5.4 -7.9 NaN NaN NaN NaN NaN WHEAT 1.3 -3.1 -10.4 -4.6 1.3 -3.2 -1.8 -1.7 -4.3 12.9 -15.0 -1.6 -15.6 -9.5 -13.3 -12.4 -10.0 -12.5 -11.8 -16.4 -20.0 3.5 -20.0 -6.5 19.2 11.9 -4.1 3.3 -6.3 3.3 -5.0 0.3 -20.0 20.0 20.0 4.9 -16.2 End of report for caleb_strategy_v1