******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230613_204619 produced at 2023-06-13 21:38:33.319043 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.50 0.0 4.292486e+07 -4.292486e+07 -0.39 -0.39 -11.69 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.12 -0.21 0.0 6.616025e+06 -6.616025e+06 -0.12 -0.12 -31.90 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.20 0.0 5.003255e+07 -5.003255e+07 -0.10 -0.10 -4.09 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.39 -0.19 0.0 3.232789e+07 -3.232789e+07 -0.39 -0.39 -5.81 999999999.0 -12 -12 caleb_strategy_v1 US20 False False 0.05 -0.18 -0.17 0.0 4.576839e+07 -4.576839e+07 -0.18 -0.18 -3.64 999999999.0 -4 -4 caleb_strategy_v1 EUR False False 0.05 -0.24 -0.17 0.0 4.889741e+07 -4.889741e+07 -0.24 -0.29 -3.52 999999999.0 -5 -6 caleb_strategy_v1 US5 False False 0.04 -0.16 -0.14 0.0 3.906173e+07 -3.906173e+07 -0.16 -0.23 -3.47 999999999.0 -4 -6 caleb_strategy_v1 GOLD_micro False False 0.01 -0.11 -0.08 0.0 7.082228e+06 -7.082228e+06 -0.11 -0.11 -11.78 999999999.0 -15 -15 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 4.085169e+07 -4.085169e+07 0.00 0.00 -1.84 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.06 0.0 5.239178e+07 -5.239178e+07 0.00 0.00 -1.08 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 0.00 -0.05 0.0 4.413704e+07 -4.413704e+07 0.00 0.00 -1.13 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.04 0.0 1.267739e+07 -1.267739e+07 -0.09 -0.08 -2.86 999999999.0 -7 -6 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.609304e+07 -3.609304e+07 -0.04 -0.04 -0.84 999999999.0 -1 -1 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.03 0.0 1.389546e+07 -1.389546e+07 -0.01 -0.01 -2.04 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.154995e+07 -1.154995e+07 -0.05 -0.05 -2.61 999999999.0 -4 -4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.172866e+07 -2.172866e+07 0.00 0.00 -1.18 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.02 0.00 -0.02 0.0 2.494513e+07 -2.494513e+07 0.00 0.00 -0.82 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.03 -0.02 0.0 2.523152e+07 -2.523152e+07 -0.03 -0.05 -0.91 999999999.0 -1 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 4.904921e+07 -4.904921e+07 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.01 0.0 4.886115e+07 -4.886115e+07 -0.10 -0.10 -0.20 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 9.394755e+05 -9.394755e+05 -0.02 -0.02 -12.97 999999999.0 -19 -23 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 0.000000e+00 -0.000000e+00 0.00 0.00 -0.14 0.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8.729527e+06 -8.729527e+06 -0.02 -0.03 -1.46 999999999.0 -2 -3 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 1.429243e+07 -1.429243e+07 0.00 0.00 0.15 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 1.354019e+07 -1.354019e+07 0.00 0.00 -0.35 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.00 0.0 1.004911e+07 -1.004911e+07 0.01 0.01 0.32 999999999.0 1 1 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.203573e+07 -1.203573e+07 -0.05 -0.05 -0.12 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 0.00 -0.00 0.0 1.707801e+07 -1.707801e+07 0.00 -0.03 -0.19 999999999.0 0 -2 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 2.423912e+07 -2.423912e+07 0.00 0.00 0.18 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.510810e+07 -1.510810e+07 0.02 0.02 0.41 999999999.0 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.167611e+07 -1.167611e+07 0.00 0.00 0.85 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 3.466616e+07 -3.466616e+07 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 9.987478e+06 -9.987478e+06 0.05 0.05 1.16 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.776176e+07 -1.776176e+07 0.00 0.00 0.47 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.726462e+06 -9.726462e+06 0.02 0.02 1.58 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.226791e+07 -2.226791e+07 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.673700e+06 -3.673700e+06 0.00 0.00 6.19 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.03 0.0 2.458623e+07 -2.458623e+07 0.00 0.00 1.05 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.03 0.0 6.329894e+06 -6.329894e+06 0.01 0.01 4.02 999999999.0 1 1 caleb_strategy_v1 GBP False False 0.03 0.29 0.04 0.0 2.855086e+07 -2.855086e+07 0.29 0.29 1.48 999999999.0 10 10 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.04 0.0 2.525690e+07 -2.525690e+07 0.00 0.00 1.55 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 0.04 0.0 6.201118e+06 -6.201118e+06 -0.01 0.00 6.23 999999999.0 -1 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.05 0.0 2.843930e+07 -2.843930e+07 0.06 0.03 1.74 999999999.0 2 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.05 0.0 1.034275e+07 -1.034275e+07 0.00 0.00 5.25 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.00 0.05 0.0 0.000000e+00 -0.000000e+00 0.00 0.00 0.60 0.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.11 0.06 0.0 1.092877e+08 -1.092877e+08 0.11 0.11 0.56 999999999.0 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.06 0.0 2.245823e+07 -2.245823e+07 0.00 0.00 2.45 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.07 0.0 2.728702e+07 -2.728702e+07 0.00 0.00 2.66 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.07 0.0 3.478035e+06 -3.478035e+06 0.00 0.00 19.58 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.05 0.08 0.0 4.536723e+07 -4.536723e+07 0.05 0.05 1.85 999999999.0 1 1 caleb_strategy_v1 SP400 False False 0.09 0.75 0.08 0.0 9.379529e+07 -9.379529e+07 0.75 0.84 0.82 999999999.0 8 9 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 4.986185e+07 -4.986185e+07 0.00 0.00 1.86 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.18 0.0 0.000000e+00 0.000000e+00 0.00 0.00 5.62 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.26 0.0 4.523469e+07 -4.523469e+07 0.00 0.00 5.83 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.42 0.30 0.0 5.193569e+07 -5.193569e+07 0.42 0.42 5.77 999999999.0 8 8 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.39 0.0 8.686606e+06 -8.686606e+06 0.00 0.07 44.88 999999999.0 0 8 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 21.0 Shocked risk 55.7 Sum abs risk 55.5 Leverage 4.11 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2758454.09, 'annual_cash_vol_target': 689613.5225, 'daily_cash_vol_target': 43100.84515625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6782 0.6333 10.1335 BITCOIN 831.9763 25915.0000 3.2104 51.3665 BOBL 0.3379 116.0400 0.2912 4.6589 BTP 0.6459 116.3800 0.5550 8.8801 BUND 0.6475 133.2300 0.4860 7.7763 BUXL 1.4947 134.4000 1.1121 17.7942 CAC 58.2898 7295.5000 0.7990 12.7837 CAD 0.0031 0.7527 0.4119 6.5910 CANOLA 8.7784 676.3000 1.2980 20.7681 CHF 0.0054 1.1041 0.4893 7.8281 COCOA 33.3418 3186.0000 1.0465 16.7442 COFFEE 3.5667 178.3000 2.0004 32.0065 COPPER 0.0464 3.8250 1.2125 19.3999 CORN 7.3190 551.0000 1.3283 21.2529 COTTON2 1.3426 83.3500 1.6109 25.7737 CRUDE_W 1.3933 68.8100 2.0248 32.3973 DAX 129.0918 16238.0000 0.7950 12.7200 DOW 233.4149 34211.0000 0.6823 10.9165 EUR 0.0048 1.0790 0.4462 7.1386 EUROSTX 38.1848 4381.0000 0.8716 13.9456 FEEDCOW 1.5543 243.5000 0.6383 10.2128 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 12.7054 696.0000 1.8255 29.2078 GAS_US 0.0906 2.4080 3.7625 60.2003 GBP 0.0066 1.2601 0.5265 8.4245 GOLD_micro 15.7761 1953.6000 0.8075 12.9206 HEATOIL 0.0424 2.3705 1.7901 28.6422 JPY 0.0000 0.0071 0.6070 9.7128 LEANHOG 1.7013 87.4250 1.9461 31.1370 LIVECOW 1.2700 174.1750 0.7291 11.6661 MXP 0.0003 0.0571 0.5904 9.4466 NASDAQ 134.8357 15073.2500 0.8945 14.3126 NIKKEI 349.0129 33425.0000 1.0442 16.7067 NZD 0.0045 0.6142 0.7316 11.7057 OAT 0.6301 127.9100 0.4926 7.8823 OJ 4.7495 249.0000 1.9074 30.5190 PALLAD 29.4452 1353.0000 2.1763 34.8206 PLAT 16.5404 979.9000 1.6880 27.0075 REDWHEAT 14.3990 788.5000 1.8261 29.2180 ROBUSTA 35.2656 2683.0000 1.3144 21.0306 RUSSELL 23.2734 1918.8000 1.2129 19.4066 SILVER-mini 0.3497 23.9750 1.4587 23.3388 SOYBEAN 13.1327 1239.0000 1.0599 16.9591 SOYMEAL 3.9374 383.3000 1.0272 16.4359 SOYOIL 0.8954 53.6800 1.6681 26.6900 SP400 27.3862 2587.3000 1.0585 16.9357 SUGAR11 0.3525 24.7500 1.4241 22.7861 US10 0.4948 112.6875 0.4390 7.0248 US10U 0.6486 118.4062 0.5478 8.7641 US20 0.9107 126.2500 0.7214 11.5420 US30 1.2890 134.7812 0.9563 15.3013 US5 0.3376 107.7500 0.3133 5.0134 VIX 0.5239 18.2500 2.8705 45.9282 WHEAT 10.3471 664.0000 1.5583 24.9328 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 678.20 0.63 429.53 1.00 429.53 43100.85 100.34 6.36 63.83 BITCOIN 25.92 3.21 83.20 1.00 83.20 43100.85 518.05 -10.33 -534.98 BOBL 1160.40 0.29 337.88 1.08 363.33 43100.85 118.63 6.62 78.53 BTP 1163.80 0.56 645.91 1.08 694.55 43100.85 62.06 14.34 88.99 BUND 1332.30 0.49 647.52 1.08 696.28 43100.85 61.90 12.57 77.80 BUXL 1344.00 1.11 1494.71 1.08 1607.26 43100.85 26.82 -4.67 -12.54 CAC 729.55 0.80 582.90 1.08 626.79 43100.85 68.76 8.75 60.15 CAD 752.70 0.41 310.06 1.00 310.06 43100.85 139.01 10.41 144.71 CANOLA 135.26 1.30 175.57 0.75 131.54 43100.85 327.67 20.00 655.34 CHF 1380.12 0.49 675.23 1.00 675.23 43100.85 63.83 -16.66 -106.36 COCOA 318.60 1.05 333.42 1.00 333.42 43100.85 129.27 -9.02 -116.63 COFFEE 668.62 2.00 1337.52 1.00 1337.52 43100.85 32.22 4.08 13.14 COPPER 956.25 1.21 1159.45 1.00 1159.45 43100.85 37.17 3.63 13.48 CORN 275.50 1.33 365.95 1.00 365.95 43100.85 117.78 10.61 124.98 COTTON2 416.75 1.61 671.32 1.00 671.32 43100.85 64.20 4.17 26.78 CRUDE_W 688.10 2.02 1393.28 1.00 1393.28 43100.85 30.93 -1.96 -6.07 DAX 162.38 0.79 129.09 1.08 138.81 43100.85 310.50 2.32 71.99 DOW 171.06 0.68 116.71 1.00 116.71 43100.85 369.31 5.76 212.64 EUR 1348.81 0.45 601.79 1.00 601.79 43100.85 71.62 -12.75 -91.34 EUROSTX 438.10 0.87 381.85 1.08 410.60 43100.85 104.97 -0.64 -6.70 FEEDCOW 1217.50 0.64 777.13 1.00 777.13 43100.85 55.46 -7.38 -40.91 FTSE100 707.00 0.82 576.59 1.26 666.67 43100.85 64.65 8.20 53.00 GASOIL 696.00 1.83 1270.54 1.00 1270.54 43100.85 33.92 -3.65 -12.40 GAS_US 240.80 3.76 906.02 1.00 906.02 43100.85 47.57 -19.87 -94.53 GBP 787.56 0.53 414.68 1.00 414.68 43100.85 103.94 7.76 80.62 GOLD_micro 195.36 0.81 157.76 1.00 157.76 43100.85 273.20 -18.73 -511.65 HEATOIL 995.61 1.79 1782.28 1.00 1782.28 43100.85 24.18 -4.73 -11.43 JPY 891.75 0.61 541.34 1.00 541.34 43100.85 79.62 -10.95 -87.22 LEANHOG 349.70 1.95 680.54 1.00 680.54 43100.85 63.33 -9.40 -59.50 LIVECOW 696.70 0.73 507.99 1.00 507.99 43100.85 84.85 6.62 56.21 MXP 285.30 0.59 168.44 1.00 168.44 43100.85 255.88 16.30 417.19 NASDAQ 3014.65 0.89 2696.71 1.00 2696.71 43100.85 15.98 6.22 9.94 NIKKEI 33425.00 1.04 34901.29 0.01 250.20 43100.85 172.27 13.34 229.74 NZD 614.25 0.73 449.39 1.00 449.39 43100.85 95.91 5.77 55.32 OAT 1279.10 0.49 630.14 1.08 677.59 43100.85 63.61 14.07 89.51 OJ 373.50 1.91 712.43 1.00 712.43 43100.85 60.50 -3.25 -19.67 PALLAD 1353.00 2.18 2944.52 1.00 2944.52 43100.85 14.64 -4.14 -6.06 PLAT 489.95 1.69 827.02 1.00 827.02 43100.85 52.12 3.64 18.98 REDWHEAT 394.25 1.83 719.95 1.00 719.95 43100.85 59.87 4.71 28.22 ROBUSTA 268.30 1.31 352.66 1.00 352.66 43100.85 122.22 9.69 118.47 RUSSELL 95.94 1.21 116.37 1.00 116.37 43100.85 370.39 9.92 367.53 SILVER-mini 599.38 1.46 874.29 1.00 874.29 43100.85 49.30 -10.39 -51.22 SOYBEAN 619.50 1.06 656.63 1.00 656.63 43100.85 65.64 6.16 40.46 SOYMEAL 383.30 1.03 393.74 1.00 393.74 43100.85 109.46 -3.08 -33.70 SOYOIL 322.08 1.67 537.27 1.00 537.27 43100.85 80.22 11.27 90.45 SP400 2587.30 1.06 2738.62 1.00 2738.62 43100.85 15.74 9.75 15.34 SUGAR11 277.20 1.42 394.77 1.00 394.77 43100.85 109.18 2.09 22.84 US10 1126.88 0.44 494.75 1.00 494.75 43100.85 87.12 -5.34 -46.50 US10U 1184.06 0.55 648.58 1.00 648.58 43100.85 66.45 -11.74 -78.02 US20 1262.50 0.72 910.74 1.00 910.74 43100.85 47.33 -10.14 -47.99 US30 1347.81 0.96 1288.96 1.00 1288.96 43100.85 33.44 -0.70 -2.33 US5 1077.50 0.31 337.62 1.00 337.62 43100.85 127.66 -6.89 -88.01 VIX 182.50 2.87 523.87 1.00 523.87 43100.85 82.27 -20.00 -164.55 WHEAT 332.00 1.56 517.35 1.00 517.35 43100.85 83.31 -2.54 -21.12 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 63.832 0.007 2.5 1.049 BITCOIN -534.982 0.010 2.5 -12.966 BOBL 78.534 0.030 2.5 5.829 BTP 88.988 0.008 2.5 1.849 BUND 77.798 0.030 2.5 5.774 BUXL -12.536 0.035 2.5 -1.082 CAC 60.145 0.012 2.5 1.739 CAD 144.708 0.007 2.5 2.658 CANOLA 655.345 0.004 2.5 6.188 CHF -106.362 0.015 2.5 -4.095 COCOA -116.632 0.009 2.5 -2.613 COFFEE 13.140 0.005 2.5 0.175 COPPER 13.478 0.011 2.5 0.379 CORN 124.976 0.004 2.5 1.160 COTTON2 26.776 0.006 2.5 0.415 CRUDE_W -6.067 0.054 2.5 -0.824 DAX 71.987 0.022 2.5 4.021 DOW 212.638 0.012 2.5 6.233 EUR -91.341 0.015 2.5 -3.516 EUROSTX -6.700 0.012 2.5 -0.194 FEEDCOW -40.911 0.011 2.5 -1.131 FTSE100 53.004 0.042 2.5 5.621 GASOIL -12.396 0.029 2.5 -0.910 GAS_US -94.531 0.006 2.5 -1.464 GBP 80.624 0.007 2.5 1.481 GOLD_micro -511.648 0.009 2.5 -11.776 HEATOIL -11.429 0.029 2.5 -0.839 JPY -87.218 0.027 2.5 -5.807 LEANHOG -59.505 0.019 2.5 -2.860 LIVECOW 56.209 0.011 2.5 1.554 MXP 417.189 0.005 2.5 5.254 NASDAQ 9.937 0.022 2.5 0.555 NIKKEI 229.742 0.078 2.5 44.884 NZD 55.321 0.007 2.5 0.909 OAT 89.509 0.008 2.5 1.859 OJ -19.669 0.007 2.5 -0.353 PALLAD -6.064 0.010 2.5 -0.150 PLAT 18.977 0.010 2.5 0.470 REDWHEAT 28.217 0.002 2.5 0.155 ROBUSTA 118.471 0.005 2.5 1.580 RUSSELL 367.534 0.021 2.5 19.582 SILVER-mini -51.217 0.009 2.5 -1.179 SOYBEAN 40.465 0.024 2.5 2.454 SOYMEAL -33.698 0.024 2.5 -2.044 SOYOIL 90.448 0.004 2.5 0.854 SP400 15.341 0.021 2.5 0.817 SUGAR11 22.841 0.006 2.5 0.319 US10 -46.504 0.016 2.5 -1.835 US10U -78.018 0.060 2.5 -11.693 US20 -47.993 0.030 2.5 -3.639 US30 -2.334 0.035 2.5 -0.202 US5 -88.011 0.016 2.5 -3.473 VIX -164.548 0.078 2.5 -31.897 WHEAT -21.123 0.002 2.5 -0.116 ==================== Position diags ==================== AUD 1.65 BITCOIN 12.56 BOBL 8.80 BTP 1.29 BUND 4.59 BUXL 2.32 CAC 1.99 CAD 2.55 CANOLA 3.09 CHF 2.46 COCOA 2.90 COFFEE 0.43 COPPER 1.05 CORN 1.09 COTTON2 0.99 CRUDE_W 4.20 DAX 17.35 DOW 10.83 EUR 2.76 EUROSTX 3.04 FEEDCOW 1.53 FTSE100 6.86 GASOIL 2.49 GAS_US 0.74 GBP 1.91 GOLD_micro 6.29 HEATOIL 1.77 JPY 5.30 LEANHOG 3.04 LIVECOW 2.35 MXP 3.22 NASDAQ 0.89 NIKKEI 33.66 NZD 1.58 OAT 1.32 OJ 1.09 PALLAD 0.36 PLAT 1.29 REDWHEAT 0.33 ROBUSTA 1.63 RUSSELL 19.73 SILVER-mini 1.13 SOYBEAN 3.98 SOYMEAL 6.64 SOYOIL 0.76 SP400 0.84 SUGAR11 1.52 US10 3.44 US10U 9.96 US20 3.59 US30 2.89 US5 5.04 VIX 15.95 WHEAT 0.46 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.0 0.9 1.2 0.0 0 BITCOIN -13.0 -14.2 -11.7 -19.0 -19 BOBL 5.8 4.9 6.7 0.0 0 BTP 1.8 1.7 2.0 1.0 1 BUND 5.8 5.3 6.2 8.0 8 BUXL -1.1 -1.3 -0.9 0.0 0 CAC 1.7 1.5 1.9 2.0 2 CAD 2.7 2.4 2.9 0.0 0 CANOLA 6.2 5.9 6.5 NaN 0 CHF -4.1 -4.3 -3.8 -2.0 -2 COCOA -2.6 -2.9 -2.3 -4.0 -4 COFFEE 0.2 0.1 0.2 0.0 0 COPPER 0.4 0.3 0.5 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 -0.8 -1.2 -0.4 0.0 0 DAX 4.0 2.3 5.8 1.0 1 DOW 6.2 5.2 7.3 -1.0 -1 EUR -3.5 -3.8 -3.2 -5.0 -5 EUROSTX -0.2 -0.5 0.1 0.0 0 FEEDCOW -1.1 -1.3 -1.0 0.0 0 FTSE100 5.6 4.9 6.3 0.0 0 GASOIL -0.9 -1.2 -0.7 -1.0 -1 GAS_US -1.5 -1.5 -1.4 -2.0 -2 GBP 1.5 1.3 1.7 10.0 10 GOLD_micro -11.8 -12.4 -11.1 -15.0 -15 HEATOIL -0.8 -1.0 -0.7 -1.0 -1 JPY -5.8 -6.3 -5.3 -12.0 -12 LEANHOG -2.9 -3.2 -2.6 -7.0 -7 LIVECOW 1.6 1.3 1.8 0.0 0 MXP 5.3 4.9 5.6 0.0 0 NASDAQ 0.6 0.5 0.6 1.0 1 NIKKEI 44.9 41.5 48.3 0.0 0 NZD 0.9 0.8 1.1 0.0 0 OAT 1.9 1.7 2.0 0.0 0 OJ -0.4 -0.5 -0.2 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.5 0.3 0.6 0.0 0 REDWHEAT 0.2 0.1 0.2 0.0 0 ROBUSTA 1.6 1.4 1.7 2.0 2 RUSSELL 19.6 17.6 21.6 0.0 0 SILVER-mini -1.2 -1.3 -1.1 0.0 0 SOYBEAN 2.5 2.1 2.9 0.0 0 SOYMEAL -2.0 -2.7 -1.4 -1.0 -1 SOYOIL 0.9 0.8 0.9 0.0 0 SP400 0.8 0.7 0.9 8.0 8 SUGAR11 0.3 0.2 0.5 1.0 1 US10 -1.8 -2.2 -1.5 NaN 0 US10U -11.7 -12.7 -10.7 -9.0 -9 US20 -3.6 -4.0 -3.3 -4.0 -4 US30 -0.2 -0.5 0.1 -2.0 -2 US5 -3.5 -4.0 -3.0 -4.0 -4 VIX -31.9 -33.5 -30.3 -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 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 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 -0.0 -0.1 0.0 -0.1 0.0 1.4 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 0.4 -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 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 0.1 -0.8 0.2 0.0 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 1.4 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.9 -0.0 -0.1 0.0 -0.0 BTP 0.1 0.1 0.1 -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 0.1 0.0 0.0 0.0 -0.0 0.0 2.4 0.3 0.4 0.2 0.1 BUND -0.0 0.0 -0.0 -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 0.8 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 0.0 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 0.3 -0.0 0.0 -0.0 -0.1 CAC -0.2 -0.3 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.3 -0.0 0.3 -0.0 0.2 -0.1 0.2 0.1 0.1 0.0 0.2 0.0 0.2 -0.0 -0.8 1.7 0.0 0.0 0.1 0.0 0.1 -0.0 2.1 -0.1 -0.4 -0.1 -0.1 CAD 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.2 0.0 0.2 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 1.8 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 -0.0 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 -0.0 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 -0.1 0.0 -1.1 -0.6 -0.3 -0.3 -0.0 0.1 -0.0 0.1 -0.0 -0.6 -2.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -2.6 -0.2 -0.2 -0.1 0.1 COCOA 0.0 0.0 0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 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 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -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 -0.9 2.2 0.0 -0.0 0.0 0.0 0.0 0.0 -1.1 0.0 0.4 0.3 0.3 COPPER 0.1 -0.3 -0.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 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 0.7 2.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.3 0.3 0.3 -0.3 -0.3 CORN 0.2 0.1 -0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.2 0.0 -0.2 -0.4 0.6 0.1 0.2 -0.1 -0.1 0.0 -0.1 0.0 3.0 2.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.0 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 0.8 0.2 0.1 0.1 0.0 -0.0 0.0 -0.0 0.0 -2.1 3.0 0.0 0.0 0.0 0.0 -0.0 0.0 -1.3 0.0 0.3 0.6 0.5 CRUDE_W 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.5 0.4 0.2 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -2.4 2.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.9 -0.0 0.1 0.1 0.2 DAX -0.1 -0.1 0.2 0.1 0.1 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 -1.8 2.2 0.1 0.0 0.1 0.0 0.1 0.0 -0.5 -0.0 -0.2 0.0 0.0 DOW 0.1 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 -0.7 -0.3 -0.2 -0.2 0.0 0.0 0.0 0.0 0.0 0.9 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 -0.2 -0.2 -0.0 EUROSTX -0.1 -0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 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 -1.4 -1.8 0.0 0.0 0.1 0.0 0.1 0.0 1.4 -0.0 -0.2 -0.0 -0.0 FEEDCOW 0.1 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 0.3 -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 -0.5 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL 0.2 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.0 -0.0 -0.2 0.3 0.8 0.2 0.3 -0.1 -0.2 0.0 -0.1 -0.0 0.2 -3.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.9 0.1 0.1 0.0 0.0 GAS_US -0.0 0.2 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -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 0.8 -1.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.1 -0.1 0.2 0.1 GBP -0.0 -0.0 0.2 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.3 0.0 0.1 0.0 0.3 -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 0.0 0.2 0.1 0.2 GOLD_micro -0.2 -0.2 0.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -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 0.0 -0.0 -2.1 -0.1 -0.4 -0.2 0.1 HEATOIL 0.1 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.1 -0.0 -0.3 0.0 0.9 0.1 0.3 -0.1 -0.2 -0.0 -0.1 -0.0 -0.6 -2.7 -0.0 0.0 -0.1 0.0 -0.0 0.0 1.3 0.0 0.2 0.0 -0.0 JPY -0.1 -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 -0.4 -1.3 -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 -0.1 -0.0 -2.5 -0.2 -0.4 -0.3 -0.3 LEANHOG 0.2 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 -0.2 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 -0.2 -0.1 -0.3 LIVECOW 0.2 0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.3 0.0 0.3 0.0 0.3 1.6 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 0.1 0.1 0.3 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.4 0.0 0.4 0.1 0.4 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 0.1 0.1 0.2 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 0.1 0.5 0.3 0.3 NIKKEI 0.0 0.3 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.4 0.1 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 -0.1 -0.1 -0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 -0.1 -0.0 -0.2 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 0.0 -0.0 -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 0.2 -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 -0.3 -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 -0.1 -0.2 PLAT -0.2 -0.1 0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.3 2.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.3 0.0 0.0 REDWHEAT -0.1 0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 0.3 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 -0.9 -0.1 0.1 0.2 0.1 ROBUSTA 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 1.3 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 0.1 0.0 0.4 0.0 0.4 0.3 0.3 RUSSELL 0.3 0.2 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.1 -0.2 0.1 -0.1 -0.4 -0.2 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 2.2 2.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.3 0.4 0.0 -0.3 SILVER-mini -0.1 -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 -1.3 -3.2 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.0 SOYBEAN 0.1 -0.2 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.2 -0.0 -0.3 1.1 0.8 0.4 0.4 -0.2 -0.2 0.0 -0.1 -0.0 2.1 -2.5 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.7 0.0 0.4 -0.1 -0.3 SOYMEAL -0.2 -0.3 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.4 1.6 0.8 0.4 0.4 -0.2 -0.2 -0.0 0.1 -0.0 -2.6 -2.5 -0.1 0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.0 -0.1 -0.1 -0.2 SOYOIL 0.2 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 0.7 0.5 0.1 0.1 -0.1 -0.2 0.0 -0.2 0.0 2.7 2.7 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.3 0.1 0.4 0.2 -0.2 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 -0.1 -0.3 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 0.0 2.6 2.4 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.1 -0.3 SUGAR11 -0.2 -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 0.2 0.3 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 -0.2 0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 -0.1 -0.0 -0.7 -0.3 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 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 -0.1 -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 -0.1 -0.0 -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 -0.1 -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 -0.0 -0.2 0.0 -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 -0.0 -0.2 -0.2 -0.1 US5 -0.2 -0.2 0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.3 -0.1 -0.0 -1.1 -0.3 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 2.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.4 -0.0 -0.1 -0.2 -0.0 VIX -0.2 -0.9 -0.9 -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 0.1 -0.0 -0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 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 3.4 -0.7 -5.7 0.2 7.0 1.7 4.3 0.2 0.4 14.0 -2.6 12.7 -6.5 3.7 -6.2 -3.3 -3.3 -3.6 -3.6 -2.8 -6.0 18.2 -7.5 6.7 12.4 11.7 -0.5 10.6 -2.1 9.3 -3.1 3.8 -0.8 20.0 10.8 1.3 -14.3 BITCOIN -8.1 -12.3 12.9 0.3 -4.3 1.9 -1.8 1.7 -1.1 -9.3 9.3 -8.6 -6.5 -12.4 4.0 -4.5 -2.8 -4.3 -3.6 -1.2 5.6 -7.5 1.3 -6.7 2.0 -18.1 -2.2 -5.3 1.9 -5.0 1.8 -4.7 -0.3 -15.7 -0.6 -10.0 -1.4 BOBL -6.9 1.6 -1.9 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -11.6 -2.0 -5.6 -11.7 -6.4 2.5 -9.4 5.1 0.6 2.7 -3.3 -5.7 -9.1 -15.5 -5.8 9.3 10.8 -0.7 -7.7 -0.8 -4.6 -6.1 -2.8 6.2 -8.5 -8.7 0.7 -0.0 BTP 9.3 5.7 8.5 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 12.9 9.3 12.6 -6.7 10.0 9.9 8.3 11.6 9.3 10.3 7.7 4.1 15.4 -5.9 11.9 -9.9 11.4 4.7 8.1 3.6 7.7 -1.0 6.1 18.3 20.0 20.0 14.9 6.5 BUND -1.9 1.9 -2.2 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -10.7 -4.6 -1.1 -12.7 -2.9 0.8 7.4 11.8 7.8 9.2 -2.6 -6.3 -4.6 -16.9 -2.9 6.0 12.3 -0.3 -4.9 -0.7 -2.5 -5.8 -1.4 17.3 -3.2 -1.9 1.5 -1.1 BUXL 2.1 -1.5 -8.5 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -10.2 -11.9 0.5 -14.4 -4.1 -8.1 2.5 1.3 2.3 2.4 -6.6 -11.7 -2.6 -20.0 -3.5 8.7 -10.8 -2.1 -3.1 -3.1 -1.5 -7.3 -1.6 2.6 -2.0 2.1 -1.9 -7.1 CAC -20.0 -16.4 9.4 4.3 7.1 4.4 5.7 3.3 4.7 12.4 13.3 -2.4 13.4 -4.3 6.9 -0.9 4.0 4.1 4.2 1.9 12.7 1.2 17.9 -3.3 -7.5 8.9 0.3 5.0 4.7 0.5 6.8 -1.8 15.7 -11.6 -20.0 -8.9 -4.3 CAD 5.7 6.5 8.2 0.2 7.0 1.7 4.3 0.2 0.4 13.4 1.4 13.9 -9.0 9.6 8.3 -2.9 -2.3 -3.0 -2.8 5.3 0.0 15.9 -6.4 10.9 13.1 10.4 3.4 7.9 1.0 8.2 -2.3 5.9 0.8 18.1 17.5 5.4 -0.6 CANOLA -5.1 -6.8 -19.7 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 13.9 -13.8 1.7 -14.4 -7.2 -12.9 20.0 20.0 20.0 20.0 -20.0 -20.0 9.2 -19.3 -9.6 20.0 13.2 -5.8 5.3 -7.3 2.1 -5.8 -2.3 20.0 18.7 -6.5 -6.2 -20.0 CHF -16.0 -12.0 7.7 0.2 7.0 1.7 4.3 0.2 0.4 -6.2 10.7 -9.1 9.0 -12.2 1.9 -16.5 -15.2 -16.0 -15.8 -2.5 5.0 -5.5 5.8 -7.6 -4.7 -11.5 -1.0 -1.0 2.6 -2.2 2.3 -3.5 -20.0 -20.0 -11.8 -6.2 5.2 COCOA 3.3 2.7 19.7 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 12.3 15.7 12.8 12.4 13.7 15.2 0.8 -0.9 0.6 0.3 20.0 20.0 20.0 17.2 19.8 -20.0 -10.4 6.5 7.3 6.8 7.0 5.5 6.4 -17.8 20.0 20.0 20.0 20.0 COFFEE -7.5 -3.8 12.2 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 -5.7 3.6 -1.7 -3.8 -7.2 -0.8 6.3 5.0 6.5 5.9 1.1 1.8 -1.4 -1.9 -1.1 -5.5 10.0 3.5 -3.6 3.0 1.9 0.5 2.9 -8.1 3.3 20.0 20.0 20.0 COPPER 5.1 -18.4 -10.6 0.3 -4.3 1.9 -1.8 1.7 -1.1 12.1 -0.7 12.5 -4.3 -5.1 -8.9 -2.9 -1.2 -2.3 -1.8 -10.5 -7.7 8.4 -3.4 -1.9 5.5 11.1 -4.0 4.1 -3.5 2.7 -1.6 -0.8 2.4 20.0 13.3 -20.0 -20.0 CORN 20.0 3.7 -15.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 12.5 -11.0 13.2 -9.1 1.5 -6.6 -4.8 13.3 2.5 8.9 -5.3 -12.2 15.4 -8.3 7.1 20.0 11.0 -1.9 5.9 -5.4 5.5 -4.4 3.1 2.5 15.9 20.0 6.6 -19.8 COTTON2 5.0 11.9 2.9 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 10.4 2.6 10.6 -11.6 10.7 8.2 11.1 6.9 4.3 3.0 5.6 -1.6 7.7 -7.3 8.9 -8.4 12.0 3.5 1.2 0.5 3.8 -0.5 4.9 -9.5 1.4 20.0 20.0 16.9 CRUDE_W 0.9 -9.0 -7.3 -4.2 0.2 -5.3 -0.2 -2.9 -1.7 -3.4 -5.8 -4.5 -7.5 -9.1 -7.0 6.2 10.3 7.2 8.2 -7.1 -6.3 -6.9 -2.4 -6.6 -19.8 10.8 -1.4 -4.2 -2.0 -1.4 0.6 -0.1 -6.5 -7.5 7.3 5.7 12.1 DAX -11.0 -6.8 9.0 4.3 7.1 4.4 5.7 3.3 4.7 13.2 14.8 4.2 12.6 2.5 10.6 -8.1 -6.8 -8.3 -8.1 7.4 13.7 7.5 14.3 4.4 -12.1 9.9 4.4 8.7 7.3 4.2 7.2 2.7 -3.9 -4.9 -12.1 2.4 1.2 DOW 5.2 -2.3 0.5 4.3 7.1 4.4 5.7 3.3 4.7 14.0 5.0 14.4 4.0 6.7 6.4 -9.1 -6.5 -8.7 -8.1 3.4 1.8 16.8 1.4 9.3 7.7 10.8 2.6 10.0 1.9 9.1 1.9 5.6 -3.6 19.0 0.9 -8.8 -6.5 EUR -13.6 -16.9 4.8 0.2 7.0 1.7 4.3 0.2 0.4 11.1 9.8 -4.5 2.3 -12.4 -5.0 -8.4 -8.6 -8.0 -8.2 -7.4 1.2 -0.5 1.3 -9.0 -5.7 -11.1 -2.7 3.5 0.6 0.1 0.3 -3.4 -9.2 -11.0 -10.0 -13.3 -2.3 EUROSTX -13.2 -10.0 9.3 4.3 7.1 4.4 5.7 3.3 4.7 12.2 14.8 2.5 14.0 1.1 10.9 -5.0 1.9 -3.3 -0.5 6.2 14.1 4.4 16.8 2.2 -10.7 -8.5 3.5 6.5 7.0 2.5 8.1 1.4 10.6 -11.0 -15.9 -1.5 -0.2 FEEDCOW 11.1 3.0 20.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 -4.1 15.0 7.5 13.0 12.5 14.8 -20.0 -20.0 -20.0 -20.0 20.0 20.0 11.2 20.0 20.0 -20.0 12.2 6.2 0.1 7.1 1.0 5.8 3.8 -20.0 -0.6 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.3 5.4 -3.1 4.8 -2.4 1.1 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 -4.5 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -14.0 -14.5 5.7 3.2 GASOIL 12.3 -4.9 -20.0 -4.2 0.2 -5.3 -0.2 -2.9 -1.7 8.7 -12.6 8.9 -1.7 -2.5 -8.6 3.8 19.3 6.9 13.0 -10.3 -15.1 3.0 -5.3 -1.3 2.0 -15.4 -4.2 1.5 -6.4 1.3 -3.6 -0.5 6.5 5.4 4.2 1.2 0.4 GAS_US -3.2 11.2 -20.0 -4.2 0.2 -5.3 -0.2 -2.9 -1.7 6.8 -16.5 -9.7 -15.6 -9.9 -14.1 -20.0 -19.1 -20.0 -20.0 -17.3 -20.0 -4.6 -20.0 -8.8 6.3 -9.3 -3.6 0.8 -6.3 -0.5 -5.3 -1.6 -20.0 -7.0 -4.2 16.2 6.4 GBP -4.4 -2.7 12.6 0.2 7.0 1.7 4.3 0.2 0.4 11.4 13.8 10.4 2.7 2.6 10.6 -2.0 -2.0 -2.0 -2.0 5.7 8.1 10.0 2.9 5.3 0.1 9.4 3.5 8.8 3.6 6.8 -0.9 3.7 1.7 4.9 8.8 7.7 11.0 GOLD_micro -16.0 -14.6 10.6 0.3 -4.3 1.9 -1.8 1.7 -1.1 -10.0 10.0 -11.2 5.8 -12.8 2.6 -13.9 -12.0 -13.3 -13.0 -3.5 6.6 -8.9 8.9 -9.9 -13.6 -13.8 -1.9 -4.2 2.5 -4.4 3.8 -5.0 -16.6 -7.7 -19.8 -11.2 8.5 HEATOIL 7.0 -3.9 -19.5 -4.2 0.2 -5.3 -0.2 -2.9 -1.7 5.6 -13.0 5.3 -2.5 -5.5 -10.2 0.1 20.0 5.3 13.3 -11.4 -14.7 -0.2 -5.2 -4.3 -5.9 -13.6 -3.0 0.8 -4.9 1.9 -0.6 0.9 9.0 7.3 9.5 3.8 -0.6 JPY -11.4 -20.0 -10.2 0.2 7.0 1.7 4.3 0.2 0.4 -10.4 -5.0 -12.2 -9.1 -14.0 -14.7 -17.6 -14.8 -16.9 -16.2 -20.0 -16.0 -9.9 -15.0 -17.7 8.9 9.9 -5.3 -2.6 -3.6 -2.9 -4.0 -4.8 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 16.6 5.5 -20.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 13.7 -13.3 10.6 -13.4 -0.4 -10.0 20.0 -20.0 -17.9 -20.0 -15.3 -20.0 14.5 -17.5 -0.7 20.0 -11.1 -6.0 4.2 -7.0 1.1 -5.6 -3.0 -20.0 20.0 -10.4 -7.5 -20.0 LIVECOW 20.0 6.0 6.8 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 8.0 14.6 11.2 13.1 13.2 14.3 20.0 12.9 20.0 20.0 20.0 18.2 20.0 12.0 20.0 -20.0 -10.0 5.7 2.8 4.4 5.1 3.4 6.6 20.0 20.0 20.0 20.0 20.0 MXP 6.9 10.1 20.0 0.2 7.0 1.7 4.3 0.2 0.4 14.0 16.1 15.5 15.9 15.4 15.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.4 6.1 6.8 6.7 7.0 6.5 20.0 15.2 20.0 20.0 20.0 NASDAQ 15.7 18.7 20.0 4.3 7.1 4.4 5.7 3.3 4.7 13.6 15.4 15.1 0.5 15.9 16.4 -10.2 -7.2 -9.6 -8.7 20.0 20.0 20.0 10.9 20.0 -14.3 10.2 6.4 4.3 5.2 4.9 3.1 6.3 -4.6 7.5 20.0 20.0 20.0 NIKKEI 0.2 18.4 18.7 4.3 7.1 4.4 5.7 3.3 4.7 13.6 15.3 14.5 13.0 15.3 16.0 13.9 12.4 10.9 11.8 20.0 20.0 20.0 12.5 20.0 -5.3 -9.1 6.1 5.8 4.5 5.5 2.4 6.3 20.0 20.0 20.0 20.0 20.0 NZD -14.1 -4.1 -2.6 0.2 7.0 1.7 4.3 0.2 0.4 13.2 2.4 -5.0 -2.1 -9.1 -10.0 0.8 0.8 0.9 0.8 -7.8 -4.8 1.7 -4.4 -6.6 3.7 10.8 -3.1 5.0 -1.6 0.9 -1.8 -2.9 6.4 -3.3 -10.3 -5.6 -10.1 OAT 0.7 3.1 -0.9 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -8.6 -5.5 2.4 -12.5 0.7 2.0 9.3 12.2 10.7 11.4 -1.4 -5.5 -1.3 -15.4 -0.4 3.7 12.7 0.5 -3.0 -0.3 -0.8 -6.3 -0.1 19.7 1.2 2.0 4.3 -1.5 OJ 4.6 -16.1 13.4 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 -13.2 12.8 -2.6 14.6 2.3 9.2 20.0 20.0 20.0 20.0 13.8 20.0 -10.3 20.0 1.8 -20.0 -14.3 5.0 -3.1 8.2 -1.1 10.6 2.2 20.0 -20.0 20.0 20.0 20.0 PALLAD -19.5 -1.7 -4.0 0.3 -4.3 1.9 -1.8 1.7 -1.1 -5.6 -14.3 -12.3 -14.8 -13.4 -11.4 -2.7 -2.5 -2.8 -2.8 -15.3 -17.7 -16.8 -20.0 -18.1 20.0 -11.1 -3.5 -3.6 -3.4 -5.8 -4.6 -5.5 0.3 -13.2 -18.4 -6.0 -11.4 PLAT -20.0 -9.1 5.6 0.3 -4.3 1.9 -1.8 1.7 -1.1 -12.8 3.2 -13.1 4.8 -12.7 -0.2 -2.2 -1.7 -2.3 -2.1 -4.6 2.7 -15.6 4.2 -12.5 -2.1 11.2 -1.4 -8.0 1.5 -6.3 1.8 -4.9 1.6 -16.3 -15.9 1.2 3.2 REDWHEAT -10.6 2.3 3.3 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 -8.0 -7.1 -11.5 -12.3 -2.6 -1.1 3.8 5.6 6.4 7.0 -5.6 -5.8 -7.6 -5.8 -7.4 3.6 12.9 -1.1 -2.9 -2.4 -1.4 -1.4 -0.5 -6.4 -7.5 3.5 12.5 4.9 ROBUSTA 1.7 4.7 20.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 8.6 15.4 11.7 12.0 14.0 15.5 17.1 11.5 14.1 12.9 20.0 20.0 20.0 20.0 20.0 -20.0 9.6 6.6 3.3 6.2 5.0 4.2 5.8 3.3 20.0 20.0 20.0 20.0 RUSSELL 20.0 10.3 -4.9 4.3 7.1 4.4 5.7 3.3 4.7 12.9 -6.5 13.2 -9.3 11.8 -2.4 -6.1 -5.0 -6.0 -5.9 6.4 -1.6 20.0 -5.4 16.9 17.4 10.0 2.9 6.6 0.1 8.2 -0.6 6.9 -0.4 20.0 18.3 2.6 -17.2 SILVER-mini -9.0 -16.3 10.9 0.3 -4.3 1.9 -1.8 1.7 -1.1 -1.4 7.1 6.0 3.9 -7.3 3.6 -6.9 -5.6 -6.5 -6.3 -1.7 4.8 1.8 5.5 -3.3 -6.2 -11.3 -1.0 -0.3 1.2 0.5 1.1 -1.5 -5.3 16.0 -0.4 -9.4 1.3 SOYBEAN 7.9 -11.3 -20.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 14.0 -12.5 8.4 -9.6 -7.1 -12.2 13.0 20.0 20.0 20.0 -20.0 -20.0 13.8 -11.8 -6.7 14.3 -11.7 -4.3 8.1 -5.3 4.9 -2.8 0.1 20.0 20.0 20.0 -7.1 -20.0 SOYMEAL -16.5 -20.0 -20.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 7.9 -3.2 -12.4 4.3 -15.1 -15.6 20.0 20.0 20.0 20.0 -20.0 -13.3 -9.7 5.1 -20.0 -18.8 -12.0 -5.5 1.2 -3.0 -1.1 1.7 -4.0 20.0 -5.7 -5.7 -10.8 -12.3 SOYOIL 20.0 2.6 -20.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 13.9 -13.4 13.1 -10.6 2.0 -9.6 8.1 10.9 6.1 6.8 -10.0 -18.3 20.0 -13.2 8.5 19.2 12.9 -1.1 10.2 -4.5 9.1 -3.4 4.8 -2.5 20.0 20.0 18.1 -16.1 SP400 15.6 2.9 -8.1 4.3 7.1 4.4 5.7 3.3 4.7 13.1 -3.0 13.1 -2.2 9.6 -4.0 -6.0 -4.9 -5.8 -5.6 3.4 -1.5 20.0 -1.9 13.3 15.9 10.2 1.2 8.0 -0.9 8.6 -0.3 5.8 -0.0 20.0 8.7 -5.6 -20.0 SUGAR11 -20.0 -4.5 20.0 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 5.8 13.9 -3.3 13.7 0.8 11.0 4.2 20.0 10.0 18.3 16.4 20.0 0.1 20.0 1.8 -20.0 -10.5 4.6 0.7 7.9 0.3 7.9 0.8 20.0 -13.2 2.2 20.0 20.0 US10 -16.7 -10.3 6.6 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -11.9 1.6 -13.0 -9.8 -13.3 -1.4 -8.9 -6.7 -9.7 -9.3 -10.0 -5.0 -14.7 -9.5 -15.0 -1.4 9.7 -3.7 -5.7 -0.7 -6.2 -1.7 -6.5 -14.8 -15.9 -20.0 -16.2 -0.7 US10U -12.0 -9.7 5.8 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -11.4 2.3 -11.4 -9.9 -12.2 -2.2 -0.4 -0.9 -3.2 -2.8 -8.8 -5.1 -11.6 -10.0 -12.0 -2.8 -14.1 -3.9 -5.4 -0.7 -5.9 -1.4 -6.4 -4.1 -12.5 -20.0 -16.0 -1.8 US20 -8.0 -10.8 4.8 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -10.3 3.7 -6.3 -8.5 -9.8 -2.6 -0.8 -1.5 -1.6 -2.1 -8.4 -5.5 -8.1 -10.1 -9.7 -0.6 -12.3 -3.8 -4.9 -1.1 -4.9 -2.0 -5.7 -4.1 -5.4 -17.9 -14.5 -2.7 US30 -3.6 -9.8 2.1 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -8.5 0.5 -3.4 -10.4 -9.5 -9.4 -0.2 -0.9 -1.0 -1.2 -8.8 -7.7 -4.9 -13.8 -7.8 -0.6 10.0 -4.1 -3.7 -1.6 -3.8 -2.7 -5.1 -2.6 -1.2 -9.5 -12.1 -5.9 US5 -20.0 -11.3 4.9 -0.3 -3.9 0.2 -1.5 -2.7 -1.0 -12.6 0.9 -13.4 -9.9 -13.5 -1.6 -13.0 -7.8 -11.9 -10.9 -11.5 -5.5 -16.2 -10.2 -17.2 0.1 10.8 -3.7 -5.4 -0.9 -5.9 -2.2 -6.4 -17.0 -13.0 -20.0 -16.8 -1.2 VIX -20.0 -17.0 -14.9 -4.8 -4.0 -4.0 -6.3 -3.9 -6.3 -14.1 -16.3 -15.9 -15.3 -16.4 -16.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -13.5 -5.9 -3.9 -5.0 -6.6 -5.1 -7.4 NaN NaN NaN NaN NaN WHEAT 6.6 -1.1 -11.3 -4.5 2.0 -3.4 -0.6 -1.8 -3.6 13.9 -14.7 6.1 -15.6 -7.7 -12.5 -12.4 -10.1 -12.4 -11.8 -15.1 -20.0 6.5 -20.0 -3.6 19.3 11.9 -3.5 3.9 -6.3 4.0 -5.2 1.2 -20.0 14.1 20.0 5.4 -14.8 End of report for caleb_strategy_v1