******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230614_204659 produced at 2023-06-14 21:38:36.977444 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.38 -0.52 0.0 4.257763e+07 -4.257763e+07 -0.38 -0.38 -12.22 999999999.0 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.12 -0.23 0.0 6.890478e+06 -6.890478e+06 -0.12 -0.12 -32.70 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.20 0.0 5.038438e+07 -5.038438e+07 -0.10 -0.10 -3.89 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.39 -0.19 0.0 3.259070e+07 -3.259070e+07 -0.39 -0.39 -5.73 999999999.0 -12 -12 caleb_strategy_v1 US20 False False 0.05 -0.18 -0.17 0.0 4.552156e+07 -4.552156e+07 -0.18 -0.18 -3.78 999999999.0 -4 -4 caleb_strategy_v1 EUR False False 0.05 -0.24 -0.16 0.0 4.888606e+07 -4.888606e+07 -0.24 -0.24 -3.33 999999999.0 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.23 -0.15 0.0 3.863557e+07 -3.863557e+07 -0.23 -0.27 -3.82 999999999.0 -6 -7 caleb_strategy_v1 GOLD_micro False False 0.01 -0.11 -0.09 0.0 7.045514e+06 -7.045514e+06 -0.11 -0.11 -12.15 999999999.0 -15 -16 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 4.046922e+07 -4.046922e+07 0.00 0.00 -2.01 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.06 0.0 5.211006e+07 -5.211006e+07 0.00 0.00 -1.14 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 0.00 -0.05 0.0 4.290399e+07 -4.290399e+07 0.00 0.00 -1.08 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.03 0.0 3.533394e+07 -3.533394e+07 -0.04 -0.04 -0.88 999999999.0 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.03 0.0 1.147695e+07 -1.147695e+07 -0.08 -0.08 -2.72 999999999.0 -7 -7 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 2.171218e+07 -2.171218e+07 0.00 0.00 -1.17 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.03 0.0 1.345079e+07 -1.345079e+07 -0.01 -0.01 -2.11 999999999.0 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.154873e+07 -1.154873e+07 -0.05 -0.05 -2.62 999999999.0 -4 -4 caleb_strategy_v1 CRUDE_W False False 0.02 0.00 -0.02 0.0 2.448632e+07 -2.448632e+07 0.00 0.00 -0.95 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.02 -0.02 -0.02 0.0 2.442172e+07 -2.442172e+07 -0.02 -0.05 -0.95 999999999.0 -1 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 4.970475e+07 -4.970475e+07 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 1.357101e+07 -1.357101e+07 0.00 0.00 -0.37 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.01 0.0 4.875148e+07 -4.875148e+07 -0.10 -0.10 -0.14 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 9.314706e+05 -9.314706e+05 -0.02 -0.02 -13.36 999999999.0 -23 -23 caleb_strategy_v1 GAS_US False False 0.01 -0.03 -0.01 0.0 8.666929e+06 -8.666929e+06 -0.03 -0.03 -1.51 999999999.0 -3 -3 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.00 0.0 1.018126e+07 -1.018126e+07 0.01 0.01 0.34 999999999.0 1 1 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 1.398731e+07 -1.398731e+07 0.00 0.00 0.14 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 1.178469e+07 -1.178469e+07 -0.05 -0.05 -0.12 999999999.0 -4 -4 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.00 0.0 0.000000e+00 -0.000000e+00 0.00 0.00 -0.14 0.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 -0.03 -0.00 0.0 1.703822e+07 -1.703822e+07 -0.03 -0.05 -0.06 999999999.0 -2 -3 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 2.413013e+07 -2.413013e+07 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 1.159754e+07 -1.159754e+07 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.01 0.0 9.873660e+06 -9.873660e+06 0.05 0.05 1.22 999999999.0 5 5 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 1.757431e+07 -1.757431e+07 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.01 0.01 0.0 1.471404e+07 -1.471404e+07 0.01 0.01 0.43 999999999.0 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3.621978e+06 -3.621978e+06 0.00 0.00 6.33 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 3.460940e+07 -3.460940e+07 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9.643080e+06 -9.643080e+06 0.02 0.02 1.72 999999999.0 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.232587e+07 -2.232587e+07 0.00 0.00 0.99 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.03 0.0 6.369868e+06 -6.369868e+06 0.01 0.00 5.07 999999999.0 1 0 caleb_strategy_v1 LIVECOW False False 0.02 0.00 0.03 0.0 2.454015e+07 -2.454015e+07 0.00 0.00 1.38 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.03 0.0 2.447017e+07 -2.447017e+07 0.00 0.00 1.21 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.28 0.04 0.0 2.846584e+07 -2.846584e+07 0.28 0.28 1.58 999999999.0 10 10 caleb_strategy_v1 DOW False False 0.01 -0.01 0.04 0.0 6.166260e+06 -6.166260e+06 -0.01 0.00 6.14 999999999.0 -1 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 CAC False False 0.03 0.06 0.05 0.0 0.000000e+00 -0.000000e+00 0.06 0.03 1.83 0.0 2 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.06 0.0 1.030701e+07 -1.030701e+07 0.00 0.00 5.36 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.06 0.0 2.227293e+07 -2.227293e+07 0.00 0.00 2.65 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.11 0.06 0.0 1.088767e+08 -1.088767e+08 0.11 0.00 0.56 999999999.0 1 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.07 0.0 3.404865e+06 -3.404865e+06 0.00 0.00 19.44 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.07 0.0 2.700027e+07 -2.700027e+07 0.00 0.00 2.75 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.74 0.08 0.0 9.286713e+07 -9.286713e+07 0.74 0.84 0.84 999999999.0 8 9 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 4.949952e+07 -4.949952e+07 0.00 0.00 1.91 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.09 0.0 4.497175e+07 -4.497175e+07 0.04 0.04 1.90 999999999.0 1 1 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.18 0.0 0.000000e+00 0.000000e+00 0.00 0.00 5.68 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.04 0.00 0.25 0.0 4.492140e+07 -4.492140e+07 0.00 0.00 5.55 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.41 0.31 0.0 5.156007e+07 -5.156007e+07 0.41 0.41 5.94 999999999.0 8 8 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.44 0.0 8.591858e+06 -8.591858e+06 0.00 0.10 50.64 999999999.0 0 12 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 21.2 Shocked risk 59.2 Sum abs risk 55.5 Leverage 4.21 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2786454.09, 'annual_cash_vol_target': 696613.5225, 'daily_cash_vol_target': 43538.34515625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6818 0.6245 9.9916 BITCOIN 817.1951 25955.0000 3.1485 50.3761 BOBL 0.3201 115.9800 0.2760 4.4163 BTP 0.6372 116.1100 0.5488 8.7810 BUND 0.6230 133.1200 0.4680 7.4878 BUXL 1.4489 134.5400 1.0769 17.2310 CAC 57.1443 7314.0000 0.7813 12.5008 CAD 0.0030 0.7524 0.4025 6.4407 CANOLA 8.6479 671.2000 1.2884 20.6147 CHF 0.0055 1.1232 0.4918 7.8685 COCOA 32.9320 3218.0000 1.0234 16.3739 COFFEE 3.4752 179.3000 1.9382 31.0113 COPPER 0.0459 3.8575 1.1888 19.0214 CORN 7.1662 550.2500 1.3024 20.8377 COTTON2 1.3420 82.0000 1.6366 26.1850 CRUDE_W 1.3723 68.2300 2.0113 32.1807 DAX 126.7402 16446.0000 0.7706 12.3303 DOW 232.7589 34364.0000 0.6773 10.8373 EUR 0.0049 1.0898 0.4454 7.1258 EUROSTX 37.5301 4399.0000 0.8532 13.6504 FEEDCOW 1.7553 239.1000 0.7341 11.7463 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 12.6863 680.5000 1.8643 29.8281 GAS_US 0.0888 2.4150 3.6776 58.8420 GBP 0.0067 1.2691 0.5263 8.4207 GOLD_micro 15.3964 1963.2000 0.7843 12.5480 HEATOIL 0.0418 2.3442 1.7850 28.5596 JPY 0.0000 0.0073 0.5918 9.4691 LEANHOG 1.6898 79.9500 2.1136 33.8168 LIVECOW 1.3935 170.9500 0.8151 13.0423 MXP 0.0003 0.0574 0.5877 9.4035 NASDAQ 131.8301 15169.0000 0.8691 13.9052 NIKKEI 320.1701 33495.0000 0.9559 15.2940 NZD 0.0047 0.6221 0.7489 11.9821 OAT 0.6079 127.8000 0.4757 7.6112 OJ 4.6811 252.1000 1.8568 29.7094 PALLAD 29.6193 1385.0000 2.1386 34.2173 PLAT 16.1243 979.4000 1.6463 26.3414 REDWHEAT 14.1859 779.5000 1.8199 29.1180 ROBUSTA 34.4660 2687.0000 1.2827 20.5231 RUSSELL 23.3766 1897.5000 1.2320 19.7115 SILVER-mini 0.3458 24.2000 1.4288 22.8614 SOYBEAN 12.8829 1241.2500 1.0379 16.6063 SOYMEAL 3.8997 374.8000 1.0405 16.6477 SOYOIL 0.8741 53.8600 1.6230 25.9677 SP400 27.3623 2587.7000 1.0574 16.9184 SUGAR11 0.3593 25.3300 1.4183 22.6931 US10 0.4763 112.7656 0.4224 6.7578 US10U 0.6284 118.6406 0.5297 8.4747 US20 0.8886 126.8438 0.7005 11.2083 US30 1.2647 135.8438 0.9310 14.8965 US5 0.3247 107.6562 0.3016 4.8254 VIX 0.5161 19.2000 2.6882 43.0115 WHEAT 10.2483 656.7500 1.5605 24.9673 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 681.85 0.62 425.80 1.00 425.80 43538.35 102.25 7.19 73.55 BITCOIN 25.96 3.15 81.72 1.00 81.72 43538.35 532.78 -10.35 -551.39 BOBL 1159.80 0.28 320.13 1.08 345.53 43538.35 126.00 5.94 74.81 BTP 1161.10 0.55 637.22 1.08 687.79 43538.35 63.30 14.46 91.54 BUND 1331.20 0.47 622.99 1.08 672.42 43538.35 64.75 12.36 80.00 BUXL 1345.40 1.08 1448.91 1.08 1563.88 43538.35 27.84 -4.75 -13.22 CAC 731.40 0.78 571.44 1.08 616.79 43538.35 70.59 8.96 63.24 CAD 752.35 0.40 302.85 1.00 302.85 43538.35 143.76 10.41 149.69 CANOLA 134.24 1.29 172.96 0.75 129.88 43538.35 335.21 20.00 670.43 CHF 1403.94 0.49 690.43 1.00 690.43 43538.35 63.06 -16.02 -101.00 COCOA 321.80 1.02 329.32 1.00 329.32 43538.35 132.21 -8.85 -117.04 COFFEE 672.38 1.94 1303.20 1.00 1303.20 43538.35 33.41 3.64 12.15 COPPER 964.38 1.19 1146.48 1.00 1146.48 43538.35 37.98 4.12 15.64 CORN 275.12 1.30 358.31 1.00 358.31 43538.35 121.51 10.84 131.73 COTTON2 410.00 1.64 670.99 1.00 670.99 43538.35 64.89 4.28 27.80 CRUDE_W 682.30 2.01 1372.30 1.00 1372.30 43538.35 31.73 -2.19 -6.96 DAX 164.46 0.77 126.74 1.08 136.80 43538.35 318.27 2.85 90.76 DOW 171.82 0.68 116.38 1.00 116.38 43538.35 374.11 5.60 209.50 EUR 1362.19 0.45 606.66 1.00 606.66 43538.35 71.77 -12.07 -86.62 EUROSTX 439.90 0.85 375.30 1.08 405.08 43538.35 107.48 -0.18 -1.97 FEEDCOW 1195.50 0.73 877.67 1.00 877.67 43538.35 49.61 -7.88 -39.07 FTSE100 707.00 0.82 576.59 1.26 666.67 43538.35 65.31 8.20 53.54 GASOIL 680.50 1.86 1268.63 1.00 1268.63 43538.35 34.32 -3.79 -12.99 GAS_US 241.50 3.68 888.15 1.00 888.15 43538.35 49.02 -19.92 -97.64 GBP 793.19 0.53 417.45 1.00 417.45 43538.35 104.30 8.23 85.85 GOLD_micro 196.32 0.78 153.96 1.00 153.96 43538.35 282.78 -18.67 -527.89 HEATOIL 984.56 1.78 1757.42 1.00 1757.42 43538.35 24.77 -4.83 -11.97 JPY 908.12 0.59 537.45 1.00 537.45 43538.35 81.01 -10.62 -86.02 LEANHOG 319.80 2.11 675.91 1.00 675.91 43538.35 64.41 -8.77 -56.50 LIVECOW 683.80 0.82 557.40 1.00 557.40 43538.35 78.11 6.41 50.10 MXP 287.20 0.59 168.79 1.00 168.79 43538.35 257.94 16.50 425.57 NASDAQ 3033.80 0.87 2636.60 1.00 2636.60 43538.35 16.51 6.13 10.11 NIKKEI 33495.00 0.96 32017.01 0.01 228.34 43538.35 190.68 13.59 259.19 NZD 622.10 0.75 465.88 1.00 465.88 43538.35 93.45 6.42 60.00 OAT 1278.00 0.48 607.94 1.08 656.18 43538.35 66.35 13.87 92.03 OJ 378.15 1.86 702.16 1.00 702.16 43538.35 62.01 -3.36 -20.81 PALLAD 1385.00 2.14 2961.93 1.00 2961.93 43538.35 14.70 -4.01 -5.90 PLAT 489.70 1.65 806.21 1.00 806.21 43538.35 54.00 3.39 18.32 REDWHEAT 389.75 1.82 709.30 1.00 709.30 43538.35 61.38 4.17 25.63 ROBUSTA 268.70 1.28 344.66 1.00 344.66 43538.35 126.32 10.21 128.94 RUSSELL 94.88 1.23 116.88 1.00 116.88 43538.35 372.49 9.79 364.82 SILVER-mini 605.00 1.43 864.45 1.00 864.45 43538.35 50.37 -10.13 -51.02 SOYBEAN 620.62 1.04 644.14 1.00 644.14 43538.35 67.59 6.47 43.74 SOYMEAL 374.80 1.04 389.97 1.00 389.97 43538.35 111.64 -3.11 -34.73 SOYOIL 323.16 1.62 524.48 1.00 524.48 43538.35 83.01 11.80 97.94 SP400 2587.70 1.06 2736.23 1.00 2736.23 43538.35 15.91 9.94 15.82 SUGAR11 283.70 1.42 402.37 1.00 402.37 43538.35 108.20 2.28 24.71 US10 1127.66 0.42 476.28 1.00 476.28 43538.35 91.41 -5.57 -50.90 US10U 1186.41 0.53 628.40 1.00 628.40 43538.35 69.28 -11.77 -81.54 US20 1268.44 0.70 888.56 1.00 888.56 43538.35 49.00 -10.18 -49.88 US30 1358.44 0.93 1264.75 1.00 1264.75 43538.35 34.42 -0.47 -1.61 US5 1076.56 0.30 324.68 1.00 324.68 43538.35 134.10 -7.21 -96.73 VIX 192.00 2.69 516.14 1.00 516.14 43538.35 84.35 -20.00 -168.71 WHEAT 328.38 1.56 512.42 1.00 512.42 43538.35 84.97 -2.57 -21.84 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 73.554 0.007 2.5 1.209 BITCOIN -551.389 0.010 2.5 -13.363 BOBL 74.814 0.030 2.5 5.553 BTP 91.536 0.008 2.5 1.902 BUND 80.004 0.030 2.5 5.938 BUXL -13.219 0.035 2.5 -1.141 CAC 63.240 0.012 2.5 1.829 CAD 149.687 0.007 2.5 2.749 CANOLA 670.430 0.004 2.5 6.330 CHF -101.000 0.015 2.5 -3.888 COCOA -117.040 0.009 2.5 -2.623 COFFEE 12.150 0.005 2.5 0.162 COPPER 15.643 0.011 2.5 0.440 CORN 131.734 0.004 2.5 1.222 COTTON2 27.800 0.006 2.5 0.431 CRUDE_W -6.957 0.054 2.5 -0.945 DAX 90.757 0.022 2.5 5.070 DOW 209.501 0.012 2.5 6.141 EUR -86.618 0.015 2.5 -3.334 EUROSTX -1.965 0.012 2.5 -0.057 FEEDCOW -39.066 0.011 2.5 -1.080 FTSE100 53.542 0.042 2.5 5.678 GASOIL -12.991 0.029 2.5 -0.953 GAS_US -97.640 0.006 2.5 -1.512 GBP 85.847 0.007 2.5 1.577 GOLD_micro -527.892 0.009 2.5 -12.149 HEATOIL -11.975 0.029 2.5 -0.879 JPY -86.023 0.027 2.5 -5.728 LEANHOG -56.504 0.019 2.5 -2.715 LIVECOW 50.098 0.011 2.5 1.385 MXP 425.575 0.005 2.5 5.359 NASDAQ 10.114 0.022 2.5 0.565 NIKKEI 259.186 0.078 2.5 50.637 NZD 60.004 0.007 2.5 0.986 OAT 92.032 0.008 2.5 1.912 OJ -20.814 0.007 2.5 -0.373 PALLAD -5.897 0.010 2.5 -0.146 PLAT 18.325 0.010 2.5 0.454 REDWHEAT 25.625 0.002 2.5 0.141 ROBUSTA 128.944 0.005 2.5 1.720 RUSSELL 364.821 0.021 2.5 19.437 SILVER-mini -51.022 0.009 2.5 -1.174 SOYBEAN 43.740 0.024 2.5 2.653 SOYMEAL -34.729 0.024 2.5 -2.106 SOYOIL 97.937 0.004 2.5 0.925 SP400 15.822 0.021 2.5 0.843 SUGAR11 24.711 0.006 2.5 0.345 US10 -50.896 0.016 2.5 -2.008 US10U -81.536 0.060 2.5 -12.220 US20 -49.883 0.030 2.5 -3.782 US30 -1.607 0.035 2.5 -0.139 US5 -96.735 0.016 2.5 -3.817 VIX -168.708 0.078 2.5 -32.703 WHEAT -21.845 0.002 2.5 -0.120 ==================== Position diags ==================== AUD 1.68 BITCOIN 12.91 BOBL 9.35 BTP 1.32 BUND 4.81 BUXL 2.40 CAC 2.04 CAD 2.64 CANOLA 3.17 CHF 2.43 COCOA 2.96 COFFEE 0.45 COPPER 1.07 CORN 1.13 COTTON2 1.00 CRUDE_W 4.31 DAX 17.78 DOW 10.97 EUR 2.76 EUROSTX 3.11 FEEDCOW 1.37 FTSE100 6.93 GASOIL 2.52 GAS_US 0.76 GBP 1.92 GOLD_micro 6.51 HEATOIL 1.82 JPY 5.39 LEANHOG 3.10 LIVECOW 2.16 MXP 3.25 NASDAQ 0.92 NIKKEI 37.25 NZD 1.54 OAT 1.38 OJ 1.11 PALLAD 0.36 PLAT 1.34 REDWHEAT 0.34 ROBUSTA 1.68 RUSSELL 19.85 SILVER-mini 1.16 SOYBEAN 4.10 SOYMEAL 6.77 SOYOIL 0.78 SP400 0.85 SUGAR11 1.51 US10 3.61 US10U 10.38 US20 3.71 US30 2.97 US5 5.29 VIX 16.35 WHEAT 0.47 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.2 1.0 1.4 0.0 0 BITCOIN -13.4 -14.7 -12.1 -23.0 -23 BOBL 5.6 4.6 6.5 0.0 0 BTP 1.9 1.8 2.0 1.0 1 BUND 5.9 5.5 6.4 8.0 8 BUXL -1.1 -1.4 -0.9 0.0 0 CAC 1.8 1.6 2.0 2.0 2 CAD 2.7 2.5 3.0 0.0 0 CANOLA 6.3 6.0 6.6 NaN 0 CHF -3.9 -4.1 -3.6 -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 -0.9 -1.4 -0.5 0.0 0 DAX 5.1 3.3 6.8 1.0 1 DOW 6.1 5.0 7.2 -1.0 -1 EUR -3.3 -3.6 -3.1 -5.0 -5 EUROSTX -0.1 -0.4 0.3 -2.0 -2 FEEDCOW -1.1 -1.2 -0.9 0.0 0 FTSE100 5.7 5.0 6.4 0.0 0 GASOIL -1.0 -1.2 -0.7 -1.0 -1 GAS_US -1.5 -1.6 -1.4 -3.0 -3 GBP 1.6 1.4 1.8 10.0 10 GOLD_micro -12.1 -12.8 -11.5 -15.0 -15 HEATOIL -0.9 -1.1 -0.7 -1.0 -1 JPY -5.7 -6.3 -5.2 -12.0 -12 LEANHOG -2.7 -3.0 -2.4 -7.0 -7 LIVECOW 1.4 1.2 1.6 0.0 0 MXP 5.4 5.0 5.7 0.0 0 NASDAQ 0.6 0.5 0.7 1.0 1 NIKKEI 50.6 46.9 54.4 0.0 0 NZD 1.0 0.8 1.1 0.0 0 OAT 1.9 1.8 2.0 0.0 0 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.5 0.3 0.6 0.0 0 REDWHEAT 0.1 0.1 0.2 0.0 0 ROBUSTA 1.7 1.6 1.9 2.0 2 RUSSELL 19.4 17.5 21.4 0.0 0 SILVER-mini -1.2 -1.3 -1.1 0.0 0 SOYBEAN 2.7 2.2 3.1 0.0 0 SOYMEAL -2.1 -2.8 -1.4 -1.0 -1 SOYOIL 0.9 0.8 1.0 0.0 0 SP400 0.8 0.8 0.9 8.0 8 SUGAR11 0.3 0.2 0.5 1.0 1 US10 -2.0 -2.4 -1.6 NaN 0 US10U -12.2 -13.3 -11.2 -9.0 -9 US20 -3.8 -4.2 -3.4 -4.0 -4 US30 -0.1 -0.4 0.2 -2.0 -2 US5 -3.8 -4.3 -3.3 -6.0 -6 VIX -32.7 -34.3 -31.1 -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 0.1 0.0 -0.1 0.0 0.1 0.0 0.2 0.0 0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.2 -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 0.5 -4.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 0.0 -0.9 0.2 -0.0 0.0 -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 0.8 -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 0.1 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 -0.1 -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 0.8 2.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.4 -0.0 -0.1 0.0 -0.0 BUXL 0.0 -0.0 -0.2 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.4 -0.0 -0.2 0.2 0.1 0.0 0.1 -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 0.2 0.1 0.1 0.1 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 0.2 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 0.1 0.3 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 -0.0 -0.1 -0.3 CHF -0.2 -0.2 0.1 0.0 0.1 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 -0.6 -2.4 -0.0 0.0 0.0 0.0 0.0 -0.0 -2.6 -0.1 -0.2 -0.1 0.1 COCOA 0.1 0.1 0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.4 0.0 0.3 0.1 0.4 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 -1.0 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 -0.2 0.0 -0.2 0.0 -0.1 -0.4 0.5 0.0 0.2 -0.0 -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 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 0.8 0.2 0.1 0.1 0.0 -0.0 0.0 -0.0 0.0 -2.2 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.2 -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 -0.2 -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 0.2 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 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 -0.7 -0.3 -0.2 -0.2 0.1 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 0.1 0.0 -0.1 -0.1 EUR -0.1 -0.3 0.1 0.0 0.1 0.0 0.2 0.0 0.0 0.0 0.2 0.0 0.1 -0.0 -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 -0.1 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 0.0 -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 -1.6 -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 -0.1 -0.0 -0.2 0.3 0.8 0.1 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 0.7 -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 -0.1 -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 0.2 -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 -0.3 -0.1 0.1 HEATOIL 0.1 -0.0 -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 1.2 0.0 0.1 0.1 -0.0 JPY -0.1 -0.3 -0.2 0.0 0.1 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 1.3 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 -0.3 -0.4 -0.1 -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 -0.1 -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 0.3 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 0.2 0.0 -1.7 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 0.1 0.3 0.3 0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.4 0.1 0.3 0.1 0.4 0.9 0.5 0.2 0.2 0.2 0.3 0.0 0.2 0.0 -0.8 -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 -0.0 -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 0.6 2.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.8 0.0 -0.2 -0.1 -0.1 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 0.7 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 1.4 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 -0.3 -0.1 -0.2 PLAT -0.2 -0.2 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 -0.4 -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 0.1 -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 -0.0 0.2 0.1 ROBUSTA 0.1 0.1 0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.3 0.0 0.3 0.0 0.3 1.4 0.5 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 0.5 0.0 0.4 0.3 0.3 RUSSELL 0.3 0.2 -0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.0 -0.2 0.0 -0.2 0.1 -0.0 -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 0.2 0.3 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 1.0 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 -0.1 -0.1 -0.1 -0.2 SOYOIL 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 0.7 0.5 0.1 0.1 -0.1 -0.2 0.0 -0.2 0.0 2.7 2.7 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.1 0.4 0.3 -0.2 SP400 0.2 0.1 -0.1 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 0.1 -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 0.1 -0.1 -0.3 SUGAR11 -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 0.3 0.8 0.2 0.4 0.2 0.2 0.0 0.2 0.0 -3.3 -2.3 0.1 0.0 0.1 0.0 0.1 0.0 2.7 -0.0 0.1 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 -2.1 -0.0 -0.0 -0.1 -0.0 US10U -0.1 -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 -0.1 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 -0.0 -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 -0.3 0.0 -0.1 -0.2 -0.1 US5 -0.2 -0.2 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.3 -0.1 -0.1 -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 -1.2 -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 2.8 2.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 -2.7 0.0 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 6.6 0.6 -5.1 0.8 10.6 1.8 6.6 0.3 1.9 14.1 -2.4 13.8 -6.4 6.1 -4.2 -2.6 -3.2 -3.3 -3.5 -1.3 -5.4 20.0 -7.4 9.3 12.2 11.7 0.2 11.2 -1.7 10.0 -2.9 4.8 -0.7 20.0 11.0 1.5 -14.0 BITCOIN -8.5 -11.1 12.7 0.3 -2.1 1.8 -1.5 1.7 -1.1 -9.4 9.1 -9.9 -6.5 -12.9 3.7 -4.5 -2.8 -4.3 -3.6 -1.7 5.4 -7.6 1.2 -7.1 2.3 -18.1 -2.4 -4.4 1.7 -5.0 1.7 -4.9 -0.3 -15.1 -2.6 -9.1 -2.5 BOBL -6.7 0.7 -3.5 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -13.2 -2.2 -7.1 -11.7 -7.4 2.2 -10.7 4.8 -0.3 2.2 -4.1 -6.2 -11.3 -16.4 -7.2 9.5 10.8 -1.0 -8.6 -0.9 -5.5 -6.1 -3.3 5.5 -12.9 -9.4 0.5 -0.3 BTP 11.1 6.3 8.7 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 10.1 9.5 12.8 -6.5 10.7 10.4 8.3 11.6 9.3 10.3 8.3 4.4 14.1 -5.8 12.2 -9.9 11.4 4.8 5.2 3.7 6.9 -0.9 6.0 18.2 20.0 20.0 16.0 6.9 BUND -1.2 1.4 -3.4 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -12.4 -4.6 -2.3 -12.6 -3.6 0.6 7.4 11.8 7.8 9.2 -3.1 -6.6 -6.3 -17.5 -3.8 6.2 12.3 -0.5 -6.1 -0.8 -3.4 -5.8 -1.9 17.3 -6.2 -3.0 1.5 -1.3 BUXL 3.2 -2.0 -10.1 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -11.2 -11.9 0.3 -14.4 -4.2 -8.1 2.5 1.3 2.3 2.4 -6.8 -12.0 -3.1 -20.0 -3.7 8.9 -10.8 -2.1 -3.2 -3.1 -1.7 -7.3 -1.7 2.6 -0.9 1.4 -1.8 -7.1 CAC -17.9 -16.1 10.7 4.4 7.8 4.2 6.6 3.2 5.1 13.5 13.3 -0.5 13.4 -3.0 7.2 -1.3 3.9 3.8 4.0 2.4 12.9 4.0 18.2 -1.7 -7.1 8.9 0.6 6.2 4.7 2.1 6.8 -0.9 15.5 -10.6 -20.0 -9.7 -5.2 CAD 7.2 7.2 8.8 0.8 10.6 1.8 6.6 0.3 1.9 13.9 1.9 14.6 -8.9 10.9 9.1 -2.9 -2.3 -3.0 -2.8 6.1 0.4 15.8 -6.4 11.8 13.0 10.4 3.7 6.7 1.2 7.8 -2.2 6.1 0.7 8.3 14.0 5.2 -0.6 CANOLA -1.6 -5.3 -19.3 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 11.8 -13.6 5.4 -14.4 -5.7 -12.4 20.0 20.0 20.0 20.0 -20.0 -20.0 10.1 -19.6 -7.4 20.0 13.2 -5.6 4.1 -7.4 2.3 -6.0 -1.9 20.0 19.9 -3.3 -5.1 -20.0 CHF -13.6 -12.6 7.5 0.8 10.6 1.8 6.6 0.3 1.9 6.9 10.7 -3.2 9.1 -10.8 2.1 -16.2 -15.2 -16.0 -15.7 -1.9 5.0 0.1 5.7 -5.1 -4.7 -11.5 -0.7 4.8 2.7 0.5 2.3 -2.4 -20.0 -13.7 -11.0 -7.0 4.9 COCOA 5.3 3.5 20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 13.5 15.8 13.9 12.5 14.3 15.4 0.8 -0.9 0.6 0.3 20.0 20.0 20.0 17.7 20.0 -20.0 -10.4 6.5 8.1 6.5 7.5 5.3 6.7 -17.7 20.0 20.0 20.0 20.0 COFFEE -7.9 -4.0 10.7 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 -8.7 3.7 -3.2 -3.8 -7.2 -1.1 6.1 5.0 6.4 5.8 0.7 1.7 -3.1 -1.9 -1.9 -6.2 10.0 3.5 -3.6 3.0 0.7 0.5 2.4 -8.0 -5.0 19.6 20.0 20.0 COPPER 8.8 -17.4 -10.4 0.3 -2.1 1.8 -1.5 1.7 -1.1 13.4 -0.6 13.6 -4.3 -3.3 -8.1 -2.8 -1.2 -2.3 -1.8 -9.1 -7.3 12.2 -3.4 0.7 5.4 11.1 -3.6 6.1 -3.4 4.1 -1.6 0.1 2.4 20.0 15.4 -18.9 -20.0 CORN 20.0 6.0 -14.5 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 12.7 -10.6 13.9 -9.1 3.6 -5.6 -4.7 13.2 2.3 8.6 -4.1 -11.8 16.5 -8.3 8.8 20.0 11.0 -1.5 5.1 -5.2 5.6 -4.4 3.5 2.3 13.3 20.0 7.9 -18.4 COTTON2 4.0 12.1 3.6 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 -6.1 2.6 8.4 -11.6 9.9 8.2 11.8 7.1 4.8 3.3 5.2 -1.6 3.3 -7.2 7.1 -8.8 12.0 3.3 -3.6 0.5 1.4 -0.5 4.0 -9.1 -9.0 20.0 20.0 17.6 CRUDE_W -0.8 -9.1 -7.1 -4.2 -0.2 -5.4 -0.2 -3.0 -1.6 -4.8 -6.1 -5.7 -7.6 -9.5 -7.4 5.9 10.3 7.1 8.2 -7.5 -6.5 -7.3 -2.5 -7.1 -19.7 10.8 -1.5 -4.1 -2.1 -2.0 0.6 -0.5 -6.4 -8.2 6.0 4.9 12.1 DAX -9.8 -6.1 10.2 4.4 7.8 4.2 6.6 3.2 5.1 13.8 14.9 7.7 12.7 4.8 11.2 -8.2 -6.8 -8.3 -8.1 8.3 14.2 11.5 14.6 6.7 -11.9 9.9 4.7 10.6 7.2 6.3 7.0 3.8 -3.9 -2.0 -9.9 2.4 1.0 DOW 7.4 -2.3 1.1 4.4 7.8 4.2 6.6 3.2 5.1 11.1 5.1 13.7 4.1 7.8 7.2 -8.9 -6.5 -8.6 -8.1 4.1 2.2 15.4 1.5 9.9 8.0 10.8 2.9 6.3 2.0 8.1 1.9 5.8 -3.6 6.0 0.1 -8.7 -6.5 EUR -10.3 -16.8 4.9 0.8 10.6 1.8 6.6 0.3 1.9 13.1 9.8 2.5 2.4 -10.9 -4.5 -8.3 -8.6 -8.0 -8.1 -6.4 1.3 4.4 1.3 -6.1 -5.5 -11.1 -2.4 6.9 0.7 2.4 0.3 -2.2 -9.2 -7.8 -8.9 -13.6 -2.4 EUROSTX -11.1 -9.4 10.9 4.4 7.8 4.2 6.6 3.2 5.1 13.4 14.9 5.6 14.1 3.2 11.3 -5.0 1.9 -3.3 -0.5 6.9 14.4 7.9 17.1 4.0 -10.4 -8.5 3.9 8.8 7.1 4.6 8.1 2.5 10.6 -8.6 -14.3 -1.6 -0.5 FEEDCOW 2.6 -3.8 20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 -10.9 14.8 2.1 13.0 11.2 14.3 -20.0 -20.0 -20.0 -20.0 20.0 20.0 2.2 18.3 17.8 -20.0 12.2 5.9 -3.9 7.1 -0.8 6.0 2.9 -20.0 -20.0 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 12.2 -3.3 -20.0 -4.2 -0.2 -5.4 -0.2 -3.0 -1.6 3.7 -12.6 8.5 -1.9 -1.2 -8.5 3.6 19.2 6.7 12.9 -9.9 -14.9 2.1 -5.3 -1.2 2.0 -15.4 -4.1 0.1 -6.4 1.0 -3.7 -0.5 6.4 4.4 4.0 1.3 0.4 GAS_US -3.2 11.0 -20.0 -4.2 -0.2 -5.4 -0.2 -3.0 -1.6 9.8 -16.5 -9.1 -15.7 -9.6 -14.1 -20.0 -19.1 -20.0 -20.0 -17.1 -20.0 -3.1 -20.0 -8.0 6.1 -9.3 -3.5 1.4 -6.2 0.0 -5.3 -1.3 -20.0 -8.6 -2.6 15.6 6.2 GBP -1.6 -2.1 12.9 0.8 10.6 1.8 6.6 0.3 1.9 13.2 14.0 12.2 2.9 5.4 11.3 -1.8 -1.9 -1.9 -2.0 6.8 8.4 14.6 3.1 8.0 0.1 9.4 3.9 12.1 3.6 8.9 -0.7 5.0 1.6 0.5 9.5 7.9 11.0 GOLD_micro -15.4 -15.0 10.3 0.3 -2.1 1.8 -1.5 1.7 -1.1 -8.9 9.8 -10.7 5.8 -13.1 2.4 -14.0 -12.1 -13.4 -13.1 -3.9 6.4 -8.1 9.0 -9.9 -13.6 -13.8 -2.1 -2.6 2.4 -4.0 3.8 -4.9 -16.6 -10.1 -17.8 -10.5 8.3 HEATOIL 6.8 -3.0 -19.4 -4.2 -0.2 -5.4 -0.2 -3.0 -1.6 0.1 -13.0 4.9 -2.8 -5.1 -10.2 0.3 20.0 5.2 13.1 -11.3 -14.8 -0.9 -5.3 -4.3 -5.9 -13.6 -2.9 -0.2 -5.0 1.4 -0.6 0.7 8.9 3.8 8.5 4.0 -0.4 JPY -9.5 -20.0 -10.4 0.8 10.6 1.8 6.6 0.3 1.9 -7.1 -5.3 -11.1 -9.2 -14.0 -14.8 -17.6 -14.8 -16.9 -16.2 -20.0 -16.2 -8.4 -15.3 -16.9 9.2 9.9 -5.3 -1.2 -3.7 -2.4 -4.0 -4.6 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 20.0 4.8 -20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 14.0 -12.9 12.4 -13.3 1.4 -9.1 20.0 -20.0 -14.8 -20.0 -13.4 -20.0 18.6 -17.4 2.7 20.0 -11.1 -5.8 5.1 -7.1 2.2 -5.8 -2.2 -20.0 18.9 -5.3 -5.1 -20.0 LIVECOW 18.1 4.0 5.5 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 -6.9 14.4 8.9 13.0 12.1 13.8 20.0 13.3 20.0 20.0 20.0 16.7 13.9 11.1 20.0 -20.0 -10.0 5.7 -0.9 4.5 3.3 3.5 5.9 20.0 20.0 20.0 20.0 20.0 MXP 10.4 10.1 20.0 0.8 10.6 1.8 6.6 0.3 1.9 14.1 16.1 15.7 16.0 15.7 15.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.4 7.4 6.6 7.2 6.8 6.7 20.0 15.3 20.0 20.0 20.0 NASDAQ 19.8 20.0 20.0 4.4 7.8 4.2 6.6 3.2 5.1 13.9 15.5 15.4 0.8 16.1 16.5 -10.3 -7.3 -9.7 -8.8 20.0 20.0 20.0 11.7 20.0 -15.1 10.2 6.4 4.5 5.2 5.2 3.2 6.3 -4.7 3.4 20.0 20.0 20.0 NIKKEI 4.6 20.0 20.0 4.4 7.8 4.2 6.6 3.2 5.1 13.9 15.4 15.0 13.1 15.6 16.1 14.4 12.5 11.2 11.9 20.0 20.0 20.0 14.1 20.0 -5.9 -9.1 6.2 5.6 4.5 5.6 2.4 6.3 20.0 20.0 20.0 20.0 20.0 NZD -11.5 -3.0 -2.0 0.8 10.6 1.8 6.6 0.3 1.9 13.8 2.5 -0.5 -2.1 -6.9 -8.7 0.9 0.8 1.0 0.8 -6.1 -4.3 8.2 -4.2 -2.8 3.8 10.8 -2.5 10.7 -1.4 4.3 -1.7 -1.1 6.4 1.5 -9.6 -5.0 -10.0 OAT 1.7 2.8 -1.8 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -10.8 -5.6 1.7 -12.5 0.4 2.0 9.0 12.1 10.6 11.4 -1.6 -5.7 -2.6 -15.9 -0.9 3.9 12.7 0.4 -4.5 -0.3 -1.6 -6.2 -0.4 19.6 -1.3 1.1 4.5 -1.5 OJ 3.0 -16.5 13.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 -10.6 12.6 -3.2 14.5 1.9 8.8 19.6 20.0 20.0 20.0 13.1 20.0 -8.9 20.0 1.1 -20.0 -14.3 5.0 -1.6 8.3 -0.9 10.9 2.0 20.0 -20.0 20.0 20.0 20.0 PALLAD -18.0 -2.5 -3.2 0.3 -2.1 1.8 -1.5 1.7 -1.1 1.2 -14.3 -10.0 -14.8 -12.7 -11.3 -2.9 -2.5 -2.9 -2.9 -14.9 -17.6 -11.3 -20.0 -16.1 20.0 -11.1 -3.5 1.0 -3.5 -3.6 -4.7 -4.9 0.3 -2.3 -15.4 -7.7 -11.2 PLAT -20.0 -9.7 5.4 0.3 -2.1 1.8 -1.5 1.7 -1.1 -13.7 2.6 -14.1 4.7 -13.4 -0.9 -2.2 -1.8 -2.3 -2.1 -5.7 2.2 -17.3 4.1 -14.1 -1.6 11.2 -1.8 -7.4 1.2 -6.7 1.6 -5.3 1.7 -13.2 -19.3 -1.8 2.6 REDWHEAT -11.5 3.0 3.5 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 -11.7 -7.2 -12.9 -12.3 -3.3 -1.7 3.5 5.6 6.2 6.9 -6.2 -6.1 -9.4 -6.0 -8.4 3.6 12.9 -1.4 -5.0 -2.5 -2.7 -1.4 -1.2 -6.4 -18.8 -1.0 12.1 5.2 ROBUSTA 7.0 6.4 20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 8.6 15.4 11.5 12.1 14.0 15.6 18.1 11.7 14.6 13.1 20.0 20.0 20.0 20.0 20.0 -20.0 9.6 6.6 2.6 6.2 4.6 4.3 5.7 3.8 20.0 20.0 20.0 20.0 RUSSELL 20.0 11.5 -4.2 4.4 7.8 4.2 6.6 3.2 5.1 10.5 -6.1 12.6 -9.1 12.0 -1.5 -6.1 -5.1 -6.1 -5.9 7.0 -1.1 18.4 -5.1 16.5 17.4 10.0 3.1 3.6 0.3 6.9 -0.5 6.7 -0.5 14.8 15.4 2.7 -17.5 SILVER-mini -7.0 -16.9 11.0 0.3 -2.1 1.8 -1.5 1.7 -1.1 -0.1 7.0 6.4 3.9 -7.1 3.6 -6.9 -5.7 -6.6 -6.3 -1.6 4.8 1.7 5.5 -2.9 -5.9 -11.3 -1.0 0.4 1.2 0.5 1.1 -1.4 -5.3 8.8 1.8 -8.8 1.6 SOYBEAN 12.6 -10.9 -20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 14.0 -12.1 10.9 -9.6 -5.1 -11.4 12.8 20.0 20.0 20.0 -18.3 -20.0 18.7 -12.0 -2.6 14.2 -11.7 -3.7 8.1 -5.1 5.9 -2.8 1.1 20.0 20.0 20.0 -4.5 -20.0 SOYMEAL -14.6 -20.0 -20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 0.1 -3.6 -12.1 4.1 -15.0 -15.6 20.0 20.0 20.0 20.0 -20.0 -13.7 -9.2 4.7 -20.0 -18.6 -12.0 -5.5 0.2 -3.1 -1.1 1.7 -3.8 20.0 -12.6 -5.6 -10.7 -12.1 SOYOIL 20.0 4.7 -20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 14.0 -13.0 14.1 -10.5 4.7 -8.5 8.4 10.9 6.3 6.9 -7.8 -17.7 20.0 -13.2 12.3 19.1 12.9 -0.4 9.1 -4.0 9.1 -3.2 5.4 -2.3 20.0 20.0 20.0 -14.4 SP400 16.8 3.7 -7.3 4.4 7.8 4.2 6.6 3.2 5.1 10.8 -2.9 12.6 -2.1 10.1 -3.2 -5.9 -4.9 -5.8 -5.6 4.1 -1.1 17.5 -1.7 13.4 15.9 10.2 1.5 4.7 -0.7 7.4 -0.2 5.8 -0.0 13.3 6.9 -5.5 -20.0 SUGAR11 -20.0 -1.2 20.0 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 11.4 13.9 0.8 13.7 1.1 11.2 4.0 20.0 9.7 18.1 16.2 20.0 4.1 20.0 3.5 -20.0 -10.5 4.7 2.6 8.0 1.2 8.1 1.2 20.0 -8.7 4.5 20.0 20.0 US10 -16.7 -11.1 4.4 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -13.4 1.2 -14.0 -9.9 -13.9 -2.1 -8.9 -6.7 -9.7 -9.3 -11.0 -5.6 -15.7 -10.0 -16.1 -1.2 9.7 -3.9 -5.1 -0.9 -6.0 -1.7 -6.5 -14.8 -11.2 -20.0 -17.0 -1.3 US10U -11.3 -10.1 4.1 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -12.6 2.0 -12.7 -10.0 -13.0 -2.7 0.1 -0.9 -2.9 -2.7 -9.4 -5.6 -11.8 -10.4 -12.7 -2.6 -14.1 -4.0 -4.3 -0.9 -5.6 -1.4 -6.4 -4.0 -7.1 -20.0 -16.5 -2.4 US20 -6.6 -10.9 3.5 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -9.3 3.5 -5.6 -8.5 -10.0 -2.9 -0.6 -1.5 -1.5 -2.1 -8.7 -5.8 -7.3 -10.4 -9.7 -0.7 -12.3 -3.9 -3.1 -1.2 -4.4 -2.1 -5.5 -4.0 0.7 -16.9 -14.4 -3.0 US30 -1.8 -9.9 1.0 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -4.2 0.4 -1.5 -10.4 -9.1 -9.5 0.1 -0.9 -0.9 -1.1 -8.7 -7.8 -3.2 -14.1 -7.1 -0.6 10.0 -4.1 -1.1 -1.7 -2.8 -2.8 -4.7 -2.6 7.1 -8.1 -11.6 -6.1 US5 -20.0 -12.4 2.6 -0.4 -4.0 0.2 -1.9 -2.7 -1.2 -13.6 0.4 -14.3 -10.0 -14.1 -2.3 -12.9 -7.9 -12.0 -10.9 -12.8 -6.3 -18.5 -10.8 -18.9 0.3 10.8 -3.9 -5.7 -1.1 -6.1 -2.2 -6.5 -17.1 -11.5 -20.0 -17.9 -1.9 VIX -20.0 -18.3 -18.3 -4.8 -4.0 -4.0 -6.0 -3.8 -6.2 -14.1 -16.3 -15.9 -15.4 -16.5 -16.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -13.5 -6.0 -4.0 -5.0 -6.2 -5.1 -7.2 NaN NaN NaN NaN NaN WHEAT 6.5 -0.0 -10.9 -4.4 1.8 -3.5 -0.2 -1.9 -3.2 7.3 -14.7 7.4 -15.6 -7.0 -12.3 -12.4 -10.1 -12.5 -11.8 -14.6 -20.0 4.7 -20.0 -3.3 19.1 11.9 -3.4 1.5 -6.4 3.1 -5.3 1.2 -20.0 4.2 20.0 5.6 -14.1 End of report for caleb_strategy_v1