******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230616_204700 produced at 2023-06-16 21:38:30.028210 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 43114059.06 -43114059.06 -0.39 -0.52 -11.71 999999999.0 -9 -12 caleb_strategy_v1 VIX False False 0.01 -0.12 -0.23 0.0 6935370.89 -6935370.89 -0.12 -0.12 -33.26 999999999.0 -18 -18 caleb_strategy_v1 JPY False False 0.03 -0.39 -0.18 0.0 32374872.65 -32374872.65 -0.39 -0.39 -5.46 999999999.0 -12 -12 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.18 0.0 51134779.28 -51134779.28 -0.10 -0.15 -3.56 999999999.0 -2 -3 caleb_strategy_v1 US20 False False 0.05 0.00 -0.17 0.0 0.00 -0.00 0.00 0.00 -3.70 0.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.35 -0.15 0.0 39036925.64 -39036925.64 -0.35 -0.35 -3.91 999999999.0 -9 -9 caleb_strategy_v1 EUR False False 0.05 -0.25 -0.14 0.0 49763096.92 -49763096.92 -0.25 -0.25 -2.76 999999999.0 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 -0.11 -0.09 0.0 7134196.92 -7134196.92 -0.11 -0.11 -12.04 999999999.0 -16 -15 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 40946755.66 -40946755.66 0.00 0.00 -1.98 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.06 0.0 53882590.61 -53882590.61 0.00 0.00 -1.07 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 0.00 -0.05 0.0 43069920.77 -43069920.77 0.00 0.00 -1.15 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.03 0.0 11578266.70 -11578266.70 -0.07 -0.07 -2.57 999999999.0 -6 -6 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.03 0.0 22091781.94 -22091781.94 0.00 0.00 -1.13 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 11737617.26 -11737617.26 -0.02 -0.01 -2.44 999999999.0 -2 -1 caleb_strategy_v1 CRUDE_W False False 0.03 -0.03 -0.02 0.0 25793060.81 -25793060.81 -0.03 -0.03 -0.60 999999999.0 -1 -1 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.02 0.0 37923404.76 -37923404.76 -0.04 -0.04 -0.51 999999999.0 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 51300014.94 -51300014.94 0.00 0.00 -0.14 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 14205740.11 -14205740.11 0.00 0.00 -0.38 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.02 -0.01 0.0 957733.07 -957733.07 -0.02 -0.02 -12.94 999999999.0 -23 -23 caleb_strategy_v1 GASOIL False False 0.03 -0.05 -0.01 0.0 26301896.12 -26301896.12 -0.05 -0.05 -0.54 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.14 0.0 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -1.24 0.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15115668.01 -15115668.01 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 -0.01 -0.00 0.0 14587819.29 -14587819.29 -0.01 -0.01 -0.30 999999999.0 -1 -1 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.00 0.0 10542053.48 -10542053.48 0.03 0.04 0.40 999999999.0 3 4 caleb_strategy_v1 US30 False False 0.05 -0.15 0.00 0.0 49457524.11 -49457524.11 -0.15 -0.05 0.01 999999999.0 -3 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 12929124.84 -12929124.84 -0.05 -0.05 -0.03 999999999.0 -4 -4 caleb_strategy_v1 EUROSTX False False 0.02 -0.02 0.00 0.0 17505104.64 -17505104.64 -0.02 0.00 0.07 999999999.0 -1 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 24635958.46 -24635958.46 0.00 0.00 0.13 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.08 0.01 0.0 10824067.75 -10824067.75 0.08 0.09 1.11 999999999.0 7 8 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17863559.74 -17863559.74 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 12557548.31 -12557548.31 0.00 0.00 0.95 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.01 0.01 0.0 14848574.74 -14848574.74 0.01 0.01 0.45 999999999.0 1 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 35179351.93 -35179351.93 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9941301.87 -9941301.87 0.02 0.02 1.86 999999999.0 2 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3795495.34 -3795495.34 0.00 0.00 5.82 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.03 0.0 24954659.58 -24954659.58 0.00 0.00 1.35 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 22553536.40 -22553536.40 0.00 0.00 1.12 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 6531223.10 -6531223.10 0.00 0.00 6.26 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.02 0.00 0.04 0.0 24880416.71 -24880416.71 0.00 0.00 1.49 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.04 0.0 6274971.47 -6274971.47 0.00 0.00 6.93 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.29 0.05 0.0 29070159.37 -29070159.37 0.29 0.29 1.72 999999999.0 10 10 caleb_strategy_v1 CAC False False 0.03 0.06 0.05 0.0 0.00 -0.00 0.06 0.03 1.84 0.0 2 1 caleb_strategy_v1 SP500 False False 0.08 0.00 0.05 0.0 0.00 -0.00 0.00 0.00 0.60 0.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.06 0.0 0.00 -0.00 0.00 0.00 0.56 0.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.06 0.0 10446515.57 -10446515.57 0.00 0.00 5.62 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.06 0.0 24269271.10 -24269271.10 0.02 0.05 2.51 999999999.0 1 2 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.07 0.0 3417345.15 -3417345.15 0.00 0.00 19.10 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.08 0.0 27504268.51 -27504268.51 0.00 0.00 2.81 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.14 0.09 0.0 46213951.83 -46213951.83 0.14 0.14 1.85 999999999.0 3 3 caleb_strategy_v1 SP400 False False 0.09 0.94 0.09 0.0 94067531.81 -94067531.81 0.94 0.94 0.93 999999999.0 10 10 caleb_strategy_v1 OAT False False 0.05 0.00 0.10 0.0 50787393.25 -50787393.25 0.00 0.00 1.88 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.18 0.0 0.00 0.00 0.00 0.00 5.63 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.19 0.0 45885012.80 -45885012.80 0.00 0.00 4.10 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.32 0.31 0.0 52772916.78 -52772916.78 0.32 0.26 5.82 999999999.0 6 5 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.44 0.0 8676796.15 -8676796.15 0.00 0.13 51.05 999999999.0 0 15 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 21.6 Shocked risk 61.8 Sum abs risk 53.9 Leverage 4.08 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2761207.77, 'annual_cash_vol_target': 690301.9425, 'daily_cash_vol_target': 43143.87140625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6891 0.6364 10.1828 BITCOIN 840.5597 26445.0000 3.1785 50.8563 BOBL 0.3193 115.7800 0.2758 4.4128 BTP 0.6545 116.6100 0.5612 8.9800 BUND 0.6105 133.1600 0.4585 7.3356 BUXL 1.4253 135.9600 1.0483 16.7726 CAC 58.5534 7383.0000 0.7931 12.6893 CAD 0.0031 0.7594 0.4138 6.6204 CANOLA 9.3170 693.0000 1.3444 21.5111 CHF 0.0057 1.1296 0.5011 8.0174 COCOA 33.6299 3241.0000 1.0376 16.6022 COFFEE 3.3893 181.4000 1.8684 29.8945 COPPER 0.0443 3.8855 1.1406 18.2493 CORN 9.0454 597.7500 1.5132 24.2117 COTTON2 1.2771 82.0000 1.5575 24.9196 CRUDE_W 1.3661 71.2200 1.9182 30.6909 DAX 122.4282 16480.0000 0.7429 11.8862 DOW 236.4318 34653.0000 0.6823 10.9165 EUR 0.0051 1.0992 0.4671 7.4737 EUROSTX 36.5478 4417.0000 0.8274 13.2389 FEEDCOW 1.7009 237.8500 0.7151 11.4418 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 13.2979 726.2500 1.8310 29.2965 GAS_US 0.0977 2.7160 3.5958 57.5325 GBP 0.0068 1.2843 0.5283 8.4523 GOLD_micro 14.9789 1969.9000 0.7604 12.1662 HEATOIL 0.0449 2.4932 1.7995 28.7927 JPY 0.0000 0.0072 0.6095 9.7523 LEANHOG 1.6112 79.9250 2.0159 32.2552 LIVECOW 1.3307 171.7500 0.7748 12.3969 MXP 0.0003 0.0577 0.5654 9.0464 NASDAQ 129.7041 15294.2500 0.8481 13.5689 NIKKEI 314.2736 33710.0000 0.9323 14.9166 NZD 0.0044 0.6228 0.7091 11.3457 OAT 0.6026 128.1500 0.4703 7.5242 OJ 4.7940 261.5000 1.8333 29.3326 PALLAD 28.7152 1416.5000 2.0272 32.4351 PLAT 15.7602 986.5000 1.5976 25.5615 REDWHEAT 15.4184 834.7500 1.8471 29.5531 ROBUSTA 34.5334 2745.0000 1.2580 20.1287 RUSSELL 22.8221 1887.2000 1.2093 19.3490 SILVER-mini 0.3386 24.4000 1.3876 22.2017 SOYBEAN 17.4223 1340.2500 1.2999 20.7988 SOYMEAL 5.7011 402.8000 1.4154 22.6459 SOYOIL 0.9490 57.7900 1.6422 26.2758 SP400 26.2656 2597.4000 1.0112 16.1796 SUGAR11 0.3521 25.9900 1.3546 21.6739 US10 0.4771 113.0625 0.4220 6.7517 US10U 0.6300 119.0469 0.5292 8.4673 US20 0.8817 127.3750 0.6922 11.0754 US30 1.2420 136.5625 0.9095 14.5514 US5 0.3247 107.7891 0.3013 4.8201 VIX 0.5028 19.1500 2.6258 42.0121 WHEAT 12.3087 714.0000 1.7239 27.5825 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 689.05 0.64 438.53 1.00 438.53 43143.87 98.38 8.32 81.84 BITCOIN 26.44 3.18 84.06 1.00 84.06 43143.87 513.28 -10.40 -533.96 BOBL 1157.80 0.28 319.32 1.08 345.46 43143.87 124.89 4.42 55.25 BTP 1166.10 0.56 654.47 1.08 708.04 43143.87 60.93 14.59 88.89 BUND 1331.60 0.46 610.51 1.08 660.48 43143.87 65.32 12.00 78.37 BUXL 1359.60 1.05 1425.25 1.08 1541.91 43143.87 27.98 -4.42 -12.38 CAC 738.30 0.79 585.53 1.08 633.46 43143.87 68.11 9.37 63.79 CAD 759.45 0.41 314.24 1.00 314.24 43143.87 137.29 11.14 153.00 CANOLA 138.60 1.34 186.34 0.75 140.09 43143.87 307.96 20.00 615.93 CHF 1411.94 0.50 707.51 1.00 707.51 43143.87 60.98 -15.17 -92.51 COCOA 324.10 1.04 336.30 1.00 336.30 43143.87 128.29 -8.48 -108.83 COFFEE 680.25 1.87 1270.98 1.00 1270.98 43143.87 33.95 2.82 9.58 COPPER 971.38 1.14 1107.93 1.00 1107.93 43143.87 38.94 5.29 20.58 CORN 298.88 1.51 452.27 1.00 452.27 43143.87 95.39 12.53 119.57 COTTON2 410.00 1.56 638.56 1.00 638.56 43143.87 67.56 4.28 28.90 CRUDE_W 712.20 1.92 1366.13 1.00 1366.13 43143.87 31.58 -1.39 -4.40 DAX 164.80 0.74 122.43 1.08 132.45 43143.87 325.74 3.44 112.01 DOW 173.26 0.68 118.22 1.00 118.22 43143.87 364.96 6.48 236.49 EUR 1374.06 0.47 641.84 1.00 641.84 43143.87 67.22 -10.66 -71.64 EUROSTX 441.70 0.83 365.48 1.08 395.39 43143.87 109.12 0.23 2.52 FEEDCOW 1189.25 0.72 850.45 1.00 850.45 43143.87 50.73 -8.22 -41.68 FTSE100 707.00 0.82 576.59 1.27 666.67 43143.87 64.72 8.20 53.06 GASOIL 726.25 1.83 1329.79 1.00 1329.79 43143.87 32.44 -2.27 -7.37 GAS_US 271.60 3.60 976.61 1.00 976.61 43143.87 44.18 -18.18 -80.31 GBP 802.69 0.53 424.04 1.00 424.04 43143.87 101.75 9.20 93.58 GOLD_micro 196.99 0.76 149.79 1.00 149.79 43143.87 288.03 -18.17 -523.21 HEATOIL 1047.14 1.80 1884.38 1.00 1884.38 43143.87 22.90 -3.03 -6.94 JPY 893.94 0.61 544.87 1.00 544.87 43143.87 79.18 -10.36 -82.06 LEANHOG 319.70 2.02 644.50 1.00 644.50 43143.87 66.94 -7.97 -53.38 LIVECOW 687.00 0.77 532.29 1.00 532.29 43143.87 81.05 6.63 53.73 MXP 288.45 0.57 163.09 1.00 163.09 43143.87 264.54 16.88 446.66 NASDAQ 3058.85 0.85 2594.08 1.00 2594.08 43143.87 16.63 6.00 9.97 NIKKEI 33710.00 0.93 31427.36 0.01 222.55 43143.87 193.86 13.48 261.29 NZD 622.75 0.71 441.60 1.00 441.60 43143.87 97.70 7.00 68.40 OAT 1281.50 0.47 602.64 1.08 651.97 43143.87 66.17 13.65 90.32 OJ 392.25 1.83 719.11 1.00 719.11 43143.87 60.00 -3.51 -21.06 PALLAD 1416.50 2.03 2871.52 1.00 2871.52 43143.87 15.02 -3.64 -5.47 PLAT 493.25 1.60 788.01 1.00 788.01 43143.87 54.75 3.29 18.04 REDWHEAT 417.38 1.85 770.92 1.00 770.92 43143.87 55.96 5.28 29.53 ROBUSTA 274.50 1.26 345.33 1.00 345.33 43143.87 124.93 11.15 139.29 RUSSELL 94.36 1.21 114.11 1.00 114.11 43143.87 378.09 9.48 358.42 SILVER-mini 610.00 1.39 846.44 1.00 846.44 43143.87 50.97 -9.65 -49.17 SOYBEAN 670.12 1.30 871.11 1.00 871.11 43143.87 49.53 8.37 41.44 SOYMEAL 402.80 1.42 570.11 1.00 570.11 43143.87 75.68 -0.66 -4.98 SOYOIL 346.74 1.64 569.43 1.00 569.43 43143.87 75.77 13.30 100.79 SP400 2597.40 1.01 2626.56 1.00 2626.56 43143.87 16.43 10.66 17.50 SUGAR11 291.09 1.35 394.31 1.00 394.31 43143.87 109.41 2.61 28.55 US10 1130.62 0.42 477.10 1.00 477.10 43143.87 90.43 -5.56 -50.27 US10U 1190.47 0.53 630.01 1.00 630.01 43143.87 68.48 -11.41 -78.13 US20 1273.75 0.69 881.70 1.00 881.70 43143.87 48.93 -9.97 -48.77 US30 1365.62 0.91 1241.99 1.00 1241.99 43143.87 34.74 0.02 0.06 US5 1077.89 0.30 324.72 1.00 324.72 43143.87 132.86 -7.45 -99.02 VIX 191.50 2.63 502.83 1.00 502.83 43143.87 85.80 -20.00 -171.60 WHEAT 357.00 1.72 615.43 1.00 615.43 43143.87 70.10 -0.73 -5.09 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 81.836 0.007 2.5 1.345 BITCOIN -533.961 0.010 2.5 -12.941 BOBL 55.249 0.030 2.5 4.101 BTP 88.894 0.008 2.5 1.847 BUND 78.369 0.030 2.5 5.817 BUXL -12.378 0.035 2.5 -1.069 CAC 63.789 0.012 2.5 1.845 CAD 153.001 0.007 2.5 2.810 CANOLA 615.925 0.004 2.5 5.816 CHF -92.510 0.015 2.5 -3.561 COCOA -108.833 0.009 2.5 -2.439 COFFEE 9.581 0.005 2.5 0.128 COPPER 20.583 0.011 2.5 0.579 CORN 119.573 0.004 2.5 1.109 COTTON2 28.902 0.006 2.5 0.448 CRUDE_W -4.398 0.054 2.5 -0.598 DAX 112.009 0.022 2.5 6.257 DOW 236.486 0.012 2.5 6.932 EUR -71.636 0.015 2.5 -2.758 EUROSTX 2.516 0.012 2.5 0.073 FEEDCOW -41.679 0.011 2.5 -1.152 FTSE100 53.057 0.042 2.5 5.626 GASOIL -7.369 0.029 2.5 -0.541 GAS_US -80.311 0.006 2.5 -1.244 GBP 93.579 0.007 2.5 1.719 GOLD_micro -523.210 0.009 2.5 -12.042 HEATOIL -6.944 0.029 2.5 -0.510 JPY -82.063 0.027 2.5 -5.464 LEANHOG -53.384 0.019 2.5 -2.565 LIVECOW 53.733 0.011 2.5 1.485 MXP 446.656 0.005 2.5 5.625 NASDAQ 9.972 0.022 2.5 0.557 NIKKEI 261.293 0.078 2.5 51.048 NZD 68.398 0.007 2.5 1.124 OAT 90.317 0.008 2.5 1.876 OJ -21.059 0.007 2.5 -0.378 PALLAD -5.469 0.010 2.5 -0.135 PLAT 18.038 0.010 2.5 0.446 REDWHEAT 29.528 0.002 2.5 0.162 ROBUSTA 139.287 0.005 2.5 1.858 RUSSELL 358.420 0.021 2.5 19.096 SILVER-mini -49.173 0.009 2.5 -1.132 SOYBEAN 41.440 0.024 2.5 2.513 SOYMEAL -4.979 0.024 2.5 -0.302 SOYOIL 100.789 0.004 2.5 0.952 SP400 17.505 0.021 2.5 0.933 SUGAR11 28.549 0.006 2.5 0.398 US10 -50.271 0.016 2.5 -1.984 US10U -78.132 0.060 2.5 -11.710 US20 -48.766 0.030 2.5 -3.697 US30 0.058 0.035 2.5 0.005 US5 -99.018 0.016 2.5 -3.907 VIX -171.604 0.078 2.5 -33.264 WHEAT -5.085 0.002 2.5 -0.028 ==================== Position diags ==================== AUD 1.62 BITCOIN 12.44 BOBL 9.27 BTP 1.27 BUND 4.85 BUXL 2.42 CAC 1.97 CAD 2.52 CANOLA 2.91 CHF 2.35 COCOA 2.87 COFFEE 0.45 COPPER 1.09 CORN 0.89 COTTON2 1.05 CRUDE_W 4.29 DAX 18.20 DOW 10.70 EUR 2.59 EUROSTX 3.16 FEEDCOW 1.40 FTSE100 6.86 GASOIL 2.38 GAS_US 0.68 GBP 1.87 GOLD_micro 6.63 HEATOIL 1.68 JPY 5.27 LEANHOG 3.22 LIVECOW 2.24 MXP 3.33 NASDAQ 0.93 NIKKEI 37.87 NZD 1.61 OAT 1.37 OJ 1.08 PALLAD 0.37 PLAT 1.36 REDWHEAT 0.31 ROBUSTA 1.67 RUSSELL 20.14 SILVER-mini 1.17 SOYBEAN 3.00 SOYMEAL 4.59 SOYOIL 0.72 SP400 0.88 SUGAR11 1.53 US10 3.57 US10U 10.26 US20 3.71 US30 3.00 US5 5.24 VIX 16.63 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.3 1.2 1.5 0.0 0 BITCOIN -12.9 -14.2 -11.7 -23.0 -23 BOBL 4.1 3.2 5.0 0.0 0 BTP 1.8 1.7 2.0 3.0 3 BUND 5.8 5.3 6.3 6.0 6 BUXL -1.1 -1.3 -0.8 0.0 0 CAC 1.8 1.6 2.0 2.0 2 CAD 2.8 2.6 3.1 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -3.6 -3.8 -3.3 -2.0 -2 COCOA -2.4 -2.7 -2.2 -2.0 -2 COFFEE 0.1 0.1 0.2 0.0 0 COPPER 0.6 0.5 0.7 0.0 0 CORN 1.1 1.0 1.2 7.0 7 COTTON2 0.4 0.3 0.6 1.0 1 CRUDE_W -0.6 -1.0 -0.2 -1.0 -1 DAX 6.3 4.4 8.1 0.0 0 DOW 6.9 5.9 8.0 0.0 0 EUR -2.8 -3.0 -2.5 -5.0 -5 EUROSTX 0.1 -0.2 0.4 -1.0 -1 FEEDCOW -1.2 -1.3 -1.0 0.0 0 FTSE100 5.6 4.9 6.3 0.0 0 GASOIL -0.5 -0.8 -0.3 -2.0 -2 GAS_US -1.2 -1.3 -1.2 0.0 0 GBP 1.7 1.5 1.9 10.0 10 GOLD_micro -12.0 -12.7 -11.4 -16.0 -16 HEATOIL -0.5 -0.7 -0.3 -1.0 -1 JPY -5.5 -6.0 -4.9 -12.0 -12 LEANHOG -2.6 -2.9 -2.2 -6.0 -6 LIVECOW 1.5 1.3 1.7 0.0 0 MXP 5.6 5.3 6.0 0.0 0 NASDAQ 0.6 0.5 0.6 0.0 0 NIKKEI 51.0 47.3 54.8 0.0 0 NZD 1.1 1.0 1.3 0.0 0 OAT 1.9 1.7 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 0.4 0.3 0.6 0.0 0 REDWHEAT 0.2 0.1 0.2 0.0 0 ROBUSTA 1.9 1.7 2.0 2.0 2 RUSSELL 19.1 17.1 21.1 0.0 0 SILVER-mini -1.1 -1.2 -1.0 0.0 0 SOYBEAN 2.5 2.2 2.8 1.0 1 SOYMEAL -0.3 -0.8 0.2 -1.0 -1 SOYOIL 1.0 0.9 1.0 0.0 0 SP400 0.9 0.8 1.0 10.0 10 SUGAR11 0.4 0.2 0.6 3.0 3 US10 -2.0 -2.3 -1.6 NaN 0 US10U -11.7 -12.7 -10.7 -9.0 -9 US20 -3.7 -4.1 -3.3 0.0 0 US30 0.0 -0.3 0.3 -3.0 -3 US5 -3.9 -4.4 -3.4 -9.0 -9 VIX -33.3 -34.9 -31.6 -18.0 -18 WHEAT -0.0 -0.1 0.0 -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 0.2 0.1 -0.1 0.0 0.1 0.0 0.2 0.0 0.1 0.1 -0.0 0.1 -0.2 0.0 -0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 1.4 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.2 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 0.6 -4.8 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 BOBL -0.1 -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 -1.1 0.2 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 1.5 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.6 -0.0 -0.2 -0.0 -0.0 BTP 0.2 0.1 0.2 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.2 0.0 -0.2 0.0 0.3 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 0.2 0.4 0.2 0.1 BUND -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.0 0.6 0.5 0.2 0.2 -0.1 -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 0.1 -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 -0.1 -0.3 0.2 0.1 0.1 0.1 0.2 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 -0.7 1.7 0.0 0.0 0.1 0.0 0.1 0.0 2.0 -0.0 -0.4 -0.1 -0.1 CAD 0.2 0.2 0.2 0.0 0.0 0.0 0.2 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 0.3 -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 -0.0 0.2 0.1 -0.0 CANOLA 0.0 -0.0 -0.2 -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 -0.1 -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 -0.0 -0.3 CHF -0.1 -0.2 0.1 0.0 0.1 0.0 0.2 0.0 0.1 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 0.1 -0.0 -0.0 0.0 0.4 0.0 0.3 0.1 0.4 0.0 -0.0 0.0 0.0 0.2 0.2 0.0 0.2 0.0 -3.1 -2.2 0.1 0.0 0.1 0.0 0.1 0.0 -2.4 0.2 0.4 0.3 0.3 COFFEE -0.1 -0.1 0.2 -0.1 0.0 -0.1 0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.0 0.4 0.2 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 -1.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 -0.1 0.2 0.2 0.3 COPPER 0.2 -0.2 -0.2 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -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 0.4 -0.2 -0.3 CORN 0.2 0.2 -0.2 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.2 0.0 -0.0 -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 -0.0 0.0 -0.0 0.0 0.3 0.1 0.4 0.2 -0.2 COTTON2 0.0 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 0.9 0.3 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 -1.1 -0.0 0.0 0.6 0.5 CRUDE_W -0.0 -0.1 -0.1 -0.1 0.1 -0.1 0.1 -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 -2.3 2.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.9 -0.1 0.0 0.0 0.2 DAX -0.0 -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 -0.3 -0.1 -0.1 0.1 0.2 0.0 0.2 0.0 -1.7 2.2 0.1 0.0 0.1 0.0 0.1 0.0 -0.5 -0.0 -0.3 0.0 0.0 DOW 0.2 -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 1.0 2.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.5 0.1 0.1 -0.1 -0.1 EUR -0.0 -0.3 0.1 0.0 0.1 0.1 0.2 0.0 0.1 0.0 0.2 0.0 0.1 -0.0 -0.1 -0.5 -0.4 -0.2 -0.2 -0.0 0.0 0.0 0.0 0.0 -0.7 -2.3 -0.0 0.0 0.0 0.0 0.0 0.0 -1.1 -0.0 -0.1 -0.2 -0.0 EUROSTX -0.0 -0.1 0.2 0.1 0.0 0.1 0.2 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 -1.3 -1.8 0.1 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 -0.0 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 0.1 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 0.0 -0.3 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.1 -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 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.8 0.0 0.1 0.0 0.0 GAS_US 0.0 0.3 -0.3 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.4 0.0 -0.4 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.1 -0.2 0.0 -0.2 -0.0 0.6 -1.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 -2.7 0.2 -0.2 0.2 0.1 GBP 0.1 -0.0 0.2 0.0 0.0 0.0 0.2 0.0 0.1 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 -0.1 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.2 0.0 0.2 0.1 0.2 GOLD_micro -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 -0.1 0.0 -1.1 -0.5 -0.3 -0.3 -0.1 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 -0.0 -0.3 -0.1 0.1 HEATOIL 0.1 0.0 -0.3 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.1 0.0 -0.2 0.1 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 0.2 0.1 0.0 JPY -0.1 -0.3 -0.2 0.0 0.1 0.0 0.2 0.0 0.1 -0.0 -0.2 -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 1.4 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 0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 1.6 -0.8 -0.2 -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 -0.0 -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 0.6 0.4 0.4 0.2 0.2 0.0 0.1 0.0 -3.3 -2.2 0.1 -0.0 0.1 0.0 0.0 0.0 2.8 -0.0 0.4 0.3 0.3 MXP 0.2 0.2 0.3 0.0 0.0 0.0 0.1 0.0 0.1 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 -1.9 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.6 0.2 0.5 0.3 0.3 NIKKEI 0.1 0.3 0.3 0.1 0.1 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 -1.0 -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 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.2 0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 -0.2 0.1 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.7 2.3 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.8 -0.0 -0.3 -0.1 -0.2 OAT 0.0 0.0 -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 0.6 2.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.6 -0.0 -0.0 0.1 -0.0 OJ -0.0 -0.4 0.3 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 0.0 0.1 1.4 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 -0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 -0.0 -0.4 -0.0 -0.2 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 3.7 -2.6 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.3 -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 0.0 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 2.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.4 -0.1 0.0 REDWHEAT -0.1 0.1 0.1 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.0 0.3 0.2 0.1 0.1 -0.0 -0.1 0.0 -0.1 -0.0 0.5 2.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.8 -0.1 0.1 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 0.1 0.3 1.6 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 0.7 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 -0.1 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 0.0 0.3 0.0 -0.3 SILVER-mini -0.0 -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 -1.2 -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 0.2 0.0 -0.3 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.2 0.0 -0.2 1.0 0.8 0.4 0.4 -0.1 -0.2 0.0 -0.1 0.0 2.0 -2.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 2.7 0.0 0.4 0.1 -0.3 SOYMEAL 0.1 -0.3 -0.3 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.1 0.0 0.0 -0.0 -2.6 -2.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 2.7 0.1 0.2 -0.1 -0.2 SOYOIL 0.2 0.2 -0.3 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.3 0.0 -0.1 0.7 0.5 0.1 0.1 -0.0 -0.2 0.0 -0.1 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 -0.1 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 -0.0 0.1 -0.0 -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 0.2 -0.1 -0.3 SUGAR11 -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 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 -0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 -0.1 -0.1 -0.7 -0.3 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 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 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -2.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 0.0 -0.3 -0.2 -0.0 US20 -0.0 -0.2 0.0 -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 -0.1 -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 0.1 -0.1 -0.1 -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 -0.2 -0.1 -0.0 -0.1 -0.0 0.1 2.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.4 -0.0 -0.1 -0.2 -0.0 VIX -0.2 -1.0 -1.3 -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 0.2 0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.9 -0.4 -0.3 -0.2 -0.1 -0.2 0.0 -0.2 0.0 2.7 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 16.1 3.8 -3.6 2.0 12.9 1.9 9.9 0.4 4.5 13.7 -1.9 14.9 -6.2 9.5 -0.5 -2.4 -3.2 -3.2 -3.4 2.5 -3.7 20.0 -6.6 15.1 11.9 11.7 1.7 12.1 -0.8 11.3 -2.1 6.5 -0.7 13.9 11.1 2.4 -13.1 BITCOIN -7.8 -12.5 11.2 0.5 3.2 1.8 0.9 1.7 -0.3 1.0 8.7 -7.0 -6.6 -12.0 2.9 -4.5 -2.8 -4.3 -3.6 -2.5 4.5 -6.0 1.0 -7.4 2.9 -18.1 -2.9 0.5 1.2 -4.0 1.5 -5.1 -0.3 -12.5 -6.5 -8.0 -5.2 BOBL -7.2 -1.8 -4.2 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 -11.0 -2.7 -10.5 -11.8 -9.8 0.8 -13.6 4.2 -2.1 1.1 -6.2 -7.1 -17.1 -16.5 -11.3 10.1 10.8 -2.2 -10.2 -1.4 -8.6 -6.2 -5.4 4.1 -20.0 -15.2 -2.0 -1.4 BTP 13.4 6.1 9.3 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 10.4 9.9 12.9 -6.3 11.5 11.2 8.1 11.5 9.1 10.2 8.6 4.8 12.0 -5.2 11.7 -9.7 11.4 5.0 5.3 3.9 6.0 -0.7 5.9 18.1 15.7 20.0 17.7 7.3 BUND -0.8 -0.4 -4.4 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 -8.1 -4.9 -5.6 -12.7 -5.8 -0.1 7.4 11.7 7.8 9.2 -4.2 -7.1 -9.2 -17.8 -6.1 6.6 12.3 -1.2 -5.5 -1.1 -5.0 -6.0 -3.2 17.1 -11.2 -5.7 0.5 -2.0 BUXL 4.9 -2.8 -10.9 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 0.2 -12.0 0.9 -14.4 -4.1 -8.2 2.6 1.3 2.3 2.4 -6.6 -12.0 -1.3 -20.0 -3.4 9.1 -10.8 -2.0 1.5 -3.1 -0.5 -7.3 -1.5 2.6 2.6 1.9 -1.3 -7.3 CAC -9.7 -16.6 10.3 4.6 6.4 4.1 6.9 3.0 5.7 12.0 13.3 3.5 13.5 -0.1 7.9 -1.8 3.7 3.2 3.7 3.5 12.6 8.9 17.7 1.8 -6.2 8.9 1.2 9.0 4.8 4.9 6.9 1.0 15.0 -2.2 -20.0 -11.2 -6.4 CAD 14.1 9.9 10.6 2.0 12.9 1.9 9.9 0.4 4.5 13.9 3.3 15.2 -8.6 12.7 10.5 -2.7 -2.3 -2.9 -2.8 8.6 1.8 20.0 -5.5 16.1 12.8 10.4 4.2 11.2 1.5 9.9 -1.5 7.1 0.7 -1.7 11.9 7.1 -0.3 CANOLA 6.7 -0.3 -15.9 -4.1 6.3 -3.4 2.1 -1.9 -2.1 13.4 -13.3 9.0 -14.3 -3.0 -11.5 19.5 20.0 20.0 20.0 -16.8 -20.0 16.5 -18.0 -2.3 20.0 13.2 -5.1 7.3 -7.3 4.2 -6.0 -0.7 20.0 20.0 1.9 -2.7 -20.0 CHF -7.3 -12.3 7.4 2.0 12.9 1.9 9.9 0.4 4.5 10.8 10.7 5.6 9.2 -7.1 3.1 -15.9 -15.2 -15.9 -15.7 -0.1 5.1 9.1 5.6 0.1 -4.7 -11.5 0.3 9.8 2.9 5.3 2.4 0.4 -20.0 -10.8 -11.0 -9.7 4.5 COCOA 8.1 6.1 20.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 12.2 15.9 14.2 12.8 14.8 15.7 0.4 -0.9 0.4 0.2 20.0 20.0 20.0 18.0 20.0 -20.0 -10.4 6.4 7.0 6.2 7.6 4.9 6.9 -17.5 20.0 20.0 20.0 20.0 COFFEE -6.2 -4.1 10.7 -3.6 8.0 -3.4 4.0 -1.9 -1.0 -6.4 4.0 -1.8 -3.7 -5.3 -1.1 5.7 5.0 6.3 5.8 0.9 1.7 -0.8 -1.9 -1.1 -7.8 10.0 3.6 0.3 3.2 1.6 0.6 2.6 -7.7 -14.0 8.1 17.1 20.0 COPPER 16.5 -14.3 -10.1 0.5 3.2 1.8 0.9 1.7 -0.3 13.2 -0.7 14.7 -4.2 1.0 -6.3 -2.6 -1.2 -2.2 -1.8 -6.4 -6.6 17.1 -3.3 5.4 5.6 11.1 -2.6 6.5 -3.1 5.8 -1.6 1.7 2.5 20.0 18.3 -14.6 -20.0 CORN 20.0 13.3 -9.4 -3.6 8.0 -3.4 4.0 -1.9 -1.0 13.8 -8.9 15.0 -8.7 7.9 -1.5 -4.5 12.9 1.9 8.2 1.8 -7.2 20.0 -5.9 16.8 20.0 11.0 0.3 13.1 -3.7 9.6 -3.5 5.7 2.0 20.0 20.0 15.0 -13.6 COTTON2 6.1 12.7 4.4 -3.6 8.0 -3.4 4.0 -1.9 -1.0 -12.0 2.6 6.8 -11.6 8.9 8.2 12.9 7.3 5.7 3.8 4.9 -1.5 -0.4 -7.4 5.2 -9.0 12.0 3.1 -4.2 0.5 -0.8 -0.5 2.8 -8.2 -20.0 2.9 20.0 17.2 CRUDE_W -0.2 -6.7 -5.9 -3.2 8.7 -5.1 4.7 -3.0 0.6 10.6 -6.1 0.9 -7.8 -7.0 -6.9 5.6 10.2 6.9 8.1 -6.2 -6.3 1.9 -2.5 -3.5 -19.4 10.8 -0.8 6.5 -1.9 2.9 0.7 1.2 -6.3 -14.8 2.6 2.7 11.5 DAX -1.1 -4.5 11.8 4.6 6.4 4.1 6.9 3.0 5.7 13.6 15.1 12.1 13.0 8.7 12.3 -8.6 -6.9 -8.5 -8.2 10.0 15.0 14.5 15.3 9.8 -11.3 9.9 5.1 8.3 7.0 7.3 6.7 5.1 -4.1 -0.1 -12.7 2.4 0.4 DOW 14.0 -0.2 2.5 4.6 6.4 4.1 6.9 3.0 5.7 12.7 5.5 14.5 4.4 10.5 8.9 -9.0 -6.6 -8.7 -8.2 6.1 3.1 17.6 1.8 12.6 8.4 10.8 3.6 7.6 2.3 8.4 1.9 6.4 -3.8 5.1 4.8 -7.6 -6.2 EUR -1.2 -16.4 4.9 2.0 12.9 1.9 9.9 0.4 4.5 13.6 10.0 9.8 2.6 -6.2 -2.6 -8.1 -8.5 -7.9 -8.1 -3.1 1.9 15.5 1.4 1.5 -5.3 -11.1 -0.9 12.3 1.0 7.7 0.4 1.2 -9.3 -2.3 -5.5 -13.8 -2.3 EUROSTX -3.8 -8.1 12.2 4.6 6.4 4.1 6.9 3.0 5.7 13.2 15.1 10.5 14.2 6.9 12.2 -5.2 1.7 -3.5 -0.8 8.2 15.0 11.3 17.7 6.9 -9.7 -8.5 4.6 8.7 7.3 6.7 8.3 4.2 10.1 -4.0 -15.4 -2.3 -1.3 FEEDCOW -4.4 6.3 20.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 -13.0 14.4 -6.2 12.9 8.6 13.1 -20.0 -20.0 -20.0 -20.0 20.0 20.0 -7.5 18.9 11.1 -20.0 12.2 5.4 -5.3 7.2 -3.0 6.3 1.3 -20.0 -20.0 6.8 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 15.6 1.6 -19.5 -3.2 8.7 -5.1 4.7 -3.0 0.6 13.2 -12.1 13.1 -2.3 4.3 -7.1 4.1 19.0 6.7 12.7 -6.6 -13.1 13.6 -4.9 4.4 1.9 -15.4 -2.7 11.4 -5.8 6.6 -3.5 2.2 6.3 2.7 4.9 2.3 1.0 GAS_US 3.1 20.0 -20.0 -3.2 8.7 -5.1 4.7 -3.0 0.6 13.7 -16.3 2.7 -15.6 -3.6 -12.8 -20.0 -19.1 -20.0 -20.0 -12.3 -20.0 11.4 -20.0 -0.2 5.4 -9.3 -2.0 11.8 -5.7 6.4 -5.2 1.9 -20.0 12.6 -7.5 13.9 5.9 GBP 6.6 -0.7 13.3 2.0 12.9 1.9 9.9 0.4 4.5 14.0 14.3 14.3 3.3 9.1 12.3 -1.5 -1.9 -1.8 -1.9 9.9 9.5 20.0 3.6 14.6 -0.4 9.4 4.4 14.5 3.3 11.5 -0.2 6.8 1.7 4.6 11.9 8.9 11.3 GOLD_micro -11.6 -15.1 9.9 0.5 3.2 1.8 0.9 1.7 -0.3 0.8 9.4 -8.3 5.9 -13.3 2.0 -14.1 -12.1 -13.5 -13.2 -4.3 5.9 -5.3 8.9 -9.1 -13.4 -13.8 -2.3 0.1 2.1 -2.6 3.7 -4.5 -16.7 -3.8 -15.6 -10.8 7.3 HEATOIL 11.1 1.5 -17.8 -3.2 8.7 -5.1 4.7 -3.0 0.6 12.6 -12.6 11.1 -3.1 0.4 -8.8 1.2 20.0 5.2 12.9 -7.6 -12.7 12.2 -4.8 2.2 -5.8 -13.6 -1.4 11.0 -4.2 7.0 -0.5 3.4 8.7 4.9 10.3 5.2 0.5 JPY -6.5 -20.0 -12.0 2.0 12.9 1.9 9.9 0.4 4.5 -13.8 -6.3 -14.5 -9.4 -15.2 -15.3 -18.3 -15.0 -17.3 -16.5 -20.0 -16.8 -15.7 -15.5 -19.2 10.3 9.9 -5.5 -6.3 -3.9 -4.8 -4.0 -5.4 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 20.0 5.5 -20.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 13.3 -12.2 14.2 -13.0 4.0 -7.6 20.0 -20.0 -8.8 -20.0 -10.5 -20.0 20.0 -18.0 7.2 20.0 -11.1 -5.3 3.9 -7.2 2.9 -6.1 -1.1 -20.0 10.5 -1.7 -4.2 -20.0 LIVECOW 16.9 8.7 7.5 -3.6 8.0 -3.4 4.0 -1.9 -1.0 -9.9 14.1 7.3 13.0 10.8 13.2 20.0 14.1 20.0 20.0 20.0 17.8 8.6 12.0 20.0 -20.0 -10.0 5.6 -0.8 4.7 2.0 3.7 5.1 20.0 -20.0 20.0 20.0 20.0 MXP 17.1 12.0 20.0 2.0 12.9 1.9 9.9 0.4 4.5 14.1 16.3 15.9 16.0 16.0 16.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.4 6.6 6.4 7.2 6.4 6.9 20.0 6.5 20.0 20.0 20.0 NASDAQ 20.0 20.0 20.0 4.6 6.4 4.1 6.9 3.0 5.7 12.5 15.6 15.2 1.5 16.1 16.6 -10.5 -7.4 -9.8 -8.9 20.0 20.0 20.0 13.1 20.0 -16.7 10.2 6.4 4.1 5.2 5.3 3.2 6.4 -5.0 12.4 20.0 20.0 20.0 NIKKEI 8.0 20.0 20.0 4.6 6.4 4.1 6.9 3.0 5.7 13.6 15.6 15.2 13.2 15.8 16.3 15.0 12.6 11.7 12.2 20.0 20.0 20.0 15.5 20.0 -7.2 -9.1 6.2 4.6 4.6 5.6 2.5 6.4 20.0 20.0 20.0 20.0 20.0 NZD -4.0 -2.6 -2.5 2.0 12.9 1.9 9.9 0.4 4.5 13.6 2.4 4.6 -2.0 -3.7 -6.6 0.7 0.8 0.9 0.8 -4.2 -3.8 13.5 -4.3 1.8 4.4 10.8 -1.4 9.8 -1.1 6.8 -1.7 1.2 6.3 -6.7 -16.1 -4.3 -10.6 OAT 3.1 1.7 -1.9 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 -3.9 -5.7 -0.1 -12.4 -0.8 1.7 8.6 12.0 10.3 11.2 -2.1 -5.8 -4.1 -15.9 -2.3 4.2 12.7 -0.0 -2.3 -0.5 -2.4 -6.2 -1.2 19.3 -4.6 -0.1 4.2 -1.8 OJ -3.4 -19.2 10.6 -3.6 8.0 -3.4 4.0 -1.9 -1.0 4.2 12.7 -1.5 14.5 3.4 9.1 19.6 20.0 20.0 20.0 13.2 20.0 2.8 20.0 4.5 -20.0 -14.3 5.2 3.5 8.5 2.0 11.1 2.9 20.0 -20.0 20.0 20.0 20.0 PALLAD -13.7 -1.6 -2.2 0.5 3.2 1.8 0.9 1.7 -0.3 11.1 -14.2 -5.2 -14.8 -10.8 -10.6 -2.9 -2.6 -2.9 -2.9 -14.1 -17.9 -2.1 -20.0 -12.0 20.0 -11.1 -3.2 5.8 -3.6 0.3 -5.0 -3.2 0.3 -2.2 -14.0 -10.4 -10.6 PLAT -18.6 -11.7 4.9 0.5 3.2 1.8 0.9 1.7 -0.3 -11.1 1.8 -13.6 4.6 -13.9 -2.1 -2.2 -1.8 -2.3 -2.1 -6.9 1.3 -14.1 3.9 -14.2 -0.8 11.2 -2.2 -3.6 0.9 -5.4 1.5 -5.2 1.7 -11.5 -20.0 -9.2 1.7 REDWHEAT -6.3 3.9 4.6 -3.6 8.0 -3.4 4.0 -1.9 -1.0 9.6 -6.7 -0.4 -12.3 -1.3 -0.9 3.1 5.5 5.9 6.7 -4.2 -5.2 4.2 -5.4 -2.7 3.3 12.9 -0.4 10.9 -2.1 4.3 -1.3 1.4 -6.3 -14.3 4.8 13.8 6.6 ROBUSTA 8.3 5.5 20.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 12.4 15.6 13.6 12.3 14.8 15.8 20.0 12.1 15.6 13.8 20.0 20.0 20.0 20.0 20.0 -20.0 9.6 6.6 4.0 6.2 5.0 4.3 5.9 4.9 20.0 20.0 20.0 20.0 RUSSELL 20.0 13.9 -2.9 4.6 6.4 4.1 6.9 3.0 5.7 6.0 -5.4 11.5 -8.9 12.1 0.0 -6.1 -5.1 -6.1 -5.9 8.0 -0.2 13.2 -4.8 15.7 17.4 10.0 3.4 0.6 0.6 4.8 -0.3 6.1 -0.6 2.0 14.0 2.2 -18.4 SILVER-mini -1.0 -18.3 10.7 0.5 3.2 1.8 0.9 1.7 -0.3 4.3 6.7 8.0 4.0 -6.5 3.6 -7.0 -5.7 -6.6 -6.4 -1.2 4.7 2.9 5.6 -1.7 -5.4 -11.3 -0.8 2.2 1.2 1.2 1.2 -0.9 -5.3 8.5 2.1 -8.9 2.0 SOYBEAN 20.0 2.9 -18.5 -3.6 8.0 -3.4 4.0 -1.9 -1.0 14.1 -10.5 13.7 -9.2 2.2 -7.8 12.6 20.0 20.0 20.0 -7.0 -12.7 20.0 -8.3 11.4 13.3 -11.7 -1.4 15.3 -3.7 10.7 -2.3 4.4 20.0 20.0 20.0 4.7 -20.0 SOYMEAL 7.2 -20.0 -20.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 12.3 -3.6 1.0 3.9 -9.6 -14.3 20.0 20.0 20.0 20.0 -14.6 -8.7 11.8 3.1 -6.2 -19.0 -12.0 -3.9 14.5 -2.7 6.2 1.7 -0.3 20.0 12.7 9.0 -6.9 -10.8 SOYOIL 20.0 12.6 -17.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 14.1 -11.9 15.1 -10.2 8.8 -5.1 8.4 10.9 6.4 7.0 -0.5 -13.4 20.0 -11.4 20.0 18.9 12.9 1.2 11.7 -2.6 10.5 -2.4 6.8 -2.0 20.0 20.0 20.0 -9.9 SP400 20.0 6.1 -5.5 4.6 6.4 4.1 6.9 3.0 5.7 11.1 -2.5 13.8 -1.8 12.0 -1.4 -5.5 -4.9 -5.7 -5.5 6.1 -0.1 16.6 -1.4 15.0 16.0 10.2 2.2 3.3 -0.3 6.4 -0.1 6.0 -0.0 7.5 8.8 -5.0 -20.0 SUGAR11 -16.8 -1.6 20.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 13.8 14.0 9.2 13.8 3.9 11.9 3.8 20.0 9.3 17.6 17.8 20.0 13.7 20.0 8.7 -20.0 -10.5 5.0 5.4 8.2 3.3 8.3 2.4 19.5 3.6 5.8 20.0 20.0 US10 -12.0 -12.8 2.9 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 -7.1 0.6 -11.1 -9.9 -13.7 -2.7 -8.9 -6.8 -9.7 -9.3 -11.0 -6.1 -10.6 -10.2 -14.2 -0.8 9.7 -4.0 -2.0 -1.2 -4.2 -1.9 -5.8 -14.9 -3.2 -20.0 -17.3 -2.0 US10U -6.9 -11.3 3.2 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 -4.1 1.6 -8.8 -10.0 -12.6 -3.1 0.7 -0.8 -2.5 -2.4 -9.1 -5.8 -6.8 -10.5 -10.6 -2.3 -14.1 -4.1 -1.1 -1.1 -3.6 -1.6 -5.6 -3.8 0.8 -20.0 -16.4 -3.1 US20 -1.2 -11.6 2.6 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 1.1 3.3 -1.4 -8.5 -9.2 -3.0 -0.5 -1.4 -1.4 -2.0 -8.1 -5.9 -2.8 -10.4 -7.6 -0.8 -12.3 -3.9 0.2 -1.4 -2.3 -2.2 -4.7 -4.0 5.0 -14.5 -13.6 -3.3 US30 3.3 -10.3 0.3 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 8.4 0.3 3.7 -10.4 -7.6 -9.1 0.1 -0.8 -0.8 -1.1 -7.8 -7.7 1.0 -14.2 -4.7 -0.8 10.0 -3.9 2.1 -1.8 -0.4 -3.0 -3.6 -2.6 11.9 -6.5 -10.4 -6.2 US5 -16.6 -14.6 0.8 -0.5 -1.1 0.1 -1.4 -2.7 -1.3 -11.5 -0.4 -13.5 -10.1 -14.5 -3.2 -13.3 -8.0 -12.2 -11.1 -13.3 -7.1 -14.7 -11.0 -17.8 0.8 10.8 -4.1 -3.2 -1.4 -4.8 -2.3 -6.0 -17.5 -6.8 -20.0 -18.9 -2.5 VIX -20.0 -20.0 -20.0 -4.9 -2.8 -4.0 -5.0 -3.7 -5.8 -13.6 -16.4 -15.7 -15.5 -16.5 -16.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -13.5 -6.0 -2.9 -5.1 -5.2 -5.0 -6.7 NaN NaN NaN NaN NaN WHEAT 18.2 5.0 -4.0 -3.6 8.0 -3.4 4.0 -1.9 -1.0 13.4 -14.0 12.2 -15.5 0.2 -9.3 -11.8 -10.1 -12.3 -11.8 -8.1 -16.8 19.9 -17.5 5.5 18.5 11.9 -1.3 13.9 -5.0 9.0 -4.6 4.2 -20.0 13.8 20.0 10.0 -11.2 End of report for caleb_strategy_v1