******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230623_204648 produced at 2023-06-23 21:38:57.308137 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.57 -0.49 0.0 43840106.28 -43840106.28 -0.57 -0.57 -11.10 999999999.0 -13 -13 caleb_strategy_v1 VIX False False 0.01 -0.12 -0.24 0.0 6932586.74 -6932586.74 -0.12 -0.12 -34.23 999999999.0 -18 -18 caleb_strategy_v1 CHF False False 0.05 -0.16 -0.19 0.0 51704776.54 -51704776.54 -0.16 -0.16 -3.68 999999999.0 -3 -3 caleb_strategy_v1 JPY False False 0.03 -0.39 -0.18 0.0 32391913.89 -32391913.89 -0.39 -0.36 -5.62 999999999.0 -12 -11 caleb_strategy_v1 US20 False False 0.05 0.00 -0.17 0.0 0.00 -0.00 0.00 0.00 -3.53 0.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.36 -0.16 0.0 39625042.97 -39625042.97 -0.36 -0.36 -4.08 999999999.0 -9 -9 caleb_strategy_v1 EUR False False 0.05 -0.20 -0.13 0.0 50284239.87 -50284239.87 -0.20 -0.20 -2.50 999999999.0 -4 -4 caleb_strategy_v1 GOLD_micro False False 0.01 -0.10 -0.09 0.0 7101028.37 -7101028.37 -0.10 -0.11 -13.01 999999999.0 -14 -15 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 41570235.78 -41570235.78 0.00 0.00 -1.97 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 0.00 -0.05 0.0 43765401.68 -43765401.68 0.00 0.00 -1.19 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.03 0.0 11824013.98 -11824013.98 -0.07 -0.07 -2.19 999999999.0 -6 -6 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 55635921.73 -55635921.73 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.01 -0.03 0.0 11805625.16 -11805625.16 -0.01 0.00 -2.50 999999999.0 -1 0 caleb_strategy_v1 HEATOIL False False 0.04 -0.04 -0.02 0.0 36599203.32 -36599203.32 -0.04 -0.04 -0.44 999999999.0 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.02 0.0 25442777.21 -25442777.21 0.00 0.00 -0.61 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 20779371.38 -20779371.38 0.00 0.00 -1.14 999999999.0 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 -1.08 0.0 0 0 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 PALLAD False False 0.05 0.00 -0.01 0.0 46965057.09 -46965057.09 0.00 0.00 -0.14 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 -0.05 -0.01 0.0 25348994.21 -25348994.21 -0.05 -0.05 -0.48 999999999.0 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.03 -0.01 0.0 1140474.88 -1140474.88 -0.03 -0.03 -10.52 999999999.0 -23 -27 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 14177783.48 -14177783.48 0.00 0.00 -0.55 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.00 0.0 10050595.77 -10050595.77 0.03 0.03 0.15 999999999.0 3 3 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15874152.52 -15874152.52 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 0.00 0.0 13952520.39 -13952520.39 -0.01 0.00 0.05 999999999.0 -1 0 caleb_strategy_v1 EUROSTX False False 0.02 -0.05 -0.00 0.0 17159937.36 -17159937.36 -0.05 -0.09 -0.20 999999999.0 -3 -5 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 22666524.47 -22666524.47 0.00 0.00 0.00 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.01 0.0 50465829.51 -50465829.51 0.00 0.00 0.11 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 12145450.63 -12145450.63 0.00 0.00 0.81 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.01 0.01 0.0 14598887.56 -14598887.56 0.01 0.00 0.48 999999999.0 1 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.00 0.01 0.0 14589693.15 -14589693.15 0.00 0.00 0.59 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16932429.35 -16932429.35 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.08 0.01 0.0 10743670.56 -10743670.56 0.08 0.05 0.89 999999999.0 7 5 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 9860087.55 -9860087.55 0.02 0.02 1.86 999999999.0 2 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 3922614.71 -3922614.71 0.00 0.00 5.77 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 35007724.14 -35007724.14 0.00 0.00 0.59 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24607924.59 -24607924.59 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 22581476.16 -22581476.16 0.00 0.00 1.18 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.03 0.0 6373633.93 -6373633.93 0.00 0.00 3.97 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.04 0.0 6245948.04 -6245948.04 0.00 0.00 6.62 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.11 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 0.32 0.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.04 0.0 25144878.26 -25144878.26 0.00 0.00 1.62 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.05 0.0 28673160.35 -28673160.35 0.00 0.00 1.73 999999999.0 0 0 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 GBP False False 0.03 0.29 0.05 0.0 29222140.31 -29222140.31 0.29 0.29 1.77 999999999.0 10 10 caleb_strategy_v1 MXP False False 0.01 0.00 0.06 0.0 10540474.05 -10540474.05 0.00 0.00 5.45 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.06 0.0 3371407.04 -3371407.04 0.00 0.00 16.34 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.06 0.0 46384581.49 -46384581.49 0.00 0.00 1.36 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.06 0.0 23979026.80 -23979026.80 0.05 0.05 2.47 999999999.0 2 2 caleb_strategy_v1 BTP False False 0.05 0.19 0.08 0.0 46736252.31 -46736252.31 0.19 0.19 1.69 999999999.0 4 4 caleb_strategy_v1 OAT False False 0.05 0.00 0.09 0.0 51503789.63 -51503789.63 0.00 0.00 1.66 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.09 0.0 27921590.72 -27921590.72 0.00 0.00 3.10 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.93 0.09 0.0 93282827.57 -93282827.57 0.93 0.93 0.96 999999999.0 10 10 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.18 0.0 0.00 0.00 0.00 0.00 5.54 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.27 0.28 0.0 53593833.24 -53593833.24 0.27 0.21 5.29 999999999.0 5 4 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.35 0.0 8390391.85 -8390391.85 0.00 0.08 41.31 999999999.0 0 10 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 20.5 Shocked risk 57.6 Sum abs risk 51.7 Leverage 3.76 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2719042.79, 'annual_cash_vol_target': 679760.6975, 'daily_cash_vol_target': 42485.04359375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6691 0.7005 11.2078 BITCOIN 895.5578 31010.0000 2.8880 46.2074 BOBL 0.3455 116.0700 0.2976 4.7622 BTP 0.7168 116.9500 0.6129 9.8060 BUND 0.6934 134.1100 0.5171 8.2728 BUXL 1.5648 139.2200 1.1240 17.9839 CAC 57.0757 7175.0000 0.7955 12.7277 CAD 0.0031 0.7592 0.4023 6.4367 CANOLA 9.1425 703.7000 1.2992 20.7873 CHF 0.0053 1.1247 0.4748 7.5961 COCOA 32.9291 3210.0000 1.0258 16.4133 COFFEE 3.4608 164.3500 2.1057 33.6918 COPPER 0.0456 3.8075 1.1972 19.1549 CORN 12.7366 584.2500 2.1800 34.8798 COTTON2 1.2971 79.3900 1.6338 26.1413 CRUDE_W 1.3745 69.1800 1.9869 31.7905 DAX 123.9130 15949.0000 0.7769 12.4309 DOW 230.8166 33966.0000 0.6796 10.8728 EUR 0.0052 1.0938 0.4720 7.5527 EUROSTX 36.1175 4294.0000 0.8411 13.4579 FEEDCOW 2.0048 238.0000 0.8424 13.4777 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 14.2565 689.2500 2.0684 33.0946 GAS_US 0.0962 2.8120 3.4217 54.7473 GBP 0.0065 1.2713 0.5077 8.1236 GOLD_micro 14.5267 1930.8000 0.7524 12.0379 HEATOIL 0.0459 2.3694 1.9390 31.0238 JPY 0.0000 0.0070 0.6015 9.6237 LEANHOG 1.5199 80.3750 1.8910 30.2552 LIVECOW 1.2596 170.9250 0.7369 11.7909 MXP 0.0003 0.0573 0.5664 9.0632 NASDAQ 139.8453 15062.2500 0.9284 14.8552 NIKKEI 331.7388 32615.0000 1.0171 16.2742 NZD 0.0043 0.6140 0.7012 11.2187 OAT 0.6898 128.8800 0.5352 8.5638 OJ 4.9569 257.0000 1.9288 30.8601 PALLAD 30.3935 1277.0000 2.3801 38.0812 PLAT 15.5230 920.8000 1.6858 26.9731 REDWHEAT 16.0558 863.2500 1.8599 29.7588 ROBUSTA 36.1787 2681.0000 1.3494 21.5911 RUSSELL 22.3467 1833.4000 1.2189 19.5019 SILVER-mini 0.3523 22.6000 1.5590 24.9442 SOYBEAN 20.8013 1304.0000 1.5952 25.5230 SOYMEAL 9.2980 396.7000 2.3438 37.5012 SOYOIL 1.2136 55.0400 2.2050 35.2796 SP400 25.4120 2536.4000 1.0019 16.0303 SUGAR11 0.3958 24.4000 1.6223 25.9561 US10 0.4605 113.0312 0.4074 6.5187 US10U 0.6137 119.2031 0.5149 8.2378 US20 0.8729 127.8438 0.6828 10.9241 US30 1.2326 137.2188 0.8982 14.3720 US5 0.3113 107.7422 0.2889 4.6229 VIX 0.4812 18.8500 2.5526 40.8414 WHEAT 13.8380 758.7500 1.8238 29.1806 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.10 0.70 468.70 1.00 468.70 42485.04 90.65 6.17 55.92 BITCOIN 31.01 2.89 89.56 1.00 89.56 42485.04 474.40 -9.15 -433.92 BOBL 1160.70 0.30 345.47 1.10 379.93 42485.04 111.82 1.63 18.27 BTP 1169.50 0.61 716.76 1.10 788.26 42485.04 53.90 15.06 81.19 BUND 1341.10 0.52 693.42 1.10 762.58 42485.04 55.71 12.79 71.23 BUXL 1392.20 1.12 1564.83 1.10 1720.92 42485.04 24.69 -2.40 -5.92 CAC 717.50 0.80 570.76 1.10 627.69 42485.04 67.68 8.82 59.70 CAD 759.20 0.40 305.42 1.00 305.42 42485.04 139.10 12.12 168.59 CANOLA 140.74 1.30 182.85 0.76 139.08 42485.04 305.47 20.00 610.94 CHF 1405.88 0.47 667.44 1.00 667.44 42485.04 63.65 -15.04 -95.71 COCOA 321.00 1.03 329.29 1.00 329.29 42485.04 129.02 -8.65 -111.65 COFFEE 616.31 2.11 1297.79 1.00 1297.79 42485.04 32.74 0.04 0.14 COPPER 951.88 1.20 1139.57 1.00 1139.57 42485.04 37.28 5.67 21.15 CORN 292.12 2.18 636.83 1.00 636.83 42485.04 66.71 14.46 96.44 COTTON2 396.95 1.63 648.55 1.00 648.55 42485.04 65.51 4.69 30.72 CRUDE_W 691.80 1.99 1374.54 1.00 1374.54 42485.04 30.91 -1.46 -4.52 DAX 159.49 0.78 123.91 1.10 136.27 42485.04 311.76 2.28 71.10 DOW 169.83 0.68 115.41 1.00 115.41 42485.04 368.13 6.14 225.88 EUR 1367.25 0.47 645.40 1.00 645.40 42485.04 65.83 -9.86 -64.94 EUROSTX 429.40 0.84 361.18 1.10 397.20 42485.04 106.96 -0.65 -6.95 FEEDCOW 1190.00 0.84 1002.41 1.00 1002.41 42485.04 42.38 -10.20 -43.22 FTSE100 707.00 0.82 576.59 1.28 666.67 42485.04 63.73 8.20 52.25 GASOIL 689.25 2.07 1425.65 1.00 1425.65 42485.04 29.80 -2.22 -6.60 GAS_US 281.20 3.42 962.18 1.00 962.18 42485.04 44.15 -15.73 -69.47 GBP 794.56 0.51 403.42 1.00 403.42 42485.04 105.31 9.13 96.13 GOLD_micro 193.08 0.75 145.27 1.00 145.27 42485.04 292.46 -19.33 -565.40 HEATOIL 995.15 1.94 1929.58 1.00 1929.58 42485.04 22.02 -2.73 -6.01 JPY 880.75 0.60 529.75 1.00 529.75 42485.04 80.20 -10.52 -84.36 LEANHOG 321.50 1.89 607.94 1.00 607.94 42485.04 69.88 -6.52 -45.58 LIVECOW 683.70 0.74 503.84 1.00 503.84 42485.04 84.32 6.94 58.55 MXP 286.60 0.57 162.34 1.00 162.34 42485.04 261.70 16.53 432.52 NASDAQ 3012.45 0.93 2796.91 1.00 2796.91 42485.04 15.19 3.73 5.67 NIKKEI 32615.00 1.02 33173.88 0.01 233.99 42485.04 181.57 11.65 211.47 NZD 614.00 0.70 430.52 1.00 430.52 42485.04 98.68 7.25 71.50 OAT 1288.80 0.54 689.81 1.10 758.62 42485.04 56.00 14.23 79.72 OJ 385.50 1.93 743.54 1.00 743.54 42485.04 57.14 -5.33 -30.48 PALLAD 1277.00 2.38 3039.35 1.00 3039.35 42485.04 13.98 -4.12 -5.76 PLAT 460.40 1.69 776.15 1.00 776.15 42485.04 54.74 2.88 15.75 REDWHEAT 431.62 1.86 802.79 1.00 802.79 42485.04 52.92 7.77 41.10 ROBUSTA 268.10 1.35 361.79 1.00 361.79 42485.04 117.43 11.87 139.35 RUSSELL 91.67 1.22 111.73 1.00 111.73 42485.04 380.24 8.07 306.69 SILVER-mini 565.00 1.56 880.84 1.00 880.84 42485.04 48.23 -10.30 -49.69 SOYBEAN 652.00 1.60 1040.06 1.00 1040.06 42485.04 40.85 9.99 40.80 SOYMEAL 396.70 2.34 929.80 1.00 929.80 42485.04 45.69 2.11 9.66 SOYOIL 330.24 2.20 728.17 1.00 728.17 42485.04 58.34 14.75 86.08 SP400 2536.40 1.00 2541.20 1.00 2541.20 42485.04 16.72 10.73 17.94 SUGAR11 273.28 1.62 443.33 1.00 443.33 42485.04 95.83 1.13 10.85 US10 1130.31 0.41 460.51 1.00 460.51 42485.04 92.26 -5.40 -49.82 US10U 1192.03 0.51 613.73 1.00 613.73 42485.04 69.22 -10.70 -74.07 US20 1278.44 0.68 872.86 1.00 872.86 42485.04 48.67 -9.57 -46.57 US30 1372.19 0.90 1232.57 1.00 1232.57 42485.04 34.47 0.36 1.23 US5 1077.42 0.29 311.30 1.00 311.30 42485.04 136.48 -7.57 -103.29 VIX 188.50 2.55 481.16 1.00 481.16 42485.04 88.30 -20.00 -176.59 WHEAT 379.38 1.82 691.90 1.00 691.90 42485.04 61.40 1.44 8.84 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 55.921 0.007 2.5 0.919 BITCOIN -433.916 0.010 2.5 -10.516 BOBL 18.275 0.030 2.5 1.356 BTP 81.187 0.008 2.5 1.687 BUND 71.230 0.030 2.5 5.287 BUXL -5.916 0.035 2.5 -0.511 CAC 59.701 0.012 2.5 1.726 CAD 168.591 0.007 2.5 3.096 CANOLA 610.939 0.004 2.5 5.769 CHF -95.706 0.015 2.5 -3.684 COCOA -111.652 0.009 2.5 -2.502 COFFEE 0.138 0.005 2.5 0.002 COPPER 21.150 0.011 2.5 0.595 CORN 96.445 0.004 2.5 0.895 COTTON2 30.716 0.006 2.5 0.476 CRUDE_W -4.523 0.054 2.5 -0.615 DAX 71.098 0.022 2.5 3.972 DOW 225.883 0.012 2.5 6.621 EUR -64.936 0.015 2.5 -2.500 EUROSTX -6.945 0.012 2.5 -0.201 FEEDCOW -43.219 0.011 2.5 -1.195 FTSE100 52.247 0.042 2.5 5.540 GASOIL -6.602 0.029 2.5 -0.484 GAS_US -69.468 0.006 2.5 -1.076 GBP 96.129 0.007 2.5 1.765 GOLD_micro -565.398 0.009 2.5 -13.013 HEATOIL -6.007 0.029 2.5 -0.441 JPY -84.363 0.027 2.5 -5.617 LEANHOG -45.577 0.019 2.5 -2.190 LIVECOW 58.554 0.011 2.5 1.618 MXP 432.519 0.005 2.5 5.447 NASDAQ 5.673 0.022 2.5 0.317 NIKKEI 211.466 0.078 2.5 41.314 NZD 71.499 0.007 2.5 1.175 OAT 79.718 0.008 2.5 1.656 OJ -30.480 0.007 2.5 -0.547 PALLAD -5.761 0.010 2.5 -0.143 PLAT 15.751 0.010 2.5 0.390 REDWHEAT 41.102 0.002 2.5 0.226 ROBUSTA 139.354 0.005 2.5 1.858 RUSSELL 306.694 0.021 2.5 16.340 SILVER-mini -49.692 0.009 2.5 -1.144 SOYBEAN 40.799 0.024 2.5 2.474 SOYMEAL 9.657 0.024 2.5 0.586 SOYOIL 86.084 0.004 2.5 0.813 SP400 17.937 0.021 2.5 0.956 SUGAR11 10.853 0.006 2.5 0.151 US10 -49.824 0.016 2.5 -1.966 US10U -74.066 0.060 2.5 -11.100 US20 -46.570 0.030 2.5 -3.531 US30 1.234 0.035 2.5 0.107 US5 -103.291 0.016 2.5 -4.076 VIX -176.593 0.078 2.5 -34.231 WHEAT 8.843 0.002 2.5 0.049 ==================== Position diags ==================== AUD 1.49 BITCOIN 11.50 BOBL 8.30 BTP 1.12 BUND 4.14 BUXL 2.13 CAC 1.96 CAD 2.55 CANOLA 2.88 CHF 2.45 COCOA 2.89 COFFEE 0.44 COPPER 1.05 CORN 0.62 COTTON2 1.01 CRUDE_W 4.20 DAX 17.42 DOW 10.79 EUR 2.53 EUROSTX 3.09 FEEDCOW 1.17 FTSE100 6.76 GASOIL 2.19 GAS_US 0.68 GBP 1.93 GOLD_micro 6.73 HEATOIL 1.62 JPY 5.34 LEANHOG 3.36 LIVECOW 2.33 MXP 3.30 NASDAQ 0.85 NIKKEI 35.47 NZD 1.62 OAT 1.16 OJ 1.03 PALLAD 0.35 PLAT 1.35 REDWHEAT 0.29 ROBUSTA 1.57 RUSSELL 20.26 SILVER-mini 1.11 SOYBEAN 2.48 SOYMEAL 2.77 SOYOIL 0.55 SP400 0.89 SUGAR11 1.34 US10 3.64 US10U 10.37 US20 3.69 US30 2.98 US5 5.39 VIX 17.12 WHEAT 0.34 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.9 0.8 1.1 0.0 0 BITCOIN -10.5 -11.7 -9.4 -23.0 -23 BOBL 1.4 0.5 2.2 0.0 0 BTP 1.7 1.6 1.8 4.0 4 BUND 5.3 4.9 5.7 5.0 5 BUXL -0.5 -0.7 -0.3 0.0 0 CAC 1.7 1.5 1.9 0.0 0 CAD 3.1 2.8 3.4 0.0 0 CANOLA 5.8 5.5 6.1 NaN 0 CHF -3.7 -3.9 -3.4 -3.0 -3 COCOA -2.5 -2.8 -2.2 -1.0 -1 COFFEE 0.0 -0.0 0.0 0.0 0 COPPER 0.6 0.5 0.7 0.0 0 CORN 0.9 0.8 1.0 7.0 7 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W -0.6 -1.0 -0.2 0.0 0 DAX 4.0 2.2 5.7 0.0 0 DOW 6.6 5.5 7.7 0.0 0 EUR -2.5 -2.8 -2.2 -4.0 -4 EUROSTX -0.2 -0.5 0.1 -3.0 -3 FEEDCOW -1.2 -1.3 -1.1 0.0 0 FTSE100 5.5 4.9 6.2 0.0 0 GASOIL -0.5 -0.7 -0.3 -2.0 -2 GAS_US -1.1 -1.1 -1.0 0.0 0 GBP 1.8 1.6 2.0 10.0 10 GOLD_micro -13.0 -13.7 -12.3 -14.0 -14 HEATOIL -0.4 -0.6 -0.3 -1.0 -1 JPY -5.6 -6.2 -5.1 -12.0 -12 LEANHOG -2.2 -2.5 -1.9 -6.0 -6 LIVECOW 1.6 1.4 1.9 0.0 0 MXP 5.4 5.1 5.8 0.0 0 NASDAQ 0.3 0.2 0.4 0.0 0 NIKKEI 41.3 37.8 44.9 0.0 0 NZD 1.2 1.0 1.3 0.0 0 OAT 1.7 1.5 1.8 0.0 0 OJ -0.5 -0.6 -0.4 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.4 0.3 0.5 0.0 0 REDWHEAT 0.2 0.2 0.3 0.0 0 ROBUSTA 1.9 1.7 2.0 2.0 2 RUSSELL 16.3 14.3 18.4 0.0 0 SILVER-mini -1.1 -1.3 -1.0 0.0 0 SOYBEAN 2.5 2.2 2.7 2.0 2 SOYMEAL 0.6 0.3 0.9 0.0 0 SOYOIL 0.8 0.8 0.9 0.0 0 SP400 1.0 0.9 1.0 10.0 10 SUGAR11 0.2 0.0 0.3 3.0 3 US10 -2.0 -2.3 -1.6 NaN 0 US10U -11.1 -12.1 -10.1 -13.0 -13 US20 -3.5 -3.9 -3.2 0.0 0 US30 0.1 -0.2 0.4 0.0 0 US5 -4.1 -4.6 -3.5 -9.0 -9 VIX -34.2 -35.9 -32.5 -18.0 -18 WHEAT 0.0 0.0 0.1 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.0 0.0 0.0 0.1 0.1 0.0 0.1 -0.1 -0.1 0.0 -0.2 0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.0 1.4 2.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.3 0.1 0.0 -0.2 BITCOIN 0.0 -0.1 0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.0 -0.2 0.0 0.2 -0.2 -0.1 -0.0 -0.0 0.0 0.1 0.0 0.0 0.0 0.0 -4.8 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 0.1 -0.0 -0.1 BOBL -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.0 -1.6 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 1.7 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.2 -0.1 -0.0 BTP 0.1 0.1 0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 0.3 0.0 -0.1 0.1 0.3 0.6 0.5 0.2 0.2 0.1 0.1 0.0 -0.0 0.0 -1.2 2.2 0.1 0.0 0.1 0.0 -0.0 0.0 2.6 0.2 0.4 0.3 0.1 BUND -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.0 0.6 0.5 0.2 0.2 -0.0 -0.1 -0.0 -0.2 -0.0 0.9 2.5 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.5 -0.0 -0.1 -0.0 -0.0 BUXL 0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.4 0.0 -0.2 0.2 0.1 0.0 0.1 -0.0 -0.1 0.0 -0.2 0.0 1.1 -2.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.5 0.2 0.1 0.0 -0.1 CAC -0.0 -0.3 0.2 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.3 -0.0 0.3 -0.0 0.2 -0.2 0.1 0.1 0.1 0.0 0.1 -0.0 0.2 -0.0 -0.6 1.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.9 0.2 -0.1 -0.1 -0.1 CAD 0.2 0.2 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 -0.2 0.1 0.3 -0.2 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.1 0.0 1.7 2.2 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.3 0.2 0.0 CANOLA 0.0 0.1 -0.2 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 1.3 0.7 0.4 0.4 -0.0 -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 0.2 0.1 -0.3 CHF 0.0 -0.2 0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.2 -0.0 0.1 -1.0 -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 -0.3 -0.2 0.1 COCOA 0.1 0.1 0.3 -0.0 -0.0 -0.1 0.1 -0.0 0.0 0.0 0.4 0.0 0.3 0.1 0.3 -0.1 -0.0 -0.0 0.0 0.2 0.2 0.0 0.2 0.0 -3.1 -2.2 0.1 0.0 0.1 0.0 0.1 0.0 -2.3 -0.0 0.4 0.3 0.3 COFFEE -0.1 -0.1 0.1 -0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.4 0.2 0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -1.6 2.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.0 -0.1 -0.2 0.1 0.3 COPPER 0.2 -0.1 -0.2 0.0 0.0 0.1 0.1 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.8 2.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.3 0.1 0.3 -0.1 -0.3 CORN 0.2 0.3 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.3 0.5 0.0 0.2 0.1 -0.0 0.0 -0.0 0.0 3.0 2.3 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.1 0.4 0.3 -0.0 COTTON2 0.0 0.1 0.3 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 1.0 0.3 0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 -2.1 3.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.9 -0.0 -0.1 0.5 0.4 CRUDE_W 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.2 0.4 0.4 0.1 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 -0.8 0.0 0.1 0.0 0.2 DAX 0.0 -0.1 0.2 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.4 -0.0 0.4 0.0 0.3 -0.3 -0.3 -0.1 -0.1 0.1 0.2 -0.0 0.2 0.0 -1.4 2.2 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.6 0.0 -0.1 0.0 -0.0 DOW 0.2 0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.1 0.0 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 0.2 0.4 -0.0 -0.1 EUR 0.1 -0.2 0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.3 0.0 0.1 -0.0 0.0 -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 0.1 -0.1 -0.2 -0.0 EUROSTX -0.0 -0.1 0.2 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.4 0.0 0.4 0.0 0.3 -0.4 0.1 -0.1 -0.0 0.1 0.2 -0.0 0.2 0.0 -1.0 -1.8 0.0 -0.0 0.1 -0.0 0.1 0.0 1.3 0.0 -0.1 -0.0 -0.0 FEEDCOW -0.2 -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 -1.6 -0.8 -0.4 -0.4 0.1 0.2 -0.0 0.2 -0.0 -3.4 2.7 0.0 0.0 0.1 -0.0 0.1 -0.0 -2.7 -0.0 -0.3 0.2 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 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.1 0.0 -0.1 0.4 0.8 0.1 0.3 -0.0 -0.1 0.0 -0.1 0.0 0.2 -3.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.8 0.1 0.2 0.1 0.0 GAS_US 0.2 0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.4 0.0 -0.2 -1.3 -0.8 -0.4 -0.4 -0.1 -0.2 0.0 -0.2 0.0 0.4 -1.8 0.0 0.0 -0.1 0.0 -0.1 0.0 -2.7 0.3 0.4 0.2 0.1 GBP 0.2 -0.0 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.0 0.1 0.0 0.3 -0.0 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.1 0.0 -0.2 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 -0.2 -0.3 0.1 0.0 0.0 0.1 0.1 0.0 0.0 -0.0 0.2 -0.0 0.1 -0.1 -0.0 -1.2 -0.5 -0.3 -0.3 -0.1 0.0 -0.0 0.1 -0.0 -1.5 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -2.1 -0.1 -0.4 -0.2 0.1 HEATOIL 0.2 0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.1 0.0 -0.2 0.2 0.9 0.1 0.3 -0.1 -0.1 0.0 -0.1 0.0 -0.7 -2.7 0.0 0.0 -0.0 0.0 -0.0 0.0 1.2 0.0 0.3 0.2 0.1 JPY -0.1 -0.3 -0.3 0.0 0.0 0.1 0.1 0.0 0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.4 -1.4 -0.6 -0.4 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 1.8 2.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.5 -0.2 -0.4 -0.3 -0.3 LEANHOG 0.2 0.2 -0.3 -0.0 -0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 1.6 -0.8 0.1 -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 0.0 0.2 -0.2 -0.3 LIVECOW 0.1 0.2 0.2 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.3 0.0 0.3 0.0 0.3 1.6 0.7 0.4 0.4 0.2 0.2 0.0 0.2 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 0.1 0.2 0.3 0.0 0.0 0.1 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 0.3 0.3 0.3 NASDAQ 0.1 0.3 0.4 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.4 0.0 0.1 0.1 0.4 -0.7 -0.3 -0.2 -0.2 0.3 0.3 0.0 0.2 0.0 -2.3 1.9 0.1 0.0 0.1 0.0 0.0 0.0 -0.7 0.3 0.5 0.3 0.3 NIKKEI 0.1 0.3 0.3 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.4 0.0 0.3 0.1 0.4 0.9 0.5 0.2 0.2 0.2 0.3 0.0 0.2 0.0 -1.4 -1.9 0.1 -0.0 0.1 0.0 0.0 0.0 2.6 0.2 0.4 0.3 0.3 NZD 0.1 -0.1 -0.0 0.0 0.0 0.1 0.1 0.0 0.1 -0.0 0.0 0.0 -0.1 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.9 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 2.7 0.0 -0.0 0.1 -0.0 OJ -0.0 -0.2 0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 1.2 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 -0.2 0.3 0.3 PALLAD -0.1 -0.1 0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 3.7 -2.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.4 -0.2 -0.2 PLAT -0.2 -0.3 0.0 0.0 0.0 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.2 -0.0 -0.0 0.0 -0.0 0.4 2.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.4 -0.3 -0.1 REDWHEAT 0.1 0.1 0.1 -0.0 -0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.3 0.0 0.1 0.2 0.2 0.1 0.1 0.0 -0.0 0.0 -0.1 0.0 0.3 2.6 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.8 0.1 0.4 0.3 0.2 ROBUSTA 0.0 0.0 0.3 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.4 0.0 0.3 0.0 0.3 1.6 0.5 0.4 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 1.0 -0.0 0.4 0.3 0.3 RUSSELL 0.3 0.3 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 -0.1 0.0 -0.2 0.0 0.0 -0.4 -0.2 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 2.1 2.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.4 0.1 -0.3 SILVER-mini -0.1 -0.3 0.1 0.0 0.0 0.1 0.1 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.4 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 -0.7 -3.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 0.0 SOYBEAN 0.2 0.2 -0.2 -0.0 -0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.0 0.8 0.8 0.4 0.4 0.0 -0.1 0.0 -0.1 0.0 1.6 -2.4 0.0 0.0 -0.0 0.0 -0.0 0.0 2.7 0.0 0.4 0.3 -0.2 SOYMEAL 0.2 -0.1 -0.3 -0.0 -0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.0 0.1 0.0 -0.2 1.6 0.8 0.4 0.4 -0.0 -0.0 0.0 0.0 0.0 -2.8 -2.5 0.0 0.0 -0.0 0.0 0.0 0.0 2.7 0.2 0.4 0.1 -0.1 SOYOIL 0.2 0.3 -0.1 -0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.2 0.0 -0.2 0.0 -0.0 0.6 0.4 0.1 0.1 0.0 -0.1 0.0 -0.1 0.0 2.7 2.7 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 0.1 0.4 0.3 -0.1 SP400 0.2 0.2 -0.1 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.2 -0.2 -0.1 -0.1 0.1 0.0 -0.0 -0.0 0.0 2.5 2.4 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.0 -0.3 SUGAR11 -0.1 -0.2 0.2 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.3 -0.0 0.3 0.0 0.3 0.2 0.8 0.2 0.3 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 2.5 -0.0 -0.0 0.2 0.3 US10 -0.1 -0.3 -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 -0.8 -0.3 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 2.3 -0.1 -0.0 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-0.0 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.0 -0.9 -0.4 -0.3 -0.2 0.0 -0.1 0.0 -0.2 0.0 2.3 2.5 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.1 0.4 0.3 -0.0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 20.0 4.3 -0.9 3.1 0.3 2.3 4.9 0.6 4.9 -12.0 -2.2 5.6 -6.0 7.2 2.3 -2.7 -3.2 -3.2 -3.4 3.3 -2.1 -0.1 -5.6 7.6 11.8 11.7 2.1 -8.1 -0.2 0.1 -1.9 3.7 -0.7 -20.0 2.7 2.0 -13.4 BITCOIN 3.2 -8.7 9.9 1.8 0.0 2.3 3.0 1.9 2.4 14.0 9.8 12.1 -6.1 3.3 6.7 -4.5 -2.9 -4.4 -3.7 4.1 5.9 20.0 1.6 9.8 0.2 -18.1 1.3 16.9 1.8 12.3 1.4 4.9 -0.4 20.0 4.5 -2.0 -4.7 BOBL -11.1 -5.7 -4.5 -0.5 2.1 -0.0 0.3 -2.6 -0.8 -3.5 -3.8 -10.2 -11.9 -11.6 -1.6 -20.0 2.0 -7.7 -2.4 -8.2 -7.9 -9.7 -15.5 -11.5 11.3 10.8 -3.3 -0.2 -2.1 -4.8 -5.9 -5.6 1.0 -17.1 -19.0 -6.2 -1.8 BTP 9.8 6.5 9.9 -0.5 2.1 -0.0 0.3 -2.6 -0.8 8.1 11.0 13.1 -5.6 12.7 12.6 7.4 11.3 8.7 9.9 8.9 5.5 8.9 -3.9 10.2 -9.5 11.4 5.3 4.4 4.2 4.6 -0.2 5.5 19.1 13.2 19.6 20.0 8.0 BUND -3.5 -0.9 -1.9 -0.5 2.1 -0.0 0.3 -2.6 -0.8 6.4 -5.3 -4.4 -12.6 -6.7 -1.0 7.5 11.6 7.8 9.1 -4.1 -6.5 -1.1 -15.4 -4.1 7.2 12.3 -1.7 4.4 -1.4 -0.6 -6.2 -2.5 18.4 -2.6 -6.5 -0.1 -1.5 BUXL 5.7 1.4 -6.6 -0.5 2.1 -0.0 0.3 -2.6 -0.8 12.7 -11.8 9.7 -14.3 0.8 -6.9 2.4 1.4 2.3 2.4 -3.2 -9.6 9.5 -19.1 2.7 9.1 -10.8 -0.5 11.0 -2.6 6.5 -7.2 2.2 4.0 14.4 5.1 2.7 -4.9 CAC -3.2 -16.5 9.2 3.9 -8.9 4.3 -2.9 3.3 2.0 -13.1 12.6 -2.4 13.4 -3.1 7.0 -3.0 3.5 2.3 3.2 1.6 11.5 -7.5 17.5 -3.4 -5.0 8.9 1.4 -3.1 4.7 0.4 6.9 0.7 14.4 14.5 -4.2 -8.7 -6.7 CAD 20.0 10.9 13.3 3.1 0.3 2.3 4.9 0.6 4.9 10.1 6.2 14.5 -7.8 14.3 12.7 -2.5 -2.3 -2.8 -2.7 13.2 4.6 19.3 -4.2 19.6 11.9 10.4 4.9 3.8 2.2 6.8 -0.8 7.0 0.7 5.9 15.6 14.2 1.2 CANOLA 20.0 6.7 -13.4 -1.7 -0.3 -2.8 3.7 -1.9 1.8 7.6 -10.9 12.9 -13.8 9.3 -6.0 18.6 20.0 20.0 20.0 -4.0 -16.9 20.0 -16.8 15.0 20.0 13.2 -1.8 2.0 -5.9 5.7 -5.8 3.6 20.0 20.0 20.0 8.2 -20.0 CHF 2.2 -13.8 7.3 3.1 0.3 2.3 4.9 0.6 4.9 5.5 10.2 7.4 9.5 -4.1 4.2 -15.1 -15.2 -15.6 -15.7 1.7 5.6 5.4 6.0 2.7 -4.0 -11.5 1.4 0.8 3.4 3.4 2.8 1.9 -20.0 -7.6 -15.1 -13.7 4.1 COCOA 11.8 7.8 20.0 -1.7 -0.3 -2.8 3.7 -1.9 1.8 3.5 15.8 10.6 13.0 13.5 15.4 -0.7 -1.0 -0.0 0.0 20.0 20.0 15.5 19.4 20.0 -20.0 -10.4 6.6 1.8 6.2 5.1 4.8 6.6 -17.1 -0.4 20.0 20.0 20.0 COFFEE -9.0 -7.3 9.3 -1.7 -0.3 -2.8 3.7 -1.9 1.8 -14.1 3.2 -13.8 -3.9 -12.0 -5.4 4.7 5.0 5.8 5.6 -4.8 -0.6 -20.0 -2.5 -13.5 -10.3 10.0 1.2 -13.5 2.4 -9.4 0.5 -3.4 -7.3 -20.0 -8.6 5.5 20.0 COPPER 20.0 -9.0 -10.2 1.8 0.0 2.3 3.0 1.9 2.4 1.3 -1.1 10.7 -4.1 6.5 -3.7 -2.4 -1.3 -2.2 -1.8 -2.9 -5.0 7.2 -3.0 6.4 6.5 11.1 -1.7 -2.2 -2.9 2.7 -1.6 2.2 2.5 4.7 13.3 -8.1 -20.0 CORN 20.0 20.0 -2.4 -1.7 -0.3 -2.8 3.7 -1.9 1.8 3.0 -4.8 10.5 -7.8 10.7 3.8 -4.1 12.3 1.2 7.4 8.6 -1.5 20.0 -3.0 20.0 20.0 11.0 2.4 3.0 -1.8 8.5 -2.4 7.4 1.4 20.0 20.0 20.0 -1.7 COTTON2 2.3 9.9 6.1 -1.7 -0.3 -2.8 3.7 -1.9 1.8 -13.5 2.3 -3.4 -11.6 5.3 7.3 13.8 7.6 7.1 4.7 2.9 -1.5 -8.2 -7.0 -0.2 -8.5 12.0 1.1 -12.5 0.1 -8.4 -0.6 -2.2 -6.7 -20.0 -7.4 17.2 13.4 CRUDE_W 3.5 -3.6 -4.4 -2.9 -4.8 -5.2 -0.7 -3.3 -0.0 0.9 -6.3 2.9 -8.1 -3.7 -6.8 4.9 10.0 6.5 7.8 -5.3 -6.0 -1.0 -2.7 -2.4 -19.4 10.8 0.0 -0.9 -1.5 2.3 0.8 2.3 -6.0 0.8 5.3 3.6 12.8 DAX 0.1 -7.4 11.3 3.9 -8.9 4.3 -2.9 3.3 2.0 -13.1 14.4 -1.3 13.1 2.0 10.8 -8.7 -7.1 -8.6 -8.4 6.8 13.6 -8.8 14.9 0.5 -9.2 9.9 3.6 -12.4 6.8 -5.5 7.1 0.1 -4.4 0.3 -7.5 0.1 -0.7 DOW 15.2 1.1 4.2 3.9 -8.9 4.3 -2.9 3.3 2.0 -12.8 5.1 5.4 4.8 7.5 9.1 -9.4 -6.8 -8.9 -8.3 5.5 3.4 -0.3 2.1 6.3 9.0 10.8 4.0 -2.3 2.7 2.9 2.1 5.2 -4.1 12.4 20.0 -3.2 -3.7 EUR 11.5 -14.9 4.5 3.1 0.3 2.3 4.9 0.6 4.9 4.6 10.0 10.0 3.2 -0.6 0.6 -7.8 -8.5 -7.9 -8.1 1.1 3.1 10.7 1.8 6.6 -4.8 -11.1 1.1 1.0 1.6 5.5 0.6 3.7 -9.2 7.1 -3.9 -15.5 -2.7 EUROSTX -0.6 -9.1 11.7 3.9 -8.9 4.3 -2.9 3.3 2.0 -12.3 14.6 0.1 14.3 2.5 11.4 -5.5 1.4 -3.9 -1.2 6.2 14.0 -6.1 17.5 0.8 -7.8 -8.5 3.3 -10.3 6.8 -4.1 8.2 0.3 9.4 4.1 -7.9 -2.5 -2.2 FEEDCOW -20.0 -0.1 15.5 -1.7 -0.3 -2.8 3.7 -1.9 1.8 -2.0 13.2 -8.0 12.5 3.3 9.9 -20.0 -20.0 -20.0 -20.0 13.7 19.7 -10.9 15.8 -1.0 -20.0 12.2 4.4 0.6 7.3 -2.7 6.7 -0.4 -20.0 -20.0 -15.9 15.5 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 18.9 7.4 -17.2 -2.9 -4.8 -5.2 -0.7 -3.3 -0.0 -4.0 -11.2 6.7 -3.1 7.5 -5.6 4.7 18.5 6.6 12.2 -3.5 -10.5 3.0 -4.4 4.2 1.7 -15.4 -1.4 -3.3 -5.3 2.0 -3.6 2.6 6.0 8.9 8.3 6.3 1.9 GAS_US 15.0 20.0 -13.8 -2.9 -4.8 -5.2 -0.7 -3.3 -0.0 13.6 -16.0 12.7 -15.6 4.7 -10.2 -15.5 -18.5 -20.0 -20.0 -7.1 -20.0 17.3 -20.0 7.8 3.0 -9.3 1.1 11.9 -4.2 12.5 -4.6 7.5 -20.0 20.0 19.0 17.3 7.9 GBP 13.7 -0.9 14.5 3.1 0.3 2.3 4.9 0.6 4.9 4.3 14.5 10.6 4.2 10.6 13.2 -0.6 -1.8 -1.4 -1.7 13.1 11.6 12.4 4.8 15.4 -1.4 9.4 5.1 -0.1 3.7 4.9 0.2 6.1 2.0 -0.2 8.8 6.5 10.7 GOLD_micro -13.5 -20.0 6.9 1.8 0.0 2.3 3.0 1.9 2.4 -11.2 7.5 -13.7 5.7 -15.1 -0.4 -14.6 -12.3 -13.8 -13.4 -8.2 3.6 -16.6 8.1 -15.4 -11.7 -13.8 -2.9 -2.9 1.5 -4.1 3.4 -5.1 -16.9 -16.8 -20.0 -16.1 3.6 HEATOIL 15.5 5.2 -15.9 -2.9 -4.8 -5.2 -0.7 -3.3 -0.0 -1.7 -12.1 5.6 -3.9 4.1 -7.8 2.5 20.0 5.2 12.4 -5.4 -11.2 2.1 -4.7 2.1 -6.8 -13.6 0.4 1.0 -3.1 5.8 -0.3 5.1 8.4 15.9 20.0 13.1 3.8 JPY -7.5 -20.0 -16.4 3.1 0.3 2.3 4.9 0.6 4.9 -13.9 -8.7 -15.2 -10.0 -16.0 -15.9 -19.0 -15.3 -17.8 -16.9 -20.0 -19.8 -20.0 -17.4 -20.0 13.4 9.9 -5.8 -7.4 -4.0 -6.8 -3.8 -6.4 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 20.0 11.5 -17.5 -1.7 -0.3 -2.8 3.7 -1.9 1.8 5.4 -10.8 13.6 -12.4 8.5 -4.8 20.0 -20.0 3.3 -20.0 -5.1 -18.5 15.9 -18.2 12.0 20.0 -11.1 -4.9 0.4 -7.6 1.5 -6.8 -0.6 -20.0 0.9 11.5 -15.5 -20.0 LIVECOW 9.4 12.0 12.3 -1.7 -0.3 -2.8 3.7 -1.9 1.8 -6.4 13.4 0.8 12.8 8.1 11.7 20.0 16.1 20.0 20.0 20.0 18.7 1.3 13.2 13.4 -20.0 -10.0 5.7 1.2 5.0 2.3 4.0 4.7 20.0 -16.1 20.0 20.0 20.0 MXP 16.4 12.8 20.0 3.1 0.3 2.3 4.9 0.6 4.9 6.0 16.3 13.2 16.1 15.2 16.1 20.0 20.0 20.0 20.0 20.0 20.0 14.5 20.0 20.0 -20.0 9.7 6.4 1.0 6.6 3.5 6.6 5.6 20.0 -3.2 13.7 20.0 18.6 NASDAQ 10.8 20.0 20.0 3.9 -8.9 4.3 -2.9 3.3 2.0 -4.6 15.6 9.2 2.7 14.4 15.9 -10.6 -7.5 -10.0 -9.1 20.0 20.0 13.9 13.7 20.0 -20.0 10.2 6.4 0.3 5.5 2.8 3.4 5.5 -5.3 20.0 20.0 20.0 20.0 NIKKEI 6.8 20.0 20.0 3.9 -8.9 4.3 -2.9 3.3 2.0 -4.6 15.5 9.7 13.5 14.0 15.7 16.0 12.9 12.7 12.7 20.0 20.0 12.1 16.5 20.0 -10.2 -9.1 6.1 -1.6 4.9 1.9 2.8 5.0 20.0 20.0 20.0 20.0 20.0 NZD 7.2 -5.4 -2.4 3.1 0.3 2.3 4.9 0.6 4.9 -5.6 0.9 5.2 -2.0 -2.6 -4.7 0.3 0.7 0.7 0.7 -2.7 -3.3 2.0 -4.2 1.4 5.7 10.8 -0.8 -3.5 -1.0 0.9 -1.8 0.9 6.2 -11.2 -15.9 -5.7 -12.8 OAT -0.1 1.8 0.7 -0.5 2.1 -0.0 0.3 -2.6 -0.8 7.0 -5.8 0.5 -12.4 -0.9 1.6 8.3 11.9 9.9 11.0 -1.9 -4.9 1.0 -13.5 -1.2 4.8 12.7 -0.2 5.0 -0.6 0.8 -6.2 -0.7 20.0 1.5 -1.0 4.3 -1.1 OJ -12.8 -10.1 6.3 -1.7 -0.3 -2.8 3.7 -1.9 1.8 2.1 12.5 -3.3 14.4 3.8 8.9 16.6 20.0 20.0 20.0 11.7 20.0 0.8 20.0 4.1 -20.0 -14.3 5.1 -0.4 9.0 0.2 12.0 2.1 20.0 -12.6 -8.8 18.2 20.0 PALLAD -9.8 -6.7 2.3 1.8 0.0 2.3 3.0 1.9 2.4 -12.8 -14.7 -11.5 -14.9 -13.3 -12.2 -3.1 -2.6 -3.0 -2.9 -16.2 -18.2 -19.8 -20.0 -17.8 20.0 -11.1 -4.2 -7.8 -3.9 -6.9 -4.7 -5.8 0.4 -11.2 -20.0 -15.1 -11.8 PLAT -20.0 -19.3 2.5 1.8 0.0 2.3 3.0 1.9 2.4 -14.1 -1.2 -15.6 3.7 -15.6 -7.1 -2.1 -1.8 -2.2 -2.1 -13.8 -2.3 -20.0 2.5 -20.0 2.5 11.2 -3.6 -7.4 -0.1 -8.6 0.9 -7.2 1.8 -20.0 -20.0 -20.0 -3.9 REDWHEAT 9.2 5.9 5.8 -1.7 -0.3 -2.8 3.7 -1.9 1.8 12.0 -4.5 12.3 -12.1 6.7 3.8 2.0 5.3 5.1 6.3 2.3 -2.7 20.0 -4.4 10.8 1.9 12.9 2.5 8.4 -0.4 10.7 -0.6 6.9 -6.2 18.4 20.0 20.0 12.9 ROBUSTA 4.9 0.9 20.0 -1.7 -0.3 -2.8 3.7 -1.9 1.8 -8.0 15.7 9.6 12.8 13.6 15.6 20.0 12.9 17.7 15.1 20.0 20.0 9.8 20.0 20.0 -20.0 9.6 6.5 -1.7 6.5 1.9 4.6 4.7 7.2 -18.7 20.0 20.0 20.0 RUSSELL 19.2 15.6 -0.6 3.9 -8.9 4.3 -2.9 3.3 2.0 -14.0 -4.9 4.1 -8.5 8.4 0.9 -6.3 -5.2 -6.2 -6.0 6.8 0.4 -3.9 -4.5 7.4 16.6 10.0 3.3 -5.1 0.9 -0.4 -0.2 3.8 -0.8 -4.6 18.4 8.5 -18.5 SILVER-mini -6.5 -20.0 7.6 1.8 0.0 2.3 3.0 1.9 2.4 -12.5 4.6 -10.9 3.6 -12.1 0.9 -6.8 -5.8 -6.6 -6.4 -7.1 1.7 -20.0 4.3 -15.5 -3.4 -11.3 -1.8 -5.3 0.7 -4.5 1.0 -3.4 -5.3 -20.0 -8.9 -14.6 1.7 SOYBEAN 20.0 14.5 -10.1 -1.7 -0.3 -2.8 3.7 -1.9 1.8 4.5 -7.0 10.8 -8.2 8.0 -1.0 10.5 20.0 18.2 20.0 3.2 -6.6 20.0 -5.8 20.0 10.8 -11.2 1.1 3.3 -2.2 8.5 -1.6 6.6 20.0 20.0 20.0 20.0 -12.3 SOYMEAL 20.0 -8.1 -20.0 -1.7 -0.3 -2.8 3.7 -1.9 1.8 0.7 -2.4 4.9 4.1 0.3 -9.4 20.0 20.0 20.0 20.0 -2.8 -3.4 14.2 2.2 7.1 -20.0 -12.0 0.2 6.0 -0.9 10.6 1.5 6.0 20.0 20.0 20.0 10.0 -4.3 SOYOIL 20.0 19.9 -8.8 -1.7 -0.3 -2.8 3.7 -1.9 1.8 -0.8 -10.4 8.8 -9.8 8.6 -1.3 8.1 10.8 6.6 7.1 3.7 -7.8 14.3 -8.0 16.2 19.2 12.9 2.1 1.8 -1.9 5.2 -2.2 6.0 -1.4 11.2 20.0 20.0 -4.3 SP400 20.0 8.9 -2.9 3.9 -8.9 4.3 -2.9 3.3 2.0 -13.1 -2.5 7.6 -1.3 9.5 -0.0 -5.1 -4.9 -5.5 -5.4 6.0 0.8 -0.5 -1.0 8.5 15.6 10.2 2.6 -3.6 0.2 1.6 0.1 4.6 -0.0 6.0 20.0 2.1 -20.0 SUGAR11 -14.5 -13.3 15.5 -1.7 -0.3 -2.8 3.7 -1.9 1.8 -10.6 14.0 -0.3 13.8 0.8 11.8 2.9 20.0 8.3 16.5 14.2 20.0 -4.4 20.0 3.9 -20.0 -10.5 4.9 -4.2 8.5 -0.9 9.0 1.3 18.6 -20.0 -2.6 15.8 20.0 US10 -10.1 -16.3 -1.0 -0.5 2.1 -0.0 0.3 -2.6 -0.8 -5.1 -0.9 -11.6 -10.0 -14.3 -4.5 -9.5 -6.9 -9.8 -9.5 -12.1 -7.5 -8.8 -11.0 -13.4 0.8 9.7 -4.5 -2.3 -1.7 -4.4 -2.0 -6.0 -13.7 -11.0 -20.0 -20.0 -4.8 US10U -5.0 -13.0 -0.3 -0.5 2.1 -0.0 0.3 -2.6 -0.8 2.1 0.2 -8.1 -10.0 -12.7 -4.5 1.4 -0.6 -1.8 -2.0 -9.2 -6.5 -4.3 -10.9 -8.8 -1.2 -14.1 -4.5 -1.5 -1.6 -3.6 -1.8 -5.5 -1.9 -6.2 -20.0 -18.9 -5.8 US20 0.9 -11.3 0.3 -0.5 2.1 -0.0 0.3 -2.6 -0.8 6.3 2.3 0.4 -8.4 -8.0 -3.8 -0.5 -1.4 -1.3 -1.9 -6.9 -5.9 0.1 -10.5 -4.5 -0.6 -12.3 -4.2 -1.1 -1.8 -2.8 -2.5 -4.7 -2.5 -3.1 -16.1 -15.0 -4.9 US30 5.3 -8.4 -1.6 -0.5 2.1 -0.0 0.3 -2.6 -0.8 7.3 -0.7 7.6 -10.3 -5.2 -8.3 0.2 -0.8 -0.7 -1.0 -5.8 -7.2 3.1 -14.0 -1.3 -1.1 10.0 -4.0 -0.5 -2.1 -1.4 -3.3 -3.5 -1.0 1.7 -9.8 -10.2 -8.1 US5 -14.4 -19.6 -3.5 -0.5 2.1 -0.0 0.3 -2.6 -0.8 -9.1 -2.0 -13.5 -10.3 -15.3 -5.2 -14.3 -8.4 -12.8 -11.5 -15.4 -9.1 -13.1 -12.1 -18.1 2.7 10.8 -4.6 -2.7 -1.9 -4.9 -2.4 -6.2 -16.7 -16.4 -20.0 -20.0 -5.6 VIX -20.0 -20.0 -20.0 -4.9 -1.7 -4.2 -3.6 -3.8 -5.2 -10.7 -16.6 -15.5 -15.6 -16.5 -16.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -13.5 -6.2 -1.9 -5.3 -4.5 -5.0 -6.4 NaN NaN NaN NaN NaN WHEAT 20.0 17.7 0.5 -1.7 -0.3 -2.8 3.7 -1.9 1.8 12.1 -11.2 14.5 -15.0 9.7 -0.5 -10.9 -10.1 -11.9 -11.6 4.3 -9.9 20.0 -13.9 20.0 15.6 11.9 2.0 8.2 -2.1 11.5 -2.7 8.0 -20.0 20.0 20.0 20.0 -1.6 End of report for caleb_strategy_v1