******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230629_204252 produced at 2023-06-29 21:38:51.730433 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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_v3 EURIBOR-ICE False False 0.10 0.00 -0.80 0.0 0.95 -0.95 0.00 0.00 -8.44 10.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.54 0.0 0.00 0.00 0.00 0.00 -6.18 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -4.22 13.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.35 -0.19 0.0 0.54 -0.54 -0.35 -0.35 -5.91 17.0 -11 -11 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -28.78 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.18 0.0 0.39 -0.39 -0.10 -0.10 -26.31 56.0 -15 -15 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.16 0.0 0.66 -0.66 -0.15 -0.15 -3.13 13.0 -3 -3 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.12 0.0 0.20 -0.20 0.00 0.00 -3.59 6.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.35 -0.10 0.0 0.97 -0.97 -0.35 -0.35 -2.66 25.0 -9 -9 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.63 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.06 0.0 0.36 -0.36 0.00 0.00 -1.32 8.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.69 -0.69 0.00 0.00 -1.39 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.04 0.0 0.15 -0.15 -0.07 -0.07 -3.89 13.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.91 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -18.39 26.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.04 0.0 0.00 -0.00 0.00 0.00 -1.74 0.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.04 0.0 0.86 -0.86 0.00 0.00 -0.79 19.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.03 0.0 0.16 -0.16 0.00 0.00 -1.79 10.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.20 -0.03 0.0 0.69 -0.69 -0.20 -0.20 -0.69 14.0 -4 -4 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.64 2.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -1.30 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.55 -0.02 0.0 0.55 -0.55 -0.55 -0.55 -0.44 13.0 -13 -13 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.50 21.0 0 0 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.41 -0.41 0.00 0.00 -0.25 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.16 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.67 9.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.01 0.0 0.16 -0.16 0.00 0.00 -0.46 11.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.32 6.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.41 -0.41 0.00 0.00 -1.13 66.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.16 2.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.19 5.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.22 0.00 0.0 0.25 -0.25 0.22 0.22 0.14 23.0 20 20 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.00 0.0 0.23 -0.23 0.00 0.00 -0.14 68.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.01 8.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.40 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.08 4.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.05 58.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.59 9.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.00 0.01 0.0 0.41 -0.41 0.00 0.00 0.17 9.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.31 -0.31 0.00 0.00 1.24 26.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.19 0.01 0.0 0.19 -0.19 0.19 0.19 0.07 2.0 2 2 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.16 -0.16 0.03 0.03 0.88 18.0 3 3 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.05 0.55 7.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.41 23.0 2 2 caleb_strategy_v3 CORN False False 0.01 0.05 0.01 0.0 0.11 -0.11 0.05 0.05 0.70 12.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.90 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.21 0.02 0.0 0.52 -0.52 0.21 0.21 0.43 10.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.54 3.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 2.32 48.0 0 0 caleb_strategy_v3 OJ False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.21 3.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.00 0.03 0.0 0.07 -0.07 -0.00 -0.00 24.55 59.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 3.16 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.04 0.0 0.20 -0.20 0.00 0.00 10.26 51.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.05 0.0 0.79 -0.79 0.00 0.00 1.73 29.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.28 0.05 0.0 0.63 -0.63 0.28 0.28 1.72 22.0 10 10 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.06 0.0 0.34 -0.34 0.00 0.00 3.52 20.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.00 0.07 0.0 0.35 -0.35 0.00 0.00 2.47 12.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.04 0.07 0.0 0.15 -0.15 0.04 0.04 1.96 4.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.18 0.10 0.0 0.46 -0.46 0.18 0.18 2.13 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.10 0.0 0.50 -0.50 0.00 0.00 1.90 10.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.18 0.0 0.44 -0.44 0.00 0.00 6.92 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.24 0.47 0.0 0.30 -0.30 0.24 0.24 57.01 36.0 29 29 caleb_strategy_v3 MXP False False 0.01 0.00 0.97 0.0 0.62 -0.62 0.00 0.00 93.68 60.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.00 3.07 0.0 0.59 -0.59 0.00 0.00 82.80 16.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.9 Shocked risk 61.2 Sum abs risk 61.7 Leverage 8.04 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3000000.0, 'annual_cash_vol_target': 750000.0, 'daily_cash_vol_target': 46875.0} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6636 0.7129 11.4058 BITCOIN 877.5030 31060.0000 2.8252 45.2030 BOBL 0.3396 115.6700 0.2936 4.6969 BTP 0.7110 115.8100 0.6139 9.8224 BUND 0.6718 133.5200 0.5031 8.0503 BUXL 1.4716 138.5400 1.0622 16.9956 CAC 53.6963 7333.5000 0.7322 11.7153 CAD 0.0030 0.7559 0.4030 6.4488 CANOLA 8.8609 709.3000 1.2493 19.9880 CHF 0.0051 1.1208 0.4592 7.3474 COCOA 37.5918 3275.0000 1.1478 18.3654 COFFEE 3.2049 162.1000 1.9771 31.6340 COPPER 0.0419 3.6985 1.1324 18.1183 CORN 12.3485 528.2500 2.3376 37.4019 COTTON2 1.3367 80.1000 1.6688 26.7016 CRUDE_W 1.2343 69.7900 1.7686 28.2978 DAX 113.3908 16067.0000 0.7057 11.2918 DOW 206.4179 34319.0000 0.6015 9.6235 EUR 0.0053 1.0912 0.4820 7.7117 EURIBOR-ICE 0.0648 96.8550 0.0669 1.0712 EUROSTX 35.7116 4384.0000 0.8146 13.0334 FEEDCOW 1.8780 247.8500 0.7577 12.1236 GASOIL 12.3725 696.7500 1.7757 28.4118 GASOLINE 0.0407 2.4100 1.6882 27.0112 GAS_US_mini 0.0974 2.6800 3.6328 58.1246 GBP 0.0069 1.2616 0.5478 8.7645 GOLD_micro 12.5609 1915.4000 0.6558 10.4925 HEATOIL 0.0403 2.4020 1.6765 26.8242 JGB-SGX-mini 0.2112 148.4900 0.1423 2.2760 JPY 0.0000 0.0070 0.5905 9.4488 LEANHOG 1.3257 79.3000 1.6717 26.7480 LIVECOW 1.1548 177.6000 0.6502 10.4040 LUMBER-new 9.2777 545.5000 1.7008 27.2124 MILK 0.2211 15.9200 1.3889 22.2220 MXP 0.0003 0.0576 0.5717 9.1478 NASDAQ_micro 129.8415 15080.5000 0.8610 13.7758 NIKKEI 309.3060 33145.0000 0.9332 14.9310 NZD 0.0045 0.6062 0.7425 11.8796 OAT 0.6707 128.2400 0.5230 8.3684 OATIES 6.2039 402.0000 1.5433 24.6923 OJ 4.3791 259.0500 1.6904 27.0469 PALLAD 26.4515 1228.0000 2.1540 34.4644 PLAT 14.2379 904.1000 1.5748 25.1970 REDWHEAT 15.9017 801.5000 1.9840 31.7439 RICE 0.1735 15.1000 1.1491 18.3856 ROBUSTA 39.2553 2568.0000 1.5286 24.4581 RUSSELL 20.1669 1897.1000 1.0630 17.0086 SHATZ 0.1107 104.8650 0.1055 1.6883 SILVER-mini 0.3203 23.1500 1.3837 22.1394 SMI 73.9390 11233.0000 0.6582 10.5317 SOFR 0.0755 96.6350 0.0781 1.2504 SOYBEAN 19.7238 1264.2500 1.5601 24.9619 SOYMEAL 8.1989 381.7000 2.1480 34.3680 SOYOIL 1.0953 55.3800 1.9778 31.6440 SP400 23.2394 2624.1000 0.8856 14.1698 SP500_micro 26.0845 4430.7500 0.5887 9.4194 SUGAR11 0.3895 22.1800 1.7562 28.0986 US10 0.4783 112.1094 0.4266 6.8256 US10U 0.6371 118.0938 0.5394 8.6312 US2 0.1345 101.6758 0.1322 2.1160 US20 0.8909 126.1250 0.7064 11.3022 US30 1.2822 134.9062 0.9504 15.2065 US5 0.3225 107.0781 0.3012 4.8188 VIX 0.4826 17.9000 2.6963 43.1401 WHEAT 15.1168 685.5000 2.2052 35.2836 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.60 0.71 473.06 1.00 473.06 46875.0 99.09 -4.03 -39.98 BITCOIN 31.06 2.83 87.75 1.00 87.75 46875.0 534.19 3.82 204.12 BOBL 1156.70 0.29 339.56 1.10 371.94 46875.0 126.03 -6.76 -85.16 BTP 1158.10 0.61 710.96 1.10 778.75 46875.0 60.19 11.32 68.12 BUND 1335.20 0.50 671.80 1.10 735.86 46875.0 63.70 7.32 46.61 BUXL 1385.40 1.06 1471.61 1.10 1611.92 46875.0 29.08 2.94 8.55 CAC 733.35 0.73 536.96 1.10 588.16 46875.0 79.70 9.49 75.64 CAD 755.90 0.40 304.66 1.00 304.66 46875.0 153.86 3.46 53.26 CANOLA 141.86 1.25 177.22 0.76 134.16 46875.0 349.40 14.02 489.93 CHF 1401.06 0.46 643.39 1.00 643.39 46875.0 72.86 -13.20 -96.17 COCOA 327.50 1.15 375.92 1.00 375.92 46875.0 124.69 5.38 67.09 COFFEE 607.88 1.98 1201.85 1.00 1201.85 46875.0 39.00 -8.25 -32.17 COPPER 924.62 1.13 1047.04 1.00 1047.04 46875.0 44.77 -6.66 -29.83 CORN 264.12 2.34 617.42 1.00 617.42 46875.0 75.92 4.39 33.32 COTTON2 400.50 1.67 668.37 1.00 668.37 46875.0 70.13 -3.52 -24.70 CRUDE_W 697.90 1.77 1234.31 1.00 1234.31 46875.0 37.98 -0.42 -1.58 DAX 160.67 0.71 113.39 1.10 124.20 46875.0 377.41 0.04 1.67 DOW 171.60 0.60 103.21 1.00 103.21 46875.0 454.18 -1.11 -50.50 EUR 1364.06 0.48 657.45 1.00 657.45 46875.0 71.30 -2.98 -21.28 EURIBOR-ICE 2421.38 0.07 162.11 1.10 177.56 46875.0 263.99 -10.25 -270.69 EUROSTX 438.40 0.81 357.12 1.10 391.17 46875.0 119.83 8.99 107.72 FEEDCOW 1239.25 0.76 939.01 1.00 939.01 46875.0 49.92 -7.76 -38.75 GASOIL 696.75 1.78 1237.25 1.00 1237.25 46875.0 37.89 4.86 18.39 GASOLINE 1012.20 1.69 1708.79 1.00 1708.79 46875.0 27.43 14.60 40.04 GAS_US_mini 67.00 3.63 243.40 1.00 243.40 46875.0 192.59 -7.80 -150.16 GBP 788.50 0.55 431.92 1.00 431.92 46875.0 108.53 4.88 52.96 GOLD_micro 191.54 0.66 125.61 1.00 125.61 46875.0 373.18 -18.61 -694.52 HEATOIL 1008.84 1.68 1691.33 1.00 1691.33 46875.0 27.71 3.94 10.93 JGB-SGX-mini 148490.00 0.14 21123.11 0.01 146.75 46875.0 319.42 19.84 633.57 JPY 873.50 0.59 515.84 1.00 515.84 46875.0 90.87 -20.00 -181.74 LEANHOG 317.20 1.67 530.28 1.00 530.28 46875.0 88.40 -7.05 -62.30 LIVECOW 710.40 0.65 461.94 1.00 461.94 46875.0 101.48 20.00 202.95 LUMBER-new 150.01 1.70 255.14 1.00 255.14 46875.0 183.72 -6.52 -119.71 MILK 318.40 1.39 442.22 1.00 442.22 46875.0 106.00 -20.00 -212.00 MXP 287.95 0.57 164.63 1.00 164.63 46875.0 284.73 20.00 569.45 NASDAQ_micro 301.61 0.86 259.68 1.00 259.68 46875.0 180.51 0.35 6.40 NIKKEI 33145.00 0.93 30930.60 0.01 214.89 46875.0 218.14 20.00 436.27 NZD 606.25 0.74 450.13 1.00 450.13 46875.0 104.14 -1.49 -15.50 OAT 1282.40 0.52 670.73 1.10 734.68 46875.0 63.80 9.55 60.92 OATIES 201.00 1.54 310.20 1.00 310.20 46875.0 151.11 0.50 7.60 OJ 388.58 1.69 656.86 1.00 656.86 46875.0 71.36 16.82 120.02 PALLAD 1228.00 2.15 2645.15 1.00 2645.15 46875.0 17.72 -9.52 -16.86 PLAT 452.05 1.57 711.89 1.00 711.89 46875.0 65.85 -7.18 -47.26 REDWHEAT 400.75 1.98 795.09 1.00 795.09 46875.0 58.96 0.20 1.16 RICE 302.00 1.15 347.03 1.00 347.03 46875.0 135.08 11.17 150.91 ROBUSTA 256.80 1.53 392.55 1.00 392.55 46875.0 119.41 11.70 139.68 RUSSELL 94.86 1.06 100.83 1.00 100.83 46875.0 464.87 -0.10 -4.55 SHATZ 1048.65 0.11 110.65 1.10 121.20 46875.0 386.75 -4.54 -175.66 SILVER-mini 578.75 1.38 800.82 1.00 800.82 46875.0 58.53 -7.85 -45.94 SMI 1123.30 0.66 739.39 1.12 826.90 46875.0 56.69 0.92 5.24 SOFR 2415.88 0.08 188.79 1.00 188.79 46875.0 248.29 -4.29 -106.46 SOYBEAN 632.12 1.56 986.19 1.00 986.19 46875.0 47.53 14.53 69.06 SOYMEAL 381.70 2.15 819.89 1.00 819.89 46875.0 57.17 12.96 74.12 SOYOIL 332.28 1.98 657.17 1.00 657.17 46875.0 71.33 6.98 49.79 SP400 2624.10 0.89 2323.94 1.00 2323.94 46875.0 20.17 1.12 2.26 SP500_micro 221.54 0.59 130.42 1.00 130.42 46875.0 359.41 2.90 104.09 SUGAR11 248.42 1.76 436.26 1.00 436.26 46875.0 107.45 4.46 47.97 US10 1121.09 0.43 478.26 1.00 478.26 46875.0 98.01 -11.68 -114.51 US10U 1180.94 0.54 637.05 1.00 637.05 46875.0 73.58 -4.90 -36.03 US2 2033.52 0.13 268.93 1.00 268.93 46875.0 174.30 -20.00 -348.61 US20 1261.25 0.71 890.93 1.00 890.93 46875.0 52.61 -3.93 -20.70 US30 1349.06 0.95 1282.15 1.00 1282.15 46875.0 36.56 -3.07 -11.23 US5 1070.78 0.30 322.49 1.00 322.49 46875.0 145.35 -15.09 -219.39 VIX 179.00 2.70 482.63 1.00 482.63 46875.0 97.12 -20.00 -194.25 WHEAT 342.75 2.21 755.84 1.00 755.84 46875.0 62.02 -9.44 -58.54 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -39.980 0.013 2.5 -1.300 BITCOIN 204.120 0.048 2.5 24.548 BOBL -85.162 0.004 2.5 -0.790 BTP 68.123 0.012 2.5 2.125 BUND 46.609 0.004 2.5 0.432 BUXL 8.547 0.004 2.5 0.079 CAC 75.643 0.013 2.5 2.471 CAD 53.264 0.013 2.5 1.731 CANOLA 489.933 0.008 2.5 10.264 CHF -96.171 0.013 2.5 -3.126 COCOA 67.092 0.007 2.5 1.238 COFFEE -32.175 0.004 2.5 -0.324 COPPER -29.830 0.048 2.5 -3.587 CORN 33.318 0.008 2.5 0.698 COTTON2 -24.704 0.007 2.5 -0.456 CRUDE_W -1.582 0.049 2.5 -0.194 DAX 1.667 0.013 2.5 0.054 DOW -50.497 0.009 2.5 -1.128 EUR -21.277 0.013 2.5 -0.692 EURIBOR-ICE -270.691 0.012 2.5 -8.444 EUROSTX 107.717 0.013 2.5 3.519 FEEDCOW -38.749 0.014 2.5 -1.321 GASOIL 18.395 0.020 2.5 0.902 GASOLINE 40.041 0.020 2.5 1.963 GAS_US_mini -150.156 0.049 2.5 -18.391 GBP 52.964 0.013 2.5 1.722 GOLD_micro -694.517 0.015 2.5 -26.308 HEATOIL 10.926 0.020 2.5 0.536 JGB-SGX-mini 633.569 0.052 2.5 82.796 JPY -181.741 0.013 2.5 -5.907 LEANHOG -62.298 0.025 2.5 -3.894 LIVECOW 202.950 0.014 2.5 6.918 LUMBER-new -119.709 0.007 2.5 -2.155 MILK -212.000 0.007 2.5 -3.911 MXP 569.450 0.066 2.5 93.681 NASDAQ_micro 6.396 0.009 2.5 0.143 NIKKEI 436.272 0.052 2.5 57.013 NZD -15.501 0.013 2.5 -0.504 OAT 60.925 0.012 2.5 1.901 OATIES 7.603 0.008 2.5 0.159 OJ 120.021 0.007 2.5 2.214 PALLAD -16.863 0.015 2.5 -0.639 PLAT -47.256 0.015 2.5 -1.790 REDWHEAT 1.161 0.005 2.5 0.013 RICE 150.913 0.008 2.5 3.162 ROBUSTA 139.683 0.004 2.5 1.405 RUSSELL -4.548 0.013 2.5 -0.145 SHATZ -175.665 0.004 2.5 -1.629 SILVER-mini -45.935 0.015 2.5 -1.740 SMI 5.235 0.013 2.5 0.171 SOFR -106.455 0.023 2.5 -6.180 SOYBEAN 69.059 0.003 2.5 0.553 SOYMEAL 74.122 0.003 2.5 0.594 SOYOIL 49.793 0.003 2.5 0.399 SP400 2.265 0.013 2.5 0.072 SP500_micro 104.092 0.009 2.5 2.325 SUGAR11 47.967 0.007 2.5 0.879 US10 -114.505 0.005 2.5 -1.386 US10U -36.029 0.005 2.5 -0.436 US2 -348.609 0.005 2.5 -4.220 US20 -20.697 0.005 2.5 -0.251 US30 -11.233 0.005 2.5 -0.136 US5 -219.393 0.005 2.5 -2.656 VIX -194.248 0.059 2.5 -28.783 WHEAT -58.539 0.005 2.5 -0.669 ===================== Position diags ===================== AUD 3.22 BITCOIN 64.24 BOBL 1.17 BTP 1.88 BUND 0.59 BUXL 0.27 CAC 2.60 CAD 5.00 CANOLA 7.32 CHF 2.37 COCOA 2.30 COFFEE 0.39 COPPER 5.38 CORN 1.59 COTTON2 1.29 CRUDE_W 4.65 DAX 12.33 DOW 10.14 EUR 2.32 EURIBOR-ICE 8.24 EUROSTX 3.92 FEEDCOW 1.70 GASOIL 1.86 GASOLINE 1.34 GAS_US_mini 23.59 GBP 3.53 GOLD_micro 14.14 HEATOIL 1.36 JGB-SGX-mini 41.74 JPY 2.95 LEANHOG 5.53 LIVECOW 3.46 LUMBER-new 3.31 MILK 1.96 MXP 46.84 NASDAQ_micro 4.03 NIKKEI 28.51 NZD 3.38 OAT 1.99 OATIES 3.17 OJ 1.32 PALLAD 0.67 PLAT 2.49 REDWHEAT 0.67 RICE 2.83 ROBUSTA 1.20 RUSSELL 14.80 SHATZ 3.59 SILVER-mini 2.22 SMI 1.85 SOFR 14.41 SOYBEAN 0.38 SOYMEAL 0.46 SOYOIL 0.57 SP400 0.64 SP500_micro 8.03 SUGAR11 1.97 US10 1.19 US10U 0.89 US2 2.11 US20 0.64 US30 0.44 US5 1.76 VIX 14.39 WHEAT 0.71 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.6 -1.0 NaN 0 BITCOIN 24.5 18.1 31.0 -1.0 -1 BOBL -0.8 -0.9 -0.7 NaN 0 BTP 2.1 1.9 2.3 4.0 4 BUND 0.4 0.4 0.5 4.0 4 BUXL 0.1 0.1 0.1 NaN 0 CAC 2.5 2.2 2.7 NaN 0 CAD 1.7 1.2 2.2 NaN 0 CANOLA 10.3 9.5 11.0 NaN 0 CHF -3.1 -3.4 -2.9 -3.0 -3 COCOA 1.2 1.0 1.5 NaN 0 COFFEE -0.3 -0.4 -0.3 NaN 0 COPPER -3.6 -4.1 -3.0 NaN 0 CORN 0.7 0.5 0.9 5.0 5 COTTON2 -0.5 -0.6 -0.3 NaN 0 CRUDE_W -0.2 -0.7 0.3 NaN 0 DAX 0.1 -1.2 1.3 NaN 0 DOW -1.1 -2.1 -0.1 NaN 0 EUR -0.7 -0.9 -0.5 -4.0 -4 EURIBOR-ICE -8.4 -9.3 -7.6 NaN 0 EUROSTX 3.5 3.1 3.9 0.0 0 FEEDCOW -1.3 -1.5 -1.2 NaN 0 GASOIL 0.9 0.7 1.1 0.0 0 GASOLINE 2.0 1.8 2.1 1.0 1 GAS_US_mini -18.4 -20.7 -16.0 NaN 0 GBP 1.7 1.4 2.1 10.0 10 GOLD_micro -26.3 -27.7 -24.9 -15.0 -15 HEATOIL 0.5 0.4 0.7 0.0 0 JGB-SGX-mini 82.8 78.6 87.0 NaN 0 JPY -5.9 -6.2 -5.6 -11.0 -11 LEANHOG -3.9 -4.4 -3.3 -6.0 -6 LIVECOW 6.9 6.6 7.3 NaN 0 LUMBER-new -2.2 -2.5 -1.8 NaN 0 MILK -3.9 -4.1 -3.7 NaN 0 MXP 93.7 89.0 98.4 NaN 0 NASDAQ_micro 0.1 -0.3 0.5 20.0 20 NIKKEI 57.0 54.2 59.9 29.0 29 NZD -0.5 -0.8 -0.2 NaN 0 OAT 1.9 1.7 2.1 NaN 0 OATIES 0.2 -0.2 0.5 NaN 0 OJ 2.2 2.1 2.3 NaN 0 PALLAD -0.6 -0.7 -0.6 NaN 0 PLAT -1.8 -2.0 -1.5 NaN 0 REDWHEAT 0.0 -0.1 0.1 NaN 0 RICE 3.2 2.9 3.4 NaN 0 ROBUSTA 1.4 1.3 1.5 2.0 2 RUSSELL -0.1 -1.6 1.3 NaN 0 SHATZ -1.6 -2.0 -1.3 NaN 0 SILVER-mini -1.7 -2.0 -1.5 NaN 0 SMI 0.2 -0.0 0.4 NaN 0 SOFR -6.2 -7.6 -4.7 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.6 0.5 0.6 NaN 0 SOYOIL 0.4 0.3 0.5 NaN 0 SP400 0.1 0.0 0.1 2.0 2 SP500_micro 2.3 1.5 3.1 NaN 0 SUGAR11 0.9 0.7 1.1 3.0 3 US10 -1.4 -1.5 -1.3 NaN 0 US10U -0.4 -0.5 -0.3 -13.0 -13 US2 -4.2 -4.4 -4.0 NaN 0 US20 -0.3 -0.3 -0.2 NaN 0 US30 -0.1 -0.2 -0.1 NaN 0 US5 -2.7 -2.8 -2.5 -9.0 -9 VIX -28.8 -30.2 -27.3 -17.0 -17 WHEAT -0.7 -0.7 -0.6 NaN 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BITCOIN 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BOBL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BTP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BUND 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BUXL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CAC 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CANOLA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CHF 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COCOA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COFFEE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COPPER 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CORN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COTTON2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CRUDE_W 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 DAX 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 DOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EUR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EURIBOR-ICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EUROSTX 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 FEEDCOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GASOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GASOLINE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GAS_US_mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GBP 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GOLD_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 HEATOIL 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 JGB-SGX-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 JPY 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LEANHOG 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LIVECOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LUMBER-new 2.7 2.7 2.6 0.9 1.4 2.3 0.9 3.0 0.9 1.4 2.0 0.9 1.1 0.9 0.9 6.4 6.4 6.4 6.4 0.9 0.9 1.4 2.3 0.9 0.0 0.9 1.3 2.2 0.9 3.0 0.9 17.1 3.6 2.7 2.6 2.5 1.4 1.4 1.4 1.4 MILK 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 MXP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NASDAQ_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NIKKEI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NZD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OAT 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OATIES 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OJ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PALLAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PLAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 REDWHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 ROBUSTA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RUSSELL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SHATZ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SILVER-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SMI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOFR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYBEAN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYMEAL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP400 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP500_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SUGAR11 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10U 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US20 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US30 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US5 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 VIX 3.8 3.8 3.8 1.3 1.9 3.2 1.3 4.2 1.3 1.9 3.2 1.3 4.2 1.3 1.3 9.0 9.0 9.0 9.0 1.3 1.3 1.9 3.2 1.3 0.0 1.3 1.9 3.2 1.3 4.2 1.3 0.0 0.0 0.0 0.0 0.0 2.0 2.0 0.0 0.0 WHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.3 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.7 -0.1 -0.0 -0.3 -0.1 -0.3 0.2 0.2 BITCOIN 0.3 -0.1 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 0.2 0.3 0.1 -0.2 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.1 0.3 0.1 0.2 -1.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.7 0.5 0.1 -0.1 0.0 0.3 0.1 0.3 BOBL -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -1.2 0.1 -0.5 -0.2 -0.0 -0.0 -0.0 -0.2 -0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.1 -0.0 0.1 -0.3 -0.3 -0.2 -0.2 BTP 0.2 0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.0 -0.1 0.1 0.1 0.4 0.6 0.4 0.5 0.1 0.0 0.0 -0.0 0.1 -0.3 0.0 -0.0 0.1 0.0 0.0 0.0 2.7 0.2 0.5 0.5 0.3 -0.3 -0.3 -0.0 0.0 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 -0.2 -0.0 -0.0 0.4 0.6 0.4 0.5 -0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.0 -0.0 -0.0 0.0 -0.1 0.0 2.6 0.2 0.1 0.1 0.1 -0.3 -0.3 -0.1 -0.1 BUXL 0.3 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.1 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.7 0.5 0.3 0.2 0.0 -0.3 -0.3 0.1 0.1 CAC -0.0 -0.5 0.2 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.0 0.5 -0.0 0.1 -0.3 0.2 0.0 0.1 0.0 0.1 0.1 0.4 -0.0 -0.3 0.0 0.1 0.1 0.1 0.3 0.0 1.9 0.7 0.3 -0.2 -0.2 0.2 -0.1 0.2 -0.0 CAD 0.4 0.3 0.4 0.0 -0.1 0.1 0.0 0.0 0.0 -0.2 0.2 0.1 -0.3 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.1 0.2 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 0.4 0.4 0.5 0.1 -0.3 -0.3 -0.3 -0.1 CANOLA 0.5 0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.2 0.1 -0.0 0.9 1.1 1.2 1.2 -0.0 -0.1 0.1 -0.2 0.1 -1.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 3.2 0.4 0.4 0.2 -0.4 -0.2 0.3 0.0 0.3 CHF 0.2 -0.3 0.2 0.0 -0.0 0.1 0.0 0.0 0.0 -0.2 0.2 0.0 0.3 -0.0 0.0 -0.8 -0.7 -0.8 -0.8 0.0 0.0 -0.0 0.1 0.0 -0.4 0.0 -0.1 0.1 0.0 0.1 0.0 -2.9 0.0 -0.2 -0.3 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.2 0.1 0.4 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.1 0.4 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.0 -0.0 0.2 0.2 0.2 0.4 0.2 -0.4 0.1 0.1 0.2 0.1 0.2 0.1 -1.9 0.7 0.5 0.5 0.5 -0.2 -0.3 0.1 -0.2 COFFEE -0.4 -0.3 0.2 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.3 0.3 -0.1 -0.0 -0.2 -0.1 -0.2 -1.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.5 -0.7 -0.5 -0.0 0.5 -0.3 -0.3 -0.1 -0.3 COPPER 0.3 -0.1 -0.3 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.4 -0.7 0.0 -0.2 -0.5 -0.1 -0.3 -0.0 -0.2 CORN 0.5 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.0 -0.2 0.6 0.0 0.3 0.0 -0.0 -0.1 -0.0 0.0 -0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.5 -0.1 0.3 0.4 0.0 -0.1 0.3 -0.1 0.3 COTTON2 -0.2 0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.3 -0.0 0.0 0.5 0.4 0.3 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.5 -0.5 0.1 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.2 0.5 0.3 0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.0 0.0 0.0 0.0 -1.7 0.5 0.1 0.1 0.2 0.1 0.2 0.1 0.0 DAX -0.1 -0.2 0.3 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.1 0.5 -0.0 0.1 -0.5 -0.4 -0.5 -0.4 0.0 0.1 -0.1 0.4 -0.0 0.9 0.0 -0.0 0.2 -0.0 0.2 -0.0 -0.6 -0.2 -0.2 -0.1 -0.1 0.2 -0.0 0.3 0.0 DOW 0.2 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.0 0.1 0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.0 0.0 0.1 0.0 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 -0.6 0.5 0.5 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 EUR 0.4 -0.3 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.1 0.1 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 0.0 0.0 0.0 0.7 0.0 -0.0 0.0 0.0 0.0 0.0 -1.2 0.2 -0.0 -0.3 -0.1 -0.1 -0.2 0.1 0.2 EURIBOR-ICE -0.3 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.0 -0.7 -0.4 -0.6 -0.5 -0.0 -0.0 -0.1 -0.2 -0.1 0.8 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -2.0 -0.1 -0.1 -0.1 -0.0 -0.3 -0.3 0.3 0.0 EUROSTX -0.0 -0.3 0.2 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.4 0.0 0.5 0.0 0.1 -0.3 0.1 -0.2 -0.1 0.1 0.1 0.0 0.4 0.0 0.3 0.0 0.1 0.2 0.0 0.3 0.0 1.3 0.6 0.0 -0.0 -0.1 0.2 -0.0 0.3 0.0 FEEDCOW -0.5 -0.0 0.4 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.3 0.1 0.4 0.1 0.1 -1.2 -1.2 -1.2 -1.2 0.2 0.2 0.2 0.4 0.1 0.5 0.0 0.1 0.2 0.0 0.2 0.0 -3.2 0.7 -0.4 0.5 0.5 -0.1 -0.3 0.1 -0.3 GASOIL 0.3 0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.1 0.0 -0.0 0.3 0.9 0.4 0.6 -0.0 -0.1 0.0 -0.1 0.0 0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.4 0.3 0.1 -0.0 -0.0 0.1 -0.1 -0.1 GASOLINE 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.1 0.1 -0.0 1.2 1.1 1.2 1.2 0.0 0.0 -0.0 0.1 0.0 -1.1 0.0 0.0 0.1 0.0 0.2 0.0 1.5 0.7 0.5 0.5 0.5 0.1 0.1 0.1 -0.1 GAS_US_mini 0.5 0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.1 -0.4 0.1 -0.1 -0.3 -0.8 -1.0 -1.0 -0.0 -0.2 0.1 -0.4 0.1 0.8 0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.7 0.5 0.3 0.1 0.1 0.3 0.0 0.0 GBP 0.3 0.0 0.3 0.0 -0.1 0.1 0.0 0.0 0.0 -0.2 0.3 0.0 0.2 0.1 0.1 0.0 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.3 -0.2 -0.0 0.1 0.3 0.0 0.1 0.2 0.3 GOLD_micro -0.4 -0.5 0.1 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 0.1 -0.1 0.2 -0.2 -0.0 -0.9 -0.6 -0.8 -0.7 -0.1 0.0 -0.2 0.2 -0.2 -0.6 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -2.4 -0.6 -0.5 -0.5 0.0 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.3 0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 0.0 -0.1 0.0 -0.1 0.2 1.1 0.3 0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.9 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.7 0.5 0.4 0.0 -0.1 0.1 -0.2 0.1 JGB-SGX-mini 0.1 0.2 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.0 0.2 0.1 0.1 0.4 1.2 0.7 1.0 0.1 0.1 0.1 0.2 0.1 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 3.2 0.4 0.5 0.5 0.5 -0.3 -0.1 0.1 0.1 JPY -0.3 -0.5 -0.5 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -1.0 -0.7 -0.9 -0.9 -0.2 -0.1 -0.2 -0.3 -0.2 1.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -3.0 -0.7 -0.5 -0.5 -0.5 -0.3 -0.3 -0.3 -0.3 LEANHOG 0.5 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.1 -0.2 0.1 -0.0 1.2 -1.1 0.8 -0.8 -0.0 -0.1 0.1 -0.3 0.1 0.5 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -3.2 -0.2 0.1 -0.3 -0.5 -0.1 0.1 0.2 0.2 LIVECOW -0.0 0.4 0.4 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.1 1.2 0.9 1.2 1.2 0.2 0.2 0.2 0.4 0.2 0.6 0.1 0.1 0.1 0.0 0.1 0.1 3.2 0.7 0.5 0.5 0.5 -0.3 -0.3 -0.3 -0.3 LUMBER-new 0.5 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.0 -0.4 0.2 -0.2 0.2 -0.0 -0.6 -0.8 -0.8 -0.9 0.0 -0.1 0.2 -0.3 0.2 NaN 0.0 -0.1 -0.0 0.0 -0.1 0.1 -3.4 0.2 0.2 0.5 0.4 -0.3 -0.3 -0.3 -0.3 MILK -0.4 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -1.2 -1.2 -1.2 -1.2 -0.2 -0.2 -0.2 -0.4 -0.2 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -3.2 -0.7 -0.5 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP 0.3 0.3 0.5 0.0 -0.1 0.1 0.0 0.0 0.0 0.2 0.4 0.2 0.6 0.2 0.2 1.1 1.0 1.1 1.0 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.0 0.2 0.0 0.3 0.1 3.2 0.6 0.4 0.5 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro 0.1 0.5 0.5 0.0 0.0 0.1 -0.0 0.1 0.0 -0.0 0.3 0.0 0.1 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.1 0.3 0.2 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 0.2 0.4 0.5 0.5 -0.1 -0.1 -0.2 -0.1 NIKKEI 0.1 0.5 0.5 0.0 0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 0.1 0.5 0.1 0.1 0.9 0.6 0.7 0.7 0.2 0.2 0.1 0.4 0.2 -0.2 0.1 0.0 0.1 0.0 0.1 0.0 3.2 0.4 0.5 0.5 0.5 0.1 0.1 0.1 0.1 NZD 0.2 -0.1 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.8 -0.4 -0.2 -0.2 -0.2 -0.0 -0.2 0.1 0.1 OAT 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 0.4 0.6 0.5 0.6 -0.0 -0.0 0.0 -0.1 0.0 0.4 0.0 -0.0 -0.0 0.0 -0.1 0.0 2.9 0.3 0.2 0.1 0.1 -0.3 -0.3 0.0 -0.0 OATIES 0.5 0.5 0.4 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 0.1 -0.4 0.1 0.1 -0.6 0.2 -0.5 -0.2 0.2 0.1 0.2 -0.1 0.2 -1.1 0.0 -0.0 0.0 0.0 -0.0 0.1 -1.9 0.3 0.5 0.5 0.5 0.1 0.3 0.3 0.3 OJ -0.2 -0.1 0.2 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.3 -0.0 0.4 0.0 0.1 0.8 1.0 1.1 1.1 0.1 0.2 0.0 0.4 0.0 -1.1 0.0 -0.0 0.2 0.0 0.3 0.0 3.2 -0.1 -0.5 0.4 0.5 0.2 0.1 0.3 0.2 PALLAD -0.3 -0.4 0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.2 -0.3 -0.1 -0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.7 -0.4 -0.2 -0.2 -0.2 0.0 -0.0 0.0 PLAT -0.5 -0.5 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 0.6 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.7 -0.5 -0.4 -0.1 -0.1 -0.2 0.0 -0.1 REDWHEAT 0.2 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.3 0.0 0.0 0.1 0.3 0.2 0.3 0.0 -0.0 -0.0 -0.1 0.0 -0.6 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.4 0.3 0.0 0.5 0.3 -0.2 -0.2 -0.1 -0.1 RICE 0.3 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.1 0.0 -0.1 0.1 0.1 1.2 1.2 1.2 1.2 0.0 -0.0 -0.1 -0.1 0.0 -1.1 0.0 -0.2 -0.0 -0.0 -0.0 0.0 3.2 -0.6 0.1 0.3 0.5 -0.2 -0.3 -0.1 -0.3 ROBUSTA -0.2 0.1 0.5 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.3 -0.0 0.4 0.1 0.1 1.2 0.7 1.0 0.8 0.2 0.2 -0.1 0.4 0.1 -0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 1.5 -0.7 0.1 0.5 0.5 -0.2 -0.3 -0.0 -0.3 RUSSELL 0.2 0.4 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 -0.1 0.0 -0.2 0.1 0.0 -0.4 -0.3 -0.3 -0.3 0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.4 0.4 0.3 -0.3 -0.1 -0.1 -0.2 -0.1 SHATZ -0.4 -0.4 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 0.3 0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.6 -0.2 -0.3 -0.2 0.0 -0.3 -0.3 -0.3 -0.2 SILVER-mini -0.2 -0.5 0.1 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.4 -0.3 -0.4 -0.3 -0.1 0.0 -0.2 0.1 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.7 -0.2 -0.1 -0.4 0.1 -0.2 -0.3 -0.1 -0.3 SMI -0.4 -0.3 0.3 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 0.1 -0.1 0.1 -0.2 0.2 -0.1 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.8 0.2 -0.3 -0.4 -0.1 -0.1 -0.2 -0.1 -0.3 SOFR -0.2 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 -0.1 -0.2 0.1 -0.3 -0.3 -0.1 0.0 SOYBEAN 0.5 0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.0 -0.1 0.0 0.0 0.5 1.2 0.9 1.2 0.0 -0.0 0.0 -0.1 0.0 -1.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 3.2 0.2 0.5 0.3 -0.1 -0.1 0.3 0.0 0.3 SOYMEAL 0.5 -0.2 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.0 1.2 1.2 1.2 1.2 -0.0 -0.0 -0.0 0.0 -0.0 -1.0 0.0 -0.0 -0.0 0.0 0.0 0.0 3.2 0.7 0.3 0.2 -0.1 -0.1 -0.3 0.0 -0.3 SOYOIL 0.5 0.5 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.6 0.6 0.4 0.4 0.0 -0.0 0.1 -0.1 0.1 -1.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.4 0.0 0.5 0.4 0.0 0.1 0.1 0.3 0.3 SP400 0.4 0.3 -0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.0 0.1 -0.4 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.7 0.5 0.2 -0.4 -0.1 -0.1 -0.2 -0.1 SP500_micro 0.4 0.5 0.5 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.4 0.1 0.0 0.1 0.1 -0.7 -0.4 -0.6 -0.5 0.2 0.2 0.1 0.2 0.2 -0.8 0.1 0.0 0.1 0.0 0.1 0.1 -0.8 0.7 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.5 -0.5 0.3 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.2 -0.1 0.3 -0.1 0.1 0.1 1.1 0.4 0.8 0.0 0.1 -0.2 0.4 -0.1 -1.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 2.7 -0.7 -0.5 -0.1 0.5 -0.3 -0.3 0.1 -0.1 US10 -0.2 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.5 -0.4 -0.5 -0.5 -0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.8 -0.3 -0.1 -0.2 -0.0 -0.3 -0.3 0.1 0.0 US10U -0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.2 -0.0 -0.3 -0.3 0.2 0.2 US2 -0.5 -0.5 -0.4 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-0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.3 0.0 0.0 -0.6 -0.5 -0.6 -0.6 0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.0 -0.0 -0.0 0.0 -0.0 0.0 -3.2 0.3 0.3 0.4 0.0 -0.2 -0.2 -0.1 -0.1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 11.4 2.6 -0.5 2.8 -3.2 2.4 0.7 0.8 2.9 -11.4 -3.3 -6.1 -5.6 0.3 -0.1 -2.2 -2.6 -2.7 -2.8 -0.3 -2.4 -11.2 -4.8 -2.2 1.7 0.4 -8.0 -0.5 -5.3 -1.7 -0.8 -0.5 -20.0 -4.1 -1.6 -11.4 -6.4 -20.0 15.1 15.7 BITCOIN 11.5 -4.1 9.5 1.7 -7.7 2.9 -1.9 2.6 0.9 15.8 15.2 17.5 -7.8 12.1 13.1 -4.9 -2.6 -4.2 -3.4 10.3 9.8 20.0 3.1 18.4 -20.0 3.8 7.8 3.0 11.1 2.0 8.1 -0.2 20.0 19.2 6.0 -2.2 1.7 20.0 3.8 20.0 BOBL -8.9 -7.1 -3.0 -1.6 -2.3 -1.3 -1.4 -2.4 -1.7 -0.7 -2.1 -3.7 -6.0 -5.0 -1.5 -20.0 1.0 -8.9 -3.3 -3.5 -3.7 -2.5 -7.2 -3.9 9.3 -1.5 -1.4 -1.1 -1.3 -2.8 -1.9 0.3 2.0 -2.2 -1.1 2.7 -20.0 -20.0 -16.1 -14.6 BTP 7.0 6.9 10.6 -2.5 -3.6 -2.1 -2.3 -3.8 -2.7 -3.8 9.1 5.7 -3.8 9.4 9.7 6.2 9.4 7.5 8.4 6.9 4.5 3.3 -2.3 6.9 -6.6 3.8 -2.2 3.2 1.7 0.1 3.5 16.8 6.7 20.0 19.1 10.3 -20.0 -20.0 -2.2 2.6 BUND -0.4 -0.5 0.3 -1.7 -2.4 -1.4 -1.5 -2.5 -1.8 1.6 -2.6 0.6 -6.5 -1.6 -0.5 6.5 9.7 7.0 7.9 -1.1 -2.8 1.2 -7.4 -0.0 5.1 -0.3 -0.3 -0.5 0.8 -2.8 0.1 16.5 7.2 4.5 3.1 3.0 -20.0 -20.0 -7.0 -4.6 BUXL 11.2 4.4 -4.1 -2.0 -2.8 -1.7 -1.8 -3.0 -2.1 5.2 -6.7 6.9 -8.7 4.5 -2.7 2.0 1.2 2.0 2.1 0.2 -4.5 6.7 -11.1 4.6 -0.3 0.9 1.8 -0.9 4.2 -3.8 3.1 4.2 15.6 13.6 6.7 2.0 -20.0 -20.0 10.4 9.1 CAC -0.3 -18.1 8.1 4.0 1.5 6.1 -2.2 5.2 0.2 5.5 17.8 2.9 19.7 -2.5 10.0 -4.4 2.5 0.7 2.0 2.4 15.1 4.6 20.0 -0.9 -5.6 3.2 12.0 6.6 7.5 9.4 4.1 12.1 20.0 13.3 -6.0 -8.4 12.7 -4.3 16.7 -3.4 CAD 17.2 11.9 14.2 4.4 -5.0 3.7 1.0 1.3 4.5 -13.2 10.6 12.1 -10.5 17.8 18.2 -2.2 -1.9 -2.4 -2.3 17.2 7.6 7.8 -4.4 19.1 -1.5 6.5 -3.3 3.4 2.7 -0.6 6.8 0.5 11.5 14.3 20.0 4.1 -20.0 -20.0 -20.0 -8.3 CANOLA 20.0 10.4 -9.1 -1.1 -2.7 -2.1 -0.3 -1.8 0.3 -1.1 -5.6 6.9 -8.1 6.5 -1.7 15.7 18.4 20.0 20.0 -0.2 -7.9 7.1 -9.1 7.7 -20.0 -0.5 0.1 -2.9 1.8 -3.2 1.9 20.0 11.9 16.1 6.3 -15.2 -11.8 20.0 2.5 20.0 CHF 6.4 -11.9 6.6 3.4 -3.8 2.9 0.8 1.0 3.5 -12.9 10.3 5.0 10.7 -3.9 4.3 -13.8 -12.6 -13.9 -13.4 1.8 5.6 -0.1 6.3 1.4 -7.7 1.6 -4.5 3.7 0.1 3.2 1.2 -18.1 0.5 -9.6 -13.6 3.1 -14.8 -20.0 -12.6 -20.0 COCOA 8.3 2.8 15.7 -2.9 -7.0 -5.4 -0.8 -4.8 0.7 7.7 20.0 19.0 20.0 20.0 20.0 -1.3 -0.9 -0.4 -0.2 20.0 20.0 20.0 20.0 20.0 -8.0 9.3 4.6 8.4 7.3 6.5 9.1 -11.9 20.0 20.0 20.0 20.0 -17.6 -20.0 10.8 -13.6 COFFEE -16.2 -11.2 8.1 -2.1 -5.0 -3.9 -0.6 -3.4 0.5 -14.9 2.0 -16.2 -4.8 -15.3 -10.0 3.8 4.2 5.0 4.8 -10.7 -3.5 -20.0 -3.8 -20.0 -20.0 -1.6 -8.7 0.9 -9.2 0.1 -6.2 -3.4 -20.0 -20.0 -0.7 18.4 -20.0 -20.0 -5.8 -20.0 COPPER 12.0 -5.9 -12.3 1.2 -5.6 2.1 -1.3 1.9 0.6 -14.1 -2.7 -7.5 -4.5 1.5 -5.0 -2.4 -1.2 -2.2 -1.7 -5.9 -5.9 -13.6 -3.6 -4.7 -3.5 -2.8 -9.2 -3.0 -5.2 -1.8 -2.2 2.3 -20.0 1.5 -9.5 -20.0 -5.9 -20.0 -1.9 -18.8 CORN 20.0 20.0 -1.3 -1.1 -2.5 -2.0 -0.3 -1.7 0.3 -7.4 -2.4 -3.7 -4.4 1.3 0.7 -3.4 9.9 0.6 5.8 2.5 -0.8 -6.5 -1.5 2.5 -8.6 1.2 -3.1 -0.7 -0.1 -1.2 2.0 3.2 -2.5 12.3 17.0 1.7 -7.0 19.6 -3.9 20.0 COTTON2 -8.3 7.1 6.0 -1.5 -3.6 -2.8 -0.4 -2.4 0.4 -1.3 0.3 -5.3 -9.3 -2.3 2.2 8.3 6.3 5.6 3.8 -1.3 -2.1 -8.3 -5.2 -5.4 -19.0 -1.4 -0.8 -0.7 -5.0 -0.6 -3.9 -3.1 -15.0 -20.0 5.6 7.7 -20.0 -16.4 4.4 6.1 CRUDE_W 1.2 -2.1 -4.8 -2.6 -3.0 -3.8 -3.2 -1.8 -2.0 -3.1 -6.3 0.9 -8.0 -2.7 -6.9 3.6 8.4 5.5 6.6 -5.0 -5.7 -1.5 -2.8 -2.9 -3.9 0.1 1.2 -1.2 0.9 0.7 1.3 -10.7 13.6 5.8 3.0 7.7 7.5 12.8 8.6 1.0 DAX -3.9 -9.8 10.7 3.6 1.4 5.5 -2.0 4.6 0.2 -10.5 17.5 -9.2 17.2 -3.3 11.7 -8.4 -6.1 -8.1 -7.5 5.0 15.6 -9.2 19.0 -4.1 17.5 2.5 -2.2 7.5 -5.4 8.5 -2.6 -3.5 -7.5 -7.4 -2.4 -3.7 11.7 -2.7 20.0 0.6 DOW 9.2 3.2 5.0 2.9 1.1 4.5 -1.6 3.7 0.2 -1.5 5.0 2.5 5.4 6.8 9.6 -9.1 -6.0 -8.5 -7.6 5.3 3.8 2.0 2.5 4.8 -8.0 4.2 3.3 3.0 3.2 2.3 4.6 -3.5 15.5 19.8 2.9 -1.3 -4.8 -2.5 -17.2 -0.3 EUR 15.3 -10.6 3.5 3.4 -3.8 2.9 0.8 1.0 3.5 -11.8 10.4 7.2 4.3 0.6 1.4 -6.6 -6.8 -6.7 -6.7 1.8 3.3 2.8 1.9 4.6 13.6 1.5 -3.3 2.0 1.8 0.9 2.9 -7.5 4.7 -1.3 -12.8 -3.2 -8.1 -18.3 4.3 18.0 EURIBOR-ICE -13.1 -10.1 4.8 -1.6 -2.3 -1.3 -1.4 -2.4 -1.7 -4.3 -2.8 -5.4 -6.2 -6.0 -3.1 -11.7 -6.9 -9.6 -8.7 -4.9 -4.4 -5.2 -7.9 -6.1 16.1 -1.8 -2.1 -1.3 -2.0 -2.8 -2.4 -12.4 -1.8 -5.3 -3.9 -0.1 -20.0 -20.0 20.0 1.6 EUROSTX -0.4 -10.3 9.9 3.7 1.4 5.7 -2.0 4.8 0.2 3.9 19.3 2.4 19.5 4.0 15.0 -4.9 0.9 -3.6 -1.3 7.0 16.5 3.4 20.0 2.3 5.1 3.9 7.8 8.2 2.2 10.3 1.4 8.2 17.2 0.7 -0.1 -3.5 13.6 -1.0 19.9 3.3 FEEDCOW -20.0 -0.7 14.8 -2.4 -5.7 -4.4 -0.7 -3.9 0.6 17.0 16.6 7.4 16.0 9.5 13.4 -20.0 -20.0 -20.0 -20.0 18.9 20.0 18.5 20.0 11.5 9.2 5.8 9.4 8.6 5.2 8.1 3.3 -20.0 20.0 -17.2 20.0 20.0 -4.6 -20.0 10.9 -20.0 GASOIL 13.2 9.0 -15.4 -2.5 -2.9 -3.7 -3.1 -1.8 -1.9 -10.9 -9.6 1.6 -3.4 6.0 -3.9 4.5 15.8 6.0 10.6 -2.7 -9.1 0.6 -4.2 2.5 8.8 -0.9 -1.0 -4.0 0.5 -3.0 1.4 0.0 10.9 12.9 5.8 -1.3 -3.2 5.0 -4.9 -4.9 GASOLINE 2.1 3.7 -2.6 -3.5 -4.1 -5.2 -4.3 -2.5 -2.6 -8.4 4.6 -2.4 -4.8 7.3 -0.1 20.0 18.5 20.0 20.0 0.8 0.4 -1.4 5.0 0.6 -20.0 4.7 2.2 3.2 3.3 5.4 5.4 9.7 20.0 20.0 20.0 20.0 6.2 11.4 9.2 -6.3 GAS_US_mini 19.7 20.0 -5.5 -2.6 -3.0 -3.8 -3.2 -1.8 -2.0 -1.0 -14.7 8.2 -14.7 6.6 -6.8 -5.5 -14.2 -16.9 -17.4 -3.3 -20.0 6.7 -20.0 6.6 15.0 2.0 0.1 -2.4 4.7 -3.4 5.5 -20.0 20.0 20.0 13.0 5.5 4.0 20.0 2.4 2.8 GBP 11.0 0.7 13.0 3.7 -4.2 3.2 0.9 1.1 3.8 -15.2 16.7 4.2 5.8 9.2 14.7 0.0 -1.3 -0.9 -1.2 11.9 11.9 -1.0 5.5 9.1 -0.7 5.3 -6.5 4.5 -0.5 0.7 4.1 1.9 -6.1 -1.6 5.4 10.2 3.6 9.0 12.6 20.0 GOLD_micro -15.6 -20.0 4.3 1.4 -6.4 2.4 -1.5 2.2 0.7 -16.2 6.4 -17.4 6.4 -18.0 -4.2 -14.4 -11.0 -13.4 -12.4 -13.6 1.4 -20.0 8.8 -20.0 -11.2 -3.9 -4.3 0.7 -4.9 3.2 -5.8 -15.4 -17.1 -20.0 -20.0 1.8 -19.3 -19.1 -7.3 -20.0 HEATOIL 12.4 6.3 -15.8 -2.9 -3.3 -4.2 -3.5 -2.0 -2.2 -8.7 -12.1 1.5 -4.8 4.1 -6.7 2.9 17.9 4.8 10.7 -5.1 -11.2 0.2 -5.2 0.8 -17.1 1.2 1.0 -2.3 3.2 -0.2 4.3 2.0 20.0 20.0 14.1 1.6 -8.8 4.6 -12.3 4.6 JGB-SGX-mini 5.9 8.5 20.0 -2.3 -3.2 -1.9 -2.1 -3.4 -2.4 -2.8 10.3 5.3 8.2 8.0 10.4 6.8 20.0 12.1 17.3 12.1 13.3 5.5 9.2 9.5 2.2 4.0 -1.2 3.7 2.1 1.5 3.5 20.0 13.4 20.0 19.2 20.0 -19.4 -5.1 10.5 10.1 JPY -12.2 -20.0 -19.7 2.5 -2.8 2.1 0.6 0.7 2.6 -11.4 -8.3 -12.5 -8.7 -13.0 -13.0 -16.7 -12.6 -15.7 -14.4 -20.0 -16.7 -20.0 -14.5 -20.0 20.0 -4.4 -4.1 -3.1 -4.9 -2.7 -5.0 -19.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 20.0 12.7 -16.8 -1.4 -3.2 -2.5 -0.4 -2.2 0.3 -9.5 -6.9 7.0 -8.5 7.5 -2.4 20.0 -18.0 14.1 -13.6 -2.3 -12.2 4.5 -13.4 6.4 8.7 -3.1 -0.7 -5.2 0.0 -4.9 -0.6 -20.0 -5.5 4.8 -11.5 -20.0 -6.0 4.0 15.8 18.7 LIVECOW -0.2 14.7 14.3 -2.7 -6.4 -4.9 -0.7 -4.3 0.6 18.5 18.6 7.1 18.3 14.0 16.8 20.0 14.4 20.0 20.0 20.0 20.0 19.1 19.9 20.0 11.5 7.6 5.9 6.7 5.3 5.4 6.6 20.0 20.0 20.0 20.0 20.0 -20.0 -20.0 -19.6 -20.0 LUMBER-new 20.0 6.4 -3.5 -3.2 -7.7 -5.5 -0.9 -4.2 0.8 0.4 -20.0 17.1 -20.0 16.9 -2.7 -9.2 -12.9 -13.2 -13.3 5.5 -7.8 13.1 -11.3 17.7 NaN 3.3 -7.5 -1.8 3.5 -3.0 7.6 -20.0 6.3 6.7 20.0 15.1 -20.0 -20.0 -20.0 -20.0 MILK -14.4 -14.6 -17.3 -1.6 -3.8 -3.0 -0.4 -2.6 0.4 -11.8 -13.9 -12.9 -13.6 -13.4 -13.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -9.0 -4.9 -5.4 -4.1 -5.5 -3.1 -5.4 -20.0 -20.0 -20.0 -20.0 -18.2 -20.0 -20.0 -18.0 -20.0 MXP 11.3 11.1 20.0 4.7 -5.3 4.0 1.1 1.4 4.8 18.5 20.0 20.0 20.0 20.0 20.0 18.4 17.5 18.2 17.7 20.0 20.0 18.6 20.0 20.0 -20.0 8.9 2.7 9.4 4.7 9.3 7.3 20.0 17.6 16.3 20.0 18.7 20.0 4.5 20.0 20.0 NASDAQ_micro 3.0 20.0 20.0 2.4 0.9 3.7 -1.3 3.1 0.1 -0.3 13.3 5.3 3.4 11.0 13.0 -10.1 -6.8 -9.6 -8.4 20.0 20.0 6.1 13.0 18.2 -20.0 5.0 0.3 4.7 1.3 3.0 3.5 -4.8 5.6 15.2 20.0 20.0 -7.4 -8.5 -11.6 -9.4 NIKKEI 3.6 20.0 20.0 3.3 1.3 5.0 -1.8 4.2 0.2 -1.7 18.0 8.6 16.2 14.6 17.5 14.7 11.0 11.9 11.3 20.0 20.0 9.2 20.0 20.0 -3.3 6.5 0.8 5.8 1.5 3.5 4.4 20.0 10.9 20.0 20.0 20.0 10.5 4.1 7.0 10.6 NZD 7.6 -5.6 -2.4 2.4 -2.7 2.0 0.6 0.7 2.4 -10.3 -1.0 -2.9 -1.6 -4.4 -4.4 0.1 0.5 0.5 0.5 -2.8 -2.6 -6.5 -3.0 -2.8 0.0 -1.3 -7.9 -0.9 -4.2 -1.3 -1.7 5.0 -11.9 -9.8 -6.6 -9.5 -2.7 -15.4 10.4 9.3 OAT 2.0 2.3 2.7 -1.9 -2.7 -1.6 -1.7 -2.8 -2.0 1.5 -3.0 2.5 -7.0 1.8 1.3 6.8 10.0 8.6 9.3 -0.0 -2.2 2.0 -7.2 1.2 7.0 0.5 -0.4 -0.1 1.4 -3.1 0.9 18.1 8.1 7.4 5.8 3.7 -20.0 -20.0 1.4 -1.3 OATIES 20.0 20.0 15.6 -2.1 -5.1 -3.9 -0.6 -3.5 0.5 -11.2 4.1 12.5 -13.4 15.4 12.8 -10.7 2.7 -7.7 -3.9 20.0 8.2 17.9 -3.4 20.0 -20.0 4.7 -1.0 1.2 3.8 -0.6 6.4 -12.3 8.8 20.0 20.0 20.0 9.5 20.0 20.0 20.0 OJ -9.3 -4.0 6.5 -1.9 -4.6 -3.6 -0.5 -3.1 0.5 -2.4 12.4 -1.1 14.6 3.9 8.5 14.2 17.4 18.0 18.9 10.9 20.0 0.5 20.0 3.5 -20.0 4.7 -0.0 8.7 0.2 12.0 1.7 20.0 -2.5 -20.0 15.4 20.0 13.0 8.5 20.0 18.0 PALLAD -13.1 -14.1 2.8 0.8 -3.5 1.3 -0.8 1.2 0.4 -8.7 -9.5 -8.8 -9.7 -9.2 -8.5 -3.0 -2.4 -3.0 -2.8 -12.7 -13.1 -14.8 -15.4 -14.3 -5.6 -2.8 -4.7 -2.3 -4.2 -2.6 -3.8 0.2 -20.0 -14.9 -9.1 -7.6 -15.7 2.1 -1.1 3.4 PLAT -20.0 -20.0 0.0 0.9 -4.1 1.5 -1.0 1.4 0.5 -10.3 -3.1 -11.3 2.0 -11.7 -7.7 -2.2 -1.6 -2.1 -1.9 -13.6 -4.2 -20.0 0.7 -20.0 10.7 -3.0 -4.1 -0.7 -4.6 0.3 -4.8 1.7 -20.0 -20.0 -17.4 -5.2 -5.2 -14.5 2.5 -8.8 REDWHEAT 8.9 2.7 6.3 -1.5 -3.5 -2.7 -0.4 -2.4 0.4 -8.9 -2.7 0.2 -9.4 1.2 2.9 1.0 4.4 4.1 5.2 1.1 -1.6 -3.0 -3.0 2.3 -11.5 1.7 -5.9 -0.0 -0.4 -0.3 2.4 -2.5 8.0 0.4 19.8 12.0 -18.7 -13.4 -4.2 -7.6 RICE 12.9 6.1 -3.1 -2.3 -5.4 -4.2 -0.6 -3.7 0.5 -13.2 -5.1 0.7 -3.0 11.5 9.3 20.0 20.0 20.0 20.0 2.8 -2.7 -5.9 -2.8 4.1 -20.0 2.4 -14.8 -0.4 -5.1 -1.4 1.3 20.0 -19.3 2.3 12.6 20.0 -15.3 -20.0 -4.4 -20.0 ROBUSTA -7.7 3.2 20.0 -2.0 -4.9 -3.8 -0.6 -3.3 0.5 -14.0 16.2 -1.5 13.8 9.6 14.9 20.0 11.0 16.9 13.6 20.0 20.0 -10.2 20.0 9.0 -10.1 5.7 -6.7 6.6 -2.5 5.0 2.2 9.6 -20.0 2.7 20.0 20.0 -12.0 -20.0 -0.3 -19.1 RUSSELL 8.5 17.3 0.9 2.3 0.9 3.5 -1.2 3.0 0.1 7.7 -3.7 4.3 -6.6 6.7 2.8 -5.9 -4.5 -5.8 -5.4 5.4 0.8 3.5 -3.4 5.7 -0.6 2.7 3.6 1.0 2.0 -0.0 3.0 -0.4 12.5 16.0 12.4 -12.5 -7.3 -6.4 -16.3 -7.2 SHATZ -17.9 -16.3 -13.4 -1.6 -2.3 -1.3 -1.4 -2.4 -1.7 -2.9 -3.7 -5.9 -6.1 -6.7 -4.2 5.0 2.6 1.0 0.3 -8.1 -7.1 -7.1 -9.8 -9.3 11.0 -2.2 -1.5 -1.7 -2.1 -2.6 -2.7 3.6 -4.6 -10.4 -7.4 0.3 -20.0 -20.0 -20.0 -18.2 SILVER-mini -8.3 -19.8 5.2 1.3 -5.9 2.2 -1.4 2.0 0.7 -8.1 3.3 -9.0 3.6 -12.6 -0.8 -6.3 -5.1 -6.2 -5.8 -9.4 0.0 -13.5 3.9 -15.1 6.7 -1.7 -1.1 0.6 -1.2 1.0 -2.2 -4.6 -6.8 -2.3 -18.0 3.5 -13.0 -20.0 -4.2 -20.0 SMI -14.5 -11.6 13.1 3.3 1.3 5.1 -1.8 4.3 0.2 -11.5 11.8 -14.8 2.9 -14.9 9.6 -3.3 2.9 -2.1 0.4 -0.9 7.6 -10.1 7.2 -9.6 1.4 -0.4 -2.1 1.9 -4.9 0.0 -4.1 11.4 6.9 -13.9 -14.4 -2.1 -6.1 -12.7 -9.2 -19.3 SOFR -7.7 -14.9 6.9 -2.0 -2.8 -1.6 -1.8 -3.0 -2.1 -5.5 2.6 -6.8 -1.4 -8.1 0.0 -1.7 -0.2 -0.5 -0.4 -3.4 -0.4 -5.1 -1.5 -5.3 -1.4 -2.1 -2.9 -0.3 -2.4 -0.3 -2.9 0.7 -8.2 -2.1 -7.6 3.6 -20.0 -20.0 -10.3 0.4 SOYBEAN 20.0 17.2 -8.1 -1.1 -2.6 -2.0 -0.3 -1.7 0.3 -7.1 -3.1 1.4 -4.4 2.8 0.3 9.0 20.0 15.4 20.0 1.8 -2.9 0.7 -3.0 5.8 -18.2 0.9 -1.2 -0.8 1.3 -0.8 2.5 20.0 5.0 20.0 10.4 -4.5 -5.0 20.0 2.6 20.0 SOYMEAL 20.0 -6.8 -20.0 -1.2 -2.7 -2.1 -0.3 -1.9 0.3 -7.5 -1.9 -4.2 2.2 -3.0 -5.9 20.0 20.0 20.0 20.0 -2.4 -2.3 -3.3 1.2 -0.3 -19.9 0.5 -1.1 -0.2 1.7 0.9 2.4 20.0 20.0 12.6 6.6 -2.6 -6.7 -20.0 1.6 -20.0 SOYOIL 20.0 20.0 -6.1 -1.0 -2.3 -1.8 -0.3 -1.6 0.2 -0.7 -4.4 4.8 -4.7 5.1 1.7 9.3 9.5 7.0 6.8 3.5 -2.6 6.1 -3.7 8.2 -20.0 1.4 0.2 -0.5 1.7 -0.8 2.6 2.5 0.6 20.0 16.4 0.7 8.3 9.7 20.0 20.0 SP400 14.2 12.7 -1.3 2.4 0.9 3.7 -1.3 3.1 0.1 10.2 -1.7 10.6 -0.6 10.1 3.8 -4.6 -4.2 -5.0 -4.8 6.4 1.8 8.8 -0.4 9.2 -8.4 2.8 5.3 0.7 4.3 0.3 4.4 0.4 20.0 20.0 9.2 -15.5 -6.3 -8.2 -12.6 -8.3 SP500_micro 14.8 19.9 20.0 3.4 1.3 5.2 -1.8 4.3 0.2 3.1 17.7 9.7 1.2 14.6 17.5 -11.4 -7.1 -10.1 -8.7 20.0 20.0 11.5 10.2 20.0 -16.0 6.8 2.6 5.3 3.8 3.0 6.2 -5.2 20.0 20.0 20.0 20.0 -6.2 -7.5 -9.8 -7.9 SUGAR11 -20.0 -20.0 12.7 -1.8 -4.3 -3.4 -0.5 -3.0 0.4 -13.4 11.5 -12.4 12.6 -8.8 6.8 1.7 17.8 6.4 13.2 2.6 16.7 -20.0 19.6 -15.6 -20.0 1.6 -8.9 5.9 -7.1 7.2 -3.5 17.0 -20.0 -20.0 -2.3 20.0 -20.0 -19.6 6.1 -11.2 US10 -6.3 -17.1 -0.1 -1.7 -2.4 -1.4 -1.5 -2.5 -1.8 -4.7 -1.2 -6.3 -5.3 -7.4 -3.6 -8.8 -6.0 -8.9 -8.3 -5.7 -3.9 -5.0 -5.3 -6.0 0.7 -2.3 -2.4 -1.0 -2.0 -1.1 -2.6 -11.2 -7.7 -4.1 -8.9 -0.1 -20.0 -20.0 9.2 3.0 US10U -2.3 -12.8 1.0 -2.3 -3.2 -1.9 -2.1 -3.4 -2.4 -4.6 -0.8 -6.5 -7.1 -9.0 -4.7 1.6 -0.4 -1.1 -1.5 -5.6 -4.3 -4.3 -7.0 -5.3 -4.1 -3.0 -3.1 -1.4 -2.4 -1.3 -3.3 -0.6 -7.4 -1.9 -9.6 -0.8 -20.0 -20.0 16.4 14.7 US2 -19.9 -20.0 -16.0 -1.6 -2.2 -1.3 -1.4 -2.3 -1.6 -5.9 -4.0 -7.1 -5.7 -7.6 -6.0 -20.0 -16.9 -20.0 -20.0 -12.7 -8.8 -10.4 -8.9 -13.3 6.9 -2.4 -2.1 -1.5 -2.2 -1.7 -2.7 -20.0 -12.4 -11.7 -15.9 -2.3 -20.0 -13.3 -20.0 -8.4 US20 2.3 -10.3 1.7 -1.9 -2.6 -1.5 -1.7 -2.8 -1.9 -3.4 0.6 -2.1 -4.7 -4.7 -3.3 -0.5 -1.2 -1.1 -1.6 -3.3 -3.1 -2.3 -5.5 -2.5 -4.1 -2.3 -3.2 -1.2 -2.0 -1.4 -2.4 -1.4 -5.8 1.6 -5.3 -0.2 -20.0 -20.0 15.5 15.5 US30 5.5 -6.2 0.4 -2.3 -3.2 -1.9 -2.1 -3.4 -2.4 -4.7 -1.8 1.3 -7.2 -3.5 -5.8 -0.0 -0.7 -0.6 -0.8 -3.2 -4.3 -1.7 -8.8 -1.4 -3.9 -2.8 -4.7 -1.6 -2.4 -2.3 -2.6 -0.1 -5.7 5.4 -2.4 -2.4 -20.0 -20.0 20.0 20.0 US5 -9.7 -20.0 -2.8 -1.6 -2.3 -1.3 -1.5 -2.4 -1.7 -5.3 -1.8 -6.6 -5.3 -7.5 -3.8 -13.9 -7.5 -12.2 -10.5 -7.2 -4.6 -6.3 -5.7 -7.8 3.0 -2.3 -2.2 -1.1 -2.1 -1.2 -2.7 -14.3 -8.9 -5.4 -10.6 -0.3 -20.0 -20.0 2.3 -12.0 VIX -20.0 -20.0 -20.0 -7.2 -4.4 -6.2 -5.8 -5.6 -7.2 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -8.4 -4.3 -7.2 -6.2 -6.6 -8.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 6.3 -1.2 -2.8 -2.2 -0.3 -1.9 0.3 -7.4 -6.1 0.9 -9.1 3.1 0.3 -9.5 -8.7 -10.7 -10.2 2.1 -4.2 -0.3 -6.9 6.1 -5.0 1.2 -3.3 -0.9 0.5 -1.4 2.6 -20.0 7.9 13.6 16.2 1.9 -16.6 -17.8 -7.7 -10.2 End of report for caleb_strategy_v3