******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230703_204327 produced at 2023-07-03 21:37:55.357342 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.09 0.00 -0.91 0.0 0.94 -0.94 0.00 -0.38 -9.68 10.0 0 -4 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.72 0.0 0.00 0.00 0.00 0.00 -8.34 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -4.50 13.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.34 -0.19 0.0 0.53 -0.53 -0.34 -0.34 -5.98 17.0 -11 -11 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.18 0.0 0.11 -0.11 -0.11 -0.11 -29.01 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.38 -0.38 -0.10 -0.10 -25.45 56.0 -15 -15 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.15 0.0 0.65 -0.65 -0.15 -0.15 -3.00 13.0 -3 -3 caleb_strategy_v3 US5 False False 0.04 -0.34 -0.11 0.0 0.95 -0.95 -0.34 -0.34 -2.99 25.0 -9 -9 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.10 0.0 0.20 -0.20 0.00 0.00 -3.05 6.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.99 24.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.68 -0.68 0.00 0.00 -1.57 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -1.11 8.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.03 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 -16.51 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 -1.73 0.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.85 -0.85 0.00 0.00 -0.98 19.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.69 2.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.03 0.0 0.15 -0.15 -0.07 -0.07 -2.88 13.0 -6 -6 caleb_strategy_v3 EUR False False 0.05 -0.19 -0.03 0.0 0.68 -0.68 -0.19 -0.19 -0.63 14.0 -4 -4 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 AUD False False 0.02 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -1.33 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.55 -0.02 0.0 0.55 -0.55 -0.55 -0.50 -0.52 13.0 -13 -12 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.41 -0.41 0.00 0.00 -0.28 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 -0.13 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 -2.40 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 -0.83 9.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.36 6.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.23 -0.23 0.00 0.00 0.31 68.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.12 8.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.04 0.00 0.0 0.11 -0.11 0.04 0.04 0.25 12.0 5 4 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.15 11.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.02 2.0 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 0.43 23.0 20 20 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.46 -0.46 0.00 0.00 -0.07 21.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.04 5.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.41 -0.41 0.00 0.00 -0.06 66.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.17 -0.17 0.03 0.03 0.69 18.0 3 3 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.32 -0.32 0.00 0.00 1.16 26.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.19 23.0 2 2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.60 9.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.01 0.0 0.22 -0.22 0.00 0.00 0.10 4.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.19 0.01 0.0 0.19 -0.19 0.19 0.19 0.14 2.0 2 2 caleb_strategy_v3 SMI False False 0.04 0.00 0.01 0.0 0.40 -0.40 0.00 0.04 0.12 9.0 0 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.01 0.0 0.37 -0.37 0.00 0.00 1.66 58.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.44 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.17 -0.17 0.05 0.05 0.52 7.0 2 2 caleb_strategy_v3 BUND False False 0.05 0.21 0.02 0.0 0.52 -0.52 0.21 0.21 0.44 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 0.51 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.74 4.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.03 0.0 0.78 -0.78 0.00 0.00 0.98 29.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.03 0.0 0.38 -0.38 0.00 0.00 3.13 48.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.88 4.0 0 0 caleb_strategy_v3 OJ False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.10 3.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.00 0.04 0.0 0.07 -0.07 -0.00 0.00 32.03 59.0 -1 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.04 0.0 0.20 -0.20 0.00 0.00 10.22 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.28 0.05 0.0 0.62 -0.62 0.28 0.28 1.86 22.0 10 10 caleb_strategy_v3 GASOLINE False False 0.04 0.04 0.07 0.0 0.14 -0.14 0.04 0.04 2.05 4.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.07 0.0 0.34 -0.34 0.00 0.00 4.15 20.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.50 -0.50 0.00 0.00 1.87 10.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.00 0.09 0.0 0.35 -0.35 0.00 0.09 3.04 12.0 0 3 caleb_strategy_v3 BTP False False 0.04 0.18 0.09 0.0 0.45 -0.45 0.18 0.18 2.02 10.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.18 0.0 0.43 -0.43 0.00 0.00 7.00 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.49 0.0 0.30 -0.30 0.25 0.28 59.47 36.0 30 34 caleb_strategy_v3 MXP False False 0.01 0.00 0.99 0.0 0.62 -0.62 0.00 0.00 95.79 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 83.84 16.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.4 Shocked risk 64.3 Sum abs risk 61.0 Leverage 8.41 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 0.6688 0.6979 11.1663 BITCOIN 862.6611 31660.0000 2.7248 43.5963 BOBL 0.3263 115.4000 0.2828 4.5243 BTP 0.6788 115.5500 0.5875 9.3993 BUND 0.6434 133.2800 0.4827 7.7238 BUXL 1.4055 139.6400 1.0065 16.1045 CAC 53.6831 7408.5000 0.7246 11.5938 CAD 0.0029 0.7556 0.3902 6.2440 CANOLA 9.6502 736.4000 1.3105 20.9673 CHF 0.0051 1.1248 0.4524 7.2378 COCOA 40.9175 3407.0000 1.2010 19.2157 COFFEE 3.1131 160.4000 1.9409 31.0538 COPPER 0.0428 3.7935 1.1292 18.0673 CORN 12.8786 493.2500 2.6110 41.7754 COTTON2 1.3476 83.0000 1.6236 25.9772 CRUDE_W 1.1880 69.5900 1.7072 27.3145 DAX 116.5842 16225.0000 0.7185 11.4967 DOW 203.5563 34651.0000 0.5874 9.3992 EUR 0.0052 1.0952 0.4750 7.5997 EURIBOR-ICE 0.0625 96.7700 0.0645 1.0327 EUROSTX 35.5143 4433.0000 0.8011 12.8181 FEEDCOW 1.9261 253.1500 0.7608 12.1736 GASOIL 12.3353 691.0000 1.7851 28.5621 GASOLINE 0.0415 2.4026 1.7254 27.6070 GAS_US_mini 0.0967 2.7050 3.5762 57.2186 GBP 0.0069 1.2695 0.5449 8.7191 GOLD_micro 12.2928 1930.2000 0.6369 10.1899 HEATOIL 0.0401 2.3840 1.6840 26.9440 JGB-SGX-mini 0.2033 148.5000 0.1369 2.1905 JPY 0.0000 0.0070 0.5830 9.3275 LEANHOG 1.3117 79.8250 1.6433 26.2923 LIVECOW 1.1414 179.4750 0.6360 10.1756 LUMBER-new 9.0459 540.5000 1.6736 26.7779 MILK 0.2147 15.8100 1.3583 21.7321 MXP 0.0003 0.0578 0.5572 8.9150 NASDAQ_micro 126.6981 15356.5000 0.8250 13.2007 NIKKEI 298.1411 33605.0000 0.8872 14.1951 NZD 0.0046 0.6151 0.7444 11.9110 OAT 0.6436 127.9600 0.5030 8.0481 OATIES 6.0390 405.7500 1.4884 23.8137 OJ 4.3089 252.3000 1.7078 27.3254 PALLAD 25.5363 1227.0000 2.0812 33.2992 PLAT 14.0209 918.7000 1.5262 24.4187 REDWHEAT 15.1205 799.5000 1.8913 30.2600 RICE 0.1667 15.1800 1.0983 17.5727 ROBUSTA 40.6991 2535.0000 1.6055 25.6878 RUSSELL 19.2972 1911.1000 1.0097 16.1559 SHATZ 0.1060 104.7450 0.1012 1.6192 SILVER-mini 0.3164 23.3500 1.3552 21.6831 SMI 75.8574 11273.0000 0.6729 10.7666 SOFR 0.0718 96.5600 0.0743 1.1893 SOYBEAN 22.8486 1353.2500 1.6884 27.0147 SOYMEAL 8.3224 398.9000 2.0863 33.3815 SOYOIL 1.2262 60.5900 2.0237 32.3794 SP400 22.3154 2652.3000 0.8414 13.4618 SP500_micro 26.0234 4491.7500 0.5794 9.2698 SUGAR11 0.4204 23.3300 1.8019 28.8309 US10 0.4508 111.9062 0.4029 6.4457 US10U 0.5996 118.0625 0.5078 8.1254 US2 0.1261 101.5586 0.1241 1.9864 US20 0.8428 126.7188 0.6651 10.6410 US30 1.2332 136.1250 0.9059 14.4952 US5 0.3039 106.8359 0.2845 4.5517 VIX 0.4788 17.6000 2.7203 43.5254 WHEAT 14.6897 658.7500 2.2299 35.6789 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.75 0.70 466.72 1.00 466.72 46875.0 100.44 -4.08 -41.00 BITCOIN 31.66 2.72 86.27 1.00 86.27 46875.0 543.38 4.90 266.34 BOBL 1154.00 0.28 326.32 1.09 354.54 46875.0 132.21 -8.01 -105.90 BTP 1155.50 0.59 678.81 1.09 737.52 46875.0 63.56 10.20 64.85 BUND 1332.80 0.48 643.39 1.09 699.04 46875.0 67.06 7.02 47.05 BUXL 1396.40 1.01 1405.52 1.09 1527.10 46875.0 30.70 3.46 10.61 CAC 740.85 0.72 536.83 1.09 583.27 46875.0 80.37 11.56 92.93 CAD 755.60 0.39 294.87 1.00 294.87 46875.0 158.97 1.90 30.17 CANOLA 147.28 1.31 193.00 0.75 145.43 46875.0 322.32 15.14 488.01 CHF 1406.00 0.45 636.02 1.00 636.02 46875.0 73.70 -12.53 -92.34 COCOA 340.70 1.20 409.17 1.00 409.17 46875.0 114.56 5.50 62.99 COFFEE 601.50 1.94 1167.43 1.00 1167.43 46875.0 40.15 -9.03 -36.26 COPPER 948.38 1.13 1070.91 1.00 1070.91 46875.0 43.77 -5.80 -25.40 CORN 246.62 2.61 643.93 1.00 643.93 46875.0 72.80 1.62 11.76 COTTON2 415.00 1.62 673.78 1.00 673.78 46875.0 69.57 -1.20 -8.38 CRUDE_W 695.90 1.71 1188.01 1.00 1188.01 46875.0 39.46 -0.08 -0.31 DAX 162.25 0.72 116.58 1.09 126.67 46875.0 370.06 1.38 50.93 DOW 173.26 0.59 101.78 1.00 101.78 46875.0 460.56 -0.06 -2.81 EUR 1369.06 0.47 650.28 1.00 650.28 46875.0 72.08 -2.67 -19.28 EURIBOR-ICE 2419.25 0.06 156.14 1.09 169.65 46875.0 276.31 -11.23 -310.29 EUROSTX 443.30 0.80 355.14 1.09 385.86 46875.0 121.48 10.46 127.01 FEEDCOW 1265.75 0.76 963.04 1.00 963.04 46875.0 48.67 -6.72 -32.70 GASOIL 691.00 1.79 1233.53 1.00 1233.53 46875.0 38.00 3.95 15.02 GASOLINE 1009.09 1.73 1741.13 1.00 1741.13 46875.0 26.92 15.51 41.75 GAS_US_mini 67.62 3.58 241.84 1.00 241.84 46875.0 193.83 -6.95 -134.79 GBP 793.44 0.54 432.38 1.00 432.38 46875.0 108.41 5.29 57.33 GOLD_micro 193.02 0.64 122.93 1.00 122.93 46875.0 381.32 -17.62 -671.84 HEATOIL 1001.28 1.68 1686.15 1.00 1686.15 46875.0 27.80 3.75 10.42 JGB-SGX-mini 148500.00 0.14 20330.17 0.01 140.47 46875.0 333.70 19.23 641.57 JPY 874.06 0.58 509.55 1.00 509.55 46875.0 91.99 -20.00 -183.98 LEANHOG 319.30 1.64 524.70 1.00 524.70 46875.0 89.34 -5.16 -46.09 LIVECOW 717.90 0.64 456.57 1.00 456.57 46875.0 102.67 20.00 205.34 LUMBER-new 148.64 1.67 248.76 1.00 248.76 46875.0 188.43 -7.07 -133.17 MILK 316.20 1.36 429.48 1.00 429.48 46875.0 109.14 -20.00 -218.29 MXP 288.95 0.56 161.00 1.00 161.00 46875.0 291.15 20.00 582.30 NASDAQ_micro 307.13 0.83 253.40 1.00 253.40 46875.0 184.99 1.03 19.07 NIKKEI 33605.00 0.89 29814.11 0.01 206.00 46875.0 227.55 20.00 455.09 NZD 615.10 0.74 457.90 1.00 457.90 46875.0 102.37 -0.22 -2.27 OAT 1279.60 0.50 643.65 1.09 699.32 46875.0 67.03 8.93 59.88 OATIES 202.88 1.49 301.95 1.00 301.95 46875.0 155.24 0.06 0.94 OJ 378.45 1.71 646.33 1.00 646.33 46875.0 72.52 15.71 113.91 PALLAD 1227.00 2.08 2553.63 1.00 2553.63 46875.0 18.36 -9.93 -18.22 PLAT 459.35 1.53 701.04 1.00 701.04 46875.0 66.86 -7.07 -47.24 REDWHEAT 399.75 1.89 756.03 1.00 756.03 46875.0 62.00 -1.71 -10.59 RICE 303.60 1.10 333.44 1.00 333.44 46875.0 140.58 9.77 137.40 ROBUSTA 253.50 1.61 406.99 1.00 406.99 46875.0 115.17 10.24 117.99 RUSSELL 95.56 1.01 96.49 1.00 96.49 46875.0 485.82 0.20 9.86 SHATZ 1047.45 0.10 106.00 1.09 115.17 46875.0 407.01 -5.28 -214.78 SILVER-mini 583.75 1.36 791.09 1.00 791.09 46875.0 59.25 -7.71 -45.70 SMI 1127.30 0.67 758.57 1.11 843.69 46875.0 55.56 0.67 3.71 SOFR 2414.00 0.07 179.44 1.00 179.44 46875.0 261.23 -5.50 -143.71 SOYBEAN 676.62 1.69 1142.43 1.00 1142.43 46875.0 41.03 15.71 64.48 SOYMEAL 398.90 2.09 832.24 1.00 832.24 46875.0 56.32 13.24 74.56 SOYOIL 363.54 2.02 735.70 1.00 735.70 46875.0 63.71 8.64 55.08 SP400 2652.30 0.84 2231.54 1.00 2231.54 46875.0 21.01 2.08 4.38 SP500_micro 224.59 0.58 130.12 1.00 130.12 46875.0 360.25 3.89 140.08 SUGAR11 261.30 1.80 470.84 1.00 470.84 46875.0 99.56 3.79 37.76 US10 1119.06 0.40 450.82 1.00 450.82 46875.0 103.98 -12.49 -129.91 US10U 1180.62 0.51 599.56 1.00 599.56 46875.0 78.18 -5.45 -42.60 US2 2031.17 0.12 252.17 1.00 252.17 46875.0 185.89 -20.00 -371.78 US20 1267.19 0.67 842.76 1.00 842.76 46875.0 55.62 -4.16 -23.14 US30 1361.25 0.91 1233.22 1.00 1233.22 46875.0 38.01 -2.79 -10.61 US5 1068.36 0.28 303.93 1.00 303.93 46875.0 154.23 -15.99 -246.67 VIX 176.00 2.72 478.78 1.00 478.78 46875.0 97.91 -20.00 -195.81 WHEAT 329.38 2.23 734.48 1.00 734.48 46875.0 63.82 -11.44 -72.99 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -40.998 0.013 2.5 -1.333 BITCOIN 266.335 0.048 2.5 32.030 BOBL -105.898 0.004 2.5 -0.982 BTP 64.846 0.012 2.5 2.023 BUND 47.047 0.004 2.5 0.436 BUXL 10.610 0.004 2.5 0.098 CAC 92.934 0.013 2.5 3.036 CAD 30.168 0.013 2.5 0.981 CANOLA 488.012 0.008 2.5 10.224 CHF -92.343 0.013 2.5 -3.002 COCOA 62.994 0.007 2.5 1.162 COFFEE -36.255 0.004 2.5 -0.365 COPPER -25.402 0.048 2.5 -3.055 CORN 11.762 0.008 2.5 0.246 COTTON2 -8.376 0.007 2.5 -0.155 CRUDE_W -0.314 0.049 2.5 -0.038 DAX 50.934 0.013 2.5 1.664 DOW -2.812 0.009 2.5 -0.063 EUR -19.282 0.013 2.5 -0.627 EURIBOR-ICE -310.293 0.012 2.5 -9.679 EUROSTX 127.014 0.013 2.5 4.150 FEEDCOW -32.697 0.014 2.5 -1.114 GASOIL 15.020 0.020 2.5 0.736 GASOLINE 41.753 0.020 2.5 2.047 GAS_US_mini -134.794 0.049 2.5 -16.509 GBP 57.331 0.013 2.5 1.864 GOLD_micro -671.842 0.015 2.5 -25.449 HEATOIL 10.425 0.020 2.5 0.511 JGB-SGX-mini 641.567 0.052 2.5 83.840 JPY -183.985 0.013 2.5 -5.980 LEANHOG -46.087 0.025 2.5 -2.881 LIVECOW 205.336 0.014 2.5 6.999 LUMBER-new -133.170 0.007 2.5 -2.400 MILK -218.287 0.007 2.5 -4.027 MXP 582.299 0.066 2.5 95.794 NASDAQ_micro 19.068 0.009 2.5 0.426 NIKKEI 455.092 0.052 2.5 59.472 NZD -2.268 0.013 2.5 -0.074 OAT 59.879 0.012 2.5 1.868 OATIES 0.945 0.008 2.5 0.020 OJ 113.912 0.007 2.5 2.102 PALLAD -18.222 0.015 2.5 -0.690 PLAT -47.244 0.015 2.5 -1.790 REDWHEAT -10.587 0.005 2.5 -0.121 RICE 137.398 0.008 2.5 2.878 ROBUSTA 117.994 0.004 2.5 1.187 RUSSELL 9.860 0.013 2.5 0.314 SHATZ -214.781 0.004 2.5 -1.992 SILVER-mini -45.705 0.015 2.5 -1.731 SMI 3.713 0.013 2.5 0.121 SOFR -143.708 0.023 2.5 -8.343 SOYBEAN 64.478 0.003 2.5 0.516 SOYMEAL 74.563 0.003 2.5 0.597 SOYOIL 55.077 0.003 2.5 0.442 SP400 4.377 0.013 2.5 0.139 SP500_micro 140.083 0.009 2.5 3.128 SUGAR11 37.756 0.007 2.5 0.692 US10 -129.914 0.005 2.5 -1.573 US10U -42.598 0.005 2.5 -0.516 US2 -371.775 0.005 2.5 -4.500 US20 -23.143 0.005 2.5 -0.280 US30 -10.610 0.005 2.5 -0.128 US5 -246.666 0.005 2.5 -2.986 VIX -195.810 0.059 2.5 -29.015 WHEAT -72.993 0.005 2.5 -0.834 ===================== Position diags ===================== AUD 3.26 BITCOIN 65.35 BOBL 1.23 BTP 1.98 BUND 0.62 BUXL 0.28 CAC 2.63 CAD 5.17 CANOLA 6.75 CHF 2.40 COCOA 2.11 COFFEE 0.40 COPPER 5.26 CORN 1.53 COTTON2 1.28 CRUDE_W 4.83 DAX 12.09 DOW 10.29 EUR 2.34 EURIBOR-ICE 8.62 EUROSTX 3.97 FEEDCOW 1.66 GASOIL 1.86 GASOLINE 1.32 GAS_US_mini 23.74 GBP 3.52 GOLD_micro 14.44 HEATOIL 1.36 JGB-SGX-mini 43.61 JPY 2.99 LEANHOG 5.58 LIVECOW 3.50 LUMBER-new 3.40 MILK 2.01 MXP 47.90 NASDAQ_micro 4.13 NIKKEI 29.74 NZD 3.33 OAT 2.09 OATIES 3.25 OJ 1.34 PALLAD 0.70 PLAT 2.53 REDWHEAT 0.71 RICE 2.95 ROBUSTA 1.16 RUSSELL 15.47 SHATZ 3.77 SILVER-mini 2.24 SMI 1.82 SOFR 15.17 SOYBEAN 0.33 SOYMEAL 0.45 SOYOIL 0.51 SP400 0.67 SP500_micro 8.05 SUGAR11 1.82 US10 1.26 US10U 0.95 US2 2.25 US20 0.67 US30 0.46 US5 1.87 VIX 14.51 WHEAT 0.73 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.7 -1.0 NaN 0 BITCOIN 32.0 25.5 38.6 -1.0 -1 BOBL -1.0 -1.1 -0.9 NaN 0 BTP 2.0 1.8 2.2 4.0 4 BUND 0.4 0.4 0.5 4.0 4 BUXL 0.1 0.1 0.1 NaN 0 CAC 3.0 2.8 3.3 NaN 0 CAD 1.0 0.5 1.5 NaN 0 CANOLA 10.2 9.5 10.9 NaN 0 CHF -3.0 -3.2 -2.8 -3.0 -3 COCOA 1.2 1.0 1.4 NaN 0 COFFEE -0.4 -0.4 -0.3 NaN 0 COPPER -3.1 -3.6 -2.5 NaN 0 CORN 0.2 0.1 0.4 5.0 5 COTTON2 -0.2 -0.3 -0.0 NaN 0 CRUDE_W -0.0 -0.5 0.4 NaN 0 DAX 1.7 0.5 2.9 NaN 0 DOW -0.1 -1.1 1.0 NaN 0 EUR -0.6 -0.9 -0.4 -4.0 -4 EURIBOR-ICE -9.7 -10.5 -8.8 NaN 0 EUROSTX 4.1 3.8 4.5 0.0 0 FEEDCOW -1.1 -1.3 -0.9 NaN 0 GASOIL 0.7 0.6 0.9 0.0 0 GASOLINE 2.0 1.9 2.2 1.0 1 GAS_US_mini -16.5 -18.9 -14.1 NaN 0 GBP 1.9 1.5 2.2 10.0 10 GOLD_micro -25.4 -26.9 -24.0 -15.0 -15 HEATOIL 0.5 0.4 0.6 0.0 0 JGB-SGX-mini 83.8 79.5 88.2 NaN 0 JPY -6.0 -6.3 -5.7 -11.0 -11 LEANHOG -2.9 -3.4 -2.3 -6.0 -6 LIVECOW 7.0 6.6 7.3 NaN 0 LUMBER-new -2.4 -2.7 -2.1 NaN 0 MILK -4.0 -4.2 -3.8 NaN 0 MXP 95.8 91.0 100.6 NaN 0 NASDAQ_micro 0.4 0.0 0.8 20.0 20 NIKKEI 59.5 56.5 62.4 30.0 30 NZD -0.1 -0.4 0.3 NaN 0 OAT 1.9 1.7 2.1 NaN 0 OATIES 0.0 -0.3 0.3 NaN 0 OJ 2.1 2.0 2.2 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -1.8 -2.0 -1.5 NaN 0 REDWHEAT -0.1 -0.2 -0.1 NaN 0 RICE 2.9 2.6 3.2 NaN 0 ROBUSTA 1.2 1.1 1.3 2.0 2 RUSSELL 0.3 -1.2 1.9 NaN 0 SHATZ -2.0 -2.4 -1.6 NaN 0 SILVER-mini -1.7 -2.0 -1.5 NaN 0 SMI 0.1 -0.1 0.3 NaN 0 SOFR -8.3 -9.9 -6.8 NaN 0 SOYBEAN 0.5 0.5 0.5 2.0 2 SOYMEAL 0.6 0.6 0.6 NaN 0 SOYOIL 0.4 0.4 0.5 NaN 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 3.1 2.3 3.9 NaN 0 SUGAR11 0.7 0.5 0.9 3.0 3 US10 -1.6 -1.7 -1.4 NaN 0 US10U -0.5 -0.6 -0.4 -13.0 -13 US2 -4.5 -4.7 -4.3 NaN 0 US20 -0.3 -0.3 -0.2 NaN 0 US30 -0.1 -0.2 -0.1 NaN 0 US5 -3.0 -3.2 -2.8 -9.0 -9 VIX -29.0 -30.5 -27.6 -17.0 -17 WHEAT -0.8 -0.9 -0.8 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 1.3 2.2 0.9 3.0 0.9 1.4 2.0 0.9 1.2 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 0.2 0.1 -0.0 0.0 0.0 0.1 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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.7 -0.2 -0.1 -0.3 -0.1 -0.3 0.2 0.2 BITCOIN 0.4 -0.1 0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.3 0.2 -0.2 0.1 0.1 -0.3 -0.2 -0.3 -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 0.3 -0.0 0.0 0.3 0.0 0.3 BOBL -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.0 -1.2 0.0 -0.6 -0.2 -0.0 -0.0 -0.1 -0.2 -0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 0.1 -0.3 -0.3 -0.2 -0.2 BTP 0.1 0.2 0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.0 -0.1 0.1 0.1 0.3 0.5 0.4 0.5 0.1 0.0 -0.0 -0.0 0.0 -0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 2.6 0.1 0.4 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 0.6 0.4 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.1 -0.4 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.6 0.0 0.1 -0.3 0.1 0.0 0.1 0.0 0.1 0.2 0.4 0.1 -0.3 0.0 0.2 0.1 0.1 0.3 0.1 1.9 0.7 0.5 -0.1 -0.2 0.2 -0.1 0.2 -0.0 CAD 0.3 0.3 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.2 0.2 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.0 0.1 -0.0 0.1 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 0.1 -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 0.5 0.5 0.2 -0.3 -0.2 0.3 0.0 0.3 CHF 0.1 -0.3 0.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.0 0.3 -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 -0.0 0.1 0.0 0.1 0.0 -2.9 0.1 -0.2 -0.3 0.0 -0.2 -0.3 -0.2 -0.3 COCOA 0.1 0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.2 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 -0.5 -0.4 0.2 -0.0 -0.0 -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 -0.6 -0.7 -0.5 -0.1 0.4 -0.3 -0.3 -0.1 -0.3 COPPER 0.2 -0.1 -0.3 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.7 0.0 -0.2 -0.5 -0.1 -0.3 -0.0 -0.2 CORN 0.3 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 0.6 0.0 0.3 -0.0 -0.0 -0.2 -0.0 -0.0 -0.4 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.4 -0.7 0.0 0.3 0.0 -0.1 0.2 -0.0 0.3 COTTON2 -0.2 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.0 0.0 -0.3 0.0 0.0 0.5 0.4 0.3 0.2 -0.0 -0.0 0.0 -0.1 -0.0 -1.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.5 0.1 -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 -0.1 -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 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.4 -0.0 0.5 -0.0 0.1 -0.5 -0.4 -0.5 -0.4 0.0 0.1 0.0 0.4 -0.0 0.9 0.0 0.1 0.2 0.0 0.2 -0.0 -0.6 -0.4 -0.2 -0.1 -0.1 0.2 -0.0 0.3 0.0 DOW 0.2 0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.5 -0.5 0.1 0.0 0.1 0.1 0.1 -0.4 0.0 0.1 0.1 0.1 0.1 0.0 -0.6 0.4 0.4 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 EUR 0.4 -0.2 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 0.1 -0.0 -0.3 -0.1 -0.1 -0.2 0.0 0.2 EURIBOR-ICE -0.4 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.7 -0.4 -0.6 -0.5 -0.0 -0.0 -0.1 -0.2 -0.1 0.9 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -2.0 -0.1 -0.2 -0.1 0.0 -0.3 -0.3 0.3 0.0 EUROSTX 0.1 -0.2 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.6 0.1 0.1 -0.3 0.0 -0.2 -0.1 0.1 0.1 0.2 0.4 0.1 0.3 0.0 0.2 0.2 0.1 0.3 0.0 1.3 0.3 0.1 -0.0 -0.1 0.2 -0.0 0.3 0.0 FEEDCOW -0.5 0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.2 0.4 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 0.1 0.1 0.2 0.1 0.2 0.0 -3.2 0.7 -0.2 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 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 0.0 -0.0 0.3 0.9 0.3 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 0.1 0.2 0.1 -0.0 -0.0 0.1 -0.1 -0.1 GASOLINE 0.0 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.0 -0.1 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 1.7 0.7 0.5 0.5 0.5 0.1 0.2 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 -0.0 -0.2 -0.8 -0.9 -1.0 -0.0 -0.2 0.1 -0.4 0.1 0.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -3.2 0.7 0.5 0.4 0.2 0.1 0.3 0.0 0.0 GBP 0.2 0.0 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.0 0.2 0.1 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 0.0 0.1 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.3 -0.3 -0.0 0.1 0.2 0.0 0.1 0.2 0.3 GOLD_micro -0.4 -0.5 0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 -0.9 -0.7 -0.8 -0.7 -0.1 0.0 -0.2 0.2 -0.2 -0.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 -2.4 -0.4 -0.4 -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 1.0 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 0.6 0.5 0.4 0.1 -0.1 0.1 -0.2 0.1 JGB-SGX-mini 0.2 0.2 0.5 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.0 0.2 0.1 0.1 0.4 1.2 0.7 1.0 0.1 0.1 0.0 0.2 0.1 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 3.2 0.2 0.5 0.5 0.5 -0.3 -0.1 0.1 0.1 JPY -0.4 -0.5 -0.5 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -1.0 -0.8 -0.9 -0.9 -0.2 -0.2 -0.2 -0.3 -0.2 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.0 -0.6 -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 -0.9 1.2 -0.5 -0.0 -0.1 0.0 -0.3 0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -3.2 -0.0 0.1 -0.2 -0.5 -0.1 0.1 0.2 0.3 LIVECOW 0.0 0.4 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.2 1.2 0.8 1.2 1.2 0.2 0.2 0.2 0.4 0.2 0.6 0.1 0.1 0.1 0.1 0.2 0.1 3.2 0.7 0.4 0.5 0.5 -0.3 -0.3 -0.3 -0.3 LUMBER-new 0.5 0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.3 -0.4 0.1 -0.2 0.1 -0.0 -0.6 -0.8 -0.8 -0.8 0.0 -0.1 0.0 -0.3 0.1 NaN 0.0 -0.2 -0.0 -0.0 -0.1 0.0 -3.4 0.4 0.1 0.5 0.4 -0.3 -0.3 -0.3 -0.3 MILK -0.5 -0.5 -0.5 -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 -0.0 -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 0.2 0.3 0.5 0.0 0.0 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 1.1 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 0.5 0.3 0.5 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro 0.1 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.1 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.2 0.3 0.2 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 0.1 0.4 0.5 0.5 -0.1 -0.1 -0.2 -0.1 NIKKEI 0.2 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.2 0.9 0.7 0.7 0.7 0.2 0.2 0.2 0.4 0.2 -0.2 0.1 0.0 0.1 0.0 0.1 0.0 3.2 0.0 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 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.8 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 0.1 0.1 OAT 0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 0.4 0.6 0.5 0.5 -0.0 -0.0 -0.0 -0.2 0.0 0.4 0.0 -0.0 -0.0 -0.0 -0.1 0.0 2.8 0.2 0.2 0.2 0.1 -0.3 -0.3 0.0 -0.0 OATIES 0.5 0.5 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 0.1 -0.4 0.1 0.1 -0.7 0.1 -0.5 -0.3 0.2 0.1 0.2 -0.1 0.2 -1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -2.1 0.4 0.5 0.5 0.5 0.1 0.3 0.3 0.3 OJ -0.2 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 0.3 -0.0 0.4 0.0 0.1 0.8 1.0 1.0 1.1 0.1 0.2 -0.1 0.4 0.0 -1.1 0.0 -0.0 0.2 -0.0 0.4 0.0 3.2 -0.3 -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 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.7 -0.4 -0.3 -0.2 -0.2 0.0 -0.0 0.0 PLAT -0.5 -0.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -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 -0.0 -0.0 -0.0 0.0 -0.0 0.3 -0.6 -0.5 -0.4 -0.2 -0.1 -0.2 0.0 -0.1 REDWHEAT 0.2 0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 -0.0 0.0 0.0 0.3 0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.6 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.4 -0.1 -0.2 0.4 0.3 -0.3 -0.2 -0.1 -0.1 RICE 0.2 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 -0.1 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.0 3.2 -0.6 -0.3 0.2 0.5 -0.2 -0.3 -0.0 -0.3 ROBUSTA -0.4 0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 0.0 0.1 1.2 0.7 1.0 0.8 0.1 0.2 -0.2 0.4 0.0 -0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 1.6 -0.7 -0.2 0.5 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.2 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.4 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.2 0.3 0.3 -0.3 -0.1 -0.1 -0.2 -0.1 SHATZ -0.5 -0.5 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 0.2 0.2 0.0 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 -0.1 -0.2 -0.2 -0.0 -0.3 -0.3 -0.3 -0.2 SILVER-mini -0.3 -0.5 0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.4 -0.3 -0.4 -0.3 -0.1 -0.0 -0.1 0.1 -0.1 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.7 -0.3 -0.0 -0.4 0.1 -0.2 -0.3 -0.0 -0.3 SMI -0.3 -0.3 0.3 0.0 0.1 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 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 1.8 -0.3 -0.5 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 SOFR -0.3 -0.4 0.1 -0.0 -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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.4 -0.1 -0.2 0.1 -0.3 -0.3 -0.1 0.0 SOYBEAN 0.5 0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.5 1.2 0.9 1.2 0.0 -0.0 0.1 -0.0 0.1 -0.9 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 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -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 0.4 0.3 0.2 -0.1 -0.1 -0.3 0.0 -0.3 SOYOIL 0.5 0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -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 0.3 0.5 0.4 0.1 0.1 0.1 0.3 0.3 SP400 0.4 0.4 -0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.2 -0.0 0.1 -0.0 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.2 0.0 0.1 -0.5 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.6 0.5 0.3 -0.4 -0.1 -0.1 -0.2 -0.1 SP500_micro 0.4 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.1 0.1 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.2 0.3 0.2 0.2 -0.9 0.1 0.1 0.1 0.0 0.1 0.1 -0.8 0.6 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.5 -0.5 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.1 0.0 0.1 1.0 0.4 0.8 0.0 0.1 -0.2 0.3 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 2.6 -0.7 -0.5 -0.2 0.5 -0.3 -0.3 0.1 -0.1 US10 -0.2 -0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.5 -0.4 -0.5 -0.5 -0.1 -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 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.0 -0.2 -0.0 -0.3 -0.3 0.2 0.2 US2 -0.5 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -1.2 -1.0 -1.2 -1.2 -0.1 -0.1 -0.2 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -3.2 -0.5 -0.3 -0.4 -0.1 -0.3 -0.2 -0.3 -0.1 US20 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.2 0.0 -0.1 -0.0 -0.3 -0.3 0.2 0.2 US30 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.0 -0.1 -0.3 -0.3 0.3 0.3 US5 -0.3 -0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.8 -0.4 -0.7 -0.6 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.3 -0.4 -0.2 -0.3 -0.0 -0.3 -0.3 0.0 -0.2 VIX -0.7 -0.8 -0.8 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.4 -0.6 -0.3 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.4 -0.6 -0.3 NaN -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.5 0.5 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.6 -0.5 -0.6 -0.6 0.0 -0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -3.2 -0.3 0.1 0.3 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 6.2 2.9 -1.2 2.9 0.6 2.5 1.4 0.9 2.8 -4.9 -3.7 -6.7 -5.6 -0.5 -0.5 -2.3 -2.6 -2.7 -2.8 -0.8 -2.5 -6.8 -4.8 -2.6 1.7 0.1 -1.9 -0.6 -3.4 -1.8 -1.1 -0.5 -20.0 -8.0 -3.4 -11.0 -5.7 -20.0 14.1 16.0 BITCOIN 14.5 -2.2 9.5 1.6 -0.2 2.9 -0.7 2.7 0.6 18.2 16.3 19.2 -7.4 15.1 14.8 -5.1 -2.6 -4.4 -3.5 12.6 11.1 20.0 3.8 20.0 -20.0 4.6 8.1 3.4 10.3 2.1 8.5 -0.3 20.0 20.0 11.3 -0.1 1.1 20.0 3.1 20.0 BOBL -9.7 -8.0 -3.7 -1.8 -2.9 -1.4 -2.2 -2.4 -2.0 -5.0 -2.3 -5.0 -6.0 -5.7 -2.6 -20.0 0.5 -10.1 -4.1 -4.1 -4.0 -4.7 -7.6 -4.8 9.3 -1.7 -2.9 -1.2 -2.2 -2.8 -2.3 -1.1 1.5 -2.4 -1.5 2.4 -20.0 -20.0 -16.7 -14.6 BTP 5.0 7.6 10.7 -2.8 -4.6 -2.2 -3.5 -3.8 -3.2 -8.7 9.2 1.6 -3.6 8.0 9.0 5.8 9.3 7.2 8.2 6.5 4.7 -0.7 -2.2 5.0 -6.7 3.7 -4.0 3.3 -0.3 0.2 2.6 16.6 1.8 16.6 19.5 11.1 -20.0 -20.0 -2.9 2.9 BUND -0.6 -0.8 -0.2 -1.8 -3.1 -1.5 -2.3 -2.5 -2.1 -1.6 -2.6 -0.1 -6.5 -1.9 -1.2 6.6 9.7 7.0 7.8 -1.3 -2.9 -0.8 -7.7 -0.6 5.1 -0.4 -1.9 -0.6 -0.4 -2.8 -0.3 16.4 7.3 4.5 3.5 3.2 -20.0 -20.0 -7.6 -4.3 BUXL 12.5 4.9 -4.5 -2.2 -3.7 -1.8 -2.8 -3.0 -2.6 5.5 -6.7 7.4 -8.9 5.9 -2.2 1.9 1.2 2.0 2.1 1.0 -4.4 6.4 -11.6 5.3 -0.3 1.3 2.1 -0.6 3.8 -3.7 3.3 4.3 18.2 16.0 9.0 2.9 -20.0 -20.0 10.3 9.3 CAC 3.5 -17.9 7.0 4.8 12.0 6.3 5.5 5.2 3.3 18.6 18.4 13.8 20.0 3.9 11.9 -4.9 2.4 0.1 1.7 5.3 15.8 17.5 20.0 6.5 -5.6 5.1 16.8 7.1 13.1 9.4 7.9 11.7 20.0 18.6 -5.3 -8.3 13.7 -4.2 17.6 -3.0 CAD 13.7 12.4 12.9 4.6 0.9 4.0 2.3 1.5 4.6 -17.1 11.3 7.6 -10.3 16.3 17.8 -2.3 -1.9 -2.5 -2.3 16.9 8.2 3.1 -4.1 15.8 -1.5 6.4 -2.8 3.6 1.0 -0.5 5.7 0.5 -0.5 4.4 19.3 5.6 -20.0 -20.0 -20.0 -8.7 CANOLA 20.0 13.6 -6.3 -1.1 -1.5 -2.1 -0.3 -1.9 0.2 5.4 -5.2 7.7 -7.9 7.1 -0.6 14.9 18.3 20.0 20.0 0.8 -6.6 10.4 -8.0 8.6 -20.0 -0.2 3.1 -2.7 2.9 -3.0 2.3 20.0 14.3 19.4 7.0 -13.7 -12.2 20.0 2.3 20.0 CHF 5.4 -10.2 6.2 3.6 0.7 3.2 1.8 1.1 3.6 -2.0 10.2 6.0 11.1 -2.7 4.1 -14.0 -12.6 -14.0 -13.4 2.0 5.8 1.0 6.6 1.6 -7.9 1.8 -0.3 3.9 0.8 3.5 1.3 -18.2 2.3 -8.7 -12.5 1.1 -14.2 -20.0 -12.9 -20.0 COCOA 5.2 0.4 14.5 -2.8 -0.9 -5.3 -0.1 -4.8 0.4 18.8 20.0 20.0 19.9 20.0 20.0 -1.4 -0.9 -0.5 -0.2 20.0 20.0 20.0 20.0 20.0 -7.9 8.7 8.2 7.8 8.1 5.9 8.8 -12.0 20.0 20.0 20.0 20.0 -17.5 -20.0 10.9 -13.1 COFFEE -20.0 -14.0 6.4 -2.1 -0.7 -3.9 -0.1 -3.6 0.3 -13.6 1.1 -16.2 -5.1 -15.8 -11.5 3.5 4.1 4.8 4.7 -13.6 -5.2 -20.0 -4.5 -20.0 -20.0 -2.5 -6.8 0.2 -8.6 -0.1 -6.7 -3.6 -20.0 -20.0 -3.3 16.4 -20.0 -20.0 -5.9 -20.0 COPPER 9.8 -4.3 -12.2 1.1 -0.1 2.0 -0.5 1.9 0.4 -4.5 -3.2 -5.7 -4.5 1.6 -5.0 -2.1 -1.2 -2.1 -1.7 -5.9 -5.8 -6.8 -3.6 -4.3 -3.5 -2.9 -0.6 -3.2 -2.7 -1.9 -2.1 2.4 -20.0 0.3 -8.6 -20.0 -5.1 -20.0 -1.2 -18.4 CORN 13.6 20.0 -1.4 -1.0 -0.3 -1.9 -0.0 -1.7 0.2 -7.2 -2.9 -6.1 -4.3 -2.1 -1.1 -3.4 9.7 0.3 5.5 -0.1 -1.4 -13.6 -1.6 -3.5 -7.9 0.7 -4.2 -0.8 -1.9 -1.1 0.6 2.8 -20.0 0.7 12.9 1.3 -6.1 18.9 -2.9 20.0 COTTON2 -8.5 5.0 6.8 -1.5 -0.5 -2.8 -0.1 -2.5 0.2 8.4 0.4 1.3 -9.2 0.0 2.9 8.3 6.3 5.8 4.0 -0.4 -1.8 1.9 -4.9 -1.7 -19.0 -1.0 7.0 -0.7 0.2 -0.6 -2.0 -2.9 2.7 -18.3 5.1 8.4 -20.0 -16.6 4.4 6.4 CRUDE_W 1.8 -2.3 -5.6 -2.7 -1.2 -4.0 -2.0 -2.0 -1.8 -2.0 -6.7 2.3 -8.5 -1.7 -7.1 3.6 8.3 5.4 6.5 -5.0 -6.1 -0.1 -3.1 -2.3 -4.2 0.4 1.1 -1.1 1.5 0.8 1.6 -10.5 16.0 5.2 3.8 8.7 7.8 12.8 8.7 1.6 DAX -3.0 -9.7 9.1 4.2 10.7 5.6 4.9 4.6 2.9 10.5 17.5 -3.5 17.4 -0.6 12.2 -8.4 -6.2 -8.1 -7.5 5.6 15.1 1.8 18.6 -0.2 17.6 3.1 7.4 7.8 1.4 8.9 -0.1 -3.6 -11.3 -6.8 -5.0 -5.2 12.1 -2.6 20.0 0.8 DOW 9.1 4.6 5.3 3.5 8.8 4.6 4.0 3.8 2.4 13.4 5.6 9.3 5.8 10.2 11.3 -9.4 -6.1 -8.6 -7.7 7.1 4.8 11.1 2.9 8.9 -8.2 4.7 8.0 3.3 6.4 2.4 5.8 -3.6 11.2 16.5 4.4 -0.8 -4.8 -2.6 -18.3 -0.5 EUR 14.2 -8.6 3.0 3.5 0.7 3.0 1.7 1.1 3.4 -5.2 10.1 6.9 4.7 1.8 1.5 -6.6 -6.9 -6.7 -6.7 2.0 3.4 2.5 2.0 4.0 13.6 1.7 -0.4 2.2 1.6 1.0 2.6 -7.5 2.3 -0.4 -11.2 -3.8 -7.6 -18.6 3.6 18.0 EURIBOR-ICE -15.3 -12.1 3.4 -1.8 -2.9 -1.4 -2.2 -2.4 -2.0 -6.5 -3.2 -6.6 -6.3 -6.7 -4.0 -12.2 -7.0 -10.0 -8.9 -5.8 -4.9 -8.1 -8.3 -7.6 16.2 -2.0 -3.4 -1.4 -2.8 -2.7 -2.7 -12.6 -2.6 -6.5 -5.3 0.0 -20.0 -20.0 20.0 2.0 EUROSTX 2.3 -9.5 9.2 4.4 11.1 5.8 5.1 4.8 3.0 17.5 19.9 12.7 19.9 9.9 16.6 -5.1 0.8 -3.8 -1.5 9.0 17.2 14.0 20.0 7.7 5.2 5.2 15.2 8.7 9.2 10.6 4.9 8.0 9.5 3.7 -1.3 -4.2 14.4 -0.9 20.0 3.6 FEEDCOW -19.2 0.1 14.7 -2.3 -0.7 -4.5 -0.1 -4.0 0.4 17.4 16.8 14.1 16.1 13.1 14.7 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 20.0 20.0 8.6 6.3 11.6 8.0 8.5 7.4 5.5 -20.0 20.0 -8.0 20.0 20.0 -4.1 -20.0 10.8 -19.8 GASOIL 12.2 9.9 -15.1 -2.5 -1.2 -3.7 -1.8 -1.8 -1.7 -9.7 -9.6 -1.7 -3.8 4.9 -3.6 4.3 15.6 5.8 10.3 -2.7 -8.9 -0.7 -4.3 1.5 8.9 -1.0 -1.5 -4.0 -0.2 -3.0 0.9 0.0 2.5 9.2 5.3 -1.4 -3.7 5.0 -5.8 -4.5 GASOLINE 1.7 3.6 -3.1 -3.5 -1.6 -5.2 -2.6 -2.6 -2.3 0.6 5.0 -0.4 -5.1 7.5 0.4 20.0 18.9 20.0 20.0 1.3 0.7 1.7 5.0 2.0 -20.0 5.1 1.8 3.6 3.9 5.6 5.7 11.0 20.0 20.0 20.0 20.0 6.8 11.6 9.9 -5.6 GAS_US_mini 20.0 20.0 -2.1 -2.6 -1.2 -3.9 -1.9 -1.9 -1.7 1.4 -14.7 7.8 -14.8 7.4 -5.7 -4.0 -13.9 -15.6 -16.7 -2.5 -20.0 5.9 -20.0 6.5 15.1 2.4 0.7 -2.0 3.8 -3.3 5.1 -20.0 20.0 20.0 14.1 6.4 4.0 20.0 2.2 2.6 GBP 8.6 1.4 12.5 3.8 0.8 3.3 1.9 1.2 3.8 -2.3 16.4 4.9 6.0 8.9 14.2 0.2 -1.3 -0.7 -1.1 11.4 11.7 1.4 5.6 8.1 -0.7 5.3 -0.6 4.7 0.5 0.9 3.8 2.0 -8.5 -1.2 4.8 9.2 3.6 9.2 12.1 20.0 GOLD_micro -15.8 -20.0 2.8 1.3 -0.2 2.4 -0.6 2.3 0.5 -4.6 5.8 -14.4 6.6 -18.0 -6.8 -14.7 -11.0 -13.6 -12.5 -14.6 0.4 -13.0 8.7 -19.9 -11.5 -4.1 0.8 0.5 -2.5 3.3 -5.1 -15.5 -10.5 -15.9 -20.0 -0.3 -19.7 -19.4 -7.0 -20.0 HEATOIL 12.3 6.5 -15.5 -2.9 -1.3 -4.3 -2.1 -2.1 -1.9 -7.6 -12.2 1.7 -5.3 4.8 -6.1 2.6 17.6 4.5 10.4 -4.5 -11.0 1.1 -5.4 1.2 -17.6 1.6 0.3 -2.1 2.9 -0.1 4.3 1.9 16.8 20.0 14.7 2.7 -8.1 4.2 -12.0 4.1 JGB-SGX-mini 6.4 8.6 20.0 -2.6 -4.3 -2.1 -3.3 -3.5 -3.0 -7.7 10.7 3.6 8.6 6.8 10.2 6.8 20.0 12.1 17.3 12.5 14.2 3.2 10.0 8.6 2.1 4.1 -1.4 3.9 1.2 1.7 3.1 20.0 7.3 20.0 19.5 20.0 -19.7 -5.3 9.7 9.7 JPY -15.5 -20.0 -20.0 2.7 0.5 2.3 1.3 0.8 2.6 -10.8 -9.0 -12.5 -9.2 -13.3 -13.5 -16.9 -12.7 -15.9 -14.5 -20.0 -18.2 -18.6 -15.6 -20.0 20.0 -4.6 -2.6 -3.2 -4.2 -2.8 -4.9 -19.1 -16.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 20.0 12.9 -15.3 -1.4 -0.5 -2.7 -0.0 -2.4 0.2 -4.2 -7.0 6.3 -8.9 8.2 -2.3 20.0 -15.7 20.0 -9.2 -2.1 -12.4 3.2 -14.1 5.6 9.4 -3.3 -0.1 -5.7 -0.1 -5.5 -0.7 -20.0 -1.2 2.8 -9.1 -20.0 -6.2 3.9 15.8 19.0 LIVECOW 1.4 15.9 15.7 -2.7 -0.9 -5.2 -0.1 -4.7 0.4 19.8 19.7 15.8 19.1 17.5 18.6 20.0 13.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 11.3 8.0 7.2 7.0 7.0 5.5 7.5 20.0 20.0 16.6 20.0 20.0 -20.0 -20.0 -19.0 -20.0 LUMBER-new 18.6 7.2 -2.9 -3.2 -1.0 -5.6 -0.1 -4.4 0.5 -20.0 -19.8 10.3 -20.0 13.5 -2.4 -8.9 -12.9 -12.9 -13.1 4.8 -7.5 2.2 -11.2 12.3 NaN 2.5 -11.4 -1.9 -2.5 -3.1 4.3 -20.0 10.9 3.4 18.7 14.3 -20.0 -20.0 -20.0 -20.0 MILK -19.5 -19.2 -19.4 -1.6 -0.5 -3.0 -0.1 -2.7 0.3 -11.5 -13.8 -12.7 -13.4 -13.2 -13.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.6 -4.8 -3.8 -4.0 -4.8 -3.0 -5.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.0 -20.0 MXP 9.5 13.0 20.0 4.9 1.0 4.3 2.4 1.6 4.9 20.0 20.0 20.0 20.0 20.0 20.0 18.7 17.6 18.3 17.8 20.0 20.0 18.8 20.0 20.0 -20.0 9.0 3.5 9.7 4.7 9.6 7.2 20.0 15.2 12.4 20.0 20.0 20.0 4.5 20.0 20.0 NASDAQ_micro 2.9 20.0 20.0 2.8 7.1 3.7 3.3 3.1 1.9 11.0 13.6 9.7 4.0 12.1 13.4 -10.1 -6.8 -9.6 -8.5 20.0 20.0 12.2 14.0 20.0 -20.0 5.1 2.1 4.8 2.1 3.2 3.6 -4.8 3.0 14.2 20.0 20.0 -7.2 -8.6 -11.6 -9.6 NIKKEI 6.7 20.0 20.0 4.0 9.9 5.2 4.5 4.3 2.7 13.9 18.6 12.7 16.7 16.1 18.2 14.8 11.1 12.2 11.4 20.0 20.0 16.8 20.0 20.0 -3.7 6.7 2.6 6.1 2.5 3.8 4.7 20.0 1.2 20.0 20.0 20.0 9.7 4.0 6.1 10.5 NZD 7.1 -5.4 -2.4 2.4 0.5 2.1 1.2 0.8 2.4 0.8 -1.5 -0.6 -1.6 -4.0 -4.2 0.1 0.5 0.5 0.5 -2.4 -2.4 -1.7 -2.9 -1.8 0.0 -1.3 0.5 -1.0 -1.4 -1.4 -1.2 5.1 -4.6 -8.5 -7.6 -9.4 -2.1 -15.0 10.5 9.5 OAT 1.5 1.9 2.4 -2.1 -3.4 -1.7 -2.6 -2.8 -2.4 -2.2 -3.1 0.1 -7.0 1.2 0.7 6.6 9.9 8.4 9.2 -0.2 -2.3 -0.7 -7.4 0.4 7.1 0.3 -2.5 -0.1 -0.3 -3.1 0.3 17.9 6.7 6.7 6.2 4.1 -20.0 -20.0 0.9 -1.0 OATIES 20.0 20.0 13.8 -2.1 -0.7 -4.0 -0.1 -3.6 0.3 -8.2 5.1 11.2 -13.0 14.4 12.8 -12.5 2.3 -8.6 -4.5 20.0 9.4 12.8 -2.7 20.0 -20.0 4.7 -0.4 1.4 2.7 -0.5 5.6 -13.1 12.0 20.0 20.0 20.0 8.7 20.0 19.8 20.0 OJ -8.6 -4.6 3.8 -1.9 -0.6 -3.7 -0.1 -3.4 0.3 -12.6 12.4 -4.3 14.7 3.0 7.9 13.9 17.3 17.7 18.7 9.7 20.0 -4.6 20.0 1.0 -20.0 4.5 -3.2 9.1 -1.5 12.8 0.9 20.0 -8.7 -20.0 15.3 20.0 13.2 8.1 20.0 17.7 PALLAD -13.5 -16.4 2.4 0.7 -0.1 1.3 -0.3 1.2 0.3 -8.4 -9.6 -9.2 -9.7 -9.5 -8.8 -3.2 -2.4 -3.0 -2.8 -14.1 -14.1 -15.2 -16.1 -15.8 -5.4 -3.0 -3.3 -2.4 -3.9 -2.4 -3.8 0.3 -20.0 -17.6 -11.3 -8.1 -16.0 1.8 -1.0 3.1 PLAT -20.0 -20.0 -1.5 0.8 -0.1 1.5 -0.4 1.4 0.3 -7.2 -4.0 -10.7 1.7 -11.7 -8.6 -2.5 -1.6 -2.2 -2.0 -15.0 -5.4 -16.7 0.2 -20.0 11.0 -3.2 -1.6 -0.9 -3.6 0.2 -4.5 1.7 -18.8 -20.0 -17.9 -6.5 -4.4 -14.5 3.2 -8.9 REDWHEAT 7.2 0.4 5.7 -1.4 -0.4 -2.7 -0.0 -2.4 0.2 -10.2 -2.6 -3.6 -9.1 -1.8 1.9 0.8 4.4 3.8 5.0 -0.1 -1.9 -6.8 -3.2 -0.9 -11.1 1.2 -4.7 -0.1 -2.1 -0.3 1.0 -2.8 -3.2 -6.5 15.0 11.7 -19.4 -13.8 -4.1 -7.6 RICE 6.3 5.0 -2.8 -2.1 -0.7 -4.1 -0.1 -3.7 0.3 -13.0 -5.1 -8.1 -3.1 6.9 7.3 20.0 20.0 20.0 20.0 0.8 -3.1 -10.4 -2.8 -0.7 -20.0 1.0 -9.4 -0.7 -6.8 -1.4 -1.3 20.0 -16.6 -13.6 7.9 20.0 -14.1 -20.0 -3.5 -20.0 ROBUSTA -17.0 0.1 20.0 -1.9 -0.6 -3.6 -0.1 -3.2 0.3 -10.8 14.3 -7.6 12.5 4.6 12.2 20.0 11.3 17.5 14.0 16.1 20.0 -18.3 18.2 0.1 -9.5 4.4 -6.6 5.9 -4.6 4.7 0.2 10.1 -20.0 -8.5 20.0 20.0 -11.1 -20.0 0.5 -18.4 RUSSELL 7.0 17.5 1.8 2.8 7.1 3.7 3.2 3.1 1.9 11.8 -3.3 7.6 -6.5 8.7 4.7 -6.0 -4.6 -5.8 -5.4 6.9 1.6 8.6 -3.4 8.4 -0.7 3.1 4.7 1.3 3.6 0.1 3.8 -0.4 7.5 12.5 13.2 -12.1 -6.9 -6.4 -16.5 -7.4 SHATZ -18.9 -18.3 -14.9 -1.8 -2.9 -1.4 -2.2 -2.4 -2.0 -6.2 -4.0 -6.8 -6.2 -7.1 -4.9 4.1 2.6 0.8 0.2 -9.1 -7.8 -9.0 -10.4 -10.4 11.1 -2.3 -2.4 -1.8 -2.5 -2.6 -2.8 3.6 -4.3 -9.8 -8.3 -0.3 -20.0 -20.0 -20.0 -18.9 SILVER-mini -10.7 -19.7 4.5 1.2 -3.9 2.2 -1.6 2.0 0.3 -1.4 3.0 -8.7 3.5 -12.6 -1.8 -6.5 -5.1 -6.3 -5.8 -9.9 -0.4 -11.4 3.8 -14.8 6.8 -1.6 0.3 0.5 -0.7 1.0 -2.0 -4.6 -7.9 -0.7 -17.7 3.6 -12.6 -20.0 -3.7 -20.0 SMI -12.0 -12.5 12.4 3.9 9.8 5.1 4.5 4.3 2.7 4.5 11.7 -10.7 2.9 -13.5 9.5 -3.3 2.8 -2.2 0.3 -0.8 7.0 -3.6 6.9 -6.9 1.6 -0.3 2.7 1.8 -1.3 0.0 -2.8 11.3 -8.7 -19.2 -18.3 -2.3 -6.4 -12.4 -9.7 -18.8 SOFR -10.4 -16.2 5.2 -2.2 -3.6 -1.7 -2.8 -3.0 -2.5 -8.3 2.0 -8.4 -1.4 -8.8 -1.2 -2.2 -0.2 -0.8 -0.5 -4.8 -1.1 -9.4 -1.8 -7.7 -1.4 -2.3 -4.0 -0.5 -3.4 -0.3 -3.3 0.5 -11.6 -3.3 -8.9 3.5 -20.0 -20.0 -9.9 0.3 SOYBEAN 20.0 20.0 -5.8 -1.0 -0.3 -1.9 -0.0 -1.7 0.2 2.8 -2.2 3.9 -3.9 4.0 1.5 8.9 20.0 15.0 19.6 2.7 -1.6 6.9 -2.2 6.8 -17.1 1.2 2.0 -0.5 2.2 -0.6 2.6 20.0 5.8 20.0 11.7 -2.7 -5.6 20.0 1.3 20.0 SOYMEAL 20.0 -4.3 -20.0 -1.0 -0.3 -2.0 -0.0 -1.8 0.2 -2.6 -1.7 -2.3 2.0 -2.2 -4.8 20.0 20.0 20.0 20.0 -1.6 -1.8 1.0 1.0 0.7 -18.3 0.8 1.3 -0.1 2.0 0.9 2.3 20.0 11.2 13.1 8.0 -2.1 -6.9 -20.0 0.8 -19.8 SOYOIL 20.0 20.0 -3.0 -0.9 -0.3 -1.8 -0.0 -1.6 0.1 6.0 -3.7 6.3 -4.3 6.0 2.9 10.4 9.6 7.6 7.1 4.6 -1.4 11.2 -2.8 9.7 -20.0 1.6 2.7 -0.2 2.6 -0.6 2.7 2.8 8.0 20.0 17.1 2.7 7.5 9.3 19.8 20.0 SP400 14.5 14.4 -0.3 2.9 7.3 3.8 3.4 3.2 2.0 12.5 -1.1 12.8 -0.2 11.9 6.1 -4.7 -4.3 -5.1 -4.9 8.8 3.0 15.3 0.0 13.3 -8.8 3.3 6.4 1.1 5.7 0.4 5.2 0.4 17.3 20.0 11.4 -14.1 -5.8 -8.1 -12.3 -8.5 SP500_micro 14.3 20.0 20.0 4.0 10.1 5.3 4.6 4.4 2.8 16.1 18.4 15.5 2.0 16.8 18.5 -11.6 -7.2 -10.3 -8.9 20.0 20.0 20.0 11.3 20.0 -16.4 7.0 6.4 5.4 5.9 3.1 6.9 -5.4 18.5 20.0 20.0 20.0 -5.9 -7.6 -9.7 -8.2 SUGAR11 -20.0 -20.0 7.1 -1.7 -0.5 -3.2 -0.1 -2.9 0.3 -6.2 10.1 -8.8 11.4 -8.0 5.1 1.2 17.4 5.9 12.7 0.2 12.9 -18.6 16.3 -13.7 -20.0 0.9 -1.6 5.2 -4.4 6.6 -3.3 16.3 -20.0 -20.0 -6.8 20.0 -20.0 -19.4 6.6 -10.8 US10 -8.2 -18.3 -2.1 -1.9 -3.1 -1.5 -2.3 -2.5 -2.1 -7.0 -1.8 -7.3 -5.4 -7.8 -4.6 -9.1 -6.0 -9.0 -8.3 -6.7 -4.5 -7.5 -5.8 -7.6 0.7 -2.4 -2.6 -1.2 -2.5 -1.1 -2.8 -11.3 -9.2 -4.1 -9.7 -0.7 -20.0 -20.0 9.8 2.9 US10U -3.6 -13.4 -0.7 -2.5 -4.2 -2.0 -3.2 -3.4 -2.9 -9.4 -1.4 -9.1 -7.2 -9.9 -6.1 1.8 -0.4 -0.9 -1.4 -6.6 -5.0 -6.8 -7.6 -6.8 -4.0 -3.2 -3.1 -1.5 -2.9 -1.4 -3.5 -0.4 -8.4 -1.2 -9.8 -1.4 -20.0 -20.0 17.0 15.0 US2 -20.0 -20.0 -19.6 -1.7 -2.8 -1.4 -2.2 -2.3 -2.0 -6.7 -4.5 -7.4 -5.9 -7.7 -6.4 -20.0 -17.1 -20.0 -20.0 -14.4 -10.1 -13.2 -9.9 -15.4 6.9 -2.5 -2.3 -1.6 -2.4 -1.7 -2.8 -20.0 -14.3 -12.5 -17.3 -3.8 -20.0 -13.8 -20.0 -9.0 US20 1.3 -10.0 0.4 -2.0 -3.4 -1.6 -2.6 -2.8 -2.4 -4.7 0.2 -4.0 -4.7 -5.1 -4.0 -0.9 -1.2 -1.2 -1.6 -3.7 -3.4 -3.1 -5.9 -3.1 -4.1 -2.5 -2.1 -1.3 -2.1 -1.5 -2.6 -1.4 -5.0 1.9 -4.9 -0.5 -20.0 -20.0 16.2 15.8 US30 5.1 -5.4 -0.2 -2.5 -4.1 -2.0 -3.2 -3.4 -2.9 -2.5 -2.3 1.0 -7.1 -3.4 -5.9 0.0 -0.6 -0.5 -0.8 -3.3 -4.4 -1.6 -9.0 -1.7 -3.8 -2.9 -2.0 -1.8 -2.1 -2.4 -2.6 -0.1 -3.7 6.8 -1.3 -2.2 -20.0 -20.0 20.0 20.0 US5 -12.2 -20.0 -5.2 -1.8 -2.9 -1.4 -2.3 -2.4 -2.1 -6.9 -2.4 -7.3 -5.5 -7.8 -4.7 -14.2 -7.6 -12.3 -10.6 -8.4 -5.4 -9.2 -6.3 -9.6 3.0 -2.4 -2.6 -1.2 -2.5 -1.2 -2.8 -14.5 -10.5 -6.1 -11.7 -1.1 -20.0 -20.0 2.8 -12.3 VIX -18.3 -20.0 -20.0 -7.2 -4.4 -6.2 -5.8 -5.6 -7.1 -18.7 -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 -4.4 -7.3 -6.1 -6.6 -8.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 19.0 6.7 -1.1 -0.3 -2.1 -0.0 -1.9 0.2 -7.8 -5.7 -3.2 -8.4 0.4 -0.6 -9.4 -8.7 -10.6 -10.2 0.5 -4.2 -7.0 -6.6 1.2 -4.6 0.8 -4.0 -0.9 -1.3 -1.4 1.2 -20.0 -9.0 4.2 12.1 1.8 -16.5 -17.8 -7.6 -9.9 End of report for caleb_strategy_v3