******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230704_204331 produced at 2023-07-04 21:37:47.860458 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.38 -0.95 0.0 0.94 -0.94 -0.38 -0.57 -10.10 10.0 -4 -6 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 -6.04 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 0.39 -0.39 -0.10 -0.10 -25.38 56.0 -15 -15 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.16 0.0 0.65 -0.65 -0.15 -0.15 -3.11 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 -3.04 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 -1.95 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 BOBL False False 0.04 0.00 -0.05 0.0 0.85 -0.85 0.00 0.00 -1.05 19.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -1.12 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 EUR False False 0.05 -0.20 -0.04 0.0 0.68 -0.68 -0.20 -0.20 -0.76 14.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -16.29 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 -1.69 0.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.03 0.0 0.16 -0.16 0.00 0.00 -1.65 10.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.03 0.0 0.15 -0.15 -0.07 -0.07 -3.02 13.0 -6 -6 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 AUD False False 0.02 0.00 -0.03 0.0 0.46 -0.46 0.00 0.00 -1.28 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.51 -0.02 0.0 0.55 -0.55 -0.51 -0.51 -0.52 13.0 -12 -12 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.41 -0.41 0.00 0.00 -0.29 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 -2.34 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 0.30 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 -0.10 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 0.26 12.0 5 5 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.19 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 0.18 2.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.04 0.00 0.0 0.40 -0.40 0.04 0.04 0.03 9.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.22 0.00 0.0 0.25 -0.25 0.22 0.22 0.44 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 0.20 21.0 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 -0.01 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 -0.12 66.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.21 -0.21 0.00 0.00 0.08 4.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.01 0.0 0.36 -0.36 0.00 0.00 0.88 58.0 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 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 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 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 COCOA False False 0.01 0.00 0.01 0.0 0.32 -0.32 0.00 0.00 1.18 26.0 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 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 0.43 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 0.49 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.95 4.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.03 0.0 0.39 -0.39 0.00 0.00 3.13 48.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.03 0.0 0.78 -0.78 0.00 0.00 1.04 29.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.87 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 2.11 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 34.09 59.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.04 0.0 0.20 -0.20 0.00 0.00 10.64 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.28 0.06 0.0 0.62 -0.62 0.28 0.28 2.05 22.0 10 10 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.07 0.0 0.34 -0.34 0.00 0.00 4.05 20.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.04 0.08 0.0 0.15 -0.15 0.04 0.04 2.08 4.0 1 1 caleb_strategy_v3 CAC False False 0.03 0.00 0.08 0.0 0.34 -0.34 0.00 0.09 2.81 12.0 0 3 caleb_strategy_v3 BTP False False 0.04 0.18 0.08 0.0 0.45 -0.45 0.18 0.18 1.87 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.50 -0.50 0.00 0.00 1.81 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 7.00 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.49 0.0 0.30 -0.30 0.28 0.29 59.47 36.0 34 35 caleb_strategy_v3 MXP False False 0.01 0.00 1.00 0.0 0.62 -0.62 0.00 0.00 96.90 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 21.3 Shocked risk 64.5 Sum abs risk 60.9 Leverage 8.47 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 0.0046 0.6710 0.6870 10.9914 BITCOIN 843.5302 31185.0000 2.7049 43.2788 BOBL 0.3194 115.4400 0.2767 4.4264 BTP 0.6759 114.9400 0.5881 9.4092 BUND 0.6299 133.0800 0.4733 7.5727 BUXL 1.4200 137.9400 1.0294 16.4704 CAC 53.0745 7378.0000 0.7194 11.5098 CAD 0.0029 0.7570 0.3848 6.1569 CANOLA 9.6512 741.2000 1.3021 20.8337 CHF 0.0050 1.1236 0.4455 7.1278 COCOA 40.6656 3399.0000 1.1964 19.1424 COFFEE 3.1158 160.5000 1.9413 31.0610 COPPER 0.0428 3.7935 1.1292 18.0673 CORN 12.9395 498.7500 2.5944 41.5100 COTTON2 1.3338 82.5600 1.6155 25.8483 CRUDE_W 1.1715 70.5700 1.6601 26.5617 DAX 115.2577 16158.0000 0.7133 11.4131 DOW 203.5836 34638.0000 0.5877 9.4039 EUR 0.0052 1.0926 0.4725 7.5599 EURIBOR-ICE 0.0610 96.7950 0.0630 1.0080 EUROSTX 35.0675 4414.0000 0.7945 12.7114 FEEDCOW 1.9265 253.0500 0.7613 12.1807 GASOIL 11.9276 707.0000 1.6871 26.9932 GASOLINE 0.0409 2.4394 1.6768 26.8295 GAS_US_mini 0.0961 2.7350 3.5141 56.2260 GBP 0.0068 1.2720 0.5358 8.5720 GOLD_micro 12.2928 1930.2000 0.6369 10.1899 HEATOIL 0.0397 2.4265 1.6368 26.1880 JGB-SGX-mini 0.2033 148.5000 0.1369 2.1905 JPY 0.0000 0.0070 0.5762 9.2184 LEANHOG 1.2995 79.5000 1.6346 26.1528 LIVECOW 1.1414 179.4750 0.6360 10.1756 LUMBER-new 9.0019 543.5000 1.6563 26.5005 MILK 0.2147 15.8100 1.3583 21.7321 MXP 0.0003 0.0578 0.5504 8.8057 NASDAQ_micro 126.6993 15364.7500 0.8246 13.1938 NIKKEI 298.1411 33605.0000 0.8872 14.1951 NZD 0.0046 0.6194 0.7414 11.8617 OAT 0.6315 127.7000 0.4945 7.9126 OATIES 5.9934 410.5000 1.4600 23.3605 OJ 4.3055 252.5000 1.7051 27.2824 PALLAD 25.5363 1227.0000 2.0812 33.2992 PLAT 13.8325 923.6000 1.4977 23.9628 REDWHEAT 15.2166 809.0000 1.8809 30.0946 RICE 0.1667 15.1800 1.0983 17.5727 ROBUSTA 39.8947 2537.0000 1.5725 25.1602 RUSSELL 19.2937 1910.7000 1.0098 16.1564 SHATZ 0.1055 104.8100 0.1007 1.6111 SILVER-mini 0.3105 23.4500 1.3239 21.1822 SMI 74.7938 11254.0000 0.6646 10.6336 SOFR 0.0718 96.5600 0.0743 1.1893 SOYBEAN 22.9771 1363.5000 1.6852 26.9625 SOYMEAL 8.3286 401.3000 2.0754 33.2065 SOYOIL 1.2342 60.9400 2.0253 32.4046 SP400 22.3154 2652.3000 0.8414 13.4618 SP500_micro 26.0231 4492.2500 0.5793 9.2686 SUGAR11 0.4199 23.3200 1.8006 28.8096 US10 0.4507 111.9375 0.4026 6.4421 US10U 0.5996 118.0625 0.5078 8.1254 US2 0.1261 101.5586 0.1241 1.9864 US20 0.8426 126.6562 0.6653 10.6440 US30 1.2335 135.8438 0.9081 14.5290 US5 0.3039 106.8359 0.2845 4.5517 VIX 0.4788 17.6000 2.7203 43.5254 WHEAT 14.6015 666.5000 2.1908 35.0524 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.00 0.69 460.95 1.00 460.95 46875.0 101.69 -3.86 -39.28 BITCOIN 31.18 2.70 84.35 1.00 84.35 46875.0 555.70 5.10 283.45 BOBL 1154.40 0.28 319.37 1.09 348.14 46875.0 134.64 -8.45 -113.74 BTP 1149.40 0.59 675.93 1.09 736.84 46875.0 63.62 9.42 59.94 BUND 1330.80 0.47 629.86 1.09 686.61 46875.0 68.27 6.74 46.01 BUXL 1379.40 1.03 1419.95 1.09 1547.89 46875.0 30.28 3.01 9.12 CAC 737.80 0.72 530.74 1.09 578.56 46875.0 81.02 10.60 85.89 CAD 757.00 0.38 291.30 1.00 291.30 46875.0 160.92 1.98 31.86 CANOLA 148.24 1.30 193.02 0.75 145.65 46875.0 321.83 15.78 507.98 CHF 1404.50 0.45 625.69 1.00 625.69 46875.0 74.92 -12.77 -95.68 COCOA 339.90 1.20 406.66 1.00 406.66 46875.0 115.27 5.53 63.70 COFFEE 601.88 1.94 1168.43 1.00 1168.43 46875.0 40.12 -9.01 -36.15 COPPER 948.38 1.13 1070.91 1.00 1070.91 46875.0 43.77 -5.78 -25.28 CORN 249.38 2.59 646.97 1.00 646.97 46875.0 72.45 1.71 12.35 COTTON2 412.80 1.62 666.89 1.00 666.89 46875.0 70.29 -1.44 -10.14 CRUDE_W 705.70 1.66 1171.54 1.00 1171.54 46875.0 40.01 -0.02 -0.08 DAX 161.58 0.71 115.26 1.09 125.64 46875.0 373.08 0.72 26.87 DOW 173.19 0.59 101.79 1.00 101.79 46875.0 460.50 -0.11 -5.24 EUR 1365.69 0.47 645.28 1.00 645.28 46875.0 72.64 -3.22 -23.41 EURIBOR-ICE 2419.88 0.06 152.45 1.09 166.19 46875.0 282.06 -11.48 -323.79 EUROSTX 441.40 0.79 350.68 1.09 382.27 46875.0 122.62 10.10 123.83 FEEDCOW 1265.25 0.76 963.23 1.00 963.23 46875.0 48.66 -6.73 -32.73 GASOIL 707.00 1.69 1192.76 1.00 1192.76 46875.0 39.30 4.95 19.46 GASOLINE 1024.55 1.68 1718.01 1.00 1718.01 46875.0 27.28 15.55 42.41 GAS_US_mini 68.38 3.51 240.28 1.00 240.28 46875.0 195.09 -6.82 -133.02 GBP 795.00 0.54 425.92 1.00 425.92 46875.0 110.06 5.72 62.99 GOLD_micro 193.02 0.64 122.93 1.00 122.93 46875.0 381.32 -17.57 -670.13 HEATOIL 1019.13 1.64 1668.06 1.00 1668.06 46875.0 28.10 3.56 10.00 JGB-SGX-mini 148500.00 0.14 20330.17 0.01 140.47 46875.0 333.70 19.23 641.57 JPY 875.19 0.58 504.24 1.00 504.24 46875.0 92.96 -20.00 -185.92 LEANHOG 318.00 1.63 519.79 1.00 519.79 46875.0 90.18 -5.37 -48.39 LIVECOW 717.90 0.64 456.57 1.00 456.57 46875.0 102.67 20.00 205.34 LUMBER-new 149.46 1.66 247.55 1.00 247.55 46875.0 189.35 -6.86 -129.96 MILK 316.20 1.36 429.48 1.00 429.48 46875.0 109.14 -20.00 -218.29 MXP 289.20 0.55 159.16 1.00 159.16 46875.0 294.51 20.00 589.02 NASDAQ_micro 307.30 0.82 253.40 1.00 253.40 46875.0 184.99 1.06 19.65 NIKKEI 33605.00 0.89 29814.11 0.01 206.00 46875.0 227.55 20.00 455.09 NZD 619.40 0.74 459.20 1.00 459.20 46875.0 102.08 0.59 6.02 OAT 1277.00 0.49 631.53 1.09 688.43 46875.0 68.09 8.54 58.13 OATIES 205.25 1.46 299.67 1.00 299.67 46875.0 156.42 0.56 8.81 OJ 378.75 1.71 645.83 1.00 645.83 46875.0 72.58 15.72 114.11 PALLAD 1227.00 2.08 2553.63 1.00 2553.63 46875.0 18.36 -9.95 -18.27 PLAT 461.80 1.50 691.63 1.00 691.63 46875.0 67.78 -6.41 -43.45 REDWHEAT 404.50 1.88 760.83 1.00 760.83 46875.0 61.61 -1.35 -8.34 RICE 303.60 1.10 333.44 1.00 333.44 46875.0 140.58 9.74 136.94 ROBUSTA 253.70 1.57 398.95 1.00 398.95 46875.0 117.50 10.10 118.63 RUSSELL 95.54 1.01 96.47 1.00 96.47 46875.0 485.91 0.19 9.35 SHATZ 1048.10 0.10 105.54 1.09 115.04 46875.0 407.45 -5.17 -210.71 SILVER-mini 586.25 1.32 776.13 1.00 776.13 46875.0 60.40 -7.39 -44.61 SMI 1125.40 0.66 747.94 1.12 834.40 46875.0 56.18 0.16 0.90 SOFR 2414.00 0.07 179.44 1.00 179.44 46875.0 261.23 -5.50 -143.71 SOYBEAN 681.75 1.69 1148.86 1.00 1148.86 46875.0 40.80 15.85 64.65 SOYMEAL 401.30 2.08 832.86 1.00 832.86 46875.0 56.28 13.33 75.05 SOYOIL 365.64 2.03 740.53 1.00 740.53 46875.0 63.30 8.70 55.05 SP400 2652.30 0.84 2231.54 1.00 2231.54 46875.0 21.01 2.08 4.38 SP500_micro 224.61 0.58 130.12 1.00 130.12 46875.0 360.26 3.89 140.30 SUGAR11 261.18 1.80 470.29 1.00 470.29 46875.0 99.67 3.80 37.83 US10 1119.38 0.40 450.70 1.00 450.70 46875.0 104.01 -12.47 -129.70 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 1266.56 0.67 842.58 1.00 842.58 46875.0 55.63 -4.23 -23.56 US30 1358.44 0.91 1233.54 1.00 1233.54 46875.0 38.00 -2.95 -11.22 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 333.25 2.19 730.08 1.00 730.08 46875.0 64.21 -11.28 -72.42 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -39.284 0.013 2.5 -1.277 BITCOIN 283.452 0.048 2.5 34.088 BOBL -113.742 0.004 2.5 -1.055 BTP 59.943 0.012 2.5 1.870 BUND 46.014 0.004 2.5 0.427 BUXL 9.115 0.004 2.5 0.085 CAC 85.890 0.013 2.5 2.806 CAD 31.860 0.013 2.5 1.036 CANOLA 507.975 0.008 2.5 10.642 CHF -95.680 0.013 2.5 -3.110 COCOA 63.701 0.007 2.5 1.175 COFFEE -36.153 0.004 2.5 -0.364 COPPER -25.285 0.048 2.5 -3.041 CORN 12.354 0.008 2.5 0.259 COTTON2 -10.142 0.007 2.5 -0.187 CRUDE_W -0.078 0.049 2.5 -0.010 DAX 26.867 0.013 2.5 0.878 DOW -5.239 0.009 2.5 -0.117 EUR -23.408 0.013 2.5 -0.761 EURIBOR-ICE -323.795 0.012 2.5 -10.101 EUROSTX 123.834 0.013 2.5 4.046 FEEDCOW -32.728 0.014 2.5 -1.116 GASOIL 19.458 0.020 2.5 0.954 GASOLINE 42.414 0.020 2.5 2.080 GAS_US_mini -133.020 0.049 2.5 -16.292 GBP 62.995 0.013 2.5 2.048 GOLD_micro -670.126 0.015 2.5 -25.384 HEATOIL 10.000 0.020 2.5 0.490 JGB-SGX-mini 641.568 0.052 2.5 83.840 JPY -185.924 0.013 2.5 -6.043 LEANHOG -48.390 0.025 2.5 -3.025 LIVECOW 205.336 0.014 2.5 6.999 LUMBER-new -129.960 0.007 2.5 -2.342 MILK -218.287 0.007 2.5 -4.027 MXP 589.019 0.066 2.5 96.899 NASDAQ_micro 19.648 0.009 2.5 0.439 NIKKEI 455.092 0.052 2.5 59.472 NZD 6.025 0.013 2.5 0.196 OAT 58.126 0.012 2.5 1.813 OATIES 8.806 0.008 2.5 0.184 OJ 114.115 0.007 2.5 2.105 PALLAD -18.265 0.015 2.5 -0.692 PLAT -43.448 0.015 2.5 -1.646 REDWHEAT -8.337 0.005 2.5 -0.095 RICE 136.941 0.008 2.5 2.869 ROBUSTA 118.630 0.004 2.5 1.193 RUSSELL 9.352 0.013 2.5 0.298 SHATZ -210.715 0.004 2.5 -1.954 SILVER-mini -44.609 0.015 2.5 -1.690 SMI 0.903 0.013 2.5 0.030 SOFR -143.713 0.023 2.5 -8.343 SOYBEAN 64.651 0.003 2.5 0.518 SOYMEAL 75.045 0.003 2.5 0.601 SOYOIL 55.050 0.003 2.5 0.441 SP400 4.376 0.013 2.5 0.139 SP500_micro 140.302 0.009 2.5 3.133 SUGAR11 37.830 0.007 2.5 0.693 US10 -129.699 0.005 2.5 -1.570 US10U -42.598 0.005 2.5 -0.516 US2 -371.775 0.005 2.5 -4.500 US20 -23.555 0.005 2.5 -0.285 US30 -11.217 0.005 2.5 -0.136 US5 -246.666 0.005 2.5 -2.986 VIX -195.810 0.059 2.5 -29.015 WHEAT -72.418 0.005 2.5 -0.827 ===================== Position diags ===================== AUD 3.31 BITCOIN 66.83 BOBL 1.25 BTP 1.98 BUND 0.63 BUXL 0.28 CAC 2.65 CAD 5.23 CANOLA 6.74 CHF 2.44 COCOA 2.13 COFFEE 0.40 COPPER 5.26 CORN 1.52 COTTON2 1.30 CRUDE_W 4.90 DAX 12.19 DOW 10.28 EUR 2.36 EURIBOR-ICE 8.80 EUROSTX 4.01 FEEDCOW 1.66 GASOIL 1.93 GASOLINE 1.34 GAS_US_mini 23.89 GBP 3.58 GOLD_micro 14.44 HEATOIL 1.38 JGB-SGX-mini 43.61 JPY 3.02 LEANHOG 5.64 LIVECOW 3.50 LUMBER-new 3.41 MILK 2.01 MXP 48.45 NASDAQ_micro 4.13 NIKKEI 29.74 NZD 3.32 OAT 2.12 OATIES 3.28 OJ 1.34 PALLAD 0.70 PLAT 2.57 REDWHEAT 0.70 RICE 2.95 ROBUSTA 1.18 RUSSELL 15.47 SHATZ 3.78 SILVER-mini 2.29 SMI 1.84 SOFR 15.17 SOYBEAN 0.33 SOYMEAL 0.45 SOYOIL 0.51 SP400 0.67 SP500_micro 8.05 SUGAR11 1.83 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 -1.6 -0.9 NaN 0 BITCOIN 34.1 27.4 40.8 0.0 0 BOBL -1.1 -1.2 -0.9 NaN 0 BTP 1.9 1.7 2.1 4.0 4 BUND 0.4 0.4 0.5 4.0 4 BUXL 0.1 0.1 0.1 NaN 0 CAC 2.8 2.5 3.1 NaN 0 CAD 1.0 0.5 1.6 NaN 0 CANOLA 10.6 10.0 11.3 NaN 0 CHF -3.1 -3.4 -2.9 -3.0 -3 COCOA 1.2 1.0 1.4 NaN 0 COFFEE -0.4 -0.4 -0.3 NaN 0 COPPER -3.0 -3.6 -2.5 NaN 0 CORN 0.3 0.1 0.4 5.0 5 COTTON2 -0.2 -0.3 -0.1 NaN 0 CRUDE_W -0.0 -0.5 0.5 NaN 0 DAX 0.9 -0.3 2.1 NaN 0 DOW -0.1 -1.1 0.9 NaN 0 EUR -0.8 -1.0 -0.5 -4.0 -4 EURIBOR-ICE -10.1 -11.0 -9.2 -4.0 -4 EUROSTX 4.0 3.6 4.4 0.0 0 FEEDCOW -1.1 -1.3 -0.9 NaN 0 GASOIL 1.0 0.8 1.1 0.0 0 GASOLINE 2.1 1.9 2.2 1.0 1 GAS_US_mini -16.3 -18.7 -13.9 NaN 0 GBP 2.0 1.7 2.4 10.0 10 GOLD_micro -25.4 -26.8 -23.9 -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 -3.0 -3.6 -2.5 -6.0 -6 LIVECOW 7.0 6.6 7.3 NaN 0 LUMBER-new -2.3 -2.7 -2.0 NaN 0 MILK -4.0 -4.2 -3.8 NaN 0 MXP 96.9 92.1 101.7 NaN 0 NASDAQ_micro 0.4 0.0 0.9 20.0 20 NIKKEI 59.5 56.5 62.4 34.0 34 NZD 0.2 -0.1 0.5 NaN 0 OAT 1.8 1.6 2.0 NaN 0 OATIES 0.2 -0.1 0.5 NaN 0 OJ 2.1 2.0 2.2 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -1.6 -1.9 -1.4 NaN 0 REDWHEAT -0.1 -0.2 -0.0 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 1.8 NaN 0 SHATZ -2.0 -2.3 -1.6 NaN 0 SILVER-mini -1.7 -1.9 -1.5 NaN 0 SMI 0.0 -0.2 0.2 1.0 1 SOFR -8.3 -9.9 -6.8 NaN 0 SOYBEAN 0.5 0.5 0.6 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 -12.0 -12 US2 -4.5 -4.7 -4.3 NaN 0 US20 -0.3 -0.4 -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 0.1 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -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 -0.1 -0.0 -0.1 -0.6 -0.3 -0.1 -0.3 -0.1 -0.3 0.2 0.2 BITCOIN 0.4 -0.0 0.2 0.0 0.0 0.1 -0.0 0.1 0.0 0.2 0.4 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 -0.1 0.7 0.5 0.4 0.0 0.0 0.3 0.0 0.3 BOBL -0.3 -0.2 -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 -1.2 0.0 -0.6 -0.3 -0.0 -0.0 -0.1 -0.2 -0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 0.1 -0.1 -0.0 0.1 -0.3 -0.3 -0.2 -0.2 BTP 0.0 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 0.0 0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.1 0.1 -0.0 0.0 0.0 2.6 0.0 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 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.7 0.5 0.4 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.1 -0.5 0.2 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.4 0.1 0.6 0.0 0.1 -0.3 0.1 -0.0 0.1 0.1 0.1 0.2 0.4 0.1 -0.3 0.0 0.1 0.1 0.1 0.3 0.1 1.8 0.4 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 -0.1 0.2 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.1 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.0 0.1 -0.0 0.0 0.4 0.2 -0.3 -0.3 -0.3 -0.1 CANOLA 0.5 0.4 -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 0.9 1.1 1.2 1.2 0.0 -0.0 0.2 -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 0.2 -0.2 0.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 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 -0.0 -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 -0.0 -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 -0.0 -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 0.0 -0.5 0.1 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.1 -0.0 -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 -1.6 0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.0 DAX -0.1 -0.3 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 0.0 0.2 0.0 0.3 -0.0 -0.6 -0.5 -0.2 -0.2 -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 0.3 -0.2 0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.0 0.1 0.0 0.0 -0.4 -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 0.0 -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 -0.1 -0.0 -0.1 -0.2 -0.1 0.9 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -2.0 -0.0 -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 0.1 0.2 0.1 0.3 0.0 1.3 0.2 0.1 -0.0 -0.1 0.2 -0.0 0.3 0.1 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 0.3 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.2 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 0.2 0.3 0.2 -0.0 -0.1 0.1 -0.1 -0.1 GASOLINE 0.1 0.1 -0.1 -0.0 0.0 -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 1.8 0.3 0.5 0.5 0.5 0.1 0.2 0.1 -0.1 GAS_US_mini 0.5 0.5 -0.0 -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 0.6 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 0.0 -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 -0.3 -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 -0.0 -0.3 0.0 -0.2 0.0 -0.0 0.1 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 0.2 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 0.1 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 -0.7 -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 -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 -0.1 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 0.1 -0.3 0.1 NaN 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -3.4 0.5 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 0.7 0.2 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 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.8 -0.0 -0.2 -0.2 -0.2 -0.0 -0.2 0.1 0.1 OAT 0.0 0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 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 -0.0 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 0.5 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 -0.1 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.2 -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 -0.3 -0.5 -0.5 -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 -0.0 -0.0 -0.0 -0.0 0.0 -0.4 -0.0 -0.1 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 -0.5 -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 1.1 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 -0.3 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 0.1 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 0.5 -0.0 -0.2 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 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 -0.2 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 0.0 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 -0.4 -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 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-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 4.4 3.1 -1.1 3.0 1.5 2.6 1.9 1.0 2.9 -2.0 -3.9 -6.0 -5.6 -0.5 -0.5 -2.3 -2.6 -2.7 -2.8 -0.8 -2.5 -4.2 -4.9 -2.1 1.8 0.1 0.4 -0.6 -2.2 -1.8 -0.9 -0.5 -17.5 -10.4 -4.0 -10.8 -5.4 -20.0 13.7 16.1 BITCOIN 16.3 -1.3 9.6 1.6 0.4 2.9 -0.3 2.7 0.6 13.2 16.9 20.0 -7.2 16.5 15.8 -5.3 -2.7 -4.4 -3.5 13.7 11.8 20.0 4.1 20.0 -20.0 4.9 5.5 3.6 9.2 2.2 8.4 -0.3 20.0 20.0 14.6 0.1 0.9 20.0 2.7 20.0 BOBL -10.6 -8.3 -4.5 -1.8 -3.3 -1.4 -2.7 -2.3 -2.3 -5.7 -2.4 -5.7 -6.0 -6.1 -3.1 -20.0 0.2 -10.7 -4.5 -4.4 -4.3 -5.2 -7.8 -5.2 9.3 -1.8 -2.6 -1.3 -2.4 -2.8 -2.4 -1.6 2.4 -2.0 -1.6 2.4 -20.0 -20.0 -17.0 -14.6 BTP 1.9 7.4 10.4 -2.9 -5.2 -2.3 -4.2 -3.7 -3.6 -10.3 9.0 -2.2 -3.5 6.6 8.2 5.6 9.2 7.1 8.1 5.8 4.6 -4.4 -2.2 3.0 -6.7 3.3 -6.3 3.3 -2.2 0.2 1.6 16.5 0.7 15.6 19.4 11.4 -20.0 -20.0 -3.2 3.0 BUND -1.3 -0.7 -0.8 -1.9 -3.5 -1.5 -2.8 -2.4 -2.4 -3.4 -2.7 -1.1 -6.5 -2.4 -1.7 6.6 9.7 7.0 7.8 -1.4 -3.0 -2.0 -7.9 -1.2 5.1 -0.5 -2.6 -0.6 -1.1 -2.8 -0.6 16.4 6.3 4.9 3.7 3.4 -20.0 -20.0 -8.0 -4.2 BUXL 12.1 5.9 -3.9 -2.3 -4.2 -1.8 -3.4 -3.0 -2.9 -0.2 -6.7 5.8 -8.9 5.7 -2.2 1.9 1.2 2.0 2.0 0.9 -4.2 3.6 -11.4 4.4 -0.3 1.3 -1.3 -0.6 2.2 -3.7 2.8 4.3 14.9 16.6 9.7 3.4 -20.0 -20.0 10.2 9.4 CAC 4.3 -18.0 6.8 5.1 9.2 6.4 6.1 5.3 4.0 15.9 18.6 14.4 20.0 5.4 12.5 -5.5 2.2 -0.5 1.3 6.0 16.2 16.5 20.0 7.6 -5.7 5.5 11.0 7.2 11.7 9.3 8.1 11.3 11.6 19.7 -5.4 -8.2 14.2 -4.1 18.1 -2.9 CAD 12.8 12.8 13.2 4.8 2.5 4.2 3.0 1.5 4.8 -11.6 11.8 7.0 -10.3 16.3 17.9 -2.3 -1.9 -2.5 -2.3 17.0 8.6 4.1 -4.0 15.3 -1.4 6.5 -0.5 3.8 1.4 -0.4 5.5 0.5 -0.9 1.1 18.0 6.2 -20.0 -20.0 -20.0 -8.9 CANOLA 20.0 17.1 -5.1 -1.0 0.1 -2.1 0.2 -1.9 0.2 7.7 -4.9 8.2 -7.7 7.5 0.5 14.9 18.3 20.0 20.0 1.9 -6.0 13.8 -7.7 10.2 -20.0 -0.2 3.0 -2.6 2.8 -3.0 2.3 20.0 13.9 20.0 7.3 -10.9 -12.7 20.0 1.9 20.0 CHF 6.1 -9.5 6.0 3.8 2.0 3.3 2.4 1.2 3.8 -4.8 10.2 5.3 11.3 -2.6 3.8 -13.8 -12.6 -13.9 -13.4 1.9 5.9 0.1 6.8 1.2 -8.0 1.7 -1.5 4.1 0.2 3.6 1.1 -18.2 -0.7 -9.3 -12.8 0.2 -14.0 -20.0 -13.0 -20.0 COCOA 5.3 0.6 14.7 -2.7 -0.4 -5.3 0.1 -4.8 0.5 18.8 20.0 20.0 20.0 20.0 20.0 -1.4 -0.9 -0.5 -0.2 20.0 20.0 20.0 20.0 20.0 -7.9 8.8 7.8 7.8 8.0 6.0 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 6.5 -2.0 -0.3 -3.9 0.1 -3.6 0.4 -13.5 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 -6.7 0.2 -8.5 -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 -0.7 2.0 -0.7 1.9 0.3 -4.5 -3.2 -5.7 -4.5 1.6 -5.0 -2.0 -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 -19.6 0.5 -8.5 -20.0 -5.1 -20.0 -1.2 -18.4 CORN 13.9 20.0 -1.4 -1.0 -0.2 -1.9 0.0 -1.7 0.2 -7.0 -2.9 -5.9 -4.3 -2.0 -1.0 -3.4 9.7 0.3 5.5 -0.0 -1.4 -12.9 -1.6 -3.2 -7.9 0.7 -3.9 -0.8 -1.8 -1.1 0.7 2.8 -20.0 0.9 13.0 1.4 -6.1 18.9 -2.9 20.0 COTTON2 -8.7 4.9 6.6 -1.5 -0.2 -2.8 0.0 -2.5 0.3 8.0 0.4 0.8 -9.2 -0.2 2.8 8.3 6.3 5.8 4.0 -0.5 -1.9 1.2 -5.0 -2.0 -19.0 -1.0 6.3 -0.7 -0.1 -0.6 -2.2 -2.9 1.2 -18.9 4.9 8.4 -20.0 -16.6 4.4 6.4 CRUDE_W 3.5 -1.8 -5.9 -2.6 1.4 -4.1 -0.7 -2.1 -1.4 3.1 -6.8 4.7 -8.8 -0.5 -7.1 3.6 8.3 5.3 6.4 -4.7 -6.2 2.2 -3.3 -1.3 -4.3 0.7 4.0 -1.0 2.8 0.8 2.3 -10.3 7.0 5.5 4.3 9.6 8.0 12.8 8.8 1.8 DAX -3.6 -10.6 9.0 4.5 8.2 5.7 5.4 4.7 3.5 6.7 17.5 -4.5 17.5 -0.8 12.1 -8.5 -6.2 -8.1 -7.6 5.4 15.0 0.7 18.8 -0.3 17.7 3.0 3.2 7.9 0.7 9.2 -0.2 -3.6 -13.6 -8.0 -6.8 -5.8 12.4 -2.6 20.0 0.9 DOW 9.1 4.6 5.3 3.5 8.8 4.6 4.0 3.8 2.4 13.4 5.6 9.1 5.8 10.2 11.3 -9.4 -6.1 -8.7 -7.7 7.1 4.8 10.9 2.9 8.8 -8.2 4.7 7.9 3.3 6.3 2.4 5.8 -3.6 10.9 16.4 4.4 -0.8 -4.8 -2.6 -18.3 -0.5 EUR 13.9 -7.9 2.8 3.6 1.9 3.1 2.3 1.2 3.6 -8.7 10.0 5.8 4.8 1.9 1.4 -6.6 -6.9 -6.7 -6.7 1.8 3.4 0.9 2.0 3.2 13.7 1.6 -2.0 2.2 0.7 1.0 2.2 -7.5 -4.0 -0.5 -10.8 -4.2 -7.4 -18.8 3.2 18.1 EURIBOR-ICE -16.6 -12.6 1.0 -1.8 -3.3 -1.4 -2.7 -2.3 -2.2 -6.3 -3.4 -6.8 -6.4 -6.9 -4.4 -12.4 -7.1 -10.1 -9.0 -6.3 -5.2 -8.4 -8.6 -8.1 16.2 -2.0 -2.8 -1.4 -2.8 -2.7 -2.7 -12.8 -1.0 -6.6 -5.7 0.4 -20.0 -20.0 20.0 2.2 EUROSTX 2.7 -9.8 9.2 4.7 8.6 5.9 5.7 4.9 3.7 16.2 20.0 13.7 20.0 11.4 17.2 -5.1 0.8 -3.8 -1.5 9.5 17.6 13.2 20.0 8.5 5.2 5.5 10.0 8.8 8.5 10.7 5.4 7.9 6.1 4.3 -1.9 -4.4 14.8 -0.9 20.0 3.8 FEEDCOW -19.3 0.1 14.6 -2.3 -0.4 -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 11.5 8.0 8.4 7.4 5.5 -20.0 20.0 -8.3 20.0 20.0 -4.1 -20.0 10.8 -19.8 GASOIL 13.3 10.5 -15.0 -2.4 1.3 -3.8 -0.7 -1.9 -1.3 -0.2 -9.7 1.7 -4.1 6.3 -3.1 4.2 15.5 5.8 10.2 -2.2 -9.1 3.2 -4.5 3.1 9.2 -0.6 2.3 -3.9 1.7 -3.1 1.7 0.0 5.2 10.9 6.6 -1.2 -4.1 5.0 -6.2 -4.4 GASOLINE 3.2 3.8 -3.4 -3.3 1.8 -5.2 -0.9 -2.6 -1.8 7.9 5.2 1.6 -5.2 8.1 0.7 20.0 19.1 20.0 20.0 1.8 0.9 4.0 5.2 3.0 -20.0 5.3 3.7 3.7 4.5 5.7 5.9 11.5 8.3 20.0 20.0 20.0 7.0 11.7 10.2 -5.3 GAS_US_mini 20.0 20.0 -1.1 -2.4 1.3 -3.8 -0.7 -1.9 -1.3 -1.3 -14.7 7.6 -14.9 7.6 -5.2 -3.4 -13.8 -15.0 -16.4 -2.1 -20.0 5.4 -20.0 6.3 15.2 2.5 0.9 -1.9 3.4 -3.2 4.9 -20.0 17.8 20.0 14.3 6.2 4.0 20.0 2.1 2.5 GBP 8.7 1.9 12.5 4.0 2.0 3.5 2.5 1.3 3.9 2.7 16.5 5.9 6.2 9.3 14.3 0.3 -1.3 -0.7 -1.1 11.6 12.1 3.0 5.9 8.4 -0.8 5.4 1.1 4.8 1.3 1.0 3.9 2.0 -8.4 -0.2 4.5 9.1 3.7 9.4 11.8 20.0 GOLD_micro -15.8 -20.0 2.8 1.3 -0.9 2.4 -0.9 2.2 0.4 -4.6 5.8 -14.4 6.6 -18.0 -6.8 -14.7 -11.1 -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 -15.4 -9.7 -15.6 -20.0 -0.3 -19.7 -19.4 -7.0 -20.0 HEATOIL 13.2 7.2 -15.6 -2.8 1.5 -4.3 -0.7 -2.2 -1.5 -1.0 -12.3 3.3 -5.6 5.7 -5.7 2.5 17.5 4.4 10.3 -4.1 -11.0 3.2 -5.5 2.1 -17.9 1.9 2.5 -1.9 3.5 -0.0 4.5 1.8 6.8 20.0 15.0 3.2 -7.7 4.0 -11.6 3.9 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 -16.0 -20.0 -20.0 2.8 1.4 2.4 1.8 0.9 2.8 -10.4 -9.4 -12.6 -9.5 -13.5 -13.7 -16.9 -12.7 -15.9 -14.5 -20.0 -19.0 -17.2 -16.3 -20.0 20.0 -4.7 -2.0 -3.4 -3.8 -2.9 -4.9 -19.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 20.0 12.6 -15.7 -1.4 -0.2 -2.7 0.0 -2.5 0.3 -5.6 -7.1 6.0 -8.9 8.1 -2.3 20.0 -15.7 20.0 -9.2 -2.2 -12.6 2.8 -14.3 5.5 9.4 -3.4 -0.4 -5.7 -0.2 -5.5 -0.8 -20.0 -2.4 2.4 -9.3 -20.0 -6.2 3.9 15.8 19.0 LIVECOW 1.4 15.9 15.7 -2.7 -0.4 -5.2 0.1 -4.7 0.5 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 16.3 20.0 20.0 -20.0 -20.0 -19.0 -20.0 LUMBER-new 18.9 7.3 -2.9 -3.2 -0.5 -5.6 0.1 -4.4 0.6 -20.0 -19.7 11.2 -20.0 14.0 -2.2 -9.0 -12.9 -12.9 -13.1 5.1 -7.4 3.7 -11.3 13.0 NaN 2.7 -9.2 -1.9 -1.5 -3.1 4.7 -20.0 12.7 4.1 18.9 14.4 -20.0 -20.0 -20.0 -20.0 MILK -19.5 -19.2 -19.4 -1.6 -0.3 -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 8.7 14.0 20.0 5.1 2.6 4.5 3.2 1.6 5.1 20.0 20.0 20.0 20.0 20.0 20.0 18.7 17.6 18.3 17.8 20.0 20.0 19.8 20.0 20.0 -20.0 9.1 3.8 9.8 5.0 9.8 7.3 20.0 20.0 9.3 20.0 20.0 20.0 4.5 20.0 20.0 NASDAQ_micro 3.0 20.0 20.0 2.8 7.1 3.7 3.3 3.1 1.9 11.0 13.6 9.8 4.0 12.1 13.4 -10.1 -6.8 -9.6 -8.5 20.0 20.0 12.3 14.0 20.0 -20.0 5.1 2.2 4.8 2.2 3.2 3.7 -4.8 3.3 14.3 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 7.6 -5.3 -2.4 2.5 1.3 2.2 1.6 0.8 2.5 6.4 -1.6 1.7 -1.5 -3.3 -3.8 0.1 0.5 0.5 0.5 -2.0 -2.3 1.3 -2.9 -0.6 0.0 -1.0 4.1 -0.9 0.6 -1.4 -0.5 5.0 -0.2 -7.5 -7.9 -9.4 -1.9 -14.8 10.6 9.6 OAT 0.3 2.1 1.9 -2.2 -3.9 -1.7 -3.1 -2.7 -2.6 -4.5 -3.1 -1.7 -7.0 0.5 0.2 6.5 9.8 8.3 9.1 -0.5 -2.4 -2.2 -7.5 -0.4 7.1 0.2 -3.5 -0.2 -1.3 -3.1 -0.2 17.9 5.8 6.9 6.4 4.4 -20.0 -20.0 0.5 -0.8 OATIES 20.0 20.0 13.9 -2.1 -0.3 -4.0 0.1 -3.6 0.4 -2.9 5.2 12.1 -13.1 14.8 13.1 -12.5 2.3 -8.5 -4.5 20.0 9.7 15.4 -2.7 20.0 -20.0 4.7 0.5 1.5 3.0 -0.5 5.7 -13.1 15.7 20.0 20.0 20.0 8.7 20.0 19.8 20.0 OJ -8.5 -4.6 3.9 -1.9 -0.3 -3.7 0.1 -3.3 0.4 -12.6 12.4 -4.2 14.7 3.0 7.9 13.9 17.3 17.7 18.7 9.8 20.0 -4.5 20.0 1.0 -20.0 4.5 -3.1 9.1 -1.4 12.9 0.9 20.0 -8.9 -20.0 15.3 20.0 13.2 8.1 20.0 17.7 PALLAD -13.5 -16.4 2.4 0.7 -0.5 1.2 -0.5 1.2 0.2 -8.4 -9.6 -9.2 -9.7 -9.5 -8.8 -3.3 -2.4 -3.1 -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 -17.4 -11.2 -8.1 -16.0 1.8 -1.0 3.1 PLAT -20.0 -20.0 -2.1 0.8 0.2 1.5 -0.2 1.4 0.3 -3.7 -4.4 -10.1 1.6 -11.6 -8.9 -2.6 -1.6 -2.3 -2.0 -15.5 -5.9 -14.1 -0.0 -20.0 11.2 -3.3 -0.5 -1.0 -2.9 0.1 -4.3 1.7 -9.5 -20.0 -18.9 -6.9 -4.0 -14.4 3.6 -8.9 REDWHEAT 7.6 0.6 5.8 -1.4 -0.2 -2.7 0.0 -2.4 0.3 -8.6 -2.6 -2.8 -9.1 -1.3 2.1 0.8 4.4 3.8 5.0 0.1 -1.9 -5.5 -3.1 -0.3 -11.2 1.3 -3.6 -0.1 -1.6 -0.3 1.2 -2.8 -1.3 -5.8 15.3 11.8 -19.3 -13.8 -4.1 -7.6 RICE 6.3 5.0 -2.8 -2.1 -0.3 -4.0 0.1 -3.7 0.4 -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 -17.1 -13.8 7.9 20.0 -14.1 -20.0 -3.5 -20.0 ROBUSTA -19.8 -1.0 20.0 -1.7 0.2 -3.5 0.3 -3.2 0.4 -9.2 13.7 -8.3 12.1 3.3 11.4 20.0 11.4 17.7 14.2 14.5 20.0 -17.4 17.9 -1.7 -9.3 4.0 -5.0 5.8 -4.5 4.7 -0.3 10.4 -20.0 -10.8 20.0 20.0 -10.7 -20.0 0.9 -18.1 RUSSELL 6.9 17.5 1.8 2.8 7.1 3.7 3.2 3.1 1.9 11.8 -3.3 7.5 -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 4.6 1.3 3.6 0.1 3.8 -0.4 7.4 12.5 13.1 -12.1 -6.9 -6.4 -16.5 -7.4 SHATZ -18.9 -18.7 -15.5 -1.8 -3.3 -1.4 -2.7 -2.3 -2.2 -4.7 -4.2 -6.6 -6.3 -7.2 -5.2 3.5 2.5 0.7 0.2 -9.3 -8.0 -8.5 -10.5 -10.4 11.1 -2.3 -1.6 -1.8 -2.3 -2.6 -2.8 3.5 -0.7 -9.0 -8.5 -0.5 -20.0 -20.0 -20.0 -19.3 SILVER-mini -12.1 -19.3 3.8 1.2 -0.8 2.2 -0.8 2.1 0.4 2.9 2.8 -8.1 3.6 -12.6 -2.7 -6.7 -5.1 -6.4 -5.9 -10.2 -0.7 -9.0 3.7 -14.1 7.0 -1.5 1.7 0.5 0.1 1.0 -1.6 -4.6 -7.1 0.8 -17.5 3.7 -12.6 -20.0 -3.7 -20.0 SMI -11.6 -13.3 12.2 4.2 7.6 5.2 5.0 4.3 3.3 0.8 11.5 -10.6 3.0 -13.8 9.4 -3.3 2.8 -2.2 0.2 -1.1 6.8 -4.0 6.9 -7.0 1.7 -0.4 0.5 1.8 -1.6 0.0 -2.9 11.2 -10.6 -20.0 -20.0 -2.4 -6.5 -12.2 -10.0 -18.5 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 -5.7 -1.0 -0.2 -1.9 0.0 -1.7 0.2 3.7 -2.1 4.2 -3.9 4.1 1.6 8.9 20.0 14.9 19.6 2.7 -1.6 7.6 -2.1 7.0 -17.1 1.2 2.3 -0.5 2.3 -0.6 2.6 20.0 6.7 20.0 11.8 -2.7 -5.6 20.0 1.3 20.0 SOYMEAL 20.0 -4.2 -20.0 -1.0 -0.2 -2.0 0.0 -1.8 0.2 -2.1 -1.7 -2.1 2.0 -2.0 -4.7 20.0 20.0 20.0 20.0 -1.6 -1.8 1.5 1.0 0.9 -18.3 0.8 1.5 -0.0 2.1 0.9 2.4 20.0 11.7 13.3 8.1 -2.0 -6.9 -20.0 0.8 -19.8 SOYOIL 20.0 20.0 -2.9 -0.9 -0.1 -1.8 0.0 -1.6 0.2 6.0 -3.7 6.3 -4.3 6.0 2.9 10.4 9.6 7.6 7.1 4.6 -1.3 11.5 -2.8 9.8 -20.0 1.6 2.8 -0.2 2.6 -0.6 2.7 2.8 8.4 20.0 17.2 2.8 7.5 9.3 19.8 20.0 SP400 14.5 14.4 -0.3 2.9 7.4 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 -11.7 -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 18.6 20.0 20.0 20.0 -5.9 -7.6 -9.7 -8.2 SUGAR11 -20.0 -20.0 7.1 -1.7 -0.3 -3.2 0.1 -2.9 0.3 -6.2 10.0 -8.8 11.4 -8.0 5.1 1.2 17.4 5.9 12.7 0.2 12.9 -18.7 16.3 -13.7 -20.0 0.9 -1.7 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 -8.1 -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 -7.4 -5.8 -7.5 0.7 -2.4 -2.6 -1.2 -2.5 -1.1 -2.8 -11.3 -9.0 -4.1 -9.6 -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 0.3 -2.0 -3.4 -1.6 -2.6 -2.8 -2.4 -5.0 0.2 -4.2 -4.7 -5.2 -4.0 -1.0 -1.2 -1.2 -1.7 -3.7 -3.4 -3.2 -5.9 -3.2 -4.1 -2.5 -2.2 -1.3 -2.2 -1.5 -2.6 -1.4 -5.2 1.9 -4.9 -0.5 -20.0 -20.0 16.2 15.8 US30 4.9 -5.4 -0.2 -2.5 -4.1 -2.0 -3.2 -3.4 -2.9 -4.1 -2.3 0.3 -7.1 -3.6 -6.0 0.0 -0.6 -0.5 -0.8 -3.4 -4.5 -2.1 -9.0 -1.8 -3.8 -2.9 -2.6 -1.8 -2.4 -2.4 -2.7 -0.1 -4.5 6.6 -1.4 -2.3 -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 6.6 -1.1 -0.2 -2.1 0.0 -1.9 0.2 -7.9 -5.7 -2.9 -8.4 0.5 -0.5 -9.4 -8.7 -10.6 -10.2 0.7 -4.2 -6.2 -6.6 1.6 -4.6 0.9 -3.5 -0.8 -1.1 -1.4 1.3 -20.0 -7.9 4.6 12.2 1.8 -16.5 -17.8 -7.6 -9.9 End of report for caleb_strategy_v3