******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230705_204338 produced at 2023-07-05 21:38:07.387197 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.57 -0.98 0.0 0.94 -0.94 -0.57 -0.38 -10.36 10.0 -6 -4 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.71 0.0 0.00 0.00 0.00 0.00 -8.24 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 -6.13 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 -29.02 17.0 -17 -17 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.17 0.0 0.65 -0.65 -0.15 -0.15 -3.33 13.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.39 -0.39 -0.10 -0.10 -24.10 56.0 -15 -15 caleb_strategy_v3 US5 False False 0.04 -0.34 -0.11 0.0 0.95 -0.95 -0.34 -0.34 -2.94 25.0 -9 -9 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.17 24.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.09 0.0 0.20 -0.20 0.00 0.00 -2.80 6.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.68 -0.68 0.00 0.00 -1.53 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 -1.13 19.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -1.08 8.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.19 -0.05 0.0 0.68 -0.68 -0.19 -0.19 -1.00 14.0 -4 -4 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 -18.13 26.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.03 0.0 0.17 -0.17 0.00 0.00 -1.56 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 -2.41 13.0 -6 -6 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.03 0.0 0.00 -0.00 0.00 0.00 -1.26 0.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.67 2.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -1.37 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.50 -0.02 0.0 0.55 -0.55 -0.50 -0.50 -0.47 13.0 -12 -12 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.26 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 -0.12 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 -2.74 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 -0.87 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 -0.38 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 -0.65 68.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.12 -0.12 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 0.15 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 -0.13 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 0.20 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 DOW False False 0.01 0.00 -0.00 0.0 0.41 -0.41 0.00 0.00 -0.24 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 0.06 4.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.00 0.0 0.36 -0.36 0.00 0.00 -0.26 58.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.18 23.0 2 2 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 CAD False False 0.03 0.00 0.01 0.0 0.78 -0.78 0.00 0.00 0.27 29.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.57 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.32 5.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.51 10.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.31 -0.31 0.00 0.00 1.20 26.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.19 0.01 0.0 0.19 -0.19 0.19 0.19 0.13 2.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.22 0.01 0.0 0.25 -0.25 0.22 0.22 0.62 23.0 20 20 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.17 -0.17 0.03 0.03 0.70 18.0 3 3 caleb_strategy_v3 NZD False False 0.02 0.00 0.01 0.0 0.46 -0.46 0.00 0.00 0.34 21.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.39 -0.39 0.00 0.00 2.95 48.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.61 3.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.21 0.02 0.0 0.52 -0.52 0.21 0.21 0.41 10.0 4 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.68 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 2.35 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 1.12 4.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.04 0.0 0.06 -0.06 0.00 0.00 32.26 59.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.04 0.0 0.21 -0.21 0.00 0.00 10.80 51.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.06 0.0 0.34 -0.34 0.00 0.00 3.53 20.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.28 0.06 0.0 0.62 -0.62 0.28 0.28 2.17 22.0 10 10 caleb_strategy_v3 CAC False False 0.03 0.00 0.07 0.0 0.34 -0.34 0.00 0.06 2.42 12.0 0 2 caleb_strategy_v3 GASOLINE False False 0.04 0.04 0.08 0.0 0.15 -0.15 0.04 0.04 2.17 4.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.50 -0.50 0.00 0.00 1.74 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.18 0.09 0.0 0.45 -0.45 0.18 0.18 1.90 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 0.29 0.49 0.0 0.30 -0.30 0.29 0.29 59.47 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.00 1.02 0.0 0.62 -0.62 0.00 0.00 98.15 60.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.00 3.08 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 21.2 Shocked risk 64.4 Sum abs risk 60.8 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 0.6673 0.6860 10.9752 BITCOIN 835.7457 30755.0000 2.7174 43.4789 BOBL 0.3126 115.3100 0.2711 4.3371 BTP 0.6661 115.1700 0.5783 9.2532 BUND 0.6230 132.5300 0.4701 7.5215 BUXL 1.4369 136.0400 1.0562 16.8999 CAC 53.8880 7316.0000 0.7366 11.7852 CAD 0.0030 0.7538 0.3932 6.2914 CANOLA 9.9898 760.8000 1.3131 21.0090 CHF 0.0049 1.1214 0.4401 7.0417 COCOA 40.6669 3359.0000 1.2107 19.3710 COFFEE 3.1159 158.4000 1.9671 31.4736 COPPER 0.0428 3.7645 1.1379 18.2071 CORN 12.9413 494.2500 2.6184 41.8939 COTTON2 1.3338 81.6600 1.6334 26.1341 CRUDE_W 1.1547 71.4000 1.6173 25.8762 DAX 114.8644 16048.0000 0.7158 11.4521 DOW 203.5890 34540.0000 0.5894 9.4309 EUR 0.0051 1.0894 0.4701 7.5224 EURIBOR-ICE 0.0597 96.7900 0.0617 0.9871 EUROSTX 35.5615 4375.0000 0.8128 13.0054 FEEDCOW 1.9266 249.5750 0.7720 12.3515 GASOIL 11.9108 721.0000 1.6520 26.4318 GASOLINE 0.0401 2.4477 1.6373 26.1972 GAS_US_mini 0.0969 2.6450 3.6628 58.6053 GBP 0.0067 1.2700 0.5293 8.4684 GOLD_micro 12.2933 1923.3000 0.6392 10.2268 HEATOIL 0.0398 2.4798 1.6067 25.7069 JGB-SGX-mini 0.2033 148.5000 0.1369 2.1905 JPY 0.0000 0.0070 0.5686 9.0971 LEANHOG 1.2995 80.5250 1.6138 25.8210 LIVECOW 1.1415 177.8500 0.6418 10.2691 LUMBER-new 8.9813 542.5000 1.6555 26.4887 MILK 0.2147 15.8000 1.3591 21.7464 MXP 0.0003 0.0579 0.5428 8.6846 NASDAQ_micro 126.7144 15376.2500 0.8241 13.1855 NIKKEI 298.1411 33605.0000 0.8872 14.1951 NZD 0.0045 0.6182 0.7273 11.6361 OAT 0.6232 127.2200 0.4898 7.8374 OATIES 5.9938 429.5000 1.3955 22.3284 OJ 4.3060 262.5000 1.6404 26.2459 PALLAD 25.5380 1252.0000 2.0398 32.6364 PLAT 13.5802 924.9000 1.4683 23.4926 REDWHEAT 15.2180 842.0000 1.8074 28.9178 RICE 0.1667 15.1400 1.1012 17.6199 ROBUSTA 39.0587 2513.0000 1.5543 24.8683 RUSSELL 19.2948 1896.0000 1.0177 16.2825 SHATZ 0.1026 104.7750 0.0979 1.5669 SILVER-mini 0.3105 23.7000 1.3099 20.9591 SMI 73.4329 11234.0000 0.6537 10.4587 SOFR 0.0718 96.4800 0.0744 1.1904 SOYBEAN 22.9800 1350.5000 1.7016 27.2255 SOYMEAL 8.3296 394.1000 2.1136 33.8172 SOYOIL 1.2344 61.5700 2.0048 32.0775 SP400 22.3171 2634.6000 0.8471 13.5532 SP500_micro 26.0242 4488.7500 0.5798 9.2762 SUGAR11 0.4199 23.5000 1.7870 28.5914 US10 0.4507 111.4219 0.4045 6.4721 US10U 0.5996 117.2812 0.5112 8.1797 US2 0.1261 101.5430 0.1242 1.9868 US20 0.8426 125.3125 0.6724 10.7584 US30 1.2335 134.2500 0.9188 14.7005 US5 0.3039 106.6250 0.2851 4.5609 VIX 0.4787 17.6000 2.7197 43.5158 WHEAT 14.6030 689.5000 2.1179 33.8865 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.30 0.69 457.74 1.00 457.74 46875.0 102.41 -4.11 -42.06 BITCOIN 30.76 2.72 83.57 1.00 83.57 46875.0 560.88 4.78 268.25 BOBL 1153.10 0.27 312.57 1.09 340.66 46875.0 137.60 -8.86 -121.85 BTP 1151.70 0.58 666.06 1.09 725.91 46875.0 64.57 9.43 60.88 BUND 1325.30 0.47 623.02 1.09 679.00 46875.0 69.04 6.34 43.76 BUXL 1360.40 1.06 1436.91 1.09 1566.02 46875.0 29.93 2.25 6.72 CAC 731.60 0.74 538.88 1.09 587.30 46875.0 79.81 9.29 74.18 CAD 753.85 0.39 296.42 1.00 296.42 46875.0 158.14 0.52 8.16 CANOLA 152.16 1.31 199.80 0.75 150.75 46875.0 310.95 16.59 515.75 CHF 1401.75 0.44 616.92 1.00 616.92 46875.0 75.98 -13.47 -102.37 COCOA 335.90 1.21 406.67 1.00 406.67 46875.0 115.27 5.65 65.09 COFFEE 594.00 1.97 1168.46 1.00 1168.46 46875.0 40.12 -9.37 -37.58 COPPER 941.12 1.14 1070.95 1.00 1070.95 46875.0 43.77 -5.33 -23.31 CORN 247.12 2.62 647.06 1.00 647.06 46875.0 72.44 0.97 7.00 COTTON2 408.30 1.63 666.91 1.00 666.91 46875.0 70.29 -0.98 -6.86 CRUDE_W 714.00 1.62 1154.73 1.00 1154.73 46875.0 40.59 0.64 2.58 DAX 160.48 0.72 114.86 1.09 125.18 46875.0 374.45 -0.21 -7.99 DOW 172.70 0.59 101.79 1.00 101.79 46875.0 460.49 -0.24 -10.86 EUR 1361.75 0.47 640.22 1.00 640.22 46875.0 73.22 -4.21 -30.83 EURIBOR-ICE 2419.75 0.06 149.29 1.09 162.70 46875.0 288.10 -11.53 -332.19 EUROSTX 437.50 0.81 355.62 1.09 387.57 46875.0 120.95 8.94 108.13 FEEDCOW 1247.88 0.77 963.32 1.00 963.32 46875.0 48.66 -6.52 -31.71 GASOIL 721.00 1.65 1191.08 1.00 1191.08 46875.0 39.35 5.80 22.82 GASOLINE 1028.03 1.64 1683.23 1.00 1683.23 46875.0 27.85 15.90 44.29 GAS_US_mini 66.12 3.66 242.20 1.00 242.20 46875.0 193.53 -7.65 -148.00 GBP 793.75 0.53 420.11 1.00 420.11 46875.0 111.58 5.97 66.66 GOLD_micro 192.33 0.64 122.93 1.00 122.93 46875.0 381.31 -16.69 -636.27 HEATOIL 1041.52 1.61 1673.39 1.00 1673.39 46875.0 28.01 4.47 12.51 JGB-SGX-mini 148500.00 0.14 20330.17 0.01 140.47 46875.0 333.70 19.23 641.57 JPY 873.94 0.57 496.90 1.00 496.90 46875.0 94.34 -20.00 -188.67 LEANHOG 322.10 1.61 519.81 1.00 519.81 46875.0 90.18 -4.28 -38.55 LIVECOW 711.40 0.64 456.59 1.00 456.59 46875.0 102.66 20.00 205.33 LUMBER-new 149.19 1.66 246.99 1.00 246.99 46875.0 189.79 -8.00 -151.85 MILK 316.00 1.36 429.49 1.00 429.49 46875.0 109.14 -20.00 -218.28 MXP 289.50 0.54 157.14 1.00 157.14 46875.0 298.31 20.00 596.61 NASDAQ_micro 307.53 0.82 253.43 1.00 253.43 46875.0 184.96 1.50 27.69 NIKKEI 33605.00 0.89 29814.11 0.01 206.00 46875.0 227.55 20.00 455.09 NZD 618.20 0.73 449.59 1.00 449.59 46875.0 104.26 1.00 10.38 OAT 1272.20 0.49 623.17 1.09 679.16 46875.0 69.02 8.09 55.83 OATIES 214.75 1.40 299.69 1.00 299.69 46875.0 156.41 0.61 9.50 OJ 393.75 1.64 645.90 1.00 645.90 46875.0 72.57 17.58 127.56 PALLAD 1252.00 2.04 2553.80 1.00 2553.80 46875.0 18.35 -9.66 -17.73 PLAT 462.45 1.47 679.01 1.00 679.01 46875.0 69.03 -5.97 -41.19 REDWHEAT 421.00 1.81 760.90 1.00 760.90 46875.0 61.60 -1.66 -10.20 RICE 302.80 1.10 333.46 1.00 333.46 46875.0 140.57 9.09 127.73 ROBUSTA 251.30 1.55 390.59 1.00 390.59 46875.0 120.01 9.75 117.03 RUSSELL 94.80 1.02 96.47 1.00 96.47 46875.0 485.88 -0.42 -20.49 SHATZ 1047.75 0.10 102.61 1.09 111.83 46875.0 419.17 -5.58 -234.09 SILVER-mini 592.50 1.31 776.14 1.00 776.14 46875.0 60.39 -5.49 -33.17 SMI 1123.40 0.65 734.33 1.12 818.78 46875.0 57.25 0.14 0.79 SOFR 2412.00 0.07 179.45 1.00 179.45 46875.0 261.22 -5.43 -141.92 SOYBEAN 675.25 1.70 1149.00 1.00 1149.00 46875.0 40.80 15.90 64.87 SOYMEAL 394.10 2.11 832.96 1.00 832.96 46875.0 56.28 12.66 71.24 SOYOIL 369.42 2.00 740.63 1.00 740.63 46875.0 63.29 9.99 63.22 SP400 2634.60 0.85 2231.71 1.00 2231.71 46875.0 21.00 1.88 3.96 SP500_micro 224.44 0.58 130.12 1.00 130.12 46875.0 360.24 3.67 132.08 SUGAR11 263.20 1.79 470.33 1.00 470.33 46875.0 99.66 3.81 37.94 US10 1114.22 0.40 450.71 1.00 450.71 46875.0 104.00 -12.18 -126.65 US10U 1172.81 0.51 599.58 1.00 599.58 46875.0 78.18 -4.96 -38.80 US2 2030.86 0.12 252.19 1.00 252.19 46875.0 185.87 -20.00 -371.75 US20 1253.12 0.67 842.60 1.00 842.60 46875.0 55.63 -3.90 -21.69 US30 1342.50 0.92 1233.46 1.00 1233.46 46875.0 38.00 -2.55 -9.68 US5 1066.25 0.29 303.94 1.00 303.94 46875.0 154.22 -15.75 -242.92 VIX 176.00 2.72 478.67 1.00 478.67 46875.0 97.93 -20.00 -195.85 WHEAT 344.75 2.12 730.15 1.00 730.15 46875.0 64.20 -11.91 -76.49 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -42.061 0.013 2.5 -1.367 BITCOIN 268.254 0.048 2.5 32.260 BOBL -121.850 0.004 2.5 -1.130 BTP 60.877 0.012 2.5 1.899 BUND 43.757 0.004 2.5 0.406 BUXL 6.721 0.004 2.5 0.062 CAC 74.184 0.013 2.5 2.424 CAD 8.157 0.013 2.5 0.265 CANOLA 515.749 0.008 2.5 10.805 CHF -102.367 0.013 2.5 -3.327 COCOA 65.094 0.007 2.5 1.201 COFFEE -37.582 0.004 2.5 -0.378 COPPER -23.313 0.048 2.5 -2.804 CORN 7.000 0.008 2.5 0.147 COTTON2 -6.860 0.007 2.5 -0.127 CRUDE_W 2.578 0.049 2.5 0.316 DAX -7.988 0.013 2.5 -0.261 DOW -10.857 0.009 2.5 -0.242 EUR -30.825 0.013 2.5 -1.002 EURIBOR-ICE -332.192 0.012 2.5 -10.363 EUROSTX 108.130 0.013 2.5 3.533 FEEDCOW -31.707 0.014 2.5 -1.081 GASOIL 22.823 0.020 2.5 1.119 GASOLINE 44.292 0.020 2.5 2.172 GAS_US_mini -148.001 0.049 2.5 -18.127 GBP 66.664 0.013 2.5 2.167 GOLD_micro -636.269 0.015 2.5 -24.102 HEATOIL 12.513 0.020 2.5 0.613 JGB-SGX-mini 641.568 0.052 2.5 83.840 JPY -188.671 0.013 2.5 -6.133 LEANHOG -38.553 0.025 2.5 -2.410 LIVECOW 205.326 0.014 2.5 6.998 LUMBER-new -151.854 0.007 2.5 -2.738 MILK -218.282 0.007 2.5 -4.027 MXP 596.613 0.066 2.5 98.148 NASDAQ_micro 27.691 0.009 2.5 0.618 NIKKEI 455.092 0.052 2.5 59.472 NZD 10.385 0.013 2.5 0.338 OAT 55.826 0.012 2.5 1.741 OATIES 9.503 0.008 2.5 0.199 OJ 127.560 0.007 2.5 2.353 PALLAD -17.733 0.015 2.5 -0.672 PLAT -41.194 0.015 2.5 -1.560 REDWHEAT -10.204 0.005 2.5 -0.117 RICE 127.731 0.008 2.5 2.676 ROBUSTA 117.033 0.004 2.5 1.177 RUSSELL -20.493 0.013 2.5 -0.653 SHATZ -234.093 0.004 2.5 -2.171 SILVER-mini -33.165 0.015 2.5 -1.256 SMI 0.787 0.013 2.5 0.026 SOFR -141.921 0.023 2.5 -8.239 SOYBEAN 64.865 0.003 2.5 0.520 SOYMEAL 71.244 0.003 2.5 0.571 SOYOIL 63.217 0.003 2.5 0.507 SP400 3.956 0.013 2.5 0.126 SP500_micro 132.076 0.009 2.5 2.950 SUGAR11 37.940 0.007 2.5 0.695 US10 -126.651 0.005 2.5 -1.533 US10U -38.804 0.005 2.5 -0.470 US2 -371.746 0.005 2.5 -4.500 US20 -21.695 0.005 2.5 -0.263 US30 -9.684 0.005 2.5 -0.117 US5 -242.918 0.005 2.5 -2.940 VIX -195.854 0.059 2.5 -29.021 WHEAT -76.490 0.005 2.5 -0.874 ===================== Position diags ===================== AUD 3.33 BITCOIN 67.45 BOBL 1.28 BTP 2.01 BUND 0.64 BUXL 0.28 CAC 2.61 CAD 5.14 CANOLA 6.51 CHF 2.47 COCOA 2.13 COFFEE 0.40 COPPER 5.26 CORN 1.52 COTTON2 1.30 CRUDE_W 4.97 DAX 12.23 DOW 10.28 EUR 2.38 EURIBOR-ICE 8.99 EUROSTX 3.95 FEEDCOW 1.66 GASOIL 1.93 GASOLINE 1.37 GAS_US_mini 23.70 GBP 3.63 GOLD_micro 14.44 HEATOIL 1.37 JGB-SGX-mini 43.61 JPY 3.07 LEANHOG 5.64 LIVECOW 3.50 LUMBER-new 3.42 MILK 2.01 MXP 49.07 NASDAQ_micro 4.13 NIKKEI 29.74 NZD 3.39 OAT 2.15 OATIES 3.28 OJ 1.34 PALLAD 0.70 PLAT 2.62 REDWHEAT 0.70 RICE 2.95 ROBUSTA 1.21 RUSSELL 15.47 SHATZ 3.89 SILVER-mini 2.29 SMI 1.87 SOFR 15.16 SOYBEAN 0.33 SOYMEAL 0.45 SOYOIL 0.51 SP400 0.67 SP500_micro 8.04 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 -1.4 -1.7 -1.0 NaN 0 BITCOIN 32.3 25.5 39.0 0.0 0 BOBL -1.1 -1.3 -1.0 NaN 0 BTP 1.9 1.7 2.1 4.0 4 BUND 0.4 0.3 0.5 4.0 4 BUXL 0.1 0.0 0.1 NaN 0 CAC 2.4 2.2 2.7 NaN 0 CAD 0.3 -0.2 0.8 NaN 0 CANOLA 10.8 10.2 11.5 NaN 0 CHF -3.3 -3.6 -3.1 -3.0 -3 COCOA 1.2 1.0 1.4 NaN 0 COFFEE -0.4 -0.4 -0.3 NaN 0 COPPER -2.8 -3.3 -2.3 NaN 0 CORN 0.1 -0.0 0.3 5.0 5 COTTON2 -0.1 -0.3 0.0 NaN 0 CRUDE_W 0.3 -0.2 0.8 NaN 0 DAX -0.3 -1.5 1.0 NaN 0 DOW -0.2 -1.3 0.8 NaN 0 EUR -1.0 -1.2 -0.8 -4.0 -4 EURIBOR-ICE -10.4 -11.3 -9.5 -6.0 -6 EUROSTX 3.5 3.1 3.9 0.0 0 FEEDCOW -1.1 -1.2 -0.9 NaN 0 GASOIL 1.1 0.9 1.3 0.0 0 GASOLINE 2.2 2.0 2.3 1.0 1 GAS_US_mini -18.1 -20.5 -15.8 NaN 0 GBP 2.2 1.8 2.5 10.0 10 GOLD_micro -24.1 -25.5 -22.7 -15.0 -15 HEATOIL 0.6 0.5 0.8 0.0 0 JGB-SGX-mini 83.8 79.5 88.2 NaN 0 JPY -6.1 -6.4 -5.8 -11.0 -11 LEANHOG -2.4 -3.0 -1.8 -6.0 -6 LIVECOW 7.0 6.6 7.3 NaN 0 LUMBER-new -2.7 -3.1 -2.4 NaN 0 MILK -4.0 -4.2 -3.8 NaN 0 MXP 98.1 93.2 103.1 NaN 0 NASDAQ_micro 0.6 0.2 1.0 20.0 20 NIKKEI 59.5 56.5 62.4 35.0 35 NZD 0.3 -0.0 0.7 NaN 0 OAT 1.7 1.5 2.0 NaN 0 OATIES 0.2 -0.1 0.5 NaN 0 OJ 2.4 2.2 2.5 NaN 0 PALLAD -0.7 -0.7 -0.6 NaN 0 PLAT -1.6 -1.8 -1.3 NaN 0 REDWHEAT -0.1 -0.2 -0.0 NaN 0 RICE 2.7 2.4 3.0 NaN 0 ROBUSTA 1.2 1.1 1.3 2.0 2 RUSSELL -0.7 -2.2 0.9 NaN 0 SHATZ -2.2 -2.6 -1.8 NaN 0 SILVER-mini -1.3 -1.5 -1.0 NaN 0 SMI 0.0 -0.2 0.2 1.0 1 SOFR -8.2 -9.8 -6.7 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.5 0.6 NaN 0 SOYOIL 0.5 0.5 0.6 NaN 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 2.9 2.1 3.8 NaN 0 SUGAR11 0.7 0.5 0.9 3.0 3 US10 -1.5 -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 -0.3 -0.2 NaN 0 US30 -0.1 -0.2 -0.1 NaN 0 US5 -2.9 -3.1 -2.8 -9.0 -9 VIX -29.0 -30.5 -27.6 -17.0 -17 WHEAT -0.9 -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 -0.5 -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 -0.0 0.4 0.2 -0.2 0.1 0.1 -0.3 -0.2 -0.3 -0.2 0.1 0.1 0.2 0.1 0.2 -1.1 0.0 0.0 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 -0.1 -0.2 -0.1 -0.0 -1.2 -0.0 -0.7 -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 -0.0 -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 0.0 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 0.1 0.4 0.5 0.3 -0.3 -0.3 -0.0 0.0 BUND -0.1 -0.0 -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 0.4 0.5 -0.0 -0.0 -0.0 -0.2 -0.0 0.3 -0.0 -0.1 -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 0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.1 -0.0 -0.0 -0.1 0.0 0.7 0.4 0.4 0.3 0.1 -0.3 -0.3 0.1 0.1 CAC 0.1 -0.5 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.4 0.1 0.6 0.0 0.1 -0.3 0.1 -0.0 0.1 0.0 0.1 0.1 0.4 0.1 -0.3 0.0 0.0 0.2 0.1 0.3 0.1 1.7 0.3 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 0.0 -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 -0.3 -0.1 0.4 0.2 -0.3 -0.3 -0.3 -0.1 CANOLA 0.5 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 0.0 0.8 1.1 1.2 1.2 0.0 -0.0 0.2 -0.1 0.1 -1.1 0.0 0.1 -0.0 0.0 -0.1 0.0 3.2 0.6 0.5 0.2 -0.2 -0.2 0.3 0.0 0.3 CHF 0.1 -0.2 0.1 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 -0.1 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 0.2 0.1 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.4 0.2 0.5 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 0.1 -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 -0.5 -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 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.4 -0.0 -0.1 -0.5 -0.1 -0.3 -0.0 -0.2 CORN 0.1 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 -0.0 -0.0 -0.0 -0.0 0.0 0.4 -0.7 -0.1 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 -0.4 0.1 -0.5 0.1 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.1 0.2 0.5 0.3 0.4 -0.0 -0.1 0.1 -0.1 0.0 -0.2 0.0 0.1 -0.0 0.0 0.0 0.0 -1.6 0.2 0.1 0.1 0.3 0.1 0.2 0.1 0.0 DAX -0.1 -0.3 0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.4 -0.1 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 -0.4 -0.2 -0.2 -0.1 0.2 -0.0 0.3 0.0 DOW 0.2 0.1 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 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 0.2 -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 -0.2 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 -0.1 0.0 -0.0 0.0 0.0 -1.2 -0.4 -0.0 -0.3 -0.1 -0.1 -0.3 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 0.0 -0.3 0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.6 0.1 0.1 -0.3 0.0 -0.2 -0.1 0.1 0.1 0.1 0.4 0.1 0.3 0.0 0.0 0.2 0.0 0.3 0.0 1.2 0.1 0.1 -0.1 -0.1 0.2 -0.0 0.3 0.1 FEEDCOW -0.5 -0.1 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -1.2 -1.2 -1.2 -1.2 0.2 0.2 0.2 0.4 0.2 0.4 0.1 0.1 0.2 0.1 0.2 0.0 -3.2 0.7 -0.0 0.5 0.5 -0.0 -0.3 0.1 -0.2 GASOIL 0.3 0.3 -0.4 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.1 0.1 -0.0 0.3 0.9 0.3 0.6 -0.0 -0.1 0.1 -0.1 0.0 0.5 -0.0 0.1 -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 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.1 0.0 -0.1 0.1 0.0 1.2 1.1 1.2 1.2 0.0 0.0 0.1 0.1 0.0 -1.1 0.0 0.1 0.1 0.0 0.2 0.1 1.9 0.2 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 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.3 0.0 -0.4 0.1 -0.0 -0.2 -0.8 -0.9 -1.0 -0.0 -0.2 0.0 -0.4 0.0 0.8 0.0 -0.0 -0.0 0.0 -0.1 0.0 -3.2 0.2 0.5 0.4 0.1 0.1 0.3 0.0 0.0 GBP 0.2 0.1 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 -0.1 -0.0 0.1 0.2 0.1 0.1 0.2 0.3 GOLD_micro -0.4 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.1 0.2 -0.2 -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 0.1 -0.3 -0.5 -0.1 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.3 0.2 -0.4 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.2 0.1 -0.0 0.2 1.0 0.3 0.6 -0.0 -0.1 0.1 -0.1 0.0 -1.0 0.0 0.1 -0.0 0.0 0.0 0.0 0.3 0.2 0.5 0.4 0.1 -0.1 0.1 -0.1 0.0 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 -0.4 -0.2 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.1 -0.6 -0.5 -0.5 -0.5 -0.3 -0.3 -0.3 -0.3 LEANHOG 0.5 0.4 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 1.2 -0.9 1.2 -0.4 -0.0 -0.1 0.1 -0.3 0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -3.2 -0.1 -0.0 -0.2 -0.5 -0.1 0.0 0.2 0.3 LIVECOW -0.0 0.4 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 0.5 0.2 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 0.2 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.4 0.2 -0.1 -0.0 0.1 -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 -0.1 -0.0 -0.0 -0.1 0.0 -3.4 -0.1 -0.1 0.4 0.3 -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 -0.4 -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 0.4 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 -0.0 0.5 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.2 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 0.3 0.5 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 0.0 -0.0 0.0 -0.0 -0.0 0.8 0.1 -0.1 -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 -0.1 -0.2 -0.0 0.4 -0.0 -0.1 -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 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 0.1 -0.4 0.1 0.1 -0.8 0.1 -0.5 -0.3 0.2 0.1 0.2 -0.0 0.2 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -2.1 0.3 0.5 0.5 0.5 0.1 0.3 0.3 0.3 OJ -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.0 0.4 0.0 0.1 0.8 1.0 1.0 1.1 0.1 0.2 0.0 0.4 0.0 -1.1 0.0 -0.0 0.2 -0.0 0.4 0.0 3.2 -0.1 -0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.3 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.4 -0.4 -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 -0.1 -0.1 -0.0 -0.2 0.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.3 -0.1 -0.5 -0.5 -0.2 -0.0 -0.2 0.1 -0.1 REDWHEAT 0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.3 -0.0 0.0 0.0 0.3 0.2 0.3 0.0 -0.0 0.0 -0.1 0.0 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.4 -0.4 -0.2 0.3 0.3 -0.3 -0.2 -0.1 -0.1 RICE 0.1 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.1 -0.1 -0.1 0.0 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 -0.5 0.1 0.4 -0.2 -0.3 -0.0 -0.3 ROBUSTA -0.5 -0.1 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 0.9 0.1 0.2 -0.2 0.4 -0.0 -0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 1.7 -0.7 -0.4 0.5 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.1 0.4 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -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 0.2 0.4 -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 0.1 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 0.1 -0.2 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.3 -0.4 0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 0.1 -0.0 0.1 -0.1 -0.0 -0.4 -0.3 -0.4 -0.3 -0.1 -0.0 -0.0 0.1 -0.1 0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.7 0.4 0.1 -0.4 0.1 -0.2 -0.3 -0.0 -0.3 SMI -0.3 -0.4 0.3 0.0 0.0 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 -0.1 -0.5 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 SOFR -0.3 -0.4 0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -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 0.1 -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 0.0 0.5 0.3 -0.0 -0.1 0.3 0.0 0.3 SOYMEAL 0.5 -0.0 -0.5 -0.0 0.0 -0.0 0.0 -0.0 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 -0.9 0.0 0.0 -0.0 0.0 0.0 0.0 3.2 -0.1 0.3 0.2 -0.0 -0.1 -0.3 -0.0 -0.3 SOYOIL 0.5 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 0.7 0.6 0.5 0.4 0.0 -0.0 0.2 -0.1 0.1 -1.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.5 0.6 0.5 0.5 0.1 0.1 0.1 0.2 0.3 SP400 0.3 0.4 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -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 0.4 0.3 -0.3 -0.1 -0.1 -0.2 -0.1 SP500_micro 0.3 0.5 0.5 0.0 0.0 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 0.1 0.1 0.1 -0.9 0.7 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 -0.0 0.2 -0.1 0.3 -0.1 0.0 0.1 1.0 0.3 0.7 -0.0 0.1 -0.1 0.3 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 2.5 -0.7 -0.5 -0.3 0.5 -0.3 -0.3 0.1 -0.1 US10 -0.2 -0.4 -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 -0.1 -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 0.0 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 -0.2 -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 -0.1 -0.1 -0.1 -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 -0.0 -0.0 -0.0 -0.0 -0.2 0.1 0.1 -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 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.2 0.0 -0.0 -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 -0.1 -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 -0.1 -0.1 -0.3 -0.0 -0.3 -0.3 0.0 -0.2 VIX -0.5 -0.8 -0.8 -0.1 -0.0 -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 -0.5 -0.5 -0.6 -0.6 0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -3.2 -0.6 0.0 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 2.0 3.2 -1.1 3.0 0.6 2.7 1.6 1.0 2.8 -2.9 -4.1 -6.9 -5.6 -0.9 -0.7 -2.3 -2.6 -2.7 -2.8 -1.1 -2.6 -4.7 -4.9 -2.5 1.8 -0.1 -1.5 -0.7 -2.5 -1.9 -1.2 -0.5 -15.1 -12.4 -4.7 -10.8 -4.8 -20.0 13.5 16.3 BITCOIN 17.5 -0.6 9.6 1.5 -0.5 2.9 -0.5 2.8 0.4 -1.2 17.3 19.4 -7.1 17.0 16.2 -5.4 -2.7 -4.5 -3.6 14.2 12.3 18.3 4.4 19.9 -20.0 5.1 2.3 3.8 7.5 2.3 8.1 -0.4 20.0 20.0 16.8 0.1 0.6 20.0 2.4 20.0 BOBL -10.9 -8.6 -5.0 -1.9 -3.4 -1.4 -3.0 -2.3 -2.4 -6.6 -2.6 -6.5 -6.1 -6.5 -3.7 -20.0 -0.0 -11.2 -4.9 -4.8 -4.5 -5.9 -8.0 -5.8 9.4 -1.9 -2.7 -1.3 -2.6 -2.7 -2.5 -2.2 3.7 -1.9 -1.6 2.3 -20.0 -20.0 -17.4 -14.7 BTP -0.5 7.5 10.3 -3.0 -5.4 -2.3 -4.7 -3.6 -3.9 -9.4 9.0 -4.8 -3.4 5.7 7.6 5.6 9.2 7.1 8.1 5.3 4.5 -5.4 -2.2 1.8 -6.8 3.1 -5.2 3.3 -2.7 0.2 1.0 16.4 4.0 15.5 19.8 12.0 -20.0 -20.0 -3.5 3.1 BUND -2.0 -0.6 -0.9 -2.0 -3.6 -1.5 -3.1 -2.4 -2.6 -6.1 -2.8 -3.2 -6.6 -3.3 -2.3 6.5 9.6 6.9 7.8 -1.8 -3.1 -4.0 -8.0 -2.1 5.2 -0.7 -4.2 -0.7 -2.2 -2.9 -1.1 16.3 5.7 4.6 3.8 3.4 -20.0 -20.0 -8.5 -4.1 BUXL 11.3 6.8 -3.1 -2.4 -4.3 -1.8 -3.7 -2.8 -3.1 -5.8 -6.7 2.8 -8.9 4.6 -2.5 1.9 1.2 2.0 2.0 0.5 -4.2 -0.3 -11.2 2.8 -0.3 1.0 -5.5 -0.7 -0.3 -3.8 1.8 4.3 10.5 15.4 10.0 3.5 -20.0 -20.0 10.0 9.4 CAC 3.6 -19.3 5.6 5.0 1.8 6.5 3.9 5.4 3.6 8.1 18.6 11.2 20.0 5.3 12.6 -5.8 2.0 -0.8 1.1 5.9 15.8 10.5 20.0 6.6 -5.7 5.6 2.3 7.3 8.4 9.5 7.5 11.0 8.3 20.0 -5.2 -7.6 14.6 -4.1 18.4 -2.7 CAD 10.1 12.6 13.5 4.9 0.9 4.3 2.6 1.6 4.6 -17.4 11.9 2.7 -10.2 15.3 17.5 -2.3 -1.9 -2.5 -2.3 16.0 8.5 0.1 -3.8 12.7 -1.4 6.3 -3.8 3.9 -0.2 -0.4 4.7 0.5 -8.7 -4.6 16.4 6.4 -20.0 -20.0 -20.0 -9.1 CANOLA 20.0 19.7 -3.0 -1.0 1.4 -2.1 0.8 -1.9 0.4 7.9 -4.5 8.5 -7.6 7.8 1.4 13.8 18.1 20.0 20.0 3.1 -5.1 17.0 -7.2 12.0 -20.0 0.3 5.8 -2.3 4.9 -2.7 3.1 20.0 17.3 20.0 7.9 -9.5 -12.9 20.0 1.6 20.0 CHF 5.8 -9.5 5.7 3.9 0.7 3.5 2.1 1.3 3.7 -11.4 10.0 3.2 11.5 -2.5 3.4 -14.1 -12.7 -14.1 -13.5 1.6 5.9 -2.0 6.9 0.1 -8.1 1.5 -4.0 4.1 -1.3 3.8 0.4 -18.3 -3.6 -9.1 -12.9 -0.2 -13.8 -20.0 -13.3 -20.0 COCOA 6.2 4.4 14.0 -2.4 3.5 -5.1 1.9 -4.8 1.0 12.7 20.0 18.1 19.4 20.0 20.0 -1.5 -0.9 -0.5 -0.3 20.0 20.0 20.0 20.0 20.0 -8.0 8.5 7.6 7.6 7.8 5.8 8.5 -11.9 20.0 20.0 20.0 20.0 -17.8 -20.0 10.9 -12.5 COFFEE -20.0 -15.7 5.3 -1.8 2.7 -3.9 1.4 -3.7 0.8 -15.0 0.6 -16.5 -5.3 -16.2 -12.2 3.3 4.1 4.7 4.6 -14.9 -6.0 -20.0 -4.8 -20.0 -20.0 -2.5 -6.7 0.2 -8.5 -0.1 -6.7 -3.4 -20.0 -20.0 -5.9 15.3 -20.0 -20.0 -5.9 -20.0 COPPER 6.3 -2.8 -12.4 1.0 -0.3 2.0 -0.3 1.9 0.3 -5.3 -3.5 -6.1 -4.5 1.4 -5.1 -2.4 -1.2 -2.2 -1.7 -6.1 -5.8 -6.4 -3.7 -4.7 -3.6 -2.9 -0.6 -3.2 -2.7 -1.9 -2.0 2.4 -11.1 -0.4 -6.0 -20.0 -4.3 -20.0 -0.4 -18.1 CORN 4.7 20.0 -1.0 -0.8 1.2 -1.8 0.7 -1.7 0.4 -6.9 -3.1 -6.5 -4.2 -3.2 -1.8 -3.4 9.6 0.2 5.4 -1.0 -1.6 -13.8 -1.6 -5.1 -7.5 0.7 -3.7 -0.7 -1.7 -1.1 0.7 2.7 -20.0 -2.7 11.4 1.0 -5.4 18.3 -2.1 20.0 COTTON2 -9.1 3.7 6.6 -1.3 1.9 -2.8 1.0 -2.6 0.6 7.7 0.4 2.5 -9.1 0.6 3.0 8.3 6.4 5.9 4.1 -0.2 -1.8 2.7 -4.9 -0.9 -19.0 -1.0 6.2 -0.7 -0.1 -0.6 -2.1 -2.7 3.8 -18.2 5.8 8.7 -20.0 -16.8 4.3 6.6 CRUDE_W 4.5 -1.2 -6.1 -2.4 4.5 -4.1 1.1 -2.1 -0.6 10.9 -6.9 8.3 -9.1 1.4 -6.9 3.7 8.2 5.3 6.4 -4.1 -6.2 5.4 -3.4 0.3 -4.5 1.2 7.4 -0.8 4.8 0.9 3.3 -10.3 4.7 5.8 4.8 10.6 8.2 12.8 9.0 2.1 DAX -5.5 -11.5 8.5 4.5 1.6 5.8 3.4 4.8 3.2 -1.9 17.3 -7.3 17.5 -2.0 11.8 -8.5 -6.2 -8.2 -7.6 4.7 14.7 -3.1 18.7 -1.6 17.7 2.7 -3.3 7.9 -1.7 9.3 -1.0 -3.6 -12.2 -8.2 -8.0 -5.9 12.7 -2.5 20.0 1.0 DOW 6.1 5.3 5.2 3.8 1.3 4.9 2.9 4.0 2.7 11.4 5.9 9.6 6.1 11.4 12.1 -9.5 -6.1 -8.7 -7.8 7.7 5.2 11.0 3.1 9.7 -8.4 4.8 8.0 3.3 6.5 2.4 6.0 -3.7 10.9 17.7 6.2 -0.2 -4.7 -2.8 -19.0 -0.7 EUR 12.6 -7.6 2.4 3.7 0.7 3.2 1.9 1.2 3.4 -13.6 9.7 2.3 5.0 1.4 0.8 -6.6 -6.9 -6.7 -6.7 1.4 3.3 -2.3 2.0 1.7 13.7 1.3 -4.7 2.1 -1.0 1.0 1.4 -7.5 -10.5 -1.9 -10.7 -4.4 -7.1 -19.1 2.8 17.9 EURIBOR-ICE -16.9 -13.1 0.3 -1.9 -3.4 -1.4 -2.9 -2.2 -2.4 -6.3 -3.6 -7.0 -6.4 -7.1 -4.7 -12.6 -7.2 -10.3 -9.1 -6.7 -5.6 -8.4 -8.9 -8.5 16.3 -2.1 -2.3 -1.5 -2.7 -2.7 -2.8 -12.9 0.9 -6.2 -5.9 0.9 -20.0 -20.0 20.0 2.4 EUROSTX 1.7 -11.0 8.2 4.7 1.7 6.1 3.6 5.0 3.4 8.6 20.0 10.8 20.0 11.1 17.3 -5.2 0.7 -3.9 -1.6 9.2 17.2 8.2 20.0 7.3 5.3 5.3 1.0 8.8 5.3 10.7 4.7 7.8 4.4 4.6 -2.3 -4.2 15.3 -0.8 20.0 4.0 FEEDCOW -18.7 -2.6 15.1 -2.0 3.1 -4.5 1.6 -4.2 0.9 10.9 16.8 13.3 16.0 13.2 14.8 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 20.0 20.0 8.2 6.2 11.4 8.0 8.4 7.4 5.5 -20.0 20.0 -0.7 20.0 20.0 -3.5 -20.0 10.8 -18.8 GASOIL 13.6 11.9 -14.7 -2.2 4.2 -3.8 1.0 -1.9 -0.6 9.2 -9.7 5.5 -4.3 7.9 -2.5 4.5 15.4 5.8 10.2 -1.4 -8.9 7.2 -4.5 4.8 9.4 -0.3 5.8 -3.8 3.6 -3.1 2.6 0.0 5.0 12.1 6.7 -1.4 -4.4 4.8 -6.7 -4.4 GASOLINE 3.9 3.8 -3.6 -3.0 5.7 -5.1 1.4 -2.6 -0.8 13.1 5.4 3.5 -5.4 8.9 1.1 20.0 19.3 20.0 20.0 2.3 1.1 5.7 5.4 4.0 -20.0 5.5 4.3 3.9 4.9 5.8 6.1 12.0 4.9 18.2 20.0 20.0 7.3 11.8 10.5 -5.0 GAS_US_mini 20.0 18.7 0.3 -2.1 4.1 -3.7 1.0 -1.9 -0.6 -9.2 -14.5 5.9 -14.7 7.0 -4.9 -2.7 -13.6 -14.4 -16.1 -2.1 -20.0 2.6 -20.0 5.1 15.1 2.5 -1.2 -1.8 2.2 -3.2 4.4 -20.0 6.7 20.0 14.0 5.5 3.9 19.8 1.9 2.4 GBP 7.6 2.2 12.4 4.1 0.7 3.6 2.1 1.4 3.8 3.4 16.6 4.6 6.4 9.3 14.2 0.4 -1.3 -0.6 -1.1 11.7 12.4 2.6 6.1 8.0 -0.8 5.4 0.3 5.0 1.1 1.1 3.7 2.1 -3.7 -0.2 4.5 8.9 3.8 9.5 11.7 20.0 GOLD_micro -14.7 -20.0 1.2 1.3 -0.4 2.5 -0.4 2.4 0.4 -3.4 5.5 -15.1 6.7 -18.5 -8.4 -14.9 -11.1 -13.7 -12.6 -15.3 -0.1 -12.8 8.6 -19.9 -11.6 -4.2 0.8 0.5 -2.6 3.4 -5.3 -15.5 4.4 -11.3 -20.0 -2.4 -20.0 -19.7 -6.8 -20.0 HEATOIL 13.3 8.6 -15.1 -2.5 4.7 -4.3 1.2 -2.2 -0.7 9.9 -12.2 7.6 -5.8 7.9 -4.9 2.6 17.4 4.4 10.2 -3.1 -10.6 8.1 -5.4 4.3 -18.2 2.3 6.4 -1.6 5.2 0.0 5.2 1.7 6.8 20.0 15.7 3.9 -7.3 3.9 -11.2 3.6 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 -16.4 -20.0 -20.0 2.9 0.5 2.6 1.5 1.0 2.7 -11.3 -9.9 -13.0 -9.8 -13.8 -14.1 -17.0 -12.8 -16.0 -14.6 -20.0 -20.0 -16.5 -17.1 -20.0 20.0 -4.8 -1.8 -3.5 -3.6 -3.0 -4.8 -19.3 -17.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 20.0 15.3 -13.4 -1.3 2.0 -2.9 1.1 -2.7 0.6 8.7 -7.2 7.6 -9.3 9.2 -1.5 20.0 -14.4 20.0 -6.7 -1.7 -12.8 5.5 -14.9 6.4 10.0 -3.5 -0.4 -6.0 -0.3 -5.8 -0.8 -20.0 -2.0 -0.8 -8.8 -20.0 -6.1 3.8 16.2 19.4 LIVECOW -1.6 15.4 16.8 -2.4 3.7 -5.3 1.9 -5.0 1.1 10.1 20.0 14.0 19.6 18.1 19.2 20.0 13.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 11.1 8.1 7.3 7.1 7.1 5.6 7.7 20.0 20.0 9.5 20.0 20.0 -20.0 -20.0 -18.6 -20.0 LUMBER-new 15.3 8.0 -2.2 -2.8 4.2 -5.6 2.3 -4.6 1.2 -20.0 -19.5 5.7 -20.0 12.6 -2.1 -9.3 -12.9 -12.9 -13.1 4.7 -7.2 0.0 -11.1 10.5 NaN 2.7 -9.1 -1.9 -1.5 -3.1 4.7 -20.0 -4.1 -5.3 14.3 13.2 -20.0 -20.0 -20.0 -20.0 MILK -18.8 -18.3 -19.4 -1.4 2.0 -3.0 1.1 -2.8 0.6 -11.5 -13.6 -12.7 -13.3 -13.2 -13.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.2 -4.8 -3.8 -3.9 -4.7 -3.0 -5.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.2 -20.0 MXP 7.7 15.2 20.0 5.2 1.0 4.6 2.7 1.7 4.9 20.0 20.0 20.0 20.0 20.0 20.0 18.9 17.6 18.4 17.8 20.0 20.0 20.0 20.0 20.0 -20.0 9.2 3.8 10.0 5.1 9.9 7.4 20.0 20.0 7.4 20.0 20.0 20.0 4.5 20.0 20.0 NASDAQ_micro -0.1 20.0 20.0 3.0 1.1 3.9 2.3 3.2 2.2 12.2 13.8 11.6 4.3 12.7 13.7 -10.2 -6.9 -9.7 -8.5 20.0 20.0 13.9 14.4 20.0 -20.0 5.1 2.2 4.8 2.2 3.2 3.7 -4.9 9.3 19.3 20.0 20.0 -7.1 -8.7 -11.8 -9.9 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 7.3 -5.5 -2.6 2.5 0.5 2.2 1.3 0.8 2.4 8.3 -1.8 2.3 -1.5 -2.4 -3.6 0.7 0.6 0.7 0.6 -1.8 -2.2 2.4 -2.9 -0.0 0.0 -0.9 3.7 -0.9 1.3 -1.4 -0.1 5.2 1.7 -5.8 -8.4 -9.5 -1.4 -14.6 11.0 9.7 OAT -0.9 2.2 1.7 -2.2 -4.0 -1.7 -3.5 -2.6 -2.9 -7.2 -3.3 -4.4 -7.1 -0.6 -0.4 6.4 9.8 8.2 9.1 -0.9 -2.5 -4.4 -7.7 -1.6 7.2 -0.1 -5.2 -0.3 -2.7 -3.2 -0.9 17.8 5.7 6.6 6.4 4.5 -20.0 -20.0 0.1 -0.7 OATIES 20.0 20.0 15.4 -1.9 2.8 -4.1 1.5 -3.9 0.8 13.3 6.1 14.8 -13.2 15.9 14.1 -13.1 2.1 -8.9 -4.8 20.0 11.2 20.0 -2.1 20.0 -20.0 4.8 0.5 1.5 3.1 -0.5 5.9 -13.3 7.7 20.0 20.0 20.0 8.1 20.0 19.0 20.0 OJ -5.3 -2.4 4.2 -1.8 2.6 -3.8 1.4 -3.6 0.8 10.9 12.8 3.1 15.1 3.9 8.3 13.9 17.3 17.6 18.6 10.3 20.0 2.9 20.0 3.1 -20.0 4.6 -3.2 9.3 -1.5 13.2 0.9 20.0 -2.8 -20.0 19.2 20.0 13.2 7.8 20.0 17.4 PALLAD -11.9 -17.6 1.0 0.6 -0.2 1.2 -0.2 1.2 0.2 -3.3 -9.6 -8.2 -9.7 -9.3 -8.9 -3.2 -2.4 -3.0 -2.8 -14.3 -14.3 -11.8 -16.2 -15.1 -5.3 -3.0 -3.3 -2.4 -3.9 -2.4 -3.9 0.4 -15.4 -17.9 -14.1 -9.0 -16.1 1.5 -0.9 2.8 PLAT -20.0 -20.0 -2.8 0.8 -0.3 1.6 -0.3 1.5 0.2 1.6 -4.8 -9.5 1.4 -11.6 -9.3 -2.6 -1.6 -2.3 -2.1 -16.1 -6.5 -12.0 -0.3 -19.4 11.4 -3.3 0.0 -1.1 -2.3 0.1 -4.1 1.7 -3.8 -20.0 -20.0 -7.2 -3.5 -14.4 3.9 -9.0 REDWHEAT 10.0 1.3 5.7 -1.2 1.9 -2.7 1.0 -2.5 0.5 0.1 -2.2 0.1 -9.2 -0.5 2.5 0.8 4.3 3.7 4.9 0.6 -1.7 1.1 -3.1 1.2 -11.3 1.3 -3.6 -0.1 -1.6 -0.3 1.2 -2.7 -12.9 -6.0 11.7 11.3 -19.9 -14.3 -4.0 -7.6 RICE 2.9 5.3 -2.1 -1.8 2.7 -3.9 1.4 -3.6 0.8 -13.3 -5.0 -10.9 -3.1 5.0 6.3 20.0 20.0 20.0 20.0 -0.0 -3.1 -10.9 -2.8 -2.5 -20.0 1.0 -9.0 -0.7 -6.6 -1.3 -1.2 20.0 -18.1 -20.0 5.3 18.0 -13.1 -20.0 -2.7 -20.0 ROBUSTA -20.0 -2.9 20.0 -1.6 2.3 -3.4 1.2 -3.2 0.7 -10.6 13.1 -9.9 11.8 1.8 10.5 20.0 11.5 18.0 14.4 12.9 20.0 -18.3 17.8 -3.9 -9.2 3.6 -4.7 5.6 -4.6 4.7 -0.9 10.8 -20.0 -17.6 20.0 20.0 -10.3 -20.0 1.3 -17.7 RUSSELL 3.3 17.1 2.8 3.1 1.1 3.9 2.3 3.3 2.2 8.4 -3.2 7.1 -6.6 9.3 5.6 -6.1 -4.6 -5.9 -5.5 7.3 1.9 7.5 -3.3 8.7 -0.7 3.2 4.8 1.3 3.7 0.1 3.9 -0.4 6.7 6.3 14.2 -11.4 -6.4 -6.4 -17.0 -7.6 SHATZ -19.3 -19.6 -16.7 -1.9 -3.4 -1.4 -2.9 -2.2 -2.4 -5.4 -4.4 -6.8 -6.3 -7.3 -5.5 2.0 2.4 0.2 -0.1 -9.8 -8.5 -8.7 -11.0 -10.8 11.1 -2.4 -1.5 -1.9 -2.3 -2.6 -2.8 3.2 1.5 -8.4 -8.5 -1.0 -20.0 -20.0 -20.0 -19.6 SILVER-mini -11.7 -18.0 2.4 1.2 -0.4 2.3 -0.4 2.2 0.3 14.3 2.7 -5.8 3.6 -10.7 -3.4 -6.7 -5.1 -6.4 -5.9 -10.1 -0.9 -3.2 3.7 -12.1 7.4 -1.6 1.7 0.5 0.1 1.0 -1.7 -4.6 11.3 2.6 -15.9 3.4 -12.3 -20.0 -3.3 -20.0 SMI -11.6 -14.3 11.9 4.2 1.5 5.4 3.2 4.5 3.0 -3.0 11.4 -11.2 3.0 -14.2 9.1 -3.3 2.7 -2.2 0.2 -1.4 6.7 -4.8 7.0 -7.2 1.8 -0.6 -1.2 1.7 -2.1 -0.0 -3.0 11.1 -3.9 -20.0 -20.0 -2.1 -6.7 -12.1 -10.3 -18.3 SOFR -11.2 -16.3 4.0 -2.4 -4.2 -1.8 -3.6 -2.8 -3.0 -8.6 1.6 -9.0 -1.5 -9.1 -2.2 -2.5 -0.3 -0.9 -0.6 -5.7 -1.6 -13.1 -2.0 -9.7 -1.4 -2.3 -4.0 -0.5 -3.4 -0.3 -3.4 0.4 -4.1 -3.2 -9.4 4.2 -20.0 -20.0 -9.4 0.1 SOYBEAN 20.0 20.0 -4.7 -0.8 1.3 -1.8 0.7 -1.7 0.4 5.0 -1.7 4.8 -3.6 4.5 2.1 9.2 20.0 14.8 19.4 3.1 -1.2 8.0 -1.9 7.3 -16.3 1.1 2.2 -0.5 2.2 -0.6 2.5 20.0 0.9 20.0 13.6 -1.1 -6.1 20.0 0.3 20.0 SOYMEAL 20.0 -1.7 -20.0 -0.9 1.3 -1.9 0.7 -1.8 0.4 -1.5 -1.7 -2.1 1.8 -2.0 -4.3 20.0 20.0 20.0 20.0 -1.4 -1.7 0.9 1.0 0.7 -17.2 0.7 1.4 -0.0 2.0 0.8 2.2 20.0 -4.5 13.7 9.3 -1.7 -7.1 -20.0 -0.0 -19.4 SOYOIL 20.0 20.0 -1.1 -0.8 1.2 -1.7 0.6 -1.6 0.3 6.6 -3.3 6.7 -4.1 6.3 3.4 11.0 9.7 7.9 7.3 5.5 -0.8 14.0 -2.5 11.2 -20.0 1.5 2.8 -0.2 2.6 -0.6 2.7 3.2 18.8 20.0 18.6 4.3 6.8 9.0 18.8 20.0 SP400 11.5 15.1 0.6 3.2 1.1 4.1 2.4 3.4 2.3 9.6 -0.9 11.8 -0.0 12.4 7.1 -4.7 -4.3 -5.1 -4.9 9.6 3.5 14.1 0.2 14.0 -9.0 3.4 6.6 1.1 5.9 0.4 5.4 0.4 16.6 17.7 13.8 -12.6 -5.2 -8.1 -12.0 -8.7 SP500_micro 11.1 20.0 20.0 4.3 1.5 5.5 3.3 4.6 3.1 16.7 18.8 17.1 2.4 17.8 19.0 -11.8 -7.2 -10.4 -8.9 20.0 20.0 20.0 11.9 20.0 -16.8 7.1 6.5 5.5 6.0 3.2 7.0 -5.5 20.0 20.0 20.0 20.0 -5.6 -7.7 -9.7 -8.5 SUGAR11 -20.0 -20.0 6.5 -1.4 2.1 -3.1 1.1 -2.9 0.6 -1.0 9.4 -6.5 10.7 -6.8 4.6 1.0 17.3 5.7 12.4 -0.2 11.9 -11.6 15.4 -11.8 -20.0 0.9 -1.6 5.0 -4.2 6.3 -3.1 16.1 -20.0 -20.0 -10.3 20.0 -20.0 -19.3 7.1 -10.4 US10 -8.1 -17.9 -2.8 -2.0 -3.6 -1.5 -3.1 -2.4 -2.5 -7.3 -2.1 -7.7 -5.5 -8.0 -5.0 -9.1 -6.1 -9.1 -8.4 -7.4 -4.8 -10.2 -5.9 -8.9 0.7 -2.4 -2.6 -1.2 -2.5 -1.1 -2.8 -11.4 -1.8 -2.9 -9.7 -1.1 -20.0 -20.0 10.5 2.8 US10U -3.8 -12.7 -1.3 -2.7 -4.9 -2.1 -4.2 -3.2 -3.5 -9.9 -1.9 -10.0 -7.2 -10.3 -6.7 1.8 -0.4 -0.9 -1.4 -7.4 -5.4 -11.0 -7.8 -8.7 -4.0 -3.2 -3.1 -1.5 -3.0 -1.4 -3.5 -0.4 1.3 0.6 -9.3 -1.5 -20.0 -20.0 17.7 15.4 US2 -20.0 -20.0 -20.0 -1.9 -3.3 -1.4 -2.9 -2.2 -2.4 -6.8 -4.7 -7.5 -6.0 -7.8 -6.6 -20.0 -17.3 -20.0 -20.0 -15.0 -10.6 -13.8 -10.2 -16.0 7.0 -2.5 -2.3 -1.6 -2.4 -1.7 -2.8 -20.0 -7.2 -12.1 -17.8 -5.2 -20.0 -14.2 -20.0 -9.5 US20 0.6 -8.9 -0.2 -2.2 -3.9 -1.7 -3.4 -2.6 -2.8 -7.6 -0.1 -6.2 -4.7 -6.1 -4.6 -1.1 -1.2 -1.3 -1.7 -4.3 -3.6 -7.0 -5.9 -4.7 -4.1 -2.5 -2.2 -1.3 -2.2 -1.5 -2.6 -1.4 2.7 3.5 -3.8 -0.6 -20.0 -20.0 17.0 16.2 US30 4.0 -4.2 -0.4 -2.7 -4.8 -2.0 -4.1 -3.2 -3.4 -9.0 -2.8 -4.5 -7.1 -4.9 -6.5 0.0 -0.6 -0.5 -0.8 -3.8 -4.6 -5.9 -9.0 -3.4 -3.8 -2.9 -2.5 -1.8 -2.3 -2.4 -2.7 -0.1 5.1 7.9 0.3 -1.6 -20.0 -20.0 20.0 20.0 US5 -12.0 -20.0 -5.9 -1.9 -3.4 -1.5 -3.0 -2.3 -2.5 -7.0 -2.7 -7.6 -5.6 -7.9 -5.2 -14.2 -7.6 -12.3 -10.6 -9.0 -5.8 -11.2 -6.5 -10.7 3.0 -2.4 -2.6 -1.2 -2.5 -1.2 -2.8 -14.5 -3.9 -5.5 -12.1 -1.8 -20.0 -20.0 3.5 -12.6 VIX -13.1 -20.0 -20.0 -7.2 -2.4 -6.4 -4.7 -5.6 -6.7 -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 -20.0 NaN -8.4 -4.4 -7.2 -6.0 -6.6 -8.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 7.6 -0.9 1.4 -2.0 0.7 -1.8 0.4 -4.7 -5.3 -3.1 -8.0 0.2 -0.6 -9.2 -8.7 -10.5 -10.2 0.5 -4.0 -3.9 -6.3 1.1 -4.4 0.8 -3.3 -0.8 -1.1 -1.3 1.2 -20.0 -19.4 1.3 10.2 1.2 -16.4 -17.9 -7.6 -9.7 End of report for caleb_strategy_v3