******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230706_204346 produced at 2023-07-06 21:38:11.255239 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.93 0.0 0.94 -0.94 -0.38 -0.47 -9.87 10.0 -4 -5 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.77 0.0 0.00 0.00 0.00 0.00 -8.93 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 -4.60 13.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.34 -0.19 0.0 0.53 -0.53 -0.34 -0.38 -6.13 17.0 -11 -12 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.18 0.0 0.11 -0.11 -0.11 -0.10 -29.02 17.0 -17 -16 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.18 0.0 0.38 -0.38 -0.10 -0.10 -25.58 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 -3.26 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 -3.00 25.0 -9 -9 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.10 0.0 0.20 -0.20 0.00 -0.03 -3.12 6.0 0 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.32 24.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.67 -0.67 0.00 0.00 -1.55 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 -1.14 19.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -20.66 26.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.11 5.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.35 -0.35 0.00 0.00 -1.05 8.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.20 -0.05 0.0 0.68 -0.68 -0.20 -0.20 -0.96 14.0 -4 -4 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.45 -0.45 0.00 0.00 -1.59 19.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.03 0.0 0.16 -0.16 0.00 -0.02 -1.69 10.0 0 -1 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 SILVER-mini False False 0.02 0.00 -0.03 0.0 0.00 -0.00 0.00 0.00 -1.48 0.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.04 -0.02 0.0 0.40 -0.40 0.04 0.00 -0.35 9.0 1 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.78 -0.78 0.00 0.00 -0.76 29.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.50 -0.02 0.0 0.54 -0.54 -0.50 -0.50 -0.49 13.0 -12 -12 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.02 0.0 0.15 -0.15 -0.07 -0.07 -1.69 13.0 -6 -6 caleb_strategy_v3 DAX False False 0.01 0.00 -0.02 0.0 0.35 -0.35 0.00 0.00 -4.03 58.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.23 -0.23 0.00 0.00 -2.39 68.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.28 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.28 -0.28 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.61 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 -0.91 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 DOW False False 0.01 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -1.76 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 0.04 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.22 0.00 0.0 0.25 -0.25 0.22 0.21 0.25 23.0 20 19 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.25 2.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.05 0.00 0.0 0.11 -0.11 0.05 0.04 0.12 12.0 5 4 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.10 11.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.13 8.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.17 -0.17 0.03 0.03 0.68 18.0 3 3 caleb_strategy_v3 SP400 False False 0.09 0.19 0.01 0.0 0.19 -0.19 0.19 0.19 0.07 2.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.50 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 0.59 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.17 -0.17 0.05 0.05 0.54 7.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.31 -0.31 0.00 0.00 1.05 26.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.22 23.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.45 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.01 0.0 0.46 -0.46 0.00 0.00 0.23 21.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 1.92 48.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.20 0.02 0.0 0.51 -0.51 0.20 0.20 0.36 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 0.67 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 1.21 4.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.68 4.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.00 0.03 0.0 0.33 -0.33 0.00 0.06 1.03 12.0 0 2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.03 0.0 0.33 -0.33 0.00 0.00 1.57 20.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.03 0.0 0.06 -0.06 0.00 0.00 27.58 59.0 0 0 caleb_strategy_v3 OJ False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 2.50 3.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.04 0.0 0.21 -0.21 0.00 0.00 10.95 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.28 0.07 0.0 0.63 -0.63 0.28 0.28 2.50 22.0 10 10 caleb_strategy_v3 BTP False False 0.04 0.18 0.07 0.0 0.44 -0.44 0.18 0.18 1.48 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.49 -0.49 0.00 0.00 1.48 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.08 0.0 0.13 -0.13 0.03 0.03 2.37 4.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.18 0.0 0.43 -0.43 0.00 0.00 7.11 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.50 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 0.87 0.0 0.61 -0.61 0.00 0.16 85.52 60.0 0 16 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.00 3.10 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 20.2 Shocked risk 57.9 Sum abs risk 61.2 Leverage 8.34 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 0.0045 0.6642 0.6832 10.9315 BITCOIN 824.3701 30520.0000 2.7011 43.2173 BOBL 0.3239 114.7900 0.2822 4.5147 BTP 0.7460 113.4600 0.6575 10.5205 BUND 0.6607 131.3200 0.5031 8.0497 BUXL 1.4717 134.0800 1.0977 17.5626 CAC 66.1786 7113.0000 0.9304 14.8862 CAD 0.0030 0.7496 0.4068 6.5080 CANOLA 9.9483 760.3000 1.3085 20.9356 CHF 0.0049 1.1245 0.4350 6.9606 COCOA 41.7692 3320.0000 1.2581 20.1297 COFFEE 3.0795 160.6000 1.9175 30.6800 COPPER 0.0419 3.7445 1.1188 17.9014 CORN 12.9128 507.7500 2.5431 40.6903 COTTON2 1.3815 84.0000 1.6447 26.3148 CRUDE_W 1.1274 71.1000 1.5856 25.3699 DAX 132.1460 15663.0000 0.8437 13.4989 DOW 213.8515 34147.0000 0.6263 10.0203 EUR 0.0051 1.0924 0.4651 7.4408 EURIBOR-ICE 0.0628 96.6850 0.0650 1.0396 EUROSTX 41.7673 4255.0000 0.9816 15.7057 FEEDCOW 1.9614 247.2500 0.7933 12.6923 GASOIL 11.6774 718.2500 1.6258 26.0130 GASOLINE 0.0393 2.2350 1.7592 28.1465 GAS_US_mini 0.0956 2.6100 3.6622 58.5948 GBP 0.0066 1.2745 0.5216 8.3455 GOLD_micro 12.0354 1916.5000 0.6280 10.0478 HEATOIL 0.0389 2.4704 1.5737 25.1791 JGB-SGX-mini 0.2033 148.5000 0.1369 2.1905 JPY 0.0000 0.0070 0.5672 9.0748 LEANHOG 1.2901 81.7000 1.5790 25.2644 LIVECOW 1.1241 177.5000 0.6333 10.1323 LUMBER-new 9.0266 553.0000 1.6323 26.1168 MILK 0.2104 15.5900 1.3496 21.5934 MXP 0.0004 0.0572 0.6308 10.0925 NASDAQ_micro 126.9963 15234.7500 0.8336 13.3375 NIKKEI 298.1411 33605.0000 0.8872 14.1951 NZD 0.0044 0.6158 0.7214 11.5426 OAT 0.6805 125.7900 0.5410 8.6556 OATIES 6.0927 440.2500 1.3839 22.1426 OJ 4.3128 266.9500 1.6156 25.8496 PALLAD 24.9009 1239.5000 2.0089 32.1431 PLAT 13.5334 908.3000 1.4900 23.8396 REDWHEAT 14.8061 842.2500 1.7579 28.1267 RICE 0.1629 15.1700 1.0737 17.1797 ROBUSTA 38.1985 2509.0000 1.5225 24.3593 RUSSELL 20.1112 1854.2000 1.0846 17.3541 SHATZ 0.1018 104.6850 0.0973 1.5560 SILVER-mini 0.3186 23.2125 1.3726 21.9622 SMI 79.0787 11041.0000 0.7162 11.4596 SOFR 0.0758 96.3050 0.0787 1.2586 SOYBEAN 22.4805 1342.2500 1.6748 26.7974 SOYMEAL 8.0991 393.1000 2.0603 32.9652 SOYOIL 1.2649 59.8300 2.1142 33.8276 SP400 23.0099 2596.4000 0.8862 14.1796 SP500_micro 26.8923 4447.7500 0.6046 9.6740 SUGAR11 0.4109 23.2400 1.7681 28.2894 US10 0.4602 110.6094 0.4161 6.6572 US10U 0.6145 116.2500 0.5286 8.4570 US2 0.1234 101.4102 0.1217 1.9470 US20 0.8666 123.9375 0.6992 11.1877 US30 1.2660 132.6875 0.9541 15.2657 US5 0.3051 106.1250 0.2875 4.5996 VIX 0.4787 17.6500 2.7120 43.3925 WHEAT 14.4048 675.2500 2.1333 34.1320 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.15 0.68 453.76 1.00 453.76 46875.0 103.30 -4.73 -48.88 BITCOIN 30.52 2.70 82.44 1.00 82.44 46875.0 568.62 4.03 229.34 BOBL 1147.90 0.28 323.90 1.09 352.37 46875.0 133.03 -9.27 -123.32 BTP 1134.60 0.66 746.04 1.09 811.61 46875.0 57.76 8.19 47.33 BUND 1313.20 0.50 660.68 1.09 718.75 46875.0 65.22 5.91 38.57 BUXL 1340.80 1.10 1471.74 1.09 1601.11 46875.0 29.28 1.60 4.69 CAC 711.30 0.93 661.79 1.09 719.96 46875.0 65.11 4.83 31.45 CAD 749.55 0.41 304.88 1.00 304.88 46875.0 153.75 -1.52 -23.40 CANOLA 152.06 1.31 198.97 0.76 150.38 46875.0 311.71 16.77 522.71 CHF 1405.62 0.44 611.50 1.00 611.50 46875.0 76.66 -13.08 -100.25 COCOA 332.00 1.26 417.69 1.00 417.69 46875.0 112.22 5.09 57.10 COFFEE 602.25 1.92 1154.81 1.00 1154.81 46875.0 40.59 -9.27 -37.64 COPPER 936.12 1.12 1047.37 1.00 1047.37 46875.0 44.75 -5.80 -25.95 CORN 253.88 2.54 645.64 1.00 645.64 46875.0 72.60 0.79 5.73 COTTON2 420.00 1.64 690.76 1.00 690.76 46875.0 67.86 0.77 5.26 CRUDE_W 711.00 1.59 1127.38 1.00 1127.38 46875.0 41.58 0.89 3.71 DAX 156.63 0.84 132.15 1.09 143.76 46875.0 326.06 -3.79 -123.50 DOW 170.74 0.63 106.93 1.00 106.93 46875.0 438.39 -1.80 -78.73 EUR 1365.50 0.47 635.03 1.00 635.03 46875.0 73.82 -4.00 -29.51 EURIBOR-ICE 2417.12 0.06 157.05 1.09 170.85 46875.0 274.36 -11.53 -316.45 EUROSTX 425.50 0.98 417.67 1.09 454.39 46875.0 103.16 4.65 47.96 FEEDCOW 1236.25 0.79 980.68 1.00 980.68 46875.0 47.80 -6.46 -30.86 GASOIL 718.25 1.63 1167.74 1.00 1167.74 46875.0 40.14 6.12 24.58 GASOLINE 938.70 1.76 1651.32 1.00 1651.32 46875.0 28.39 17.06 48.42 GAS_US_mini 65.25 3.66 238.96 1.00 238.96 46875.0 196.17 -8.60 -168.69 GBP 796.56 0.52 415.48 1.00 415.48 46875.0 112.82 6.82 76.89 GOLD_micro 191.65 0.63 120.35 1.00 120.35 46875.0 389.48 -17.34 -675.20 HEATOIL 1037.57 1.57 1632.81 1.00 1632.81 46875.0 28.71 4.77 13.69 JGB-SGX-mini 148500.00 0.14 20330.17 0.01 140.47 46875.0 333.70 19.23 641.57 JPY 876.81 0.57 497.31 1.00 497.31 46875.0 94.26 -20.00 -188.52 LEANHOG 326.80 1.58 516.03 1.00 516.03 46875.0 90.84 -2.97 -27.02 LIVECOW 710.00 0.63 449.62 1.00 449.62 46875.0 104.25 20.00 208.51 LUMBER-new 152.08 1.63 248.23 1.00 248.23 46875.0 188.84 -7.66 -144.71 MILK 311.80 1.35 420.80 1.00 420.80 46875.0 111.39 -20.00 -222.79 MXP 285.90 0.63 180.34 1.00 180.34 46875.0 259.93 20.00 519.85 NASDAQ_micro 304.70 0.83 253.99 1.00 253.99 46875.0 184.55 0.61 11.34 NIKKEI 33605.00 0.89 29814.11 0.01 206.00 46875.0 227.55 20.00 455.09 NZD 615.75 0.72 444.21 1.00 444.21 46875.0 105.52 0.67 7.05 OAT 1257.90 0.54 680.49 1.09 740.31 46875.0 63.32 7.49 47.41 OATIES 220.12 1.38 304.63 1.00 304.63 46875.0 153.87 0.76 11.75 OJ 400.42 1.62 646.93 1.00 646.93 46875.0 72.46 18.69 135.41 PALLAD 1239.50 2.01 2490.09 1.00 2490.09 46875.0 18.82 -9.71 -18.27 PLAT 454.15 1.49 676.67 1.00 676.67 46875.0 69.27 -6.43 -44.56 REDWHEAT 421.12 1.76 740.30 1.00 740.30 46875.0 63.32 -1.85 -11.69 RICE 303.40 1.07 325.77 1.00 325.77 46875.0 143.89 8.90 128.07 ROBUSTA 250.90 1.52 381.99 1.00 381.99 46875.0 122.71 9.87 121.11 RUSSELL 92.71 1.08 100.56 1.00 100.56 46875.0 466.16 -1.61 -75.01 SHATZ 1046.85 0.10 101.81 1.09 110.76 46875.0 423.23 -5.92 -250.53 SILVER-mini 580.31 1.37 796.56 1.00 796.56 46875.0 58.85 -6.65 -39.15 SMI 1104.10 0.72 790.79 1.11 881.17 46875.0 53.20 -2.03 -10.78 SOFR 2407.63 0.08 189.38 1.00 189.38 46875.0 247.51 -6.22 -153.84 SOYBEAN 671.12 1.67 1124.03 1.00 1124.03 46875.0 41.70 16.07 67.03 SOYMEAL 393.10 2.06 809.91 1.00 809.91 46875.0 57.88 12.77 73.92 SOYOIL 358.98 2.11 758.96 1.00 758.96 46875.0 61.76 10.05 62.08 SP400 2596.40 0.89 2300.99 1.00 2300.99 46875.0 20.37 1.12 2.28 SP500_micro 222.39 0.60 134.46 1.00 134.46 46875.0 348.61 2.46 85.91 SUGAR11 260.29 1.77 460.21 1.00 460.21 46875.0 101.86 3.63 36.98 US10 1106.09 0.42 460.22 1.00 460.22 46875.0 101.85 -12.57 -128.05 US10U 1162.50 0.53 614.45 1.00 614.45 46875.0 76.29 -5.34 -40.77 US2 2028.20 0.12 246.81 1.00 246.81 46875.0 189.92 -20.00 -379.85 US20 1239.38 0.70 866.61 1.00 866.61 46875.0 54.09 -4.29 -23.19 US30 1326.88 0.95 1265.98 1.00 1265.98 46875.0 37.03 -2.88 -10.66 US5 1061.25 0.29 305.09 1.00 305.09 46875.0 153.65 -16.14 -248.00 VIX 176.50 2.71 478.67 1.00 478.67 46875.0 97.93 -20.00 -195.85 WHEAT 337.62 2.13 720.24 1.00 720.24 46875.0 65.08 -12.20 -79.42 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -48.880 0.013 2.5 -1.589 BITCOIN 229.342 0.048 2.5 27.581 BOBL -123.323 0.004 2.5 -1.144 BTP 47.329 0.012 2.5 1.476 BUND 38.570 0.004 2.5 0.358 BUXL 4.694 0.004 2.5 0.044 CAC 31.449 0.013 2.5 1.027 CAD -23.395 0.013 2.5 -0.760 CANOLA 522.711 0.008 2.5 10.951 CHF -100.254 0.013 2.5 -3.259 COCOA 57.100 0.007 2.5 1.053 COFFEE -37.644 0.004 2.5 -0.379 COPPER -25.949 0.048 2.5 -3.121 CORN 5.731 0.008 2.5 0.120 COTTON2 5.257 0.007 2.5 0.097 CRUDE_W 3.715 0.049 2.5 0.455 DAX -123.504 0.013 2.5 -4.035 DOW -78.728 0.009 2.5 -1.758 EUR -29.512 0.013 2.5 -0.959 EURIBOR-ICE -316.452 0.012 2.5 -9.872 EUROSTX 47.963 0.013 2.5 1.567 FEEDCOW -30.862 0.014 2.5 -1.052 GASOIL 24.585 0.020 2.5 1.205 GASOLINE 48.424 0.020 2.5 2.374 GAS_US_mini -168.693 0.049 2.5 -20.661 GBP 76.894 0.013 2.5 2.499 GOLD_micro -675.198 0.015 2.5 -25.576 HEATOIL 13.692 0.020 2.5 0.671 JGB-SGX-mini 641.568 0.052 2.5 83.840 JPY -188.516 0.013 2.5 -6.128 LEANHOG -27.023 0.025 2.5 -1.689 LIVECOW 208.509 0.014 2.5 7.107 LUMBER-new -144.715 0.007 2.5 -2.611 MILK -222.789 0.007 2.5 -4.110 MXP 519.851 0.066 2.5 85.520 NASDAQ_micro 11.335 0.009 2.5 0.253 NIKKEI 455.092 0.052 2.5 59.472 NZD 7.048 0.013 2.5 0.229 OAT 47.410 0.012 2.5 1.479 OATIES 11.755 0.008 2.5 0.246 OJ 135.411 0.007 2.5 2.498 PALLAD -18.272 0.015 2.5 -0.692 PLAT -44.558 0.015 2.5 -1.688 REDWHEAT -11.689 0.005 2.5 -0.134 RICE 128.071 0.008 2.5 2.683 ROBUSTA 121.114 0.004 2.5 1.218 RUSSELL -75.008 0.013 2.5 -2.388 SHATZ -250.529 0.004 2.5 -2.323 SILVER-mini -39.151 0.015 2.5 -1.483 SMI -10.778 0.013 2.5 -0.352 SOFR -153.843 0.023 2.5 -8.931 SOYBEAN 67.027 0.003 2.5 0.537 SOYMEAL 73.917 0.003 2.5 0.592 SOYOIL 62.076 0.003 2.5 0.498 SP400 2.276 0.013 2.5 0.072 SP500_micro 85.914 0.009 2.5 1.919 SUGAR11 36.983 0.007 2.5 0.678 US10 -128.053 0.005 2.5 -1.550 US10U -40.771 0.005 2.5 -0.494 US2 -379.849 0.005 2.5 -4.598 US20 -23.187 0.005 2.5 -0.281 US30 -10.664 0.005 2.5 -0.129 US5 -248.004 0.005 2.5 -3.002 VIX -195.854 0.059 2.5 -29.021 WHEAT -79.420 0.005 2.5 -0.907 ===================== Position diags ===================== AUD 3.36 BITCOIN 68.38 BOBL 1.23 BTP 1.80 BUND 0.60 BUXL 0.27 CAC 2.13 CAD 5.00 CANOLA 6.53 CHF 2.49 COCOA 2.07 COFFEE 0.41 COPPER 5.38 CORN 1.52 COTTON2 1.25 CRUDE_W 5.09 DAX 10.65 DOW 9.79 EUR 2.40 EURIBOR-ICE 8.56 EUROSTX 3.37 FEEDCOW 1.63 GASOIL 1.97 GASOLINE 1.39 GAS_US_mini 24.03 GBP 3.67 GOLD_micro 14.75 HEATOIL 1.41 JGB-SGX-mini 43.61 JPY 3.06 LEANHOG 5.68 LIVECOW 3.55 LUMBER-new 3.41 MILK 2.06 MXP 42.76 NASDAQ_micro 4.12 NIKKEI 29.74 NZD 3.43 OAT 1.98 OATIES 3.22 OJ 1.34 PALLAD 0.71 PLAT 2.62 REDWHEAT 0.72 RICE 3.01 ROBUSTA 1.23 RUSSELL 14.84 SHATZ 3.93 SILVER-mini 2.23 SMI 1.74 SOFR 14.37 SOYBEAN 0.33 SOYMEAL 0.46 SOYOIL 0.50 SP400 0.65 SP500_micro 7.79 SUGAR11 1.87 US10 1.23 US10U 0.92 US2 2.30 US20 0.65 US30 0.45 US5 1.86 VIX 14.51 WHEAT 0.74 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.6 -1.9 -1.3 NaN 0 BITCOIN 27.6 20.7 34.4 0.0 0 BOBL -1.1 -1.3 -1.0 NaN 0 BTP 1.5 1.3 1.7 4.0 4 BUND 0.4 0.3 0.4 4.0 4 BUXL 0.0 0.0 0.1 NaN 0 CAC 1.0 0.8 1.2 NaN 0 CAD -0.8 -1.3 -0.3 NaN 0 CANOLA 11.0 10.3 11.6 NaN 0 CHF -3.3 -3.5 -3.0 -3.0 -3 COCOA 1.1 0.8 1.3 NaN 0 COFFEE -0.4 -0.4 -0.3 NaN 0 COPPER -3.1 -3.7 -2.6 NaN 0 CORN 0.1 -0.0 0.3 5.0 5 COTTON2 0.1 -0.0 0.2 NaN 0 CRUDE_W 0.5 -0.1 1.0 NaN 0 DAX -4.0 -5.1 -3.0 NaN 0 DOW -1.8 -2.7 -0.8 NaN 0 EUR -1.0 -1.2 -0.7 -4.0 -4 EURIBOR-ICE -9.9 -10.7 -9.0 -4.0 -4 EUROSTX 1.6 1.2 1.9 0.0 0 FEEDCOW -1.1 -1.2 -0.9 NaN 0 GASOIL 1.2 1.0 1.4 0.0 0 GASOLINE 2.4 2.2 2.5 1.0 1 GAS_US_mini -20.7 -23.1 -18.3 NaN 0 GBP 2.5 2.1 2.9 10.0 10 GOLD_micro -25.6 -27.1 -24.1 -15.0 -15 HEATOIL 0.7 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 -1.7 -2.3 -1.1 -6.0 -6 LIVECOW 7.1 6.8 7.5 NaN 0 LUMBER-new -2.6 -3.0 -2.3 NaN 0 MILK -4.1 -4.3 -3.9 NaN 0 MXP 85.5 81.2 89.8 NaN 0 NASDAQ_micro 0.3 -0.2 0.7 20.0 20 NIKKEI 59.5 56.5 62.4 35.0 35 NZD 0.2 -0.1 0.6 NaN 0 OAT 1.5 1.3 1.7 NaN 0 OATIES 0.2 -0.1 0.6 NaN 0 OJ 2.5 2.4 2.6 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -1.7 -2.0 -1.4 NaN 0 REDWHEAT -0.1 -0.2 -0.1 NaN 0 RICE 2.7 2.4 3.0 NaN 0 ROBUSTA 1.2 1.1 1.3 2.0 2 RUSSELL -2.4 -3.9 -0.9 NaN 0 SHATZ -2.3 -2.7 -1.9 NaN 0 SILVER-mini -1.5 -1.7 -1.3 NaN 0 SMI -0.4 -0.5 -0.2 1.0 1 SOFR -8.9 -10.4 -7.5 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.5 0.6 NaN 0 SOYOIL 0.5 0.4 0.5 NaN 0 SP400 0.1 0.0 0.1 2.0 2 SP500_micro 1.9 1.1 2.7 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 -4.6 -4.8 -4.4 NaN 0 US20 -0.3 -0.3 -0.2 NaN 0 US30 -0.1 -0.2 -0.1 NaN 0 US5 -3.0 -3.2 -2.8 -9.0 -9 VIX -29.0 -30.5 -27.6 -17.0 -17 WHEAT -0.9 -1.0 -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 1.3 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 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.5 -0.4 -0.1 -0.3 -0.1 -0.3 0.2 0.2 BITCOIN 0.5 -0.0 0.2 0.0 -0.1 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 0.2 0.1 0.2 -1.1 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.5 0.5 -0.0 0.0 0.3 0.0 0.3 BOBL -0.3 -0.2 -0.1 -0.0 -0.1 -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 -0.1 0.5 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.4 0.1 -0.0 -0.0 0.1 -0.3 -0.3 -0.2 -0.2 BTP -0.1 0.2 0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 0.0 0.1 0.3 0.5 0.4 0.5 0.0 0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.1 0.1 -0.0 0.0 -0.0 2.6 0.0 0.3 0.5 0.3 -0.3 -0.3 -0.0 0.0 BUND -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 0.6 0.4 0.5 -0.0 -0.0 -0.1 -0.2 -0.0 0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 2.6 0.1 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 -0.1 -0.2 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.7 0.2 0.4 0.3 0.1 -0.3 -0.3 0.1 0.1 CAC -0.0 -0.5 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.0 0.5 0.0 0.1 -0.3 0.1 -0.1 0.1 0.0 0.1 -0.1 0.4 -0.0 -0.3 0.0 -0.2 0.1 -0.0 0.2 0.0 1.7 -0.2 0.4 -0.2 -0.2 0.2 -0.1 0.2 -0.0 CAD 0.2 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 -0.1 -0.1 0.1 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 0.1 -0.7 -0.2 0.3 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 0.7 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 0.7 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 -0.8 -0.8 -0.8 0.0 0.0 -0.0 0.1 0.0 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -2.9 -0.1 -0.3 -0.3 -0.0 -0.2 -0.3 -0.2 -0.3 COCOA 0.1 0.1 0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 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 0.0 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 -0.1 0.0 -0.1 -0.2 -0.1 -0.1 0.2 0.2 0.3 0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -1.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.6 -0.6 -0.5 -0.2 0.4 -0.3 -0.3 -0.1 -0.3 COPPER 0.1 -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 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.5 -0.0 -0.1 -0.5 -0.1 -0.3 -0.0 -0.2 CORN 0.0 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 -0.1 -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 0.1 -0.3 0.0 0.0 0.6 0.4 0.4 0.3 0.0 -0.0 0.1 -0.1 0.0 -1.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.4 0.4 -0.4 0.2 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.1 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -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 0.1 0.2 0.1 0.3 0.1 0.2 0.1 0.0 DAX -0.3 -0.4 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.1 0.5 -0.0 0.1 -0.5 -0.4 -0.5 -0.4 0.0 0.1 -0.2 0.3 -0.1 0.9 0.0 -0.2 0.1 -0.1 0.2 -0.0 -0.6 -0.7 -0.3 -0.2 -0.2 0.2 -0.0 0.3 0.0 DOW 0.1 0.1 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 0.0 0.2 0.1 0.1 -0.6 -0.4 -0.5 -0.5 0.1 0.0 0.0 0.1 0.1 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.6 0.3 0.4 0.2 0.0 -0.1 -0.0 -0.3 -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 -0.3 -0.1 -0.3 -0.1 -0.1 -0.3 0.0 0.2 EURIBOR-ICE -0.4 -0.3 0.0 -0.0 -0.1 -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 -2.1 0.0 -0.2 -0.2 0.0 -0.3 -0.3 0.3 0.0 EUROSTX -0.1 -0.4 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.0 0.5 0.0 0.1 -0.3 0.0 -0.2 -0.1 0.0 0.1 -0.1 0.4 0.0 0.3 0.0 -0.2 0.2 -0.0 0.3 0.0 1.2 -0.2 0.0 -0.1 -0.1 0.2 -0.0 0.3 0.1 FEEDCOW -0.3 -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 0.1 0.5 0.5 -0.0 -0.3 0.1 -0.2 GASOIL 0.4 0.3 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.1 0.1 -0.0 0.3 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 1.2 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 2.3 0.2 0.4 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 -0.1 -0.3 0.0 -0.4 0.1 -0.0 -0.1 -0.8 -0.8 -0.9 -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 0.3 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 0.1 0.4 0.0 0.2 0.1 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.3 0.0 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 -0.2 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 0.2 -0.3 -0.5 -0.1 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.4 0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -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 0.0 -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 -1.0 -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 -0.3 -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 -0.8 1.2 -0.3 -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 0.1 0.4 0.4 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.1 0.2 1.1 0.8 1.2 1.2 0.2 0.2 0.2 0.4 0.2 0.6 0.1 0.1 0.2 0.1 0.2 0.1 3.2 0.7 0.3 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.4 0.2 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.4 0.1 -0.3 0.1 -0.0 -0.6 -0.8 -0.8 -0.8 0.0 -0.1 0.1 -0.2 0.1 NaN 0.0 0.0 -0.0 0.0 -0.1 0.0 -3.4 -0.2 -0.2 0.3 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 -0.0 0.2 0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.1 0.6 0.2 0.2 1.1 1.0 1.1 1.1 0.2 0.2 0.1 0.4 0.2 -1.1 0.1 -0.0 0.2 0.0 0.3 0.1 3.2 0.3 0.1 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 0.1 0.3 0.2 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 0.2 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 0.1 -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 0.0 -0.1 -0.2 -0.2 -0.0 -0.2 0.1 0.1 OAT -0.1 0.1 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 0.4 0.6 0.5 0.5 -0.0 -0.0 -0.1 -0.1 -0.0 0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 2.8 0.1 0.1 0.1 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 0.1 -2.1 0.2 0.5 0.5 0.5 0.1 0.3 0.2 0.3 OJ -0.1 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.3 0.1 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 -0.0 -0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.3 -0.5 -0.0 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 -0.1 -0.4 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -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 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -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 0.3 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 -0.6 -0.2 0.3 0.3 -0.3 -0.2 -0.1 -0.1 RICE 0.0 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 0.0 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 -0.7 -0.5 0.1 0.4 -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 0.9 0.1 0.2 -0.2 0.4 -0.0 -0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 1.8 -0.7 -0.5 0.5 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.0 0.4 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 0.0 -0.4 -0.3 -0.3 -0.3 0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.3 0.1 0.4 -0.3 -0.1 -0.1 -0.2 -0.1 SHATZ -0.5 -0.5 -0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 0.0 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 0.4 0.2 -0.2 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.3 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -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 -0.1 0.0 -0.0 0.0 -0.0 -0.7 0.3 -0.1 -0.4 0.1 -0.2 -0.3 -0.0 -0.3 SMI -0.3 -0.4 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.2 -0.1 0.1 -0.1 0.1 -0.2 0.2 -0.1 0.0 -0.0 0.0 -0.2 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.0 1.7 -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 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -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 1.1 0.0 -0.0 0.1 -0.0 0.1 -0.8 0.0 0.0 -0.0 0.0 -0.0 0.0 3.2 0.1 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 0.0 -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 -0.2 0.4 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 0.0 -0.1 0.1 0.0 0.7 0.6 0.5 0.4 0.0 -0.0 0.1 -0.0 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 0.2 0.4 0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 -0.0 0.1 0.0 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.1 0.0 0.1 -0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.6 0.4 0.4 -0.3 -0.1 -0.1 -0.2 -0.1 SP500_micro 0.2 0.5 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 0.4 0.1 0.1 0.1 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.2 0.2 0.2 0.2 -0.9 0.1 0.0 0.1 0.0 0.1 0.1 -0.9 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 0.0 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 -0.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.5 -0.4 -0.5 -0.5 -0.1 -0.0 -0.2 -0.1 -0.1 0.0 -0.0 -0.1 -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 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.1 -0.2 -0.0 -0.1 -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 -0.1 -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 -0.1 -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 -0.1 -0.2 -0.0 -0.1 -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 -0.1 -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 -0.1 -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 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.8 -0.5 -0.7 -0.6 -0.1 -0.1 -0.2 -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 -0.1 -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -3.2 -0.7 -0.0 0.2 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 -1.0 3.2 -1.2 3.1 0.5 2.7 1.5 1.1 2.8 -4.7 -4.4 -8.5 -5.6 -1.8 -1.2 -2.3 -2.6 -2.7 -2.8 -1.7 -2.8 -6.6 -5.0 -3.5 1.8 -0.4 -3.8 -0.8 -3.5 -1.9 -1.7 -0.5 -15.8 -15.0 -5.6 -11.0 -4.3 -20.0 13.2 16.4 BITCOIN 19.1 -0.0 9.8 1.2 -4.0 2.8 -2.1 2.8 -0.3 -12.5 17.7 18.4 -6.9 17.1 16.4 -5.6 -2.8 -4.6 -3.7 14.5 12.8 14.4 4.7 18.8 -20.0 5.2 0.1 4.0 5.9 2.4 7.6 -0.4 14.6 20.0 18.4 -0.0 0.3 20.0 2.1 20.0 BOBL -10.6 -8.2 -4.3 -2.0 -4.8 -1.4 -3.6 -2.1 -2.7 -6.7 -2.8 -6.8 -6.1 -6.7 -4.1 -20.0 -0.3 -11.9 -5.4 -5.0 -4.6 -7.7 -7.8 -6.5 9.4 -2.0 -4.5 -1.3 -3.4 -2.6 -2.8 -2.8 4.4 -1.8 -1.6 2.1 -20.0 -20.0 -17.7 -14.7 BTP -4.6 6.0 10.7 -3.0 -7.4 -2.2 -5.5 -3.2 -4.1 -9.9 8.5 -6.7 -3.2 3.5 6.1 5.4 9.1 7.0 8.0 3.5 3.6 -9.6 -2.0 -1.1 -6.6 2.3 -10.1 2.9 -5.3 0.2 -0.5 16.3 0.4 13.7 18.9 11.9 -20.0 -20.0 -3.7 3.3 BUND -2.7 -0.1 0.5 -2.0 -5.0 -1.5 -3.7 -2.2 -2.8 -6.6 -2.9 -4.3 -6.6 -4.0 -2.8 6.5 9.6 6.9 7.8 -2.3 -3.1 -6.8 -7.5 -3.5 5.2 -1.0 -7.7 -0.8 -4.2 -2.9 -2.1 16.2 4.5 4.1 3.6 3.3 -20.0 -20.0 -8.8 -3.9 BUXL 10.3 7.7 -2.3 -2.5 -6.0 -1.8 -4.5 -2.6 -3.4 -7.6 -6.8 -0.5 -8.8 3.3 -2.8 1.9 1.2 2.0 2.0 -0.0 -4.2 -4.1 -10.9 0.9 -0.3 0.6 -9.1 -0.7 -2.8 -3.7 0.6 4.2 7.1 15.0 10.2 3.6 -20.0 -20.0 9.7 9.5 CAC -0.7 -20.0 -0.3 4.2 -9.2 6.0 -1.6 5.1 1.6 -10.5 17.4 -0.0 19.3 0.1 10.7 -5.8 2.0 -1.0 0.9 2.7 11.5 -6.6 19.1 -0.3 -5.4 4.0 -18.2 6.4 -2.1 8.7 3.2 10.9 -4.7 14.6 -7.1 -7.3 15.1 -4.0 18.8 -2.6 CAD 6.6 12.0 13.7 4.9 0.8 4.4 2.4 1.7 4.4 -19.4 11.7 -5.9 -10.1 12.8 16.3 -2.2 -1.9 -2.4 -2.3 13.8 7.9 -7.9 -3.6 7.9 -1.3 5.7 -9.8 3.8 -3.6 -0.4 3.0 0.5 -20.0 -9.4 13.9 6.1 -20.0 -20.0 -20.0 -9.4 CANOLA 20.0 20.0 -2.3 -0.8 1.7 -2.0 1.2 -2.0 0.6 7.5 -4.1 8.4 -7.4 8.0 2.2 12.4 18.0 19.8 19.9 4.2 -4.4 17.8 -6.9 13.5 -20.0 0.6 4.0 -2.0 4.7 -2.5 3.4 20.0 19.6 20.0 8.6 -7.9 -13.2 20.0 1.3 20.0 CHF 5.4 -9.0 5.7 4.1 0.6 3.7 2.0 1.4 3.7 -4.6 10.0 3.8 11.8 -1.1 3.3 -14.0 -12.7 -14.0 -13.5 1.7 6.0 -0.9 7.1 0.3 -8.2 1.6 -0.6 4.3 -0.5 3.9 0.5 -18.3 -2.1 -10.6 -12.9 -0.4 -13.6 -20.0 -13.5 -20.0 COCOA 3.1 3.3 13.6 -2.0 4.2 -5.0 2.9 -4.8 1.5 6.7 20.0 14.7 19.1 18.8 20.0 -1.5 -0.9 -0.6 -0.3 20.0 20.0 20.0 20.0 20.0 -8.0 8.4 3.4 7.5 6.6 5.7 8.2 -11.9 20.0 20.0 20.0 20.0 -17.9 -20.0 10.9 -12.3 COFFEE -20.0 -16.8 4.8 -1.6 3.3 -3.9 2.3 -3.8 1.2 -10.6 0.2 -16.0 -5.5 -16.3 -12.8 3.1 4.1 4.6 4.6 -15.7 -6.7 -20.0 -5.1 -20.0 -20.0 -2.8 -1.9 -0.0 -6.4 -0.2 -6.5 -3.5 -18.4 -20.0 -6.7 14.4 -20.0 -20.0 -5.8 -20.0 COPPER 3.4 -2.1 -12.7 0.8 -2.7 1.9 -1.4 1.9 -0.2 -4.6 -3.9 -7.6 -4.6 0.7 -5.5 -2.3 -1.2 -2.2 -1.7 -6.6 -6.2 -7.8 -3.9 -5.7 -3.7 -3.0 -0.4 -3.3 -1.9 -2.0 -2.0 2.5 -16.0 -0.7 -3.2 -20.0 -3.9 -20.0 -0.1 -18.0 CORN 1.1 20.0 -1.2 -0.7 1.5 -1.7 1.0 -1.7 0.5 -5.4 -3.2 -6.2 -4.2 -3.8 -2.3 -3.5 9.5 0.0 5.2 -1.6 -1.8 -11.3 -1.6 -5.5 -7.3 0.5 -1.8 -0.7 -1.6 -1.1 0.3 2.4 -20.0 -2.2 11.1 0.8 -5.0 18.0 -1.7 20.0 COTTON2 -7.0 4.2 7.2 -1.1 2.3 -2.7 1.6 -2.6 0.9 9.9 0.7 6.2 -9.1 2.7 3.9 9.4 6.5 6.3 4.3 0.6 -1.4 7.2 -4.6 1.6 -18.9 -0.3 11.8 -0.5 5.7 -0.5 0.4 -2.4 11.1 -15.6 6.8 9.1 -20.0 -16.9 4.3 6.7 CRUDE_W 5.7 -1.3 -6.2 -2.3 3.6 -4.1 1.5 -2.2 -0.3 13.1 -7.0 9.8 -9.5 2.6 -6.9 3.9 8.2 5.3 6.4 -3.8 -6.4 6.2 -3.5 1.2 -4.6 1.5 6.1 -0.7 5.1 1.0 3.7 -10.2 4.4 6.7 5.5 11.6 8.3 12.9 9.2 2.4 DAX -10.4 -15.4 4.8 3.7 -8.2 5.4 -1.4 4.6 1.4 -12.7 16.2 -11.5 16.9 -5.4 9.9 -8.5 -6.2 -8.2 -7.6 1.9 11.5 -14.6 15.4 -6.3 17.2 0.9 -19.3 6.1 -9.3 7.6 -4.0 -3.7 -20.0 -11.6 -9.6 -6.2 13.0 -2.5 20.0 1.1 DOW 3.6 5.2 5.0 3.2 -7.1 4.7 -1.2 4.0 1.2 -2.5 5.7 1.8 6.1 9.9 11.7 -9.5 -6.1 -8.8 -7.8 6.6 4.8 2.4 3.0 6.5 -8.4 4.8 -1.1 3.4 3.2 2.5 5.3 -3.7 9.3 17.4 7.5 0.0 -4.6 -2.8 -19.2 -0.8 EUR 11.2 -6.8 2.4 3.7 0.6 3.4 1.8 1.3 3.4 -9.4 9.6 1.6 5.2 1.9 0.5 -6.6 -6.8 -6.7 -6.7 1.3 3.3 -1.8 2.0 1.4 13.9 1.3 -2.3 2.1 -0.8 1.0 1.2 -7.5 -9.3 -2.3 -10.3 -4.4 -6.9 -19.3 2.4 17.7 EURIBOR-ICE -15.8 -12.3 1.5 -1.9 -4.7 -1.4 -3.6 -2.1 -2.7 -6.3 -3.9 -6.9 -6.5 -7.1 -5.0 -12.7 -7.2 -10.4 -9.2 -6.8 -5.5 -9.6 -8.5 -8.9 16.3 -2.2 -3.5 -1.5 -3.1 -2.6 -2.9 -13.1 1.5 -6.2 -6.3 1.1 -20.0 -20.0 20.0 2.5 EUROSTX -3.3 -14.0 3.6 3.9 -8.6 5.6 -1.5 4.8 1.5 -9.9 19.1 -0.2 19.4 5.2 15.3 -5.1 0.7 -4.0 -1.7 5.7 13.4 -6.7 18.2 0.9 5.1 3.7 -20.0 7.8 -5.3 10.0 0.5 7.8 -6.8 0.8 -4.2 -4.4 15.8 -0.7 20.0 4.2 FEEDCOW -11.6 -3.7 14.8 -1.8 3.7 -4.3 2.5 -4.2 1.3 4.5 16.5 11.0 15.8 11.9 14.5 -20.0 -20.0 -20.0 -20.0 20.0 20.0 18.6 20.0 19.9 7.9 6.4 5.5 7.9 7.4 7.3 5.9 -20.0 20.0 3.0 20.0 20.0 -3.2 -20.0 10.8 -18.4 GASOIL 14.1 12.4 -14.7 -2.1 3.3 -3.8 1.4 -2.0 -0.3 11.1 -9.8 7.4 -4.5 9.0 -2.0 4.8 15.4 5.9 10.1 -0.8 -8.9 8.5 -4.6 5.9 9.6 0.0 5.2 -3.7 4.2 -3.1 3.0 0.0 5.4 13.0 6.9 -0.9 -4.7 4.7 -7.1 -4.4 GASOLINE 4.7 3.7 -3.4 -2.7 4.3 -4.9 1.8 -2.6 -0.4 16.1 5.5 5.6 -5.3 9.6 1.5 20.0 20.0 20.0 20.0 2.8 1.3 7.4 5.4 5.0 -20.0 5.5 4.9 4.0 5.2 5.6 6.1 14.7 5.4 17.5 20.0 20.0 7.5 11.9 10.8 -4.7 GAS_US_mini 20.0 18.8 -0.1 -2.0 3.1 -3.6 1.3 -1.9 -0.3 -11.8 -14.4 4.0 -14.6 6.1 -4.5 -2.3 -13.5 -13.8 -15.8 -2.3 -20.0 0.1 -20.0 3.9 15.0 2.4 -2.5 -1.8 1.1 -3.2 3.8 -20.0 -5.6 20.0 13.3 4.9 3.8 19.4 1.8 2.3 GBP 6.5 2.8 12.7 4.2 0.7 3.7 2.0 1.4 3.8 11.8 16.9 5.9 6.7 10.1 14.5 0.5 -1.2 -0.5 -1.0 12.1 12.8 4.9 6.4 8.8 -0.8 5.6 2.7 5.2 2.2 1.2 4.1 2.1 0.7 0.1 5.3 9.0 4.1 9.6 11.6 20.0 GOLD_micro -14.7 -20.0 0.9 1.0 -3.4 2.4 -1.8 2.4 -0.3 -14.1 5.0 -17.2 6.7 -19.2 -9.9 -15.0 -11.2 -13.8 -12.7 -16.5 -0.8 -14.4 8.5 -20.0 -11.7 -4.4 -1.0 0.4 -2.7 3.4 -5.2 -15.5 5.6 -11.5 -20.0 -3.6 -20.0 -19.9 -6.8 -20.0 HEATOIL 14.2 9.3 -15.2 -2.4 3.7 -4.3 1.5 -2.2 -0.3 12.8 -12.3 9.9 -6.1 9.4 -4.3 2.7 17.2 4.4 10.1 -2.4 -10.6 9.9 -5.6 5.6 -18.6 2.6 5.8 -1.4 5.6 0.1 5.5 1.6 7.3 20.0 16.6 4.7 -6.9 3.7 -10.8 3.4 JGB-SGX-mini 6.4 8.6 20.0 -2.6 -4.3 -2.1 -3.3 -3.5 -3.0 -7.7 10.7 3.6 8.6 6.8 10.2 6.8 20.0 12.1 17.3 12.5 14.2 3.2 10.0 8.6 2.1 4.1 -1.4 3.9 1.2 1.7 3.1 20.0 7.3 20.0 19.5 20.0 -19.7 -5.3 9.7 9.7 JPY -15.5 -20.0 -20.0 3.0 0.5 2.7 1.4 1.0 2.7 -6.2 -10.3 -12.7 -10.1 -13.9 -14.3 -17.1 -12.9 -16.1 -14.7 -20.0 -20.0 -13.9 -17.6 -20.0 20.0 -4.9 -0.8 -3.6 -3.0 -3.1 -4.7 -19.4 -10.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 19.1 17.8 -13.2 -1.2 2.5 -2.9 1.7 -2.8 0.9 10.8 -7.3 9.8 -9.5 10.3 -0.6 20.0 -13.2 20.0 -4.3 -0.9 -12.7 8.7 -15.3 7.9 10.4 -3.5 2.1 -6.3 1.1 -6.2 -0.4 -20.0 3.9 0.9 -8.5 -20.0 -6.0 3.7 16.4 19.6 LIVECOW 3.0 16.5 17.6 -2.2 4.5 -5.3 3.1 -5.1 1.6 7.1 20.0 12.1 19.8 18.0 19.5 18.6 13.0 20.0 20.0 20.0 20.0 19.4 20.0 20.0 11.0 8.3 4.6 7.2 6.8 5.7 7.9 20.0 20.0 11.3 20.0 20.0 -20.0 -20.0 -18.4 -20.0 LUMBER-new 14.9 9.0 -1.8 -2.5 5.2 -5.5 3.5 -4.6 1.9 -8.2 -19.2 8.8 -20.0 13.9 -1.0 -9.5 -12.8 -12.8 -13.1 5.5 -6.6 6.1 -10.8 11.8 NaN 2.9 1.8 -1.7 1.6 -3.1 4.9 -20.0 -5.4 -8.3 12.0 11.9 -20.0 -20.0 -20.0 -20.0 MILK -20.0 -20.0 -20.0 -1.2 2.5 -2.9 1.7 -2.8 0.9 -11.5 -13.6 -12.8 -13.3 -13.2 -13.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.0 -4.9 -3.8 -3.9 -5.0 -3.0 -5.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.8 -20.0 MXP -0.7 8.6 20.0 5.2 0.8 4.7 2.5 1.8 4.7 -7.3 20.0 13.4 20.0 20.0 20.0 19.3 17.7 18.6 17.9 20.0 20.0 8.2 20.0 20.0 -20.0 8.9 -3.1 9.9 2.2 10.0 6.3 20.0 10.3 4.2 20.0 20.0 20.0 4.6 20.0 20.0 NASDAQ_micro -4.3 20.0 20.0 2.6 -5.7 3.7 -1.0 3.2 1.0 7.5 13.8 10.0 4.6 12.6 13.6 -10.2 -6.9 -9.7 -8.6 20.0 20.0 9.8 14.7 19.0 -20.0 5.1 0.6 4.9 1.8 3.3 3.6 -4.9 6.6 20.0 20.0 20.0 -7.0 -8.7 -12.0 -10.1 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 5.7 -5.5 -2.7 2.6 0.4 2.3 1.3 0.9 2.3 6.1 -2.0 1.5 -1.5 -2.0 -3.6 0.6 0.6 0.6 0.6 -1.8 -2.2 1.7 -3.0 -0.0 0.1 -0.9 1.4 -0.9 0.9 -1.4 -0.1 5.1 0.3 -5.3 -9.1 -9.6 -1.1 -14.4 11.3 9.8 OAT -2.2 2.7 3.5 -2.3 -5.5 -1.6 -4.2 -2.4 -3.1 -7.5 -3.4 -5.4 -7.1 -1.9 -1.2 6.3 9.8 8.1 9.0 -1.6 -2.5 -7.8 -7.0 -3.3 7.1 -0.6 -10.0 -0.4 -5.3 -3.2 -2.1 17.6 3.6 5.7 5.9 4.5 -20.0 -20.0 -0.1 -0.5 OATIES 20.0 20.0 16.5 -1.7 3.5 -4.1 2.4 -4.0 1.3 15.5 7.0 16.3 -13.2 16.8 14.9 -13.2 1.9 -9.1 -4.9 20.0 12.6 20.0 -1.4 20.0 -20.0 5.1 3.7 1.7 4.6 -0.4 6.2 -13.6 6.4 20.0 20.0 20.0 7.8 20.0 18.7 20.0 OJ -3.5 2.3 4.1 -1.6 3.3 -3.8 2.2 -3.7 1.2 14.0 13.1 8.0 15.4 5.2 8.8 13.9 17.3 17.5 18.6 11.2 20.0 8.7 20.0 5.6 -20.0 4.7 1.0 9.7 -0.1 13.8 1.2 20.0 -0.3 -19.8 20.0 20.0 13.3 7.6 20.0 17.3 PALLAD -13.8 -19.0 -0.5 0.5 -1.7 1.2 -0.9 1.2 -0.1 -4.7 -9.7 -8.2 -9.8 -9.4 -9.1 -3.3 -2.4 -3.1 -2.9 -14.9 -15.0 -11.1 -16.8 -15.2 -5.2 -3.1 -3.1 -2.4 -4.1 -2.4 -4.0 0.4 -10.4 -16.0 -15.2 -9.2 -16.2 1.3 -0.9 2.6 PLAT -20.0 -20.0 -3.4 0.7 -2.2 1.5 -1.1 1.5 -0.2 -5.2 -5.3 -10.3 1.2 -11.8 -9.7 -2.7 -1.7 -2.4 -2.1 -16.6 -7.1 -12.9 -0.6 -19.6 11.6 -3.4 -1.7 -1.3 -2.7 0.0 -4.1 1.8 -4.3 -20.0 -20.0 -7.8 -3.2 -14.4 4.3 -9.0 REDWHEAT 11.9 1.5 5.7 -1.1 2.3 -2.7 1.6 -2.6 0.9 1.9 -1.8 1.7 -9.4 0.1 2.9 0.7 4.3 3.6 4.9 1.0 -1.6 3.5 -3.1 2.3 -11.6 1.2 -2.1 -0.1 -1.6 -0.3 0.8 -2.8 -17.9 -6.4 10.4 11.2 -20.0 -14.5 -3.9 -7.6 RICE 1.6 5.6 -2.3 -1.5 3.2 -3.8 2.2 -3.7 1.2 -12.4 -5.1 -11.8 -3.2 3.9 5.7 20.0 20.0 20.0 20.0 -0.6 -3.3 -9.9 -2.8 -3.4 -20.0 0.5 -5.0 -0.8 -6.1 -1.4 -2.1 20.0 -20.0 -20.0 3.9 17.1 -12.6 -20.0 -2.3 -20.0 ROBUSTA -20.0 -0.6 20.0 -1.4 2.8 -3.3 1.9 -3.2 1.0 -10.8 12.7 -10.8 11.5 0.3 9.9 20.0 11.7 18.4 14.7 11.6 20.0 -18.0 17.9 -5.5 -9.2 3.3 -4.1 5.5 -4.6 4.7 -1.3 11.1 -20.0 -20.0 20.0 20.0 -9.9 -20.0 1.6 -17.4 RUSSELL 0.1 16.4 3.2 2.6 -5.8 3.8 -1.0 3.2 1.0 -2.7 -3.2 0.6 -6.5 7.5 5.2 -6.0 -4.6 -5.9 -5.5 6.0 1.7 -0.7 -3.2 5.2 -0.7 3.2 -1.1 1.4 1.5 0.2 3.4 -0.4 8.0 5.2 14.7 -10.8 -6.3 -6.5 -17.4 -7.7 SHATZ -18.7 -20.0 -17.3 -2.0 -4.8 -1.4 -3.6 -2.1 -2.7 -6.3 -4.6 -7.1 -6.4 -7.4 -5.8 0.4 2.2 -0.3 -0.4 -10.2 -8.8 -9.2 -11.2 -11.1 11.1 -2.4 -1.9 -1.9 -2.4 -2.6 -2.8 2.7 4.7 -7.4 -8.2 -1.3 -20.0 -20.0 -20.0 -20.0 SILVER-mini -12.1 -17.9 1.9 0.9 -3.1 2.2 -1.6 2.1 -0.2 0.3 2.3 -7.7 3.5 -10.8 -4.6 -6.7 -5.1 -6.4 -5.9 -10.2 -1.3 -6.6 3.4 -12.2 7.4 -1.9 -5.6 0.4 -3.3 0.9 -2.7 -4.6 10.0 -2.9 -14.1 3.1 -12.1 -20.0 -3.1 -20.0 SMI -12.7 -16.2 10.8 3.5 -7.8 5.1 -1.3 4.4 1.3 -13.5 10.6 -14.3 2.9 -15.3 7.9 -3.2 2.7 -2.3 0.1 -2.9 5.3 -13.2 6.1 -10.0 1.9 -1.5 -13.2 1.1 -7.5 -0.1 -4.9 11.0 -11.0 -19.6 -20.0 -2.4 -6.8 -12.0 -10.6 -18.1 SOFR -13.2 -17.4 3.6 -2.4 -5.8 -1.7 -4.3 -2.5 -3.2 -8.5 1.0 -9.1 -1.6 -9.2 -3.0 -2.7 -0.3 -1.0 -0.6 -6.7 -2.1 -17.3 -2.1 -12.0 -1.4 -2.5 -6.6 -0.7 -5.5 -0.4 -4.0 0.3 -5.8 -4.6 -9.7 4.3 -20.0 -20.0 -9.0 0.0 SOYBEAN 20.0 20.0 -4.5 -0.7 1.5 -1.8 1.0 -1.7 0.6 4.2 -1.4 4.7 -3.4 4.7 2.5 9.2 20.0 14.7 19.3 3.4 -1.0 7.1 -1.8 7.3 -16.1 1.2 1.7 -0.4 2.4 -0.5 2.6 20.0 3.0 20.0 13.9 -0.5 -6.3 20.0 -0.2 20.0 SOYMEAL 20.0 -0.6 -20.0 -0.7 1.5 -1.8 1.1 -1.7 0.6 0.9 -1.7 -2.3 1.7 -2.1 -4.0 20.0 20.0 20.0 20.0 -1.4 -1.6 0.4 0.9 0.6 -16.9 0.9 1.2 0.0 2.0 0.8 2.2 20.0 -4.7 14.0 8.5 -1.6 -7.2 -20.0 -0.4 -19.2 SOYOIL 20.0 20.0 -0.4 -0.7 1.4 -1.7 1.0 -1.6 0.5 4.0 -3.0 5.9 -4.0 6.2 3.7 11.7 9.7 8.3 7.4 5.7 -0.4 11.3 -2.3 10.7 -20.0 1.6 1.4 -0.1 2.3 -0.6 2.7 3.4 18.0 20.0 18.7 4.6 6.4 8.8 18.4 20.0 SP400 8.8 15.1 0.7 2.7 -6.0 3.9 -1.0 3.4 1.0 2.6 -0.9 6.9 0.1 11.2 7.1 -4.7 -4.3 -5.0 -4.9 8.8 3.4 6.5 0.3 11.1 -9.0 3.5 1.1 1.3 4.1 0.5 5.1 0.4 18.6 17.6 15.1 -11.5 -4.9 -8.1 -11.9 -8.8 SP500_micro 6.5 20.0 20.0 3.7 -8.1 5.3 -1.4 4.6 1.4 7.3 18.7 12.9 2.7 17.0 18.8 -11.8 -7.3 -10.5 -9.0 20.0 20.0 15.6 11.8 20.0 -16.8 7.1 1.8 5.6 4.7 3.2 6.7 -5.5 19.3 20.0 20.0 20.0 -5.4 -7.7 -9.7 -8.7 SUGAR11 -20.0 -20.0 6.7 -1.2 2.5 -3.0 1.7 -2.9 0.9 0.2 9.1 -6.0 10.5 -6.5 4.2 0.9 17.1 5.5 12.2 -0.8 11.5 -10.3 15.4 -11.5 -20.0 0.6 -1.3 4.8 -3.5 6.3 -3.2 15.8 -20.0 -20.0 -12.0 20.0 -20.0 -19.2 7.3 -10.3 US10 -9.3 -18.3 -2.9 -2.0 -5.0 -1.5 -3.7 -2.2 -2.8 -7.3 -2.5 -7.9 -5.6 -8.1 -5.4 -9.1 -6.1 -9.0 -8.4 -8.1 -5.2 -13.2 -6.0 -10.6 0.7 -2.5 -4.2 -1.2 -3.7 -1.1 -3.2 -11.5 -2.0 -3.2 -9.8 -1.2 -20.0 -20.0 10.8 2.8 US10U -5.3 -12.9 -1.2 -2.8 -6.8 -2.0 -5.1 -3.0 -3.8 -9.9 -2.4 -10.4 -7.3 -10.6 -7.3 2.0 -0.3 -0.7 -1.3 -8.3 -5.7 -15.2 -7.7 -11.0 -4.0 -3.4 -5.9 -1.6 -5.0 -1.4 -4.2 -0.4 1.0 0.3 -9.2 -1.5 -20.0 -20.0 18.0 15.6 US2 -20.0 -20.0 -20.0 -1.9 -4.6 -1.4 -3.5 -2.0 -2.6 -6.8 -4.9 -7.6 -6.1 -7.9 -6.8 -20.0 -17.3 -20.0 -20.0 -15.9 -11.3 -15.0 -10.6 -17.1 7.0 -2.6 -2.5 -1.6 -2.9 -1.6 -3.0 -20.0 -5.5 -11.7 -17.8 -5.7 -20.0 -14.4 -20.0 -9.8 US20 -1.1 -8.8 -0.0 -2.2 -5.4 -1.6 -4.1 -2.4 -3.0 -7.8 -0.6 -7.3 -4.7 -6.7 -5.1 -1.2 -1.2 -1.3 -1.7 -5.0 -3.8 -10.4 -5.8 -6.6 -4.0 -2.6 -5.1 -1.4 -4.1 -1.4 -3.2 -1.5 2.9 3.1 -3.6 -0.5 -20.0 -20.0 17.3 16.4 US30 2.2 -3.7 0.0 -2.7 -6.6 -1.9 -4.9 -2.9 -3.7 -9.5 -3.2 -7.0 -7.0 -6.0 -6.9 0.3 -0.6 -0.4 -0.7 -4.4 -4.7 -9.0 -8.7 -5.1 -3.8 -3.1 -7.1 -1.8 -5.2 -2.3 -3.7 -0.1 5.5 7.7 0.9 -1.3 -20.0 -20.0 20.0 20.0 US5 -13.0 -20.0 -6.5 -2.0 -4.8 -1.4 -3.6 -2.1 -2.7 -7.1 -3.0 -7.7 -5.7 -8.0 -5.5 -14.2 -7.6 -12.4 -10.7 -9.8 -6.2 -13.8 -6.7 -12.3 3.0 -2.5 -3.7 -1.3 -3.5 -1.2 -3.2 -14.6 -3.6 -6.0 -12.2 -2.0 -20.0 -20.0 3.7 -12.7 VIX -13.0 -20.0 -20.0 -7.2 -2.4 -6.4 -4.7 -5.6 -6.7 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -8.4 -4.4 -7.2 -6.0 -6.6 -8.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 7.4 -0.8 1.6 -1.9 1.1 -1.8 0.6 -5.7 -5.2 -4.1 -7.9 -0.4 -0.8 -9.2 -8.7 -10.4 -10.1 0.1 -4.0 -4.6 -6.2 0.1 -4.3 0.6 -3.7 -0.8 -2.2 -1.3 0.5 -20.0 -20.0 -0.6 9.2 0.8 -16.4 -17.9 -7.7 -9.6 End of report for caleb_strategy_v3