******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230707_204326 produced at 2023-07-07 21:38:11.802745 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 EURIBOR-ICE False False 0.10 -0.48 -0.91 0.0 0.95 -0.95 -0.48 -0.57 -9.53 10.0 -5 -6 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.86 0.0 0.00 0.00 0.00 0.00 -9.91 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.34 0.0 0.00 0.00 0.00 0.00 -4.64 13.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.39 -0.18 0.0 0.55 -0.55 -0.39 -0.39 -5.47 17.0 -12 -12 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.18 0.0 0.11 -0.11 -0.10 -0.11 -27.49 17.0 -16 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.39 -0.39 -0.10 -0.10 -23.93 56.0 -15 -15 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.14 0.0 0.67 -0.67 -0.15 -0.15 -2.74 13.0 -3 -3 caleb_strategy_v3 US5 False False 0.04 -0.35 -0.12 0.0 0.96 -0.96 -0.35 -0.35 -3.12 25.0 -9 -9 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.32 24.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.09 0.0 0.21 -0.21 -0.03 -0.07 -2.48 6.0 -1 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.07 0.0 0.68 -0.68 0.00 0.00 -1.65 17.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.06 0.0 0.06 -0.06 0.00 -0.02 -23.86 26.0 0 -8 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.16 5.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.05 0.0 0.86 -0.86 0.00 0.00 -1.21 19.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -0.98 8.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.69 2.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.20 -0.03 0.0 0.70 -0.70 -0.20 -0.20 -0.59 14.0 -4 -4 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.46 -0.46 0.00 0.00 -1.28 19.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.03 0.0 0.36 -0.36 0.00 -0.04 -4.47 58.0 0 -6 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.03 0.0 0.17 -0.17 -0.02 -0.08 -1.62 10.0 -1 -5 caleb_strategy_v3 SMI False False 0.04 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -0.59 9.0 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 -1.34 0.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.79 -0.79 0.00 0.00 -0.62 29.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.50 -0.02 0.0 0.55 -0.55 -0.50 -0.50 -0.54 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 -1.62 13.0 -6 -6 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.41 -0.41 0.00 0.00 -2.71 66.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.32 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 -0.15 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 -2.33 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 -0.96 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 BUXL False False 0.05 0.00 0.00 0.0 0.21 -0.21 0.00 0.00 0.01 4.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.04 0.00 0.0 0.11 -0.11 0.04 0.02 0.04 12.0 4 2 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.05 11.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.19 8.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.14 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.00 0.0 0.23 -0.23 0.00 -0.03 -1.11 68.0 0 -8 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.21 0.00 0.0 0.25 -0.25 0.21 0.19 0.17 23.0 19 17 caleb_strategy_v3 NZD False False 0.02 0.00 0.01 0.0 0.47 -0.47 0.00 0.00 0.37 21.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.17 -0.17 0.03 0.03 0.70 18.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 1.62 48.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.19 0.01 0.0 0.19 -0.19 0.19 0.19 0.11 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 0.61 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 0.92 26.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.22 -0.22 0.02 0.02 1.16 23.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 18.72 59.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.21 0.02 0.0 0.52 -0.52 0.21 0.21 0.31 10.0 4 4 caleb_strategy_v3 CAC False False 0.03 0.00 0.02 0.0 0.34 -0.34 0.00 0.11 0.61 12.0 0 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.02 0.0 0.13 -0.13 0.00 0.00 0.87 5.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.02 0.0 0.34 -0.34 0.00 0.00 1.01 20.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.80 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.11 -0.11 0.00 0.03 1.20 4.0 0 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.57 4.0 0 0 caleb_strategy_v3 OJ False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 2.57 3.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.05 0.0 0.21 -0.21 0.00 0.00 11.17 51.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.18 0.06 0.0 0.45 -0.45 0.18 0.18 1.40 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.50 -0.50 0.00 0.00 1.34 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.29 0.08 0.0 0.64 -0.64 0.29 0.29 2.73 22.0 10 10 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.09 0.0 0.14 -0.14 0.03 0.10 2.56 4.0 1 3 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.18 0.0 0.44 -0.44 0.00 0.00 7.05 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.50 0.0 0.30 -0.30 0.30 0.30 59.47 36.0 35 36 caleb_strategy_v3 MXP False False 0.01 0.17 0.88 0.0 0.63 -0.63 0.17 0.52 83.97 60.0 16 50 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.00 3.14 0.0 0.60 -0.60 0.00 0.49 83.84 16.0 0 13 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.3 Shocked risk 57.3 Sum abs risk 60.7 Leverage 8.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3000000.0, 'annual_cash_vol_target': 750000.0, 'daily_cash_vol_target': 46875.0} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6708 0.6968 11.1494 BITCOIN 812.3971 30310.0000 2.6803 42.8847 BOBL 0.3264 114.8400 0.2842 4.5470 BTP 0.7281 113.6700 0.6406 10.2488 BUND 0.6560 131.1000 0.5004 8.0063 BUXL 1.4573 132.5600 1.0994 17.5896 CAC 67.9627 7139.5000 0.9519 15.2308 CAD 0.0032 0.7542 0.4272 6.8359 CANOLA 9.7266 759.5000 1.2807 20.4905 CHF 0.0051 1.1336 0.4485 7.1757 COCOA 41.4176 3303.0000 1.2539 20.0630 COFFEE 3.0034 159.8000 1.8795 30.0721 COPPER 0.0418 3.7845 1.1035 17.6559 CORN 12.6461 496.5000 2.5471 40.7529 COTTON2 1.3503 81.5000 1.6568 26.5082 CRUDE_W 1.1398 72.6000 1.5699 25.1185 DAX 137.5963 15768.0000 0.8726 13.9621 DOW 211.2408 34112.0000 0.6193 9.9081 EUR 0.0052 1.1006 0.4760 7.6163 EURIBOR-ICE 0.0654 96.7150 0.0676 1.0814 EUROSTX 43.2373 4273.0000 1.0119 16.1899 FEEDCOW 1.9502 250.0000 0.7801 12.4810 GASOIL 12.9754 739.0000 1.7558 28.0928 GASOLINE 0.0392 2.2764 1.7205 27.5281 GAS_US_mini 0.0947 2.5650 3.6918 59.0690 GBP 0.0068 1.2842 0.5313 8.5002 GOLD_micro 12.1862 1931.5000 0.6309 10.0947 HEATOIL 0.0394 2.5297 1.5565 24.9034 JGB-SGX-mini 0.2033 148.5000 0.1369 2.1905 JPY 0.0000 0.0071 0.6266 10.0259 LEANHOG 1.2677 81.0000 1.5651 25.0418 LIVECOW 1.1334 179.3500 0.6319 10.1108 LUMBER-new 9.0189 560.0000 1.6105 25.7683 MILK 0.2079 15.6100 1.3319 21.3110 MXP 0.0004 0.0576 0.6373 10.1973 NASDAQ_micro 124.3354 15290.7500 0.8131 13.0103 NIKKEI 298.1411 33605.0000 0.8872 14.1951 NZD 0.0045 0.6210 0.7256 11.6090 OAT 0.6706 125.7400 0.5333 8.5330 OATIES 6.2268 433.0000 1.4381 23.0090 OJ 4.4659 273.4500 1.6332 26.1308 PALLAD 24.5109 1249.5000 1.9617 31.3865 PLAT 13.4988 919.0000 1.4689 23.5017 REDWHEAT 14.9799 820.2500 1.8263 29.2202 RICE 0.1605 15.0500 1.0667 17.0665 ROBUSTA 42.2452 2618.0000 1.6136 25.8183 RUSSELL 20.4993 1887.2000 1.0862 17.3797 SHATZ 0.1040 104.7500 0.0993 1.5892 SILVER-mini 0.3226 23.6250 1.3654 21.8464 SMI 81.5567 10922.0000 0.7467 11.9475 SOFR 0.0726 96.3050 0.0754 1.2059 SOYBEAN 22.4473 1319.2500 1.7015 27.2243 SOYMEAL 7.9392 388.1000 2.0457 32.7307 SOYOIL 1.2411 59.1900 2.0967 33.5477 SP400 23.2704 2633.0000 0.8838 14.1408 SP500_micro 26.4272 4455.0000 0.5932 9.4912 SUGAR11 0.4050 23.5100 1.7226 27.5621 US10 0.4445 110.5781 0.4020 6.4315 US10U 0.5954 116.0938 0.5128 8.2055 US2 0.1223 101.5195 0.1205 1.9281 US20 0.8400 123.5625 0.6798 10.8768 US30 1.2470 131.7812 0.9463 15.1403 US5 0.2952 106.2266 0.2779 4.4458 VIX 0.5053 17.8500 2.8308 45.2932 WHEAT 14.0443 668.2500 2.1017 33.6266 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.75 0.70 467.40 1.00 467.40 46875.0 100.29 -3.94 -39.50 BITCOIN 30.31 2.68 81.24 1.00 81.24 46875.0 577.00 2.70 155.65 BOBL 1148.40 0.28 326.36 1.09 354.45 46875.0 132.25 -9.84 -130.16 BTP 1136.70 0.64 728.11 1.09 790.77 46875.0 59.28 7.55 44.76 BUND 1311.00 0.50 656.01 1.09 712.46 46875.0 65.79 5.12 33.69 BUXL 1325.60 1.10 1457.30 1.09 1582.70 46875.0 29.62 0.47 1.39 CAC 713.95 0.95 679.63 1.09 738.11 46875.0 63.51 2.92 18.54 CAD 754.15 0.43 322.20 1.00 322.20 46875.0 145.48 -1.31 -19.02 CANOLA 151.90 1.28 194.53 0.75 146.38 46875.0 320.23 16.65 533.29 CHF 1417.00 0.45 635.50 1.00 635.50 46875.0 73.76 -11.43 -84.27 COCOA 330.30 1.25 414.18 1.00 414.18 46875.0 113.18 4.39 49.65 COFFEE 599.25 1.88 1126.29 1.00 1126.29 46875.0 41.62 -9.18 -38.19 COPPER 946.12 1.10 1044.04 1.00 1044.04 46875.0 44.90 -4.60 -20.66 CORN 248.25 2.55 632.31 1.00 632.31 46875.0 74.13 0.26 1.93 COTTON2 407.50 1.66 675.13 1.00 675.13 46875.0 69.43 0.42 2.88 CRUDE_W 726.00 1.57 1139.75 1.00 1139.75 46875.0 41.13 1.72 7.09 DAX 157.68 0.87 137.60 1.09 149.44 46875.0 313.68 -4.36 -136.89 DOW 170.56 0.62 105.62 1.00 105.62 46875.0 443.81 -2.74 -121.47 EUR 1375.75 0.48 654.88 1.00 654.88 46875.0 71.58 -2.55 -18.22 EURIBOR-ICE 2417.88 0.07 163.42 1.09 177.48 46875.0 264.11 -11.56 -305.41 EUROSTX 427.30 1.01 432.37 1.09 469.58 46875.0 99.82 3.09 30.80 FEEDCOW 1250.00 0.78 975.08 1.00 975.08 46875.0 48.07 -6.01 -28.87 GASOIL 739.00 1.76 1297.54 1.00 1297.54 46875.0 36.13 6.80 24.55 GASOLINE 956.09 1.72 1644.96 1.00 1644.96 46875.0 28.50 18.34 52.25 GAS_US_mini 64.12 3.69 236.74 1.00 236.74 46875.0 198.00 -9.84 -194.80 GBP 802.62 0.53 426.40 1.00 426.40 46875.0 109.93 7.63 83.90 GOLD_micro 193.15 0.63 121.86 1.00 121.86 46875.0 384.66 -16.43 -631.86 HEATOIL 1062.47 1.56 1653.70 1.00 1653.70 46875.0 28.35 5.75 16.30 JGB-SGX-mini 148500.00 0.14 20330.17 0.01 140.47 46875.0 333.70 19.23 641.57 JPY 889.12 0.63 557.14 1.00 557.14 46875.0 84.13 -20.00 -168.27 LEANHOG 324.00 1.57 507.10 1.00 507.10 46875.0 92.44 -2.81 -25.93 LIVECOW 717.40 0.63 453.34 1.00 453.34 46875.0 103.40 20.00 206.80 LUMBER-new 154.00 1.61 248.02 1.00 248.02 46875.0 189.00 -6.83 -129.11 MILK 312.20 1.33 415.83 1.00 415.83 46875.0 112.73 -20.00 -225.45 MXP 288.20 0.64 183.68 1.00 183.68 46875.0 255.20 20.00 510.40 NASDAQ_micro 305.82 0.81 248.67 1.00 248.67 46875.0 188.50 0.40 7.52 NIKKEI 33605.00 0.89 29814.11 0.01 206.00 46875.0 227.55 20.00 455.09 NZD 621.00 0.73 450.57 1.00 450.57 46875.0 104.03 1.08 11.25 OAT 1257.40 0.53 670.59 1.09 728.29 46875.0 64.36 6.67 42.92 OATIES 216.50 1.44 311.34 1.00 311.34 46875.0 150.56 0.46 6.89 OJ 410.18 1.63 669.89 1.00 669.89 46875.0 69.97 19.94 139.54 PALLAD 1249.50 1.96 2451.09 1.00 2451.09 46875.0 19.12 -9.55 -18.27 PLAT 459.50 1.47 674.94 1.00 674.94 46875.0 69.45 -6.15 -42.75 REDWHEAT 410.12 1.83 749.00 1.00 749.00 46875.0 62.58 -2.69 -16.81 RICE 301.00 1.07 321.06 1.00 321.06 46875.0 146.00 8.41 122.78 ROBUSTA 261.80 1.61 422.45 1.00 422.45 46875.0 110.96 10.35 114.87 RUSSELL 94.36 1.09 102.50 1.00 102.50 46875.0 457.33 -0.76 -34.93 SHATZ 1047.50 0.10 104.04 1.09 113.00 46875.0 414.84 -6.03 -250.12 SILVER-mini 590.62 1.37 806.44 1.00 806.44 46875.0 58.13 -6.08 -35.33 SMI 1092.20 0.75 815.57 1.12 909.52 46875.0 51.54 -3.51 -18.11 SOFR 2407.63 0.08 181.46 1.00 181.46 46875.0 258.33 -6.61 -170.78 SOYBEAN 659.62 1.70 1122.37 1.00 1122.37 46875.0 41.76 16.09 67.19 SOYMEAL 388.10 2.05 793.92 1.00 793.92 46875.0 59.04 12.86 75.92 SOYOIL 355.14 2.10 744.63 1.00 744.63 46875.0 62.95 9.82 61.80 SP400 2633.00 0.88 2327.04 1.00 2327.04 46875.0 20.14 1.73 3.48 SP500_micro 222.75 0.59 132.14 1.00 132.14 46875.0 354.75 2.05 72.75 SUGAR11 263.31 1.72 453.59 1.00 453.59 46875.0 103.34 3.69 38.14 US10 1105.78 0.40 444.49 1.00 444.49 46875.0 105.46 -12.92 -136.24 US10U 1160.94 0.51 595.38 1.00 595.38 46875.0 78.73 -5.66 -44.58 US2 2030.39 0.12 244.67 1.00 244.67 46875.0 191.58 -20.00 -383.17 US20 1235.62 0.68 839.98 1.00 839.98 46875.0 55.80 -4.73 -26.39 US30 1317.81 0.95 1247.00 1.00 1247.00 46875.0 37.59 -3.38 -12.69 US5 1062.27 0.28 295.16 1.00 295.16 46875.0 158.81 -16.25 -258.09 VIX 178.50 2.83 505.30 1.00 505.30 46875.0 92.77 -20.00 -185.53 WHEAT 334.12 2.10 702.22 1.00 702.22 46875.0 66.75 -12.63 -84.31 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -39.504 0.013 2.5 -1.284 BITCOIN 155.651 0.048 2.5 18.719 BOBL -130.163 0.004 2.5 -1.207 BTP 44.764 0.012 2.5 1.396 BUND 33.692 0.004 2.5 0.312 BUXL 1.394 0.004 2.5 0.013 CAC 18.538 0.013 2.5 0.606 CAD -19.019 0.013 2.5 -0.618 CANOLA 533.291 0.008 2.5 11.172 CHF -84.273 0.013 2.5 -2.739 COCOA 49.651 0.007 2.5 0.916 COFFEE -38.193 0.004 2.5 -0.384 COPPER -20.664 0.048 2.5 -2.485 CORN 1.926 0.008 2.5 0.040 COTTON2 2.885 0.007 2.5 0.053 CRUDE_W 7.089 0.049 2.5 0.868 DAX -136.893 0.013 2.5 -4.472 DOW -121.470 0.009 2.5 -2.713 EUR -18.223 0.013 2.5 -0.592 EURIBOR-ICE -305.408 0.012 2.5 -9.527 EUROSTX 30.805 0.013 2.5 1.006 FEEDCOW -28.872 0.014 2.5 -0.984 GASOIL 24.553 0.020 2.5 1.204 GASOLINE 52.250 0.020 2.5 2.562 GAS_US_mini -194.797 0.049 2.5 -23.858 GBP 83.900 0.013 2.5 2.727 GOLD_micro -631.862 0.015 2.5 -23.935 HEATOIL 16.304 0.020 2.5 0.799 JGB-SGX-mini 641.568 0.052 2.5 83.840 JPY -168.269 0.013 2.5 -5.469 LEANHOG -25.935 0.025 2.5 -1.621 LIVECOW 206.796 0.014 2.5 7.048 LUMBER-new -129.106 0.007 2.5 -2.330 MILK -225.453 0.007 2.5 -4.159 MXP 510.402 0.066 2.5 83.965 NASDAQ_micro 7.519 0.009 2.5 0.168 NIKKEI 455.092 0.052 2.5 59.472 NZD 11.254 0.013 2.5 0.366 OAT 42.924 0.012 2.5 1.339 OATIES 6.892 0.008 2.5 0.144 OJ 139.536 0.007 2.5 2.574 PALLAD -18.269 0.015 2.5 -0.692 PLAT -42.747 0.015 2.5 -1.619 REDWHEAT -16.810 0.005 2.5 -0.192 RICE 122.780 0.008 2.5 2.572 ROBUSTA 114.869 0.004 2.5 1.155 RUSSELL -34.926 0.013 2.5 -1.112 SHATZ -250.124 0.004 2.5 -2.320 SILVER-mini -35.329 0.015 2.5 -1.338 SMI -18.110 0.013 2.5 -0.592 SOFR -170.779 0.023 2.5 -9.914 SOYBEAN 67.186 0.003 2.5 0.538 SOYMEAL 75.921 0.003 2.5 0.608 SOYOIL 61.797 0.003 2.5 0.495 SP400 3.478 0.013 2.5 0.111 SP500_micro 72.746 0.009 2.5 1.625 SUGAR11 38.139 0.007 2.5 0.699 US10 -136.236 0.005 2.5 -1.649 US10U -44.585 0.005 2.5 -0.540 US2 -383.169 0.005 2.5 -4.638 US20 -26.387 0.005 2.5 -0.319 US30 -12.687 0.005 2.5 -0.154 US5 -258.094 0.005 2.5 -3.124 VIX -185.533 0.059 2.5 -27.492 WHEAT -84.308 0.005 2.5 -0.963 ===================== Position diags ===================== AUD 3.26 BITCOIN 69.39 BOBL 1.23 BTP 1.85 BUND 0.61 BUXL 0.27 CAC 2.07 CAD 4.73 CANOLA 6.71 CHF 2.40 COCOA 2.09 COFFEE 0.42 COPPER 5.40 CORN 1.55 COTTON2 1.28 CRUDE_W 5.04 DAX 10.25 DOW 9.91 EUR 2.33 EURIBOR-ICE 8.24 EUROSTX 3.26 FEEDCOW 1.64 GASOIL 1.77 GASOLINE 1.40 GAS_US_mini 24.25 GBP 3.57 GOLD_micro 14.57 HEATOIL 1.39 JGB-SGX-mini 43.61 JPY 2.73 LEANHOG 5.78 LIVECOW 3.52 LUMBER-new 3.41 MILK 2.08 MXP 41.98 NASDAQ_micro 4.21 NIKKEI 29.74 NZD 3.38 OAT 2.01 OATIES 3.15 OJ 1.29 PALLAD 0.72 PLAT 2.63 REDWHEAT 0.71 RICE 3.06 ROBUSTA 1.12 RUSSELL 14.56 SHATZ 3.85 SILVER-mini 2.20 SMI 1.68 SOFR 15.00 SOYBEAN 0.33 SOYMEAL 0.47 SOYOIL 0.50 SP400 0.64 SP500_micro 7.92 SUGAR11 1.89 US10 1.28 US10U 0.95 US2 2.32 US20 0.68 US30 0.46 US5 1.92 VIX 13.75 WHEAT 0.76 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.6 -1.0 NaN 0 BITCOIN 18.7 11.8 25.7 0.0 0 BOBL -1.2 -1.3 -1.1 NaN 0 BTP 1.4 1.2 1.6 4.0 4 BUND 0.3 0.3 0.4 4.0 4 BUXL 0.0 -0.0 0.0 NaN 0 CAC 0.6 0.4 0.8 NaN 0 CAD -0.6 -1.1 -0.1 NaN 0 CANOLA 11.2 10.5 11.8 NaN 0 CHF -2.7 -3.0 -2.5 -3.0 -3 COCOA 0.9 0.7 1.1 NaN 0 COFFEE -0.4 -0.4 -0.3 NaN 0 COPPER -2.5 -3.0 -1.9 -1.0 -1 CORN 0.0 -0.1 0.2 4.0 4 COTTON2 0.1 -0.1 0.2 NaN 0 CRUDE_W 0.9 0.4 1.4 NaN 0 DAX -4.5 -5.5 -3.4 NaN 0 DOW -2.7 -3.7 -1.7 NaN 0 EUR -0.6 -0.8 -0.4 -4.0 -4 EURIBOR-ICE -9.5 -10.4 -8.7 -5.0 -5 EUROSTX 1.0 0.7 1.3 0.0 0 FEEDCOW -1.0 -1.1 -0.8 NaN 0 GASOIL 1.2 1.0 1.4 0.0 0 GASOLINE 2.6 2.4 2.7 1.0 1 GAS_US_mini -23.9 -26.3 -21.4 NaN 0 GBP 2.7 2.4 3.1 10.0 10 GOLD_micro -23.9 -25.4 -22.5 -15.0 -15 HEATOIL 0.8 0.7 0.9 0.0 0 JGB-SGX-mini 83.8 79.5 88.2 NaN 0 JPY -5.5 -5.7 -5.2 -12.0 -12 LEANHOG -1.6 -2.2 -1.0 -6.0 -6 LIVECOW 7.0 6.7 7.4 NaN 0 LUMBER-new -2.3 -2.7 -2.0 NaN 0 MILK -4.2 -4.4 -4.0 NaN 0 MXP 84.0 79.8 88.2 16.0 16 NASDAQ_micro 0.2 -0.3 0.6 19.0 19 NIKKEI 59.5 56.5 62.4 35.0 35 NZD 0.4 0.0 0.7 NaN 0 OAT 1.3 1.1 1.5 NaN 0 OATIES 0.1 -0.2 0.5 NaN 0 OJ 2.6 2.4 2.7 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -1.6 -1.9 -1.4 -1.0 -1 REDWHEAT -0.2 -0.3 -0.1 NaN 0 RICE 2.6 2.3 2.9 NaN 0 ROBUSTA 1.2 1.0 1.3 2.0 2 RUSSELL -1.1 -2.6 0.3 NaN 0 SHATZ -2.3 -2.7 -1.9 NaN 0 SILVER-mini -1.3 -1.6 -1.1 NaN 0 SMI -0.6 -0.8 -0.4 0.0 0 SOFR -9.9 -11.4 -8.4 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.6 0.7 NaN 0 SOYOIL 0.5 0.4 0.5 NaN 0 SP400 0.1 0.0 0.2 2.0 2 SP500_micro 1.6 0.8 2.4 NaN 0 SUGAR11 0.7 0.5 0.9 3.0 3 US10 -1.6 -1.8 -1.5 NaN 0 US10U -0.5 -0.6 -0.4 -12.0 -12 US2 -4.6 -4.9 -4.4 NaN 0 US20 -0.3 -0.4 -0.3 NaN 0 US30 -0.2 -0.2 -0.1 NaN 0 US5 -3.1 -3.3 -2.9 -9.0 -9 VIX -27.5 -28.9 -26.1 -16.0 -16 WHEAT -1.0 -1.0 -0.9 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 2.1 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 -0.1 0.1 -0.0 0.0 0.1 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 -0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.4 -0.2 -0.3 -0.1 -0.3 0.2 0.2 BITCOIN 0.5 0.0 0.2 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.4 0.1 -0.2 0.1 0.1 -0.3 -0.2 -0.3 -0.2 0.1 0.1 0.1 0.1 0.1 -1.1 0.0 -0.0 0.1 0.0 0.1 0.1 -0.1 -0.1 0.5 0.5 -0.0 0.0 0.3 0.0 0.3 BOBL -0.2 -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 -0.5 0.0 -0.1 -0.0 0.0 -0.3 -0.3 -0.2 -0.2 BTP -0.2 0.1 0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 0.0 0.0 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 -0.1 0.0 -0.0 2.6 -0.1 0.3 0.5 0.3 -0.3 -0.3 -0.1 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 2.5 -0.0 0.1 0.1 0.1 -0.3 -0.3 -0.1 -0.1 BUXL 0.2 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 -0.0 0.3 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC -0.1 -0.4 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.0 0.5 -0.0 0.1 -0.3 0.1 -0.1 0.0 0.0 0.1 -0.2 0.4 -0.0 -0.3 0.0 -0.2 0.1 -0.1 0.2 0.0 1.7 -0.5 0.2 -0.2 -0.2 0.2 -0.1 0.3 -0.0 CAD 0.1 0.3 0.3 0.0 0.1 0.1 0.0 0.0 0.0 -0.1 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 -0.3 0.3 0.1 -0.3 -0.3 -0.3 -0.1 CANOLA 0.5 0.5 -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 1.1 1.1 1.2 0.0 -0.0 0.2 -0.1 0.1 -1.1 0.0 0.0 -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 0.1 0.1 0.0 0.0 0.0 0.1 0.2 0.1 0.3 0.0 0.0 -0.8 -0.8 -0.8 -0.8 0.0 0.1 0.1 0.1 0.0 -0.4 0.0 0.1 0.1 0.0 0.1 0.0 -2.9 0.0 -0.2 -0.3 -0.0 -0.2 -0.3 -0.2 -0.3 COCOA 0.0 0.1 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.4 0.1 0.5 0.1 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 0.0 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 -0.5 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 -0.0 -0.0 -0.1 -0.6 -0.4 -0.5 -0.2 0.3 -0.3 -0.3 -0.1 -0.3 COPPER 0.0 -0.0 -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 -0.2 -0.0 -0.0 -0.5 -0.0 -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 -0.1 -0.0 -0.1 -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 0.6 0.4 0.4 0.3 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 0.4 -0.4 0.2 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.2 -0.0 -0.2 -0.0 0.1 -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 -0.3 0.0 0.1 -0.0 0.1 0.0 0.0 -1.6 0.1 0.2 0.2 0.3 0.1 0.2 0.1 0.0 DAX -0.3 -0.3 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.4 -0.1 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 -0.3 -0.2 0.2 -0.0 0.3 0.0 DOW 0.0 0.1 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.0 0.2 0.1 0.1 -0.6 -0.4 -0.5 -0.5 0.0 0.0 -0.0 0.1 0.0 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.6 0.2 0.4 0.2 0.0 -0.1 -0.0 -0.3 -0.0 EUR 0.2 -0.1 0.1 0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.2 0.0 0.2 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 -0.2 -0.0 -0.2 -0.1 -0.1 -0.3 0.0 0.2 EURIBOR-ICE -0.4 -0.3 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 -0.7 -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 -0.2 -0.3 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 0.3 -0.0 0.3 0.0 -0.2 0.1 -0.1 0.2 -0.0 1.2 -0.5 -0.0 -0.2 -0.1 0.2 -0.0 0.3 0.1 FEEDCOW -0.2 -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 0.1 -3.2 0.7 0.2 0.5 0.5 -0.0 -0.3 0.1 -0.2 GASOIL 0.3 0.4 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.1 -0.0 0.3 0.9 0.4 0.6 0.0 -0.1 0.1 -0.1 0.1 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 0.1 -0.1 0.1 0.0 1.2 1.2 1.2 1.2 0.0 0.0 0.1 0.1 0.1 -1.1 0.0 0.1 0.1 0.1 0.2 0.1 2.7 0.2 0.4 0.5 0.5 0.1 0.2 0.1 -0.1 GAS_US_mini 0.4 0.5 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.3 0.0 -0.4 0.0 -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 -0.7 0.5 0.3 0.1 0.0 0.2 0.0 0.0 GBP 0.1 0.1 0.3 0.0 0.1 0.1 0.0 0.0 0.0 0.2 0.4 0.1 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 0.1 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 -0.3 -0.5 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.2 -0.2 -0.1 -0.9 -0.7 -0.8 -0.8 -0.1 -0.0 -0.1 0.2 -0.2 -0.6 -0.0 0.0 0.0 0.0 0.1 -0.0 -2.5 0.2 -0.3 -0.5 -0.1 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.3 0.3 -0.4 -0.0 0.1 -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 0.2 -0.1 0.1 -1.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.4 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 -0.2 -0.5 -0.5 0.0 0.1 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 -0.1 -0.1 -0.3 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -3.1 -0.1 -0.5 -0.5 -0.5 -0.3 -0.3 -0.3 -0.3 LEANHOG 0.4 0.5 -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 -0.7 1.2 -0.1 -0.0 -0.1 0.1 -0.3 0.1 0.6 -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 0.0 -0.1 0.0 -0.1 0.0 0.2 0.4 0.1 0.6 0.2 0.2 0.9 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 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.4 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.4 0.1 -0.3 0.1 0.0 -0.6 -0.8 -0.8 -0.8 0.1 -0.1 0.2 -0.2 0.1 NaN 0.0 0.1 -0.0 0.1 -0.1 0.1 -3.4 -0.2 -0.1 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 -0.1 0.2 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.0 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 0.0 3.2 -0.0 -0.0 0.5 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.2 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 0.1 -0.0 0.0 -0.0 0.0 0.8 -0.0 -0.1 -0.2 -0.2 -0.0 -0.2 0.2 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 -0.1 -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 -0.1 -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 0.1 0.2 0.1 -0.4 0.1 0.1 -0.8 0.1 -0.6 -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 -2.2 0.2 0.5 0.5 0.5 0.1 0.3 0.2 0.3 OJ -0.1 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.3 0.1 0.4 0.1 0.1 0.9 1.0 1.0 1.1 0.1 0.2 0.2 0.4 0.1 -1.1 0.0 0.1 0.2 0.0 0.4 0.0 3.2 0.3 -0.3 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.4 -0.5 -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 -0.4 -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 -0.0 -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 0.3 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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.5 -0.7 -0.2 0.2 0.3 -0.3 -0.2 -0.1 -0.1 RICE -0.0 0.1 -0.0 -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 0.0 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 -0.0 0.3 -0.1 0.3 0.0 0.1 1.2 0.7 1.1 0.9 0.1 0.1 -0.1 0.3 -0.0 -0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 1.8 -0.6 -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 0.5 0.2 0.4 -0.2 -0.1 -0.1 -0.2 -0.1 SHATZ -0.4 -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 -0.1 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 0.4 0.1 -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 0.1 0.0 -0.0 0.1 -0.1 -0.0 -0.4 -0.3 -0.4 -0.4 -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 0.3 -0.2 -0.3 0.1 -0.2 -0.3 -0.0 -0.3 SMI -0.4 -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 -0.1 1.7 -0.7 -0.5 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 SOFR -0.4 -0.5 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 -0.1 -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 0.0 -0.0 0.0 -0.1 0.0 0.0 0.6 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 0.2 0.5 0.4 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 -0.1 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 0.0 -0.1 0.0 -0.1 0.0 0.0 0.7 0.6 0.5 0.5 0.0 -0.0 0.1 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.6 0.5 0.4 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 0.1 -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 0.7 0.5 0.4 -0.3 -0.1 -0.1 -0.2 -0.1 SP500_micro 0.1 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 0.3 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 0.1 0.2 -0.0 0.3 -0.0 0.0 0.0 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 2.4 -0.6 -0.5 -0.3 0.5 -0.3 -0.3 0.1 -0.1 US10 -0.3 -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 -0.0 -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 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 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 -0.1 -0.2 -0.4 -0.2 -0.3 -0.2 -0.3 -0.1 US20 -0.1 -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 -0.2 -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 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 0.2 0.0 -0.0 -0.3 -0.3 0.3 0.3 US5 -0.4 -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 -0.1 -0.3 -0.3 0.1 -0.2 VIX -0.2 -0.8 -0.8 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.6 -0.2 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.3 -0.6 -0.3 NaN -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.4 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 -0.1 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 -3.8 4.0 -0.7 3.2 4.7 2.8 3.2 1.1 3.3 6.7 -4.5 -7.3 -5.6 -1.6 -1.1 -2.3 -2.6 -2.7 -2.8 -1.5 -2.7 -3.3 -4.8 -2.6 1.8 -0.4 0.6 -0.8 -1.9 -2.0 -1.3 -0.5 -10.9 -17.0 -6.1 -11.1 -3.8 -20.0 13.0 16.5 BITCOIN 19.9 0.9 9.6 1.3 1.0 2.8 -0.4 2.8 0.1 -18.3 18.0 17.4 -6.7 16.9 16.5 -5.8 -2.8 -4.7 -3.8 14.6 13.2 10.7 4.9 17.4 -20.0 5.3 -1.6 4.1 4.3 2.5 7.0 -0.4 -4.0 20.0 18.8 -0.7 0.0 20.0 1.7 20.0 BOBL -10.0 -8.4 -4.3 -2.0 -4.2 -1.4 -3.6 -2.0 -2.8 -6.0 -3.0 -6.7 -6.1 -6.8 -4.4 -20.0 -0.6 -12.5 -5.8 -5.5 -4.7 -8.6 -7.8 -7.2 9.3 -2.0 -4.0 -1.3 -3.6 -2.5 -3.0 -3.4 1.0 -2.2 -1.8 1.9 -20.0 -20.0 -18.0 -14.6 BTP -6.5 5.8 10.5 -3.1 -6.4 -2.2 -5.6 -3.0 -4.3 -9.9 8.2 -8.2 -3.2 1.8 4.9 5.4 9.1 7.0 8.0 2.6 3.3 -11.5 -2.1 -2.9 -6.6 1.8 -9.2 2.6 -6.2 0.1 -1.5 16.3 -3.1 10.9 18.4 12.0 -20.0 -20.0 -3.9 3.4 BUND -3.6 -0.5 0.1 -2.1 -4.3 -1.5 -3.8 -2.1 -2.9 -7.0 -3.1 -5.6 -6.6 -4.8 -3.3 6.3 9.6 6.8 7.7 -3.0 -3.4 -9.2 -7.6 -5.0 5.1 -1.4 -7.9 -0.9 -5.3 -2.7 -2.8 16.1 -1.3 2.5 3.1 3.1 -20.0 -20.0 -9.0 -3.8 BUXL 8.5 7.5 -2.6 -2.5 -5.2 -1.8 -4.6 -2.5 -3.5 -8.4 -6.9 -3.5 -8.8 1.2 -3.4 1.8 1.2 1.9 2.0 -0.9 -4.4 -8.3 -10.9 -1.5 -0.2 0.1 -10.8 -0.8 -5.1 -3.4 -0.9 4.2 -0.5 12.0 9.8 3.6 -20.0 -20.0 9.4 9.5 CAC -2.8 -17.7 -1.3 3.5 -7.5 5.5 -3.1 4.8 0.5 -12.1 16.1 -4.9 18.3 -3.0 8.6 -5.8 1.9 -1.2 0.8 1.1 10.0 -12.3 17.3 -3.8 -5.1 2.7 -18.3 5.6 -6.6 7.9 0.4 10.7 -14.8 9.3 -9.2 -7.2 15.5 -3.9 19.2 -2.3 CAD 3.5 11.7 13.9 5.0 7.4 4.4 5.0 1.7 5.2 -8.2 11.6 -5.3 -9.8 12.0 15.5 -2.2 -1.9 -2.4 -2.3 12.2 7.3 -5.5 -3.2 6.5 -1.2 5.5 -4.3 3.8 -2.8 -0.3 2.6 0.5 -20.0 -12.5 11.6 5.9 -20.0 -20.0 -20.0 -9.5 CANOLA 20.0 20.0 -1.8 -0.8 0.9 -2.0 1.0 -2.0 0.7 7.3 -3.8 8.5 -7.4 8.2 2.9 11.1 17.8 19.1 19.5 5.3 -4.0 17.3 -6.9 14.5 -20.0 0.9 2.8 -1.8 4.2 -2.4 3.5 20.0 20.0 20.0 9.8 -6.7 -13.4 20.0 1.1 20.0 CHF 4.8 -8.2 5.3 4.3 6.3 3.7 4.3 1.5 4.4 10.7 10.2 9.3 11.9 3.0 3.8 -13.9 -12.7 -14.0 -13.5 2.6 6.0 6.2 7.0 3.0 -8.2 2.3 10.5 4.4 4.7 3.9 2.5 -18.3 0.6 -7.7 -12.3 -0.2 -13.4 -20.0 -13.7 -20.0 COCOA 1.0 3.2 13.8 -1.9 2.1 -4.9 2.5 -4.8 1.6 -3.0 20.0 11.1 18.7 17.0 20.0 -1.6 -0.9 -0.6 -0.3 20.0 20.0 14.5 20.0 20.0 -7.9 8.2 1.6 7.4 5.1 5.7 7.6 -11.9 20.0 20.0 20.0 20.0 -18.1 -20.0 11.0 -12.0 COFFEE -20.0 -18.2 3.8 -1.5 1.7 -4.0 2.0 -3.9 1.3 -11.8 -0.1 -16.2 -5.7 -16.6 -13.5 3.0 4.1 4.5 4.5 -17.0 -7.5 -20.0 -5.6 -20.0 -20.0 -3.1 -2.1 -0.2 -5.8 -0.3 -6.5 -3.5 -10.7 -20.0 -7.3 13.9 -20.0 -20.0 -5.8 -20.0 COPPER 1.3 -0.8 -12.7 0.9 0.7 1.9 -0.3 1.9 0.1 5.6 -4.1 -6.3 -4.7 1.1 -5.5 -2.4 -1.2 -2.2 -1.8 -6.5 -6.2 -4.6 -4.0 -5.0 -3.8 -2.9 2.4 -3.4 -0.0 -2.1 -1.4 2.5 -6.3 -0.7 -1.5 -20.0 -3.5 -20.0 0.3 -17.9 CORN -5.8 20.0 -1.4 -0.6 0.7 -1.7 0.9 -1.7 0.6 -6.0 -3.4 -6.5 -4.2 -4.5 -2.8 -3.5 9.4 -0.1 5.0 -2.3 -2.1 -11.0 -1.7 -6.3 -7.2 0.4 -1.8 -0.8 -1.8 -1.1 -0.1 2.2 -20.0 -2.1 11.0 0.5 -4.7 17.7 -1.4 20.0 COTTON2 -6.8 3.8 6.9 -1.0 1.2 -2.7 1.4 -2.7 0.9 6.9 0.6 5.1 -9.1 2.3 3.8 9.8 6.5 6.6 4.5 0.5 -1.5 3.9 -4.7 1.0 -18.9 -0.3 4.2 -0.5 3.4 -0.5 0.3 -2.2 10.8 -16.5 6.4 9.3 -20.0 -17.1 4.4 6.8 CRUDE_W 6.6 -0.7 -6.2 -1.8 8.4 -4.1 4.1 -2.2 0.9 14.7 -6.8 12.4 -9.7 5.4 -6.5 4.1 8.2 5.4 6.4 -2.8 -6.0 10.4 -3.5 3.5 -4.8 2.1 11.1 -0.4 7.7 1.1 5.0 -10.1 2.9 7.1 6.1 12.6 8.6 13.0 9.5 2.6 DAX -13.4 -12.3 3.6 3.2 -6.8 5.0 -2.8 4.4 0.5 -10.3 15.1 -11.6 16.1 -6.7 8.2 -8.3 -6.2 -8.1 -7.6 0.4 9.9 -16.5 13.9 -8.2 16.5 -0.0 -15.6 4.9 -10.6 6.6 -5.2 -3.6 -20.0 -12.9 -11.1 -6.4 13.5 -2.4 20.0 1.2 DOW 1.0 5.9 4.8 2.8 -6.1 4.5 -2.5 3.9 0.4 -7.9 5.5 -3.1 6.1 8.7 11.3 -9.6 -6.2 -8.8 -7.9 5.9 4.6 -1.6 3.0 4.5 -8.3 4.7 -1.6 3.5 1.7 2.6 4.6 -3.8 4.5 15.2 8.4 0.2 -4.5 -2.9 -19.8 -0.9 EUR 9.2 -5.8 2.3 3.9 5.8 3.4 3.9 1.3 4.0 7.7 9.6 5.5 5.5 4.2 1.0 -6.6 -6.9 -6.7 -6.7 1.9 3.4 3.6 2.0 3.1 13.8 1.7 5.0 2.3 2.2 1.1 2.2 -7.5 -5.0 -0.3 -9.6 -4.3 -6.6 -19.5 2.1 17.5 EURIBOR-ICE -14.1 -11.9 2.4 -2.0 -4.1 -1.4 -3.6 -2.0 -2.8 -5.2 -4.0 -6.5 -6.5 -7.0 -5.2 -12.5 -7.3 -10.4 -9.2 -7.0 -5.5 -9.6 -8.2 -9.1 16.2 -2.2 -3.0 -1.5 -3.2 -2.5 -3.0 -13.1 -1.4 -6.5 -6.7 1.1 -20.0 -20.0 20.0 2.7 EUROSTX -6.0 -11.7 2.5 3.3 -7.1 5.2 -2.9 4.6 0.5 -10.8 17.9 -4.4 18.5 1.2 13.3 -5.1 0.6 -4.0 -1.7 3.9 11.8 -11.5 16.6 -2.3 4.9 2.2 -18.8 6.6 -9.0 8.8 -2.0 7.7 -13.6 -2.0 -6.1 -4.7 16.3 -0.6 20.0 4.4 FEEDCOW -8.2 -4.5 14.7 -1.6 1.8 -4.3 2.2 -4.2 1.4 7.7 16.5 11.7 15.8 12.2 14.6 -20.0 -20.0 -20.0 -20.0 20.0 20.0 18.8 20.0 20.0 7.7 6.6 6.1 7.8 7.6 7.1 6.4 -20.0 20.0 8.7 20.0 20.0 -2.9 -20.0 10.9 -17.9 GASOIL 13.9 14.7 -13.6 -1.6 7.4 -3.6 3.6 -1.9 0.8 10.6 -9.4 8.4 -4.6 9.5 -1.2 5.0 15.3 5.9 10.1 0.1 -7.4 10.9 -4.0 6.8 9.5 0.5 9.2 -3.4 5.9 -3.0 3.8 0.0 5.7 13.4 6.9 -0.7 -5.1 4.5 -7.5 -4.5 GASOLINE 4.7 3.7 -3.5 -2.1 9.8 -4.7 4.8 -2.6 1.0 17.5 5.9 10.5 -5.4 11.7 2.2 20.0 20.0 20.0 20.0 3.9 1.8 11.9 5.6 7.3 -20.0 5.7 8.0 4.0 6.6 5.5 6.6 17.0 5.1 16.1 20.0 20.0 7.8 12.0 11.0 -4.4 GAS_US_mini 16.5 18.5 -0.2 -1.5 7.0 -3.4 3.5 -1.8 0.8 -12.7 -14.3 2.1 -14.6 5.1 -4.2 -1.9 -13.4 -13.3 -15.5 -2.6 -20.0 -2.2 -20.0 2.5 15.0 2.3 -3.7 -1.8 -0.0 -3.3 3.2 -20.0 -20.0 18.5 10.5 4.1 3.8 18.9 1.6 2.2 GBP 5.1 3.3 12.5 4.4 6.5 3.8 4.4 1.5 4.5 15.4 17.2 10.4 7.0 12.0 15.2 0.6 -1.2 -0.5 -1.0 12.6 12.9 10.4 6.5 10.7 -0.9 5.8 8.2 5.2 4.9 1.3 5.0 2.2 0.8 0.2 5.7 8.9 4.3 9.7 11.5 20.0 GOLD_micro -13.9 -20.0 0.0 1.1 0.9 2.4 -0.4 2.4 0.1 5.6 4.7 -14.3 6.7 -18.7 -10.8 -15.2 -11.2 -13.9 -12.7 -16.0 -1.2 -9.0 8.3 -18.5 -11.8 -4.2 3.5 0.4 0.0 3.4 -4.1 -15.6 6.9 -10.8 -20.0 -5.5 -20.0 -20.0 -6.7 -20.0 HEATOIL 13.0 10.6 -14.6 -1.9 8.6 -4.1 4.2 -2.2 0.9 14.8 -12.2 12.6 -6.3 11.2 -3.2 3.1 17.2 4.5 10.0 -1.0 -10.0 15.0 -5.4 8.4 -19.0 3.0 8.9 -1.0 7.2 0.2 6.2 1.6 10.6 20.0 17.8 5.3 -6.5 3.6 -10.4 3.2 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 -8.0 -20.0 -19.9 3.0 4.5 2.6 3.0 1.0 3.1 6.4 -10.1 -8.7 -9.8 -12.3 -13.5 -16.9 -12.9 -16.0 -14.7 -20.0 -17.7 -4.8 -15.4 -16.1 20.0 -4.6 2.9 -3.6 -1.0 -3.1 -3.8 -19.5 -3.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 17.7 19.9 -12.8 -1.2 1.3 -3.0 1.6 -3.0 1.0 8.2 -7.3 9.3 -9.7 11.1 0.2 20.0 -12.0 20.0 -2.2 -0.4 -12.8 8.4 -15.9 8.5 10.8 -3.6 0.8 -6.7 0.8 -6.6 -0.3 -20.0 2.4 0.5 -8.3 -20.0 -5.9 3.7 16.6 19.9 LIVECOW 3.5 17.2 17.4 -2.0 2.3 -5.3 2.8 -5.2 1.7 15.6 20.0 15.8 20.0 19.3 20.0 14.4 12.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 10.8 8.5 6.1 7.3 7.6 5.7 8.4 20.0 20.0 18.4 20.0 20.0 -20.0 -20.0 -18.2 -20.0 LUMBER-new 14.9 10.0 -1.3 -2.3 2.6 -5.5 3.1 -4.7 2.0 14.5 -18.7 13.3 -20.0 16.0 0.9 -8.9 -12.7 -12.5 -12.9 6.7 -5.8 11.9 -10.5 13.9 NaN 3.5 7.2 -1.3 5.7 -2.9 6.4 -20.0 -5.3 -4.5 12.5 11.1 -20.0 -20.0 -20.0 -20.0 MILK -20.0 -20.0 -20.0 -1.1 1.2 -2.9 1.5 -2.9 1.0 -11.3 -13.7 -12.8 -13.4 -13.3 -13.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -7.9 -4.9 -2.6 -4.0 -4.4 -3.0 -5.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.5 -20.0 MXP -3.8 9.1 19.3 5.4 7.9 4.6 5.4 1.8 5.5 0.1 20.0 12.3 20.0 20.0 20.0 19.1 17.7 18.6 17.9 20.0 20.0 7.9 20.0 20.0 -20.0 8.7 -1.0 9.9 2.0 10.0 5.9 20.0 -0.6 -0.2 20.0 20.0 20.0 4.7 20.0 20.0 NASDAQ_micro -7.2 20.0 20.0 2.3 -5.0 3.6 -2.0 3.2 0.3 8.2 13.9 9.8 4.8 12.7 13.7 -10.3 -6.9 -9.8 -8.6 20.0 20.0 9.0 15.3 18.6 -20.0 5.2 0.8 5.1 1.7 3.4 3.5 -5.0 5.6 20.0 20.0 20.0 -7.0 -8.8 -12.2 -10.2 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 4.9 -4.3 -2.4 2.7 4.0 2.3 2.7 0.9 2.8 9.1 -2.0 3.6 -1.4 -0.7 -3.1 0.6 0.6 0.6 0.6 -1.3 -2.1 3.8 -2.9 1.0 0.1 -0.6 4.6 -0.8 2.3 -1.4 0.6 5.1 -0.4 -5.9 -9.0 -9.9 -0.7 -14.2 11.6 9.9 OAT -3.4 2.2 3.0 -2.3 -4.8 -1.6 -4.2 -2.3 -3.2 -7.9 -3.6 -6.6 -7.1 -3.3 -2.0 6.2 9.7 8.0 9.0 -2.3 -2.8 -10.1 -7.1 -4.9 7.1 -1.0 -9.4 -0.6 -6.3 -3.0 -3.0 17.5 -2.3 3.9 5.4 4.4 -20.0 -20.0 -0.2 -0.4 OATIES 20.0 20.0 17.6 -1.6 1.8 -4.1 2.1 -4.1 1.4 11.9 7.5 15.5 -13.0 16.8 15.2 -13.4 1.8 -9.3 -5.1 20.0 13.4 20.0 -0.7 20.0 -20.0 5.2 1.3 1.9 3.6 -0.3 5.9 -13.9 5.7 20.0 20.0 20.0 7.4 20.0 18.3 20.0 OJ -2.1 -0.0 2.1 -1.5 1.7 -3.9 2.0 -3.8 1.3 15.0 13.5 11.1 15.7 6.7 9.5 15.0 17.4 17.7 18.7 11.9 20.0 14.5 20.0 8.6 -20.0 4.9 4.6 9.9 2.0 14.2 1.9 20.0 7.8 -13.8 20.0 20.0 13.3 7.5 20.0 17.2 PALLAD -14.6 -19.7 -1.4 0.6 0.4 1.2 -0.2 1.2 0.1 -3.6 -9.9 -7.9 -9.9 -9.3 -9.2 -3.2 -2.4 -3.1 -2.8 -15.3 -15.5 -9.4 -17.4 -14.8 -5.2 -3.2 -1.7 -2.5 -3.4 -2.4 -3.9 0.4 -9.5 -14.1 -16.0 -9.4 -16.2 1.1 -0.8 2.5 PLAT -20.0 -20.0 -4.0 0.7 0.5 1.5 -0.2 1.5 0.1 -1.7 -5.7 -9.9 1.1 -11.8 -10.1 -2.8 -1.7 -2.4 -2.1 -16.8 -7.5 -11.0 -0.8 -18.7 11.7 -3.5 -0.7 -1.4 -2.3 -0.0 -4.0 1.8 -2.7 -20.0 -20.0 -8.1 -2.8 -14.4 4.6 -9.1 REDWHEAT 10.5 1.7 5.6 -1.1 1.2 -2.8 1.4 -2.7 0.9 -2.4 -1.7 0.5 -9.4 -0.5 2.8 0.6 4.2 3.4 4.8 0.8 -1.6 0.8 -3.1 1.5 -11.7 0.8 -4.7 -0.2 -3.3 -0.4 -0.3 -2.9 -20.0 -7.1 7.6 10.5 -20.0 -14.8 -3.9 -7.6 RICE -0.6 6.0 -1.9 -1.4 1.6 -3.8 1.9 -3.7 1.2 -14.1 -5.3 -13.6 -3.3 2.5 5.0 20.0 20.0 20.0 20.0 -1.4 -3.6 -11.2 -2.9 -4.9 -20.0 -0.1 -5.8 -1.0 -6.7 -1.4 -3.0 20.0 -20.0 -20.0 1.7 16.4 -12.2 -20.0 -2.0 -20.0 ROBUSTA -20.0 -5.8 18.5 -1.2 1.4 -3.2 1.7 -3.2 1.1 -2.4 12.3 -7.6 11.3 0.3 9.6 20.0 11.8 18.9 15.0 10.1 17.7 -8.3 15.8 -3.1 -9.1 3.2 0.8 5.4 -2.5 4.7 -0.8 11.6 -18.9 -20.0 20.0 20.0 -9.7 -20.0 1.8 -17.1 RUSSELL -1.4 16.4 3.7 2.3 -5.0 3.6 -2.0 3.2 0.3 1.9 -3.0 1.6 -6.3 7.7 5.6 -6.0 -4.6 -5.9 -5.5 5.9 1.8 1.1 -3.0 5.2 -0.8 3.4 2.6 1.6 2.9 0.2 3.8 -0.4 14.2 7.1 16.1 -9.8 -6.1 -6.5 -17.9 -7.8 SHATZ -16.6 -19.4 -16.7 -2.0 -4.2 -1.4 -3.6 -2.0 -2.8 -4.5 -4.7 -6.6 -6.5 -7.3 -6.0 -1.0 2.0 -0.8 -0.6 -10.1 -8.8 -8.4 -11.0 -10.8 11.1 -2.4 -1.3 -1.9 -2.2 -2.5 -2.7 2.4 4.3 -6.6 -8.0 -1.5 -20.0 -20.0 -20.0 -20.0 SILVER-mini -11.3 -16.7 1.1 1.0 0.8 2.2 -0.3 2.2 0.1 8.2 2.1 -5.7 3.5 -9.3 -5.3 -6.8 -5.2 -6.4 -5.9 -9.6 -1.4 -3.0 3.2 -10.3 7.4 -1.8 0.2 0.3 -1.1 0.9 -2.1 -4.6 10.2 -6.6 -12.5 2.5 -12.0 -20.0 -3.0 -20.0 SMI -14.8 -16.8 10.0 3.0 -6.4 4.7 -2.6 4.1 0.4 -15.1 9.5 -15.2 2.6 -15.4 6.1 -3.0 2.6 -2.3 0.0 -4.7 4.0 -20.0 5.3 -13.5 1.9 -2.2 -16.9 0.5 -10.6 -0.3 -6.2 10.9 -20.0 -20.0 -20.0 -3.1 -6.7 -11.9 -10.8 -17.8 SOFR -16.9 -18.6 2.3 -2.4 -5.1 -1.7 -4.5 -2.4 -3.4 -8.6 0.5 -9.3 -1.7 -9.4 -3.8 -2.7 -0.3 -1.1 -0.7 -8.1 -2.7 -18.8 -2.4 -14.1 -1.4 -2.7 -4.5 -0.8 -5.0 -0.4 -4.2 0.2 -5.1 -4.7 -10.0 4.5 -20.0 -20.0 -8.8 -0.1 SOYBEAN 20.0 20.0 -4.0 -0.7 0.7 -1.8 0.9 -1.7 0.6 1.8 -1.2 3.8 -3.3 4.5 2.6 9.3 20.0 14.5 19.1 3.4 -0.8 4.6 -1.8 6.5 -15.9 1.3 0.6 -0.3 1.8 -0.5 2.4 20.0 4.9 20.0 14.7 0.0 -6.6 20.0 -0.6 20.0 SOYMEAL 20.0 0.5 -20.0 -0.7 0.8 -1.8 0.9 -1.7 0.6 -0.7 -1.8 -2.9 1.7 -2.4 -4.0 20.0 20.0 20.0 20.0 -1.5 -1.7 -0.8 0.9 0.0 -16.6 0.9 0.3 0.1 1.5 0.9 2.1 20.0 -1.9 14.2 7.8 -1.3 -7.3 -20.0 -0.7 -19.0 SOYOIL 20.0 20.0 0.4 -0.6 0.7 -1.7 0.9 -1.6 0.5 2.3 -2.7 5.0 -3.9 6.0 3.8 12.7 9.8 8.7 7.7 6.0 -0.1 8.9 -2.2 10.3 -20.0 1.7 0.7 0.0 1.9 -0.5 2.5 3.6 13.5 16.6 19.5 4.8 6.1 8.7 17.9 20.0 SP400 7.5 16.1 1.2 2.4 -5.2 3.8 -2.1 3.3 0.4 6.1 -0.7 8.0 0.3 11.5 7.7 -4.8 -4.3 -5.1 -4.9 9.1 3.7 7.9 0.5 11.4 -9.1 3.8 3.8 1.4 5.0 0.6 5.5 0.4 20.0 19.9 17.1 -10.2 -4.7 -8.1 -11.9 -8.9 SP500_micro 4.1 20.0 20.0 3.3 -7.0 5.2 -2.9 4.5 0.5 6.6 18.7 10.6 3.0 16.7 18.7 -11.9 -7.3 -10.5 -9.1 20.0 20.0 12.7 12.3 20.0 -16.9 7.2 1.6 5.7 4.1 3.3 6.5 -5.6 17.4 20.0 20.0 20.0 -5.3 -7.8 -9.7 -9.0 SUGAR11 -20.0 -20.0 6.1 -1.1 1.3 -3.0 1.5 -2.9 1.0 6.6 8.9 -5.2 10.4 -6.0 3.9 0.7 17.0 5.3 12.0 -1.0 11.2 -7.5 15.4 -10.5 -20.0 0.5 -0.1 4.8 -2.5 6.4 -2.9 15.5 -19.1 -20.0 -13.2 20.0 -20.0 -19.1 7.6 -10.1 US10 -12.6 -19.4 -4.5 -2.1 -4.4 -1.5 -3.8 -2.1 -2.9 -7.3 -2.9 -8.0 -5.7 -8.2 -5.8 -9.2 -6.1 -9.1 -8.4 -9.1 -5.8 -14.1 -6.4 -12.0 0.7 -2.6 -3.0 -1.3 -3.5 -1.1 -3.3 -11.5 -1.5 -2.8 -9.7 -1.4 -20.0 -20.0 11.0 2.8 US10U -8.6 -13.7 -2.7 -2.9 -6.0 -2.0 -5.2 -2.8 -4.0 -10.0 -3.0 -10.7 -7.4 -10.8 -7.8 2.2 -0.3 -0.6 -1.2 -9.5 -6.4 -17.1 -8.2 -13.1 -4.0 -3.5 -4.5 -1.7 -4.8 -1.4 -4.4 -0.3 0.4 0.5 -9.0 -1.6 -20.0 -20.0 18.2 15.7 US2 -20.0 -20.0 -20.0 -2.0 -4.1 -1.4 -3.6 -1.9 -2.7 -5.9 -5.1 -7.3 -6.1 -7.8 -7.0 -20.0 -17.4 -20.0 -20.0 -16.2 -11.7 -12.9 -10.9 -16.8 7.1 -2.6 -1.3 -1.7 -2.3 -1.7 -2.9 -20.0 -2.0 -9.5 -17.3 -6.1 -20.0 -14.7 -20.0 -10.1 US20 -4.5 -9.2 -1.4 -2.3 -4.8 -1.6 -4.1 -2.2 -3.2 -7.9 -1.0 -7.9 -4.8 -7.2 -5.6 -1.2 -1.2 -1.3 -1.7 -5.9 -4.3 -12.3 -6.1 -8.3 -4.0 -2.7 -4.2 -1.4 -4.1 -1.4 -3.5 -1.5 1.8 2.9 -3.4 -0.5 -20.0 -20.0 17.6 16.6 US30 -0.8 -3.8 -0.9 -2.7 -5.7 -1.9 -5.0 -2.7 -3.8 -9.5 -3.6 -8.3 -7.0 -7.0 -7.3 0.2 -0.6 -0.4 -0.7 -5.3 -5.0 -11.7 -8.9 -7.1 -3.7 -3.2 -6.3 -1.8 -5.7 -2.1 -4.2 -0.1 3.5 6.8 1.1 -1.0 -20.0 -20.0 20.0 20.0 US5 -15.6 -20.0 -8.1 -2.0 -4.2 -1.4 -3.7 -2.0 -2.8 -7.1 -3.4 -7.8 -5.8 -8.1 -5.9 -13.8 -7.7 -12.5 -10.8 -10.7 -6.8 -13.7 -7.1 -13.2 3.0 -2.5 -2.3 -1.3 -3.1 -1.2 -3.2 -14.8 -1.8 -5.1 -12.0 -2.1 -20.0 -20.0 3.9 -12.8 VIX -6.0 -20.0 -20.0 -7.0 -0.4 -6.5 -2.9 -5.7 -5.8 -8.2 -20.0 -15.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.5 -20.0 -20.0 NaN -8.3 -1.4 -7.4 -3.8 -6.7 -7.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 16.5 20.0 7.0 -0.7 0.8 -1.9 1.0 -1.8 0.6 -6.6 -5.1 -5.0 -7.8 -1.1 -1.1 -9.1 -8.7 -10.4 -10.1 -0.3 -4.1 -5.5 -6.3 -0.9 -4.2 0.4 -3.2 -0.9 -2.5 -1.3 -0.1 -20.0 -20.0 -2.2 8.2 0.3 -16.5 -18.0 -7.7 -9.5 End of report for caleb_strategy_v3