******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230712_204335 produced at 2023-07-12 21:38:07.619534 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.49 -0.85 0.0 0.98 -0.98 -0.49 -0.10 -8.69 10.0 -5 -1 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.43 0.0 0.00 0.00 0.00 0.00 -4.88 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -4.28 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.18 0.0 0.11 -0.11 -0.11 -0.10 -28.62 17.0 -17 -16 caleb_strategy_v3 JPY False False 0.03 -0.40 -0.14 0.0 0.57 -0.57 -0.40 -0.40 -4.26 17.0 -12 -12 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.14 0.0 0.40 -0.40 -0.11 -0.06 -19.34 56.0 -15 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.53 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.35 -0.09 0.0 0.99 -0.99 -0.35 -0.35 -2.40 25.0 -9 -9 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.09 0.0 0.69 -0.69 -0.16 -0.16 -1.64 13.0 -3 -3 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.06 0.0 0.89 -0.89 0.00 0.00 -1.27 19.0 0 0 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.05 0.0 0.21 -0.21 -0.07 -0.07 -1.34 6.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.0 0.06 -0.06 -0.02 -0.02 -22.75 26.0 -9 -9 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.70 -0.70 0.00 0.00 -1.26 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.57 5.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.04 0.0 0.37 -0.37 0.00 0.00 -0.82 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 -0.70 2.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.53 9.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.09 -0.02 0.0 0.18 -0.18 -0.09 -0.09 -1.02 10.0 -5 -5 caleb_strategy_v3 DAX False False 0.01 -0.07 -0.02 0.0 0.38 -0.38 -0.07 -0.07 -3.64 58.0 -10 -10 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.81 0.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.47 -0.47 0.00 0.00 -0.95 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.52 -0.01 0.0 0.56 -0.56 -0.52 -0.52 -0.32 13.0 -12 -12 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.26 9.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.01 0.0 0.16 -0.16 -0.07 -0.07 -0.81 13.0 -6 -6 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.09 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 -1.03 9.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.01 0.0 0.81 -0.81 0.00 0.00 -0.20 29.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.48 6.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.10 -0.01 0.0 0.72 -0.72 -0.10 0.00 -0.18 14.0 -2 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -1.25 66.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.45 2.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 -0.01 -0.15 12.0 0 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.05 0.00 0.0 0.26 -0.26 0.05 0.16 0.10 23.0 4 14 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.14 11.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.02 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.31 8.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.66 9.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.32 -0.32 0.00 0.00 0.82 26.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.52 10.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.18 -0.18 0.03 0.03 1.05 18.0 3 3 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 0.01 0.0 0.24 -0.24 -0.01 -0.00 3.08 68.0 -3 -1 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.17 -0.17 0.05 0.05 0.58 7.0 2 2 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 NZD False False 0.02 0.00 0.01 0.0 0.49 -0.49 0.00 0.02 0.56 21.0 0 1 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.02 0.0 0.07 -0.07 0.00 0.00 19.46 59.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.21 0.02 0.0 0.53 -0.53 0.21 0.21 0.29 10.0 4 4 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.74 12.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.08 0.02 0.0 0.40 -0.40 0.08 0.08 2.08 48.0 10 10 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.02 0.0 0.35 -0.35 0.00 0.07 1.11 20.0 0 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.29 4.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.27 2.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.04 0.0 0.11 -0.11 0.03 0.03 1.49 4.0 1 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.12 -0.12 0.00 0.00 1.02 3.0 0 0 caleb_strategy_v3 OJ False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 2.74 3.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.05 0.0 0.23 -0.23 0.00 0.00 11.07 51.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.05 0.0 0.14 -0.14 0.00 0.03 1.94 5.0 0 1 caleb_strategy_v3 BTP False False 0.05 0.19 0.05 0.0 0.46 -0.46 0.19 0.19 1.15 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.06 0.0 0.51 -0.51 0.00 0.00 1.23 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.30 0.10 0.0 0.66 -0.66 0.30 0.30 3.39 22.0 10 10 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.86 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.19 0.0 0.45 -0.45 0.00 0.00 7.05 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.32 0.53 0.0 0.32 -0.32 0.32 0.31 59.47 36.0 36 35 caleb_strategy_v3 MXP False False 0.01 0.62 0.90 0.0 0.64 -0.64 0.62 0.64 84.11 60.0 58 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.59 3.28 0.0 0.63 -0.63 0.59 0.63 83.88 16.0 15 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.6 Shocked risk 62.9 Sum abs risk 59.0 Leverage 7.66 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 0.0049 0.6806 0.7196 11.5141 BITCOIN 780.4924 30635.0000 2.5477 40.7634 BOBL 0.3256 115.2500 0.2825 4.5208 BTP 0.7467 114.4400 0.6525 10.4402 BUND 0.6523 132.0200 0.4941 7.9052 BUXL 1.4085 133.6600 1.0538 16.8610 CAC 68.7611 7347.5000 0.9358 14.9735 CAD 0.0031 0.7587 0.4112 6.5796 CANOLA 9.6289 797.7000 1.2071 19.3133 CHF 0.0058 1.1618 0.5004 8.0059 COCOA 38.6940 3340.0000 1.1585 18.5361 COFFEE 2.8380 157.4000 1.8031 28.8489 COPPER 0.0424 3.8550 1.0995 17.5928 CORN 12.0286 483.0000 2.4904 39.8463 COTTON2 1.4233 82.3100 1.7292 27.6668 CRUDE_W 1.1070 74.7200 1.4815 23.7037 DAX 136.8095 16107.0000 0.8494 13.5901 DOW 210.1945 34590.0000 0.6077 9.7228 EUR 0.0056 1.1175 0.4997 7.9947 EURIBOR-ICE 0.0661 96.8200 0.0683 1.0931 EUROSTX 43.5016 4383.0000 0.9925 15.8801 FEEDCOW 1.8218 251.2500 0.7251 11.6015 GASOIL 12.3247 752.2500 1.6384 26.2141 GASOLINE 0.0383 2.3677 1.6177 25.8825 GAS_US_mini 0.0945 2.6150 3.6137 57.8194 GBP 0.0067 1.2996 0.5152 8.2430 GOLD_micro 12.4906 1963.4000 0.6362 10.1787 HEATOIL 0.0373 2.5938 1.4378 23.0042 JGB-SGX-mini 0.2033 148.5000 0.1369 2.1905 JPY 0.0000 0.0073 0.6667 10.6666 LEANHOG 1.2350 82.5000 1.4970 23.9515 LIVECOW 1.1339 180.3000 0.6289 10.0623 LUMBER-new 11.0425 583.5000 1.8925 30.2793 MILK 0.2420 15.8200 1.5299 24.4790 MXP 0.0004 0.0585 0.6270 10.0320 NASDAQ_micro 119.8301 15461.2500 0.7750 12.4006 NIKKEI 298.1411 33605.0000 0.8872 14.1951 NZD 0.0047 0.6300 0.7480 11.9684 OAT 0.6668 126.5900 0.5268 8.4282 OATIES 7.3647 417.7500 1.7630 28.2073 OJ 4.2079 272.4000 1.5448 24.7162 PALLAD 24.1977 1281.5000 1.8882 30.2118 PLAT 14.4234 959.8000 1.5027 24.0440 REDWHEAT 14.2578 807.2500 1.7662 28.2594 RICE 0.1512 15.0100 1.0075 16.1192 ROBUSTA 40.8409 2537.0000 1.6098 25.7569 RUSSELL 19.9856 1954.6000 1.0225 16.3599 SHATZ 0.1035 104.8000 0.0988 1.5802 SILVER-mini 0.3628 24.6375 1.4724 23.5585 SMI 79.8742 11039.0000 0.7236 11.5770 SOFR 0.0865 96.6700 0.0895 1.4313 SOYBEAN 21.6298 1360.2500 1.5901 25.4422 SOYMEAL 7.7449 398.6000 1.9430 31.0883 SOYOIL 1.2096 59.3500 2.0381 32.6093 SP400 22.3767 2709.8000 0.8258 13.2123 SP500_micro 25.7480 4509.5000 0.5710 9.1356 SUGAR11 0.3848 23.9100 1.6094 25.7512 US10 0.4906 112.2500 0.4370 6.9928 US10U 0.6294 117.9375 0.5337 8.5392 US2 0.1325 101.8984 0.1300 2.0806 US20 0.8537 125.6875 0.6792 10.8677 US30 1.2355 133.8125 0.9233 14.7724 US5 0.3324 107.3750 0.3096 4.9537 VIX 0.4854 17.1500 2.8304 45.2871 WHEAT 14.0173 652.5000 2.1482 34.3719 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.65 0.72 489.82 1.00 489.82 46875.0 95.70 -3.04 -29.11 BITCOIN 30.64 2.55 78.05 1.00 78.05 46875.0 600.58 2.69 161.85 BOBL 1152.50 0.28 325.64 1.10 358.75 46875.0 130.66 -10.50 -137.18 BTP 1144.40 0.65 746.74 1.10 822.68 46875.0 56.98 6.46 36.83 BUND 1320.20 0.49 652.28 1.10 718.61 46875.0 65.23 4.80 31.28 BUXL 1336.60 1.05 1408.53 1.10 1551.78 46875.0 30.21 -0.77 -2.33 CAC 734.75 0.94 687.61 1.10 757.54 46875.0 61.88 3.68 22.80 CAD 758.70 0.41 312.00 1.00 312.00 46875.0 150.24 -0.41 -6.15 CANOLA 159.54 1.21 192.58 0.75 145.24 46875.0 322.74 16.38 528.61 CHF 1452.19 0.50 726.63 1.00 726.63 46875.0 64.51 -7.83 -50.50 COCOA 334.00 1.16 386.94 1.00 386.94 46875.0 121.14 3.67 44.41 COFFEE 590.25 1.80 1064.25 1.00 1064.25 46875.0 44.05 -10.82 -47.67 COPPER 963.75 1.10 1059.69 1.00 1059.69 46875.0 44.23 -2.52 -11.13 CORN 241.50 2.49 601.43 1.00 601.43 46875.0 77.94 -0.93 -7.28 COTTON2 411.55 1.73 711.64 1.00 711.64 46875.0 65.87 1.14 7.52 CRUDE_W 747.20 1.48 1106.96 1.00 1106.96 46875.0 42.35 3.75 15.86 DAX 161.07 0.85 136.81 1.10 150.72 46875.0 311.00 -3.58 -111.35 DOW 172.95 0.61 105.10 1.00 105.10 46875.0 446.02 -1.26 -56.02 EUR 1396.88 0.50 697.97 1.00 697.97 46875.0 67.16 -0.84 -5.63 EURIBOR-ICE 2420.50 0.07 165.37 1.10 182.18 46875.0 257.30 -10.83 -278.58 EUROSTX 438.30 0.99 435.02 1.10 479.26 46875.0 97.81 3.47 33.91 FEEDCOW 1256.25 0.73 910.90 1.00 910.90 46875.0 51.46 -4.70 -24.19 GASOIL 752.25 1.64 1232.47 1.00 1232.47 46875.0 38.03 7.97 30.30 GASOLINE 994.43 1.62 1608.65 1.00 1608.65 46875.0 29.14 20.00 58.28 GAS_US_mini 65.38 3.61 236.25 1.00 236.25 46875.0 198.42 -9.36 -185.74 GBP 812.25 0.52 418.46 1.00 418.46 46875.0 112.02 9.32 104.35 GOLD_micro 196.34 0.64 124.91 1.00 124.91 46875.0 375.28 -13.60 -510.57 HEATOIL 1089.40 1.44 1566.29 1.00 1566.29 46875.0 29.93 6.98 20.90 JGB-SGX-mini 148500.00 0.14 20330.17 0.01 140.47 46875.0 333.70 19.24 641.87 JPY 913.19 0.67 608.79 1.00 608.79 46875.0 77.00 -17.03 -131.16 LEANHOG 330.00 1.50 494.00 1.00 494.00 46875.0 94.89 -1.37 -12.98 LIVECOW 721.20 0.63 453.56 1.00 453.56 46875.0 103.35 20.00 206.70 LUMBER-new 160.46 1.89 303.67 1.00 303.67 46875.0 154.36 -3.93 -60.62 MILK 316.40 1.53 484.07 1.00 484.07 46875.0 96.83 -20.00 -193.67 MXP 292.45 0.63 183.37 1.00 183.37 46875.0 255.64 20.00 511.27 NASDAQ_micro 309.23 0.78 239.66 1.00 239.66 46875.0 195.59 0.23 4.56 NIKKEI 33605.00 0.89 29814.11 0.01 206.00 46875.0 227.55 20.00 455.09 NZD 630.05 0.75 471.29 1.00 471.29 46875.0 99.46 1.72 17.14 OAT 1265.90 0.53 666.83 1.10 734.65 46875.0 63.81 6.16 39.31 OATIES 208.88 1.76 368.24 1.00 368.24 46875.0 127.30 -1.70 -21.67 OJ 408.60 1.54 631.19 1.00 631.19 46875.0 74.26 20.00 148.53 PALLAD 1281.50 1.89 2419.77 1.00 2419.77 46875.0 19.37 -9.50 -18.41 PLAT 479.90 1.50 721.17 1.00 721.17 46875.0 65.00 -4.16 -27.02 REDWHEAT 403.62 1.77 712.89 1.00 712.89 46875.0 65.75 -4.12 -27.11 RICE 300.20 1.01 302.44 1.00 302.44 46875.0 154.99 7.04 109.18 ROBUSTA 253.70 1.61 408.41 1.00 408.41 46875.0 114.77 10.58 121.39 RUSSELL 97.73 1.02 99.93 1.00 99.93 46875.0 469.09 2.06 96.79 SHATZ 1048.00 0.10 103.50 1.10 114.03 46875.0 411.07 -6.64 -272.92 SILVER-mini 615.94 1.47 906.91 1.00 906.91 46875.0 51.69 -4.14 -21.42 SMI 1103.90 0.72 798.74 1.13 903.70 46875.0 51.87 -3.13 -16.26 SOFR 2416.75 0.09 216.19 1.00 216.19 46875.0 216.82 -3.88 -84.15 SOYBEAN 680.12 1.59 1081.49 1.00 1081.49 46875.0 43.34 16.83 72.94 SOYMEAL 398.60 1.94 774.49 1.00 774.49 46875.0 60.52 13.59 82.28 SOYOIL 356.10 2.04 725.76 1.00 725.76 46875.0 64.59 10.03 64.77 SP400 2709.80 0.83 2237.67 1.00 2237.67 46875.0 20.95 3.98 8.33 SP500_micro 225.48 0.57 128.74 1.00 128.74 46875.0 364.11 2.55 92.96 SUGAR11 267.79 1.61 431.00 1.00 431.00 46875.0 108.76 5.28 57.38 US10 1122.50 0.44 490.59 1.00 490.59 46875.0 95.55 -10.89 -104.03 US10U 1179.38 0.53 629.43 1.00 629.43 46875.0 74.47 -3.60 -26.78 US2 2037.97 0.13 265.01 1.00 265.01 46875.0 176.88 -20.00 -353.76 US20 1256.88 0.68 853.71 1.00 853.71 46875.0 54.91 -3.86 -21.18 US30 1338.12 0.92 1235.46 1.00 1235.46 46875.0 37.94 -3.03 -11.49 US5 1073.75 0.31 332.44 1.00 332.44 46875.0 141.00 -14.09 -198.62 VIX 171.50 2.83 485.42 1.00 485.42 46875.0 96.57 -20.00 -193.13 WHEAT 326.25 2.15 700.86 1.00 700.86 46875.0 66.88 -13.48 -90.16 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -29.115 0.013 2.5 -0.946 BITCOIN 161.848 0.048 2.5 19.464 BOBL -137.184 0.004 2.5 -1.272 BTP 36.831 0.012 2.5 1.149 BUND 31.284 0.004 2.5 0.290 BUXL -2.326 0.004 2.5 -0.022 CAC 22.799 0.013 2.5 0.745 CAD -6.147 0.013 2.5 -0.200 CANOLA 528.606 0.008 2.5 11.074 CHF -50.499 0.013 2.5 -1.641 COCOA 44.414 0.007 2.5 0.819 COFFEE -47.665 0.004 2.5 -0.479 COPPER -11.129 0.048 2.5 -1.338 CORN -7.275 0.008 2.5 -0.152 COTTON2 7.519 0.007 2.5 0.139 CRUDE_W 15.864 0.049 2.5 1.943 DAX -111.350 0.013 2.5 -3.638 DOW -56.023 0.009 2.5 -1.251 EUR -5.632 0.013 2.5 -0.183 EURIBOR-ICE -278.582 0.012 2.5 -8.690 EUROSTX 33.908 0.013 2.5 1.108 FEEDCOW -24.192 0.014 2.5 -0.825 GASOIL 30.300 0.020 2.5 1.486 GASOLINE 58.279 0.020 2.5 2.857 GAS_US_mini -185.742 0.049 2.5 -22.749 GBP 104.353 0.013 2.5 3.392 GOLD_micro -510.573 0.015 2.5 -19.340 HEATOIL 20.896 0.020 2.5 1.024 JGB-SGX-mini 641.874 0.052 2.5 83.881 JPY -131.159 0.013 2.5 -4.263 LEANHOG -12.976 0.025 2.5 -0.811 LIVECOW 206.699 0.014 2.5 7.045 LUMBER-new -60.615 0.007 2.5 -1.095 MILK -193.669 0.007 2.5 -3.573 MXP 511.273 0.066 2.5 84.108 NASDAQ_micro 4.563 0.009 2.5 0.102 NIKKEI 455.092 0.052 2.5 59.472 NZD 17.140 0.013 2.5 0.557 OAT 39.306 0.012 2.5 1.226 OATIES -21.671 0.008 2.5 -0.454 OJ 148.529 0.007 2.5 2.740 PALLAD -18.408 0.015 2.5 -0.697 PLAT -27.022 0.015 2.5 -1.024 REDWHEAT -27.106 0.005 2.5 -0.310 RICE 109.183 0.008 2.5 2.287 ROBUSTA 121.388 0.004 2.5 1.221 RUSSELL 96.793 0.013 2.5 3.082 SHATZ -272.921 0.004 2.5 -2.531 SILVER-mini -21.420 0.015 2.5 -0.811 SMI -16.261 0.013 2.5 -0.531 SOFR -84.146 0.023 2.5 -4.885 SOYBEAN 72.943 0.003 2.5 0.584 SOYMEAL 82.282 0.003 2.5 0.659 SOYOIL 64.767 0.003 2.5 0.519 SP400 8.333 0.013 2.5 0.265 SP500_micro 92.962 0.009 2.5 2.076 SUGAR11 57.380 0.007 2.5 1.051 US10 -104.026 0.005 2.5 -1.259 US10U -26.781 0.005 2.5 -0.324 US2 -353.764 0.005 2.5 -4.282 US20 -21.181 0.005 2.5 -0.256 US30 -11.486 0.005 2.5 -0.139 US5 -198.615 0.005 2.5 -2.404 VIX -193.131 0.059 2.5 -28.617 WHEAT -90.160 0.005 2.5 -1.030 ===================== Position diags ===================== AUD 3.11 BITCOIN 72.23 BOBL 1.21 BTP 1.78 BUND 0.60 BUXL 0.28 CAC 2.02 CAD 4.88 CANOLA 6.76 CHF 2.10 COCOA 2.23 COFFEE 0.44 COPPER 5.32 CORN 1.63 COTTON2 1.22 CRUDE_W 5.19 DAX 10.16 DOW 9.96 EUR 2.18 EURIBOR-ICE 8.03 EUROSTX 3.20 FEEDCOW 1.75 GASOIL 1.86 GASOLINE 1.43 GAS_US_mini 24.30 GBP 3.64 GOLD_micro 14.22 HEATOIL 1.47 JGB-SGX-mini 43.61 JPY 2.50 LEANHOG 5.93 LIVECOW 3.52 LUMBER-new 2.79 MILK 1.79 MXP 42.05 NASDAQ_micro 4.37 NIKKEI 29.74 NZD 3.23 OAT 1.99 OATIES 2.67 OJ 1.37 PALLAD 0.73 PLAT 2.46 REDWHEAT 0.75 RICE 3.25 ROBUSTA 1.15 RUSSELL 14.94 SHATZ 3.81 SILVER-mini 1.96 SMI 1.69 SOFR 12.59 SOYBEAN 0.35 SOYMEAL 0.48 SOYOIL 0.52 SP400 0.67 SP500_micro 8.13 SUGAR11 1.99 US10 1.16 US10U 0.90 US2 2.14 US20 0.66 US30 0.46 US5 1.71 VIX 14.31 WHEAT 0.76 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.3 -0.6 NaN 0 BITCOIN 19.5 12.2 26.7 0.0 0 BOBL -1.3 -1.4 -1.2 NaN 0 BTP 1.1 1.0 1.3 4.0 4 BUND 0.3 0.2 0.4 4.0 4 BUXL -0.0 -0.0 0.0 NaN 0 CAC 0.7 0.5 0.9 NaN 0 CAD -0.2 -0.7 0.3 NaN 0 CANOLA 11.1 10.4 11.8 NaN 0 CHF -1.6 -1.9 -1.4 -3.0 -3 COCOA 0.8 0.6 1.0 NaN 0 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -1.3 -1.9 -0.8 -2.0 -2 CORN -0.2 -0.3 0.0 0.0 0 COTTON2 0.1 0.0 0.3 NaN 0 CRUDE_W 1.9 1.4 2.5 NaN 0 DAX -3.6 -4.7 -2.6 -10.0 -10 DOW -1.3 -2.2 -0.3 NaN 0 EUR -0.2 -0.4 0.0 -2.0 -2 EURIBOR-ICE -8.7 -9.5 -7.9 -5.0 -5 EUROSTX 1.1 0.8 1.4 0.0 0 FEEDCOW -0.8 -1.0 -0.6 NaN 0 GASOIL 1.5 1.3 1.7 1.0 1 GASOLINE 2.9 2.7 3.0 4.0 4 GAS_US_mini -22.7 -25.2 -20.3 -9.0 -9 GBP 3.4 3.0 3.8 10.0 10 GOLD_micro -19.3 -20.8 -17.9 -15.0 -15 HEATOIL 1.0 0.9 1.2 0.0 0 JGB-SGX-mini 83.9 79.5 88.2 15.0 15 JPY -4.3 -4.5 -4.0 -12.0 -12 LEANHOG -0.8 -1.4 -0.2 -6.0 -6 LIVECOW 7.0 6.7 7.4 NaN 0 LUMBER-new -1.1 -1.4 -0.8 NaN 0 MILK -3.6 -3.8 -3.4 NaN 0 MXP 84.1 79.9 88.3 58.0 58 NASDAQ_micro 0.1 -0.3 0.5 4.0 4 NIKKEI 59.5 56.5 62.4 36.0 36 NZD 0.6 0.2 0.9 NaN 0 OAT 1.2 1.0 1.4 NaN 0 OATIES -0.5 -0.7 -0.2 NaN 0 OJ 2.7 2.6 2.9 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -1.0 -1.3 -0.8 -5.0 -5 REDWHEAT -0.3 -0.4 -0.2 NaN 0 RICE 2.3 2.0 2.6 NaN 0 ROBUSTA 1.2 1.1 1.3 2.0 2 RUSSELL 3.1 1.6 4.6 -3.0 -3 SHATZ -2.5 -2.9 -2.1 NaN 0 SILVER-mini -0.8 -1.0 -0.6 NaN 0 SMI -0.5 -0.7 -0.4 0.0 0 SOFR -4.9 -6.1 -3.6 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.7 0.6 0.7 NaN 0 SOYOIL 0.5 0.5 0.6 1.0 1 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 2.1 1.3 2.9 10.0 10 SUGAR11 1.1 0.9 1.3 3.0 3 US10 -1.3 -1.4 -1.1 NaN 0 US10U -0.3 -0.4 -0.2 -12.0 -12 US2 -4.3 -4.5 -4.1 NaN 0 US20 -0.3 -0.3 -0.2 NaN 0 US30 -0.1 -0.2 -0.1 NaN 0 US5 -2.4 -2.6 -2.2 -9.0 -9 VIX -28.6 -30.0 -27.2 -17.0 -17 WHEAT -1.0 -1.1 -1.0 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 1.3 2.1 0.9 1.4 0.9 0.9 6.4 6.4 6.4 6.4 0.9 0.9 1.4 2.3 0.9 0.0 0.9 1.3 2.2 0.9 3.0 0.9 17.1 3.6 2.7 2.6 2.5 1.4 1.4 1.4 1.4 MILK 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 MXP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NASDAQ_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NIKKEI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NZD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OAT 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OATIES 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OJ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PALLAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PLAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 REDWHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 ROBUSTA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RUSSELL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SHATZ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SILVER-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SMI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOFR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYBEAN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYMEAL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP400 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP500_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SUGAR11 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10U 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US20 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US30 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US5 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 VIX 3.8 3.8 3.8 1.3 1.9 3.2 1.3 4.2 1.3 1.9 3.2 1.3 4.2 1.3 1.3 9.0 9.0 9.0 9.0 1.3 1.3 1.9 3.2 1.3 0.0 1.3 1.9 3.2 1.3 4.2 1.3 0.0 0.0 0.0 0.0 0.0 2.0 2.0 0.0 0.0 WHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.2 0.2 -0.0 0.0 0.1 0.1 0.1 0.0 0.0 0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 0.1 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.3 -0.5 -0.2 -0.3 -0.0 -0.3 0.2 0.2 BITCOIN 0.5 0.1 0.2 0.0 0.2 0.1 0.1 0.1 0.0 -0.1 0.4 0.2 -0.2 0.2 0.2 -0.4 -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 -0.5 0.5 0.4 -0.1 -0.0 0.3 0.0 0.3 BOBL -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -1.2 -0.1 -0.8 -0.4 -0.1 -0.0 -0.1 -0.2 -0.1 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.8 -0.0 -0.1 -0.1 0.0 -0.3 -0.3 -0.2 -0.2 BTP -0.3 0.1 0.3 -0.0 -0.0 -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 -0.0 0.0 -0.0 0.0 -0.0 2.5 -0.2 0.1 0.4 0.3 -0.3 -0.3 -0.1 0.0 BUND -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 0.6 0.4 0.5 -0.0 -0.0 -0.1 -0.2 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.5 -0.2 0.0 0.1 0.1 -0.3 -0.3 -0.1 -0.0 BUXL 0.0 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.7 -0.3 0.2 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC -0.1 -0.4 -0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.3 -0.0 0.5 -0.0 0.1 -0.3 0.1 -0.1 0.0 0.0 0.1 -0.0 0.3 -0.0 -0.2 0.0 0.1 0.1 -0.0 0.2 -0.0 1.6 -0.6 0.2 -0.3 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.0 0.3 0.3 0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.3 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 -0.5 0.1 0.1 -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 0.4 1.0 1.0 1.1 0.1 -0.0 0.2 -0.1 0.2 -1.1 0.0 0.0 -0.0 0.0 -0.1 0.0 3.0 0.7 0.5 0.4 -0.0 -0.2 0.3 0.0 0.3 CHF 0.2 -0.1 0.1 0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.2 0.1 0.3 0.1 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 0.2 0.1 0.1 -0.4 0.0 0.2 0.1 0.1 0.1 0.1 -2.9 0.4 0.1 -0.2 0.0 -0.2 -0.3 -0.2 -0.3 COCOA 0.0 0.1 0.4 -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 -1.8 0.2 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.5 -0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -0.1 -0.1 0.2 0.2 0.2 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -1.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.5 -0.6 -0.5 -0.3 0.3 -0.3 -0.3 -0.1 -0.3 COPPER -0.0 0.0 -0.3 0.0 0.1 0.0 0.0 0.1 0.0 0.2 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.4 0.3 -0.2 0.0 -0.5 -0.0 -0.3 0.0 -0.2 CORN -0.5 0.4 -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 0.5 -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 0.3 -0.6 -0.2 0.3 -0.0 -0.0 0.2 -0.0 0.3 COTTON2 -0.1 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.0 0.0 0.5 0.4 0.4 0.3 0.0 -0.0 0.0 -0.1 0.0 -0.9 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.6 -0.3 0.1 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.3 0.0 -0.2 -0.0 0.2 -0.1 0.1 -0.1 0.0 0.2 -0.1 0.1 -0.3 0.1 -0.0 0.3 0.5 0.3 0.4 0.0 -0.0 0.2 -0.1 0.1 -0.3 0.0 0.2 0.0 0.1 0.0 0.1 -1.6 0.1 0.2 0.2 0.4 0.1 0.2 0.1 0.0 DAX -0.4 -0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.3 -0.1 0.4 -0.1 0.1 -0.5 -0.4 -0.5 -0.4 -0.0 0.1 -0.1 0.3 -0.1 0.8 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.6 -0.7 -0.4 -0.3 -0.2 0.2 -0.0 0.3 0.0 DOW -0.0 0.2 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 0.1 0.0 0.1 0.1 0.0 -0.4 0.0 0.1 0.1 0.0 0.1 0.0 -0.6 0.1 0.4 0.3 0.0 -0.1 -0.0 -0.3 -0.0 EUR 0.2 -0.0 0.0 0.0 0.2 0.1 0.1 0.0 0.0 0.2 0.2 0.1 0.2 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 0.2 0.0 0.1 0.7 0.0 0.2 0.1 0.1 0.0 0.0 -1.2 -0.3 0.0 -0.2 -0.1 -0.1 -0.3 0.0 0.2 EURIBOR-ICE -0.2 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.7 -0.4 -0.6 -0.6 -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 -0.1 -0.2 0.0 -0.3 -0.3 0.3 0.0 EUROSTX -0.2 -0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.3 -0.0 0.5 -0.0 0.1 -0.3 0.0 -0.2 -0.1 0.0 0.1 -0.0 0.3 -0.0 0.2 0.0 0.0 0.1 -0.0 0.2 -0.0 1.2 -0.7 -0.1 -0.2 -0.1 0.2 -0.0 0.3 0.1 FEEDCOW 0.0 -0.1 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 0.5 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 0.0 0.2 0.1 0.2 0.1 -3.2 0.7 0.5 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 0.1 -0.0 0.0 0.2 -0.2 0.1 -0.1 0.1 0.0 0.3 0.9 0.4 0.6 0.0 -0.1 0.2 -0.1 0.1 0.5 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.1 0.3 0.2 0.0 -0.1 0.1 -0.1 -0.1 GASOLINE 0.2 0.1 -0.1 -0.0 0.2 -0.1 0.1 -0.1 0.0 0.2 0.2 0.1 -0.2 0.1 0.0 1.2 1.2 1.2 1.2 0.1 0.0 0.2 0.1 0.1 -1.1 0.1 0.2 0.1 0.1 0.1 0.1 3.2 0.2 0.5 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.3 0.5 0.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.3 -0.0 -0.4 0.0 -0.0 0.0 -0.8 -0.7 -0.8 -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 0.2 0.1 0.1 0.0 0.2 0.0 0.0 GBP 0.1 0.2 0.3 0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.4 0.1 0.2 0.1 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 0.3 0.2 0.2 -0.1 0.1 0.2 0.1 0.1 0.0 0.1 0.4 0.0 -0.0 0.2 0.2 0.1 0.1 0.1 0.3 GOLD_micro -0.2 -0.5 -0.1 0.0 0.2 0.1 0.0 0.1 0.0 0.2 0.1 -0.0 0.2 -0.1 -0.1 -0.9 -0.7 -0.8 -0.8 -0.1 -0.0 0.1 0.2 -0.1 -0.6 -0.0 0.2 0.0 0.1 0.1 -0.0 -2.5 0.7 -0.1 -0.5 -0.2 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.4 0.3 -0.3 -0.0 0.2 -0.1 0.1 -0.1 0.0 0.2 -0.2 0.1 -0.2 0.1 0.0 0.2 1.0 0.3 0.6 0.0 -0.1 0.3 -0.1 0.1 -1.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.2 0.5 0.5 0.2 -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 0.1 -0.3 -0.4 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -1.0 -0.8 -0.9 -0.9 -0.1 -0.1 0.2 -0.3 -0.0 1.1 -0.0 0.1 -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 0.4 0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 1.2 -0.5 1.2 0.2 0.0 -0.1 0.2 -0.4 0.1 0.6 -0.0 0.0 -0.2 0.0 -0.2 0.0 -3.2 0.1 -0.1 -0.2 -0.5 -0.1 0.0 0.2 0.3 LIVECOW 0.2 0.4 0.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.2 0.4 0.2 0.6 0.2 0.2 0.2 0.7 1.2 1.2 0.2 0.2 0.2 0.4 0.2 0.5 0.1 0.1 0.2 0.1 0.2 0.1 3.2 0.7 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.5 0.4 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.3 0.2 -0.3 0.2 0.1 -0.5 -0.8 -0.7 -0.8 0.1 -0.0 0.3 -0.2 0.2 NaN 0.1 0.2 0.0 0.1 -0.0 0.1 -3.4 0.7 0.3 0.5 0.3 -0.3 -0.3 -0.3 -0.3 MILK -0.1 -0.3 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.3 -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 -0.5 -0.5 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.1 0.3 0.4 0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.4 0.2 0.6 0.2 0.2 1.1 1.1 1.1 1.1 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.2 0.0 0.3 0.1 3.2 -0.7 -0.3 0.5 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.3 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.1 0.4 0.1 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 0.1 0.4 0.5 0.5 -0.1 -0.1 -0.2 -0.1 NIKKEI 0.2 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.2 0.9 0.7 0.7 0.7 0.2 0.2 0.2 0.4 0.2 -0.2 0.1 0.0 0.1 0.0 0.1 0.0 3.2 0.0 0.5 0.5 0.5 0.1 0.1 0.1 0.1 NZD 0.1 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.8 -0.1 -0.3 -0.3 -0.3 0.0 -0.2 0.2 0.1 OAT -0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 0.4 0.6 0.5 0.5 -0.0 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.7 -0.2 0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES 0.3 0.5 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.2 0.1 -0.3 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 -0.4 0.5 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.3 0.1 0.5 0.1 0.1 1.1 1.0 1.1 1.1 0.1 0.2 0.2 0.4 0.1 -1.1 0.0 0.0 0.2 0.0 0.4 0.0 3.2 0.1 -0.2 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.4 -0.5 -0.1 0.0 0.1 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 -0.0 -0.4 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.4 -0.5 -0.5 -0.3 -0.2 0.0 -0.0 0.0 PLAT -0.4 -0.5 -0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 0.6 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.3 0.1 -0.4 -0.5 -0.2 -0.0 -0.2 0.1 -0.1 REDWHEAT 0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.0 0.0 0.0 0.2 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 0.0 0.2 -0.3 -0.2 -0.0 -0.1 RICE -0.2 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.9 1.2 1.2 1.2 -0.0 -0.0 -0.2 -0.1 -0.1 -1.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 3.2 -0.7 -0.5 -0.0 0.4 -0.1 -0.3 -0.0 -0.3 ROBUSTA -0.5 -0.2 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.1 0.3 -0.0 0.1 1.2 0.7 1.2 1.0 0.1 0.1 -0.1 0.3 -0.0 -0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.1 -0.7 -0.5 0.4 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.1 0.5 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 -0.0 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.3 0.1 0.0 0.2 -0.1 0.1 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.6 0.4 0.5 -0.2 -0.1 -0.1 -0.3 -0.1 SHATZ -0.3 -0.5 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 0.1 -0.2 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.1 -0.3 -0.0 0.0 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.1 -0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.1 -0.0 0.1 0.1 -0.0 0.4 -0.0 0.1 0.0 0.0 0.0 0.0 -0.7 0.2 -0.2 -0.2 0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.4 -0.5 0.2 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 1.7 -0.7 -0.5 -0.5 -0.1 -0.1 -0.2 -0.2 -0.2 SOFR -0.3 -0.4 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.2 0.0 -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 0.6 1.2 0.8 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 0.3 0.5 0.4 0.0 -0.1 0.3 -0.0 0.3 SOYMEAL 0.4 0.1 -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 -0.2 SOYOIL 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 0.1 0.0 0.8 0.6 0.6 0.5 0.1 0.0 0.1 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.7 0.3 0.3 0.5 0.1 0.1 0.1 0.2 0.3 SP400 0.3 0.5 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.1 0.0 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.3 0.0 0.1 -0.5 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.7 0.5 0.5 -0.2 -0.1 -0.1 -0.2 -0.1 SP500_micro 0.0 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.1 0.1 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.2 0.2 0.3 0.2 -0.9 0.1 0.1 0.1 0.0 0.1 0.1 -0.9 0.5 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.5 -0.5 0.1 -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 -0.0 0.3 -0.1 -1.1 0.0 0.0 0.1 -0.0 0.2 -0.0 2.3 0.2 -0.5 -0.4 0.5 -0.3 -0.2 0.1 -0.1 US10 -0.2 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.5 -0.4 -0.5 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.8 0.2 0.0 -0.2 -0.0 -0.3 -0.3 0.2 0.0 US10U -0.2 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.2 -0.0 -0.3 -0.3 0.3 0.2 US2 -0.3 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -1.2 -1.1 -1.2 -1.2 -0.1 -0.1 -0.0 -0.2 -0.1 0.4 -0.0 0.0 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-0.0 -0.0 -0.0 -3.2 -0.6 -0.1 0.1 -0.0 -0.2 -0.2 -0.1 -0.1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -6.8 7.2 -0.1 3.5 10.6 2.6 7.2 1.0 4.9 11.6 -4.6 -2.6 -5.4 0.2 -0.3 -2.3 -2.6 -2.6 -2.8 -0.5 -2.2 4.8 -4.4 0.7 1.9 0.1 8.6 -0.6 2.9 -1.9 0.5 -0.5 -10.0 -20.0 -8.3 -11.8 -2.7 -20.0 11.9 16.6 BITCOIN 18.6 3.3 9.0 2.3 14.4 3.2 6.5 3.1 2.9 -10.7 19.3 18.4 -6.2 18.6 18.0 -6.2 -2.9 -5.0 -3.9 15.9 14.8 9.1 5.9 16.5 -20.0 5.8 0.0 4.7 3.7 2.9 6.6 -0.5 -14.0 20.0 17.5 -2.6 -0.7 20.0 0.7 20.0 BOBL -8.6 -8.5 -4.4 -2.1 -0.1 -1.5 -2.2 -1.9 -2.6 -1.8 -3.5 -5.6 -6.3 -6.8 -5.2 -20.0 -1.3 -14.1 -7.0 -6.1 -5.2 -6.0 -8.0 -7.3 9.4 -2.2 -0.3 -1.5 -2.4 -2.4 -2.8 -5.0 -0.7 -2.5 -2.0 1.5 -20.0 -20.0 -19.0 -14.7 BTP -11.8 4.8 10.2 -3.1 -0.2 -2.2 -3.3 -2.8 -3.9 -4.1 7.3 -8.2 -2.9 -1.5 2.1 4.7 9.0 6.5 7.7 0.5 2.3 -9.3 -2.1 -5.2 -6.4 0.6 -2.2 2.0 -5.0 0.0 -2.7 15.8 -7.1 2.2 16.0 12.0 -20.0 -20.0 -4.5 3.8 BUND -6.2 -1.5 0.1 -2.2 -0.1 -1.5 -2.3 -2.0 -2.7 -3.5 -3.6 -5.9 -6.7 -5.7 -4.5 6.1 9.5 6.7 7.6 -4.1 -3.9 -7.4 -7.7 -6.3 5.2 -1.8 -1.5 -1.1 -3.6 -2.4 -3.1 16.0 -4.7 0.5 2.4 2.9 -20.0 -20.0 -10.0 -3.4 BUXL 1.1 5.5 -2.9 -2.6 -0.2 -1.8 -2.7 -2.4 -3.2 -6.4 -7.2 -6.7 -8.9 -2.8 -4.8 1.6 1.2 1.9 2.0 -2.7 -5.0 -9.8 -11.3 -5.0 -0.2 -1.0 -4.3 -1.1 -5.2 -3.2 -2.6 4.2 -7.9 7.4 8.8 3.5 -20.0 -20.0 8.5 9.7 CAC -4.7 -16.6 -3.4 3.4 9.3 5.1 3.2 4.5 1.9 5.3 14.5 -0.1 16.9 -2.8 6.5 -5.8 1.7 -1.7 0.4 0.5 8.5 -0.3 15.5 -2.2 -4.7 1.9 4.6 5.0 -1.3 7.5 -0.1 10.3 -19.1 6.0 -11.4 -7.1 16.3 -3.5 19.9 -1.8 CAD -1.2 13.8 13.2 5.5 16.6 4.0 11.3 1.6 7.6 16.5 12.2 2.6 -9.2 13.1 15.5 -2.2 -1.9 -2.4 -2.3 12.2 7.8 5.1 -2.7 8.2 -1.0 5.5 5.5 4.1 1.8 -0.1 3.3 0.5 -20.0 -19.7 4.2 4.7 -19.8 -20.0 -20.0 -9.8 CANOLA 20.0 20.0 3.0 -0.6 0.4 -2.0 1.0 -2.1 0.9 8.1 -2.6 9.0 -7.2 8.9 4.9 6.0 17.1 16.0 17.9 9.2 -1.8 20.0 -6.1 19.3 -20.0 1.5 3.3 -1.1 4.2 -1.9 3.8 19.3 20.0 20.0 14.9 -1.9 -13.8 19.1 0.5 20.0 CHF 9.2 -5.3 3.8 4.6 13.9 3.4 9.5 1.4 6.4 16.3 11.0 15.7 12.1 10.3 7.0 -14.0 -12.8 -14.1 -13.5 7.3 6.9 20.0 6.5 14.5 -8.0 3.8 20.0 3.4 14.2 2.6 7.3 -18.4 13.1 5.5 -7.6 0.6 -13.0 -20.0 -14.4 -20.0 COCOA 1.1 6.0 16.1 -1.4 0.9 -4.8 2.4 -5.0 2.0 2.0 20.0 9.0 18.9 16.3 19.8 -1.8 -1.0 -0.8 -0.4 20.0 20.0 12.8 20.0 20.0 -8.3 8.2 1.8 7.7 4.1 5.9 6.9 -11.7 5.2 20.0 20.0 20.0 -19.3 -20.0 10.3 -11.3 COFFEE -20.0 -20.0 -0.3 -1.2 0.8 -4.1 2.0 -4.3 1.7 -15.8 -1.4 -17.5 -6.4 -17.9 -15.5 2.6 4.0 4.2 4.4 -20.0 -10.2 -19.3 -7.1 -20.0 -20.0 -4.0 -3.9 -0.9 -5.5 -0.5 -6.5 -3.4 -18.0 -20.0 -11.2 11.4 -20.0 -20.0 -7.0 -20.0 COPPER -0.4 1.2 -13.0 1.6 9.9 2.2 4.5 2.1 2.0 12.9 -4.7 -1.7 -4.9 3.1 -5.2 -1.8 -1.2 -2.0 -1.7 -5.5 -6.0 3.3 -4.2 -1.6 -4.0 -2.2 6.9 -3.4 3.4 -2.3 0.6 2.8 9.9 -9.0 2.0 -20.0 -2.3 -20.0 1.4 -17.7 CORN -20.0 17.9 -1.4 -0.5 0.3 -1.6 0.8 -1.7 0.7 -5.9 -3.9 -6.7 -4.4 -5.7 -4.0 -3.6 9.0 -0.5 4.6 -3.7 -2.7 -9.5 -2.0 -7.4 -6.9 0.0 -1.6 -0.8 -1.7 -1.2 -0.6 1.9 -17.6 -7.1 11.4 -0.1 -3.8 16.9 -0.4 20.0 COTTON2 -5.8 4.1 8.6 -0.7 0.5 -2.6 1.3 -2.7 1.1 6.3 0.7 6.7 -8.5 3.0 4.0 8.5 6.5 6.4 4.5 0.8 -1.1 3.2 -4.0 1.5 -17.9 0.2 3.3 -0.3 2.9 -0.5 1.1 -1.9 17.4 -12.3 3.5 9.1 -20.0 -17.7 4.6 7.0 CRUDE_W 10.7 1.4 -6.6 -0.0 14.0 -3.5 10.0 -2.1 4.8 16.8 -6.0 17.0 -10.5 11.8 -4.5 4.8 8.2 5.5 6.4 1.0 -4.9 20.0 -3.4 11.2 -5.3 3.7 14.5 0.6 11.3 1.2 7.5 -9.8 2.0 10.0 8.4 15.0 9.2 13.1 10.4 3.1 DAX -15.4 -13.1 1.6 3.2 8.6 4.7 3.0 4.2 1.8 3.7 13.6 -6.4 15.1 -6.1 6.1 -8.2 -6.3 -8.1 -7.6 -0.7 8.4 -4.8 12.8 -6.6 15.6 -0.9 3.3 3.9 -4.2 5.8 -4.6 -3.6 -20.0 -17.5 -13.4 -7.4 14.8 -2.3 20.0 1.5 DOW -0.4 7.4 4.4 3.0 8.1 4.5 2.8 4.0 1.7 9.3 5.7 2.6 6.4 9.9 11.7 -9.7 -6.3 -8.9 -8.0 6.1 4.9 5.6 3.2 5.6 -8.3 5.0 6.7 3.8 4.9 2.7 5.2 -3.9 4.4 15.1 10.8 0.6 -4.3 -3.2 -20.0 -1.3 EUR 9.1 -1.7 1.8 4.3 13.0 3.1 8.8 1.3 6.0 15.1 10.2 13.8 6.2 10.4 4.0 -6.4 -6.8 -6.7 -6.7 4.9 4.3 17.5 2.3 9.9 13.6 3.1 15.1 2.6 9.5 1.2 5.6 -7.4 -9.1 0.0 -7.4 -5.2 -5.8 -20.0 1.2 16.7 EURIBOR-ICE -10.0 -11.2 2.7 -2.1 -0.1 -1.4 -2.2 -1.9 -2.5 0.7 -4.4 -4.4 -6.6 -6.4 -5.5 -12.5 -7.4 -10.6 -9.4 -7.2 -5.9 -5.5 -8.3 -8.2 16.3 -2.3 0.2 -1.6 -1.8 -2.5 -2.7 -13.4 0.4 -5.6 -7.0 1.2 -20.0 -20.0 20.0 3.1 EUROSTX -8.2 -11.5 0.3 3.3 8.9 4.9 3.1 4.4 1.8 3.9 16.4 -1.0 17.3 -0.0 11.2 -4.8 0.5 -4.0 -1.8 2.7 10.2 -2.0 15.2 -1.9 4.6 1.2 3.7 5.6 -3.3 8.1 -2.4 7.5 -20.0 -5.5 -8.9 -5.7 17.5 -0.3 20.0 4.9 FEEDCOW 1.3 -2.5 15.5 -1.3 0.8 -4.4 2.2 -4.6 1.8 8.2 17.5 15.2 16.6 14.7 16.2 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 20.0 20.0 7.3 7.2 3.8 7.9 6.4 7.1 6.9 -20.0 20.0 20.0 20.0 20.0 -2.0 -20.0 11.3 -16.6 GASOIL 13.6 17.2 -12.8 -0.0 11.7 -2.9 8.4 -1.8 4.0 14.0 -8.7 13.6 -4.9 12.8 1.8 5.7 15.1 6.1 10.0 3.8 -6.1 20.0 -3.7 13.5 9.8 2.0 10.3 -2.3 9.0 -2.4 6.1 0.0 2.5 11.0 8.2 0.5 -5.9 4.2 -8.4 -4.6 GASOLINE 7.8 5.5 -4.1 -0.0 15.4 -3.8 11.0 -2.3 5.2 18.7 7.5 17.9 -5.5 16.5 5.5 20.0 20.0 20.0 20.0 8.2 3.7 20.0 6.5 15.7 -20.0 6.3 12.2 4.2 9.8 5.1 8.1 20.0 4.7 18.4 20.0 20.0 8.6 12.1 11.9 -3.6 GAS_US_mini 13.3 20.0 4.5 -0.0 10.9 -2.7 7.8 -1.7 3.7 -3.0 -14.3 -1.2 -14.7 4.7 -2.3 0.4 -12.9 -11.3 -14.3 -2.4 -19.5 -0.9 -20.0 1.8 15.2 2.3 -0.9 -1.6 0.3 -3.3 2.7 -20.0 -20.0 7.4 5.6 2.7 3.3 17.7 0.9 2.0 GBP 4.6 7.2 12.9 5.0 15.2 3.7 10.4 1.5 7.0 18.0 18.4 17.4 8.1 16.4 17.3 0.8 -1.2 -0.3 -0.9 16.8 15.2 20.0 7.7 19.3 -1.0 6.5 12.9 5.2 9.9 1.5 7.5 2.3 0.2 -1.1 6.3 8.4 5.0 10.1 11.4 20.0 GOLD_micro -8.4 -20.0 -2.9 2.0 12.4 2.8 5.6 2.6 2.5 18.1 3.9 -1.5 6.9 -13.2 -12.1 -15.5 -11.4 -14.2 -12.9 -13.2 -1.5 7.1 7.8 -9.4 -12.0 -2.8 12.6 0.6 6.6 3.7 -0.1 -15.7 20.0 -5.8 -20.0 -8.5 -20.0 -20.0 -6.7 -20.0 HEATOIL 16.0 13.0 -14.0 -0.0 14.2 -3.5 10.1 -2.2 4.8 17.1 -11.9 17.5 -7.1 15.7 0.6 3.6 16.9 4.6 9.8 3.8 -8.7 20.0 -5.4 17.1 -20.0 4.2 9.8 -0.1 9.1 0.5 7.6 1.4 7.4 20.0 20.0 7.2 -5.6 3.2 -9.5 2.6 JGB-SGX-mini 6.4 8.6 20.0 -2.6 -4.3 -2.1 -3.3 -3.5 -3.0 -7.7 10.7 3.6 8.6 6.8 10.2 6.8 20.0 12.1 17.3 12.5 14.2 3.2 10.0 8.6 2.1 4.1 -1.4 3.9 1.2 1.7 3.1 20.0 7.3 20.0 19.5 20.0 -19.7 -5.3 9.7 9.7 JPY 5.9 -11.8 -16.4 3.1 9.4 2.3 6.4 0.9 4.3 11.0 -9.1 4.2 -9.1 -5.3 -10.9 -16.5 -13.0 -16.0 -14.7 -13.3 -13.9 13.2 -12.9 -3.4 20.0 -3.3 8.3 -3.2 4.0 -3.0 -0.7 -19.6 8.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 16.4 20.0 -9.4 -1.0 0.6 -3.3 1.6 -3.5 1.4 11.1 -7.4 11.8 -10.4 13.5 2.8 20.0 -8.7 20.0 4.0 1.9 -12.7 12.0 -17.4 11.6 12.2 -3.4 2.6 -7.6 2.3 -7.9 0.7 -20.0 4.5 -5.0 -7.7 -20.0 -5.3 3.6 17.5 20.0 LIVECOW 7.8 17.8 17.2 -1.6 1.0 -5.4 2.7 -5.6 2.2 12.4 20.0 19.4 20.0 20.0 20.0 3.1 11.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 10.2 8.9 4.4 7.6 7.0 5.8 8.7 20.0 20.0 20.0 20.0 20.0 -20.0 -20.0 -17.5 -20.0 LUMBER-new 17.3 15.3 2.0 -1.6 1.1 -5.2 2.8 -4.7 2.4 17.2 -15.4 19.3 -20.0 19.5 7.7 -7.3 -12.5 -11.7 -12.5 11.4 -1.3 20.0 -6.9 20.0 NaN 5.6 12.6 0.8 13.3 -1.3 10.5 -20.0 20.0 12.0 20.0 11.5 -20.0 -20.0 -20.0 -20.0 MILK -5.3 -11.8 -17.1 -0.8 0.5 -2.7 1.4 -2.9 1.1 -0.4 -12.8 -8.9 -12.6 -11.1 -12.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.2 -20.0 -20.0 -7.0 -4.6 -0.3 -4.0 -1.9 -3.0 -3.9 -20.0 -13.5 -20.0 -20.0 -20.0 -20.0 -20.0 -14.5 -20.0 MXP -4.6 10.2 18.0 5.8 17.6 4.2 11.9 1.7 8.1 19.1 20.0 18.4 20.0 20.0 20.0 18.9 17.7 18.6 17.9 20.0 20.0 18.0 20.0 20.0 -20.0 8.6 6.7 9.9 4.9 10.0 6.4 20.0 -20.0 -11.6 20.0 20.0 20.0 4.9 20.0 20.0 NASDAQ_micro -10.5 20.0 20.0 2.5 6.7 3.7 2.3 3.3 1.4 9.0 14.3 9.5 5.7 13.0 14.0 -10.5 -7.0 -9.9 -8.7 20.0 20.0 9.7 16.9 17.5 -20.0 5.3 2.2 5.4 1.9 3.8 3.4 -5.1 2.6 14.7 20.0 20.0 -7.1 -8.9 -13.0 -10.7 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 5.4 -0.2 -1.7 3.0 9.2 2.2 6.3 0.9 4.2 10.5 -2.0 7.7 -1.2 3.3 -1.4 0.4 0.6 0.5 0.5 0.4 -1.4 8.8 -2.6 4.2 0.1 0.5 10.0 -0.4 6.1 -1.2 2.8 5.1 -3.4 -10.5 -10.6 -10.5 0.2 -13.6 11.8 10.1 OAT -7.1 1.0 3.1 -2.4 -0.2 -1.7 -2.5 -2.2 -3.0 -4.0 -4.1 -6.6 -7.1 -5.2 -3.6 6.0 9.6 7.8 8.8 -3.7 -3.4 -8.3 -7.3 -6.5 7.1 -1.6 -2.0 -0.8 -4.4 -2.6 -3.4 17.3 -6.4 0.7 4.3 4.4 -20.0 -20.0 -0.8 0.1 OATIES 12.3 20.0 20.0 -1.1 0.7 -3.8 1.9 -4.0 1.6 2.0 8.4 8.6 -11.7 15.1 14.6 -13.3 1.4 -9.7 -5.5 20.0 12.6 14.9 0.7 20.0 -20.0 4.9 -2.8 2.1 1.0 -0.1 4.4 -14.2 -12.5 20.0 20.0 20.0 6.7 20.0 17.7 20.0 OJ 0.3 -0.4 2.6 -1.2 0.8 -4.1 2.0 -4.3 1.7 14.5 14.8 14.4 16.8 9.5 11.5 17.9 17.6 18.6 19.1 15.3 20.0 16.6 20.0 13.3 -20.0 5.5 3.0 11.1 2.4 16.1 2.6 20.0 3.5 -6.0 20.0 20.0 13.7 7.0 20.0 16.9 PALLAD -14.6 -19.3 -2.9 1.0 6.3 1.4 2.9 1.3 1.3 6.4 -10.4 -7.0 -10.4 -9.3 -9.7 -3.5 -2.5 -3.2 -2.9 -15.5 -16.7 -3.9 -18.7 -12.4 -5.2 -3.4 1.5 -2.8 -1.4 -2.7 -3.3 0.5 -10.6 -19.0 -18.3 -10.0 -16.4 0.8 -0.7 2.3 PLAT -15.5 -20.0 -5.3 1.2 7.7 1.7 3.5 1.6 1.5 10.5 -6.4 -4.2 0.8 -10.0 -10.1 -3.0 -1.7 -2.5 -2.2 -14.1 -7.4 1.2 -1.2 -11.4 12.1 -3.2 5.1 -1.5 1.3 -0.1 -2.3 1.9 3.1 -17.3 -20.0 -8.2 -1.7 -14.4 5.7 -9.4 REDWHEAT 4.6 1.8 4.9 -0.8 0.5 -2.8 1.4 -3.0 1.2 -5.3 -1.3 -4.1 -9.9 -2.0 2.3 0.1 4.1 2.9 4.5 -0.0 -1.9 -3.5 -3.4 -0.7 -12.3 -0.2 -4.6 -0.5 -4.4 -0.5 -2.1 -2.9 -20.0 -7.9 0.3 9.0 -20.0 -15.2 -3.8 -7.4 RICE -7.1 5.8 -2.5 -1.1 0.7 -3.8 1.9 -4.0 1.6 -8.9 -6.1 -15.1 -3.9 -1.1 2.8 14.8 20.0 20.0 20.0 -4.0 -4.7 -12.5 -3.5 -8.5 -20.0 -1.5 -3.6 -1.5 -6.1 -1.6 -4.5 20.0 -20.0 -20.0 -0.7 14.0 -11.1 -20.0 -1.0 -20.0 ROBUSTA -20.0 -8.5 16.7 -0.9 0.6 -3.0 1.5 -3.2 1.3 -2.1 11.3 -7.4 10.6 -3.1 8.2 20.0 12.5 20.0 16.1 8.1 16.3 -6.7 15.3 -3.3 -8.9 2.8 -1.1 5.3 -1.9 4.9 -0.8 13.3 -20.0 -20.0 15.8 20.0 -9.1 -20.0 2.5 -16.2 RUSSELL 2.1 18.7 5.3 2.5 6.7 3.7 2.3 3.3 1.4 12.2 -2.0 10.0 -5.7 10.8 8.2 -6.1 -4.7 -5.9 -5.5 8.4 3.1 13.8 -2.5 10.8 -0.9 4.0 7.5 1.9 6.1 0.5 5.3 -0.5 18.8 15.0 19.4 -7.0 -5.7 -6.5 -19.1 -8.1 SHATZ -11.1 -19.0 -17.0 -2.1 -0.1 -1.5 -2.2 -1.9 -2.6 -0.7 -5.2 -5.5 -6.6 -7.3 -6.5 -4.8 1.5 -2.3 -1.5 -10.3 -9.2 -5.9 -11.3 -9.9 11.2 -2.5 -0.0 -2.0 -1.5 -2.6 -2.5 1.3 3.0 -6.2 -7.9 -2.3 -20.0 -20.0 -20.0 -20.0 SILVER-mini -5.4 -13.8 -1.9 1.7 10.6 2.4 4.8 2.3 2.1 14.4 1.8 2.8 3.6 -3.2 -5.9 -6.7 -5.2 -6.4 -6.0 -6.1 -1.0 9.0 2.7 -2.4 7.5 -0.6 11.6 0.6 5.3 0.9 1.1 -4.4 5.9 -6.8 -6.9 1.6 -11.7 -20.0 -2.5 -20.0 SMI -16.9 -18.2 8.1 3.0 8.2 4.5 2.8 4.0 1.7 -7.3 7.7 -12.1 2.3 -14.1 3.5 -3.0 2.4 -2.3 -0.1 -7.2 2.2 -16.5 4.5 -15.3 2.1 -3.1 -4.1 -0.3 -7.5 -0.5 -6.4 10.7 -20.0 -20.0 -20.0 -4.9 -6.9 -11.5 -11.5 -17.3 SOFR -12.0 -16.5 1.7 -2.4 -0.2 -1.7 -2.5 -2.1 -2.9 4.4 -0.2 -2.5 -1.7 -5.8 -3.9 -2.6 -0.4 -1.2 -0.8 -6.2 -2.6 -3.4 -2.1 -7.8 -1.3 -2.4 2.7 -0.9 -0.6 -0.5 -2.6 0.2 5.8 0.3 -7.6 4.9 -20.0 -20.0 -8.0 -0.3 SOYBEAN 20.0 20.0 -2.9 -0.5 1.2 -1.7 1.1 -1.8 0.8 5.4 -0.6 4.5 -3.1 5.1 3.3 9.6 20.0 14.3 18.8 4.1 -0.3 5.8 -1.6 7.0 -15.7 1.5 1.2 -0.1 1.8 -0.4 2.4 20.0 9.5 19.5 17.4 1.4 -6.9 20.0 -1.4 20.0 SOYMEAL 18.0 3.0 -20.0 -0.5 1.2 -1.7 1.1 -1.8 0.8 3.9 -1.9 -2.3 1.6 -2.2 -3.5 20.0 20.0 20.0 20.0 -1.2 -1.6 0.8 0.9 0.4 -16.3 1.1 1.2 0.2 1.6 0.9 2.1 20.0 4.5 14.6 8.0 -0.8 -7.5 -20.0 -1.4 -18.7 SOYOIL 20.0 20.0 3.7 -0.5 0.3 -1.6 0.8 -1.7 0.7 3.7 -1.8 5.2 -3.5 6.3 4.7 13.7 10.0 9.6 8.2 6.9 0.8 7.2 -1.8 10.0 -20.0 1.8 0.4 0.2 1.4 -0.4 2.3 4.5 7.5 11.4 20.0 5.9 5.1 8.2 16.7 20.0 SP400 11.5 20.0 3.0 2.6 7.1 3.9 2.4 3.5 1.5 13.1 0.6 12.8 1.1 13.5 10.1 -4.7 -4.3 -5.0 -4.9 12.8 5.8 20.0 1.3 17.7 -9.4 4.4 7.3 1.9 6.9 0.8 6.3 0.5 20.0 20.0 20.0 -6.6 -4.0 -8.0 -11.9 -9.2 SP500_micro 1.4 20.0 20.0 3.5 9.6 5.2 3.3 4.7 2.0 13.6 19.2 13.0 4.2 17.5 19.1 -12.1 -7.5 -10.8 -9.3 20.0 20.0 16.6 13.8 20.0 -17.4 7.4 5.1 6.1 4.8 3.7 6.5 -5.9 13.7 20.0 20.0 20.0 -5.0 -7.9 -10.0 -9.6 SUGAR11 -20.0 -20.0 5.3 -0.9 0.6 -3.1 1.5 -3.2 1.3 11.9 8.9 -3.4 10.7 -4.7 3.6 0.1 16.5 4.6 11.3 -1.2 11.3 -1.6 16.5 -7.7 -20.0 0.3 1.7 5.0 -0.7 7.1 -2.3 14.8 6.2 -20.0 -14.5 20.0 -20.0 -19.0 8.3 -9.5 US10 -9.0 -16.7 -3.5 -2.1 -0.1 -1.5 -2.3 -1.9 -2.7 3.6 -3.3 -3.3 -5.8 -6.2 -5.8 -9.0 -6.2 -9.1 -8.4 -8.1 -5.6 -4.1 -5.9 -8.3 0.7 -2.5 1.8 -1.4 -0.7 -1.2 -2.3 -11.6 5.6 0.7 -7.9 -1.3 -20.0 -20.0 11.9 2.8 US10U -8.1 -12.2 -2.4 -2.9 -0.2 -2.1 -3.1 -2.7 -3.6 2.9 -3.8 -4.8 -7.5 -8.3 -7.9 2.3 -0.2 -0.3 -1.0 -9.3 -6.6 -6.3 -8.0 -10.2 -4.0 -3.4 2.2 -1.9 -1.2 -1.5 -3.3 -0.0 7.0 3.4 -7.0 -1.3 -20.0 -20.0 19.1 16.3 US2 -10.5 -20.0 -20.0 -2.0 -0.1 -1.4 -2.2 -1.8 -2.5 3.7 -5.4 -3.3 -6.2 -6.8 -6.9 -20.0 -17.9 -20.0 -20.0 -14.0 -11.1 -3.3 -10.4 -11.4 7.0 -2.5 1.2 -1.8 -0.6 -1.8 -2.1 -20.0 6.6 -4.2 -15.2 -6.6 -20.0 -15.3 -20.0 -10.9 US20 -6.8 -8.4 -2.0 -2.4 -0.2 -1.7 -2.5 -2.1 -2.9 0.0 -2.0 -4.7 -4.8 -6.1 -6.0 -1.4 -1.3 -1.4 -1.7 -6.4 -4.7 -5.9 -6.2 -7.5 -4.0 -2.7 1.5 -1.6 -1.3 -1.5 -2.7 -1.5 4.8 3.6 -2.0 -0.3 -20.0 -20.0 18.4 17.3 US30 -4.9 -3.7 -1.7 -2.8 -0.2 -2.0 -3.0 -2.6 -3.5 -2.8 -4.6 -6.5 -7.0 -6.9 -7.9 -0.2 -0.6 -0.5 -0.7 -6.3 -5.6 -7.3 -9.1 -7.6 -3.7 -3.3 0.6 -2.0 -2.6 -2.2 -3.7 -0.1 4.4 4.7 2.1 -0.4 -20.0 -20.0 20.0 20.0 US5 -8.8 -20.0 -6.2 -2.1 -0.1 -1.5 -2.2 -1.9 -2.6 3.7 -3.7 -2.9 -5.8 -6.3 -5.8 -13.6 -7.9 -12.5 -10.9 -9.0 -6.3 -3.1 -6.4 -8.5 3.0 -2.4 1.8 -1.5 -0.5 -1.3 -2.2 -15.0 6.4 -0.6 -10.0 -2.1 -20.0 -20.0 4.7 -13.1 VIX -5.1 -20.0 -20.0 -6.9 -3.1 -6.6 -3.4 -5.9 -5.6 -18.0 -20.0 -19.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.6 -20.0 -20.0 NaN -8.3 -3.4 -7.7 -4.1 -6.9 -6.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.6 20.0 8.4 -0.5 0.3 -1.8 0.9 -1.9 0.8 -5.5 -5.1 -6.4 -7.6 -2.5 -1.9 -9.1 -8.8 -10.2 -10.1 -1.4 -4.2 -6.0 -6.2 -2.7 -4.1 -0.2 -2.3 -1.0 -2.4 -1.4 -0.9 -20.0 -19.4 -5.1 5.6 -0.3 -16.7 -17.9 -7.8 -9.0 End of report for caleb_strategy_v3