******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230713_204322 produced at 2023-07-13 21:37:44.212721 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.71 0.0 0.99 -0.99 -0.49 -0.10 -7.15 10.0 -5 -1 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -3.61 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -4.06 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 -28.99 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 -4.32 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 -0.04 -19.71 56.0 -15 -5 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.28 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.36 -0.08 0.0 0.99 -0.99 -0.36 -0.28 -2.11 25.0 -9 -7 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.08 0.0 0.70 -0.70 -0.16 -0.16 -1.42 13.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.06 0.0 0.06 -0.06 -0.02 -0.02 -24.76 26.0 -9 -10 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.06 0.0 0.90 -0.90 0.00 0.00 -1.17 19.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.70 -0.70 0.00 0.00 -1.13 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -0.92 8.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.42 5.0 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 AUD False False 0.03 0.00 -0.02 0.0 0.48 -0.48 0.00 0.00 -0.62 19.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.46 9.0 0 0 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.02 0.0 0.22 -0.22 -0.07 -0.04 -0.51 6.0 -2 -1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.36 8.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.65 2.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.42 0.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.52 -0.01 0.0 0.57 -0.57 -0.52 -0.48 -0.22 13.0 -12 -11 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.20 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.30 -0.30 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.09 -0.67 10.0 -5 -5 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.02 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 -1.08 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 -0.48 6.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -1.34 66.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.07 -0.01 0.0 0.38 -0.38 -0.07 -0.07 -2.17 58.0 -10 -10 caleb_strategy_v3 BUXL False False 0.06 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.01 4.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.00 0.0 0.81 -0.81 0.00 0.00 0.13 29.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.00 0.0 0.16 -0.16 -0.07 -0.06 -0.14 13.0 -6 -5 caleb_strategy_v3 EUR False False 0.05 -0.10 -0.00 0.0 0.72 -0.72 -0.10 0.00 -0.05 14.0 -2 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.10 12.0 0 0 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 SUGAR11 False False 0.01 0.03 0.01 0.0 0.18 -0.18 0.03 0.03 1.19 18.0 3 3 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.53 10.0 1 1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.65 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.01 0.0 0.18 -0.18 0.05 0.05 0.55 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 0.49 26.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 0.01 0.0 0.24 -0.24 -0.01 -0.00 3.82 68.0 -3 -1 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.26 23.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.05 0.01 0.0 0.26 -0.26 0.05 0.17 0.60 23.0 4 15 caleb_strategy_v3 BUND False False 0.05 0.22 0.02 0.0 0.54 -0.54 0.22 0.22 0.32 10.0 4 4 caleb_strategy_v3 NZD False False 0.02 0.00 0.02 0.0 0.49 -0.49 0.00 0.02 0.80 21.0 0 1 caleb_strategy_v3 SP500_micro False False 0.01 0.08 0.02 0.0 0.40 -0.40 0.08 0.08 2.67 48.0 10 10 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.63 4.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.03 0.0 0.07 -0.07 0.00 0.00 21.70 59.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.96 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.07 0.03 0.0 0.36 -0.36 0.07 0.11 1.47 20.0 4 6 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.30 2.0 2 2 caleb_strategy_v3 OJ False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 2.80 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.04 0.0 0.11 -0.11 0.03 0.03 1.59 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 1.08 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 11.28 51.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.19 0.06 0.0 0.47 -0.47 0.19 0.19 1.23 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.52 -0.52 0.00 0.00 1.32 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.07 0.0 0.14 -0.14 0.00 0.06 2.51 5.0 0 2 caleb_strategy_v3 GBP False False 0.03 0.30 0.10 0.0 0.66 -0.66 0.30 0.30 3.34 22.0 10 10 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.91 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 7.17 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.31 0.53 0.0 0.32 -0.32 0.31 0.31 59.47 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.62 0.92 0.0 0.64 -0.64 0.62 0.64 85.84 60.0 58 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.63 3.28 0.0 0.63 -0.63 0.63 0.63 83.88 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.3 Shocked risk 66.1 Sum abs risk 58.7 Leverage 7.40 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 0.0051 0.6904 0.7406 11.8495 BITCOIN 799.3874 31560.0000 2.5329 40.5266 BOBL 0.3349 115.8000 0.2892 4.6267 BTP 0.7663 115.6400 0.6626 10.6023 BUND 0.6752 133.1800 0.5070 8.1113 BUXL 1.4394 135.7000 1.0607 16.9717 CAC 67.2999 7388.0000 0.9109 14.5750 CAD 0.0032 0.7635 0.4175 6.6808 CANOLA 9.5206 812.1000 1.1723 18.7576 CHF 0.0059 1.1724 0.5037 8.0585 COCOA 40.0676 3282.0000 1.2208 19.5333 COFFEE 2.8076 158.5000 1.7714 28.3420 COPPER 0.0449 3.9490 1.1367 18.1870 CORN 12.2460 500.5000 2.4468 39.1482 COTTON2 1.3862 82.6600 1.6770 26.8320 CRUDE_W 1.1006 75.9600 1.4489 23.1829 DAX 137.2769 16265.0000 0.8440 13.5040 DOW 205.0364 34596.0000 0.5927 9.4825 EUR 0.0056 1.1258 0.5009 8.0147 EURIBOR-ICE 0.0710 96.9800 0.0732 1.1708 EUROSTX 43.3153 4422.0000 0.9795 15.6727 FEEDCOW 1.8695 248.7000 0.7517 12.0272 GASOIL 12.0639 753.0000 1.6021 25.6338 GASOLINE 0.0376 2.3891 1.5718 25.1481 GAS_US_mini 0.0946 2.5350 3.7301 59.6814 GBP 0.0071 1.3133 0.5370 8.5920 GOLD_micro 12.1789 1964.9000 0.6198 9.9172 HEATOIL 0.0364 2.6038 1.3994 22.3910 JGB-SGX-mini 0.2033 148.5000 0.1369 2.1905 JPY 0.0000 0.0073 0.6466 10.3453 LEANHOG 1.2143 83.2750 1.4582 23.3308 LIVECOW 1.1137 180.1250 0.6183 9.8927 LUMBER-new 10.8841 582.0000 1.8701 29.9218 MILK 0.2532 16.2400 1.5589 24.9421 MXP 0.0004 0.0587 0.6126 9.8014 NASDAQ_micro 122.5881 15701.7500 0.7807 12.4917 NIKKEI 298.1411 33605.0000 0.8872 14.1951 NZD 0.0049 0.6392 0.7670 12.2726 OAT 0.6889 127.7600 0.5392 8.6275 OATIES 7.2554 424.0000 1.7112 27.3787 OJ 4.1176 270.6500 1.5214 24.3421 PALLAD 23.7038 1289.0000 1.8389 29.4228 PLAT 14.9041 984.7000 1.5136 24.2171 REDWHEAT 13.9517 811.7500 1.7187 27.4995 RICE 0.1603 15.3100 1.0472 16.7556 ROBUSTA 40.0082 2527.0000 1.5832 25.3317 RUSSELL 19.3796 1963.5000 0.9870 15.7919 SHATZ 0.1062 104.9650 0.1012 1.6189 SILVER-mini 0.3710 25.2750 1.4678 23.4851 SMI 78.8429 11066.0000 0.7125 11.3997 SOFR 0.0882 96.8100 0.0911 1.4583 SOYBEAN 22.6356 1368.2500 1.6543 26.4695 SOYMEAL 7.6944 400.0000 1.9236 30.7776 SOYOIL 1.2091 61.2300 1.9747 31.5953 SP400 21.7749 2716.0000 0.8017 12.8276 SP500_micro 25.5843 4542.5000 0.5632 9.0115 SUGAR11 0.3762 24.0300 1.5654 25.0472 US10 0.5036 113.0312 0.4456 7.1290 US10U 0.6505 118.9688 0.5468 8.7486 US2 0.1399 102.1680 0.1369 2.1910 US20 0.8712 126.9062 0.6865 10.9834 US30 1.2488 135.1562 0.9239 14.7830 US5 0.3483 108.0234 0.3224 5.1586 VIX 0.4791 17.0000 2.8182 45.0916 WHEAT 13.7844 659.5000 2.0901 33.4420 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 690.35 0.74 511.27 1.00 511.27 46875.0 91.68 -2.09 -19.20 BITCOIN 31.56 2.53 79.94 1.00 79.94 46875.0 586.39 3.08 180.44 BOBL 1158.00 0.29 334.86 1.10 369.36 46875.0 126.91 -9.96 -126.43 BTP 1156.40 0.66 766.28 1.10 845.25 46875.0 55.46 7.09 39.34 BUND 1331.80 0.51 675.17 1.10 744.74 46875.0 62.94 5.49 34.57 BUXL 1357.00 1.06 1439.41 1.10 1587.75 46875.0 29.52 -0.50 -1.49 CAC 738.80 0.91 673.00 1.10 742.35 46875.0 63.14 4.64 29.32 CAD 763.50 0.42 318.80 1.00 318.80 46875.0 147.04 0.27 4.00 CANOLA 162.42 1.17 190.41 0.76 144.12 46875.0 325.26 16.56 538.64 CHF 1465.56 0.50 738.14 1.00 738.14 46875.0 63.50 -6.86 -43.57 COCOA 328.20 1.22 400.68 1.00 400.68 46875.0 116.99 2.26 26.42 COFFEE 594.38 1.77 1052.86 1.00 1052.86 46875.0 44.52 -10.81 -48.12 COPPER 987.25 1.14 1122.19 1.00 1122.19 46875.0 41.77 -1.01 -4.21 CORN 250.25 2.45 612.30 1.00 612.30 46875.0 76.56 -0.63 -4.81 COTTON2 413.30 1.68 693.10 1.00 693.10 46875.0 67.63 1.11 7.53 CRUDE_W 759.60 1.45 1100.61 1.00 1100.61 46875.0 42.59 4.81 20.49 DAX 162.65 0.84 137.28 1.10 151.42 46875.0 309.56 -2.15 -66.53 DOW 172.98 0.59 102.52 1.00 102.52 46875.0 457.24 -1.31 -60.09 EUR 1407.19 0.50 704.88 1.00 704.88 46875.0 66.50 -0.25 -1.64 EURIBOR-ICE 2424.50 0.07 177.42 1.10 195.70 46875.0 239.52 -9.57 -229.33 EUROSTX 442.20 0.98 433.15 1.10 477.79 46875.0 98.11 4.58 44.95 FEEDCOW 1243.50 0.75 934.74 1.00 934.74 46875.0 50.15 -5.37 -26.94 GASOIL 753.00 1.60 1206.39 1.00 1206.39 46875.0 38.86 8.34 32.42 GASOLINE 1003.42 1.57 1577.14 1.00 1577.14 46875.0 29.72 20.00 59.44 GAS_US_mini 63.38 3.73 236.39 1.00 236.39 46875.0 198.29 -10.20 -202.17 GBP 820.81 0.54 440.78 1.00 440.78 46875.0 106.35 9.65 102.64 GOLD_micro 196.49 0.62 121.79 1.00 121.79 46875.0 384.89 -13.52 -520.22 HEATOIL 1093.60 1.40 1530.42 1.00 1530.42 46875.0 30.63 7.19 22.02 JGB-SGX-mini 148500.00 0.14 20330.17 0.01 140.47 46875.0 333.70 19.24 641.87 JPY 915.00 0.65 591.62 1.00 591.62 46875.0 79.23 -16.79 -133.03 LEANHOG 333.10 1.46 485.72 1.00 485.72 46875.0 96.51 -0.23 -2.22 LIVECOW 720.50 0.62 445.48 1.00 445.48 46875.0 105.22 20.00 210.45 LUMBER-new 160.05 1.87 299.31 1.00 299.31 46875.0 156.61 -3.61 -56.48 MILK 324.80 1.56 506.33 1.00 506.33 46875.0 92.58 -20.00 -185.16 MXP 293.30 0.61 179.67 1.00 179.67 46875.0 260.89 20.00 521.78 NASDAQ_micro 314.04 0.78 245.18 1.00 245.18 46875.0 191.19 1.40 26.84 NIKKEI 33605.00 0.89 29814.11 0.01 206.00 46875.0 227.55 20.00 455.09 NZD 639.25 0.77 490.33 1.00 490.33 46875.0 95.60 2.56 24.50 OAT 1277.60 0.54 688.90 1.10 759.90 46875.0 61.69 6.87 42.40 OATIES 212.00 1.71 362.77 1.00 362.77 46875.0 129.21 -2.41 -31.16 OJ 405.98 1.52 617.64 1.00 617.64 46875.0 75.89 20.00 151.79 PALLAD 1289.00 1.84 2370.38 1.00 2370.38 46875.0 19.78 -9.30 -18.39 PLAT 492.35 1.51 745.21 1.00 745.21 46875.0 62.90 -2.79 -17.57 REDWHEAT 405.88 1.72 697.58 1.00 697.58 46875.0 67.20 -4.64 -31.18 RICE 306.20 1.05 320.66 1.00 320.66 46875.0 146.18 8.60 125.78 ROBUSTA 252.70 1.58 400.08 1.00 400.08 46875.0 117.16 10.67 125.06 RUSSELL 98.18 0.99 96.90 1.00 96.90 46875.0 483.76 2.48 120.03 SHATZ 1049.65 0.10 106.20 1.10 117.15 46875.0 400.14 -6.16 -246.38 SILVER-mini 631.88 1.47 927.48 1.00 927.48 46875.0 50.54 -2.20 -11.13 SMI 1106.60 0.71 788.43 1.14 899.01 46875.0 52.14 -2.71 -14.16 SOFR 2420.25 0.09 220.58 1.00 220.58 46875.0 212.50 -2.93 -62.17 SOYBEAN 684.12 1.65 1131.78 1.00 1131.78 46875.0 41.42 16.72 69.24 SOYMEAL 400.00 1.92 769.44 1.00 769.44 46875.0 60.92 13.25 80.75 SOYOIL 367.38 1.97 725.47 1.00 725.47 46875.0 64.61 10.29 66.49 SP400 2716.00 0.80 2177.49 1.00 2177.49 46875.0 21.53 4.44 9.56 SP500_micro 227.12 0.56 127.92 1.00 127.92 46875.0 366.44 3.26 119.58 SUGAR11 269.14 1.57 421.32 1.00 421.32 46875.0 111.26 5.85 65.10 US10 1130.31 0.45 503.62 1.00 503.62 46875.0 93.08 -10.00 -93.09 US10U 1189.69 0.55 650.51 1.00 650.51 46875.0 72.06 -2.56 -18.43 US2 2043.36 0.14 279.82 1.00 279.82 46875.0 167.52 -20.00 -335.04 US20 1269.06 0.69 871.16 1.00 871.16 46875.0 53.81 -3.10 -16.67 US30 1351.56 0.92 1248.76 1.00 1248.76 46875.0 37.54 -2.97 -11.17 US5 1080.23 0.32 348.28 1.00 348.28 46875.0 134.59 -12.92 -173.92 VIX 170.00 2.82 479.10 1.00 479.10 46875.0 97.84 -20.00 -195.68 WHEAT 329.75 2.09 689.22 1.00 689.22 46875.0 68.01 -13.92 -94.68 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -19.204 0.013 2.5 -0.624 BITCOIN 180.440 0.048 2.5 21.699 BOBL -126.430 0.004 2.5 -1.173 BTP 39.345 0.012 2.5 1.227 BUND 34.573 0.004 2.5 0.321 BUXL -1.486 0.004 2.5 -0.014 CAC 29.315 0.013 2.5 0.958 CAD 3.999 0.013 2.5 0.130 CANOLA 538.635 0.008 2.5 11.284 CHF -43.565 0.013 2.5 -1.416 COCOA 26.424 0.007 2.5 0.487 COFFEE -48.123 0.004 2.5 -0.484 COPPER -4.206 0.048 2.5 -0.506 CORN -4.814 0.008 2.5 -0.101 COTTON2 7.531 0.007 2.5 0.139 CRUDE_W 20.488 0.049 2.5 2.509 DAX -66.533 0.013 2.5 -2.174 DOW -60.090 0.009 2.5 -1.342 EUR -1.640 0.013 2.5 -0.053 EURIBOR-ICE -229.335 0.012 2.5 -7.154 EUROSTX 44.947 0.013 2.5 1.468 FEEDCOW -26.940 0.014 2.5 -0.918 GASOIL 32.419 0.020 2.5 1.589 GASOLINE 59.443 0.020 2.5 2.914 GAS_US_mini -202.172 0.049 2.5 -24.761 GBP 102.642 0.013 2.5 3.336 GOLD_micro -520.217 0.015 2.5 -19.705 HEATOIL 22.025 0.020 2.5 1.080 JGB-SGX-mini 641.874 0.052 2.5 83.881 JPY -133.031 0.013 2.5 -4.324 LEANHOG -2.219 0.025 2.5 -0.139 LIVECOW 210.447 0.014 2.5 7.173 LUMBER-new -56.478 0.007 2.5 -1.021 MILK -185.158 0.007 2.5 -3.416 MXP 521.783 0.066 2.5 85.837 NASDAQ_micro 26.842 0.009 2.5 0.599 NIKKEI 455.092 0.052 2.5 59.472 NZD 24.499 0.013 2.5 0.796 OAT 42.400 0.012 2.5 1.323 OATIES -31.158 0.008 2.5 -0.653 OJ 151.786 0.007 2.5 2.800 PALLAD -18.387 0.015 2.5 -0.696 PLAT -17.571 0.015 2.5 -0.666 REDWHEAT -31.180 0.005 2.5 -0.356 RICE 125.776 0.008 2.5 2.635 ROBUSTA 125.059 0.004 2.5 1.258 RUSSELL 120.028 0.013 2.5 3.822 SHATZ -246.384 0.004 2.5 -2.285 SILVER-mini -11.126 0.015 2.5 -0.421 SMI -14.155 0.013 2.5 -0.462 SOFR -62.173 0.023 2.5 -3.609 SOYBEAN 69.243 0.003 2.5 0.555 SOYMEAL 80.750 0.003 2.5 0.647 SOYOIL 66.493 0.003 2.5 0.533 SP400 9.557 0.013 2.5 0.304 SP500_micro 119.576 0.009 2.5 2.670 SUGAR11 65.103 0.007 2.5 1.193 US10 -93.093 0.005 2.5 -1.127 US10U -18.435 0.005 2.5 -0.223 US2 -335.038 0.005 2.5 -4.055 US20 -16.667 0.005 2.5 -0.202 US30 -11.165 0.005 2.5 -0.135 US5 -173.923 0.005 2.5 -2.105 VIX -195.680 0.059 2.5 -28.995 WHEAT -94.681 0.005 2.5 -1.082 ===================== Position diags ===================== AUD 2.98 BITCOIN 70.52 BOBL 1.18 BTP 1.73 BUND 0.58 BUXL 0.27 CAC 2.06 CAD 4.78 CANOLA 6.81 CHF 2.06 COCOA 2.16 COFFEE 0.45 COPPER 5.02 CORN 1.60 COTTON2 1.25 CRUDE_W 5.22 DAX 10.11 DOW 10.21 EUR 2.16 EURIBOR-ICE 7.47 EUROSTX 3.21 FEEDCOW 1.71 GASOIL 1.91 GASOLINE 1.46 GAS_US_mini 24.29 GBP 3.46 GOLD_micro 14.58 HEATOIL 1.50 JGB-SGX-mini 43.61 JPY 2.58 LEANHOG 6.03 LIVECOW 3.59 LUMBER-new 2.83 MILK 1.71 MXP 42.92 NASDAQ_micro 4.27 NIKKEI 29.74 NZD 3.11 OAT 1.92 OATIES 2.71 OJ 1.40 PALLAD 0.75 PLAT 2.38 REDWHEAT 0.77 RICE 3.06 ROBUSTA 1.18 RUSSELL 15.40 SHATZ 3.71 SILVER-mini 1.91 SMI 1.70 SOFR 12.34 SOYBEAN 0.33 SOYMEAL 0.49 SOYOIL 0.52 SP400 0.69 SP500_micro 8.18 SUGAR11 2.04 US10 1.13 US10U 0.87 US2 2.03 US20 0.65 US30 0.45 US5 1.63 VIX 14.50 WHEAT 0.78 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.6 -0.9 -0.3 NaN 0 BITCOIN 21.7 14.6 28.8 0.0 0 BOBL -1.2 -1.3 -1.1 NaN 0 BTP 1.2 1.1 1.4 4.0 4 BUND 0.3 0.3 0.4 4.0 4 BUXL -0.0 -0.0 0.0 NaN 0 CAC 1.0 0.8 1.2 NaN 0 CAD 0.1 -0.3 0.6 NaN 0 CANOLA 11.3 10.6 12.0 NaN 0 CHF -1.4 -1.6 -1.2 -3.0 -3 COCOA 0.5 0.3 0.7 NaN 0 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -0.5 -1.0 -0.0 -2.0 -2 CORN -0.1 -0.3 0.1 0.0 0 COTTON2 0.1 0.0 0.3 NaN 0 CRUDE_W 2.5 2.0 3.0 NaN 0 DAX -2.2 -3.2 -1.2 -10.0 -10 DOW -1.3 -2.4 -0.3 NaN 0 EUR -0.1 -0.3 0.2 -2.0 -2 EURIBOR-ICE -7.2 -7.9 -6.4 -5.0 -5 EUROSTX 1.5 1.1 1.8 4.0 4 FEEDCOW -0.9 -1.1 -0.7 NaN 0 GASOIL 1.6 1.4 1.8 1.0 1 GASOLINE 2.9 2.8 3.1 4.0 4 GAS_US_mini -24.8 -27.2 -22.3 -9.0 -9 GBP 3.3 3.0 3.7 10.0 10 GOLD_micro -19.7 -21.2 -18.2 -15.0 -15 HEATOIL 1.1 0.9 1.2 0.0 0 JGB-SGX-mini 83.9 79.5 88.2 16.0 16 JPY -4.3 -4.6 -4.1 -12.0 -12 LEANHOG -0.1 -0.7 0.5 -6.0 -6 LIVECOW 7.2 6.8 7.5 NaN 0 LUMBER-new -1.0 -1.3 -0.7 NaN 0 MILK -3.4 -3.6 -3.2 NaN 0 MXP 85.8 81.5 90.1 58.0 58 NASDAQ_micro 0.6 0.2 1.0 4.0 4 NIKKEI 59.5 56.5 62.4 35.0 35 NZD 0.8 0.5 1.1 NaN 0 OAT 1.3 1.1 1.5 NaN 0 OATIES -0.7 -0.9 -0.4 NaN 0 OJ 2.8 2.7 2.9 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -0.7 -0.9 -0.4 -5.0 -5 REDWHEAT -0.4 -0.4 -0.3 NaN 0 RICE 2.6 2.3 2.9 NaN 0 ROBUSTA 1.3 1.1 1.4 2.0 2 RUSSELL 3.8 2.3 5.4 -3.0 -3 SHATZ -2.3 -2.7 -1.9 NaN 0 SILVER-mini -0.4 -0.6 -0.2 NaN 0 SMI -0.5 -0.6 -0.3 0.0 0 SOFR -3.6 -4.8 -2.4 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.6 0.6 0.7 NaN 0 SOYOIL 0.5 0.5 0.6 1.0 1 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 2.7 1.9 3.5 10.0 10 SUGAR11 1.2 1.0 1.4 3.0 3 US10 -1.1 -1.2 -1.0 NaN 0 US10U -0.2 -0.3 -0.1 -12.0 -12 US2 -4.1 -4.3 -3.9 NaN 0 US20 -0.2 -0.3 -0.1 NaN 0 US30 -0.1 -0.2 -0.1 NaN 0 US5 -2.1 -2.3 -1.9 -9.0 -9 VIX -29.0 -30.4 -27.5 -17.0 -17 WHEAT -1.1 -1.2 -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 1.3 2.2 0.9 0.0 0.9 1.3 2.2 0.9 3.0 0.9 17.1 3.6 2.7 2.6 2.6 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 0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.0 -0.1 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 0.2 -0.0 0.1 -0.0 0.0 -0.1 -0.3 -0.5 -0.2 -0.3 -0.0 -0.3 0.1 0.2 BITCOIN 0.4 0.1 0.2 0.0 0.3 0.1 0.1 0.1 0.1 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 0.1 0.1 0.1 0.0 0.1 0.1 -0.1 -0.7 0.5 0.4 -0.1 -0.0 0.3 0.0 0.3 BOBL -0.1 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -1.2 -0.1 -0.9 -0.4 -0.0 -0.0 -0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.9 -0.0 -0.0 -0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP -0.3 0.1 0.3 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 0.0 0.2 -0.0 -0.1 -0.0 0.0 0.3 0.5 0.4 0.5 0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.0 0.0 0.0 -0.0 0.0 -0.0 2.5 -0.2 0.0 0.4 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 0.6 0.4 0.4 -0.0 -0.0 -0.0 -0.2 -0.0 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.5 -0.2 0.0 0.1 0.1 -0.3 -0.3 -0.1 -0.0 BUXL 0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -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 0.0 -0.0 -0.0 -0.1 -0.0 0.7 -0.4 0.1 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC -0.1 -0.4 -0.1 0.0 0.2 0.1 0.1 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 0.1 0.3 0.0 -0.2 0.0 0.1 0.1 0.0 0.2 0.0 1.6 -0.7 0.2 -0.3 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.0 0.4 0.3 0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.3 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 -0.0 0.1 -0.1 0.0 0.1 0.1 0.0 0.0 0.0 0.1 -0.7 -0.5 0.0 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 -0.0 0.1 -0.2 0.1 0.0 0.3 1.0 0.9 1.0 0.1 -0.0 0.2 -0.1 0.2 -1.1 0.0 0.0 -0.0 0.0 -0.0 0.0 3.0 0.7 0.5 0.4 0.0 -0.2 0.2 0.0 0.3 CHF 0.3 -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 0.2 -0.4 0.0 0.2 0.1 0.1 0.1 0.1 -2.9 0.6 0.2 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 COCOA -0.1 0.1 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.2 0.4 0.0 0.5 0.1 0.2 -0.1 -0.1 -0.0 -0.0 0.2 0.2 0.1 0.4 0.2 -0.4 0.1 -0.0 0.2 0.0 0.2 0.1 -1.8 -0.0 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 -0.1 -0.0 -0.1 -0.2 -0.2 -0.1 0.1 0.2 0.2 0.3 -0.2 -0.1 -0.2 -0.2 -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 0.1 -0.3 0.0 0.2 0.1 0.1 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 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.2 -0.1 0.1 -0.1 0.0 0.4 0.5 -0.2 0.1 -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 -0.0 -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 -0.5 -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 0.4 -0.2 0.1 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.3 0.1 -0.2 0.0 0.2 -0.1 0.1 -0.1 0.0 0.2 -0.1 0.2 -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 -1.5 0.2 0.3 0.2 0.4 0.1 0.2 0.1 0.0 DAX -0.3 -0.3 0.0 0.0 0.2 0.1 0.1 0.1 0.0 0.1 0.3 -0.0 0.4 -0.0 0.1 -0.5 -0.4 -0.5 -0.4 0.0 0.1 0.0 0.3 -0.0 0.8 -0.0 0.1 0.1 0.0 0.2 -0.0 -0.6 -0.5 -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 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.5 -0.5 0.1 0.0 0.1 0.1 0.1 -0.4 0.0 0.1 0.1 0.0 0.1 0.0 -0.6 -0.1 0.3 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 0.1 0.2 0.2 0.1 0.2 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 0.1 0.1 0.7 0.0 0.2 0.1 0.1 0.0 0.1 -1.2 -0.2 -0.0 -0.2 -0.1 -0.1 -0.3 0.0 0.2 EURIBOR-ICE -0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.7 -0.4 -0.6 -0.6 -0.1 -0.0 -0.0 -0.2 -0.0 0.9 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -2.1 0.1 -0.1 -0.2 0.0 -0.3 -0.3 0.3 0.0 EUROSTX -0.2 -0.3 -0.0 0.0 0.2 0.1 0.1 0.1 0.0 0.1 0.3 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 0.2 0.0 0.1 0.1 0.0 0.2 -0.0 1.2 -0.7 -0.1 -0.2 -0.2 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 -0.0 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 0.0 0.2 0.1 -3.2 0.5 0.5 0.5 0.5 -0.0 -0.3 0.2 -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 -0.0 0.2 -0.1 0.1 0.5 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.2 0.3 0.2 0.0 -0.1 0.1 -0.1 -0.1 GASOLINE 0.2 0.2 -0.1 0.0 0.2 -0.1 0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 0.1 0.1 1.2 1.2 1.2 1.2 0.1 0.0 0.2 0.1 0.2 -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 -0.0 0.1 -0.0 0.0 -0.1 -0.3 -0.0 -0.4 0.0 -0.0 0.0 -0.8 -0.6 -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 0.0 0.1 0.0 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 0.2 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 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 0.1 -0.0 0.2 0.2 0.1 0.1 0.1 0.3 GOLD_micro -0.1 -0.5 -0.1 0.0 0.2 0.1 0.1 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 0.2 0.2 -0.0 -0.6 -0.0 0.2 0.0 0.1 0.1 0.0 -2.5 0.3 -0.2 -0.5 -0.2 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.4 0.4 -0.3 0.0 0.2 -0.1 0.1 -0.1 0.0 0.2 -0.2 0.2 -0.2 0.1 0.0 0.2 1.0 0.3 0.6 0.0 -0.1 0.3 -0.1 0.2 -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 0.2 -0.3 -0.4 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 0.1 -0.2 -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 0.1 -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 0.2 -0.2 0.1 -0.3 0.1 0.0 1.2 -0.5 1.2 0.3 0.0 -0.1 0.2 -0.4 0.1 0.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 -2.9 0.2 -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 0.1 0.4 0.2 0.6 0.2 0.2 -0.0 0.7 1.2 1.2 0.2 0.2 0.2 0.4 0.2 0.5 0.1 0.0 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 0.4 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 -0.3 -0.8 -0.7 -0.8 0.1 -0.0 0.3 -0.1 0.2 NaN 0.1 0.1 0.0 0.1 -0.0 0.1 -3.4 0.7 0.5 0.5 0.3 -0.3 -0.3 -0.3 -0.3 MILK -0.1 -0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -1.2 -1.2 -1.2 -1.2 -0.2 -0.2 -0.1 -0.4 -0.2 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.2 -0.5 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.1 0.3 0.5 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 0.1 0.3 0.1 3.2 -0.7 -0.3 0.4 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 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.2 0.4 0.2 -1.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.8 0.4 0.4 0.5 0.5 -0.1 -0.1 -0.2 -0.1 NIKKEI 0.2 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.2 0.9 0.7 0.7 0.7 0.2 0.2 0.2 0.4 0.2 -0.2 0.1 0.0 0.1 0.0 0.1 0.0 3.2 0.0 0.5 0.5 0.5 0.1 0.1 0.1 0.1 NZD 0.2 0.0 -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 0.2 -0.0 0.1 0.0 0.0 0.2 -0.0 0.1 -0.0 0.0 0.8 -0.1 -0.2 -0.3 -0.3 0.0 -0.2 0.2 0.1 OAT -0.1 0.0 0.1 -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 0.5 0.5 -0.0 -0.0 -0.0 -0.1 -0.0 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 0.2 0.5 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 0.0 -0.3 0.1 0.1 -0.8 0.1 -0.6 -0.3 0.2 0.1 0.1 0.0 0.2 -1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -2.3 -0.3 0.3 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 0.5 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 0.5 0.0 3.2 -0.2 -0.2 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.3 -0.5 -0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 -0.0 -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 -0.2 -0.5 -0.1 0.0 0.2 0.0 0.1 0.0 0.0 0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 0.6 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.3 0.2 -0.4 -0.5 -0.2 -0.0 -0.2 0.1 -0.1 REDWHEAT 0.0 0.1 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 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.7 -0.2 -0.0 0.2 -0.3 -0.2 -0.1 -0.1 RICE -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.8 1.2 1.2 1.2 -0.0 -0.0 -0.1 -0.1 -0.0 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 3.2 -0.3 -0.5 -0.0 0.3 -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 -0.1 0.2 -0.1 0.3 -0.0 0.1 1.2 0.8 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 2.2 -0.6 -0.5 0.3 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.1 0.5 0.2 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 -0.0 0.1 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.5 0.4 0.5 -0.2 -0.1 -0.1 -0.3 -0.1 SHATZ -0.2 -0.5 -0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.2 0.1 -0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.0 -0.3 -0.1 0.0 0.2 0.1 0.1 0.1 0.0 0.2 0.0 0.1 0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.0 0.2 0.1 0.0 0.4 0.0 0.2 0.0 0.1 0.0 0.0 -0.7 0.3 -0.1 -0.1 0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.4 -0.4 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 -0.0 -0.0 -0.0 -0.0 -0.1 1.7 -0.7 -0.5 -0.5 -0.1 -0.1 -0.2 -0.2 -0.2 SOFR -0.2 -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 -0.1 -0.0 -0.1 -0.0 -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 0.3 -0.0 -0.2 0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.3 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 0.0 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 0.4 0.4 0.5 0.1 -0.1 0.3 -0.0 0.3 SOYMEAL 0.1 0.1 -0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 1.1 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 0.1 -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 0.2 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 0.1 0.3 0.0 0.2 -0.5 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.6 0.5 0.5 -0.1 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.1 0.5 0.5 0.0 0.2 0.1 0.1 0.1 0.0 0.2 0.4 0.1 0.1 0.2 0.2 -0.7 -0.4 -0.6 -0.6 0.2 0.2 0.3 0.3 0.2 -0.9 0.1 0.1 0.1 0.1 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 0.2 0.2 -0.0 0.3 -0.0 0.0 -0.0 1.0 0.3 0.7 -0.0 0.1 0.0 0.4 -0.1 -1.1 0.0 0.0 0.1 0.0 0.2 -0.0 2.3 0.5 -0.5 -0.4 0.5 -0.3 -0.2 0.1 -0.1 US10 -0.1 -0.4 -0.1 -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 -0.4 -0.5 -0.5 -0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.8 0.3 0.0 -0.2 -0.0 -0.3 -0.3 0.2 0.0 US10U -0.1 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.3 0.1 -0.2 -0.0 -0.3 -0.3 0.3 0.2 US2 -0.1 -0.5 -0.5 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -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 -0.0 0.0 -0.1 -0.0 -3.2 0.3 -0.1 -0.4 -0.2 -0.3 -0.2 -0.3 -0.1 US20 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.2 0.0 -0.0 -0.0 -0.3 -0.3 0.2 0.2 US30 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 0.0 0.0 -0.0 -0.3 -0.3 0.3 0.3 US5 -0.1 -0.5 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.7 -0.6 -0.1 -0.0 0.0 -0.1 -0.0 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -2.4 0.3 -0.0 -0.2 -0.1 -0.3 -0.3 0.1 -0.2 VIX -0.2 -0.8 -0.8 -0.1 -0.1 -0.2 -0.0 -0.2 -0.1 -0.4 -0.6 -0.3 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.4 -0.6 -0.3 NaN -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT -0.1 0.5 0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.5 -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 -0.6 -0.2 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 -5.0 9.1 0.5 3.4 11.5 2.3 8.1 0.9 5.2 12.0 -4.2 2.8 -5.1 2.7 1.1 -2.3 -2.6 -2.6 -2.8 0.9 -1.5 11.9 -3.9 4.2 1.9 0.8 13.6 -0.3 6.5 -1.6 2.4 -0.5 -9.9 -20.0 -8.6 -11.5 -2.5 -20.0 11.3 16.6 BITCOIN 15.9 3.1 8.6 3.7 20.0 3.7 13.9 3.3 6.3 8.9 19.8 20.0 -5.9 19.7 18.8 -6.4 -3.0 -5.1 -4.0 16.1 14.9 12.0 6.0 16.9 -20.0 6.0 4.9 4.9 5.2 3.0 7.0 -0.6 -20.0 20.0 14.8 -3.6 -1.0 20.0 0.4 20.0 BOBL -5.9 -8.2 -3.3 -2.0 2.8 -1.5 -0.6 -1.9 -2.0 4.0 -3.5 -2.9 -6.3 -5.9 -5.1 -20.0 -1.6 -14.5 -7.3 -5.5 -5.0 -1.9 -7.7 -5.6 9.4 -2.1 2.6 -1.5 -0.8 -2.4 -2.3 -5.4 -1.0 -1.0 -2.0 1.3 -20.0 -20.0 -19.3 -14.7 BTP -11.8 4.4 10.5 -2.9 4.1 -2.2 -0.8 -2.9 -3.0 3.3 7.3 -4.8 -2.8 -0.6 2.2 4.7 8.9 6.5 7.6 0.7 2.3 -3.4 -2.0 -3.4 -6.3 0.7 3.3 2.1 -2.2 0.0 -1.9 15.8 -7.5 1.3 15.3 11.7 -20.0 -20.0 -4.6 3.9 BUND -4.7 -1.3 1.4 -2.0 2.9 -1.5 -0.6 -2.0 -2.1 1.6 -3.6 -3.5 -6.6 -4.7 -4.3 6.0 9.4 6.7 7.6 -3.7 -3.7 -2.9 -7.4 -4.7 5.2 -1.7 2.5 -1.1 -1.6 -2.5 -2.4 16.0 -4.9 1.1 2.3 2.7 -20.0 -20.0 -10.3 -3.3 BUXL 0.6 5.5 -1.5 -2.4 3.5 -1.8 -0.7 -2.4 -2.5 -2.5 -7.3 -5.0 -8.9 -2.5 -4.8 1.5 1.2 1.8 1.9 -2.6 -4.9 -5.8 -11.0 -4.1 -0.1 -1.0 0.3 -1.1 -3.2 -3.2 -2.2 4.2 -10.8 5.8 8.5 3.3 -20.0 -20.0 8.3 9.8 CAC -3.0 -15.0 -3.9 3.9 13.1 5.1 6.6 4.5 3.5 11.5 14.5 5.3 16.8 -0.1 7.1 -5.8 1.6 -1.8 0.3 1.5 8.7 6.3 15.6 0.6 -4.6 2.3 9.1 5.0 2.2 7.5 1.1 10.1 -20.0 7.6 -10.9 -7.3 16.5 -3.4 20.0 -1.6 CAD -1.6 14.7 13.4 5.4 18.3 3.7 12.9 1.5 8.3 18.6 12.7 9.2 -8.9 14.9 16.2 -2.1 -1.9 -2.4 -2.3 13.1 8.2 13.3 -2.3 11.5 -1.0 5.8 11.3 4.1 5.5 0.0 4.7 0.5 -20.0 -20.0 1.3 4.3 -19.4 -20.0 -20.0 -9.9 CANOLA 20.0 20.0 4.8 -0.5 0.7 -2.1 1.0 -2.2 0.9 8.3 -2.1 9.2 -7.2 9.2 5.4 5.4 16.9 15.5 17.6 10.9 -1.0 20.0 -5.9 20.0 -20.0 1.8 3.6 -0.9 4.3 -1.8 3.9 19.1 20.0 20.0 17.6 0.2 -13.9 18.7 0.4 20.0 CHF 12.3 -3.3 4.0 4.4 14.9 3.0 10.5 1.2 6.7 15.9 11.1 16.1 11.9 11.5 8.0 -13.9 -12.8 -14.1 -13.5 9.8 7.7 20.0 6.6 20.0 -7.7 3.9 20.0 3.0 14.4 2.1 7.8 -18.5 17.7 8.0 -5.2 0.9 -12.9 -20.0 -14.6 -20.0 COCOA -3.4 4.5 14.7 -1.3 1.7 -4.8 2.4 -5.1 2.1 -12.1 20.0 4.4 18.7 14.7 19.0 -1.8 -1.0 -0.8 -0.4 20.0 20.0 5.8 20.0 20.0 -8.4 8.1 -1.0 7.8 2.6 6.0 6.2 -11.6 -0.8 20.0 20.0 20.0 -19.5 -20.0 10.0 -11.0 COFFEE -20.0 -20.0 -1.3 -1.1 1.5 -4.1 2.1 -4.4 1.8 -7.9 -1.8 -17.3 -6.7 -18.1 -16.1 2.5 4.0 4.1 4.3 -20.0 -11.1 -17.5 -7.6 -20.0 -20.0 -4.2 -2.1 -1.1 -4.8 -0.6 -6.4 -3.3 -18.4 -20.0 -12.8 10.9 -20.0 -20.0 -7.4 -20.0 COPPER 0.8 3.4 -12.7 2.5 17.4 2.5 9.3 2.2 4.3 14.0 -4.4 4.4 -4.7 5.7 -4.1 -2.3 -1.2 -2.2 -1.8 -3.4 -5.0 11.8 -3.7 2.7 -4.0 -1.1 12.9 -2.8 7.0 -2.0 2.7 2.7 14.7 -10.0 2.8 -20.0 -2.0 -20.0 1.7 -17.6 CORN -20.0 17.2 -1.6 -0.4 0.6 -1.6 0.8 -1.7 0.7 -0.2 -4.0 -6.2 -4.4 -5.7 -4.2 -3.7 8.9 -0.6 4.4 -3.8 -2.8 -7.4 -2.0 -6.9 -6.8 -0.0 -0.6 -0.9 -1.3 -1.2 -0.6 1.8 -13.6 -8.6 11.6 -0.1 -3.5 16.5 -0.2 20.0 COTTON2 -4.7 4.2 8.8 -0.7 0.9 -2.5 1.3 -2.7 1.1 7.1 0.9 7.9 -8.5 3.8 4.4 8.2 6.5 6.4 4.5 1.1 -1.0 3.9 -4.0 2.1 -17.9 0.5 3.3 -0.2 3.2 -0.4 1.5 -1.8 11.8 -8.0 2.2 9.3 -20.0 -17.9 4.6 7.1 CRUDE_W 12.1 3.1 -6.6 0.7 13.6 -3.0 11.0 -1.9 5.8 17.4 -5.3 18.2 -10.7 13.6 -3.2 5.0 8.2 5.6 6.4 3.1 -4.2 20.0 -3.2 15.2 -5.5 4.1 15.7 0.9 12.4 1.3 8.2 -9.6 5.2 13.2 10.0 15.9 9.4 12.9 10.7 3.2 DAX -13.1 -12.9 0.9 3.6 12.1 4.8 6.1 4.2 3.2 12.0 13.5 -1.4 15.0 -3.3 6.6 -8.1 -6.3 -8.1 -7.6 0.3 8.4 3.6 12.6 -3.0 15.4 -0.4 9.6 4.0 0.3 5.9 -2.8 -3.6 -15.5 -16.1 -13.6 -7.5 15.2 -2.2 20.0 1.6 DOW 0.4 8.4 4.4 3.5 11.7 4.6 5.9 4.0 3.1 11.9 6.1 6.6 6.7 11.0 12.2 -9.7 -6.3 -9.0 -8.0 6.8 5.3 7.8 3.4 6.9 -8.4 5.2 6.2 3.9 5.4 2.8 5.6 -4.0 -2.6 12.2 11.2 0.5 -4.2 -3.2 -20.0 -1.4 EUR 10.0 0.2 1.9 4.2 14.1 2.8 9.9 1.2 6.4 15.0 10.4 14.6 6.4 11.6 5.3 -6.4 -6.8 -6.6 -6.7 6.7 4.9 20.0 2.5 13.8 13.4 3.4 16.6 2.5 11.2 1.1 6.5 -7.4 -6.6 -0.9 -6.6 -5.5 -5.5 -20.0 0.9 16.4 EURIBOR-ICE -5.1 -9.8 4.8 -1.9 2.7 -1.4 -0.6 -1.9 -2.0 4.6 -4.3 -1.2 -6.5 -5.3 -5.2 -12.4 -7.4 -10.7 -9.4 -6.1 -5.3 -0.3 -7.6 -5.5 16.2 -2.1 3.1 -1.6 -0.2 -2.5 -2.0 -13.4 2.1 -2.8 -6.2 1.1 -20.0 -20.0 20.0 3.3 EUROSTX -6.5 -10.9 -0.3 3.7 12.5 4.9 6.3 4.3 3.4 11.9 16.4 5.2 17.2 3.3 11.8 -4.8 0.5 -4.0 -1.9 3.5 10.3 5.3 15.0 1.0 4.6 1.6 10.2 5.7 1.4 8.0 -0.6 7.5 -19.8 -4.3 -8.8 -6.0 17.8 -0.2 20.0 5.0 FEEDCOW 7.0 -4.7 14.3 -1.2 1.5 -4.4 2.2 -4.7 1.9 -3.1 17.5 13.7 16.6 14.1 16.2 -20.0 -20.0 -20.0 -20.0 20.0 20.0 13.5 20.0 20.0 7.1 7.2 0.5 8.0 4.7 7.2 6.4 -20.0 16.1 20.0 20.0 20.0 -1.7 -20.0 11.4 -16.1 GASOIL 13.8 17.8 -12.4 0.6 11.2 -2.5 9.0 -1.6 4.8 14.4 -8.5 14.6 -5.1 13.7 2.8 5.4 15.0 6.0 9.9 5.2 -5.7 20.0 -3.6 15.6 10.0 2.4 9.3 -1.9 9.0 -2.3 6.5 0.0 5.2 11.1 8.6 0.6 -6.1 4.1 -8.7 -4.5 GASOLINE 9.4 7.0 -4.1 0.8 14.8 -3.2 11.9 -2.1 6.3 19.0 8.3 19.2 -5.5 17.7 7.0 20.0 20.0 20.0 20.0 10.4 4.7 20.0 7.0 19.6 -20.0 6.5 12.1 4.3 10.5 4.9 8.6 20.0 4.5 19.2 20.0 20.0 8.9 12.1 12.1 -3.4 GAS_US_mini 10.5 20.0 4.7 0.5 10.2 -2.2 8.2 -1.4 4.3 -9.6 -14.2 -5.6 -14.5 3.6 -2.2 0.7 -12.7 -10.8 -14.0 -2.7 -19.1 -3.5 -20.0 0.5 15.1 2.0 -3.5 -1.6 -1.0 -3.3 2.0 -20.0 -20.0 1.8 2.4 2.0 3.1 17.3 0.7 1.9 GBP 5.1 7.7 12.6 5.0 16.8 3.4 11.8 1.4 7.6 18.0 18.5 18.3 8.3 17.1 17.6 0.9 -1.1 -0.2 -0.8 18.0 15.2 20.0 7.7 20.0 -1.0 6.4 15.8 4.8 11.7 1.4 8.2 2.4 1.7 -1.8 6.1 8.0 5.2 10.1 11.3 20.0 GOLD_micro -5.2 -19.7 -2.2 3.1 20.0 3.2 11.9 2.8 5.4 18.5 3.8 4.5 7.0 -10.1 -11.9 -15.6 -11.4 -14.3 -13.0 -11.9 -1.2 12.6 7.9 -5.6 -12.0 -1.9 13.0 0.8 8.5 3.8 1.7 -15.7 7.7 -7.5 -20.0 -9.7 -20.0 -20.0 -6.7 -20.0 HEATOIL 16.4 14.6 -13.7 0.7 13.7 -3.0 11.1 -1.9 5.9 17.6 -11.8 18.6 -7.3 16.9 2.0 3.7 16.8 4.6 9.7 5.7 -8.2 20.0 -5.3 20.0 -20.0 4.5 9.1 0.2 9.2 0.6 7.9 1.4 5.1 20.0 20.0 7.8 -5.3 3.0 -9.3 2.4 JGB-SGX-mini 6.4 8.6 20.0 -2.6 -4.3 -2.1 -3.3 -3.5 -3.0 -7.7 10.7 3.6 8.6 6.8 10.2 6.8 20.0 12.1 17.3 12.5 14.2 3.2 10.0 8.6 2.1 4.1 -1.4 3.9 1.2 1.7 3.1 20.0 7.3 20.0 19.5 20.0 -19.7 -5.3 9.7 9.7 JPY 9.7 -10.7 -17.2 3.0 10.2 2.1 7.2 0.8 4.6 10.9 -8.8 6.8 -8.9 -2.7 -10.0 -16.5 -13.0 -16.0 -14.8 -11.8 -13.5 17.0 -12.9 -0.0 20.0 -2.8 8.0 -3.1 5.0 -3.0 0.2 -19.7 3.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 15.8 20.0 -9.1 -0.9 1.2 -3.4 1.7 -3.7 1.5 13.0 -7.4 13.3 -10.6 14.4 3.8 20.0 -7.7 20.0 5.8 3.0 -12.7 13.8 -18.1 13.2 12.7 -3.3 3.5 -7.8 2.9 -8.4 1.2 -18.5 4.6 -3.0 -6.6 -20.0 -5.0 3.6 17.8 20.0 LIVECOW 9.3 17.8 17.9 -1.4 1.9 -5.4 2.7 -5.7 2.3 8.4 20.0 18.4 20.0 20.0 20.0 -0.3 11.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 10.0 9.0 2.7 7.7 6.1 5.9 8.4 20.0 20.0 20.0 20.0 20.0 -20.0 -20.0 -17.3 -20.0 LUMBER-new 15.5 16.5 2.3 -1.5 2.0 -5.1 2.8 -4.7 2.4 14.5 -14.6 18.2 -20.0 19.5 8.9 -5.3 -12.2 -10.7 -11.9 12.3 -0.6 20.0 -6.6 20.0 NaN 5.9 8.2 1.1 11.3 -1.1 10.2 -20.0 20.0 16.8 20.0 11.8 -20.0 -20.0 -20.0 -20.0 MILK -5.5 -8.2 -15.2 -0.7 0.9 -2.7 1.3 -2.8 1.1 6.1 -12.4 -7.4 -12.3 -10.2 -11.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -7.3 -19.3 -19.5 -6.7 -4.4 0.6 -3.9 -1.3 -3.0 -3.5 -20.0 -5.5 -20.0 -20.0 -20.0 -20.0 -20.0 -14.2 -20.0 MXP -3.5 11.2 18.6 5.8 19.5 3.9 13.7 1.6 8.8 20.0 20.0 20.0 20.0 20.0 20.0 18.8 17.7 18.6 17.9 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 8.0 9.8 6.2 9.9 6.8 20.0 -20.0 -13.5 17.4 20.0 20.0 5.0 20.0 20.0 NASDAQ_micro -6.2 20.0 20.0 2.9 9.6 3.8 4.9 3.3 2.6 11.5 14.4 11.2 6.0 13.4 14.2 -10.5 -7.1 -9.9 -8.8 20.0 20.0 16.0 17.0 19.7 -20.0 5.4 4.2 5.5 3.0 3.8 3.8 -5.2 10.9 14.1 20.0 20.0 -7.1 -9.0 -13.3 -10.8 NIKKEI 6.7 20.0 20.0 4.0 9.9 5.2 4.5 4.3 2.7 13.9 18.6 12.7 16.7 16.1 18.2 14.8 11.1 12.2 11.4 20.0 20.0 16.8 20.0 20.0 -3.7 6.7 2.6 6.1 2.5 3.8 4.7 20.0 1.2 20.0 20.0 20.0 9.7 4.0 6.1 10.5 NZD 7.5 1.9 -1.2 3.0 10.0 2.0 7.1 0.8 4.5 10.6 -1.5 9.1 -1.0 4.9 -0.0 0.3 0.6 0.5 0.5 1.7 -0.8 14.1 -2.3 6.9 0.1 1.1 13.4 -0.0 8.3 -0.9 4.0 5.1 -1.9 -9.4 -11.1 -10.5 0.4 -13.4 11.7 10.2 OAT -5.9 0.9 4.2 -2.2 3.2 -1.7 -0.6 -2.2 -2.3 1.6 -4.1 -4.0 -7.1 -4.1 -3.4 6.0 9.6 7.7 8.7 -3.3 -3.2 -3.4 -7.0 -4.8 7.1 -1.5 2.7 -0.8 -2.0 -2.6 -2.7 17.3 -6.4 1.0 4.3 4.2 -20.0 -20.0 -1.0 0.2 OATIES 7.9 20.0 20.0 -1.0 1.3 -3.6 1.8 -3.9 1.6 -0.1 8.2 5.9 -10.9 13.8 13.7 -13.4 1.3 -9.9 -5.7 20.0 12.5 10.5 1.0 20.0 -20.0 4.5 -2.3 2.1 0.3 -0.0 3.7 -14.4 -10.1 12.5 20.0 20.0 6.6 20.0 17.6 20.0 OJ 3.8 0.1 2.6 -1.1 1.5 -4.2 2.1 -4.4 1.8 14.0 15.2 14.9 17.2 10.1 12.0 18.6 17.7 18.8 19.2 16.3 20.0 15.8 20.0 14.1 -20.0 5.7 2.0 11.4 2.3 16.8 2.7 20.0 -5.5 -6.2 20.0 20.0 13.8 6.9 20.0 16.8 PALLAD -13.1 -19.2 -3.2 1.6 11.4 1.7 6.1 1.4 2.8 8.6 -10.6 -5.8 -10.6 -8.9 -9.7 -3.5 -2.5 -3.2 -2.9 -15.4 -17.2 -1.1 -19.4 -10.9 -5.3 -3.4 2.3 -2.9 -0.5 -2.8 -2.9 0.6 -12.5 -20.0 -19.6 -10.3 -16.3 0.7 -0.5 2.3 PLAT -9.1 -20.0 -5.6 1.9 13.6 2.0 7.3 1.7 3.4 11.2 -6.3 0.8 0.7 -8.4 -9.5 -3.0 -1.7 -2.5 -2.2 -12.2 -6.9 7.7 -1.2 -7.2 12.1 -2.7 8.3 -1.4 3.5 -0.1 -1.1 1.9 5.8 -15.8 -20.0 -8.0 -1.3 -14.4 6.0 -9.5 REDWHEAT 0.5 2.3 3.1 -0.8 1.0 -2.9 1.5 -3.1 1.3 -5.3 -1.3 -5.8 -10.2 -2.5 2.2 -0.2 4.1 2.8 4.3 -0.3 -2.0 -4.0 -3.6 -1.3 -12.6 -0.5 -3.6 -0.6 -4.3 -0.5 -2.4 -2.9 -20.0 -8.0 -0.8 8.6 -20.0 -15.4 -3.8 -7.3 RICE -7.5 7.5 -1.9 -1.0 1.3 -3.8 1.9 -4.0 1.6 7.1 -6.0 -10.9 -3.9 -0.1 3.0 12.8 20.0 20.0 20.0 -3.3 -4.3 -4.7 -3.3 -5.7 -20.0 -1.2 3.9 -1.5 -2.5 -1.6 -3.3 20.0 -9.0 -20.0 -0.3 13.4 -10.7 -20.0 -0.8 -20.0 ROBUSTA -20.0 -9.0 16.9 -0.8 1.1 -3.0 1.5 -3.2 1.3 -4.4 11.0 -8.4 10.4 -4.5 7.7 20.0 12.7 20.0 16.4 7.4 16.0 -7.8 15.4 -4.1 -8.9 2.6 -1.7 5.3 -2.1 4.9 -1.0 13.8 -17.3 -20.0 13.5 20.0 -8.9 -20.0 2.7 -16.0 RUSSELL 4.2 19.8 6.0 2.9 9.8 3.8 4.9 3.4 2.6 12.8 -1.6 11.7 -5.6 11.8 9.1 -6.2 -4.7 -6.0 -5.6 9.9 3.8 17.3 -2.3 13.4 -0.9 4.2 7.2 2.1 6.5 0.6 5.7 -0.5 13.9 16.6 20.0 -6.3 -5.5 -6.5 -19.5 -8.2 SHATZ -6.8 -18.1 -15.6 -2.0 2.8 -1.5 -0.6 -1.9 -2.0 4.3 -5.3 -2.6 -6.7 -6.6 -6.4 -5.8 1.3 -2.8 -1.7 -9.6 -8.9 -2.1 -11.0 -8.1 11.2 -2.4 1.8 -2.1 -0.5 -2.7 -2.1 1.0 1.7 -4.2 -8.0 -2.5 -20.0 -20.0 -20.0 -20.0 SILVER-mini 0.5 -11.8 -2.2 2.6 18.4 2.7 9.9 2.3 4.5 15.0 2.2 7.7 3.7 0.9 -4.8 -6.6 -5.2 -6.4 -6.0 -3.5 -0.3 17.9 2.7 3.0 7.3 0.6 17.4 1.0 9.8 1.0 3.8 -4.4 8.2 -3.0 -4.8 1.6 -11.7 -20.0 -2.5 -20.0 SMI -15.6 -18.0 7.4 3.5 11.7 4.6 5.9 4.0 3.1 -4.7 7.4 -10.4 2.3 -13.3 3.1 -3.0 2.4 -2.4 -0.2 -7.4 1.8 -12.7 4.4 -14.4 2.2 -3.2 -1.4 -0.4 -5.8 -0.5 -6.0 10.6 -20.0 -20.0 -20.0 -5.6 -7.0 -11.4 -11.7 -17.1 SOFR -8.9 -15.3 1.5 -2.2 3.1 -1.6 -0.6 -2.1 -2.2 6.6 -0.2 1.3 -1.6 -3.8 -3.4 -2.4 -0.4 -1.2 -0.8 -5.1 -2.3 1.9 -2.0 -4.9 -1.3 -2.1 4.6 -0.9 1.0 -0.5 -1.7 0.2 8.2 -0.0 -6.9 4.7 -20.0 -20.0 -7.7 -0.4 SOYBEAN 12.7 20.0 -1.5 -0.4 0.6 -1.7 0.8 -1.8 0.7 5.4 -0.1 4.3 -2.8 5.4 3.8 10.2 20.0 14.2 18.6 4.1 0.0 4.9 -1.3 6.3 -15.5 1.5 1.0 0.0 1.5 -0.4 2.2 20.0 11.9 14.8 20.0 3.1 -7.2 20.0 -2.1 20.0 SOYMEAL 5.1 5.1 -20.0 -0.4 0.6 -1.7 0.9 -1.8 0.7 5.0 -2.0 -2.3 1.5 -1.8 -3.1 19.4 20.0 20.0 20.0 -0.9 -1.4 1.6 0.8 0.8 -16.2 1.2 1.2 0.4 1.5 0.9 2.0 20.0 5.3 15.5 9.0 0.3 -7.8 -20.0 -2.0 -18.3 SOYOIL 20.0 20.0 5.0 -0.4 0.6 -1.6 0.8 -1.7 0.7 5.6 -1.4 5.9 -3.4 6.5 5.0 12.9 10.0 9.5 8.1 7.3 1.1 8.0 -1.6 10.3 -20.0 1.9 1.0 0.3 1.5 -0.4 2.3 4.6 10.4 10.1 20.0 6.8 4.8 8.0 16.3 20.0 SP400 13.7 20.0 3.7 3.1 10.3 4.0 5.2 3.5 2.8 13.6 1.2 13.8 1.4 14.2 10.9 -4.7 -4.3 -5.0 -4.9 14.6 6.8 20.0 1.7 20.0 -9.6 4.5 6.6 2.0 6.8 0.9 6.5 0.5 18.9 20.0 20.0 -5.5 -3.7 -8.0 -12.0 -9.3 SP500_micro 3.2 20.0 20.0 4.1 13.7 5.4 6.9 4.7 3.7 16.7 19.6 15.6 4.7 18.3 19.6 -12.2 -7.6 -10.9 -9.3 20.0 20.0 20.0 14.5 20.0 -17.6 7.5 7.0 6.2 6.0 3.7 6.9 -6.0 16.2 20.0 20.0 20.0 -4.9 -8.0 -10.1 -9.8 SUGAR11 -20.0 -20.0 4.5 -0.8 1.1 -3.1 1.6 -3.3 1.4 12.5 9.0 -2.4 10.9 -4.0 3.7 -0.0 16.4 4.4 11.1 -0.9 11.6 1.1 17.2 -6.2 -20.0 0.4 2.4 5.2 0.0 7.5 -1.9 14.6 13.8 -20.0 -14.3 20.0 -20.0 -18.9 8.5 -9.3 US10 -5.6 -15.2 -3.2 -2.0 2.8 -1.5 -0.6 -2.0 -2.0 6.0 -3.2 0.0 -5.7 -4.7 -5.4 -9.0 -6.2 -9.0 -8.4 -7.1 -5.2 0.5 -5.7 -5.8 0.6 -2.3 3.5 -1.4 0.6 -1.2 -1.7 -11.6 7.6 0.1 -7.4 -1.4 -20.0 -20.0 12.2 2.8 US10U -5.5 -10.8 -1.9 -2.7 3.9 -2.1 -0.8 -2.7 -2.8 7.6 -3.7 -0.5 -7.4 -6.1 -7.3 2.3 -0.2 -0.3 -1.0 -8.0 -6.1 -0.1 -7.6 -7.0 -3.9 -3.1 5.0 -1.9 0.8 -1.6 -2.2 -0.0 8.7 2.1 -6.5 -1.4 -20.0 -20.0 19.4 16.5 US2 -2.8 -20.0 -19.2 -1.9 2.7 -1.4 -0.6 -1.9 -2.0 5.8 -5.3 0.3 -6.2 -5.8 -6.6 -20.0 -18.0 -20.0 -20.0 -12.2 -10.3 1.6 -9.8 -8.2 7.0 -2.4 2.5 -1.8 0.4 -1.9 -1.6 -20.0 10.0 -3.4 -14.5 -6.8 -20.0 -15.6 -20.0 -11.1 US20 -5.5 -7.4 -1.8 -2.2 3.1 -1.7 -0.6 -2.2 -2.3 5.3 -2.0 -1.7 -4.8 -4.5 -5.7 -1.3 -1.3 -1.4 -1.7 -5.7 -4.5 -1.4 -6.1 -5.5 -4.0 -2.5 3.9 -1.6 0.4 -1.5 -1.9 -1.4 6.0 2.0 -1.8 -0.3 -20.0 -20.0 18.7 17.5 US30 -4.7 -3.0 -1.4 -2.7 3.8 -2.0 -0.8 -2.6 -2.7 2.7 -4.7 -3.6 -6.9 -5.2 -7.6 -1.9 -0.8 -1.1 -1.0 -5.9 -5.5 -3.2 -8.9 -5.9 -3.7 -3.1 3.7 -2.1 -0.5 -2.2 -2.8 -0.3 3.1 1.8 1.8 -0.3 -20.0 -20.0 20.0 20.0 US5 -3.8 -18.1 -5.4 -1.9 2.8 -1.5 -0.6 -1.9 -2.0 5.9 -3.6 0.8 -5.7 -4.7 -5.4 -13.3 -7.9 -12.5 -10.9 -7.6 -5.8 1.9 -6.1 -5.6 2.9 -2.2 3.5 -1.5 0.8 -1.3 -1.5 -15.0 9.3 -0.5 -9.3 -2.2 -20.0 -20.0 5.0 -13.2 VIX -4.5 -20.0 -20.0 -6.9 -3.6 -6.6 -3.9 -5.9 -5.6 -19.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -8.3 -3.8 -7.7 -4.4 -6.9 -6.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -3.9 20.0 6.9 -0.5 0.6 -1.8 0.9 -1.9 0.8 -4.8 -5.1 -6.6 -7.6 -2.9 -2.2 -9.2 -8.8 -10.2 -10.1 -1.7 -4.3 -5.8 -6.3 -3.1 -4.0 -0.3 -1.8 -1.1 -2.3 -1.5 -1.1 -20.0 -18.5 -6.5 5.5 -0.5 -16.7 -17.9 -7.7 -8.8 End of report for caleb_strategy_v3