******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230717_204326 produced at 2023-07-17 21:38:37.676421 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.30 -0.76 0.0 1.00 -1.00 -0.30 -0.20 -7.61 10.0 -3 -2 caleb_strategy_v3 US2 False True 0.07 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -4.09 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -3.19 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -29.85 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.15 0.0 0.40 -0.40 -0.04 -0.05 -20.70 56.0 -5 -7 caleb_strategy_v3 JPY False False 0.03 -0.33 -0.14 0.0 0.57 -0.57 -0.33 -0.33 -4.19 17.0 -10 -10 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -2.75 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.16 -0.08 0.0 0.99 -0.99 -0.16 -0.16 -2.13 25.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.07 0.0 0.70 -0.70 -0.16 -0.16 -1.31 13.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.07 0.0 0.06 -0.06 -0.04 -0.04 -28.37 26.0 -18 -19 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.06 0.0 0.90 -0.90 -0.05 -0.05 -1.30 19.0 -1 -1 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 COPPER False False 0.04 0.00 -0.04 0.0 0.21 -0.21 0.00 0.00 -1.09 6.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.33 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 -0.93 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 -0.43 9.0 0 0 caleb_strategy_v3 AUD False False 0.03 0.00 -0.02 0.0 0.48 -0.48 0.00 0.00 -0.67 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.39 -0.01 0.0 0.56 -0.56 -0.39 -0.39 -0.23 13.0 -9 -9 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.35 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.11 -0.01 0.0 0.18 -0.18 -0.11 -0.11 -0.32 10.0 -6 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.10 2.0 0 0 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.22 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 -0.18 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 -0.98 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -1.05 9.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.47 6.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.06 -0.01 0.0 0.81 -0.81 -0.06 -0.06 -0.53 29.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 -0.10 -0.01 0.0 0.39 -0.39 -0.10 -0.10 -0.99 58.0 -15 -15 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 2.48 59.0 0 0 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 CORN False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.00 12.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.00 0.0 0.42 -0.42 0.00 0.00 0.26 66.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.00 0.0 0.17 -0.17 0.02 0.02 0.13 11.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 0.00 -0.00 0.00 0.00 -0.07 0.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.21 -0.21 0.03 0.03 1.44 23.0 3 3 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.01 0.0 0.18 -0.18 0.05 0.05 0.57 7.0 2 2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.67 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.50 10.0 1 1 caleb_strategy_v3 COCOA False False 0.01 0.02 0.01 0.0 0.32 -0.32 0.02 0.02 0.50 26.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.07 0.01 0.0 0.27 -0.27 0.07 0.07 1.18 23.0 6 6 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.18 -0.18 0.02 0.02 0.95 18.0 2 2 caleb_strategy_v3 EUR False False 0.05 0.15 0.01 0.0 0.72 -0.72 0.15 0.15 0.19 14.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.02 0.0 0.16 -0.16 -0.01 -0.01 1.37 13.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.25 -0.25 0.00 0.00 5.36 68.0 0 1 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.55 -0.55 0.05 0.05 0.34 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.02 0.0 0.49 -0.49 0.02 0.02 0.77 21.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.40 -0.40 0.03 0.02 3.15 48.0 3 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.91 12.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.33 2.0 2 2 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 3.02 4.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.20 0.03 0.0 0.36 -0.36 0.20 0.20 1.72 20.0 11 11 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.94 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.12 -0.12 0.00 0.00 1.05 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 1.51 4.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.13 -0.13 0.05 0.05 2.04 5.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.05 0.0 0.23 -0.23 0.00 0.00 11.93 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 1.29 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.53 -0.53 0.00 0.00 1.39 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.24 0.10 0.0 0.66 -0.66 0.24 0.24 3.22 22.0 8 8 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.11 0.0 0.14 -0.14 0.14 0.14 2.92 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.13 0.18 0.0 0.45 -0.45 0.13 0.13 6.90 17.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.39 0.0 0.31 -0.31 0.30 0.30 45.30 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.64 0.95 0.0 0.65 -0.65 0.64 0.64 87.99 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.62 1.71 0.0 0.62 -0.62 0.62 0.62 43.92 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.3 Shocked risk 63.7 Sum abs risk 54.9 Leverage 6.09 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 0.6838 0.7414 11.8631 BITCOIN 825.2763 29870.0000 2.7629 44.2063 BOBL 0.3130 115.6600 0.2706 4.3302 BTP 0.7261 115.4200 0.6291 10.0652 BUND 0.6332 133.1700 0.4755 7.6079 BUXL 1.3778 136.6000 1.0086 16.1383 CAC 66.1504 7321.5000 0.9035 14.4561 CAD 0.0034 0.7590 0.4466 7.1459 CANOLA 9.1080 820.4000 1.1102 17.7631 CHF 0.0059 1.1704 0.4999 7.9983 COCOA 42.0617 3368.0000 1.2489 19.9818 COFFEE 2.9637 155.1500 1.9102 30.5632 COPPER 0.0467 3.8460 1.2135 19.4161 CORN 11.9558 506.0000 2.3628 37.8048 COTTON2 1.3267 82.3600 1.6109 25.7746 CRUDE_W 1.1363 73.3800 1.5485 24.7767 DAX 131.8404 16196.0000 0.8140 13.0245 DOW 197.2738 34767.0000 0.5674 9.0787 EUR 0.0055 1.1280 0.4862 7.7800 EURIBOR-ICE 0.0644 97.0050 0.0664 1.0622 EUROSTX 42.3167 4388.0000 0.9644 15.4300 FEEDCOW 1.8066 252.2750 0.7161 11.4579 GASOIL 11.7615 738.0000 1.5937 25.4992 GASOLINE 0.0375 2.3420 1.5998 25.5973 GAS_US_mini 0.0913 2.5150 3.6320 58.1119 GBP 0.0070 1.3085 0.5370 8.5919 GOLD_micro 11.7237 1960.0000 0.5981 9.5704 HEATOIL 0.0363 2.5516 1.4227 22.7634 JGB-SGX-mini 0.2370 147.2800 0.1609 2.5749 JPY 0.0000 0.0073 0.6386 10.2181 LEANHOG 1.1829 82.3500 1.4364 22.9829 LIVECOW 1.1577 182.4750 0.6344 10.1508 LUMBER-new 10.5101 584.5000 1.7981 28.7702 MILK 0.2597 16.2700 1.5960 25.5360 MXP 0.0004 0.0590 0.5945 9.5127 NASDAQ_micro 118.2685 15839.0000 0.7467 11.9471 NIKKEI 303.6073 32330.0000 0.9391 15.0254 NZD 0.0049 0.6334 0.7661 12.2581 OAT 0.6493 127.7100 0.5084 8.1346 OATIES 7.0471 422.7500 1.6670 26.6715 OJ 3.9182 274.9000 1.4253 22.8054 PALLAD 23.2716 1284.0000 1.8124 28.9989 PLAT 14.2705 988.0000 1.4444 23.1101 REDWHEAT 13.9633 818.7500 1.7054 27.2870 RICE 0.1646 15.3200 1.0741 17.1860 ROBUSTA 38.4438 2549.0000 1.5082 24.1311 RUSSELL 19.4552 1969.3000 0.9879 15.8068 SHATZ 0.0993 104.8500 0.0947 1.5153 SILVER-mini 0.3603 25.3250 1.4228 22.7644 SMI 80.2050 11016.0000 0.7281 11.6492 SOFR 0.0858 96.7500 0.0886 1.4183 SOYBEAN 21.4418 1376.0000 1.5583 24.9323 SOYMEAL 7.3793 408.4000 1.8069 28.9102 SOYOIL 1.1604 60.3400 1.9231 30.7695 SP400 21.9624 2713.1000 0.8095 12.9519 SP500_micro 24.6604 4558.2500 0.5410 8.6561 SUGAR11 0.3778 23.7600 1.5899 25.4378 US10 0.4918 112.6719 0.4365 6.9841 US10U 0.6355 118.5625 0.5360 8.5755 US2 0.1387 101.9180 0.1361 2.1777 US20 0.8428 126.4375 0.6666 10.6656 US30 1.2065 134.5000 0.8970 14.3521 US5 0.3409 107.6484 0.3167 5.0674 VIX 0.4653 17.0000 2.7371 43.7940 WHEAT 13.7610 673.2500 2.0440 32.7033 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 683.80 0.74 507.00 1.00 507.00 46875.0 92.46 -2.24 -20.70 BITCOIN 29.87 2.76 82.53 1.00 82.53 46875.0 567.99 0.36 20.63 BOBL 1156.60 0.27 313.02 1.12 351.27 46875.0 133.44 -10.52 -140.39 BTP 1154.20 0.63 726.08 1.12 814.81 46875.0 57.53 7.21 41.49 BUND 1331.70 0.48 633.22 1.12 710.60 46875.0 65.97 5.59 36.88 BUXL 1366.00 1.01 1377.80 1.12 1546.17 46875.0 30.32 -0.52 -1.56 CAC 732.15 0.90 661.50 1.12 742.34 46875.0 63.14 4.39 27.71 CAD 758.95 0.45 338.96 1.00 338.96 46875.0 138.29 -1.18 -16.25 CANOLA 164.08 1.11 182.16 0.76 139.02 46875.0 337.19 16.89 569.56 CHF 1463.06 0.50 731.38 1.00 731.38 46875.0 64.09 -6.29 -40.33 COCOA 336.80 1.25 420.62 1.00 420.62 46875.0 111.44 2.41 26.91 COFFEE 581.81 1.91 1111.38 1.00 1111.38 46875.0 42.18 -11.08 -46.74 COPPER 961.50 1.21 1166.78 1.00 1166.78 46875.0 40.17 -2.26 -9.08 CORN 253.00 2.36 597.79 1.00 597.79 46875.0 78.41 -0.02 -0.12 COTTON2 411.80 1.61 663.37 1.00 663.37 46875.0 70.66 0.96 6.80 CRUDE_W 733.80 1.55 1136.32 1.00 1136.32 46875.0 41.25 4.04 16.65 DAX 161.96 0.81 131.84 1.12 147.95 46875.0 316.83 -0.95 -30.16 DOW 173.84 0.57 98.64 1.00 98.64 46875.0 475.23 0.25 11.80 EUR 1410.06 0.49 685.64 1.00 685.64 46875.0 68.37 0.85 5.79 EURIBOR-ICE 2425.12 0.07 161.01 1.12 180.68 46875.0 259.44 -9.40 -243.99 EUROSTX 438.80 0.96 423.17 1.12 474.88 46875.0 98.71 5.32 52.51 FEEDCOW 1261.38 0.72 903.29 1.00 903.29 46875.0 51.89 -5.24 -27.17 GASOIL 738.00 1.59 1176.15 1.00 1176.15 46875.0 39.85 7.73 30.82 GASOLINE 983.64 1.60 1573.66 1.00 1573.66 46875.0 29.79 20.00 59.57 GAS_US_mini 62.88 3.63 228.36 1.00 228.36 46875.0 205.27 -11.28 -231.62 GBP 817.81 0.54 439.16 1.00 439.16 46875.0 106.74 9.28 99.02 GOLD_micro 196.00 0.60 117.24 1.00 117.24 46875.0 399.83 -13.67 -546.48 HEATOIL 1071.67 1.42 1524.68 1.00 1524.68 46875.0 30.74 6.97 21.44 JGB-SGX-mini 147280.00 0.16 23702.07 0.01 171.99 46875.0 272.55 12.33 336.09 JPY 910.50 0.64 581.47 1.00 581.47 46875.0 80.61 -15.98 -128.81 LEANHOG 329.40 1.44 473.16 1.00 473.16 46875.0 99.07 2.21 21.85 LIVECOW 729.90 0.63 463.07 1.00 463.07 46875.0 101.23 20.00 202.45 LUMBER-new 160.74 1.80 289.03 1.00 289.03 46875.0 162.18 -3.33 -53.96 MILK 325.40 1.60 519.34 1.00 519.34 46875.0 90.26 -20.00 -180.52 MXP 294.80 0.59 175.27 1.00 175.27 46875.0 267.44 20.00 534.88 NASDAQ_micro 316.78 0.75 236.54 1.00 236.54 46875.0 198.17 2.66 52.69 NIKKEI 32330.00 0.94 30360.73 0.01 220.31 46875.0 212.77 16.29 346.62 NZD 633.40 0.77 485.27 1.00 485.27 46875.0 96.60 2.45 23.64 OAT 1277.10 0.51 649.30 1.12 728.64 46875.0 64.33 6.91 44.47 OATIES 211.38 1.67 352.36 1.00 352.36 46875.0 133.03 -3.96 -52.73 OJ 412.35 1.43 587.74 1.00 587.74 46875.0 79.76 20.00 159.51 PALLAD 1284.00 1.81 2327.16 1.00 2327.16 46875.0 20.14 -9.22 -18.58 PLAT 494.00 1.44 713.52 1.00 713.52 46875.0 65.70 -1.28 -8.39 REDWHEAT 409.38 1.71 698.16 1.00 698.16 46875.0 67.14 -4.51 -30.28 RICE 306.40 1.07 329.11 1.00 329.11 46875.0 142.43 10.12 144.15 ROBUSTA 254.90 1.51 384.44 1.00 384.44 46875.0 121.93 11.76 143.36 RUSSELL 98.46 0.99 97.28 1.00 97.28 46875.0 481.88 3.49 168.41 SHATZ 1048.50 0.09 99.30 1.12 111.44 46875.0 420.64 -7.06 -296.90 SILVER-mini 633.12 1.42 900.79 1.00 900.79 46875.0 52.04 -0.36 -1.88 SMI 1101.60 0.73 802.05 1.17 934.43 46875.0 50.16 -2.65 -13.30 SOFR 2418.75 0.09 214.41 1.00 214.41 46875.0 218.62 -2.51 -54.98 SOYBEAN 688.00 1.56 1072.09 1.00 1072.09 46875.0 43.72 16.18 70.74 SOYMEAL 408.40 1.81 737.93 1.00 737.93 46875.0 63.52 13.10 83.21 SOYOIL 362.04 1.92 696.24 1.00 696.24 46875.0 67.33 9.25 62.28 SP400 2713.10 0.81 2196.24 1.00 2196.24 46875.0 21.34 4.81 10.27 SP500_micro 227.91 0.54 123.30 1.00 123.30 46875.0 380.16 3.71 141.12 SUGAR11 266.11 1.59 423.08 1.00 423.08 46875.0 110.79 4.70 52.04 US10 1126.72 0.44 491.82 1.00 491.82 46875.0 95.31 -9.82 -93.62 US10U 1185.62 0.54 635.46 1.00 635.46 46875.0 73.77 -2.60 -19.20 US2 2038.36 0.14 277.43 1.00 277.43 46875.0 168.96 -20.00 -337.92 US20 1264.38 0.67 842.83 1.00 842.83 46875.0 55.62 -3.28 -18.25 US30 1345.00 0.90 1206.47 1.00 1206.47 46875.0 38.85 -3.85 -14.94 US5 1076.48 0.32 340.94 1.00 340.94 46875.0 137.49 -12.79 -175.86 VIX 170.00 2.74 465.31 1.00 465.31 46875.0 100.74 -20.00 -201.48 WHEAT 336.62 2.04 688.05 1.00 688.05 46875.0 68.13 -13.49 -91.90 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -20.696 0.013 2.5 -0.673 BITCOIN 20.632 0.048 2.5 2.481 BOBL -140.392 0.004 2.5 -1.302 BTP 41.490 0.012 2.5 1.294 BUND 36.876 0.004 2.5 0.342 BUXL -1.564 0.004 2.5 -0.015 CAC 27.713 0.013 2.5 0.905 CAD -16.251 0.013 2.5 -0.528 CANOLA 569.563 0.008 2.5 11.932 CHF -40.328 0.013 2.5 -1.311 COCOA 26.913 0.007 2.5 0.496 COFFEE -46.741 0.004 2.5 -0.470 COPPER -9.078 0.048 2.5 -1.092 CORN -0.120 0.008 2.5 -0.003 COTTON2 6.795 0.007 2.5 0.125 CRUDE_W 16.648 0.049 2.5 2.039 DAX -30.156 0.013 2.5 -0.985 DOW 11.798 0.009 2.5 0.263 EUR 5.791 0.013 2.5 0.188 EURIBOR-ICE -243.986 0.012 2.5 -7.611 EUROSTX 52.513 0.013 2.5 1.716 FEEDCOW -27.171 0.014 2.5 -0.926 GASOIL 30.823 0.020 2.5 1.511 GASOLINE 59.575 0.020 2.5 2.921 GAS_US_mini -231.616 0.049 2.5 -28.367 GBP 99.019 0.013 2.5 3.218 GOLD_micro -546.476 0.015 2.5 -20.700 HEATOIL 21.443 0.020 2.5 1.051 JGB-SGX-mini 336.094 0.052 2.5 43.920 JPY -128.813 0.013 2.5 -4.187 LEANHOG 21.847 0.025 2.5 1.366 LIVECOW 202.454 0.014 2.5 6.900 LUMBER-new -53.960 0.007 2.5 -0.976 MILK -180.518 0.007 2.5 -3.330 MXP 534.884 0.066 2.5 87.992 NASDAQ_micro 52.689 0.009 2.5 1.177 NIKKEI 346.624 0.052 2.5 45.296 NZD 23.645 0.013 2.5 0.769 OAT 44.472 0.012 2.5 1.387 OATIES -52.727 0.008 2.5 -1.105 OJ 159.510 0.007 2.5 2.943 PALLAD -18.575 0.015 2.5 -0.704 PLAT -8.394 0.015 2.5 -0.318 REDWHEAT -30.278 0.005 2.5 -0.346 RICE 144.149 0.008 2.5 3.020 ROBUSTA 143.356 0.004 2.5 1.442 RUSSELL 168.412 0.013 2.5 5.363 SHATZ -296.902 0.004 2.5 -2.753 SILVER-mini -1.884 0.015 2.5 -0.071 SMI -13.301 0.013 2.5 -0.435 SOFR -54.980 0.023 2.5 -3.192 SOYBEAN 70.743 0.003 2.5 0.567 SOYMEAL 83.206 0.003 2.5 0.666 SOYOIL 62.276 0.003 2.5 0.499 SP400 10.267 0.013 2.5 0.327 SP500_micro 141.124 0.009 2.5 3.151 SUGAR11 52.035 0.007 2.5 0.953 US10 -93.619 0.005 2.5 -1.133 US10U -19.197 0.005 2.5 -0.232 US2 -337.924 0.005 2.5 -4.090 US20 -18.245 0.005 2.5 -0.221 US30 -14.942 0.005 2.5 -0.181 US5 -175.862 0.005 2.5 -2.129 VIX -201.478 0.059 2.5 -29.854 WHEAT -91.899 0.005 2.5 -1.050 ===================== Position diags ===================== AUD 3.01 BITCOIN 68.31 BOBL 1.24 BTP 1.79 BUND 0.61 BUXL 0.28 CAC 2.06 CAD 4.49 CANOLA 7.06 CHF 2.08 COCOA 2.06 COFFEE 0.42 COPPER 4.83 CORN 1.64 COTTON2 1.30 CRUDE_W 5.05 DAX 10.35 DOW 10.61 EUR 2.22 EURIBOR-ICE 8.09 EUROSTX 3.22 FEEDCOW 1.77 GASOIL 1.95 GASOLINE 1.46 GAS_US_mini 25.14 GBP 3.47 GOLD_micro 15.15 HEATOIL 1.51 JGB-SGX-mini 35.62 JPY 2.62 LEANHOG 6.19 LIVECOW 3.45 LUMBER-new 2.93 MILK 1.67 MXP 44.00 NASDAQ_micro 4.43 NIKKEI 27.80 NZD 3.14 OAT 2.01 OATIES 2.79 OJ 1.47 PALLAD 0.76 PLAT 2.49 REDWHEAT 0.77 RICE 2.98 ROBUSTA 1.23 RUSSELL 15.34 SHATZ 3.90 SILVER-mini 1.97 SMI 1.64 SOFR 12.69 SOYBEAN 0.35 SOYMEAL 0.51 SOYOIL 0.54 SP400 0.68 SP500_micro 8.49 SUGAR11 2.03 US10 1.15 US10U 0.89 US2 2.05 US20 0.67 US30 0.47 US5 1.66 VIX 14.93 WHEAT 0.78 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.7 -1.0 -0.4 NaN 0 BITCOIN 2.5 -4.3 9.3 0.0 0 BOBL -1.3 -1.4 -1.2 -1.0 -1 BTP 1.3 1.1 1.5 4.0 4 BUND 0.3 0.3 0.4 1.0 1 BUXL -0.0 -0.0 0.0 NaN 0 CAC 0.9 0.7 1.1 NaN 0 CAD -0.5 -1.0 -0.1 -2.0 -2 CANOLA 11.9 11.2 12.6 NaN 0 CHF -1.3 -1.5 -1.1 -3.0 -3 COCOA 0.5 0.3 0.7 2.0 2 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -1.1 -1.6 -0.6 0.0 0 CORN -0.0 -0.2 0.2 0.0 0 COTTON2 0.1 -0.0 0.3 1.0 1 CRUDE_W 2.0 1.5 2.5 2.0 2 DAX -1.0 -2.0 0.0 -15.0 -15 DOW 0.3 -0.8 1.3 NaN 0 EUR 0.2 -0.0 0.4 3.0 3 EURIBOR-ICE -7.6 -8.4 -6.8 -3.0 -3 EUROSTX 1.7 1.4 2.0 11.0 11 FEEDCOW -0.9 -1.1 -0.7 NaN 0 GASOIL 1.5 1.3 1.7 1.0 1 GASOLINE 2.9 2.8 3.1 4.0 4 GAS_US_mini -28.4 -30.9 -25.9 -18.0 -18 GBP 3.2 2.9 3.6 8.0 8 GOLD_micro -20.7 -22.2 -19.2 -5.0 -5 HEATOIL 1.1 0.9 1.2 0.0 0 JGB-SGX-mini 43.9 40.4 47.5 16.0 16 JPY -4.2 -4.4 -3.9 -10.0 -10 LEANHOG 1.4 0.7 2.0 -1.0 -1 LIVECOW 6.9 6.6 7.2 5.0 5 LUMBER-new -1.0 -1.3 -0.7 NaN 0 MILK -3.3 -3.5 -3.2 NaN 0 MXP 88.0 83.6 92.4 59.0 59 NASDAQ_micro 1.2 0.7 1.6 6.0 6 NIKKEI 45.3 42.5 48.1 35.0 35 NZD 0.8 0.5 1.1 1.0 1 OAT 1.4 1.2 1.6 NaN 0 OATIES -1.1 -1.4 -0.8 NaN 0 OJ 2.9 2.8 3.1 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -0.3 -0.6 -0.1 -6.0 -6 REDWHEAT -0.3 -0.4 -0.3 NaN 0 RICE 3.0 2.7 3.3 NaN 0 ROBUSTA 1.4 1.3 1.6 3.0 3 RUSSELL 5.4 3.8 6.9 0.0 0 SHATZ -2.8 -3.1 -2.4 NaN 0 SILVER-mini -0.1 -0.3 0.1 NaN 0 SMI -0.4 -0.6 -0.3 0.0 0 SOFR -3.2 -4.5 -1.9 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.7 0.6 0.7 NaN 0 SOYOIL 0.5 0.4 0.6 1.0 1 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 3.2 2.3 4.0 3.0 3 SUGAR11 1.0 0.8 1.2 2.0 2 US10 -1.1 -1.2 -1.0 NaN 0 US10U -0.2 -0.3 -0.1 -9.0 -9 US2 -4.1 -4.3 -3.9 NaN 0 US20 -0.2 -0.3 -0.2 NaN 0 US30 -0.2 -0.2 -0.1 NaN 0 US5 -2.1 -2.3 -2.0 -4.0 -4 VIX -29.9 -31.3 -28.4 -17.0 -17 WHEAT -1.0 -1.1 -1.0 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 17.0 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 -0.0 0.3 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 0.1 0.1 0.0 0.1 0.0 0.1 -0.0 0.0 -0.1 -0.5 -0.5 -0.2 -0.3 -0.0 -0.3 0.1 0.2 BITCOIN 0.2 0.1 0.2 0.0 0.2 0.1 0.1 0.1 0.1 -0.2 0.4 0.1 -0.2 0.1 0.1 -0.4 -0.2 -0.3 -0.2 0.1 0.1 0.0 0.1 0.1 -1.1 0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.7 0.4 0.2 -0.1 -0.0 0.3 -0.0 0.3 BOBL -0.1 -0.3 -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 -1.2 -0.1 -0.9 -0.5 -0.0 -0.0 0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.0 -0.0 -0.0 -0.1 0.0 -0.3 -0.3 -0.3 -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 -0.0 -0.1 0.0 0.0 0.3 0.5 0.4 0.4 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 -0.1 0.3 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.1 -0.1 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 0.6 0.4 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 0.0 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 -0.3 -0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.0 0.0 -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 0.0 -0.3 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 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 0.0 0.1 0.0 0.2 0.0 1.6 -0.7 0.1 -0.3 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.1 0.3 0.3 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.7 -0.5 -0.1 0.1 -0.2 -0.3 -0.3 -0.1 CANOLA 0.5 0.5 0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 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 0.5 0.1 -0.2 0.2 0.0 0.3 CHF 0.4 0.0 0.1 0.0 0.1 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 0.1 0.1 0.1 0.1 0.1 -2.9 0.7 0.3 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 COCOA -0.1 0.1 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 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 0.0 -1.8 -0.3 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.5 -0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -1.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.5 -0.5 -0.5 -0.4 0.2 -0.3 -0.3 -0.1 -0.3 COPPER 0.0 0.1 -0.3 0.0 0.1 0.1 0.1 0.1 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 0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 0.0 -0.3 0.1 -0.5 -0.0 -0.3 0.0 -0.2 CORN -0.5 0.4 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.5 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.3 0.3 -0.0 -0.0 0.2 0.0 0.3 COTTON2 -0.0 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 -1.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 -0.1 0.0 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.3 0.1 -0.2 0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -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 0.0 0.0 0.1 0.0 0.1 -1.5 0.1 0.4 0.3 0.4 0.1 0.2 0.1 0.0 DAX -0.2 -0.2 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.3 0.1 0.4 -0.0 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 0.1 0.3 0.0 0.8 0.0 0.1 0.1 0.0 0.2 -0.0 -0.6 -0.3 -0.4 -0.4 -0.2 0.2 -0.0 0.3 0.0 DOW 0.1 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.5 -0.5 0.1 0.1 0.2 0.1 0.1 -0.5 0.0 0.1 0.1 0.1 0.1 0.1 -0.6 0.2 0.4 0.4 0.0 -0.1 -0.0 -0.3 -0.0 EUR 0.4 0.1 0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.2 0.1 0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.2 0.1 0.2 0.7 0.0 0.1 0.1 0.1 0.0 0.1 -1.2 0.0 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.2 EURIBOR-ICE -0.1 -0.3 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 -0.0 -0.2 0.0 -0.3 -0.3 0.3 0.0 EUROSTX -0.1 -0.2 -0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.5 0.1 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 -0.5 -0.1 -0.2 -0.1 0.2 0.0 0.3 0.1 FEEDCOW 0.3 -0.1 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.4 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 0.1 0.5 0.5 0.5 -0.0 -0.3 0.2 -0.2 GASOIL 0.4 0.5 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 0.0 0.3 0.9 0.3 0.6 0.1 -0.0 0.2 -0.1 0.1 0.5 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.2 0.2 0.0 -0.1 0.1 -0.1 -0.1 GASOLINE 0.3 0.2 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.2 0.1 -0.2 0.1 0.1 1.2 1.2 1.2 1.2 0.1 0.0 0.2 0.2 0.2 -1.1 0.1 0.1 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 0.1 0.5 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.3 -0.1 -0.4 0.0 -0.0 0.0 -0.7 -0.6 -0.8 -0.0 -0.2 -0.1 -0.4 -0.0 0.8 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -3.2 -0.7 -0.0 -0.0 0.0 0.0 0.2 0.0 0.0 GBP 0.2 0.2 0.3 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.4 0.1 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.1 0.3 0.2 0.2 -0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.4 -0.0 -0.1 0.2 0.2 0.1 0.1 0.1 0.3 GOLD_micro 0.0 -0.5 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.2 -0.1 -0.1 -0.9 -0.7 -0.9 -0.8 -0.1 -0.0 0.2 0.2 -0.0 -0.6 -0.0 0.1 0.0 0.1 0.1 0.0 -2.5 0.1 -0.2 -0.5 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.4 -0.3 0.0 0.0 -0.1 0.1 -0.1 0.1 0.1 -0.2 0.1 -0.2 0.1 0.0 0.2 1.0 0.3 0.6 0.1 -0.1 0.3 -0.1 0.2 -1.1 0.0 0.0 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 -0.5 -0.2 0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.0 0.0 1.0 1.2 0.8 1.0 0.0 0.1 -0.2 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.0 0.0 -0.0 3.2 -0.7 -0.2 0.1 0.3 -0.3 -0.1 0.1 0.1 JPY 0.4 -0.2 -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 -0.3 -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 -0.3 1.2 0.6 0.0 -0.1 0.2 -0.4 0.1 0.7 -0.0 0.0 -0.2 0.0 -0.3 0.0 -2.2 0.2 0.0 -0.1 -0.5 -0.1 0.0 0.2 0.3 LIVECOW 0.3 0.5 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 -0.3 0.6 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 3.0 0.7 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.3 0.5 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 -0.7 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 0.4 -0.3 -0.3 -0.3 -0.3 MILK -0.0 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -1.2 -1.2 -1.2 -1.2 -0.2 -0.2 -0.0 -0.4 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -3.2 0.1 -0.5 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.0 0.3 0.5 0.1 0.1 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 0.0 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.3 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.3 0.4 0.2 -1.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.8 0.7 0.5 0.5 0.5 -0.1 -0.1 -0.2 -0.1 NIKKEI -0.5 0.2 0.5 0.0 0.1 0.1 0.1 0.1 0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.9 0.7 0.8 0.7 0.2 0.2 -0.1 0.4 0.0 -0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 3.2 -0.7 -0.4 0.5 0.5 0.1 0.0 0.0 0.1 NZD 0.3 0.1 -0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.0 0.1 0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.8 -0.2 -0.2 -0.3 -0.3 0.0 -0.2 0.1 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 -0.0 -0.2 -0.0 -0.0 0.3 0.6 0.4 0.5 -0.0 -0.0 -0.0 -0.2 -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 0.0 0.5 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.2 0.0 -0.3 0.1 0.1 -0.8 0.1 -0.6 -0.4 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 -0.5 0.1 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.2 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.3 0.2 0.5 0.1 0.1 1.2 1.1 1.1 1.1 0.2 0.2 0.2 0.4 0.1 -1.1 0.1 0.1 0.3 0.0 0.5 0.0 3.2 0.5 -0.0 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.2 -0.5 -0.2 0.0 0.1 0.0 0.0 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 -0.3 -0.5 -0.5 -0.3 -0.2 0.0 -0.0 0.0 PLAT 0.0 -0.5 -0.2 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.2 -0.0 -0.0 0.7 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.3 0.4 -0.3 -0.5 -0.2 -0.0 -0.2 0.1 -0.1 REDWHEAT -0.1 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 0.0 -0.0 0.2 0.1 0.2 -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 -0.5 -0.3 -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 -0.0 -0.1 0.0 0.0 0.6 1.2 1.2 1.2 -0.0 -0.0 0.0 -0.1 -0.0 -1.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 3.2 0.1 -0.4 0.1 0.3 -0.1 -0.3 -0.0 -0.3 ROBUSTA -0.5 -0.3 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.1 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 2.3 -0.1 -0.5 0.2 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.2 0.5 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.2 -0.0 0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.3 0.1 0.0 0.2 -0.0 0.1 -0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.7 0.5 0.5 -0.1 -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 -0.4 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 0.1 0.0 -0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.3 -0.2 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.1 0.1 0.1 -0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 0.2 0.1 0.1 0.4 0.0 0.1 0.0 0.1 0.0 0.0 -0.7 0.5 0.1 -0.0 0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.3 -0.4 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.7 -0.7 -0.5 -0.5 -0.1 -0.1 -0.1 -0.2 -0.2 SOFR -0.1 -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 0.0 -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 -0.1 0.0 0.1 0.0 0.0 -0.1 0.1 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 0.1 0.2 0.5 0.1 -0.1 0.3 -0.0 0.3 SOYMEAL 0.1 0.2 -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 1.0 1.2 1.2 1.2 -0.0 -0.0 0.1 0.0 0.0 -0.9 0.0 0.0 0.0 0.0 0.0 0.0 3.2 0.1 0.3 0.3 0.0 -0.1 -0.3 -0.0 -0.2 SOYOIL 0.5 0.5 0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 0.7 0.6 0.5 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 -0.1 0.2 0.5 0.2 0.1 0.1 0.2 0.3 SP400 0.4 0.5 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.1 0.1 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 0.0 0.0 0.0 0.0 0.1 0.1 0.7 0.5 0.5 -0.1 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.2 0.5 0.5 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.4 0.2 0.2 0.2 0.2 -0.7 -0.5 -0.7 -0.6 0.2 0.2 0.3 0.3 0.2 -1.0 0.1 0.1 0.1 0.1 0.1 0.1 -1.0 0.7 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.5 -0.5 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.2 -0.0 0.3 -0.0 0.0 -0.0 1.0 0.2 0.6 -0.0 0.1 0.0 0.4 -0.0 -1.1 0.0 0.0 0.1 0.0 0.2 -0.0 2.2 0.1 -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 0.2 -0.0 -0.2 -0.0 -0.3 -0.3 0.2 0.0 US10U -0.1 -0.3 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.2 0.0 -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 0.0 -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 -0.2 US20 -0.1 -0.2 -0.1 -0.0 0.0 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=================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.5 10.8 1.3 3.4 6.2 2.2 6.8 0.9 5.1 6.8 -3.6 5.5 -4.6 4.9 2.7 -2.3 -2.6 -2.6 -2.7 2.2 -0.9 11.6 -3.5 6.3 1.9 1.5 6.7 0.0 6.2 -1.4 3.4 -0.5 -14.0 -20.0 -9.4 -11.2 -2.1 -20.0 10.3 16.6 BITCOIN 8.9 3.0 7.6 4.5 13.3 3.8 13.0 3.0 7.9 -18.2 19.7 10.2 -5.4 17.5 17.7 -6.7 -3.1 -5.3 -4.1 14.1 14.1 1.5 6.0 11.6 -20.0 5.7 -5.1 5.0 0.7 3.2 5.2 -0.6 -20.0 16.0 9.8 -5.8 -1.5 20.0 -0.2 20.0 BOBL -5.6 -10.2 -4.0 -1.9 2.3 -1.6 0.4 -2.1 -1.4 6.3 -3.6 -1.2 -6.3 -5.1 -5.0 -20.0 -2.1 -15.4 -8.0 -5.5 -5.3 0.2 -8.3 -4.4 9.4 -2.0 2.2 -1.6 0.1 -2.6 -1.8 -6.4 -0.9 -0.5 -2.5 0.7 -20.0 -20.0 -20.0 -14.7 BTP -11.2 3.2 10.7 -2.8 3.3 -2.3 0.6 -3.2 -2.1 9.1 7.3 -1.9 -2.6 0.2 2.1 4.6 8.9 6.4 7.6 1.0 2.4 0.4 -2.0 -1.7 -6.3 0.8 3.5 2.1 -0.1 0.1 -1.1 15.7 -6.5 -2.1 13.7 11.4 -20.0 -20.0 -5.0 4.0 BUND -5.0 -3.0 0.9 -1.9 2.3 -1.6 0.4 -2.2 -1.5 5.8 -3.7 -1.4 -6.7 -3.6 -4.0 6.1 9.4 6.7 7.5 -3.5 -3.9 0.3 -7.9 -3.3 5.3 -1.6 3.2 -1.1 0.1 -2.6 -1.7 15.9 -4.9 1.2 1.8 2.4 -20.0 -20.0 -10.9 -3.1 BUXL -1.6 4.7 -1.5 -2.4 2.9 -2.0 0.5 -2.7 -1.8 2.6 -7.4 -2.5 -9.0 -1.7 -4.5 1.4 1.2 1.8 1.9 -2.5 -5.1 -1.0 -11.6 -2.7 -0.1 -0.9 3.3 -1.2 -0.6 -3.4 -1.5 4.2 -12.9 4.4 7.9 3.1 -20.0 -20.0 7.9 10.0 CAC 0.4 -11.5 -5.3 4.0 8.9 5.2 6.6 4.6 4.0 9.5 14.5 7.5 16.7 2.5 7.3 -5.8 1.5 -2.1 0.1 2.2 8.8 6.0 15.7 2.2 -4.6 2.5 2.1 5.2 2.2 7.7 1.7 9.9 -20.0 2.6 -11.5 -6.5 16.8 -3.2 20.0 -1.3 CAD -5.5 13.9 13.7 5.4 9.9 3.5 10.8 1.5 8.2 7.2 12.6 7.0 -8.2 14.0 15.2 -2.0 -1.9 -2.3 -2.3 11.6 7.6 7.8 -1.7 9.6 -0.8 5.6 2.9 4.2 3.5 0.2 4.3 0.5 -20.0 -20.0 -4.0 2.3 -18.6 -20.0 -20.0 -10.0 CANOLA 20.0 20.0 6.2 -0.4 1.3 -2.1 1.4 -2.4 1.2 8.7 -1.2 9.7 -7.2 9.8 6.6 5.7 16.8 14.9 17.3 14.5 0.7 20.0 -5.7 20.0 -20.0 2.1 3.1 -0.5 4.0 -1.6 4.1 18.8 20.0 20.0 20.0 3.5 -14.1 17.7 0.2 20.0 CHF 17.7 1.6 4.5 4.3 7.9 2.8 8.6 1.2 6.5 13.5 11.0 14.8 11.5 12.4 9.0 -13.8 -12.8 -14.0 -13.5 13.2 9.0 20.0 6.9 20.0 -7.2 4.2 11.2 2.8 11.5 1.8 7.7 -18.5 20.0 12.2 -2.9 1.3 -13.0 -20.0 -15.1 -20.0 COCOA -5.3 2.0 12.7 -0.8 2.8 -4.5 3.1 -5.0 2.5 11.9 20.0 8.5 18.3 15.1 18.4 -1.4 -0.9 -0.8 -0.4 20.0 20.0 10.2 20.0 18.8 -8.3 7.8 2.3 7.7 3.1 6.0 5.8 -11.5 -8.2 20.0 20.0 20.0 -19.6 -20.0 9.8 -10.5 COFFEE -20.0 -20.0 -3.2 -0.7 2.6 -4.1 2.8 -4.5 2.3 -9.1 -2.5 -16.6 -7.1 -18.1 -16.7 2.2 3.9 3.9 4.2 -20.0 -11.5 -15.3 -7.8 -20.0 -20.0 -4.4 -4.1 -1.4 -4.6 -0.8 -6.1 -3.3 -14.8 -20.0 -17.4 9.9 -20.0 -20.0 -7.9 -20.0 COPPER 1.8 5.7 -12.5 3.0 8.7 2.5 8.4 2.0 5.1 3.6 -4.1 5.5 -4.3 7.0 -3.0 -2.6 -1.3 -2.3 -1.9 -1.7 -4.0 9.0 -3.3 4.3 -3.9 -0.2 3.6 -2.2 5.5 -1.8 3.4 2.7 1.2 -11.0 3.5 -20.0 -1.4 -20.0 2.4 -17.6 CORN -20.0 16.1 -2.2 -0.3 1.0 -1.5 1.1 -1.7 0.9 3.4 -4.1 -5.3 -4.4 -5.3 -4.3 -3.7 8.7 -0.9 4.1 -3.8 -3.0 -3.9 -2.1 -5.6 -6.8 -0.0 0.3 -0.9 -0.6 -1.3 -0.4 1.4 -0.9 -12.2 11.8 -0.4 -3.1 15.9 0.3 20.0 COTTON2 -1.4 4.2 8.6 -0.5 1.6 -2.5 1.7 -2.8 1.4 6.1 1.1 8.8 -8.7 5.1 4.8 8.7 6.6 6.7 4.8 1.5 -0.8 3.6 -4.2 2.6 -18.3 0.8 1.6 -0.1 2.7 -0.4 1.9 -1.4 0.7 -2.8 0.1 10.1 -20.0 -18.2 4.5 7.3 CRUDE_W 13.8 5.2 -6.5 1.4 3.9 -2.6 7.8 -1.8 5.9 4.4 -4.5 12.9 -10.7 12.9 -2.1 5.1 8.1 5.6 6.4 4.4 -3.1 17.6 -2.8 14.4 -5.6 4.5 2.8 1.3 8.0 1.4 7.7 -9.3 1.7 14.7 10.8 16.3 9.7 12.7 11.2 3.4 DAX -8.4 -8.8 0.3 3.7 8.3 4.8 6.1 4.2 3.7 13.1 13.5 6.5 15.0 -0.4 6.8 -8.1 -6.3 -8.1 -7.6 1.4 8.7 7.2 13.0 0.2 15.3 0.0 6.5 4.2 2.6 6.1 -1.2 -3.6 -9.5 -14.1 -14.5 -6.7 16.0 -2.1 20.0 1.9 DOW 3.8 10.5 4.5 3.7 8.3 4.8 6.1 4.2 3.7 15.4 7.2 12.7 7.3 13.6 13.7 -10.0 -6.4 -9.1 -8.1 8.5 6.4 12.3 4.0 9.9 -8.7 5.6 6.7 4.2 6.3 2.9 6.2 -4.1 6.3 14.2 15.2 1.5 -4.3 -3.4 -20.0 -1.6 EUR 14.0 4.6 2.5 4.3 7.8 2.8 8.5 1.1 6.5 14.8 11.0 15.6 6.9 13.3 7.5 -6.3 -6.8 -6.6 -6.6 10.1 6.5 20.0 3.2 19.6 13.1 3.9 11.1 2.5 10.6 1.1 7.2 -7.4 0.8 1.1 -4.6 -5.5 -5.1 -20.0 0.3 15.9 EURIBOR-ICE -4.7 -12.1 3.4 -1.8 2.2 -1.5 0.4 -2.1 -1.4 6.4 -4.4 0.7 -6.6 -4.2 -4.9 -12.0 -7.5 -10.6 -9.5 -6.1 -5.8 1.9 -8.4 -4.2 16.3 -2.0 2.4 -1.7 0.5 -2.7 -1.5 -13.5 3.5 -1.1 -6.0 0.6 -20.0 -20.0 20.0 3.6 EUROSTX -2.7 -7.2 -1.1 3.8 8.5 4.9 6.3 4.3 3.8 11.5 16.4 9.7 17.1 6.8 12.5 -4.8 0.4 -4.1 -2.0 4.5 10.5 7.6 15.2 3.6 4.5 2.1 5.2 5.8 3.2 8.2 0.9 7.4 -15.3 -3.7 -9.3 -5.2 18.4 0.1 20.0 5.3 FEEDCOW 13.3 -4.9 14.2 -0.8 2.7 -4.4 3.0 -4.9 2.4 11.8 18.1 15.5 17.2 15.4 17.0 -20.0 -20.0 -20.0 -20.0 20.0 20.0 15.4 20.0 20.0 6.9 7.4 2.8 8.3 4.6 7.5 6.3 -20.0 3.3 20.0 20.0 20.0 -1.0 -20.0 11.8 -15.2 GASOIL 15.4 19.4 -11.8 1.2 3.2 -2.2 6.5 -1.5 4.9 9.4 -8.2 13.3 -5.4 14.2 4.2 5.1 14.9 5.8 9.6 6.6 -5.0 16.5 -3.5 16.0 10.4 2.9 2.9 -1.6 6.5 -2.1 6.4 0.0 2.7 8.5 10.0 1.3 -6.6 3.9 -9.2 -4.5 GASOLINE 12.5 9.2 -3.7 1.5 4.2 -2.8 8.4 -2.0 6.4 11.3 9.4 16.7 -5.5 17.6 8.9 20.0 20.0 20.0 20.0 12.3 5.9 20.0 7.6 20.0 -20.0 6.7 4.6 4.6 7.9 5.0 8.2 20.0 6.1 19.8 20.0 20.0 9.3 12.2 12.5 -2.9 GAS_US_mini 4.8 20.0 1.5 1.0 2.8 -1.9 5.7 -1.3 4.3 -12.5 -14.2 -10.5 -14.6 1.9 -2.1 0.8 -12.5 -10.0 -13.5 -3.4 -19.4 -5.7 -20.0 -1.3 15.2 1.7 -3.9 -1.6 -2.1 -3.3 1.0 -20.0 -20.0 -1.6 -0.2 1.5 2.8 16.6 0.3 1.8 GBP 7.9 9.8 13.3 5.1 9.3 3.3 10.1 1.4 7.7 14.0 18.3 16.9 8.8 17.3 17.6 0.9 -1.1 -0.1 -0.7 20.0 16.4 20.0 8.4 20.0 -1.0 6.5 8.8 4.7 10.2 1.5 8.4 2.5 -0.3 -4.4 6.0 7.2 5.5 10.3 11.1 20.0 GOLD_micro 0.9 -18.5 -3.0 4.0 11.8 3.3 11.5 2.7 7.0 15.3 3.5 11.3 7.3 -6.1 -11.8 -15.9 -11.5 -14.5 -13.2 -10.1 -1.0 13.6 8.2 -1.6 -12.1 -0.8 7.5 1.2 8.2 4.0 3.3 -15.8 3.1 -6.7 -20.0 -11.4 -20.0 -20.0 -6.6 -20.0 HEATOIL 18.1 16.4 -12.7 1.4 4.0 -2.7 8.0 -1.9 6.1 9.9 -11.5 15.6 -7.8 17.1 4.0 3.7 16.6 4.5 9.5 7.7 -7.0 20.0 -5.0 20.0 -20.0 4.9 2.4 0.7 6.6 0.8 7.6 1.4 7.4 20.0 20.0 8.6 -4.8 2.8 -8.8 2.0 JGB-SGX-mini -20.0 -6.2 15.6 -2.3 2.8 -1.9 0.5 -2.7 -1.7 -8.5 8.2 -8.5 7.2 -5.8 3.0 16.7 20.0 14.2 17.7 1.9 7.5 -12.7 6.8 -6.8 1.3 0.3 -4.9 2.0 -5.3 1.2 -3.0 20.0 -20.0 -7.8 5.8 12.7 -20.0 -6.1 6.5 8.1 JPY 17.1 -8.1 -16.9 3.1 5.6 2.0 6.1 0.8 4.6 8.7 -8.3 8.2 -8.6 0.8 -8.7 -16.3 -13.1 -16.0 -14.8 -9.2 -12.5 15.3 -12.6 3.1 20.0 -2.2 4.5 -2.8 4.6 -3.0 1.1 -19.8 3.9 -12.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 15.2 20.0 -7.8 -0.6 2.3 -3.6 2.4 -4.0 2.0 7.6 -7.5 13.2 -11.1 15.7 5.6 20.0 -5.6 20.0 9.5 4.5 -12.7 12.1 -19.4 14.3 13.8 -3.1 1.0 -8.5 2.5 -9.4 1.5 -13.7 6.4 0.0 -2.9 -20.0 -4.5 3.6 18.3 20.0 LIVECOW 10.8 20.0 16.7 -0.9 3.3 -5.2 3.6 -5.9 2.9 18.2 20.0 20.0 20.0 20.0 20.0 -4.2 10.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 9.4 9.0 5.1 7.7 6.6 5.9 8.4 19.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -17.0 -20.0 LUMBER-new 12.7 19.1 2.2 -1.0 3.4 -4.9 3.7 -4.7 3.0 14.6 -13.3 16.9 -20.0 19.7 11.2 -5.0 -12.0 -10.2 -11.6 14.1 0.8 20.0 -6.1 20.0 NaN 6.2 5.1 1.6 8.7 -0.7 9.5 -20.0 20.0 20.0 20.0 13.9 -20.0 -20.0 -20.0 -20.0 MILK -1.7 -9.1 -13.7 -0.4 1.5 -2.5 1.7 -2.8 1.4 7.0 -11.6 -6.1 -11.6 -9.0 -11.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -3.8 -18.2 -15.1 -6.0 -4.1 0.6 -3.9 -0.7 -3.0 -2.8 -20.0 2.6 -20.0 -20.0 -20.0 -20.0 -20.0 -13.8 -20.0 MXP -0.4 12.9 19.1 6.1 11.1 3.9 12.0 1.6 9.2 20.0 20.0 20.0 20.0 20.0 20.0 18.8 17.8 18.6 18.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.8 8.1 9.6 7.7 9.6 7.7 20.0 -20.0 -11.7 17.6 20.0 20.0 5.2 20.0 20.0 NASDAQ_micro 0.3 20.0 20.0 3.0 6.7 3.9 5.0 3.4 3.0 12.7 14.7 13.1 6.6 14.1 14.6 -10.7 -7.2 -10.1 -8.9 20.0 20.0 20.0 18.6 20.0 -20.0 5.5 4.5 5.6 3.9 3.9 4.3 -5.3 20.0 18.1 20.0 20.0 -7.2 -9.1 -13.7 -11.1 NIKKEI -20.0 7.9 20.0 3.9 8.6 5.0 6.3 4.4 3.8 -7.7 16.5 -10.4 15.8 5.8 14.3 15.5 11.5 13.3 12.2 20.0 20.0 -9.2 20.0 2.9 -4.5 5.3 -1.1 6.7 -1.7 4.9 0.9 20.0 -20.0 -17.8 20.0 20.0 6.0 3.4 1.8 10.0 NZD 11.0 4.9 -0.3 3.0 5.5 1.9 6.0 0.8 4.5 6.6 -0.9 8.7 -0.6 6.3 1.7 0.5 0.6 0.6 0.6 3.2 0.0 13.8 -1.9 8.9 0.1 1.8 6.4 0.3 7.1 -0.6 4.5 5.1 -6.7 -8.6 -12.5 -10.4 0.7 -13.2 11.2 10.3 OAT -6.2 -0.7 4.0 -2.1 2.6 -1.8 0.5 -2.5 -1.6 6.3 -4.2 -1.8 -7.1 -3.0 -3.2 5.9 9.5 7.6 8.6 -3.1 -3.4 -0.0 -7.4 -3.4 7.2 -1.4 3.3 -0.9 -0.2 -2.8 -1.9 17.1 -6.3 0.2 3.6 3.9 -20.0 -20.0 -1.4 0.5 OATIES 1.9 20.0 20.0 -0.6 2.1 -3.3 2.2 -3.7 1.8 -6.9 7.9 1.9 -9.9 11.7 12.3 -13.6 1.0 -10.2 -6.0 20.0 12.2 4.5 1.5 18.3 -20.0 4.0 -1.7 2.1 -0.5 0.1 2.7 -14.8 -14.3 4.2 20.0 20.0 6.4 20.0 17.5 20.0 OJ 6.8 -0.3 2.1 -0.8 2.7 -4.3 2.9 -4.8 2.4 17.3 16.4 18.0 18.2 12.1 13.6 19.8 17.8 19.3 19.4 19.3 20.0 18.6 20.0 17.5 -20.0 6.3 4.4 12.3 3.7 18.0 3.6 20.0 14.8 -1.4 20.0 20.0 14.2 6.6 20.0 16.7 PALLAD -8.3 -18.4 -8.2 2.1 6.1 1.7 6.0 1.4 3.6 6.7 -10.8 -4.5 -11.0 -8.3 -9.7 -3.4 -2.5 -3.2 -2.9 -15.1 -17.9 0.2 -20.0 -9.1 -5.2 -3.4 1.5 -3.1 -0.1 -3.1 -2.5 0.6 -9.1 -20.0 -20.0 -10.8 -16.3 0.5 -0.2 2.2 PLAT 1.3 -20.0 -6.6 2.5 7.2 2.1 7.0 1.6 4.3 11.6 -6.3 7.5 0.7 -5.9 -8.8 -2.9 -1.7 -2.5 -2.2 -10.3 -6.7 13.2 -1.3 -2.2 12.4 -1.9 7.3 -1.2 5.3 -0.1 0.6 2.0 11.7 -10.3 -20.0 -7.5 -0.7 -14.5 6.7 -9.5 REDWHEAT -3.8 3.7 2.8 -0.5 1.9 -3.0 2.0 -3.3 1.7 -2.4 -0.9 -5.4 -10.7 -1.9 2.4 -0.5 3.9 2.4 4.1 -0.1 -2.0 -1.1 -3.7 -0.5 -13.3 -0.6 -0.6 -0.8 -2.6 -0.6 -2.1 -3.1 -14.2 -10.1 -0.2 7.6 -20.0 -15.8 -3.9 -7.1 RICE -8.8 8.3 -1.1 -0.7 2.3 -3.6 2.5 -4.1 2.0 7.0 -5.7 -4.2 -3.9 2.1 3.9 9.4 20.0 20.0 20.0 -1.8 -3.7 3.2 -3.0 -1.3 -20.0 -0.6 5.6 -1.3 1.7 -1.6 -1.0 20.0 3.9 -14.8 2.6 12.7 -10.1 -20.0 -0.2 -20.0 ROBUSTA -20.0 -10.4 15.7 -0.5 1.9 -3.0 2.0 -3.3 1.6 -4.2 10.8 -8.4 10.4 -6.0 7.2 20.0 13.1 20.0 17.1 6.7 16.1 -6.2 16.0 -4.3 -9.2 2.4 -0.4 5.4 -1.7 5.2 -1.1 14.9 -3.1 -20.0 8.6 20.0 -8.6 -20.0 3.1 -15.4 RUSSELL 9.2 20.0 7.4 3.1 6.9 4.0 5.1 3.5 3.1 12.3 -0.7 12.6 -5.1 12.8 10.3 -6.4 -4.7 -6.1 -5.6 11.5 4.9 17.7 -1.8 15.4 -1.0 4.5 5.2 2.3 5.8 0.7 5.7 -0.5 20.0 20.0 20.0 -4.2 -5.3 -6.5 -20.0 -8.3 SHATZ -6.7 -20.0 -17.3 -1.9 2.3 -1.6 0.4 -2.2 -1.4 4.1 -5.5 -1.8 -6.8 -6.3 -6.5 -7.5 1.0 -3.7 -2.2 -9.8 -9.6 -1.4 -11.9 -7.4 11.2 -2.4 0.8 -2.2 -0.3 -2.8 -1.9 0.3 0.9 -3.6 -9.0 -3.4 -20.0 -20.0 -20.0 -20.0 SILVER-mini 11.5 -8.7 -2.5 3.2 9.4 2.7 9.2 2.1 5.6 13.3 2.9 12.0 4.1 6.2 -2.8 -6.3 -5.2 -6.4 -5.9 0.3 1.0 20.0 3.1 10.1 7.2 2.1 11.6 1.4 10.3 1.1 5.8 -4.3 15.7 2.4 -0.9 1.9 -11.8 -20.0 -2.3 -20.0 SMI -13.8 -17.5 5.9 3.6 8.0 4.6 5.9 4.1 3.6 -3.4 6.8 -7.3 2.3 -12.0 1.6 -3.0 2.3 -2.4 -0.3 -7.4 1.2 -8.9 4.0 -12.4 2.4 -3.3 -2.0 -0.7 -4.3 -0.7 -5.4 10.5 -20.0 -20.0 -20.0 -5.8 -7.0 -11.2 -12.0 -16.7 SOFR -5.1 -14.9 1.0 -2.0 2.4 -1.7 0.4 -2.3 -1.5 5.8 -0.3 3.7 -1.5 -1.8 -2.9 -2.3 -0.4 -1.3 -0.8 -4.2 -2.2 3.7 -2.0 -2.6 -1.3 -1.8 2.9 -0.8 1.5 -0.5 -0.9 0.1 9.4 -0.4 -6.1 4.4 -20.0 -20.0 -7.0 -0.5 SOYBEAN 11.6 20.0 -0.5 -0.3 1.0 -1.6 1.1 -1.8 0.9 6.6 0.5 6.0 -2.6 6.2 4.7 10.8 20.0 14.2 18.5 4.9 0.5 6.3 -1.2 7.2 -15.6 1.7 1.0 0.2 1.5 -0.3 2.2 20.0 2.4 9.3 20.0 4.7 -7.4 20.0 -2.7 20.0 SOYMEAL 3.4 8.6 -20.0 -0.3 1.0 -1.7 1.1 -1.9 0.9 6.6 -1.9 -0.8 1.6 -0.8 -2.3 16.4 20.0 20.0 20.0 -0.3 -1.2 4.2 0.9 2.3 -16.3 1.4 1.9 0.5 1.9 1.0 2.2 20.0 3.6 11.6 10.9 1.7 -7.9 -19.9 -2.6 -18.0 SOYOIL 20.0 20.0 6.4 -0.3 1.0 -1.6 1.1 -1.8 0.9 3.1 -0.8 6.0 -3.2 6.7 5.4 11.6 9.9 9.2 8.1 8.0 1.7 6.8 -1.4 10.2 -20.0 1.9 0.4 0.4 1.2 -0.3 2.2 4.6 -1.8 6.7 20.0 8.2 4.1 7.6 15.5 20.0 SP400 17.2 20.0 4.8 3.2 7.2 4.2 5.3 3.7 3.2 12.1 2.1 13.7 2.0 14.5 11.9 -4.8 -4.3 -5.0 -4.9 16.1 8.0 20.0 2.4 20.0 -9.8 4.7 3.8 2.3 5.5 1.0 6.2 0.5 20.0 20.0 20.0 -3.2 -3.3 -8.0 -11.9 -9.6 SP500_micro 7.8 20.0 20.0 4.4 9.6 5.6 7.2 4.9 4.3 18.2 20.0 18.5 5.7 19.7 20.0 -12.6 -7.7 -11.1 -9.5 20.0 20.0 20.0 16.4 20.0 -18.3 7.7 6.3 6.4 6.5 3.8 7.3 -6.1 20.0 20.0 20.0 20.0 -4.8 -8.1 -10.3 -10.2 SUGAR11 -20.0 -20.0 1.3 -0.6 2.0 -3.2 2.2 -3.6 1.8 3.9 9.3 -1.4 11.2 -2.9 3.8 -0.3 16.1 4.0 10.7 -0.4 11.6 2.3 17.5 -4.1 -20.0 0.6 0.8 5.5 0.4 8.2 -1.4 14.1 3.4 -20.0 -15.3 20.0 -20.0 -18.7 9.0 -8.8 US10 -2.6 -14.6 -3.6 -1.9 2.3 -1.6 0.4 -2.2 -1.4 5.1 -3.2 2.0 -5.7 -3.2 -4.9 -8.9 -6.3 -9.0 -8.5 -6.4 -5.2 2.2 -5.8 -3.9 0.6 -2.1 2.2 -1.5 1.1 -1.3 -1.1 -11.7 7.0 -0.7 -6.9 -1.7 -20.0 -20.0 12.8 2.7 US10U -3.6 -10.6 -2.3 -2.6 3.1 -2.2 0.5 -3.0 -1.9 7.0 -3.8 2.1 -7.4 -4.0 -6.8 1.5 -0.2 -0.3 -1.0 -7.2 -6.1 2.2 -7.7 -4.7 -3.9 -2.8 3.2 -1.9 1.5 -1.7 -1.4 -0.0 6.8 0.2 -6.2 -1.6 -20.0 -20.0 20.0 16.9 US2 2.4 -20.0 -19.4 -1.8 2.2 -1.5 0.4 -2.1 -1.4 2.7 -5.3 0.8 -6.2 -5.1 -6.4 -20.0 -18.1 -20.0 -20.0 -11.4 -10.2 1.0 -9.9 -6.7 7.0 -2.3 0.9 -1.9 0.3 -2.0 -1.4 -20.0 8.2 -4.1 -14.5 -7.5 -20.0 -16.0 -20.0 -11.7 US20 -4.8 -7.5 -2.5 -2.1 2.5 -1.8 0.4 -2.4 -1.6 5.6 -2.3 0.2 -4.8 -2.9 -5.5 -1.4 -1.3 -1.4 -1.7 -5.3 -4.6 0.7 -6.3 -3.9 -4.0 -2.3 2.6 -1.7 1.1 -1.7 -1.2 -1.4 2.7 -0.1 -1.7 -0.5 -20.0 -20.0 19.5 17.9 US30 -5.2 -3.5 -2.1 -2.6 3.1 -2.2 0.5 -3.0 -1.9 5.2 -5.0 -2.1 -7.0 -3.9 -7.6 -3.0 -0.9 -1.5 -1.2 -5.8 -5.7 -1.3 -9.4 -4.8 -3.7 -3.1 2.2 -2.2 0.3 -2.4 -2.1 -0.6 -2.7 -2.0 1.1 -0.4 -20.0 -20.0 20.0 20.0 US5 0.1 -17.2 -5.7 -1.8 2.2 -1.5 0.4 -2.1 -1.4 4.4 -3.6 2.8 -5.7 -3.2 -5.1 -13.4 -8.0 -12.6 -11.0 -6.8 -5.7 2.7 -6.2 -3.7 2.9 -2.0 1.9 -1.5 1.0 -1.4 -1.0 -15.2 9.0 -0.8 -8.8 -2.5 -20.0 -20.0 5.6 -13.4 VIX -3.6 -20.0 -20.0 -7.0 -2.7 -6.8 -3.8 -6.0 -5.6 -19.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.6 -20.0 -20.0 NaN -8.3 -2.7 -7.9 -4.0 -7.1 -6.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -12.4 20.0 6.6 -0.3 1.1 -1.7 1.2 -2.0 1.0 0.8 -5.0 -5.6 -7.6 -2.7 -2.3 -9.3 -8.8 -10.2 -10.1 -1.7 -4.2 -2.5 -6.2 -2.2 -4.0 -0.4 0.0 -1.1 -1.2 -1.5 -0.9 -20.0 -8.5 -9.2 6.1 -0.7 -16.8 -17.9 -7.6 -8.4 End of report for caleb_strategy_v3