******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230718_204344 produced at 2023-07-18 21:38:17.669453 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.20 -0.70 0.0 1.00 -1.00 -0.20 -0.10 -7.02 10.0 -2 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -4.20 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -3.11 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 -30.17 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.33 -0.14 0.0 0.56 -0.56 -0.33 -0.30 -4.23 17.0 -10 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.13 0.0 0.41 -0.41 -0.05 -0.07 -17.38 56.0 -7 -9 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.62 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.16 -0.09 0.0 0.98 -0.98 -0.16 -0.16 -2.20 25.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.07 0.0 0.06 -0.06 -0.05 -0.05 -27.54 26.0 -19 -20 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.07 0.0 0.70 -0.70 -0.16 -0.16 -1.24 13.0 -3 -3 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.06 0.0 0.91 -0.91 -0.05 -0.05 -1.28 19.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.05 0.0 0.37 -0.37 0.00 0.00 -1.06 8.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.70 -0.70 0.00 0.00 -1.17 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.05 0.0 0.21 -0.21 0.00 -0.03 -1.50 6.0 0 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.30 5.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -0.62 2.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.47 -0.47 0.00 0.00 -0.74 19.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.06 -0.02 0.0 0.80 -0.80 -0.06 -0.03 -0.63 29.0 -2 -1 caleb_strategy_v3 SMI False False 0.05 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.32 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.36 8.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.39 -0.01 0.0 0.56 -0.56 -0.39 -0.39 -0.26 13.0 -9 -9 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.23 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 -0.20 6.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.70 2.0 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 -0.97 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -1.04 9.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 -0.10 -0.01 0.0 0.39 -0.39 -0.10 -0.10 -1.08 58.0 -15 -15 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.51 6.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -3.20 59.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 0.00 -0.00 0.00 0.00 0.08 0.0 0 0 caleb_strategy_v3 BUXL False False 0.06 0.00 0.00 0.0 0.23 -0.23 0.00 0.00 0.00 4.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.05 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.00 0.0 0.17 -0.17 0.02 0.02 0.23 11.0 1 1 caleb_strategy_v3 PLAT False False 0.02 -0.11 -0.00 0.0 0.18 -0.18 -0.11 -0.11 -0.17 10.0 -6 -6 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.21 -0.21 0.03 0.03 1.45 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 0.58 7.0 2 2 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.69 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 0.48 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.48 -0.48 0.02 0.02 0.47 21.0 1 1 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 0.88 18.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.42 -0.42 0.00 0.00 1.02 66.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.15 0.01 0.0 0.72 -0.72 0.15 0.15 0.28 14.0 3 3 caleb_strategy_v3 COCOA False False 0.01 0.02 0.01 0.0 0.32 -0.32 0.02 0.02 0.58 26.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.02 0.0 0.16 -0.16 -0.01 -0.01 1.43 13.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.25 -0.25 0.00 0.01 6.30 68.0 1 3 caleb_strategy_v3 BUND False False 0.06 0.06 0.02 0.0 0.55 -0.55 0.06 0.06 0.36 10.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.03 0.0 0.40 -0.40 0.02 0.02 3.37 48.0 2 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 EUROSTX False False 0.02 0.20 0.03 0.0 0.36 -0.36 0.20 0.20 1.59 20.0 11 11 caleb_strategy_v3 SP400 False False 0.10 0.20 0.04 0.0 0.20 -0.20 0.20 0.20 0.36 2.0 2 2 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 3.23 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.82 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 1.08 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.03 1.65 4.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.06 0.0 0.14 -0.14 0.05 0.05 2.15 5.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.06 0.0 0.23 -0.23 0.00 0.00 12.51 51.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.19 0.06 0.0 0.48 -0.48 0.19 0.19 1.36 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.53 -0.53 0.00 0.00 1.46 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.24 0.09 0.0 0.66 -0.66 0.24 0.24 3.07 22.0 8 8 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.93 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.13 0.19 0.0 0.46 -0.46 0.13 0.13 7.02 17.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.40 0.0 0.31 -0.31 0.30 0.30 46.53 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.64 0.96 0.0 0.65 -0.65 0.64 0.64 88.77 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.62 1.58 0.0 0.62 -0.62 0.62 0.62 40.61 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.5 Shocked risk 65.4 Sum abs risk 55.2 Leverage 5.96 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 0.0050 0.6825 0.7319 11.7111 BITCOIN 808.2765 30005.0000 2.6938 43.1009 BOBL 0.3155 116.0400 0.2719 4.3505 BTP 0.7574 116.6500 0.6493 10.3884 BUND 0.6416 133.9600 0.4789 7.6630 BUXL 1.4069 138.3400 1.0170 16.2723 CAC 65.2338 7350.0000 0.8875 14.2005 CAD 0.0033 0.7596 0.4379 7.0068 CANOLA 8.9047 823.2000 1.0817 17.3076 CHF 0.0057 1.1732 0.4895 7.8315 COCOA 41.9971 3414.0000 1.2301 19.6823 COFFEE 2.8617 155.9000 1.8356 29.3691 COPPER 0.0460 3.8300 1.2008 19.2132 CORN 12.5970 532.5000 2.3656 37.8501 COTTON2 1.3018 83.7100 1.5551 24.8817 CRUDE_W 1.1362 74.7200 1.5207 24.3305 DAX 129.8174 16236.0000 0.7996 12.7930 DOW 203.9689 35127.0000 0.5807 9.2906 EUR 0.0054 1.1260 0.4820 7.7115 EURIBOR-ICE 0.0653 97.1050 0.0672 1.0757 EUROSTX 42.0592 4400.0000 0.9559 15.2942 FEEDCOW 1.7962 250.9500 0.7158 11.4524 GASOIL 11.5084 749.7500 1.5350 24.5594 GASOLINE 0.0374 2.3888 1.5657 25.0519 GAS_US_mini 0.0918 2.6100 3.5179 56.2860 GBP 0.0070 1.3046 0.5370 8.5925 GOLD_micro 12.2002 1981.5000 0.6157 9.8513 HEATOIL 0.0359 2.5868 1.3866 22.1864 JGB-SGX-mini 0.2482 147.7200 0.1680 2.6881 JPY 0.0000 0.0073 0.6314 10.1023 LEANHOG 1.1666 81.6500 1.4288 22.8604 LIVECOW 1.1381 183.6500 0.6197 9.9154 LUMBER-new 10.3085 581.5000 1.7727 28.3639 MILK 0.2622 16.5800 1.5817 25.3073 MXP 0.0003 0.0590 0.5891 9.4249 NASDAQ_micro 117.9421 15826.5000 0.7452 11.9235 NIKKEI 307.3672 32790.0000 0.9374 14.9981 NZD 0.0049 0.6279 0.7813 12.5014 OAT 0.6600 128.5400 0.5135 8.2160 OATIES 7.9979 446.0000 1.7932 28.6919 OJ 4.0935 282.7500 1.4477 23.1637 PALLAD 23.6315 1316.5000 1.7950 28.7204 PLAT 14.0182 994.3000 1.4099 22.5577 REDWHEAT 13.8568 831.5000 1.6665 26.6637 RICE 0.1725 15.6500 1.1020 17.6322 ROBUSTA 37.7352 2535.0000 1.4886 23.8171 RUSSELL 19.1997 1989.1000 0.9652 15.4439 SHATZ 0.1010 105.0000 0.0962 1.5389 SILVER-mini 0.3536 25.5875 1.3819 22.1108 SMI 82.3098 11133.0000 0.7393 11.8293 SOFR 0.0838 96.7750 0.0866 1.3850 SOYBEAN 21.0056 1394.5000 1.5063 24.1011 SOYMEAL 7.2730 415.9000 1.7487 27.9797 SOYOIL 1.1380 59.8100 1.9027 30.4429 SP400 21.7257 2735.9000 0.7941 12.7055 SP500_micro 24.7627 4591.0000 0.5394 8.6300 SUGAR11 0.3671 23.8600 1.5384 24.6136 US10 0.4799 112.6875 0.4259 6.8137 US10U 0.6208 118.6094 0.5234 8.3749 US2 0.1352 101.8750 0.1327 2.1230 US20 0.8258 126.6562 0.6520 10.4314 US30 1.1886 134.9062 0.8810 14.0963 US5 0.3324 107.6406 0.3088 4.9408 VIX 0.4604 17.1000 2.6926 43.0818 WHEAT 13.7854 689.2500 2.0001 32.0010 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 682.50 0.73 499.55 1.00 499.55 46875.0 93.83 -2.43 -22.76 BITCOIN 30.00 2.69 80.83 1.00 80.83 46875.0 579.94 -0.46 -26.62 BOBL 1160.40 0.27 315.52 1.12 354.26 46875.0 132.32 -10.42 -137.85 BTP 1166.50 0.65 757.38 1.12 850.38 46875.0 55.12 7.89 43.48 BUND 1339.60 0.48 641.58 1.12 720.37 46875.0 65.07 6.01 39.12 BUXL 1383.40 1.02 1406.94 1.12 1579.72 46875.0 29.67 0.15 0.46 CAC 735.00 0.89 652.34 1.12 732.44 46875.0 64.00 4.33 27.71 CAD 759.60 0.44 332.65 1.00 332.65 46875.0 140.92 -1.38 -19.45 CANOLA 164.64 1.08 178.09 0.76 134.69 46875.0 348.03 17.16 597.29 CHF 1466.50 0.49 717.81 1.00 717.81 46875.0 65.30 -5.85 -38.19 COCOA 341.40 1.23 419.97 1.00 419.97 46875.0 111.61 2.84 31.69 COFFEE 584.62 1.84 1073.12 1.00 1073.12 46875.0 43.68 -11.72 -51.19 COPPER 957.50 1.20 1149.79 1.00 1149.79 46875.0 40.77 -3.07 -12.51 CORN 266.25 2.37 629.85 1.00 629.85 46875.0 74.42 0.35 2.57 COTTON2 418.55 1.56 650.89 1.00 650.89 46875.0 72.02 1.77 12.72 CRUDE_W 747.20 1.52 1136.23 1.00 1136.23 46875.0 41.25 4.26 17.58 DAX 162.36 0.80 129.82 1.12 145.76 46875.0 321.59 -1.03 -33.03 DOW 175.64 0.58 101.98 1.00 101.98 46875.0 459.63 0.99 45.55 EUR 1407.50 0.48 678.37 1.00 678.37 46875.0 69.10 1.25 8.66 EURIBOR-ICE 2427.62 0.07 163.21 1.12 183.25 46875.0 255.80 -8.80 -225.05 EUROSTX 440.00 0.96 420.59 1.12 472.24 46875.0 99.26 4.91 48.78 FEEDCOW 1254.75 0.72 898.12 1.00 898.12 46875.0 52.19 -5.97 -31.16 GASOIL 749.75 1.53 1150.84 1.00 1150.84 46875.0 40.73 8.27 33.68 GASOLINE 1003.30 1.57 1570.90 1.00 1570.90 46875.0 29.84 20.00 59.68 GAS_US_mini 65.25 3.52 229.54 1.00 229.54 46875.0 204.21 -11.01 -224.88 GBP 815.38 0.54 437.88 1.00 437.88 46875.0 107.05 8.82 94.38 GOLD_micro 198.15 0.62 122.00 1.00 122.00 46875.0 384.22 -11.94 -458.79 HEATOIL 1086.46 1.39 1506.53 1.00 1506.53 46875.0 31.11 7.07 22.01 JGB-SGX-mini 147720.00 0.17 24818.26 0.01 179.08 46875.0 261.76 11.87 310.79 JPY 908.25 0.63 573.47 1.00 573.47 46875.0 81.74 -15.91 -130.04 LEANHOG 326.60 1.43 466.64 1.00 466.64 46875.0 100.45 2.29 22.95 LIVECOW 734.60 0.62 455.24 1.00 455.24 46875.0 102.97 20.00 205.93 LUMBER-new 159.91 1.77 283.48 1.00 283.48 46875.0 165.35 -3.24 -53.58 MILK 331.60 1.58 524.49 1.00 524.49 46875.0 89.37 -20.00 -178.74 MXP 294.95 0.59 173.74 1.00 173.74 46875.0 269.80 20.00 539.60 NASDAQ_micro 316.53 0.75 235.88 1.00 235.88 46875.0 198.72 2.66 52.77 NIKKEI 32790.00 0.94 30736.72 0.01 221.78 46875.0 211.35 16.85 356.07 NZD 627.90 0.78 490.60 1.00 490.60 46875.0 95.55 1.52 14.56 OAT 1285.40 0.51 660.05 1.12 741.10 46875.0 63.25 7.38 46.69 OATIES 223.00 1.79 399.89 1.00 399.89 46875.0 117.22 -2.87 -33.65 OJ 424.12 1.45 614.02 1.00 614.02 46875.0 76.34 20.00 152.68 PALLAD 1316.50 1.80 2363.15 1.00 2363.15 46875.0 19.84 -8.30 -16.46 PLAT 497.15 1.41 700.91 1.00 700.91 46875.0 66.88 -0.69 -4.61 REDWHEAT 415.75 1.67 692.84 1.00 692.84 46875.0 67.66 -4.61 -31.21 RICE 313.00 1.10 344.93 1.00 344.93 46875.0 135.90 11.35 154.25 ROBUSTA 253.50 1.49 377.35 1.00 377.35 46875.0 124.22 11.59 144.01 RUSSELL 99.46 0.97 96.00 1.00 96.00 46875.0 488.29 4.05 197.97 SHATZ 1050.00 0.10 100.99 1.12 113.39 46875.0 413.40 -6.84 -282.65 SILVER-mini 639.69 1.38 884.00 1.00 884.00 46875.0 53.03 0.42 2.21 SMI 1113.30 0.74 823.10 1.16 955.95 46875.0 49.04 -2.02 -9.90 SOFR 2419.38 0.09 209.43 1.00 209.43 46875.0 223.83 -2.39 -53.59 SOYBEAN 697.25 1.51 1050.28 1.00 1050.28 46875.0 44.63 16.20 72.32 SOYMEAL 415.90 1.75 727.30 1.00 727.30 46875.0 64.45 13.38 86.22 SOYOIL 358.86 1.90 682.80 1.00 682.80 46875.0 68.65 8.71 59.78 SP400 2735.90 0.79 2172.57 1.00 2172.57 46875.0 21.58 5.23 11.29 SP500_micro 229.55 0.54 123.81 1.00 123.81 46875.0 378.59 3.99 151.12 SUGAR11 267.23 1.54 411.10 1.00 411.10 46875.0 114.02 4.23 48.25 US10 1126.88 0.43 479.88 1.00 479.88 46875.0 97.68 -9.93 -97.03 US10U 1186.09 0.52 620.84 1.00 620.84 46875.0 75.50 -2.79 -21.10 US2 2037.50 0.13 270.35 1.00 270.35 46875.0 173.39 -20.00 -346.78 US20 1266.56 0.65 825.75 1.00 825.75 46875.0 56.77 -3.35 -19.02 US30 1349.06 0.88 1188.55 1.00 1188.55 46875.0 39.44 -4.28 -16.89 US5 1076.41 0.31 332.39 1.00 332.39 46875.0 141.02 -12.89 -181.79 VIX 171.00 2.69 460.44 1.00 460.44 46875.0 101.81 -20.00 -203.61 WHEAT 344.62 2.00 689.27 1.00 689.27 46875.0 68.01 -13.33 -90.63 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -22.760 0.013 2.5 -0.740 BITCOIN -26.621 0.048 2.5 -3.201 BOBL -137.849 0.004 2.5 -1.278 BTP 43.485 0.012 2.5 1.356 BUND 39.124 0.004 2.5 0.363 BUXL 0.458 0.004 2.5 0.004 CAC 27.715 0.013 2.5 0.905 CAD -19.455 0.013 2.5 -0.632 CANOLA 597.292 0.008 2.5 12.513 CHF -38.193 0.013 2.5 -1.241 COCOA 31.693 0.007 2.5 0.585 COFFEE -51.192 0.004 2.5 -0.515 COPPER -12.511 0.048 2.5 -1.505 CORN 2.569 0.008 2.5 0.054 COTTON2 12.718 0.007 2.5 0.235 CRUDE_W 17.576 0.049 2.5 2.153 DAX -33.034 0.013 2.5 -1.079 DOW 45.552 0.009 2.5 1.017 EUR 8.656 0.013 2.5 0.281 EURIBOR-ICE -225.047 0.012 2.5 -7.020 EUROSTX 48.776 0.013 2.5 1.593 FEEDCOW -31.157 0.014 2.5 -1.062 GASOIL 33.680 0.020 2.5 1.651 GASOLINE 59.679 0.020 2.5 2.926 GAS_US_mini -224.876 0.049 2.5 -27.541 GBP 94.375 0.013 2.5 3.068 GOLD_micro -458.785 0.015 2.5 -17.378 HEATOIL 22.012 0.020 2.5 1.079 JGB-SGX-mini 310.794 0.052 2.5 40.614 JPY -130.038 0.013 2.5 -4.227 LEANHOG 22.954 0.025 2.5 1.435 LIVECOW 205.935 0.014 2.5 7.019 LUMBER-new -53.579 0.007 2.5 -0.969 MILK -178.744 0.007 2.5 -3.297 MXP 539.595 0.066 2.5 88.766 NASDAQ_micro 52.769 0.009 2.5 1.178 NIKKEI 356.072 0.052 2.5 46.530 NZD 14.562 0.013 2.5 0.473 OAT 46.688 0.012 2.5 1.456 OATIES -33.646 0.008 2.5 -0.705 OJ 152.683 0.007 2.5 2.817 PALLAD -16.457 0.015 2.5 -0.623 PLAT -4.608 0.015 2.5 -0.175 REDWHEAT -31.209 0.005 2.5 -0.356 RICE 154.252 0.008 2.5 3.232 ROBUSTA 144.014 0.004 2.5 1.449 RUSSELL 197.970 0.013 2.5 6.304 SHATZ -282.649 0.004 2.5 -2.621 SILVER-mini 2.205 0.015 2.5 0.084 SMI -9.902 0.013 2.5 -0.323 SOFR -53.587 0.023 2.5 -3.111 SOYBEAN 72.319 0.003 2.5 0.579 SOYMEAL 86.224 0.003 2.5 0.691 SOYOIL 59.775 0.003 2.5 0.479 SP400 11.292 0.013 2.5 0.360 SP500_micro 151.117 0.009 2.5 3.375 SUGAR11 48.245 0.007 2.5 0.884 US10 -97.027 0.005 2.5 -1.174 US10U -21.097 0.005 2.5 -0.255 US2 -346.777 0.005 2.5 -4.197 US20 -19.025 0.005 2.5 -0.230 US30 -16.890 0.005 2.5 -0.204 US5 -181.794 0.005 2.5 -2.200 VIX -203.611 0.059 2.5 -30.170 WHEAT -90.630 0.005 2.5 -1.035 ===================== Position diags ===================== AUD 3.05 BITCOIN 69.74 BOBL 1.23 BTP 1.72 BUND 0.60 BUXL 0.28 CAC 2.09 CAD 4.58 CANOLA 7.29 CHF 2.12 COCOA 2.06 COFFEE 0.44 COPPER 4.90 CORN 1.56 COTTON2 1.33 CRUDE_W 5.05 DAX 10.51 DOW 10.26 EUR 2.25 EURIBOR-ICE 7.98 EUROSTX 3.24 FEEDCOW 1.78 GASOIL 2.00 GASOLINE 1.46 GAS_US_mini 25.01 GBP 3.48 GOLD_micro 14.55 HEATOIL 1.53 JGB-SGX-mini 34.21 JPY 2.66 LEANHOG 6.28 LIVECOW 3.51 LUMBER-new 2.99 MILK 1.65 MXP 44.38 NASDAQ_micro 4.44 NIKKEI 27.62 NZD 3.11 OAT 1.97 OATIES 2.46 OJ 1.41 PALLAD 0.75 PLAT 2.53 REDWHEAT 0.77 RICE 2.85 ROBUSTA 1.25 RUSSELL 15.55 SHATZ 3.83 SILVER-mini 2.01 SMI 1.60 SOFR 12.99 SOYBEAN 0.36 SOYMEAL 0.52 SOYOIL 0.55 SP400 0.69 SP500_micro 8.45 SUGAR11 2.09 US10 1.18 US10U 0.91 US2 2.10 US20 0.69 US30 0.48 US5 1.71 VIX 15.08 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 -3.2 -10.2 3.8 0.0 0 BOBL -1.3 -1.4 -1.2 -1.0 -1 BTP 1.4 1.2 1.5 4.0 4 BUND 0.4 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 -0.6 -1.1 -0.2 -2.0 -2 CANOLA 12.5 11.8 13.2 NaN 0 CHF -1.2 -1.5 -1.0 -3.0 -3 COCOA 0.6 0.4 0.8 2.0 2 COFFEE -0.5 -0.6 -0.5 NaN 0 COPPER -1.5 -2.0 -1.0 0.0 0 CORN 0.1 -0.1 0.2 0.0 0 COTTON2 0.2 0.1 0.4 1.0 1 CRUDE_W 2.2 1.6 2.7 2.0 2 DAX -1.1 -2.1 -0.0 -15.0 -15 DOW 1.0 -0.0 2.0 NaN 0 EUR 0.3 0.1 0.5 3.0 3 EURIBOR-ICE -7.0 -7.8 -6.2 -2.0 -2 EUROSTX 1.6 1.3 1.9 11.0 11 FEEDCOW -1.1 -1.2 -0.9 NaN 0 GASOIL 1.7 1.5 1.9 1.0 1 GASOLINE 2.9 2.8 3.1 4.0 4 GAS_US_mini -27.5 -30.0 -25.0 -19.0 -19 GBP 3.1 2.7 3.4 8.0 8 GOLD_micro -17.4 -18.8 -15.9 -7.0 -7 HEATOIL 1.1 0.9 1.2 0.0 0 JGB-SGX-mini 40.6 37.2 44.0 16.0 16 JPY -4.2 -4.5 -4.0 -10.0 -10 LEANHOG 1.4 0.8 2.1 -1.0 -1 LIVECOW 7.0 6.7 7.4 5.0 5 LUMBER-new -1.0 -1.3 -0.7 NaN 0 MILK -3.3 -3.5 -3.1 NaN 0 MXP 88.8 84.3 93.2 59.0 59 NASDAQ_micro 1.2 0.7 1.6 6.0 6 NIKKEI 46.5 43.8 49.3 35.0 35 NZD 0.5 0.2 0.8 1.0 1 OAT 1.5 1.3 1.7 NaN 0 OATIES -0.7 -1.0 -0.5 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT -0.2 -0.4 0.1 -6.0 -6 REDWHEAT -0.4 -0.4 -0.3 NaN 0 RICE 3.2 2.9 3.5 NaN 0 ROBUSTA 1.4 1.3 1.6 3.0 3 RUSSELL 6.3 4.7 7.9 1.0 1 SHATZ -2.6 -3.0 -2.2 NaN 0 SILVER-mini 0.1 -0.1 0.3 NaN 0 SMI -0.3 -0.5 -0.2 0.0 0 SOFR -3.1 -4.4 -1.8 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 0.5 1.0 1 SP400 0.4 0.3 0.4 2.0 2 SP500_micro 3.4 2.5 4.2 2.0 2 SUGAR11 0.9 0.7 1.1 2.0 2 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.3 -0.3 -0.2 -9.0 -9 US2 -4.2 -4.4 -4.0 NaN 0 US20 -0.2 -0.3 -0.2 NaN 0 US30 -0.2 -0.3 -0.2 NaN 0 US5 -2.2 -2.4 -2.0 -4.0 -4 VIX -30.2 -31.7 -28.7 -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 1.5 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 0.0 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 0.0 -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 -0.3 0.4 -0.0 -0.1 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 0.3 0.2 -0.2 -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 0.1 -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 -1.1 -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 0.1 -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 0.1 -0.0 0.0 -0.3 0.0 0.1 0.0 0.0 0.0 -0.0 2.5 -0.1 -0.0 0.3 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.1 -0.1 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 0.4 0.6 0.4 0.4 -0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.0 0.1 -0.0 0.0 -0.1 -0.0 2.5 -0.1 0.0 0.0 0.1 -0.3 -0.3 -0.1 -0.0 BUXL -0.1 0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -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 0.1 -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 -0.2 -0.2 0.0 0.2 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 -0.2 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 -0.2 0.0 -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 0.4 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 2.9 0.7 0.5 0.5 0.1 -0.2 0.2 0.0 0.3 CHF 0.5 0.1 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 0.2 0.2 -0.4 0.0 0.1 0.1 0.1 0.0 0.1 -2.9 0.7 0.4 -0.0 0.0 -0.2 -0.3 -0.2 -0.3 COCOA -0.1 0.0 0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.2 -0.1 -0.1 -0.0 -0.0 0.2 0.2 0.2 0.4 0.2 -0.4 0.1 0.0 0.2 0.0 0.2 0.0 -1.8 -0.4 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.5 -0.5 -0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.2 -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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.5 -0.7 -0.5 -0.5 0.2 -0.3 -0.3 -0.1 -0.3 COPPER 0.1 0.2 -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 -0.2 -0.3 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 0.1 -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 0.1 -0.3 0.3 -0.0 -0.0 0.2 0.0 0.3 COTTON2 0.1 0.1 0.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.1 0.0 0.5 0.4 0.4 0.3 0.0 -0.0 0.1 -0.1 0.0 -1.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.0 -0.0 -0.0 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.4 0.1 -0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 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 0.1 0.0 0.1 0.0 0.1 -1.5 0.0 0.3 0.3 0.4 0.1 0.2 0.1 0.0 DAX -0.1 -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 -0.5 -0.4 -0.4 -0.2 0.2 -0.0 0.3 0.0 DOW 0.2 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.2 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 -0.7 0.3 0.3 0.4 0.0 -0.1 -0.0 -0.3 -0.0 EUR 0.4 0.2 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 0.2 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 -0.0 -0.0 0.1 -0.2 -0.0 0.9 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -2.1 0.1 0.0 -0.1 0.0 -0.3 -0.3 0.3 0.0 EUROSTX -0.0 -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 -0.7 -0.2 -0.3 -0.1 0.2 0.0 0.3 0.1 FEEDCOW 0.3 -0.2 0.3 -0.0 0.1 -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 -0.3 0.5 0.5 0.5 -0.0 -0.3 0.2 -0.2 GASOIL 0.4 0.5 -0.3 0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.2 0.1 -0.2 0.1 0.0 0.3 0.9 0.3 0.6 0.1 -0.0 0.2 -0.1 0.1 0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.1 0.2 0.3 0.0 -0.1 0.0 -0.1 -0.1 GASOLINE 0.4 0.3 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 0.2 0.1 1.2 1.2 1.2 1.2 0.1 0.1 0.2 0.2 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 3.2 0.3 0.4 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.1 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.3 -0.1 -0.4 0.0 -0.0 0.1 -0.7 -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 -0.1 -0.0 0.0 0.0 0.2 0.0 0.0 GBP 0.2 0.3 0.3 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.4 0.1 0.3 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.1 0.3 0.2 0.2 -0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.4 -0.1 -0.2 0.1 0.2 0.1 0.1 0.1 0.3 GOLD_micro 0.1 -0.4 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.2 -0.0 -0.1 -0.9 -0.7 -0.9 -0.8 -0.1 -0.0 0.2 0.2 0.0 -0.6 0.0 0.2 0.0 0.1 0.1 0.0 -2.5 0.4 0.0 -0.5 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.4 -0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -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 0.4 0.5 0.2 -0.1 0.0 -0.1 0.0 JGB-SGX-mini -0.5 -0.2 0.4 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.0 0.0 0.8 1.2 0.8 1.0 0.0 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.0 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 0.5 -0.2 -0.4 0.0 0.0 0.0 0.0 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 0.0 -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 0.1 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 0.1 1.2 -0.3 1.2 0.7 0.0 -0.1 0.1 -0.4 0.1 0.7 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -1.7 -0.2 -0.1 -0.1 -0.5 -0.1 0.0 0.2 0.3 LIVECOW 0.3 0.5 0.5 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 0.4 0.2 0.6 0.2 0.2 -0.4 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 2.9 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 0.1 -0.1 0.1 -0.1 0.0 0.2 -0.3 0.1 -0.3 0.2 0.1 -0.3 -0.8 -0.6 -0.7 0.1 0.0 0.2 -0.1 0.2 NaN 0.1 0.0 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 -0.0 0.0 -0.1 0.0 0.1 -0.2 -0.0 -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 0.2 -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 -0.2 0.5 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 0.2 0.1 0.1 0.1 0.0 0.0 0.3 -0.1 0.4 0.1 0.1 0.9 0.7 0.8 0.7 0.2 0.2 -0.0 0.4 0.0 -0.2 0.0 0.0 0.1 -0.0 0.1 0.0 3.2 -0.7 -0.5 0.5 0.5 0.1 0.0 0.0 0.1 NZD 0.3 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 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 -0.0 0.0 0.8 -0.5 -0.2 -0.3 -0.3 0.0 -0.2 0.1 0.1 OAT -0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 0.3 0.6 0.4 0.5 -0.0 -0.0 0.0 -0.1 -0.0 0.4 -0.0 0.1 -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 -0.1 0.5 0.5 -0.0 0.1 -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 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 -2.4 -0.2 0.1 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.2 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 0.4 0.2 0.5 0.1 0.1 1.2 1.1 1.2 1.2 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.3 0.1 0.5 0.0 3.2 0.7 0.0 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.1 -0.4 -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 -0.2 -0.5 -0.5 -0.3 -0.2 0.0 -0.0 0.0 PLAT 0.1 -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 -0.1 -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 -0.1 -0.5 -0.2 -0.0 -0.2 0.1 -0.1 REDWHEAT -0.1 0.1 0.1 -0.0 0.1 -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 -0.6 -0.3 -0.0 0.2 -0.3 -0.2 -0.0 -0.1 RICE -0.2 0.2 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 -0.1 0.0 -0.1 0.0 0.0 0.5 1.2 1.2 1.2 -0.0 -0.0 0.1 -0.1 0.0 -1.1 0.0 0.1 -0.0 0.0 -0.0 0.0 3.2 0.2 -0.3 0.1 0.3 -0.1 -0.3 -0.0 -0.3 ROBUSTA -0.5 -0.3 0.4 -0.0 0.1 -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 2.4 -0.3 -0.5 0.2 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.3 0.5 0.2 0.0 0.1 0.1 0.1 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 0.1 0.1 0.0 0.0 -0.1 0.7 0.5 0.5 -0.1 -0.1 -0.1 -0.3 -0.1 SHATZ -0.1 -0.5 -0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.5 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 0.6 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.4 -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 0.1 -0.7 0.6 0.2 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 0.1 0.1 0.0 0.0 0.1 -0.0 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 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR -0.1 -0.3 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 -0.1 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 0.0 -0.2 0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.3 0.5 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.1 0.1 0.0 0.7 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 0.0 0.2 0.5 0.1 -0.1 0.3 -0.0 0.3 SOYMEAL 0.1 0.3 -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 0.9 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 0.1 -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 -0.2 0.1 0.5 0.2 0.1 0.1 0.2 0.3 SP400 0.5 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.3 0.1 0.2 -0.5 0.0 0.1 0.1 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 0.3 0.5 0.5 0.0 0.2 0.1 0.1 0.1 0.0 0.2 0.4 0.2 0.2 0.2 0.2 -0.8 -0.5 -0.7 -0.6 0.2 0.2 0.3 0.4 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 -0.4 -0.5 0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.0 0.2 -0.0 0.3 -0.0 0.0 -0.0 0.9 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 -0.2 -0.5 -0.4 0.5 -0.3 -0.2 0.1 -0.1 US10 -0.0 -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 0.1 -0.0 -0.2 -0.0 -0.3 -0.3 0.2 0.0 US10U -0.1 -0.3 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 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 0.1 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 0.1 -0.1 -0.4 -0.2 -0.3 -0.2 -0.3 -0.2 US20 -0.1 -0.2 -0.1 -0.0 0.1 -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 -0.0 -0.0 -0.0 -0.0 -0.3 -0.3 0.3 0.2 US30 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.1 -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 -0.2 -0.1 0.0 -0.0 -0.3 -0.3 0.3 0.3 US5 0.0 -0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.7 -0.7 -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 0.2 -0.0 -0.2 -0.1 -0.3 -0.3 0.1 -0.2 VIX -0.1 -0.8 -0.8 -0.1 -0.0 -0.2 -0.0 -0.3 -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 -0.3 -0.6 -0.3 NaN -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT -0.4 0.5 0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.6 -0.5 -0.6 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -3.2 -0.3 -0.3 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 1.3 11.2 1.5 3.4 4.3 2.2 5.9 0.9 5.0 5.3 -3.5 5.4 -4.4 5.3 3.1 -2.3 -2.6 -2.6 -2.7 2.5 -0.7 9.9 -3.4 6.5 1.9 1.6 4.3 0.2 5.4 -1.3 3.5 -0.5 -15.8 -20.0 -9.9 -11.2 -1.9 -20.0 9.9 16.4 BITCOIN 7.1 3.4 7.5 4.9 12.6 3.8 12.8 2.9 8.4 -20.0 19.8 -0.8 -5.2 16.8 17.4 -6.7 -3.1 -5.4 -4.2 13.9 14.3 -0.4 6.2 10.2 -20.0 5.6 -4.7 5.1 -0.2 3.3 4.5 -0.7 -20.0 11.9 6.4 -6.9 -1.8 20.0 -0.5 20.0 BOBL -4.5 -9.9 -3.2 -1.7 3.7 -1.5 1.4 -2.2 -0.9 6.8 -3.6 0.7 -6.3 -4.3 -4.7 -20.0 -2.3 -15.9 -8.4 -4.9 -5.2 2.6 -8.2 -3.0 9.5 -1.8 3.7 -1.5 1.2 -2.6 -1.2 -6.9 -1.1 -0.2 -2.5 0.6 -20.0 -20.0 -20.0 -14.7 BTP -11.4 2.4 11.2 -2.5 5.5 -2.3 2.1 -3.2 -1.3 9.5 7.4 1.0 -2.4 1.6 2.7 4.6 8.8 6.3 7.5 1.5 2.4 4.5 -1.8 0.3 -6.2 1.1 7.1 2.2 2.2 0.1 -0.0 15.7 -2.4 -1.8 13.5 11.3 -20.0 -20.0 -5.3 4.1 BUND -4.6 -2.7 2.1 -1.7 3.9 -1.6 1.5 -2.3 -0.9 6.7 -3.7 0.5 -6.7 -2.6 -3.7 6.0 9.4 6.6 7.5 -3.0 -3.7 2.9 -7.8 -1.9 5.3 -1.3 5.1 -1.1 1.5 -2.6 -1.0 15.9 -4.1 1.0 1.9 2.3 -20.0 -20.0 -11.2 -3.0 BUXL -2.1 5.3 0.3 -2.1 4.8 -2.0 1.8 -2.8 -1.1 6.5 -7.4 -0.3 -9.1 -0.6 -4.0 1.4 1.2 1.7 1.9 -1.9 -4.8 2.4 -11.3 -1.1 -0.0 -0.6 6.2 -1.1 1.4 -3.4 -0.6 4.2 -10.6 3.6 7.8 3.2 -20.0 -20.0 7.6 10.1 CAC 1.7 -9.2 -6.1 4.3 12.4 5.0 8.7 4.3 5.1 10.5 14.5 7.9 16.7 3.7 7.0 -5.4 1.4 -2.1 0.0 2.4 8.9 5.7 15.8 2.6 -4.5 2.6 1.9 5.2 2.1 7.8 1.8 9.9 -20.0 -4.9 -12.6 -6.8 17.0 -3.1 20.0 -1.2 CAD -6.4 13.9 13.3 5.5 6.9 3.5 9.4 1.5 8.0 7.8 12.7 7.4 -8.0 14.1 15.1 -2.0 -1.9 -2.3 -2.3 11.7 7.8 7.7 -1.5 9.7 -0.7 5.7 3.1 4.3 3.4 0.2 4.4 0.5 -20.0 -20.0 -6.0 1.5 -18.2 -20.0 -20.0 -10.1 CANOLA 20.0 20.0 7.3 -0.1 3.6 -2.0 2.6 -2.4 1.7 9.0 -0.7 10.0 -7.3 10.2 7.2 6.1 16.7 14.8 17.1 16.4 1.6 20.0 -5.6 20.0 -20.0 2.3 2.8 -0.4 3.9 -1.5 4.1 18.7 20.0 20.0 20.0 4.9 -14.1 17.3 0.1 20.0 CHF 20.0 3.9 4.9 4.4 5.5 2.8 7.5 1.2 6.4 14.3 11.2 15.3 11.5 13.2 9.8 -13.8 -12.8 -14.0 -13.5 15.1 9.9 20.0 7.4 20.0 -7.2 4.3 9.1 2.8 10.5 1.8 7.7 -18.5 20.0 14.9 -1.6 2.0 -13.0 -20.0 -15.3 -20.0 COCOA -4.6 2.0 12.3 -0.3 7.4 -4.1 5.3 -4.8 3.5 15.5 20.0 12.1 18.3 16.1 18.6 -1.2 -0.9 -0.7 -0.4 20.0 20.0 14.7 20.0 20.0 -8.4 7.8 4.0 7.7 3.8 6.1 5.9 -11.4 -10.8 20.0 20.0 20.0 -19.7 -20.0 9.6 -10.2 COFFEE -19.8 -20.0 -4.7 -0.2 6.8 -3.8 4.8 -4.4 3.2 -13.8 -2.9 -17.4 -7.3 -18.5 -17.1 2.0 3.9 3.8 4.1 -20.0 -12.5 -15.5 -8.5 -20.0 -20.0 -4.6 -4.0 -1.6 -4.7 -0.8 -6.1 -3.4 -20.0 -20.0 -20.0 9.7 -20.0 -20.0 -8.1 -19.6 COPPER 2.5 6.1 -12.7 3.1 8.0 2.4 8.1 1.9 5.3 -0.6 -4.1 3.6 -4.2 6.5 -2.9 -2.7 -1.3 -2.3 -1.9 -1.6 -3.9 5.2 -3.2 3.4 -3.8 -0.1 0.3 -2.1 3.7 -1.8 3.0 2.7 -6.6 -10.4 2.9 -20.0 -1.2 -20.0 2.6 -17.6 CORN -20.0 15.3 -1.8 -0.1 2.5 -1.4 1.8 -1.7 1.2 5.4 -4.0 -4.3 -4.4 -4.8 -4.1 -3.7 8.6 -0.9 4.0 -3.2 -2.7 -0.5 -2.0 -3.8 -6.7 0.0 1.8 -0.9 0.2 -1.3 -0.1 1.2 1.8 -12.5 11.4 -0.5 -2.9 15.5 0.4 20.0 COTTON2 3.2 4.4 8.6 -0.2 4.3 -2.4 3.1 -2.8 2.0 10.4 1.5 10.7 -8.9 7.0 5.8 9.1 6.6 6.9 4.9 2.3 -0.5 6.2 -4.2 4.1 -18.9 1.2 4.0 0.1 4.0 -0.3 2.6 -1.2 -0.9 -1.0 -0.2 10.4 -20.0 -18.3 4.6 7.4 CRUDE_W 15.2 6.0 -6.2 1.8 6.4 -2.2 8.2 -1.7 6.3 7.5 -4.0 13.2 -10.7 13.4 -1.2 5.2 8.1 5.6 6.4 5.4 -2.6 18.0 -2.6 15.2 -5.6 4.8 4.9 1.5 7.9 1.5 7.7 -9.2 0.5 10.5 10.5 16.2 9.9 12.6 11.4 3.5 DAX -6.0 -8.0 -0.1 4.0 11.6 4.6 8.1 4.0 4.8 14.3 13.6 9.4 15.1 0.8 6.8 -8.1 -6.4 -8.1 -7.6 1.9 8.9 8.2 13.2 1.5 15.4 0.2 6.3 4.3 3.3 6.3 -0.5 -3.6 -14.7 -16.5 -16.4 -7.0 16.4 -2.1 20.0 2.0 DOW 6.0 10.5 4.5 4.0 11.7 4.6 8.1 4.0 4.8 15.9 7.9 14.5 7.6 14.6 14.4 -10.1 -6.4 -9.2 -8.2 9.7 6.8 18.0 4.2 12.8 -8.7 5.7 10.4 4.1 7.9 2.8 6.8 -4.1 7.9 13.0 16.8 1.9 -4.3 -3.4 -20.0 -1.7 EUR 15.6 6.5 2.7 4.4 5.5 2.8 7.5 1.2 6.4 14.1 11.3 15.5 7.1 13.9 8.4 -6.3 -6.8 -6.6 -6.6 11.4 7.1 20.0 3.5 20.0 13.1 4.1 7.9 2.6 9.5 1.2 7.2 -7.4 5.6 0.7 -4.0 -5.6 -5.0 -20.0 0.0 15.5 EURIBOR-ICE -2.5 -11.3 4.5 -1.6 3.7 -1.5 1.4 -2.1 -0.8 6.7 -4.3 2.9 -6.5 -3.3 -4.5 -11.8 -7.5 -10.6 -9.5 -5.3 -5.5 4.7 -8.2 -2.4 16.3 -1.8 3.7 -1.7 1.5 -2.7 -0.9 -13.5 3.8 0.0 -5.4 0.6 -20.0 -20.0 20.0 3.7 EUROSTX -1.4 -6.2 -1.7 4.1 11.8 4.7 8.2 4.1 4.8 11.4 16.4 10.4 17.1 7.6 12.5 -4.7 0.3 -4.1 -2.0 4.7 10.5 7.1 15.2 4.0 4.5 2.2 4.3 5.9 3.1 8.3 1.2 7.3 -20.0 -7.8 -11.0 -5.6 18.7 0.2 20.0 5.5 FEEDCOW 13.6 -7.0 13.5 -0.3 7.3 -4.1 5.2 -4.8 3.4 9.7 18.4 15.7 17.4 15.7 17.3 -20.0 -20.0 -20.0 -20.0 20.0 20.0 13.6 20.0 20.0 6.8 7.5 1.6 8.5 4.0 7.7 6.1 -20.0 -8.3 20.0 20.0 20.0 -0.7 -20.0 11.9 -14.8 GASOIL 17.1 18.1 -11.2 1.6 5.5 -1.9 7.0 -1.4 5.4 14.1 -8.1 15.3 -5.6 15.4 5.3 4.9 14.8 5.8 9.5 8.0 -4.5 18.3 -3.4 17.7 10.7 3.3 4.6 -1.3 6.9 -2.0 6.7 0.0 3.2 8.2 10.9 1.5 -6.8 3.8 -9.4 -4.5 GASOLINE 14.4 10.1 -2.4 2.0 7.0 -2.4 8.9 -1.8 6.9 16.9 10.2 18.6 -5.5 18.7 10.2 20.0 20.0 20.0 20.0 13.7 6.7 20.0 8.0 20.0 -20.0 6.9 6.6 4.7 8.2 5.0 8.4 20.0 7.8 15.8 20.0 20.0 9.5 12.2 12.6 -2.7 GAS_US_mini 2.7 20.0 1.2 1.4 4.8 -1.6 6.1 -1.2 4.7 -3.7 -14.4 -9.3 -14.8 2.0 -1.6 1.0 -12.4 -9.6 -13.2 -3.3 -19.2 -3.4 -20.0 -1.0 15.4 1.7 -0.5 -1.6 -1.1 -3.4 1.1 -20.0 -20.0 -6.0 -0.3 1.6 2.8 16.2 0.2 1.7 GBP 8.5 10.8 13.5 5.2 6.5 3.3 8.9 1.4 7.6 11.2 18.3 15.4 9.1 16.9 17.3 0.9 -1.1 -0.1 -0.7 20.0 16.8 20.0 8.7 20.0 -0.9 6.5 5.3 4.7 8.6 1.6 8.1 2.5 -2.9 -6.1 5.3 6.8 5.5 10.3 11.0 20.0 GOLD_micro 5.0 -16.0 -3.8 4.3 11.2 3.4 11.3 2.6 7.4 17.7 3.6 14.5 7.4 -2.4 -11.1 -15.9 -11.6 -14.6 -13.2 -7.7 -0.4 18.8 8.0 2.4 -12.1 0.2 12.6 1.5 10.3 3.9 4.8 -15.9 11.2 1.1 -19.6 -11.8 -20.0 -20.0 -6.6 -20.0 HEATOIL 19.0 17.1 -12.1 1.9 6.7 -2.3 8.5 -1.7 6.6 12.5 -11.3 16.5 -8.0 17.8 5.1 3.8 16.5 4.5 9.4 8.9 -6.4 20.0 -4.9 20.0 -20.0 5.2 3.6 0.9 6.5 0.9 7.6 1.3 5.3 16.3 20.0 9.0 -4.5 2.6 -8.6 1.9 JGB-SGX-mini -20.0 -8.2 14.4 -2.0 4.6 -1.9 1.7 -2.6 -1.0 -5.2 7.9 -7.2 7.1 -5.6 2.6 13.9 20.0 13.4 17.2 1.5 6.8 -8.6 6.4 -5.8 1.2 0.2 -1.4 1.9 -3.9 1.2 -2.7 20.0 -20.0 -9.0 4.5 11.7 -20.0 -6.2 6.1 8.0 JPY 20.0 -7.3 -16.8 3.1 3.9 2.0 5.4 0.8 4.6 7.8 -8.2 8.1 -8.5 2.1 -8.2 -16.3 -13.1 -16.0 -14.8 -8.4 -12.2 13.4 -12.7 3.7 20.0 -2.0 3.0 -2.8 4.1 -3.0 1.3 -19.8 3.9 -12.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 14.1 20.0 -7.1 -0.2 6.1 -3.4 4.3 -4.0 2.9 0.5 -7.5 10.8 -11.2 15.8 6.4 20.0 -4.5 20.0 11.6 4.7 -12.7 8.4 -19.9 13.3 14.2 -3.2 -1.3 -8.8 1.4 -10.0 1.2 -11.0 -4.7 -2.8 -2.9 -20.0 -4.2 3.5 18.5 20.0 LIVECOW 13.2 20.0 18.3 -0.3 8.7 -4.9 6.2 -5.7 4.1 20.0 20.0 20.0 20.0 20.0 20.0 -5.9 10.4 19.6 20.0 20.0 20.0 20.0 20.0 20.0 9.2 9.0 5.7 7.8 6.8 5.9 8.4 18.5 20.0 20.0 20.0 20.0 -20.0 -20.0 -16.9 -20.0 LUMBER-new 11.6 20.0 2.6 -0.3 8.9 -4.5 6.3 -4.5 4.2 12.4 -12.8 15.1 -19.7 19.3 11.9 -5.0 -12.0 -10.0 -11.5 14.5 1.3 17.5 -5.9 20.0 NaN 6.3 3.1 1.8 7.2 -0.6 8.9 -20.0 20.0 20.0 20.0 14.8 -20.0 -20.0 -20.0 -20.0 MILK 1.3 -8.7 -12.7 -0.1 4.0 -2.2 2.9 -2.6 1.9 9.0 -11.3 -4.4 -11.4 -8.1 -10.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 0.1 -17.8 -12.3 -5.8 -4.0 1.5 -3.9 -0.1 -3.1 -2.4 -20.0 4.8 -20.0 -20.0 -20.0 -20.0 -20.0 -13.5 -20.0 MXP 0.5 13.1 19.2 6.2 7.8 4.0 10.7 1.7 9.0 19.8 20.0 20.0 20.0 20.0 20.0 19.0 17.8 18.7 18.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.9 6.9 9.6 7.8 9.6 8.0 20.0 -20.0 -8.2 18.5 20.0 20.0 5.4 20.0 20.0 NASDAQ_micro 0.4 20.0 20.0 3.0 6.6 3.9 4.9 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 18.7 20.0 -20.0 5.5 4.4 5.6 3.9 3.9 4.3 -5.3 20.0 18.0 20.0 20.0 -7.2 -9.2 -14.0 -11.3 NIKKEI -20.0 8.8 20.0 4.1 12.0 4.8 8.4 4.1 4.9 0.0 16.5 -6.9 15.9 6.2 14.3 15.5 11.5 13.4 12.2 20.0 20.0 -3.1 20.0 4.2 -4.6 5.3 1.4 6.9 -0.6 5.1 1.2 20.0 -20.0 -20.0 20.0 20.0 5.7 3.3 1.3 9.9 NZD 11.0 5.9 0.0 3.0 3.8 1.9 5.2 0.8 4.4 2.3 -0.9 6.6 -0.4 5.8 1.9 0.5 0.6 0.5 0.5 3.2 0.1 9.5 -1.8 7.8 0.2 1.8 1.9 0.4 5.1 -0.6 4.1 5.1 -13.6 -9.3 -13.5 -10.4 0.8 -13.0 10.9 10.3 OAT -5.9 -0.5 5.1 -1.9 4.3 -1.8 1.6 -2.5 -1.0 7.3 -4.2 0.2 -7.1 -1.8 -2.8 5.8 9.5 7.5 8.6 -2.6 -3.2 2.9 -7.2 -1.8 7.3 -1.2 5.6 -0.9 1.5 -2.8 -1.1 17.1 -4.9 -0.1 3.5 3.8 -20.0 -20.0 -1.6 0.7 OATIES -4.2 20.0 20.0 -0.2 5.1 -2.9 3.7 -3.4 2.4 6.3 7.9 5.9 -9.2 11.8 12.0 -13.4 0.9 -10.3 -6.1 19.0 10.7 10.4 1.6 17.0 -20.0 3.9 2.4 2.1 1.1 0.2 2.9 -14.9 -4.7 5.9 20.0 20.0 6.1 20.0 17.2 20.0 OJ 7.4 -2.5 -1.0 -0.3 7.2 -4.0 5.1 -4.7 3.4 17.7 16.9 18.9 18.6 13.7 14.5 20.0 17.9 19.6 19.6 20.0 20.0 20.0 20.0 20.0 -20.0 6.6 10.1 12.0 6.3 17.6 4.8 20.0 20.0 1.9 20.0 20.0 14.4 6.5 20.0 16.7 PALLAD -4.6 -16.7 -7.0 2.3 5.9 1.8 6.0 1.4 3.9 9.1 -10.9 -1.0 -11.1 -7.2 -9.6 -3.4 -2.5 -3.2 -2.9 -14.0 -17.6 3.7 -20.0 -6.9 -5.2 -3.2 3.7 -3.2 1.2 -3.2 -1.8 0.7 -5.1 -20.0 -20.0 -10.9 -16.2 0.4 -0.0 2.2 PLAT 5.5 -20.0 -7.2 2.7 7.0 2.1 7.0 1.6 4.6 11.9 -6.2 9.5 0.8 -4.1 -8.4 -2.8 -1.8 -2.5 -2.2 -9.2 -6.6 15.2 -1.3 0.1 12.6 -1.5 7.1 -1.1 5.8 -0.1 1.4 2.0 10.7 -5.8 -20.0 -7.2 -0.4 -14.5 7.1 -9.6 REDWHEAT -5.2 4.1 2.5 -0.2 5.1 -2.8 3.6 -3.3 2.4 2.4 -0.6 -4.4 -11.0 -1.3 2.7 -0.7 3.9 2.3 4.0 0.2 -1.9 1.0 -3.7 0.3 -13.7 -0.6 1.7 -0.8 -1.4 -0.7 -1.8 -3.2 -16.8 -11.7 -1.1 6.9 -20.0 -16.0 -3.8 -7.0 RICE -8.4 8.8 -0.4 -0.2 5.9 -3.3 4.2 -3.9 2.8 12.1 -5.4 0.6 -3.7 4.1 4.8 8.4 20.0 20.0 20.0 -0.6 -3.0 8.5 -2.7 1.6 -20.0 0.1 10.1 -1.1 4.5 -1.5 0.6 20.0 6.8 -11.4 4.3 12.5 -9.9 -20.0 -0.0 -20.0 ROBUSTA -20.0 -10.6 15.0 -0.2 4.9 -2.8 3.5 -3.3 2.3 -5.8 10.8 -8.6 10.5 -6.8 7.0 20.0 13.3 20.0 17.5 6.3 16.1 -6.2 16.4 -4.5 -9.3 2.3 -0.8 5.5 -1.7 5.4 -1.1 15.4 -8.2 -20.0 6.7 20.0 -8.5 -20.0 3.3 -15.1 RUSSELL 12.3 20.0 8.2 3.4 9.8 3.9 6.8 3.4 4.0 13.2 -0.2 13.6 -4.9 13.5 11.1 -6.5 -4.7 -6.1 -5.7 12.9 5.7 20.0 -1.5 17.6 -1.0 4.7 6.1 2.5 6.1 0.8 5.9 -0.5 20.0 19.7 20.0 -3.6 -5.1 -6.6 -20.0 -8.4 SHATZ -3.9 -19.8 -16.1 -1.7 3.8 -1.6 1.4 -2.2 -0.9 6.2 -5.5 0.4 -6.8 -5.8 -6.3 -8.3 0.9 -4.1 -2.5 -9.1 -9.3 1.2 -11.7 -5.7 11.2 -2.3 2.1 -2.2 0.5 -2.9 -1.5 0.0 0.2 -2.5 -9.1 -3.7 -20.0 -20.0 -20.0 -20.0 SILVER-mini 14.9 -7.3 -2.8 3.5 9.0 2.7 9.1 2.1 6.0 14.7 3.3 13.8 4.3 8.4 -1.9 -6.4 -5.2 -6.4 -6.0 2.1 1.7 20.0 3.4 12.9 7.2 2.6 10.2 1.6 10.0 1.1 6.3 -4.3 16.6 7.6 0.3 1.8 -11.8 -20.0 -2.2 -20.0 SMI -11.7 -16.8 5.1 3.8 11.1 4.4 7.7 3.8 4.5 3.9 6.6 -4.4 2.3 -10.6 0.8 -3.0 2.3 -2.4 -0.3 -6.8 1.0 -4.6 3.7 -10.2 2.4 -3.2 1.9 -0.7 -2.4 -0.7 -4.7 10.5 -20.0 -20.0 -20.0 -6.4 -7.0 -11.1 -12.2 -16.6 SOFR -3.7 -13.9 0.8 -1.8 3.9 -1.6 1.5 -2.3 -0.9 6.4 -0.2 4.8 -1.5 -0.8 -2.6 -2.3 -0.4 -1.3 -0.8 -3.8 -2.1 4.6 -2.0 -1.5 -1.3 -1.6 2.8 -0.8 1.8 -0.5 -0.5 0.1 6.8 0.1 -6.0 4.3 -20.0 -20.0 -6.8 -0.6 SOYBEAN 11.6 20.0 0.1 -0.1 2.8 -1.5 2.0 -1.8 1.3 6.8 0.8 6.6 -2.5 6.6 5.1 11.0 20.0 14.1 18.4 5.5 0.9 7.5 -1.1 8.0 -15.8 1.7 1.4 0.3 1.7 -0.3 2.3 20.0 0.4 7.8 20.0 5.3 -7.6 20.0 -2.9 20.0 SOYMEAL 5.0 10.8 -20.0 -0.1 2.8 -1.6 2.0 -1.8 1.3 6.8 -1.8 0.6 1.6 0.1 -1.6 15.1 20.0 20.0 20.0 0.3 -1.0 6.4 1.0 3.5 -16.5 1.5 2.5 0.6 2.3 1.0 2.4 20.0 3.5 10.8 11.8 2.1 -8.0 -19.7 -2.9 -17.8 SOYOIL 20.0 20.0 7.3 -0.1 2.6 -1.5 1.9 -1.7 1.3 0.8 -0.5 5.6 -3.2 6.7 5.6 11.0 9.9 9.1 8.0 8.1 2.0 5.4 -1.3 9.6 -20.0 1.9 0.0 0.5 1.0 -0.3 2.1 4.5 -7.4 4.4 20.0 8.6 3.8 7.5 15.1 20.0 SP400 19.4 20.0 5.6 3.5 10.2 4.1 7.1 3.5 4.2 13.1 2.7 14.2 2.3 14.9 12.5 -4.9 -4.3 -5.1 -4.9 17.4 8.8 20.0 2.8 20.0 -10.0 4.9 4.8 2.4 5.7 1.1 6.2 0.5 20.0 20.0 20.0 -2.5 -3.0 -8.0 -11.8 -9.7 SP500_micro 10.1 20.0 20.0 4.7 13.7 5.4 9.5 4.7 5.6 18.7 20.0 19.5 6.2 20.0 20.0 -12.7 -7.7 -11.2 -9.6 20.0 20.0 20.0 17.1 20.0 -18.6 7.8 7.6 6.4 7.1 3.9 7.6 -6.2 20.0 20.0 20.0 20.0 -4.7 -8.1 -10.4 -10.3 SUGAR11 -17.8 -20.0 0.9 -0.2 5.3 -3.0 3.8 -3.5 2.5 2.8 9.4 -1.2 11.4 -2.7 3.7 -0.4 15.9 3.8 10.4 -0.3 11.9 1.9 18.3 -3.8 -20.0 0.6 0.5 5.7 0.3 8.5 -1.3 13.8 -4.6 -20.0 -16.7 20.0 -19.9 -18.7 9.3 -8.6 US10 -1.7 -14.3 -3.9 -1.7 3.8 -1.6 1.4 -2.2 -0.9 5.2 -3.2 2.8 -5.7 -2.6 -4.8 -9.0 -6.3 -9.1 -8.5 -6.1 -5.3 2.6 -6.0 -3.2 0.6 -2.0 1.9 -1.5 1.2 -1.3 -0.8 -11.7 3.5 -0.7 -7.2 -1.9 -20.0 -20.0 13.1 2.8 US10U -3.1 -10.4 -2.5 -2.3 5.2 -2.1 2.0 -3.0 -1.2 7.4 -3.8 3.1 -7.4 -3.1 -6.5 1.2 -0.2 -0.4 -1.0 -7.0 -6.2 2.9 -7.9 -3.8 -3.9 -2.7 2.9 -2.0 1.7 -1.7 -1.0 -0.0 2.0 0.1 -6.6 -1.8 -20.0 -20.0 20.0 17.1 US2 3.9 -20.0 -20.0 -1.6 3.6 -1.5 1.4 -2.1 -0.8 2.1 -5.4 1.1 -6.2 -4.9 -6.4 -20.0 -18.3 -20.0 -20.0 -11.3 -10.5 0.7 -10.2 -6.3 7.0 -2.3 0.5 -2.0 0.2 -2.0 -1.3 -20.0 4.1 -4.3 -14.8 -7.9 -20.0 -16.3 -20.0 -12.0 US20 -4.5 -7.3 -2.6 -1.9 4.2 -1.8 1.6 -2.5 -1.0 6.5 -2.3 1.1 -4.8 -2.2 -5.4 -1.4 -1.3 -1.4 -1.7 -5.1 -4.6 1.6 -6.4 -3.1 -4.0 -2.2 2.6 -1.7 1.5 -1.7 -0.8 -1.4 -1.0 -0.2 -1.9 -0.6 -20.0 -20.0 19.9 18.1 US30 -5.3 -3.6 -2.1 -2.3 5.2 -2.2 2.0 -3.0 -1.2 7.5 -5.2 -1.1 -7.1 -3.2 -7.6 -4.0 -1.0 -1.9 -1.5 -5.7 -5.9 -0.2 -9.6 -4.2 -3.8 -3.0 2.6 -2.3 0.8 -2.6 -1.8 -0.8 -7.3 -2.6 0.5 -0.5 -20.0 -20.0 20.0 20.0 US5 1.3 -16.8 -6.1 -1.6 3.6 -1.5 1.4 -2.1 -0.8 4.4 -3.6 3.5 -5.7 -2.7 -4.9 -13.4 -8.1 -12.6 -11.1 -6.6 -5.8 3.0 -6.3 -3.1 2.9 -2.0 1.6 -1.5 1.1 -1.5 -0.8 -15.3 5.7 -0.6 -8.9 -2.7 -20.0 -20.0 5.8 -13.5 VIX -2.4 -20.0 -20.0 -7.0 -1.8 -6.9 -3.4 -6.2 -5.5 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.4 -20.0 -20.0 NaN -8.4 -1.7 -8.1 -3.5 -7.3 -6.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -14.4 20.0 6.3 -0.1 2.9 -1.6 2.1 -1.9 1.4 5.0 -4.9 -4.8 -7.6 -2.4 -2.2 -9.3 -8.8 -10.2 -10.1 -1.4 -4.1 -0.3 -6.2 -1.3 -4.0 -0.3 1.2 -1.2 -0.5 -1.6 -0.6 -20.0 -7.9 -10.1 5.8 -0.9 -16.8 -17.9 -7.4 -8.2 End of report for caleb_strategy_v3