******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230719_204334 produced at 2023-07-19 21:38:07.134518 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.10 -0.61 0.0 0.98 -0.98 -0.10 -0.10 -6.23 10.0 -1 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -4.30 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -2.63 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 -30.04 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.29 -0.14 0.0 0.55 -0.55 -0.29 -0.29 -4.26 17.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.06 -0.12 0.0 0.40 -0.40 -0.06 -0.09 -16.31 56.0 -9 -13 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.53 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.16 -0.09 0.0 0.97 -0.97 -0.16 -0.16 -2.21 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 -27.89 26.0 -20 -20 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.06 0.0 0.89 -0.89 -0.05 -0.05 -1.28 19.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.06 0.0 0.69 -0.69 -0.16 -0.16 -1.21 13.0 -3 -3 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 0.21 -0.21 -0.03 -0.03 -1.81 6.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.69 -0.69 0.00 0.00 -1.15 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -1.11 8.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.36 5.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.62 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 -0.81 19.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.02 0.0 0.80 -0.80 -0.03 -0.03 -0.58 29.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 -0.39 -0.01 0.0 0.56 -0.56 -0.39 -0.34 -0.23 13.0 -9 -8 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.19 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 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.71 2.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.26 9.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.28 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.74 9.0 -2 -2 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -9.43 59.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.10 -0.01 0.0 0.38 -0.38 -0.10 -0.11 -1.19 58.0 -15 -16 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.53 6.0 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 0.09 0.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.13 12.0 0 0 caleb_strategy_v3 BUXL False False 0.06 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.02 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.18 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.11 -0.00 0.0 0.18 -0.18 -0.11 -0.09 -0.17 10.0 -6 -5 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.03 1.53 23.0 3 3 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.37 11.0 1 1 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.71 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 0.51 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.47 -0.47 0.02 0.02 0.32 21.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.18 -0.18 0.02 0.02 1.07 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 1.60 66.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.15 0.01 0.0 0.71 -0.71 0.15 0.15 0.29 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 0.76 26.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.07 0.02 0.0 0.27 -0.27 0.07 0.07 1.45 23.0 6 6 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.83 12.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.02 0.0 0.18 -0.18 0.05 0.05 0.60 7.0 2 2 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.54 -0.54 0.05 0.05 0.38 10.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.03 0.0 0.15 -0.15 -0.01 -0.01 2.27 13.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 0.01 0.03 0.0 0.25 -0.25 0.01 0.01 6.94 68.0 3 4 caleb_strategy_v3 EUROSTX False False 0.02 0.20 0.03 0.0 0.36 -0.36 0.20 0.21 1.50 20.0 11 12 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.03 0.0 0.40 -0.40 0.02 0.02 3.54 48.0 2 2 caleb_strategy_v3 SP400 False False 0.10 0.20 0.04 0.0 0.20 -0.20 0.20 0.20 0.37 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 3.62 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 2.86 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.05 0.0 0.12 -0.12 0.00 0.00 1.14 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 1.75 4.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.06 0.0 0.13 -0.13 0.05 0.05 2.05 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 12.87 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 1.33 10.0 4 4 caleb_strategy_v3 GBP False False 0.03 0.23 0.07 0.0 0.64 -0.64 0.23 0.18 2.32 22.0 8 6 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.52 -0.52 0.00 0.00 1.51 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.95 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.13 0.19 0.0 0.45 -0.45 0.13 0.13 7.16 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 46.50 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.63 0.96 0.0 0.64 -0.64 0.63 0.63 90.17 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.61 1.55 0.0 0.61 -0.61 0.61 0.61 40.60 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.4 Shocked risk 66.2 Sum abs risk 55.6 Leverage 5.90 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 0.6790 0.7315 11.7039 BITCOIN 797.9947 30130.0000 2.6485 42.3761 BOBL 0.3176 116.0800 0.2736 4.3775 BTP 0.7627 116.2300 0.6562 10.4998 BUND 0.6490 133.8700 0.4848 7.7571 BUXL 1.4190 138.1800 1.0269 16.4302 CAC 63.8068 7360.0000 0.8669 13.8711 CAD 0.0033 0.7603 0.4309 6.8951 CANOLA 8.7760 837.5000 1.0479 16.7661 CHF 0.0057 1.1721 0.4850 7.7600 COCOA 40.8131 3422.0000 1.1927 19.0827 COFFEE 2.8063 155.7000 1.8024 28.8382 COPPER 0.0450 3.8175 1.1797 18.8749 CORN 12.7478 553.2500 2.3042 36.8668 COTTON2 1.2906 85.0400 1.5176 24.2813 CRUDE_W 1.1203 74.5800 1.5021 24.0342 DAX 127.3631 16213.0000 0.7856 12.5690 DOW 200.3329 35289.0000 0.5677 9.0831 EUR 0.0054 1.1234 0.4805 7.6881 EURIBOR-ICE 0.0673 97.1200 0.0693 1.1086 EUROSTX 41.3015 4384.0000 0.9421 15.0735 FEEDCOW 1.7609 250.4500 0.7031 11.2495 GASOIL 11.3935 760.7500 1.4977 23.9627 GASOLINE 0.0371 2.4164 1.5348 24.5571 GAS_US_mini 0.0901 2.6150 3.4461 55.1375 GBP 0.0074 1.2929 0.5698 9.1169 GOLD_micro 12.0181 1981.6000 0.6065 9.7038 HEATOIL 0.0356 2.6254 1.3557 21.6905 JGB-SGX-mini 0.2482 147.7200 0.1680 2.6881 JPY 0.0000 0.0072 0.6365 10.1842 LEANHOG 1.1432 81.9750 1.3945 22.3124 LIVECOW 1.1164 183.6750 0.6078 9.7248 LUMBER-new 12.0622 551.0000 2.1891 35.0263 MILK 0.2575 16.3800 1.5721 25.1536 MXP 0.0003 0.0591 0.5790 9.2637 NASDAQ_micro 112.9615 15981.7500 0.7068 11.3091 NIKKEI 307.3672 32790.0000 0.9374 14.9981 NZD 0.0049 0.6258 0.7770 12.4318 OAT 0.6691 128.4200 0.5211 8.3369 OATIES 7.9979 446.0000 1.7932 28.6919 OJ 4.0377 287.6500 1.4037 22.4587 PALLAD 23.2460 1307.5000 1.7779 28.4464 PLAT 13.9554 983.6000 1.4188 22.7010 REDWHEAT 15.4308 872.2500 1.7691 28.3054 RICE 0.1695 15.7700 1.0749 17.1984 ROBUSTA 39.0855 2602.0000 1.5021 24.0341 RUSSELL 18.7349 1997.1000 0.9381 15.0097 SHATZ 0.1019 105.0200 0.0970 1.5524 SILVER-mini 0.3536 25.5875 1.3819 22.1108 SMI 81.3446 11159.0000 0.7290 11.6634 SOFR 0.0823 96.8250 0.0850 1.3596 SOYBEAN 20.4891 1407.0000 1.4562 23.2996 SOYMEAL 7.0998 415.4000 1.7092 27.3466 SOYOIL 1.1338 61.4300 1.8456 29.5304 SP400 21.1206 2741.3000 0.7705 12.3273 SP500_micro 23.9612 4603.5000 0.5205 8.3280 SUGAR11 0.3648 24.2100 1.5070 24.1122 US10 0.4716 112.9531 0.4175 6.6803 US10U 0.6131 119.0781 0.5149 8.2379 US2 0.1321 101.8711 0.1297 2.0746 US20 0.8262 127.6562 0.6472 10.3553 US30 1.2007 136.3750 0.8805 14.0873 US5 0.3254 107.7578 0.3020 4.8319 VIX 0.4625 17.3000 2.6734 42.7743 WHEAT 16.6073 743.5000 2.2337 35.7387 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 679.00 0.73 496.68 1.00 496.68 46875.0 94.38 -2.63 -24.80 BITCOIN 30.13 2.65 79.80 1.00 79.80 46875.0 587.41 -1.33 -78.40 BOBL 1160.80 0.27 317.59 1.12 357.24 46875.0 131.21 -10.50 -137.78 BTP 1162.30 0.66 762.74 1.12 857.97 46875.0 54.63 7.78 42.50 BUND 1338.70 0.48 649.02 1.12 730.05 46875.0 64.21 6.42 41.21 BUXL 1381.80 1.03 1418.96 1.12 1596.11 46875.0 29.37 0.72 2.10 CAC 736.00 0.87 638.07 1.12 717.73 46875.0 65.31 3.88 25.33 CAD 760.30 0.43 327.64 1.00 327.64 46875.0 143.07 -1.25 -17.93 CANOLA 167.50 1.05 175.52 0.76 132.97 46875.0 352.51 17.43 614.44 CHF 1465.12 0.49 710.59 1.00 710.59 46875.0 65.97 -5.62 -37.10 COCOA 342.20 1.19 408.13 1.00 408.13 46875.0 114.85 3.56 40.94 COFFEE 583.87 1.80 1052.37 1.00 1052.37 46875.0 44.54 -11.79 -52.53 COPPER 954.38 1.18 1125.86 1.00 1125.86 46875.0 41.63 -3.61 -15.02 CORN 276.62 2.30 637.39 1.00 637.39 46875.0 73.54 0.84 6.20 COTTON2 425.20 1.52 645.28 1.00 645.28 46875.0 72.64 2.73 19.83 CRUDE_W 745.80 1.50 1120.29 1.00 1120.29 46875.0 41.84 4.00 16.75 DAX 162.13 0.79 127.36 1.12 143.26 46875.0 327.19 -1.12 -36.54 DOW 176.44 0.57 100.17 1.00 100.17 46875.0 467.97 1.53 71.47 EUR 1404.31 0.48 674.78 1.00 674.78 46875.0 69.47 1.28 8.91 EURIBOR-ICE 2428.00 0.07 168.23 1.12 189.23 46875.0 247.72 -8.06 -199.74 EUROSTX 438.40 0.94 413.01 1.12 464.58 46875.0 100.90 4.55 45.90 FEEDCOW 1252.25 0.70 880.45 1.00 880.45 46875.0 53.24 -6.14 -32.69 GASOIL 760.75 1.50 1139.35 1.00 1139.35 46875.0 41.14 8.67 35.67 GASOLINE 1014.89 1.53 1557.67 1.00 1557.67 46875.0 30.09 20.00 60.19 GAS_US_mini 65.38 3.45 225.29 1.00 225.29 46875.0 208.07 -10.95 -227.74 GBP 808.06 0.57 460.44 1.00 460.44 46875.0 101.80 7.01 71.38 GOLD_micro 198.16 0.61 120.18 1.00 120.18 46875.0 390.04 -11.04 -430.70 HEATOIL 1102.67 1.36 1494.84 1.00 1494.84 46875.0 31.36 7.44 23.35 JGB-SGX-mini 147720.00 0.17 24818.26 0.01 179.08 46875.0 261.76 11.87 310.70 JPY 903.56 0.64 575.13 1.00 575.13 46875.0 81.50 -16.09 -131.16 LEANHOG 327.90 1.39 457.27 1.00 457.27 46875.0 102.51 3.55 36.34 LIVECOW 734.70 0.61 446.55 1.00 446.55 46875.0 104.97 20.00 209.94 LUMBER-new 151.52 2.19 331.71 1.00 331.71 46875.0 141.31 -5.00 -70.71 MILK 327.60 1.57 515.02 1.00 515.02 46875.0 91.02 -20.00 -182.03 MXP 295.40 0.58 171.03 1.00 171.03 46875.0 274.07 20.00 548.14 NASDAQ_micro 319.64 0.71 225.92 1.00 225.92 46875.0 207.48 3.13 64.90 NIKKEI 32790.00 0.94 30736.72 0.01 221.78 46875.0 211.35 16.84 355.83 NZD 625.75 0.78 486.20 1.00 486.20 46875.0 96.41 1.01 9.75 OAT 1284.20 0.52 669.14 1.12 752.68 46875.0 62.28 7.75 48.29 OATIES 223.00 1.79 399.89 1.00 399.89 46875.0 117.22 -2.88 -33.74 OJ 431.48 1.40 605.65 1.00 605.65 46875.0 77.40 20.00 154.79 PALLAD 1307.50 1.78 2324.60 1.00 2324.60 46875.0 20.16 -8.11 -16.36 PLAT 491.80 1.42 697.77 1.00 697.77 46875.0 67.18 -0.67 -4.49 REDWHEAT 436.12 1.77 771.54 1.00 771.54 46875.0 60.75 -2.55 -15.48 RICE 315.40 1.07 339.02 1.00 339.02 46875.0 138.27 12.51 173.02 ROBUSTA 260.20 1.50 390.85 1.00 390.85 46875.0 119.93 12.72 152.53 RUSSELL 99.86 0.94 93.67 1.00 93.67 46875.0 500.40 4.36 217.97 SHATZ 1050.20 0.10 101.89 1.12 114.61 46875.0 408.98 -6.66 -272.29 SILVER-mini 639.69 1.38 884.00 1.00 884.00 46875.0 53.03 0.43 2.30 SMI 1115.90 0.73 813.45 1.16 947.01 46875.0 49.50 -1.60 -7.92 SOFR 2420.62 0.08 205.69 1.00 205.69 46875.0 227.89 -1.99 -45.36 SOYBEAN 703.50 1.46 1024.45 1.00 1024.45 46875.0 45.76 16.48 75.40 SOYMEAL 415.40 1.71 709.98 1.00 709.98 46875.0 66.02 13.45 88.80 SOYOIL 368.58 1.85 680.27 1.00 680.27 46875.0 68.91 9.15 63.08 SP400 2741.30 0.77 2112.06 1.00 2112.06 46875.0 22.19 5.23 11.60 SP500_micro 230.18 0.52 119.81 1.00 119.81 46875.0 391.26 4.05 158.41 SUGAR11 271.15 1.51 408.63 1.00 408.63 46875.0 114.71 5.12 58.68 US10 1129.53 0.42 471.60 1.00 471.60 46875.0 99.39 -9.59 -95.29 US10U 1190.78 0.51 613.10 1.00 613.10 46875.0 76.46 -2.47 -18.90 US2 2037.42 0.13 264.17 1.00 264.17 46875.0 177.44 -20.00 -354.88 US20 1276.56 0.65 826.20 1.00 826.20 46875.0 56.74 -2.69 -15.29 US30 1363.75 0.88 1200.72 1.00 1200.72 46875.0 39.04 -3.71 -14.47 US5 1077.58 0.30 325.42 1.00 325.42 46875.0 144.04 -12.70 -182.93 VIX 173.00 2.67 462.50 1.00 462.50 46875.0 101.35 -20.00 -202.70 WHEAT 371.75 2.23 830.37 1.00 830.37 46875.0 56.45 -11.54 -65.16 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -24.799 0.013 2.5 -0.806 BITCOIN -78.397 0.048 2.5 -9.428 BOBL -137.777 0.004 2.5 -1.278 BTP 42.504 0.012 2.5 1.326 BUND 41.206 0.004 2.5 0.382 BUXL 2.105 0.004 2.5 0.020 CAC 25.332 0.013 2.5 0.828 CAD -17.932 0.013 2.5 -0.583 CANOLA 614.441 0.008 2.5 12.872 CHF -37.100 0.013 2.5 -1.206 COCOA 40.941 0.007 2.5 0.755 COFFEE -52.529 0.004 2.5 -0.528 COPPER -15.021 0.048 2.5 -1.806 CORN 6.201 0.008 2.5 0.130 COTTON2 19.833 0.007 2.5 0.366 CRUDE_W 16.750 0.049 2.5 2.051 DAX -36.545 0.013 2.5 -1.194 DOW 71.469 0.009 2.5 1.596 EUR 8.907 0.013 2.5 0.289 EURIBOR-ICE -199.736 0.012 2.5 -6.230 EUROSTX 45.903 0.013 2.5 1.500 FEEDCOW -32.693 0.014 2.5 -1.114 GASOIL 35.674 0.020 2.5 1.749 GASOLINE 60.186 0.020 2.5 2.951 GAS_US_mini -227.736 0.049 2.5 -27.892 GBP 71.378 0.013 2.5 2.320 GOLD_micro -430.705 0.015 2.5 -16.315 HEATOIL 23.345 0.020 2.5 1.145 JGB-SGX-mini 310.697 0.052 2.5 40.601 JPY -131.162 0.013 2.5 -4.263 LEANHOG 36.345 0.025 2.5 2.272 LIVECOW 209.942 0.014 2.5 7.156 LUMBER-new -70.710 0.007 2.5 -1.279 MILK -182.032 0.007 2.5 -3.358 MXP 548.144 0.066 2.5 90.173 NASDAQ_micro 64.896 0.009 2.5 1.449 NIKKEI 355.833 0.052 2.5 46.499 NZD 9.751 0.013 2.5 0.317 OAT 48.290 0.012 2.5 1.506 OATIES -33.745 0.008 2.5 -0.707 OJ 154.793 0.007 2.5 2.856 PALLAD -16.361 0.015 2.5 -0.620 PLAT -4.489 0.015 2.5 -0.170 REDWHEAT -15.477 0.005 2.5 -0.177 RICE 173.020 0.008 2.5 3.625 ROBUSTA 152.528 0.004 2.5 1.534 RUSSELL 217.973 0.013 2.5 6.941 SHATZ -272.290 0.004 2.5 -2.525 SILVER-mini 2.300 0.015 2.5 0.087 SMI -7.922 0.013 2.5 -0.259 SOFR -45.357 0.023 2.5 -2.633 SOYBEAN 75.405 0.003 2.5 0.604 SOYMEAL 88.800 0.003 2.5 0.711 SOYOIL 63.075 0.003 2.5 0.506 SP400 11.600 0.013 2.5 0.369 SP500_micro 158.411 0.009 2.5 3.538 SUGAR11 58.675 0.007 2.5 1.075 US10 -95.287 0.005 2.5 -1.153 US10U -18.896 0.005 2.5 -0.229 US2 -354.878 0.005 2.5 -4.295 US20 -15.286 0.005 2.5 -0.185 US30 -14.466 0.005 2.5 -0.175 US5 -182.933 0.005 2.5 -2.214 VIX -202.704 0.059 2.5 -30.035 WHEAT -65.164 0.005 2.5 -0.744 ===================== Position diags ===================== AUD 3.07 BITCOIN 70.64 BOBL 1.22 BTP 1.70 BUND 0.60 BUXL 0.27 CAC 2.13 CAD 4.65 CANOLA 7.38 CHF 2.14 COCOA 2.12 COFFEE 0.45 COPPER 5.01 CORN 1.54 COTTON2 1.34 CRUDE_W 5.12 DAX 10.69 DOW 10.45 EUR 2.26 EURIBOR-ICE 7.73 EUROSTX 3.30 FEEDCOW 1.81 GASOIL 2.02 GASOLINE 1.48 GAS_US_mini 25.48 GBP 3.31 GOLD_micro 14.77 HEATOIL 1.54 JGB-SGX-mini 34.21 JPY 2.65 LEANHOG 6.41 LIVECOW 3.58 LUMBER-new 2.56 MILK 1.68 MXP 45.09 NASDAQ_micro 4.63 NIKKEI 27.62 NZD 3.13 OAT 1.94 OATIES 2.46 OJ 1.43 PALLAD 0.76 PLAT 2.54 REDWHEAT 0.69 RICE 2.90 ROBUSTA 1.21 RUSSELL 15.93 SHATZ 3.79 SILVER-mini 2.01 SMI 1.62 SOFR 13.23 SOYBEAN 0.37 SOYMEAL 0.53 SOYOIL 0.55 SP400 0.71 SP500_micro 8.74 SUGAR11 2.10 US10 1.20 US10U 0.93 US2 2.15 US20 0.69 US30 0.47 US5 1.74 VIX 15.02 WHEAT 0.64 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.8 -1.1 -0.5 NaN 0 BITCOIN -9.4 -16.5 -2.4 0.0 0 BOBL -1.3 -1.4 -1.2 -1.0 -1 BTP 1.3 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 0.8 0.6 1.0 NaN 0 CAD -0.6 -1.0 -0.1 -1.0 -1 CANOLA 12.9 12.1 13.6 NaN 0 CHF -1.2 -1.4 -1.0 -3.0 -3 COCOA 0.8 0.5 1.0 2.0 2 COFFEE -0.5 -0.6 -0.5 NaN 0 COPPER -1.8 -2.3 -1.3 -1.0 -1 CORN 0.1 -0.0 0.3 0.0 0 COTTON2 0.4 0.2 0.5 1.0 1 CRUDE_W 2.1 1.5 2.6 2.0 2 DAX -1.2 -2.3 -0.1 -15.0 -15 DOW 1.6 0.6 2.6 NaN 0 EUR 0.3 0.1 0.5 3.0 3 EURIBOR-ICE -6.2 -7.0 -5.5 -1.0 -1 EUROSTX 1.5 1.2 1.8 11.0 11 FEEDCOW -1.1 -1.3 -0.9 NaN 0 GASOIL 1.7 1.5 2.0 1.0 1 GASOLINE 3.0 2.8 3.1 4.0 4 GAS_US_mini -27.9 -30.4 -25.3 -20.0 -20 GBP 2.3 2.0 2.7 8.0 8 GOLD_micro -16.3 -17.8 -14.8 -9.0 -9 HEATOIL 1.1 1.0 1.3 0.0 0 JGB-SGX-mini 40.6 37.2 44.0 16.0 16 JPY -4.3 -4.5 -4.0 -9.0 -9 LEANHOG 2.3 1.6 2.9 -1.0 -1 LIVECOW 7.2 6.8 7.5 5.0 5 LUMBER-new -1.3 -1.5 -1.0 NaN 0 MILK -3.4 -3.5 -3.2 NaN 0 MXP 90.2 85.7 94.7 59.0 59 NASDAQ_micro 1.4 1.0 1.9 6.0 6 NIKKEI 46.5 43.7 49.3 35.0 35 NZD 0.3 0.0 0.6 1.0 1 OAT 1.5 1.3 1.7 NaN 0 OATIES -0.7 -1.0 -0.5 NaN 0 OJ 2.9 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 -0.2 -0.2 -0.1 NaN 0 RICE 3.6 3.3 3.9 NaN 0 ROBUSTA 1.5 1.4 1.7 3.0 3 RUSSELL 6.9 5.3 8.5 3.0 3 SHATZ -2.5 -2.9 -2.1 NaN 0 SILVER-mini 0.1 -0.1 0.3 NaN 0 SMI -0.3 -0.4 -0.1 0.0 0 SOFR -2.6 -4.0 -1.3 NaN 0 SOYBEAN 0.6 0.6 0.6 2.0 2 SOYMEAL 0.7 0.7 0.8 NaN 0 SOYOIL 0.5 0.5 0.6 1.0 1 SP400 0.4 0.3 0.4 2.0 2 SP500_micro 3.5 2.7 4.4 2.0 2 SUGAR11 1.1 0.9 1.3 2.0 2 US10 -1.2 -1.3 -1.0 NaN 0 US10U -0.2 -0.3 -0.1 -9.0 -9 US2 -4.3 -4.5 -4.1 NaN 0 US20 -0.2 -0.3 -0.1 NaN 0 US30 -0.2 -0.2 -0.1 NaN 0 US5 -2.2 -2.4 -2.0 -4.0 -4 VIX -30.0 -31.5 -28.5 -17.0 -17 WHEAT -0.7 -0.8 -0.7 -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 0.1 0.3 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 -0.1 -0.2 -0.2 -0.2 0.0 -0.0 0.1 -0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.5 -0.5 -0.3 -0.3 -0.0 -0.3 0.1 0.2 BITCOIN 0.1 0.1 0.2 0.0 0.1 0.1 0.1 0.1 0.1 -0.2 0.4 -0.0 -0.1 0.1 0.1 -0.4 -0.2 -0.3 -0.3 0.1 0.1 -0.0 0.1 0.1 -1.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.7 0.1 0.1 -0.2 -0.0 0.3 -0.0 0.3 BOBL -0.1 -0.2 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -1.2 -0.2 -1.0 -0.5 -0.0 -0.0 0.1 -0.2 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.2 -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 -0.2 -0.1 0.3 0.3 -0.3 -0.3 -0.1 0.1 BUND -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 -0.0 0.3 0.6 0.4 0.4 -0.0 -0.0 0.1 -0.2 -0.0 0.3 -0.0 0.1 -0.0 0.0 -0.1 -0.0 2.6 -0.1 0.0 0.0 0.1 -0.3 -0.3 -0.2 -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 0.1 -0.2 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.7 -0.3 0.1 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.1 -0.2 -0.2 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.5 0.0 0.1 -0.4 0.1 -0.2 -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 1.5 -0.7 -0.2 -0.3 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.2 0.4 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 0.1 -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 0.2 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 0.2 -0.2 0.2 0.0 0.3 CHF 0.5 0.1 0.1 0.0 0.0 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 0.1 -0.2 -0.3 -0.2 -0.3 COCOA -0.1 0.1 0.3 0.0 0.1 -0.1 0.1 -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 -0.5 0.1 0.1 0.2 0.0 0.2 0.1 -1.8 -0.3 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.5 -0.5 -0.2 0.0 0.1 -0.1 0.1 -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 0.0 -0.0 -0.2 -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 -0.1 0.0 0.4 -0.3 -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 0.2 -0.4 0.3 -0.0 -0.0 0.2 0.0 0.3 COTTON2 0.2 0.1 0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.3 0.1 0.1 0.6 0.4 0.4 0.3 0.0 -0.0 0.1 -0.1 0.0 -1.0 0.0 0.1 0.0 0.0 -0.0 0.0 -0.2 0.1 0.0 0.0 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.4 0.2 -0.1 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 0.1 -0.0 0.2 -0.1 0.1 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 -1.4 -0.2 0.2 0.2 0.4 0.1 0.2 0.2 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 -0.6 -0.5 -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 0.3 0.1 0.1 -0.5 0.0 0.1 0.1 0.1 0.1 0.1 -0.7 0.2 0.3 0.5 0.1 -0.1 -0.0 -0.3 -0.0 EUR 0.4 0.2 0.1 0.0 0.0 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 0.0 -0.2 0.2 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.7 -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 0.1 EUROSTX -0.0 -0.1 -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 0.0 0.1 0.0 0.2 0.0 1.1 -0.7 -0.3 -0.3 -0.2 0.2 0.0 0.3 0.1 FEEDCOW 0.4 -0.2 0.4 0.0 0.1 -0.1 0.1 -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 0.1 0.4 0.2 0.4 0.1 0.0 0.2 0.0 0.2 0.0 -3.2 -0.4 0.5 0.5 0.5 -0.0 -0.3 0.2 -0.2 GASOIL 0.5 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 0.1 0.3 0.9 0.3 0.6 0.1 -0.0 0.2 -0.1 0.2 0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 0.3 0.0 -0.1 0.0 -0.1 -0.1 GASOLINE 0.4 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 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 0.4 0.4 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.0 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 -0.5 -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 -0.3 -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 0.0 0.4 0.1 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.1 0.2 0.2 0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.4 -0.4 -0.2 0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.2 -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 -0.0 0.0 0.2 0.2 0.0 -0.6 0.0 0.1 0.0 0.1 0.1 0.0 -2.5 0.5 0.2 -0.5 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 -0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.2 0.2 -0.2 0.2 0.1 0.2 1.0 0.3 0.6 0.1 -0.0 0.3 -0.1 0.2 -1.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.3 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 -0.1 -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 -1.0 -0.9 -0.1 -0.1 0.1 -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 0.3 0.5 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.2 0.1 -0.3 0.1 0.1 1.2 -0.2 1.2 0.8 0.0 -0.1 0.1 -0.4 0.1 0.8 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -1.3 -0.2 -0.1 -0.1 -0.5 -0.1 0.0 0.2 0.3 LIVECOW 0.4 0.5 0.5 0.0 0.2 -0.1 0.1 -0.2 0.0 0.2 0.4 0.2 0.6 0.2 0.2 -0.4 0.6 1.1 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 2.8 0.7 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.2 0.5 0.1 0.0 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.0 -0.3 0.1 0.1 -0.3 -0.8 -0.6 -0.7 0.1 0.0 0.0 -0.1 0.1 NaN 0.0 -0.1 0.0 0.0 -0.0 0.1 -3.4 0.2 0.3 0.5 0.4 -0.3 -0.3 -0.3 -0.3 MILK 0.1 -0.2 -0.3 0.0 0.1 -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 0.1 -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 -0.1 0.4 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro 0.3 0.5 0.5 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.3 0.1 0.2 0.1 0.1 -0.7 -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 -0.9 0.6 0.5 0.5 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.5 0.2 0.5 0.0 0.1 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 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 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 0.2 -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 0.1 -0.1 -0.0 0.4 -0.0 0.1 -0.0 0.0 -0.1 -0.0 2.8 -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 -0.0 -0.0 0.0 0.1 -0.1 0.1 -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 0.2 0.2 0.1 0.5 0.0 3.2 0.7 0.3 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.0 -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 0.1 -0.4 -0.0 -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 0.2 -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 0.3 -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 0.1 0.0 0.0 -0.3 0.0 0.0 -0.1 0.2 0.1 0.2 0.0 -0.0 0.1 -0.1 0.0 -0.7 0.0 0.1 -0.0 0.0 -0.0 0.0 -0.5 -0.1 -0.3 0.0 0.2 -0.3 -0.2 -0.1 -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 0.1 0.0 0.4 1.2 1.2 1.2 0.0 -0.0 0.2 -0.1 0.0 -1.1 0.0 0.1 -0.0 0.1 -0.0 0.0 3.2 0.4 -0.2 0.1 0.3 -0.1 -0.3 0.0 -0.3 ROBUSTA -0.5 -0.3 0.3 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 0.8 1.2 1.1 0.1 0.1 -0.0 0.3 -0.0 -0.5 0.0 0.0 0.1 -0.0 0.2 -0.0 2.5 0.0 -0.5 0.1 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.4 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 0.1 0.2 -0.0 0.2 -0.1 0.0 0.1 0.1 0.1 0.0 0.1 -0.1 0.6 0.5 0.5 -0.1 -0.1 -0.1 -0.3 -0.1 SHATZ -0.0 -0.5 -0.4 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.6 0.0 -0.3 -0.2 -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 -0.0 -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 -0.2 -0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 0.0 -0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.6 -0.7 -0.5 -0.5 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR -0.0 -0.3 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -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 0.1 0.2 0.0 -0.1 0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.3 0.5 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.0 0.7 1.2 0.8 1.1 0.1 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 0.1 0.5 0.1 -0.1 0.3 -0.0 0.3 SOYMEAL 0.2 0.3 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 0.0 0.0 -0.0 0.8 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 0.1 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 0.1 -0.0 0.1 -0.1 0.1 0.0 0.6 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 0.2 0.5 0.2 0.0 0.1 0.2 0.3 SP400 0.5 0.5 0.2 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 0.2 0.1 0.3 0.1 0.2 -0.5 0.0 0.1 0.1 0.0 0.0 0.1 0.1 0.5 0.5 0.5 -0.0 -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 0.1 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 0.6 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.3 -0.5 0.1 0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 0.2 0.0 0.3 -0.0 0.0 -0.0 0.9 0.2 0.6 0.0 0.1 0.1 0.4 -0.0 -1.1 0.0 0.0 0.1 0.0 0.2 -0.0 2.1 -0.1 -0.5 -0.4 0.5 -0.3 -0.2 0.1 -0.1 US10 0.0 -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 -0.0 -0.5 -0.4 -0.5 -0.5 -0.0 -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 -0.1 -0.3 -0.3 0.2 0.0 US10U -0.0 -0.2 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 -0.2 -0.1 -0.3 -0.3 0.3 0.2 US2 0.1 -0.5 -0.5 -0.0 0.1 -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 -0.0 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 0.1 -0.1 -0.0 -0.2 -0.0 0.1 -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 -0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.2 -0.0 -0.2 -0.0 0.1 -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 0.1 -0.4 -0.2 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.8 -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 -0.0 -0.8 -0.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.3 -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 -0.2 0.5 0.3 0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.5 -0.5 -0.6 -0.6 -0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 -0.0 0.0 -0.0 0.0 -3.2 0.1 -0.3 0.2 -0.0 -0.2 -0.2 -0.1 -0.1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 2.4 11.5 1.7 3.5 2.7 2.2 5.0 0.9 4.8 2.9 -3.4 4.6 -4.3 5.3 3.3 -2.4 -2.6 -2.6 -2.7 2.6 -0.5 7.2 -3.4 6.0 1.9 1.7 1.4 0.2 4.0 -1.3 3.3 -0.5 -15.5 -20.0 -10.1 -11.3 -1.8 -20.0 9.4 16.2 BITCOIN 4.7 4.9 7.4 5.2 8.7 3.9 11.3 2.9 8.5 -16.2 19.8 -5.7 -5.0 16.0 17.0 -6.7 -3.1 -5.4 -4.2 13.3 14.4 -1.6 6.3 8.7 -20.0 5.5 -3.5 5.2 -0.8 3.4 3.9 -0.7 -20.0 2.2 3.4 -8.1 -2.0 20.0 -0.8 20.0 BOBL -2.3 -9.1 -2.4 -1.4 4.2 -1.5 2.3 -2.2 -0.2 6.2 -3.5 2.5 -6.3 -3.4 -4.4 -20.0 -2.8 -16.9 -9.2 -4.3 -4.9 4.4 -8.1 -1.6 9.4 -1.6 3.9 -1.5 2.0 -2.6 -0.6 -7.6 -1.5 0.3 -2.6 0.5 -20.0 -20.0 -20.0 -14.7 BTP -11.0 2.3 11.6 -2.1 6.1 -2.1 3.3 -3.1 -0.3 7.9 7.4 2.5 -2.2 2.5 3.1 4.4 8.8 6.1 7.4 1.9 2.5 5.7 -1.7 1.4 -6.1 1.3 5.9 2.2 2.9 0.2 0.6 15.9 -6.0 -2.4 12.7 11.0 -20.0 -20.0 -5.7 4.2 BUND -3.4 -2.1 3.0 -1.5 4.3 -1.5 2.4 -2.2 -0.2 6.0 -3.6 2.1 -6.7 -1.5 -3.2 5.9 9.3 6.6 7.5 -2.4 -3.5 4.5 -7.6 -0.5 5.3 -1.1 4.9 -1.0 2.4 -2.6 -0.3 16.2 -3.7 1.0 1.6 2.2 -20.0 -20.0 -11.5 -2.9 BUXL -2.1 5.9 1.5 -1.8 5.3 -1.9 2.9 -2.8 -0.3 6.9 -7.3 1.6 -9.0 0.6 -3.4 1.4 1.2 1.7 1.9 -1.4 -4.5 4.5 -11.0 0.3 -0.0 -0.3 6.1 -1.0 2.7 -3.4 0.3 4.6 -8.3 2.6 7.4 3.2 -20.0 -20.0 7.2 10.2 CAC 2.5 -8.3 -6.5 4.6 11.7 4.9 9.3 4.1 5.8 11.7 14.7 8.6 16.8 4.9 6.9 -6.6 1.2 -2.7 -0.3 2.7 9.1 5.8 16.2 3.1 -4.5 2.6 2.4 5.3 2.2 7.8 1.9 9.5 -20.0 -9.7 -12.7 -7.1 17.1 -2.9 20.0 -1.0 CAD -6.1 14.1 13.6 5.5 4.3 3.6 8.0 1.5 7.7 9.8 13.0 9.1 -7.8 14.7 15.3 -1.9 -1.9 -2.3 -2.2 12.1 8.1 8.8 -1.3 10.4 -0.6 5.8 3.7 4.4 3.9 0.3 4.7 0.5 -20.0 -20.0 -6.6 0.8 -17.9 -20.0 -20.0 -10.2 CANOLA 20.0 20.0 7.9 0.2 5.3 -1.9 3.7 -2.3 2.3 9.3 -0.2 10.4 -7.5 10.6 7.9 6.4 16.7 14.6 17.0 18.7 2.7 20.0 -5.4 20.0 -20.0 2.5 3.3 -0.2 4.1 -1.5 4.3 18.5 20.0 20.0 20.0 6.3 -14.1 16.8 0.2 20.0 CHF 20.0 5.9 5.2 4.4 3.5 2.9 6.4 1.2 6.1 13.9 11.5 15.3 11.6 13.7 10.4 -13.6 -12.8 -14.0 -13.5 16.6 10.7 20.0 7.7 20.0 -7.1 4.5 6.8 2.9 9.3 1.8 7.5 -18.5 20.0 16.6 -0.4 2.6 -13.0 -20.0 -15.5 -20.0 COCOA -4.3 3.0 13.1 0.4 10.5 -3.7 7.4 -4.6 4.6 17.5 20.0 15.0 18.6 17.2 19.1 -0.9 -0.9 -0.6 -0.4 20.0 20.0 17.8 20.0 20.0 -8.6 7.9 4.2 7.9 4.2 6.2 6.0 -11.3 -8.1 20.0 20.0 20.0 -19.7 -20.0 9.6 -9.9 COFFEE -18.8 -20.0 -6.1 0.3 9.6 -3.4 6.8 -4.2 4.2 -15.3 -3.3 -17.8 -7.5 -18.8 -17.5 1.8 3.9 3.6 4.1 -20.0 -13.3 -15.3 -9.0 -20.0 -20.0 -4.7 -3.7 -1.7 -4.7 -0.9 -6.1 -3.4 -20.0 -20.0 -20.0 9.5 -20.0 -20.0 -8.3 -19.2 COPPER 3.2 6.1 -12.7 3.2 5.5 2.4 7.1 1.8 5.3 -2.8 -4.1 2.2 -4.1 5.9 -2.9 -2.7 -1.3 -2.4 -1.9 -1.7 -3.8 2.5 -3.3 2.6 -3.8 -0.1 -1.3 -2.1 2.4 -1.8 2.6 2.7 -9.5 -12.1 2.7 -20.0 -0.9 -20.0 2.9 -17.5 CORN -20.0 15.7 -1.3 0.1 3.6 -1.3 2.5 -1.6 1.6 6.0 -3.8 -2.8 -4.4 -3.9 -3.7 -3.7 8.5 -1.0 3.9 -2.6 -2.5 3.3 -1.9 -1.9 -6.7 0.2 3.2 -0.8 1.2 -1.2 0.4 1.1 7.1 -14.4 11.1 -0.4 -2.8 15.1 0.6 20.0 COTTON2 7.5 4.8 7.0 0.2 6.2 -2.2 4.4 -2.7 2.7 10.9 1.9 11.4 -9.1 8.3 6.7 9.4 6.7 7.1 5.0 3.0 -0.2 8.7 -4.2 5.6 -19.4 1.6 6.1 0.3 5.1 -0.3 3.3 -1.1 2.8 1.3 0.3 10.6 -20.0 -18.3 4.9 7.5 CRUDE_W 17.0 6.8 -5.9 2.3 8.5 -1.8 9.0 -1.5 6.8 8.2 -3.5 13.4 -10.8 13.8 -0.5 5.3 8.1 5.6 6.4 6.3 -2.1 17.4 -2.5 15.8 -5.7 5.0 4.3 1.7 7.4 1.6 7.7 -9.1 -5.1 6.1 9.8 15.9 10.0 12.4 11.4 3.6 DAX -4.1 -7.7 -0.1 4.3 10.9 4.6 8.7 3.9 5.4 14.2 13.7 11.3 15.3 1.7 6.8 -8.1 -6.4 -8.1 -7.6 2.3 9.2 8.2 13.6 2.4 15.5 0.4 4.9 4.4 3.4 6.5 0.0 -3.6 -17.9 -18.1 -16.8 -7.3 16.9 -1.9 20.0 2.2 DOW 8.6 11.5 4.8 4.3 11.0 4.6 8.8 3.9 5.5 16.2 8.6 15.9 8.0 15.6 15.1 -10.1 -6.5 -9.3 -8.2 11.6 7.8 20.0 4.6 16.4 -8.8 5.8 11.2 4.0 8.9 2.7 7.2 -4.2 7.0 13.4 18.7 2.5 -4.4 -3.5 -20.0 -1.8 EUR 15.9 8.0 2.9 4.5 3.5 2.9 6.4 1.2 6.2 12.4 11.6 14.9 7.4 14.1 9.1 -6.2 -6.8 -6.6 -6.6 12.2 7.7 20.0 3.7 20.0 13.1 4.3 4.9 2.7 8.1 1.2 7.1 -7.4 7.5 -0.6 -3.9 -5.7 -4.8 -20.0 -0.3 15.1 EURIBOR-ICE 1.0 -9.7 6.2 -1.4 4.1 -1.4 2.2 -2.1 -0.2 6.0 -4.1 4.1 -6.5 -2.2 -4.0 -11.6 -7.5 -10.6 -9.5 -4.3 -5.1 6.6 -7.9 -0.6 16.2 -1.6 3.9 -1.6 2.3 -2.7 -0.3 -13.1 3.2 1.1 -5.1 0.6 -20.0 -20.0 20.0 3.9 EUROSTX -0.8 -5.8 -2.0 4.3 11.0 4.6 8.8 3.9 5.5 9.7 16.5 10.1 17.1 7.9 12.3 -4.8 0.3 -4.1 -2.1 4.8 10.7 5.7 15.5 3.9 4.5 2.2 1.8 5.9 2.3 8.4 1.1 7.3 -20.0 -11.6 -11.8 -6.1 19.0 0.3 20.0 5.6 FEEDCOW 14.1 -8.7 14.5 0.4 10.4 -3.7 7.3 -4.6 4.5 6.6 18.7 15.2 17.7 15.9 17.6 -20.0 -20.0 -20.0 -20.0 20.0 20.0 11.2 20.0 20.0 6.7 7.6 0.6 8.7 3.3 8.0 5.8 -20.0 -11.7 20.0 20.0 20.0 -0.5 -20.0 12.1 -14.4 GASOIL 18.7 19.2 -10.2 2.0 7.4 -1.6 7.9 -1.3 6.0 15.3 -7.9 16.4 -5.7 16.3 6.5 5.0 14.7 5.8 9.5 9.5 -3.9 20.0 -3.2 19.7 11.0 3.6 6.5 -1.0 7.5 -1.9 7.1 0.0 1.1 7.0 11.5 1.8 -7.0 3.7 -9.6 -4.5 GASOLINE 17.2 11.1 -1.7 2.6 9.3 -2.0 9.8 -1.6 7.4 18.8 11.0 19.8 -5.4 19.6 11.6 20.0 20.0 20.0 20.0 15.6 7.7 20.0 8.5 20.0 -20.0 7.0 7.9 4.7 8.8 4.9 8.7 20.0 11.3 14.7 20.0 20.0 9.7 12.2 12.8 -2.4 GAS_US_mini 1.2 20.0 1.8 1.7 6.4 -1.3 6.7 -1.1 5.1 -0.4 -14.6 -8.6 -15.0 2.2 -1.3 1.3 -12.2 -9.1 -12.9 -3.3 -19.6 -2.1 -20.0 -0.7 15.7 1.7 0.6 -1.6 -0.5 -3.4 1.2 -20.0 -20.0 -10.4 -0.8 1.3 2.8 15.8 0.1 1.7 GBP 6.2 9.9 12.9 5.1 4.0 3.3 7.4 1.4 7.1 2.9 17.5 11.1 9.0 15.1 16.1 0.9 -1.1 -0.1 -0.7 18.8 15.6 16.0 8.2 20.0 -0.9 6.3 -0.3 4.7 5.6 1.6 7.1 2.5 -12.5 -8.2 3.3 5.9 5.6 10.4 10.8 20.0 GOLD_micro 8.6 -14.7 -4.2 4.6 7.7 3.5 10.1 2.6 7.5 18.4 3.7 16.7 7.5 0.9 -10.5 -15.9 -11.6 -14.6 -13.3 -6.0 0.1 20.0 8.2 5.5 -12.1 1.0 11.9 1.7 10.9 3.9 5.8 -15.9 15.2 6.5 -18.7 -11.8 -20.0 -20.0 -6.6 -20.0 HEATOIL 20.0 18.6 -11.2 2.4 8.9 -1.9 9.4 -1.5 7.1 17.4 -11.0 18.6 -8.1 19.0 6.6 4.0 16.4 4.6 9.3 10.7 -5.5 20.0 -4.6 20.0 -20.0 5.4 6.1 1.1 7.3 1.0 7.9 1.3 2.8 13.5 20.0 9.7 -4.3 2.5 -8.4 1.7 JGB-SGX-mini -20.0 -8.2 14.4 -2.0 5.3 -1.9 2.0 -2.6 -0.9 -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 -9.5 4.4 11.6 -20.0 -6.2 6.1 8.0 JPY 20.0 -5.9 -16.4 3.2 2.5 2.0 4.6 0.9 4.4 5.6 -8.1 7.3 -8.4 2.7 -7.9 -16.3 -13.1 -16.1 -14.9 -7.8 -11.9 10.1 -12.5 3.5 20.0 -1.8 1.1 -2.8 3.2 -3.0 1.3 -19.9 2.2 -11.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 13.5 20.0 -6.4 0.3 8.8 -3.1 6.2 -3.9 3.9 -1.7 -7.5 10.0 -11.4 16.1 7.3 20.0 -3.1 20.0 14.0 5.0 -12.9 7.0 -20.0 12.9 14.7 -3.3 -1.1 -9.2 1.0 -10.5 1.1 -8.0 -5.2 -4.1 -3.3 -20.0 -4.0 3.5 18.8 20.0 LIVECOW 15.3 20.0 19.0 0.4 12.3 -4.4 8.7 -5.4 5.4 20.0 20.0 20.0 20.0 20.0 20.0 -7.5 10.2 18.2 20.0 20.0 20.0 20.0 20.0 20.0 9.0 9.1 5.0 7.9 6.6 6.0 8.4 17.7 20.0 20.0 20.0 20.0 -20.0 -20.0 -16.8 -20.0 LUMBER-new 6.6 20.0 3.9 0.4 11.7 -3.7 8.2 -4.0 5.1 -10.0 -11.9 4.0 -18.3 15.0 10.2 -4.7 -11.9 -9.7 -11.4 10.2 0.9 2.1 -4.6 12.5 NaN 5.4 -9.3 1.6 1.0 -0.6 6.1 -20.0 4.7 11.5 17.8 13.8 -20.0 -20.0 -20.0 -20.0 MILK 3.1 -7.5 -13.4 0.2 5.6 -2.0 3.9 -2.4 2.4 7.0 -11.1 -3.3 -11.3 -7.6 -10.2 -20.0 -20.0 -20.0 -20.0 -19.6 -20.0 0.5 -18.0 -11.1 -5.6 -3.9 1.0 -3.9 -0.0 -3.2 -2.2 -20.0 4.2 -20.0 -20.0 -20.0 -20.0 -20.0 -13.3 -20.0 MXP 1.1 13.7 19.6 6.4 5.0 4.1 9.2 1.7 8.8 20.0 20.0 20.0 20.0 20.0 20.0 19.1 17.8 18.7 18.1 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 6.0 9.6 7.6 9.6 8.1 20.0 -20.0 -5.2 17.3 20.0 20.0 5.5 20.0 20.0 NASDAQ_micro 10.4 20.0 20.0 3.5 9.0 3.7 7.2 3.2 4.5 13.3 15.2 14.2 7.2 14.8 15.2 -11.0 -7.3 -10.2 -9.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.7 4.4 5.7 4.5 4.0 4.7 -5.4 17.2 18.4 20.0 20.0 -7.1 -9.2 -14.2 -11.4 NIKKEI -20.0 8.8 20.0 4.1 11.6 4.8 8.2 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 10.8 6.6 0.3 3.0 2.4 1.9 4.3 0.8 4.2 -0.3 -0.8 4.9 -0.3 5.2 2.0 0.3 0.5 0.5 0.5 3.1 0.2 6.1 -1.7 6.8 0.2 1.8 -0.4 0.5 3.5 -0.5 3.7 5.0 -16.2 -9.9 -13.5 -10.5 0.9 -12.9 10.7 10.3 OAT -5.0 -0.0 6.0 -1.6 4.8 -1.7 2.6 -2.5 -0.3 6.4 -4.0 1.9 -7.1 -0.5 -2.3 5.8 9.5 7.4 8.5 -2.0 -3.0 4.5 -7.0 -0.5 7.2 -0.9 5.3 -0.8 2.5 -2.8 -0.3 17.5 -5.0 -0.1 3.2 3.7 -20.0 -20.0 -1.9 0.8 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 5.8 20.0 17.0 20.0 OJ 9.9 -1.9 -1.1 0.4 10.3 -3.7 7.3 -4.5 4.5 18.2 17.6 19.6 19.1 15.3 15.6 20.0 18.1 20.0 19.8 20.0 20.0 20.0 20.0 20.0 -20.0 6.9 13.2 11.6 8.7 16.8 6.0 20.0 20.0 11.3 18.5 20.0 14.8 6.3 20.0 16.6 PALLAD -1.7 -15.9 -8.4 2.5 4.1 1.9 5.4 1.4 4.0 8.3 -11.0 2.4 -11.3 -6.4 -9.5 -3.4 -2.5 -3.2 -3.0 -13.6 -17.9 4.7 -20.0 -5.6 -5.2 -3.1 3.2 -3.3 1.6 -3.4 -1.4 0.7 -4.6 -19.6 -20.0 -11.1 -16.2 0.3 0.2 2.2 PLAT 9.2 -20.0 -7.9 2.9 4.8 2.2 6.3 1.6 4.7 10.0 -6.2 9.8 0.7 -3.0 -8.2 -2.8 -1.8 -2.5 -2.2 -8.4 -6.4 13.7 -1.3 1.2 12.7 -1.3 4.6 -1.0 5.3 -0.0 1.7 2.0 7.8 -2.7 -20.0 -6.9 -0.1 -14.6 7.4 -9.7 REDWHEAT -2.9 5.5 3.3 0.3 7.1 -2.5 5.0 -3.1 3.1 9.1 0.1 1.6 -10.8 1.6 3.7 -0.9 3.8 2.1 3.9 1.3 -1.2 8.4 -3.2 3.4 -13.6 0.0 10.0 -0.6 2.9 -0.6 0.1 -3.3 -3.3 -12.3 0.3 6.5 -20.0 -16.2 -3.9 -6.9 RICE -8.0 9.1 -0.1 0.3 8.3 -2.9 5.9 -3.6 3.6 13.8 -5.0 5.2 -3.6 6.2 5.9 7.2 20.0 20.0 20.0 0.6 -2.6 13.1 -2.6 4.5 -20.0 0.7 11.7 -0.8 6.6 -1.3 2.1 20.0 13.1 -8.3 5.9 12.4 -9.7 -20.0 0.2 -20.0 ROBUSTA -20.0 -12.9 12.9 0.3 7.0 -2.5 5.0 -3.1 3.1 3.3 10.8 -6.5 10.5 -6.2 7.0 20.0 13.6 20.0 17.9 6.2 15.5 -1.5 15.9 -2.8 -9.5 2.4 2.3 5.6 -0.3 5.5 -0.7 16.0 0.4 -20.0 5.3 20.0 -8.4 -20.0 3.5 -14.9 RUSSELL 15.2 20.0 9.1 3.6 9.3 3.9 7.4 3.3 4.6 13.7 0.5 14.4 -4.6 14.3 11.9 -6.5 -4.8 -6.2 -5.7 14.7 6.6 20.0 -1.2 20.0 -1.1 4.8 6.2 2.6 6.3 0.9 6.1 -0.5 18.7 19.4 20.0 -2.7 -4.9 -6.6 -20.0 -8.5 SHATZ -0.8 -18.4 -15.1 -1.4 4.2 -1.5 2.3 -2.2 -0.2 6.0 -5.5 2.5 -6.8 -5.1 -6.1 -9.5 0.6 -4.7 -2.8 -8.3 -9.1 3.1 -11.6 -4.2 11.2 -2.2 2.4 -2.2 1.1 -2.9 -1.1 0.0 -0.4 -1.5 -9.2 -3.9 -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 -4.2 16.6 7.6 0.3 1.8 -11.9 -20.0 -2.2 -20.0 SMI -9.8 -17.1 4.6 4.0 10.2 4.3 8.2 3.6 5.1 11.6 6.4 -1.6 2.3 -9.1 0.3 -3.0 2.2 -2.5 -0.4 -6.4 1.0 -1.1 3.7 -8.4 2.5 -3.1 3.7 -0.8 -0.8 -0.7 -3.9 10.4 -20.0 -20.0 -20.0 -7.0 -7.0 -11.0 -12.4 -16.4 SOFR -1.5 -13.3 0.6 -1.5 4.4 -1.5 2.4 -2.3 -0.2 7.0 -0.2 5.9 -1.5 0.1 -2.3 -2.4 -0.5 -1.4 -0.9 -3.3 -2.0 5.8 -2.0 -0.4 -1.3 -1.4 3.0 -0.8 2.2 -0.5 -0.1 0.5 6.4 0.2 -5.9 4.1 -20.0 -20.0 -6.5 -0.6 SOYBEAN 13.5 20.0 0.9 0.1 3.9 -1.4 2.8 -1.7 1.7 6.9 1.2 7.0 -2.4 7.0 5.5 11.1 20.0 14.1 18.3 6.2 1.2 8.8 -1.0 8.9 -16.1 1.8 1.6 0.3 1.8 -0.2 2.3 20.0 2.0 5.3 20.0 5.9 -7.7 20.0 -3.2 20.0 SOYMEAL 7.3 12.6 -20.0 0.1 4.0 -1.4 2.8 -1.7 1.7 6.8 -1.7 2.9 1.7 0.8 -1.1 13.9 20.0 20.0 20.0 0.9 -0.8 7.4 1.1 4.4 -16.8 1.6 2.2 0.7 2.3 1.0 2.5 20.0 4.2 5.6 12.4 2.5 -8.1 -19.5 -3.1 -17.7 SOYOIL 18.8 20.0 8.4 0.1 3.8 -1.3 2.7 -1.7 1.7 4.7 -0.1 6.3 -3.1 6.9 5.9 10.6 9.9 9.0 8.0 8.4 2.3 6.3 -1.2 9.8 -20.0 2.0 0.7 0.6 1.1 -0.3 2.1 4.5 -5.3 7.4 20.0 9.0 3.6 7.3 14.8 20.0 SP400 20.0 20.0 6.4 3.8 9.7 4.0 7.7 3.4 4.8 14.0 3.3 15.0 2.7 15.5 13.2 -5.0 -4.4 -5.1 -4.9 19.2 10.0 20.0 3.3 20.0 -10.2 5.0 4.7 2.6 5.7 1.2 6.3 0.5 15.7 20.0 20.0 -1.7 -2.7 -8.0 -11.7 -9.8 SP500_micro 13.6 20.0 20.0 5.1 13.0 5.4 10.4 4.6 6.5 19.2 20.0 20.0 6.8 20.0 20.0 -12.9 -7.8 -11.4 -9.7 20.0 20.0 20.0 18.6 20.0 -19.0 8.0 7.7 6.5 7.5 3.9 7.8 -6.3 18.2 20.0 20.0 20.0 -4.6 -8.2 -10.5 -10.6 SUGAR11 -12.6 -20.0 3.0 0.3 7.7 -2.7 5.4 -3.4 3.4 8.1 9.5 1.6 11.6 -2.1 3.7 -0.5 15.8 3.6 10.2 0.2 12.1 4.0 18.6 -2.5 -20.0 0.7 2.1 5.9 1.0 8.9 -0.9 13.5 -1.5 -20.0 -17.4 20.0 -19.4 -18.6 9.6 -8.4 US10 0.2 -13.6 -4.1 -1.4 4.2 -1.5 2.3 -2.2 -0.2 6.4 -3.2 4.0 -5.7 -1.9 -4.5 -9.0 -6.3 -9.1 -8.5 -5.7 -5.2 3.6 -6.1 -2.2 0.6 -1.9 2.2 -1.5 1.5 -1.4 -0.5 -11.3 2.9 -0.7 -7.2 -2.1 -20.0 -20.0 13.4 2.8 US10U -1.3 -9.6 -2.7 -2.0 5.8 -2.1 3.2 -3.0 -0.3 9.1 -3.8 4.9 -7.4 -1.9 -6.1 0.3 -0.3 -0.6 -1.1 -6.3 -6.1 4.9 -8.0 -2.4 -3.9 -2.5 3.7 -2.0 2.4 -1.8 -0.5 0.3 1.8 0.1 -6.7 -2.0 -20.0 -20.0 20.0 17.3 US2 5.8 -20.0 -20.0 -1.4 4.0 -1.4 2.2 -2.1 -0.2 1.8 -5.4 1.3 -6.2 -4.7 -6.3 -20.0 -18.5 -20.0 -20.0 -11.2 -10.7 0.4 -10.5 -5.9 7.0 -2.3 0.3 -2.0 0.2 -2.1 -1.2 -20.0 1.7 -4.8 -15.0 -8.3 -20.0 -16.6 -20.0 -12.3 US20 -2.6 -6.4 -2.4 -1.6 4.8 -1.7 2.6 -2.5 -0.3 7.7 -2.3 3.1 -4.8 -0.8 -5.0 -1.5 -1.3 -1.4 -1.7 -4.5 -4.5 4.1 -6.4 -1.6 -4.0 -1.9 4.3 -1.6 2.5 -1.7 -0.2 -1.0 0.1 0.2 -1.6 -0.6 -20.0 -20.0 20.0 18.4 US30 -3.7 -2.6 -1.6 -2.0 5.9 -2.1 3.2 -3.1 -0.3 9.4 -5.2 1.7 -7.1 -1.4 -7.2 -4.7 -1.1 -2.3 -1.6 -5.0 -5.7 3.1 -9.6 -2.4 -3.8 -2.6 5.6 -2.2 2.6 -2.6 -0.8 -0.6 -5.9 -2.4 0.6 -0.5 -20.0 -20.0 20.0 20.0 US5 3.3 -16.1 -6.5 -1.4 4.1 -1.4 2.2 -2.1 -0.2 5.0 -3.6 4.3 -5.7 -2.1 -4.7 -13.5 -8.2 -12.7 -11.1 -6.2 -5.8 3.5 -6.4 -2.3 2.9 -1.9 1.6 -1.5 1.2 -1.5 -0.6 -15.0 4.5 -0.8 -8.9 -2.9 -20.0 -20.0 6.1 -13.6 VIX -0.5 -20.0 -20.0 -7.1 -0.6 -7.1 -2.8 -6.4 -5.3 -14.0 -20.0 -19.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.2 -20.0 -20.0 NaN -8.4 -0.5 -8.3 -2.9 -7.5 -6.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -9.5 20.0 10.3 0.1 4.0 -1.4 2.8 -1.8 1.8 6.4 -4.5 -1.7 -7.4 -1.0 -1.4 -9.2 -8.8 -10.1 -10.0 -0.3 -3.0 5.2 -4.9 1.3 -3.9 0.0 5.2 -1.0 1.6 -1.5 0.3 -20.0 2.7 -10.3 6.8 -0.7 -17.3 -18.0 -8.0 -8.2 End of report for caleb_strategy_v3