******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230720_204326 produced at 2023-07-20 21:38:13.518318 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.59 0.0 0.98 -0.98 -0.10 -0.10 -5.95 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 -4.35 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -2.81 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 -30.18 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 -4.38 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 -0.11 -16.39 56.0 -9 -15 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.66 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 CHF False False 0.05 -0.16 -0.07 0.0 0.68 -0.68 -0.16 -0.16 -1.25 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 -1.86 6.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.06 -0.06 -0.05 -0.05 -25.97 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 -1.27 19.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -1.20 8.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.69 -0.69 0.00 0.00 -1.14 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.35 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 -0.63 2.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.02 0.0 0.80 -0.80 -0.03 -0.03 -0.66 29.0 -1 -1 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.02 0.0 0.06 -0.06 0.00 0.00 -18.86 59.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.47 -0.47 0.00 0.00 -0.72 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.38 -0.01 0.0 0.56 -0.56 -0.38 -0.30 -0.24 13.0 -9 -7 caleb_strategy_v3 SMI False False 0.05 0.00 -0.01 0.0 0.43 -0.43 0.00 0.00 -0.19 9.0 0 0 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.41 -0.41 0.00 0.00 -0.19 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.19 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.72 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 -0.71 9.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.49 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.11 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.10 -0.00 0.0 0.17 -0.17 -0.10 -0.09 -0.25 10.0 -6 -5 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.45 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.07 -0.00 0.0 0.26 -0.26 0.07 0.03 -0.06 23.0 6 3 caleb_strategy_v3 DAX False False 0.01 -0.11 -0.00 0.0 0.38 -0.38 -0.11 -0.11 -0.40 58.0 -16 -16 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.11 12.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.15 0.00 0.0 0.71 -0.71 0.15 0.15 0.05 14.0 3 3 caleb_strategy_v3 BUXL False False 0.06 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.01 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.71 9.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.02 0.01 0.0 0.32 -0.32 0.02 0.02 0.78 26.0 2 2 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.48 11.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 0.00 -0.00 0.00 0.00 0.29 0.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.47 -0.47 0.02 0.02 0.28 21.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 0.55 10.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.18 -0.18 0.02 0.02 1.34 18.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.21 -0.21 0.03 0.03 1.41 23.0 3 3 caleb_strategy_v3 RUSSELL False False 0.00 0.01 0.02 0.0 0.24 -0.24 0.01 0.02 5.95 68.0 3 5 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.54 -0.54 0.05 0.05 0.37 10.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.42 -0.42 0.00 0.00 2.40 66.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.02 0.0 0.18 -0.18 0.05 0.05 0.63 7.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.02 0.0 0.40 -0.40 0.02 0.02 2.12 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 1.02 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.21 0.03 0.0 0.36 -0.36 0.21 0.23 1.52 20.0 12 13 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.35 2.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.03 1.91 4.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.14 -0.14 0.05 0.05 1.98 5.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.91 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.05 0.0 0.16 -0.16 -0.01 0.00 3.89 13.0 -1 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.05 0.0 0.12 -0.12 0.00 0.00 1.20 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.23 0.05 0.0 0.64 -0.64 0.23 0.17 1.86 22.0 8 6 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 4.00 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.06 0.0 0.24 -0.24 0.00 0.00 13.29 51.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.19 0.07 0.0 0.47 -0.47 0.19 0.19 1.40 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.52 -0.52 0.00 0.00 1.49 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 2.99 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 7.10 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 0.90 0.0 0.64 -0.64 0.63 0.63 84.75 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.61 1.56 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 65.1 Sum abs risk 56.2 Leverage 5.84 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3000000.0, 'annual_cash_vol_target': 750000.0, 'daily_cash_vol_target': 46875.0} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6792 0.7208 11.5322 BITCOIN 787.2569 29690.0000 2.6516 42.4254 BOBL 0.3196 115.6300 0.2764 4.4222 BTP 0.7532 115.7900 0.6505 10.4080 BUND 0.6551 132.9300 0.4928 7.8853 BUXL 1.4323 136.1800 1.0518 16.8285 CAC 63.1825 7407.0000 0.8530 13.6482 CAD 0.0032 0.7594 0.4252 6.8029 CANOLA 8.5555 838.2000 1.0207 16.3311 CHF 0.0061 1.1604 0.5287 8.4592 COCOA 41.1222 3396.0000 1.2109 19.3744 COFFEE 2.8513 158.8000 1.7955 28.7280 COPPER 0.0441 3.8290 1.1514 18.4225 CORN 12.5032 546.0000 2.2900 36.6394 COTTON2 1.2855 86.1800 1.4917 23.8668 CRUDE_W 1.0965 74.9300 1.4634 23.4137 DAX 124.7896 16221.0000 0.7693 12.3089 DOW 197.1676 35439.0000 0.5564 8.9017 EUR 0.0056 1.1160 0.4998 7.9972 EURIBOR-ICE 0.0695 96.9900 0.0716 1.1462 EUROSTX 40.5224 4382.0000 0.9247 14.7959 FEEDCOW 1.7299 249.7500 0.6927 11.0826 GASOIL 11.3599 768.2500 1.4787 23.6587 GASOLINE 0.0366 2.4478 1.4936 23.8983 GAS_US_mini 0.0912 2.7150 3.3587 53.7388 GBP 0.0074 1.2862 0.5742 9.1865 GOLD_micro 11.9465 1971.8000 0.6059 9.6939 HEATOIL 0.0350 2.6528 1.3194 21.1103 JGB-SGX-mini 0.2482 147.7200 0.1680 2.6881 JPY 0.0000 0.0072 0.6333 10.1320 LEANHOG 1.2484 84.8750 1.4709 23.5345 LIVECOW 1.1254 182.7250 0.6159 9.8546 LUMBER-new 11.8667 545.5000 2.1754 34.8061 MILK 0.2585 16.3400 1.5820 25.3126 MXP 0.0004 0.0586 0.6210 9.9368 NASDAQ_micro 132.6068 15590.0000 0.8506 13.6094 NIKKEI 307.3672 32790.0000 0.9374 14.9981 NZD 0.0048 0.6226 0.7761 12.4179 OAT 0.6734 127.5300 0.5280 8.4481 OATIES 7.7575 457.2500 1.6965 27.1448 OJ 3.9628 291.4500 1.3597 21.7551 PALLAD 23.6230 1269.5000 1.8608 29.7730 PLAT 14.1904 964.9000 1.4707 23.5305 REDWHEAT 15.0847 880.5000 1.7132 27.4112 RICE 0.1684 15.9600 1.0554 16.8862 ROBUSTA 40.1323 2538.0000 1.5813 25.3001 RUSSELL 19.1564 1977.5000 0.9687 15.4995 SHATZ 0.1018 104.9000 0.0970 1.5525 SILVER-mini 0.3505 25.3500 1.3826 22.1220 SMI 81.0826 11232.0000 0.7219 11.5502 SOFR 0.0850 96.6650 0.0879 1.4066 SOYBEAN 20.0386 1403.7500 1.4275 22.8401 SOYMEAL 7.0287 410.2000 1.7135 27.4157 SOYOIL 1.1092 62.3800 1.7782 28.4505 SP400 21.2716 2728.9000 0.7795 12.4719 SP500_micro 25.0594 4560.5000 0.5495 8.7918 SUGAR11 0.3661 24.6700 1.4841 23.7463 US10 0.4823 112.1875 0.4299 6.8783 US10U 0.6289 118.0625 0.5327 8.5226 US2 0.1303 101.7383 0.1281 2.0495 US20 0.8490 126.2500 0.6725 10.7599 US30 1.2290 134.7188 0.9123 14.5967 US5 0.3296 107.2656 0.3073 4.9169 VIX 0.4603 17.5000 2.6303 42.0848 WHEAT 16.1795 747.2500 2.1652 34.6432 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 679.20 0.72 489.54 1.00 489.54 46875.0 95.75 -2.31 -22.10 BITCOIN 29.69 2.65 78.73 1.00 78.73 46875.0 595.42 -2.63 -156.84 BOBL 1156.30 0.28 319.59 1.12 358.69 46875.0 130.68 -10.46 -136.74 BTP 1157.90 0.65 753.22 1.12 845.37 46875.0 55.45 8.07 44.75 BUND 1329.30 0.49 655.12 1.12 735.28 46875.0 63.75 6.33 40.37 BUXL 1361.80 1.05 1432.32 1.12 1607.56 46875.0 29.16 0.40 1.17 CAC 740.70 0.85 631.83 1.12 709.13 46875.0 66.10 4.72 31.17 CAD 759.45 0.43 322.90 1.00 322.90 46875.0 145.17 -1.41 -20.44 CANOLA 167.64 1.02 171.11 0.76 129.95 46875.0 360.72 17.59 634.48 CHF 1450.56 0.53 766.91 1.00 766.91 46875.0 61.12 -6.30 -38.49 COCOA 339.60 1.21 411.22 1.00 411.22 46875.0 113.99 3.71 42.34 COFFEE 595.50 1.80 1069.22 1.00 1069.22 46875.0 43.84 -11.08 -48.56 COPPER 957.25 1.15 1102.19 1.00 1102.19 46875.0 42.53 -3.64 -15.46 CORN 273.00 2.29 625.16 1.00 625.16 46875.0 74.98 0.68 5.12 COTTON2 430.90 1.49 642.76 1.00 642.76 46875.0 72.93 3.59 26.17 CRUDE_W 749.30 1.46 1096.49 1.00 1096.49 46875.0 42.75 3.79 16.19 DAX 162.21 0.77 124.79 1.12 140.06 46875.0 334.68 -0.36 -12.10 DOW 177.20 0.56 98.58 1.00 98.58 46875.0 475.48 2.26 107.32 EUR 1395.06 0.50 697.29 1.00 697.29 46875.0 67.22 0.22 1.49 EURIBOR-ICE 2424.75 0.07 173.70 1.12 194.95 46875.0 240.45 -7.93 -190.79 EUROSTX 438.20 0.92 405.22 1.12 454.80 46875.0 103.07 4.52 46.63 FEEDCOW 1248.75 0.69 864.96 1.00 864.96 46875.0 54.19 -6.52 -35.32 GASOIL 768.25 1.48 1135.99 1.00 1135.99 46875.0 41.26 9.46 39.03 GASOLINE 1028.08 1.49 1535.58 1.00 1535.58 46875.0 30.53 20.00 61.05 GAS_US_mini 67.88 3.36 227.97 1.00 227.97 46875.0 205.62 -10.31 -212.09 GBP 803.88 0.57 461.55 1.00 461.55 46875.0 101.56 5.65 57.35 GOLD_micro 197.18 0.61 119.47 1.00 119.47 46875.0 392.37 -11.03 -432.63 HEATOIL 1114.18 1.32 1470.04 1.00 1470.04 46875.0 31.89 7.67 24.46 JGB-SGX-mini 147720.00 0.17 24818.26 0.01 179.08 46875.0 261.76 11.87 310.70 JPY 900.19 0.63 570.04 1.00 570.04 46875.0 82.23 -16.40 -134.84 LEANHOG 339.50 1.47 499.37 1.00 499.37 46875.0 93.87 6.63 62.27 LIVECOW 730.90 0.62 450.17 1.00 450.17 46875.0 104.13 20.00 208.25 LUMBER-new 150.01 2.18 326.33 1.00 326.33 46875.0 143.64 -6.60 -94.83 MILK 326.80 1.58 517.01 1.00 517.01 46875.0 90.67 -20.00 -181.33 MXP 293.00 0.62 181.97 1.00 181.97 46875.0 257.60 20.00 515.20 NASDAQ_micro 311.80 0.85 265.21 1.00 265.21 46875.0 176.74 -0.14 -2.53 NIKKEI 32790.00 0.94 30736.72 0.01 221.78 46875.0 211.35 16.84 355.83 NZD 622.55 0.78 483.17 1.00 483.17 46875.0 97.01 0.87 8.48 OAT 1275.30 0.53 673.37 1.12 755.76 46875.0 62.02 7.70 47.78 OATIES 228.62 1.70 387.87 1.00 387.87 46875.0 120.85 -1.79 -21.58 OJ 437.18 1.36 594.42 1.00 594.42 46875.0 78.86 20.00 157.72 PALLAD 1269.50 1.86 2362.30 1.00 2362.30 46875.0 19.84 -8.36 -16.58 PLAT 482.45 1.47 709.52 1.00 709.52 46875.0 66.07 -1.02 -6.71 REDWHEAT 440.25 1.71 754.24 1.00 754.24 46875.0 62.15 -1.51 -9.39 RICE 319.20 1.06 336.88 1.00 336.88 46875.0 139.14 13.71 190.72 ROBUSTA 253.80 1.58 401.32 1.00 401.32 46875.0 116.80 11.97 139.77 RUSSELL 98.88 0.97 95.78 1.00 95.78 46875.0 489.39 3.82 187.00 SHATZ 1049.00 0.10 101.79 1.12 114.24 46875.0 410.31 -6.98 -286.60 SILVER-mini 633.75 1.38 876.24 1.00 876.24 46875.0 53.50 1.42 7.60 SMI 1123.20 0.72 810.83 1.17 945.75 46875.0 49.56 -1.20 -5.94 SOFR 2416.63 0.09 212.46 1.00 212.46 46875.0 220.63 -2.19 -48.36 SOYBEAN 701.88 1.43 1001.93 1.00 1001.93 46875.0 46.78 16.68 78.04 SOYMEAL 410.20 1.71 702.87 1.00 702.87 46875.0 66.69 13.25 88.36 SOYOIL 374.28 1.78 665.53 1.00 665.53 46875.0 70.43 9.82 69.13 SP400 2728.90 0.78 2127.16 1.00 2127.16 46875.0 22.04 4.92 10.85 SP500_micro 228.02 0.55 125.30 1.00 125.30 46875.0 374.11 2.54 95.11 SUGAR11 276.30 1.48 410.07 1.00 410.07 46875.0 114.31 6.40 73.11 US10 1121.88 0.43 482.28 1.00 482.28 46875.0 97.19 -9.68 -94.13 US10U 1180.62 0.53 628.88 1.00 628.88 46875.0 74.54 -2.68 -19.96 US2 2034.77 0.13 260.65 1.00 260.65 46875.0 179.84 -20.00 -359.68 US20 1262.50 0.67 849.02 1.00 849.02 46875.0 55.21 -2.88 -15.88 US30 1347.19 0.91 1229.03 1.00 1229.03 46875.0 38.14 -4.06 -15.50 US5 1072.66 0.31 329.64 1.00 329.64 46875.0 142.20 -12.82 -182.35 VIX 175.00 2.63 460.30 1.00 460.30 46875.0 101.84 -20.00 -203.67 WHEAT 373.62 2.17 808.97 1.00 808.97 46875.0 57.94 -10.66 -61.75 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -22.097 0.013 2.5 -0.718 BITCOIN -156.843 0.048 2.5 -18.861 BOBL -136.737 0.004 2.5 -1.268 BTP 44.754 0.012 2.5 1.396 BUND 40.366 0.004 2.5 0.374 BUXL 1.165 0.004 2.5 0.011 CAC 31.174 0.013 2.5 1.018 CAD -20.437 0.013 2.5 -0.664 CANOLA 634.479 0.008 2.5 13.292 CHF -38.490 0.013 2.5 -1.251 COCOA 42.343 0.007 2.5 0.781 COFFEE -48.556 0.004 2.5 -0.488 COPPER -15.462 0.048 2.5 -1.859 CORN 5.116 0.008 2.5 0.107 COTTON2 26.171 0.007 2.5 0.483 CRUDE_W 16.195 0.049 2.5 1.983 DAX -12.102 0.013 2.5 -0.395 DOW 107.319 0.009 2.5 2.397 EUR 1.495 0.013 2.5 0.049 EURIBOR-ICE -190.789 0.012 2.5 -5.951 EUROSTX 46.626 0.013 2.5 1.523 FEEDCOW -35.319 0.014 2.5 -1.204 GASOIL 39.025 0.020 2.5 1.913 GASOLINE 61.052 0.020 2.5 2.993 GAS_US_mini -212.086 0.049 2.5 -25.975 GBP 57.346 0.013 2.5 1.864 GOLD_micro -432.633 0.015 2.5 -16.388 HEATOIL 24.462 0.020 2.5 1.199 JGB-SGX-mini 310.697 0.052 2.5 40.601 JPY -134.840 0.013 2.5 -4.383 LEANHOG 62.266 0.025 2.5 3.892 LIVECOW 208.253 0.014 2.5 7.098 LUMBER-new -94.833 0.007 2.5 -1.716 MILK -181.331 0.007 2.5 -3.345 MXP 515.203 0.066 2.5 84.753 NASDAQ_micro -2.528 0.009 2.5 -0.056 NIKKEI 355.833 0.052 2.5 46.499 NZD 8.482 0.013 2.5 0.276 OAT 47.777 0.012 2.5 1.490 OATIES -21.576 0.008 2.5 -0.452 OJ 157.716 0.007 2.5 2.910 PALLAD -16.584 0.015 2.5 -0.628 PLAT -6.706 0.015 2.5 -0.254 REDWHEAT -9.391 0.005 2.5 -0.107 RICE 190.719 0.008 2.5 3.995 ROBUSTA 139.770 0.004 2.5 1.406 RUSSELL 187.000 0.013 2.5 5.954 SHATZ -286.596 0.004 2.5 -2.658 SILVER-mini 7.602 0.015 2.5 0.288 SMI -5.938 0.013 2.5 -0.194 SOFR -48.359 0.023 2.5 -2.807 SOYBEAN 78.041 0.003 2.5 0.625 SOYMEAL 88.361 0.003 2.5 0.708 SOYOIL 69.131 0.003 2.5 0.554 SP400 10.846 0.013 2.5 0.345 SP500_micro 95.109 0.009 2.5 2.124 SUGAR11 73.110 0.007 2.5 1.339 US10 -94.129 0.005 2.5 -1.139 US10U -19.963 0.005 2.5 -0.242 US2 -359.684 0.005 2.5 -4.354 US20 -15.879 0.005 2.5 -0.192 US30 -15.495 0.005 2.5 -0.188 US5 -182.346 0.005 2.5 -2.207 VIX -203.670 0.059 2.5 -30.178 WHEAT -61.750 0.005 2.5 -0.705 ===================== Position diags ===================== AUD 3.11 BITCOIN 71.60 BOBL 1.21 BTP 1.73 BUND 0.59 BUXL 0.27 CAC 2.16 CAD 4.72 CANOLA 7.56 CHF 1.99 COCOA 2.10 COFFEE 0.44 COPPER 5.11 CORN 1.57 COTTON2 1.35 CRUDE_W 5.24 DAX 10.93 DOW 10.62 EUR 2.19 EURIBOR-ICE 7.50 EUROSTX 3.37 FEEDCOW 1.85 GASOIL 2.02 GASOLINE 1.50 GAS_US_mini 25.18 GBP 3.30 GOLD_micro 14.86 HEATOIL 1.56 JGB-SGX-mini 34.21 JPY 2.67 LEANHOG 5.87 LIVECOW 3.55 LUMBER-new 2.60 MILK 1.67 MXP 42.38 NASDAQ_micro 3.95 NIKKEI 27.62 NZD 3.15 OAT 1.93 OATIES 2.53 OJ 1.45 PALLAD 0.75 PLAT 2.50 REDWHEAT 0.71 RICE 2.91 ROBUSTA 1.17 RUSSELL 15.58 SHATZ 3.81 SILVER-mini 2.03 SMI 1.62 SOFR 12.81 SOYBEAN 0.37 SOYMEAL 0.53 SOYOIL 0.56 SP400 0.70 SP500_micro 8.35 SUGAR11 2.09 US10 1.18 US10U 0.90 US2 2.18 US20 0.67 US30 0.46 US5 1.72 VIX 15.09 WHEAT 0.66 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 -18.9 -26.0 -11.7 0.0 0 BOBL -1.3 -1.4 -1.1 -1.0 -1 BTP 1.4 1.2 1.6 4.0 4 BUND 0.4 0.3 0.4 1.0 1 BUXL 0.0 -0.0 0.0 NaN 0 CAC 1.0 0.8 1.2 NaN 0 CAD -0.7 -1.1 -0.2 -1.0 -1 CANOLA 13.3 12.5 14.0 NaN 0 CHF -1.3 -1.4 -1.1 -3.0 -3 COCOA 0.8 0.6 1.0 2.0 2 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -1.9 -2.4 -1.3 -1.0 -1 CORN 0.1 -0.0 0.3 0.0 0 COTTON2 0.5 0.3 0.6 1.0 1 CRUDE_W 2.0 1.5 2.5 2.0 2 DAX -0.4 -1.5 0.7 -16.0 -16 DOW 2.4 1.3 3.5 NaN 0 EUR 0.0 -0.2 0.3 3.0 3 EURIBOR-ICE -6.0 -6.7 -5.2 -1.0 -1 EUROSTX 1.5 1.2 1.9 12.0 12 FEEDCOW -1.2 -1.4 -1.0 NaN 0 GASOIL 1.9 1.7 2.1 1.0 1 GASOLINE 3.0 2.8 3.1 4.0 4 GAS_US_mini -26.0 -28.5 -23.5 -20.0 -20 GBP 1.9 1.5 2.2 8.0 8 GOLD_micro -16.4 -17.9 -14.9 -9.0 -9 HEATOIL 1.2 1.0 1.4 0.0 0 JGB-SGX-mini 40.6 37.2 44.0 16.0 16 JPY -4.4 -4.7 -4.1 -9.0 -9 LEANHOG 3.9 3.3 4.5 -1.0 -1 LIVECOW 7.1 6.7 7.5 5.0 5 LUMBER-new -1.7 -2.0 -1.5 NaN 0 MILK -3.3 -3.5 -3.2 NaN 0 MXP 84.8 80.5 89.0 59.0 59 NASDAQ_micro -0.1 -0.5 0.3 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 -0.5 -0.7 -0.2 NaN 0 OJ 2.9 2.8 3.1 NaN 0 PALLAD -0.6 -0.7 -0.6 NaN 0 PLAT -0.3 -0.5 -0.0 -6.0 -6 REDWHEAT -0.1 -0.2 -0.0 NaN 0 RICE 4.0 3.7 4.3 NaN 0 ROBUSTA 1.4 1.3 1.5 3.0 3 RUSSELL 6.0 4.4 7.5 3.0 3 SHATZ -2.7 -3.0 -2.3 NaN 0 SILVER-mini 0.3 0.1 0.5 NaN 0 SMI -0.2 -0.4 -0.0 0.0 0 SOFR -2.8 -4.1 -1.5 NaN 0 SOYBEAN 0.6 0.6 0.7 2.0 2 SOYMEAL 0.7 0.7 0.8 NaN 0 SOYOIL 0.6 0.5 0.6 1.0 1 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 2.1 1.3 3.0 2.0 2 SUGAR11 1.3 1.1 1.5 2.0 2 US10 -1.1 -1.3 -1.0 NaN 0 US10U -0.2 -0.3 -0.2 -9.0 -9 US2 -4.4 -4.6 -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 -30.2 -31.7 -28.7 -17.0 -17 WHEAT -0.7 -0.8 -0.6 -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 -0.3 -0.5 -0.2 -0.3 -0.0 -0.3 0.1 0.2 BITCOIN 0.1 0.1 0.2 0.0 0.0 0.1 0.1 0.1 0.1 -0.3 0.4 -0.1 -0.1 0.1 0.1 -0.4 -0.2 -0.3 -0.3 0.1 0.1 -0.1 0.1 0.1 -1.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.7 -0.2 0.0 -0.2 -0.0 0.3 -0.0 0.3 BOBL -0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -1.2 -0.2 -1.0 -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 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.2 0.0 -0.1 0.0 0.0 0.3 0.5 0.4 0.4 0.0 0.0 0.1 -0.0 0.0 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 2.6 -0.0 -0.0 0.3 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.1 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 0.3 0.6 0.4 0.4 -0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 2.6 -0.0 0.0 0.0 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 0.2 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.8 -0.2 0.0 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 0.1 0.2 0.3 0.1 0.5 0.1 0.1 -0.4 0.1 -0.2 -0.0 0.0 0.1 0.1 0.3 0.0 -0.2 0.0 0.1 0.1 0.0 0.2 0.0 1.5 -0.4 -0.3 -0.3 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.1 0.3 0.3 0.0 0.0 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 -0.6 -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 0.8 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 0.0 0.0 0.0 0.1 0.2 0.1 0.3 0.1 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 0.2 0.1 0.2 -0.4 0.0 0.0 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 -0.0 -0.1 -0.0 -0.0 0.2 0.2 0.2 0.4 0.2 -0.5 0.1 0.0 0.2 0.0 0.2 0.0 -1.8 -0.2 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.4 -0.5 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 -0.1 -0.2 -0.2 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.6 -0.7 -0.5 -0.5 0.2 -0.3 -0.3 -0.1 -0.2 COPPER 0.1 0.2 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.2 -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 -0.2 -0.3 0.1 -0.5 -0.0 -0.3 0.0 -0.2 CORN -0.4 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 0.1 -0.0 -0.0 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 -0.4 0.3 -0.0 -0.0 0.2 0.0 0.3 COTTON2 0.3 0.1 0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.6 0.4 0.4 0.3 0.0 0.0 0.2 -0.1 0.1 -1.1 0.0 0.1 0.0 0.1 -0.0 0.0 -0.1 0.1 0.1 0.0 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 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 -0.0 0.1 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 -1.4 -0.3 0.1 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 -0.3 -0.5 -0.4 -0.2 0.2 -0.0 0.3 0.0 DOW 0.3 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 -0.6 -0.5 0.1 0.1 0.3 0.1 0.2 -0.5 0.0 0.1 0.1 0.1 0.1 0.1 -0.7 0.4 0.4 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 0.0 0.0 0.0 0.1 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 0.0 0.1 0.0 0.0 0.1 -1.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.0 0.2 EURIBOR-ICE 0.1 -0.2 0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.7 -0.4 -0.6 -0.6 -0.0 -0.0 0.0 -0.2 -0.0 0.9 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -2.0 0.1 0.0 -0.1 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.0 -0.1 -0.1 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 -0.6 -0.3 -0.3 -0.2 0.3 0.0 0.3 0.1 FEEDCOW 0.3 -0.3 0.3 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.4 0.1 0.5 0.1 0.1 -1.2 -1.2 -1.2 -1.2 0.2 0.2 0.1 0.4 0.2 0.3 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 -0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 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 -0.0 0.1 0.0 0.2 0.2 0.3 0.1 -0.1 0.0 -0.1 -0.1 GASOLINE 0.5 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.2 0.2 -0.1 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 0.3 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.0 0.5 0.1 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.3 -0.0 -0.4 0.0 -0.0 0.1 -0.7 -0.5 -0.7 -0.0 -0.2 0.0 -0.4 0.0 0.8 0.0 0.1 -0.0 0.0 -0.1 0.0 -3.2 -0.7 -0.4 -0.0 0.0 0.0 0.2 -0.0 0.0 GBP 0.2 0.2 0.3 0.0 0.0 0.1 0.0 0.0 0.1 -0.1 0.4 0.1 0.2 0.1 0.1 0.0 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.4 -0.6 -0.2 0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.3 -0.4 -0.1 0.0 0.0 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 0.1 -0.6 0.0 0.1 0.0 0.1 0.1 0.0 -2.5 0.5 0.2 -0.4 -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 0.5 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 0.0 0.3 0.5 0.3 -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 0.0 -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 0.0 -0.2 -0.5 -0.5 -0.3 -0.3 -0.3 -0.3 LEANHOG 0.4 0.5 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 0.1 1.2 -0.1 1.2 1.0 0.0 -0.1 0.2 -0.4 0.1 0.8 -0.0 0.1 -0.2 0.0 -0.3 0.0 -0.8 0.0 0.0 -0.0 -0.5 -0.1 0.0 0.2 0.3 LIVECOW 0.3 0.5 0.5 0.0 0.2 -0.1 0.1 -0.1 0.1 0.2 0.4 0.2 0.6 0.2 0.2 -0.5 0.6 1.0 1.2 0.2 0.2 0.2 0.4 0.2 0.5 0.1 0.0 0.2 0.0 0.2 0.1 2.7 0.7 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.1 0.5 0.1 0.0 0.2 -0.1 0.1 -0.1 0.1 -0.2 -0.2 -0.0 -0.3 0.1 0.1 -0.3 -0.8 -0.6 -0.7 0.1 0.0 -0.1 -0.1 0.1 NaN 0.0 -0.2 0.0 -0.0 -0.0 0.0 -3.4 -0.5 0.0 0.3 0.3 -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 -0.1 0.2 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 0.0 0.2 0.0 0.3 0.1 3.2 -0.4 -0.1 0.4 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.0 0.3 0.5 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.2 0.4 0.2 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.9 -0.1 0.3 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 -0.1 -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 -0.0 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 0.0 -0.0 0.0 -0.1 -0.0 0.0 -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 0.0 -0.0 0.0 -0.1 -0.0 2.8 -0.1 -0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES -0.0 0.5 0.5 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.2 0.1 -0.2 0.1 0.1 -0.8 0.0 -0.6 -0.4 0.2 0.1 0.2 0.0 0.2 -1.1 0.0 0.1 0.0 0.0 0.0 0.0 -2.4 -0.0 0.1 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.4 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 0.4 0.1 3.2 0.7 0.4 0.4 0.5 0.2 0.1 0.3 0.2 PALLAD 0.0 -0.4 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -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 -0.0 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 -0.4 -0.5 -0.3 -0.2 0.0 0.0 0.0 PLAT 0.3 -0.5 -0.2 0.0 0.0 0.0 0.0 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 0.1 -0.0 0.0 0.7 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 -0.0 -0.5 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.0 0.2 0.1 0.0 0.1 -0.0 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 0.2 -0.1 0.1 -0.7 0.0 0.1 -0.0 0.0 -0.0 0.0 -0.5 0.0 -0.3 0.0 0.2 -0.3 -0.2 -0.1 -0.1 RICE -0.1 0.2 0.0 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 1.2 1.2 1.2 0.0 -0.0 0.2 -0.0 0.1 -1.1 0.0 0.2 -0.0 0.1 -0.0 0.0 3.2 0.6 -0.2 0.2 0.3 -0.1 -0.3 0.0 -0.3 ROBUSTA -0.5 -0.4 0.3 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.1 0.1 1.2 0.8 1.2 1.1 0.0 0.1 -0.0 0.3 -0.0 -0.5 0.0 -0.0 0.1 -0.0 0.2 -0.0 2.6 -0.2 -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 0.1 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 0.0 0.1 0.0 0.0 0.0 -0.1 0.4 0.5 0.5 -0.0 -0.1 -0.1 -0.3 -0.1 SHATZ 0.0 -0.4 -0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.6 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 0.5 -0.1 -0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.1 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 0.7 0.4 0.1 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 0.2 0.1 0.0 0.1 -0.1 0.0 -0.2 0.1 -0.1 -0.0 -0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 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 0.0 -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 0.0 -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 0.4 0.5 0.0 0.0 0.1 -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 -0.9 0.0 0.0 0.0 0.0 -0.0 0.0 3.2 0.1 0.1 0.5 0.2 -0.1 0.3 -0.0 0.3 SOYMEAL 0.2 0.4 -0.5 0.0 0.1 -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 0.1 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 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 -0.0 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 0.1 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 0.0 0.1 0.0 0.0 0.1 0.1 0.4 0.5 0.5 -0.0 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.3 0.5 0.5 0.0 0.1 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 0.0 0.1 0.1 0.1 0.1 -1.0 0.1 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.2 -0.5 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.2 0.1 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 0.1 0.1 0.0 0.3 -0.0 2.1 0.2 -0.5 -0.4 0.5 -0.2 -0.2 0.1 -0.1 US10 0.0 -0.3 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -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 -1.7 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 0.0 -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 -0.0 0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.0 -0.0 -0.2 -0.1 -0.3 -0.3 0.3 0.2 US2 0.2 -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 -0.0 -0.1 -0.4 -0.2 -0.3 -0.2 -0.3 -0.2 US20 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.1 -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 -0.1 -0.0 -0.1 -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 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.3 -0.1 -0.2 -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 0.1 -0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -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 -2.3 0.1 -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 -0.1 -0.6 -0.2 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.2 -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 -0.1 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 0.3 -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 4.6 11.2 1.8 3.5 0.6 2.3 3.8 1.0 4.5 0.6 -3.4 3.9 -4.2 5.3 3.5 -2.4 -2.6 -2.6 -2.7 2.7 -0.4 5.4 -3.3 5.5 2.0 1.8 0.5 0.3 3.1 -1.2 3.1 -0.5 -9.3 -19.5 -9.8 -11.1 -1.7 -20.0 9.0 15.9 BITCOIN 2.8 5.5 7.4 5.3 2.2 4.0 8.4 3.0 7.9 -20.0 19.8 -12.4 -4.9 14.9 16.3 -6.8 -3.2 -5.5 -4.3 12.6 14.3 -4.3 6.5 6.8 -20.0 5.2 -5.3 5.3 -2.2 3.5 3.0 -0.7 -20.0 -7.5 1.3 -8.7 -2.3 20.0 -1.1 20.0 BOBL -2.3 -8.7 -1.6 -1.4 1.6 -1.5 1.7 -2.2 -0.2 3.1 -3.6 1.9 -6.3 -3.3 -4.4 -20.0 -2.8 -16.8 -9.2 -4.1 -4.9 2.6 -8.0 -1.6 9.4 -1.6 1.2 -1.5 1.2 -2.7 -0.7 -7.1 0.1 0.6 -2.8 0.4 -20.0 -20.0 -20.0 -14.7 BTP -11.3 2.1 11.9 -2.0 2.3 -2.2 2.4 -3.2 -0.3 5.8 7.4 2.7 -2.0 2.9 3.2 4.4 8.8 6.1 7.4 2.0 2.6 4.8 -1.7 1.7 -6.1 1.4 3.2 2.3 2.6 0.2 0.8 16.4 -0.2 -1.9 12.4 11.1 -20.0 -20.0 -6.1 4.2 BUND -4.2 -1.8 3.9 -1.4 1.7 -1.6 1.7 -2.3 -0.2 2.8 -3.6 1.3 -6.7 -1.5 -3.2 5.8 9.3 6.5 7.4 -2.4 -3.5 2.4 -7.5 -0.7 5.3 -1.1 1.3 -1.1 1.4 -2.7 -0.4 16.6 -1.2 0.7 1.3 2.1 -20.0 -20.0 -11.8 -2.7 BUXL -3.8 6.4 2.6 -1.7 2.1 -1.9 2.1 -2.8 -0.2 3.2 -7.3 0.7 -9.0 0.3 -3.4 1.3 1.2 1.7 1.9 -1.4 -4.4 2.2 -10.8 -0.1 0.0 -0.4 1.7 -1.0 1.5 -3.4 0.1 5.0 -6.8 0.8 6.7 3.1 -20.0 -20.0 6.8 10.3 CAC 2.7 -7.8 -7.3 4.8 8.8 4.9 8.8 4.1 6.2 15.3 14.9 11.0 17.0 7.0 7.2 -6.1 1.2 -2.6 -0.3 3.4 9.4 8.2 16.4 4.4 -4.6 2.9 5.6 5.4 3.7 8.0 2.6 9.5 -13.5 -10.2 -11.9 -7.2 17.3 -2.8 20.0 -0.9 CAD -4.6 13.9 13.6 5.6 1.0 3.7 6.1 1.6 7.2 5.3 13.2 9.2 -7.6 14.8 15.4 -2.0 -1.9 -2.3 -2.2 12.3 8.4 7.8 -1.1 10.4 -0.6 5.8 2.3 4.5 3.4 0.4 4.6 0.5 -19.4 -20.0 -6.6 0.4 -17.6 -20.0 -20.0 -10.3 CANOLA 20.0 20.0 9.6 0.5 5.8 -1.7 4.6 -2.2 2.9 9.7 0.4 10.9 -7.6 11.1 8.5 6.3 16.6 14.3 16.8 20.0 3.9 20.0 -5.3 20.0 -20.0 2.7 3.0 -0.1 4.0 -1.4 4.4 18.3 20.0 20.0 20.0 7.8 -14.1 16.4 0.2 20.0 CHF 20.0 5.7 4.0 4.3 0.8 2.8 4.7 1.2 5.5 7.7 11.1 12.5 11.3 12.5 10.0 -13.5 -12.8 -13.9 -13.5 15.0 9.9 20.0 7.1 20.0 -6.9 4.4 1.9 2.9 6.8 1.8 6.7 -18.5 20.0 14.9 -0.5 2.8 -13.0 -20.0 -15.6 -20.0 COCOA -3.9 2.6 12.5 1.0 11.0 -3.2 8.7 -4.2 5.5 12.7 20.0 14.7 18.6 17.3 19.2 -0.8 -0.9 -0.6 -0.3 20.0 20.0 16.7 20.0 20.0 -8.7 7.9 2.7 7.9 3.9 6.3 5.9 -11.3 -4.6 20.0 20.0 20.0 -19.7 -20.0 9.5 -9.7 COFFEE -15.6 -20.0 -6.5 0.9 10.1 -3.0 8.0 -3.9 5.1 -2.6 -3.6 -14.6 -7.7 -18.4 -17.7 1.6 3.8 3.5 4.0 -20.0 -13.4 -10.9 -9.1 -20.0 -20.0 -4.7 0.4 -1.9 -3.1 -1.0 -5.6 -3.5 -20.0 -20.0 -20.0 9.5 -20.0 -20.0 -8.5 -18.8 COPPER 4.7 6.3 -12.8 3.3 1.4 2.5 5.3 1.9 4.9 -4.2 -4.2 1.6 -4.0 5.0 -2.8 -2.9 -1.4 -2.5 -2.0 -1.7 -3.8 1.6 -3.3 2.2 -3.8 -0.1 -0.8 -2.1 1.8 -1.9 2.4 2.6 -6.2 -13.4 2.7 -20.0 -0.7 -20.0 3.2 -17.5 CORN -17.6 15.6 -1.2 0.3 3.8 -1.1 3.0 -1.5 1.9 5.4 -3.6 -1.4 -4.4 -3.4 -3.4 -3.8 8.4 -1.2 3.7 -2.1 -2.4 4.5 -1.9 -0.8 -6.7 0.3 2.6 -0.7 1.5 -1.2 0.7 0.8 4.3 -15.9 10.7 -0.4 -2.7 14.8 0.7 20.0 COTTON2 11.1 5.4 7.9 0.6 6.7 -2.0 5.3 -2.6 3.3 11.2 2.5 12.0 -9.2 9.4 7.5 9.9 6.8 7.4 5.2 4.1 0.2 12.2 -4.1 7.7 -20.0 2.1 7.7 0.5 6.3 -0.1 4.0 -0.8 1.7 4.0 1.3 10.8 -20.0 -18.2 5.3 7.6 CRUDE_W 18.3 7.7 -5.7 2.8 10.2 -1.4 9.9 -1.3 7.4 8.6 -2.9 14.2 -10.8 14.6 0.3 5.3 8.1 5.6 6.4 7.4 -1.6 17.8 -2.3 16.8 -5.8 5.2 4.6 1.9 7.2 1.7 7.7 -9.0 -10.2 2.3 9.1 15.2 10.2 12.3 11.4 3.7 DAX -2.9 -7.6 -0.3 4.5 8.3 4.6 8.3 3.8 5.8 14.6 13.9 12.9 15.5 2.7 6.9 -8.2 -6.4 -8.1 -7.7 2.8 9.5 8.3 14.0 3.3 15.7 0.7 4.2 4.6 3.6 6.7 0.5 -3.6 -7.5 -18.7 -17.0 -7.6 17.3 -1.8 20.0 2.5 DOW 11.3 12.6 5.2 4.5 8.3 4.6 8.4 3.9 5.8 16.5 9.3 16.9 8.4 16.4 15.7 -10.3 -6.5 -9.4 -8.3 13.6 8.8 20.0 5.1 19.8 -9.0 5.9 11.0 4.1 9.3 2.6 7.6 -4.2 11.5 14.4 20.0 3.4 -4.4 -3.5 -20.0 -1.9 EUR 15.1 8.7 2.6 4.4 0.8 2.9 4.8 1.3 5.7 5.5 11.4 12.0 7.5 13.2 9.0 -6.2 -6.8 -6.6 -6.6 11.7 7.6 16.5 3.7 18.2 12.9 4.3 0.5 2.8 5.8 1.3 6.4 -7.4 2.3 -2.1 -4.2 -5.8 -4.8 -20.0 -0.6 14.8 EURIBOR-ICE 2.1 -8.9 7.9 -1.3 1.6 -1.5 1.6 -2.2 -0.2 2.5 -4.1 3.2 -6.4 -2.1 -4.0 -11.4 -7.6 -10.5 -9.5 -4.0 -4.8 4.0 -7.6 -0.7 16.2 -1.5 1.1 -1.6 1.5 -2.8 -0.4 -12.6 4.4 1.3 -4.9 0.6 -20.0 -20.0 20.0 4.0 EUROSTX -0.9 -5.6 -2.3 4.5 8.3 4.6 8.4 3.8 5.8 8.7 16.6 10.1 17.2 8.3 12.2 -4.6 0.3 -4.1 -2.1 5.0 10.9 4.8 15.8 4.0 4.6 2.2 0.8 5.9 1.8 8.4 1.2 7.3 -16.9 -13.4 -12.6 -6.5 19.2 0.4 20.0 5.8 FEEDCOW 12.1 -10.6 14.0 1.0 11.0 -3.2 8.7 -4.3 5.5 -2.9 18.9 13.8 18.0 15.7 17.8 -20.0 -20.0 -20.0 -20.0 20.0 20.0 8.0 20.0 19.2 6.6 7.6 -0.5 9.0 2.5 8.3 5.5 -20.0 -10.9 20.0 20.0 20.0 -0.2 -20.0 12.3 -14.0 GASOIL 20.0 20.0 -9.3 2.5 8.9 -1.2 8.7 -1.1 6.5 15.9 -7.6 17.1 -5.8 17.0 7.9 5.2 14.6 5.8 9.5 11.2 -3.1 20.0 -3.0 20.0 11.2 4.0 7.6 -0.7 8.2 -1.7 7.4 0.0 5.5 6.6 12.3 2.2 -7.1 3.6 -9.8 -4.5 GASOLINE 19.8 12.3 -1.1 3.1 11.1 -1.5 10.8 -1.4 8.0 19.6 11.8 20.0 -5.4 20.0 13.0 20.0 20.0 20.0 20.0 17.9 8.9 20.0 9.1 20.0 -20.0 7.2 8.9 4.8 9.4 4.8 8.9 20.0 8.8 13.2 20.0 20.0 9.9 12.3 12.9 -2.2 GAS_US_mini 1.5 20.0 4.0 2.1 7.7 -1.0 7.4 -0.9 5.5 8.9 -14.9 -5.0 -15.3 3.3 -0.3 1.8 -12.1 -8.6 -12.6 -2.8 -19.3 1.8 -20.0 0.7 16.0 2.0 4.2 -1.5 1.3 -3.5 1.8 -20.0 -20.0 -16.2 -1.4 1.3 2.9 15.5 -0.0 1.6 GBP 7.1 9.9 12.8 5.0 0.9 3.3 5.5 1.4 6.4 -8.4 16.9 7.1 9.0 13.1 14.9 0.8 -1.1 -0.1 -0.7 17.6 15.1 7.8 8.1 17.2 -0.9 6.0 -3.8 4.7 3.0 1.7 6.1 2.5 -17.6 -9.4 2.0 5.2 5.6 10.4 10.6 20.0 GOLD_micro 11.5 -14.1 -4.1 4.7 2.0 3.6 7.5 2.7 7.1 13.5 3.6 15.8 7.6 2.3 -10.3 -16.0 -11.7 -14.7 -13.3 -5.0 0.3 18.7 8.2 6.2 -12.1 1.4 6.9 1.9 9.4 3.9 5.9 -16.0 16.3 9.7 -17.3 -11.9 -20.0 -20.0 -6.6 -20.0 HEATOIL 20.0 20.0 -10.4 3.0 10.7 -1.4 10.4 -1.3 7.7 18.7 -10.7 19.8 -8.3 19.9 8.3 4.2 16.3 4.6 9.3 12.7 -4.7 20.0 -4.4 20.0 -20.0 5.7 7.5 1.4 8.0 1.1 8.2 1.3 1.0 11.2 20.0 10.1 -4.0 2.4 -8.2 1.5 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 -4.9 -16.3 3.2 0.6 2.1 3.5 0.9 4.1 0.8 -8.1 6.0 -8.4 2.8 -7.7 -16.3 -13.2 -16.1 -14.9 -7.5 -11.7 6.6 -12.5 2.8 20.0 -1.8 -0.5 -2.8 2.2 -3.1 1.1 -19.9 0.3 -8.7 -20.0 -20.0 -20.0 -20.0 -19.3 -20.0 LEANHOG 14.1 20.0 -2.3 0.9 9.3 -2.7 7.4 -3.6 4.6 9.8 -7.2 12.5 -11.2 16.5 8.4 20.0 -1.9 20.0 16.1 5.8 -11.0 12.4 -18.6 13.9 14.8 -2.7 6.1 -8.9 3.7 -10.4 2.2 -5.2 0.8 0.3 -0.7 -20.0 -3.9 3.4 18.9 20.0 LIVECOW 13.8 18.8 18.6 1.2 13.0 -3.8 10.3 -5.0 6.5 15.3 20.0 20.0 20.0 20.0 20.0 -8.9 9.9 16.8 20.0 20.0 20.0 20.0 20.0 20.0 8.8 9.1 2.8 8.0 5.7 6.1 8.0 16.9 20.0 20.0 20.0 20.0 -20.0 -20.0 -16.7 -20.0 LUMBER-new 4.4 20.0 4.0 1.1 11.6 -3.0 9.2 -3.5 5.8 -16.1 -11.3 -4.2 -17.3 11.4 8.6 -4.9 -11.8 -9.6 -11.3 8.4 0.7 -5.8 -4.4 7.8 NaN 4.5 -12.4 1.5 -2.8 -0.6 3.9 -20.0 -15.0 0.6 13.1 12.7 -20.0 -20.0 -20.0 -20.0 MILK 3.1 -7.4 -13.3 0.2 5.8 -1.9 4.0 -2.4 2.5 6.4 -11.1 -3.5 -11.3 -7.6 -10.2 -20.0 -20.0 -20.0 -20.0 -19.5 -20.0 0.2 -17.9 -11.2 -5.6 -3.9 0.9 -3.9 -0.1 -3.1 -2.2 -20.0 3.2 -20.0 -20.0 -20.0 -20.0 -20.0 -13.3 -20.0 MXP -2.2 10.0 15.8 6.3 1.1 4.2 6.9 1.8 8.1 11.4 20.0 18.4 20.0 20.0 20.0 19.3 17.9 18.9 18.2 20.0 20.0 20.0 20.0 20.0 -20.0 8.9 1.4 9.7 5.6 9.6 7.6 20.0 -13.0 -4.1 15.4 20.0 20.0 5.5 20.0 20.0 NASDAQ_micro -0.6 12.0 20.0 3.6 6.6 3.7 6.6 3.1 4.6 4.8 14.9 10.9 7.3 13.3 14.6 -10.9 -7.3 -10.2 -9.0 20.0 20.0 15.7 17.8 20.0 -20.0 5.6 0.3 5.7 2.8 4.1 4.2 -5.4 -3.0 10.3 20.0 20.0 -7.1 -9.3 -14.4 -11.6 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 11.5 7.1 0.6 3.0 0.5 2.0 3.3 0.9 3.8 -4.8 -0.9 3.2 -0.2 4.5 1.9 0.4 0.5 0.5 0.5 2.9 0.3 3.0 -1.7 5.6 0.2 1.8 -2.3 0.5 2.0 -0.5 3.2 5.0 -14.1 -9.7 -13.2 -10.5 1.0 -12.8 10.4 10.3 OAT -5.8 0.1 6.8 -1.6 1.9 -1.7 1.9 -2.5 -0.2 3.1 -4.0 1.2 -7.0 -0.6 -2.3 5.7 9.4 7.4 8.5 -2.0 -2.9 2.5 -6.9 -0.6 7.2 -0.9 1.5 -0.8 1.5 -2.8 -0.4 17.8 -1.6 -0.2 2.9 3.6 -20.0 -20.0 -2.2 1.0 OATIES -0.0 20.0 20.0 0.7 7.2 -2.1 5.7 -2.8 3.6 11.4 8.2 10.0 -8.4 12.1 12.0 -13.1 0.7 -10.4 -6.3 20.0 11.8 19.1 2.4 20.0 -20.0 3.9 4.1 2.2 2.9 0.3 3.4 -15.3 -0.3 4.5 20.0 20.0 5.5 20.0 16.7 20.0 OJ 14.2 1.6 -1.4 1.0 11.1 -3.2 8.8 -4.3 5.5 18.6 18.2 20.0 19.6 16.8 16.6 20.0 18.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.1 14.1 11.1 10.3 15.8 7.0 20.0 20.0 16.4 15.4 20.0 15.2 6.2 20.0 16.6 PALLAD 0.8 -14.2 -7.2 2.5 1.0 1.9 4.0 1.4 3.7 1.5 -11.0 1.3 -11.3 -6.6 -9.5 -3.3 -2.5 -3.2 -2.9 -13.2 -17.5 1.4 -20.0 -5.9 -5.1 -3.2 -0.3 -3.4 0.4 -3.4 -1.6 0.7 -7.5 -17.4 -20.0 -11.2 -16.2 0.2 0.4 2.2 PLAT 12.2 -20.0 -8.5 2.9 1.2 2.2 4.7 1.7 4.4 5.2 -6.3 8.0 0.7 -2.8 -8.1 -2.8 -1.8 -2.6 -2.2 -7.9 -6.2 8.7 -1.4 0.6 12.7 -1.2 0.7 -1.0 3.6 -0.1 1.5 2.0 7.1 -1.4 -20.0 -6.8 0.1 -14.6 7.7 -9.7 REDWHEAT 1.1 6.6 3.9 0.7 7.5 -2.2 5.9 -2.9 3.7 11.5 0.8 5.8 -10.8 4.0 4.8 -1.1 3.8 1.9 3.8 2.7 -0.8 13.7 -3.0 6.4 -13.7 0.7 11.7 -0.3 5.5 -0.5 1.6 -3.4 1.3 -13.0 1.0 6.2 -20.0 -16.4 -4.0 -6.8 RICE -2.1 10.0 0.2 0.8 8.7 -2.5 6.9 -3.4 4.4 14.4 -4.6 9.0 -3.4 8.2 7.1 5.8 20.0 20.0 20.0 2.2 -2.0 18.3 -2.4 7.9 -20.0 1.4 13.2 -0.4 8.4 -1.1 3.5 20.0 17.5 -7.1 7.7 12.6 -9.4 -20.0 0.5 -20.0 ROBUSTA -20.0 -15.7 10.8 0.7 7.3 -2.1 5.8 -2.8 3.6 -4.8 10.6 -6.9 10.4 -6.8 6.6 20.0 13.8 20.0 18.3 5.5 14.6 -2.9 15.2 -3.0 -9.5 2.3 -0.1 5.5 -0.8 5.6 -0.8 16.5 -5.0 -20.0 3.0 20.0 -8.3 -20.0 3.7 -14.6 RUSSELL 15.2 20.0 10.0 3.8 7.0 3.9 7.1 3.3 4.9 10.6 1.0 13.5 -4.3 14.2 12.2 -6.7 -4.8 -6.2 -5.7 15.1 7.1 20.0 -0.9 19.8 -1.1 4.9 3.6 2.7 5.5 1.0 6.0 -0.5 12.8 18.1 20.0 -1.8 -4.7 -6.6 -20.0 -8.7 SHATZ 0.0 -17.6 -14.5 -1.4 1.6 -1.5 1.7 -2.2 -0.2 3.2 -5.6 2.1 -6.8 -5.1 -6.1 -10.7 0.4 -5.3 -3.2 -8.1 -9.0 1.9 -11.6 -4.0 11.2 -2.1 0.9 -2.3 0.7 -3.0 -1.0 0.0 -0.4 -0.5 -9.3 -4.0 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -4.8 -3.2 3.8 1.6 2.9 6.1 2.2 5.7 11.7 4.0 14.3 4.8 10.9 -0.3 -6.6 -5.3 -6.5 -6.0 4.7 2.9 20.0 3.8 15.4 7.3 3.3 4.8 2.0 8.0 1.2 6.5 -4.3 20.0 17.8 3.4 1.9 -12.0 -20.0 -2.1 -20.0 SMI -7.9 -17.3 4.0 4.2 7.7 4.3 7.7 3.6 5.4 14.0 6.4 2.0 2.4 -7.3 0.0 -3.0 2.2 -2.5 -0.4 -5.6 1.0 3.3 3.7 -6.0 2.6 -2.8 6.7 -0.7 1.4 -0.7 -2.9 10.4 -19.9 -20.0 -20.0 -7.3 -6.9 -10.9 -12.6 -16.3 SOFR -1.3 -13.0 0.5 -1.4 1.7 -1.6 1.7 -2.3 -0.2 4.5 -0.3 5.1 -1.4 0.1 -2.3 -2.4 -0.5 -1.4 -0.9 -3.1 -1.9 3.1 -2.0 -0.7 -1.3 -1.4 0.4 -0.8 1.3 -0.6 -0.2 0.9 6.1 -0.1 -5.6 3.9 -20.0 -20.0 -6.1 -0.6 SOYBEAN 16.0 20.0 1.7 0.4 4.2 -1.2 3.3 -1.6 2.1 6.7 1.6 7.3 -2.3 7.3 5.8 11.1 20.0 14.0 18.2 6.7 1.6 9.0 -0.9 9.5 -16.4 1.9 1.3 0.4 1.8 -0.2 2.4 20.0 1.9 5.0 20.0 6.4 -7.8 19.8 -3.5 20.0 SOYMEAL 9.4 14.4 -20.0 0.4 4.2 -1.2 3.3 -1.6 2.1 5.2 -1.6 3.8 1.8 1.2 -0.7 12.9 20.0 20.0 20.0 1.2 -0.6 6.5 1.2 4.6 -16.9 1.7 1.3 0.7 2.0 1.1 2.4 20.0 1.9 2.8 12.8 2.7 -8.2 -19.4 -3.3 -17.5 SOYOIL 19.8 20.0 9.4 0.4 4.0 -1.2 3.2 -1.6 2.0 6.1 0.2 6.8 -3.0 7.2 6.2 10.2 9.9 8.9 8.0 9.0 2.7 7.8 -1.0 10.6 -20.0 2.1 1.2 0.6 1.4 -0.2 2.1 4.5 -0.6 9.7 20.0 9.6 3.3 7.2 14.6 20.0 SP400 20.0 20.0 7.1 4.0 7.3 4.1 7.4 3.4 5.1 11.7 3.9 14.7 3.0 15.6 13.5 -4.9 -4.4 -5.1 -4.9 19.9 10.6 20.0 3.6 20.0 -10.3 5.1 3.2 2.7 5.1 1.2 6.2 0.5 10.6 20.0 20.0 -0.8 -2.5 -8.0 -11.6 -10.0 SP500_micro 10.7 20.0 20.0 5.3 9.7 5.4 9.8 4.5 6.8 13.5 20.0 18.5 7.2 20.0 20.0 -13.0 -7.9 -11.5 -9.8 20.0 20.0 20.0 18.3 20.0 -19.1 8.0 3.6 6.6 6.1 4.0 7.5 -6.4 3.5 20.0 20.0 20.0 -4.5 -8.2 -10.6 -10.8 SUGAR11 -7.1 -20.0 3.2 0.8 8.2 -2.4 6.5 -3.2 4.1 12.0 9.8 6.3 11.8 -0.8 3.9 -0.6 15.7 3.5 10.0 1.1 12.4 8.4 18.9 -0.0 -20.0 1.0 5.0 6.2 2.5 9.3 -0.1 13.2 6.4 -20.0 -16.7 20.0 -18.8 -18.5 9.9 -8.2 US10 0.4 -12.7 -3.6 -1.4 1.6 -1.5 1.7 -2.2 -0.2 3.8 -3.2 3.2 -5.7 -1.9 -4.5 -9.0 -6.4 -9.1 -8.5 -5.5 -5.1 1.6 -5.9 -2.4 0.6 -1.9 0.2 -1.5 0.8 -1.4 -0.6 -10.9 2.2 -0.8 -7.0 -2.3 -20.0 -20.0 13.7 2.8 US10U -1.4 -9.0 -2.1 -1.9 2.3 -2.1 2.3 -3.1 -0.3 5.4 -3.9 3.8 -7.4 -1.9 -6.1 0.4 -0.3 -0.5 -1.0 -6.1 -5.9 2.2 -7.8 -2.5 -3.9 -2.5 0.5 -2.0 1.4 -1.8 -0.6 0.8 0.8 -0.1 -6.7 -2.2 -20.0 -20.0 20.0 17.6 US2 6.1 -20.0 -20.0 -1.3 1.6 -1.4 1.6 -2.1 -0.2 -0.5 -5.5 0.4 -6.3 -4.8 -6.4 -20.0 -18.6 -20.0 -20.0 -11.2 -10.9 -1.0 -10.8 -6.1 7.0 -2.3 -0.4 -2.1 -0.2 -2.2 -1.2 -20.0 -0.0 -4.7 -14.7 -8.6 -20.0 -16.8 -20.0 -12.6 US20 -2.8 -5.8 -1.8 -1.6 1.9 -1.7 1.9 -2.5 -0.2 4.5 -2.4 2.5 -4.8 -0.7 -5.0 -1.7 -1.3 -1.5 -1.7 -4.2 -4.3 2.2 -6.2 -1.6 -4.0 -1.9 1.2 -1.7 1.6 -1.8 -0.2 -0.6 -0.5 0.3 -1.5 -0.8 -20.0 -20.0 20.0 18.6 US30 -3.8 -2.2 -0.9 -1.9 2.3 -2.1 2.4 -3.1 -0.3 5.1 -5.3 1.3 -7.0 -1.2 -7.1 -5.5 -1.2 -2.6 -1.9 -4.7 -5.5 1.7 -9.3 -2.3 -3.8 -2.6 1.9 -2.3 1.7 -2.7 -0.8 -0.4 -5.6 -2.1 0.5 -0.6 -20.0 -20.0 20.0 20.0 US5 3.5 -15.1 -6.1 -1.3 1.6 -1.5 1.6 -2.2 -0.2 2.7 -3.6 3.4 -5.7 -2.1 -4.7 -13.5 -8.2 -12.7 -11.2 -6.0 -5.7 1.5 -6.4 -2.5 2.9 -1.9 0.0 -1.6 0.6 -1.6 -0.7 -14.6 3.2 -0.9 -8.6 -3.1 -20.0 -20.0 6.3 -13.7 VIX 2.2 -20.0 -20.0 -7.1 0.8 -7.3 -2.0 -6.6 -5.0 -2.7 -20.0 -17.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.0 -20.0 -20.0 NaN -8.4 1.0 -8.6 -2.0 -7.8 -5.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.1 20.0 10.9 0.4 4.2 -1.2 3.3 -1.6 2.1 6.8 -4.1 0.8 -7.3 0.2 -0.7 -9.1 -8.8 -10.1 -10.0 0.5 -2.7 8.4 -4.9 3.1 -3.9 0.3 5.6 -0.8 2.7 -1.4 1.0 -20.0 7.9 -11.1 7.4 -0.4 -17.6 -18.0 -8.5 -8.2 End of report for caleb_strategy_v3