******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230721_204336 produced at 2023-07-21 21:38:22.941412 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -6.06 10.0 -1 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -4.43 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 -2.90 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 -31.08 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 -4.39 17.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.13 0.0 0.40 -0.40 -0.11 -0.13 -17.63 56.0 -15 -18 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -2.82 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 -2.26 25.0 -4 -4 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.07 0.0 0.21 -0.21 -0.03 -0.03 -1.97 6.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.07 0.0 0.68 -0.68 -0.16 -0.16 -1.30 13.0 -3 -3 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.06 0.0 0.36 -0.36 0.00 0.00 -1.22 8.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.06 -0.06 -0.05 -0.05 -25.66 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 -1.35 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.69 -0.69 0.00 0.00 -1.16 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 -2.84 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 -0.61 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 -0.69 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 -22.84 59.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -0.78 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.30 -0.01 0.0 0.56 -0.56 -0.30 -0.26 -0.28 13.0 -7 -6 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.03 -0.01 0.0 0.26 -0.26 0.03 0.02 -0.49 23.0 3 2 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.41 -0.41 0.00 0.00 -0.20 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.21 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 -1.93 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 -0.69 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 -0.46 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.09 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.09 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.09 -0.00 0.0 0.18 -0.18 -0.09 -0.07 -0.17 10.0 -5 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.40 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.00 0.0 0.47 -0.47 0.02 0.02 0.14 21.0 1 1 caleb_strategy_v3 DAX False False 0.01 -0.11 -0.00 0.0 0.38 -0.38 -0.11 -0.11 -0.00 58.0 -16 -16 caleb_strategy_v3 SMI False False 0.05 0.00 -0.00 0.0 0.42 -0.42 0.00 0.00 -0.05 9.0 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 EUR False False 0.05 0.15 -0.00 0.0 0.71 -0.71 0.15 0.10 -0.01 14.0 3 2 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.47 11.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.03 1.38 23.0 3 3 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.72 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 0.60 10.0 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 0.26 0.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.02 0.01 0.0 0.32 -0.32 0.02 0.02 0.87 26.0 2 2 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.02 0.0 0.18 -0.18 0.05 0.05 0.65 7.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.42 -0.42 0.00 0.00 2.96 66.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.02 0.0 0.40 -0.40 0.02 0.02 2.04 48.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.02 0.02 0.0 0.24 -0.24 0.02 0.02 4.72 68.0 5 5 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.54 -0.54 0.05 0.05 0.39 10.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.02 0.0 0.18 -0.18 0.02 0.02 1.58 18.0 2 2 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.31 2.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.23 0.03 0.0 0.36 -0.36 0.23 0.25 1.72 20.0 13 14 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.24 12.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.03 1.78 4.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.80 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 1.29 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.17 0.05 0.0 0.64 -0.64 0.17 0.17 1.75 22.0 6 6 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 4.30 4.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.06 0.0 0.14 -0.14 0.06 0.06 2.14 5.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.06 0.0 0.16 -0.16 0.00 0.01 4.97 13.0 0 1 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.06 0.0 0.23 -0.23 0.00 0.00 12.43 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 1.49 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 1.55 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 3.00 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.13 0.18 0.0 0.45 -0.45 0.13 0.13 6.98 17.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.39 0.0 0.31 -0.31 0.30 0.30 46.50 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.62 0.89 0.0 0.63 -0.63 0.62 0.62 83.85 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 21.5 Shocked risk 65.4 Sum abs risk 56.9 Leverage 5.89 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 0.6742 0.7281 11.6491 BITCOIN 773.7501 29985.0000 2.5805 41.2873 BOBL 0.3130 115.7400 0.2705 4.3276 BTP 0.7410 116.2700 0.6373 10.1963 BUND 0.6391 133.1400 0.4800 7.6804 BUXL 1.3938 136.5000 1.0211 16.3379 CAC 62.4794 7461.5000 0.8374 13.3977 CAD 0.0032 0.7577 0.4235 6.7765 CANOLA 9.0800 824.9000 1.1007 17.6118 CHF 0.0060 1.1616 0.5150 8.2398 COCOA 40.6568 3410.0000 1.1923 19.0765 COFFEE 2.8267 160.8500 1.7573 28.1176 COPPER 0.0432 3.8170 1.1309 18.0939 CORN 12.2977 537.0000 2.2901 36.6413 COTTON2 1.2852 84.7900 1.5157 24.2519 CRUDE_W 1.0887 76.0000 1.4325 22.9201 DAX 123.2327 16260.0000 0.7579 12.1262 DOW 192.6310 35441.0000 0.5435 8.6964 EUR 0.0055 1.1152 0.4922 7.8757 EURIBOR-ICE 0.0676 97.0250 0.0696 1.1140 EUROSTX 39.8691 4412.0000 0.9037 14.4584 FEEDCOW 1.6917 250.7250 0.6747 10.7955 GASOIL 12.2592 789.0000 1.5538 24.8602 GASOLINE 0.0365 2.4938 1.4642 23.4266 GAS_US_mini 0.0900 2.7100 3.3226 53.1621 GBP 0.0072 1.2857 0.5629 9.0060 GOLD_micro 11.8277 1963.8000 0.6023 9.6366 HEATOIL 0.0359 2.7204 1.3193 21.1093 JGB-SGX-mini 0.2482 147.7200 0.1680 2.6881 JPY 0.0000 0.0071 0.6718 10.7487 LEANHOG 1.2315 84.2500 1.4617 23.3870 LIVECOW 1.1298 181.7750 0.6216 9.9448 LUMBER-new 11.6206 545.5000 2.1303 34.0842 MILK 0.3033 17.6500 1.7183 27.4935 MXP 0.0004 0.0583 0.6314 10.1025 NASDAQ_micro 129.8419 15528.2500 0.8362 13.3787 NIKKEI 307.3672 32790.0000 0.9374 14.9981 NZD 0.0049 0.6168 0.7938 12.7007 OAT 0.6592 127.7400 0.5161 8.2568 OATIES 7.5867 456.5000 1.6619 26.5907 OJ 4.1154 299.9000 1.3723 21.9562 PALLAD 23.1693 1288.0000 1.7989 28.7817 PLAT 13.9064 971.4000 1.4316 22.9053 REDWHEAT 14.9965 867.0000 1.7297 27.6752 RICE 0.1647 15.9900 1.0301 16.4811 ROBUSTA 41.0948 2602.0000 1.5794 25.2697 RUSSELL 18.8000 1970.9000 0.9539 15.2620 SHATZ 0.1007 104.9350 0.0959 1.5349 SILVER-mini 0.3462 25.1625 1.3757 22.0108 SMI 79.9132 11243.0000 0.7108 11.3725 SOFR 0.0836 96.6550 0.0865 1.3842 SOYBEAN 19.5775 1402.0000 1.3964 22.3424 SOYMEAL 6.8779 408.2000 1.6849 26.9588 SOYOIL 1.0808 62.9500 1.7169 27.4699 SP400 20.8407 2725.3000 0.7647 12.2354 SP500_micro 24.1860 4568.0000 0.5295 8.4715 SUGAR11 0.3647 25.0900 1.4535 23.2552 US10 0.4756 112.2031 0.4239 6.7816 US10U 0.6200 118.1250 0.5249 8.3977 US2 0.1280 101.7148 0.1258 2.0133 US20 0.8348 126.2500 0.6612 10.5800 US30 1.2080 134.7500 0.8965 14.3441 US5 0.3246 107.2422 0.3026 4.8424 VIX 0.4469 17.0500 2.6210 41.9363 WHEAT 16.8242 717.0000 2.3465 37.5435 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.15 0.73 490.83 1.00 490.83 46875.0 95.50 -2.51 -23.99 BITCOIN 29.98 2.58 77.38 1.00 77.38 46875.0 605.82 -3.14 -189.95 BOBL 1157.40 0.27 313.05 1.12 351.05 46875.0 133.53 -10.91 -145.73 BTP 1162.70 0.64 740.95 1.12 830.91 46875.0 56.41 8.45 47.68 BUND 1331.40 0.48 639.10 1.12 716.69 46875.0 65.40 6.46 42.22 BUXL 1365.00 1.02 1393.83 1.12 1563.04 46875.0 29.99 0.64 1.93 CAC 746.15 0.84 624.79 1.12 700.64 46875.0 66.90 5.67 37.96 CAD 757.65 0.42 320.89 1.00 320.89 46875.0 146.08 -1.46 -21.36 CANOLA 164.98 1.10 181.60 0.76 138.18 46875.0 339.22 17.49 593.14 CHF 1452.00 0.51 747.76 1.00 747.76 46875.0 62.69 -6.39 -40.09 COCOA 341.00 1.19 406.57 1.00 406.57 46875.0 115.29 4.08 47.01 COFFEE 603.19 1.76 1060.01 1.00 1060.01 46875.0 44.22 -10.42 -46.06 COPPER 954.25 1.13 1079.13 1.00 1079.13 46875.0 43.44 -3.78 -16.42 CORN 268.50 2.29 614.89 1.00 614.89 46875.0 76.23 0.57 4.32 COTTON2 423.95 1.52 642.60 1.00 642.60 46875.0 72.95 3.46 25.27 CRUDE_W 760.00 1.43 1088.71 1.00 1088.71 46875.0 43.06 4.05 17.44 DAX 162.60 0.76 123.23 1.12 138.19 46875.0 339.20 -0.00 -0.07 DOW 177.20 0.54 96.32 1.00 96.32 46875.0 486.68 2.72 132.42 EUR 1394.06 0.49 686.20 1.00 686.20 46875.0 68.31 -0.04 -0.28 EURIBOR-ICE 2425.62 0.07 168.88 1.12 189.38 46875.0 247.52 -7.84 -194.12 EUROSTX 441.20 0.90 398.69 1.12 447.09 46875.0 104.84 5.03 52.70 FEEDCOW 1253.62 0.67 845.84 1.00 845.84 46875.0 55.42 -6.45 -35.76 GASOIL 789.00 1.55 1225.92 1.00 1225.92 46875.0 38.24 9.47 36.23 GASOLINE 1047.40 1.46 1533.56 1.00 1533.56 46875.0 30.57 20.00 61.13 GAS_US_mini 67.75 3.32 225.11 1.00 225.11 46875.0 208.23 -10.06 -209.52 GBP 803.56 0.56 452.31 1.00 452.31 46875.0 103.64 5.19 53.74 GOLD_micro 196.38 0.60 118.28 1.00 118.28 46875.0 396.32 -11.75 -465.53 HEATOIL 1142.57 1.32 1507.42 1.00 1507.42 46875.0 31.10 8.43 26.22 JGB-SGX-mini 147720.00 0.17 24818.26 0.01 179.08 46875.0 261.76 11.87 310.70 JPY 889.75 0.67 597.73 1.00 597.73 46875.0 78.42 -17.21 -134.96 LEANHOG 337.00 1.46 492.59 1.00 492.59 46875.0 95.16 8.36 79.54 LIVECOW 727.10 0.62 451.93 1.00 451.93 46875.0 103.72 19.74 204.73 LUMBER-new 150.01 2.13 319.57 1.00 319.57 46875.0 146.68 -7.28 -106.72 MILK 353.00 1.72 606.58 1.00 606.58 46875.0 77.28 -19.93 -154.02 MXP 291.30 0.63 183.93 1.00 183.93 46875.0 254.85 20.00 509.71 NASDAQ_micro 310.56 0.84 259.68 1.00 259.68 46875.0 180.51 -1.22 -22.04 NIKKEI 32790.00 0.94 30736.72 0.01 221.78 46875.0 211.35 16.84 355.83 NZD 616.80 0.79 489.61 1.00 489.61 46875.0 95.74 0.44 4.18 OAT 1277.40 0.52 659.21 1.12 739.23 46875.0 63.41 7.81 49.55 OATIES 228.25 1.66 379.33 1.00 379.33 46875.0 123.57 -1.55 -19.19 OJ 449.85 1.37 617.31 1.00 617.31 46875.0 75.93 20.00 151.87 PALLAD 1288.00 1.80 2316.93 1.00 2316.93 46875.0 20.23 -7.96 -16.10 PLAT 485.70 1.43 695.32 1.00 695.32 46875.0 67.42 -0.65 -4.41 REDWHEAT 433.50 1.73 749.82 1.00 749.82 46875.0 62.51 -1.31 -8.16 RICE 319.80 1.03 329.42 1.00 329.42 46875.0 142.30 14.41 205.12 ROBUSTA 260.20 1.58 410.95 1.00 410.95 46875.0 114.07 12.00 136.84 RUSSELL 98.54 0.95 94.00 1.00 94.00 46875.0 498.67 2.97 148.10 SHATZ 1049.35 0.10 100.67 1.12 112.89 46875.0 415.23 -7.32 -304.15 SILVER-mini 629.06 1.38 865.39 1.00 865.39 46875.0 54.17 1.26 6.80 SMI 1124.30 0.71 799.13 1.17 933.03 46875.0 50.24 -0.33 -1.66 SOFR 2416.38 0.09 209.04 1.00 209.04 46875.0 224.24 -2.23 -50.01 SOYBEAN 701.00 1.40 978.88 1.00 978.88 46875.0 47.89 16.98 81.31 SOYMEAL 408.20 1.68 687.79 1.00 687.79 46875.0 68.15 13.16 89.66 SOYOIL 377.70 1.72 648.46 1.00 648.46 46875.0 72.29 10.30 74.44 SP400 2725.30 0.76 2084.07 1.00 2084.07 46875.0 22.49 4.36 9.80 SP500_micro 228.40 0.53 120.93 1.00 120.93 46875.0 387.62 2.35 91.24 SUGAR11 281.01 1.45 408.43 1.00 408.43 46875.0 114.77 7.53 86.46 US10 1122.03 0.42 475.57 1.00 475.57 46875.0 98.56 -9.72 -95.79 US10U 1181.25 0.52 619.99 1.00 619.99 46875.0 75.61 -3.04 -22.99 US2 2034.30 0.13 255.97 1.00 255.97 46875.0 183.12 -20.00 -366.25 US20 1262.50 0.66 834.83 1.00 834.83 46875.0 56.15 -2.88 -16.19 US30 1347.50 0.90 1208.05 1.00 1208.05 46875.0 38.80 -4.44 -17.22 US5 1072.42 0.30 324.57 1.00 324.57 46875.0 144.42 -12.94 -186.93 VIX 170.50 2.62 446.88 1.00 446.88 46875.0 104.89 -20.00 -209.79 WHEAT 358.50 2.35 841.21 1.00 841.21 46875.0 55.72 -10.85 -60.43 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -23.985 0.013 2.5 -0.780 BITCOIN -189.946 0.048 2.5 -22.842 BOBL -145.729 0.004 2.5 -1.351 BTP 47.679 0.012 2.5 1.487 BUND 42.224 0.004 2.5 0.392 BUXL 1.928 0.004 2.5 0.018 CAC 37.955 0.013 2.5 1.240 CAD -21.355 0.013 2.5 -0.694 CANOLA 593.141 0.008 2.5 12.426 CHF -40.088 0.013 2.5 -1.303 COCOA 47.013 0.007 2.5 0.867 COFFEE -46.059 0.004 2.5 -0.463 COPPER -16.418 0.048 2.5 -1.974 CORN 4.322 0.008 2.5 0.091 COTTON2 25.267 0.007 2.5 0.466 CRUDE_W 17.441 0.049 2.5 2.136 DAX -0.073 0.013 2.5 -0.002 DOW 132.422 0.009 2.5 2.957 EUR -0.282 0.013 2.5 -0.009 EURIBOR-ICE -194.120 0.012 2.5 -6.055 EUROSTX 52.700 0.013 2.5 1.722 FEEDCOW -35.755 0.014 2.5 -1.219 GASOIL 36.227 0.020 2.5 1.776 GASOLINE 61.132 0.020 2.5 2.997 GAS_US_mini -209.519 0.049 2.5 -25.660 GBP 53.742 0.013 2.5 1.747 GOLD_micro -465.533 0.015 2.5 -17.634 HEATOIL 26.223 0.020 2.5 1.286 JGB-SGX-mini 310.697 0.052 2.5 40.601 JPY -134.963 0.013 2.5 -4.387 LEANHOG 79.542 0.025 2.5 4.972 LIVECOW 204.732 0.014 2.5 6.978 LUMBER-new -106.719 0.007 2.5 -1.932 MILK -154.018 0.007 2.5 -2.841 MXP 509.709 0.066 2.5 83.849 NASDAQ_micro -22.040 0.009 2.5 -0.492 NIKKEI 355.833 0.052 2.5 46.499 NZD 4.176 0.013 2.5 0.136 OAT 49.547 0.012 2.5 1.546 OATIES -19.195 0.008 2.5 -0.402 OJ 151.868 0.007 2.5 2.802 PALLAD -16.099 0.015 2.5 -0.610 PLAT -4.409 0.015 2.5 -0.167 REDWHEAT -8.161 0.005 2.5 -0.093 RICE 205.117 0.008 2.5 4.297 ROBUSTA 136.840 0.004 2.5 1.376 RUSSELL 148.103 0.013 2.5 4.716 SHATZ -304.154 0.004 2.5 -2.821 SILVER-mini 6.800 0.015 2.5 0.258 SMI -1.658 0.013 2.5 -0.054 SOFR -50.014 0.023 2.5 -2.903 SOYBEAN 81.311 0.003 2.5 0.651 SOYMEAL 89.663 0.003 2.5 0.718 SOYOIL 74.439 0.003 2.5 0.597 SP400 9.798 0.013 2.5 0.312 SP500_micro 91.244 0.009 2.5 2.038 SUGAR11 86.458 0.007 2.5 1.584 US10 -95.793 0.005 2.5 -1.159 US10U -22.992 0.005 2.5 -0.278 US2 -366.248 0.005 2.5 -4.433 US20 -16.186 0.005 2.5 -0.196 US30 -17.218 0.005 2.5 -0.208 US5 -186.931 0.005 2.5 -2.263 VIX -209.786 0.059 2.5 -31.085 WHEAT -60.434 0.005 2.5 -0.690 ===================== Position diags ===================== AUD 3.10 BITCOIN 72.85 BOBL 1.24 BTP 1.76 BUND 0.61 BUXL 0.28 CAC 2.19 CAD 4.75 CANOLA 7.11 CHF 2.04 COCOA 2.13 COFFEE 0.44 COPPER 5.22 CORN 1.60 COTTON2 1.35 CRUDE_W 5.27 DAX 11.08 DOW 10.87 EUR 2.22 EURIBOR-ICE 7.72 EUROSTX 3.43 FEEDCOW 1.89 GASOIL 1.87 GASOLINE 1.50 GAS_US_mini 25.50 GBP 3.37 GOLD_micro 15.01 HEATOIL 1.52 JGB-SGX-mini 34.21 JPY 2.55 LEANHOG 5.95 LIVECOW 3.54 LUMBER-new 2.66 MILK 1.43 MXP 41.92 NASDAQ_micro 4.03 NIKKEI 27.62 NZD 3.11 OAT 1.98 OATIES 2.59 OJ 1.40 PALLAD 0.77 PLAT 2.55 REDWHEAT 0.71 RICE 2.98 ROBUSTA 1.15 RUSSELL 15.88 SHATZ 3.85 SILVER-mini 2.05 SMI 1.64 SOFR 13.02 SOYBEAN 0.38 SOYMEAL 0.55 SOYOIL 0.58 SP400 0.72 SP500_micro 8.66 SUGAR11 2.10 US10 1.19 US10U 0.92 US2 2.22 US20 0.68 US30 0.47 US5 1.75 VIX 15.54 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 -22.8 -30.1 -15.6 0.0 0 BOBL -1.4 -1.5 -1.2 -1.0 -1 BTP 1.5 1.3 1.7 4.0 4 BUND 0.4 0.3 0.5 1.0 1 BUXL 0.0 -0.0 0.0 NaN 0 CAC 1.2 1.0 1.5 NaN 0 CAD -0.7 -1.2 -0.2 -1.0 -1 CANOLA 12.4 11.7 13.1 NaN 0 CHF -1.3 -1.5 -1.1 -3.0 -3 COCOA 0.9 0.7 1.1 2.0 2 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -2.0 -2.5 -1.5 -1.0 -1 CORN 0.1 -0.1 0.3 0.0 0 COTTON2 0.5 0.3 0.6 1.0 1 CRUDE_W 2.1 1.6 2.7 2.0 2 DAX -0.0 -1.1 1.1 -16.0 -16 DOW 3.0 1.9 4.0 NaN 0 EUR -0.0 -0.2 0.2 3.0 3 EURIBOR-ICE -6.1 -6.8 -5.3 -1.0 -1 EUROSTX 1.7 1.4 2.1 13.0 13 FEEDCOW -1.2 -1.4 -1.0 NaN 0 GASOIL 1.8 1.6 2.0 1.0 1 GASOLINE 3.0 2.8 3.1 4.0 4 GAS_US_mini -25.7 -28.2 -23.1 -20.0 -20 GBP 1.7 1.4 2.1 6.0 6 GOLD_micro -17.6 -19.1 -16.1 -15.0 -15 HEATOIL 1.3 1.1 1.4 0.0 0 JGB-SGX-mini 40.6 37.2 44.0 16.0 16 JPY -4.4 -4.6 -4.1 -9.0 -9 LEANHOG 5.0 4.4 5.6 0.0 0 LIVECOW 7.0 6.6 7.3 5.0 5 LUMBER-new -1.9 -2.2 -1.7 NaN 0 MILK -2.8 -3.0 -2.7 NaN 0 MXP 83.8 79.7 88.0 59.0 59 NASDAQ_micro -0.5 -0.9 -0.1 3.0 3 NIKKEI 46.5 43.7 49.3 35.0 35 NZD 0.1 -0.2 0.4 1.0 1 OAT 1.5 1.3 1.7 NaN 0 OATIES -0.4 -0.7 -0.1 NaN 0 OJ 2.8 2.7 2.9 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT -0.2 -0.4 0.1 -5.0 -5 REDWHEAT -0.1 -0.2 -0.0 NaN 0 RICE 4.3 4.0 4.6 NaN 0 ROBUSTA 1.4 1.3 1.5 3.0 3 RUSSELL 4.7 3.1 6.3 5.0 5 SHATZ -2.8 -3.2 -2.4 NaN 0 SILVER-mini 0.3 0.1 0.5 NaN 0 SMI -0.1 -0.2 0.1 0.0 0 SOFR -2.9 -4.2 -1.6 NaN 0 SOYBEAN 0.7 0.6 0.7 2.0 2 SOYMEAL 0.7 0.7 0.8 NaN 0 SOYOIL 0.6 0.5 0.7 1.0 1 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 2.0 1.2 2.9 2.0 2 SUGAR11 1.6 1.4 1.8 2.0 2 US10 -1.2 -1.3 -1.0 NaN 0 US10U -0.3 -0.4 -0.2 -7.0 -7 US2 -4.4 -4.7 -4.2 NaN 0 US20 -0.2 -0.3 -0.1 NaN 0 US30 -0.2 -0.3 -0.2 NaN 0 US5 -2.3 -2.4 -2.1 -4.0 -4 VIX -31.1 -32.6 -29.5 -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 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.2 -0.2 -0.2 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.3 -0.4 -0.2 -0.3 -0.0 -0.3 0.1 0.2 BITCOIN 0.0 0.2 0.2 0.0 0.0 0.1 0.1 0.1 0.1 -0.2 0.4 -0.1 -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 -0.4 -0.0 -0.2 -0.0 0.3 -0.0 0.3 BOBL -0.0 -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 -0.6 -0.0 -0.0 0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.2 -0.0 0.0 -0.1 0.0 -0.3 -0.3 -0.3 -0.2 BTP -0.2 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 0.2 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 0.1 -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 0.5 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 2.7 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 -0.3 0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.9 -0.1 -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 0.2 0.4 0.1 -0.2 0.0 0.1 0.1 0.1 0.2 0.0 1.5 -0.2 -0.3 -0.3 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.1 0.3 0.4 0.0 -0.0 0.1 0.0 0.0 0.1 -0.0 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 -0.5 -0.5 -0.2 -0.0 -0.2 -0.3 -0.3 -0.1 CANOLA 0.5 0.5 0.3 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 0.2 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 0.2 0.2 -0.4 0.0 0.0 0.1 0.0 0.0 0.1 -2.9 0.7 0.4 -0.0 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.0 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 -0.1 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.3 -0.5 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.2 -0.1 -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 0.2 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 -0.2 -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 0.0 -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 0.0 -0.0 -0.0 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 -0.4 0.2 -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 0.1 -0.1 0.1 -1.1 0.0 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.2 -0.1 0.0 0.2 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.1 -0.3 0.1 0.0 0.3 0.5 0.3 0.4 0.1 -0.0 0.2 -0.0 0.2 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 -1.4 -0.5 -0.0 0.2 0.4 0.1 0.2 0.2 0.0 DAX -0.0 -0.2 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 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 -0.2 -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 0.1 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 0.1 0.1 0.1 0.1 0.1 0.1 -0.7 0.5 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 0.0 0.0 0.0 0.0 0.2 0.1 0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.1 0.1 0.7 0.0 -0.0 0.1 0.0 0.0 0.0 -1.2 0.1 -0.0 -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 -1.9 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 0.1 0.2 0.4 0.1 0.5 0.1 0.1 -0.3 0.0 -0.2 -0.1 0.0 0.1 0.1 0.3 0.0 0.2 0.0 0.1 0.1 0.0 0.2 0.0 1.1 -0.5 -0.4 -0.3 -0.2 0.3 0.0 0.3 0.1 FEEDCOW 0.3 -0.1 0.4 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 0.4 0.1 0.5 0.1 0.2 -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 -0.6 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 -0.1 0.1 -0.2 0.1 0.1 0.3 0.9 0.4 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 0.0 0.1 0.3 0.0 -0.1 0.0 -0.1 -0.1 GASOLINE 0.5 0.3 -0.0 0.0 0.2 -0.0 0.1 -0.0 0.1 0.2 0.3 0.2 -0.1 0.2 0.1 1.2 1.2 1.2 1.2 0.2 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 0.9 0.0 0.1 -0.0 0.0 -0.1 0.0 -3.2 -0.7 -0.5 -0.0 0.0 0.0 0.2 -0.0 0.0 GBP 0.2 0.3 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.2 0.3 0.0 0.3 0.1 0.1 0.0 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.2 0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 0.4 -0.5 -0.2 0.0 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.3 -0.3 -0.1 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 0.0 0.2 0.2 0.0 -0.6 0.0 0.0 0.0 0.1 0.1 0.0 -2.5 0.3 0.3 -0.4 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 -0.2 0.0 0.2 -0.0 0.1 -0.0 0.1 0.2 -0.2 0.2 -0.2 0.2 0.1 0.3 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 0.1 0.3 0.5 0.3 -0.0 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 0.0 -0.2 0.0 -0.1 -1.0 -0.8 -0.9 -0.9 -0.1 -0.1 0.0 -0.2 0.0 1.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -3.2 -0.3 -0.2 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 LEANHOG 0.4 0.5 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 1.2 -0.0 1.2 1.1 0.1 -0.1 0.2 -0.4 0.1 0.8 -0.0 0.1 -0.2 0.0 -0.3 0.0 -0.4 0.1 0.0 0.1 -0.5 -0.0 0.0 0.3 0.3 LIVECOW 0.3 0.5 0.5 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.6 0.6 0.9 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 2.6 0.2 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.1 0.5 0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.2 -0.2 -0.1 -0.3 0.1 0.1 -0.3 -0.8 -0.6 -0.7 0.1 0.0 -0.1 -0.1 0.0 NaN 0.0 -0.2 0.0 -0.0 -0.0 0.0 -3.4 -0.7 -0.2 0.3 0.3 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.0 -0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 0.1 -0.3 -0.0 -0.3 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -3.2 0.7 -0.4 -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 0.0 0.1 0.1 -0.0 0.4 0.1 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 -0.2 -0.2 0.3 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.0 0.4 0.5 0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.3 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.1 0.4 0.2 -1.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.9 -0.4 0.1 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 -0.1 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 2.9 -0.0 -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 -0.0 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 0.1 0.2 -1.1 0.0 0.0 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 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 0.4 0.2 0.6 0.2 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 0.5 0.4 0.5 0.2 0.1 0.3 0.2 PALLAD 0.1 -0.3 -0.3 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 -0.2 -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 -0.1 -0.4 -0.5 -0.3 -0.2 0.0 0.0 0.0 PLAT 0.4 -0.5 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -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 0.3 0.0 -0.5 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.1 0.2 0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -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 0.1 -0.4 0.0 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.1 0.3 0.0 0.0 0.1 -0.0 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 0.1 -0.0 0.1 -0.0 0.0 3.2 0.7 -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 -0.0 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 2.7 -0.5 -0.5 0.1 0.5 -0.1 -0.3 0.1 -0.2 RUSSELL 0.4 0.5 0.3 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 0.1 0.4 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 -0.7 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 -0.1 -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 0.0 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 0.0 0.0 0.1 0.0 0.1 -0.7 0.7 0.5 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 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -0.0 0.0 0.1 0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 1.6 -0.4 -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 0.0 -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 0.2 0.2 -0.0 -0.1 0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.4 0.5 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 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 0.3 0.4 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.7 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 0.0 0.0 0.3 0.1 -0.1 -0.3 -0.0 -0.2 SOYOIL 0.5 0.5 0.3 0.0 0.0 -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 0.1 0.3 0.5 0.3 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 -0.6 0.0 0.0 0.1 0.0 0.0 0.1 0.1 0.0 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 0.0 0.1 0.1 -1.0 0.0 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.0 -0.5 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 0.2 0.1 0.3 0.0 0.0 -0.0 0.9 0.2 0.6 0.0 0.1 0.2 0.4 0.0 -1.1 0.0 0.1 0.1 0.0 0.3 0.0 2.1 0.3 -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 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.1 0.1 -0.0 -0.2 -0.1 -0.3 -0.3 0.3 0.2 US2 0.1 -0.5 -0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -1.2 -1.1 -1.2 -1.2 -0.1 -0.1 -0.0 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -3.2 -0.1 -0.1 -0.4 -0.2 -0.3 -0.2 -0.3 -0.2 US20 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -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 -0.0 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 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.4 -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 -0.1 -0.0 -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 -2.2 0.1 -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 -0.2 -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 0.0 -0.0 0.0 -0.0 0.0 0.0 -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 0.0 -0.0 0.0 -0.0 0.0 -3.2 0.2 -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 5.5 11.0 2.1 3.4 -0.9 2.4 2.6 1.0 4.0 -3.8 -3.4 2.1 -4.2 4.7 3.4 -2.4 -2.6 -2.6 -2.7 2.4 -0.4 1.8 -3.3 4.2 2.0 1.7 -2.6 0.3 1.4 -1.3 2.5 -0.5 -8.6 -16.8 -9.7 -11.0 -1.6 -20.0 8.6 15.6 BITCOIN 1.2 6.0 7.4 5.4 0.1 4.2 6.5 3.1 7.4 -18.1 20.0 -14.6 -4.7 14.7 16.2 -6.9 -3.2 -5.6 -4.4 12.4 14.5 -3.5 6.7 6.2 -20.0 5.2 -2.9 5.4 -1.7 3.6 2.8 -0.8 -20.0 -14.5 -0.0 -9.2 -2.5 20.0 -1.4 20.0 BOBL -1.4 -8.5 -1.4 -1.3 0.9 -1.5 1.4 -2.3 -0.1 2.9 -3.5 2.0 -6.3 -3.1 -4.3 -20.0 -3.3 -17.7 -9.9 -4.0 -4.9 2.2 -8.1 -1.4 9.5 -1.6 0.9 -1.6 1.1 -2.8 -0.5 -7.7 -0.3 0.0 -2.6 0.4 -20.0 -20.0 -20.0 -14.7 BTP -9.6 2.3 12.4 -1.9 1.3 -2.2 2.0 -3.3 -0.2 6.9 7.6 3.7 -1.9 3.4 3.6 4.1 8.7 5.9 7.2 2.4 2.7 5.4 -1.6 2.5 -6.1 1.6 3.7 2.3 2.9 0.2 1.3 16.6 2.4 -1.9 12.6 11.3 -20.0 -20.0 -6.4 4.3 BUND -3.7 -1.6 4.1 -1.4 0.9 -1.6 1.4 -2.4 -0.1 2.6 -3.5 1.4 -6.7 -1.2 -3.0 5.8 9.3 6.5 7.4 -2.3 -3.5 2.1 -7.6 -0.6 5.3 -1.0 0.9 -1.1 1.2 -2.8 -0.3 17.0 0.2 -0.4 1.3 2.1 -20.0 -20.0 -12.2 -2.6 BUXL -4.1 6.8 2.7 -1.7 1.1 -1.9 1.7 -2.9 -0.2 3.0 -7.3 0.8 -9.1 0.5 -3.2 1.2 1.2 1.6 1.8 -1.3 -4.5 1.9 -11.1 0.1 0.0 -0.3 1.1 -1.0 1.3 -3.5 0.2 5.5 -2.5 -0.8 6.6 3.2 -20.0 -20.0 6.3 10.4 CAC 3.2 -7.1 -8.0 5.0 7.9 4.9 8.8 4.0 6.6 16.9 15.3 14.0 17.3 9.5 8.3 -6.0 1.1 -2.7 -0.4 4.4 9.9 12.5 16.9 6.8 -4.6 3.4 9.8 5.6 6.2 8.1 3.9 9.3 -6.4 -11.2 -11.0 -7.1 17.5 -2.7 20.0 -0.7 CAD -4.6 13.5 14.0 5.6 -1.5 3.8 4.2 1.7 6.5 -0.5 13.4 7.8 -7.5 14.5 15.3 -1.9 -1.9 -2.2 -2.2 12.1 8.5 5.1 -1.0 9.4 -0.5 5.8 -0.6 4.6 2.2 0.5 4.3 0.5 -13.9 -20.0 -6.5 -0.0 -17.3 -20.0 -20.0 -10.3 CANOLA 20.0 20.0 12.3 0.8 4.7 -1.5 4.6 -2.1 3.1 6.3 0.8 10.1 -7.5 10.9 8.7 5.9 16.5 13.9 16.6 20.0 4.4 20.0 -4.6 20.0 -20.0 2.7 1.5 0.0 3.4 -1.4 4.2 18.2 20.0 20.0 20.0 8.7 -14.1 16.0 0.3 20.0 CHF 20.0 7.4 4.2 4.2 -1.1 2.8 3.2 1.2 4.9 5.6 11.0 11.0 11.1 11.9 9.9 -13.4 -12.8 -13.9 -13.5 15.3 10.3 18.8 7.3 20.0 -6.7 4.3 0.7 2.9 5.3 1.8 6.2 -18.5 20.0 15.1 -0.1 3.1 -13.1 -20.0 -15.7 -20.0 COCOA 0.3 3.7 12.6 1.5 8.8 -2.8 8.6 -4.0 5.9 12.8 20.0 14.6 18.8 17.6 19.3 -0.6 -0.9 -0.5 -0.3 20.0 20.0 16.0 20.0 20.0 -8.8 7.9 2.3 8.1 3.6 6.4 5.8 -11.2 -3.7 20.0 20.0 20.0 -19.8 -20.0 9.6 -9.4 COFFEE -12.5 -20.0 -7.1 1.4 8.3 -2.7 8.1 -3.8 5.5 9.6 -3.8 -10.8 -8.0 -17.9 -17.7 1.4 3.8 3.4 3.9 -20.0 -13.8 -6.0 -9.5 -19.3 -20.0 -4.6 4.0 -2.0 -1.1 -1.1 -4.8 -3.5 -20.0 -20.0 -20.0 9.8 -20.0 -20.0 -8.5 -18.4 COPPER 6.5 6.4 -12.9 3.4 0.1 2.6 4.1 1.9 4.7 -6.0 -4.3 0.7 -4.0 4.1 -2.9 -3.2 -1.4 -2.6 -2.0 -1.8 -3.9 0.3 -3.4 1.6 -3.9 -0.1 -1.4 -2.1 1.1 -1.9 2.1 2.6 -7.1 -11.0 1.8 -20.0 -0.4 -20.0 3.5 -17.4 CORN -14.3 14.6 -0.7 0.5 3.0 -1.0 3.0 -1.4 2.0 4.1 -3.5 -0.9 -4.4 -3.1 -3.3 -3.9 8.3 -1.3 3.6 -1.9 -2.4 4.0 -2.0 -0.3 -6.7 0.4 1.6 -0.7 1.3 -1.2 0.8 0.7 3.1 -15.3 9.4 -0.4 -2.5 14.4 0.8 20.0 COTTON2 12.2 5.4 8.5 0.9 5.5 -1.8 5.3 -2.5 3.7 8.5 2.9 11.4 -9.4 9.6 8.0 9.6 6.8 7.4 5.2 4.5 0.4 10.4 -4.0 7.7 -20.0 2.3 4.1 0.6 5.3 -0.1 4.1 -0.7 0.6 5.4 0.5 10.8 -20.0 -18.1 5.6 7.7 CRUDE_W 19.6 8.5 -5.5 3.3 12.3 -0.9 10.9 -1.0 7.9 15.1 -2.3 16.4 -10.9 16.0 1.3 5.5 8.1 5.7 6.4 8.8 -0.9 20.0 -2.1 18.6 -5.9 5.5 7.0 2.2 8.0 1.7 8.0 -9.0 -13.8 -1.5 8.2 14.6 10.3 12.2 11.5 3.8 DAX -1.2 -7.3 -0.7 4.7 7.5 4.6 8.3 3.8 6.2 14.9 14.3 14.9 15.8 4.2 7.4 -8.2 -6.4 -8.1 -7.7 3.6 9.9 9.9 14.4 4.8 15.9 1.1 5.0 4.7 4.6 6.8 1.4 -3.6 -7.1 -19.1 -17.0 -7.7 17.8 -1.7 20.0 2.7 DOW 13.2 13.7 5.7 4.8 7.6 4.6 8.4 3.8 6.2 16.8 10.0 17.7 8.8 17.2 16.4 -10.4 -6.6 -9.4 -8.3 15.6 9.9 20.0 5.7 20.0 -9.2 6.1 9.2 4.1 9.1 2.7 7.7 -4.3 15.3 14.0 20.0 3.9 -4.4 -3.5 -20.0 -2.0 EUR 15.8 9.9 2.5 4.4 -1.2 3.0 3.3 1.3 5.1 1.5 11.3 9.9 7.6 12.3 9.0 -6.2 -6.8 -6.5 -6.6 11.7 7.8 11.8 3.9 16.6 12.8 4.3 -1.1 2.9 4.1 1.3 5.8 -7.4 2.8 -1.4 -4.0 -5.7 -4.7 -20.0 -0.8 14.4 EURIBOR-ICE 3.5 -8.8 8.1 -1.3 0.9 -1.5 1.3 -2.2 -0.1 2.3 -4.1 3.2 -6.4 -1.8 -3.8 -11.2 -7.6 -10.5 -9.5 -3.8 -4.9 3.5 -7.7 -0.4 16.2 -1.5 0.8 -1.7 1.3 -2.8 -0.3 -12.2 3.0 0.7 -4.4 0.7 -20.0 -20.0 20.0 4.1 EUROSTX -0.6 -5.3 -2.7 4.7 7.5 4.6 8.3 3.8 6.2 12.7 17.0 12.6 17.5 10.2 12.9 -4.8 0.2 -4.2 -2.2 5.6 11.3 7.1 16.3 5.3 4.7 2.6 4.2 6.0 3.4 8.6 2.0 7.2 -13.8 -14.8 -13.2 -6.6 19.6 0.6 20.0 5.9 FEEDCOW 10.3 -2.0 14.1 1.5 9.0 -2.9 8.8 -4.1 6.1 0.7 19.3 13.9 18.4 16.1 18.2 -20.0 -20.0 -20.0 -20.0 20.0 20.0 8.1 20.0 19.0 6.6 7.7 0.3 9.3 2.5 8.6 5.4 -20.0 -17.9 20.0 20.0 20.0 0.0 -20.0 12.5 -13.6 GASOIL 20.0 20.0 -8.1 2.8 10.7 -0.8 9.5 -0.9 6.8 14.7 -7.1 16.8 -5.8 17.1 8.8 5.6 14.6 6.0 9.5 11.9 -1.9 20.0 -2.4 20.0 11.2 4.2 10.2 -0.3 9.1 -1.4 7.7 0.0 0.9 5.9 12.4 1.7 -7.3 3.5 -10.0 -4.5 GASOLINE 20.0 13.2 -0.5 3.6 13.4 -1.0 11.9 -1.1 8.6 20.0 12.6 20.0 -5.3 20.0 14.2 20.0 20.0 20.0 20.0 20.0 10.2 20.0 9.7 20.0 -20.0 7.3 10.6 4.9 10.2 4.7 9.3 20.0 9.8 12.8 20.0 20.0 10.1 12.4 13.1 -2.0 GAS_US_mini 1.9 20.0 4.3 2.5 9.3 -0.7 8.3 -0.8 6.0 11.5 -15.1 -2.5 -15.7 4.4 0.5 1.9 -12.0 -8.2 -12.3 -2.4 -19.5 3.9 -20.0 1.8 16.4 2.2 4.6 -1.4 2.3 -3.5 2.3 -20.0 -20.0 -20.0 -1.8 1.1 3.0 15.2 -0.1 1.6 GBP 7.5 10.2 12.9 4.9 -1.3 3.4 3.8 1.5 5.8 -13.6 16.4 4.3 9.0 11.6 13.9 0.8 -1.0 -0.0 -0.7 16.9 15.1 2.9 8.2 14.6 -0.8 5.8 -4.4 4.7 1.4 1.7 5.2 2.6 -16.1 -9.7 1.2 4.9 5.6 10.4 10.4 20.0 GOLD_micro 13.6 -12.8 -4.6 4.8 0.1 3.7 5.8 2.8 6.6 8.1 3.5 13.8 7.7 2.8 -10.2 -16.1 -11.7 -14.8 -13.4 -4.5 0.5 14.0 8.3 5.8 -12.1 1.6 2.1 2.1 7.3 4.1 5.6 -16.0 9.9 10.1 -16.5 -12.0 -20.0 -20.0 -6.6 -20.0 HEATOIL 20.0 20.0 -9.2 3.5 12.9 -0.9 11.5 -1.1 8.3 19.3 -10.1 20.0 -8.4 20.0 9.8 4.6 16.2 4.8 9.3 15.0 -3.2 20.0 -3.8 20.0 -20.0 5.9 10.9 1.7 9.6 1.2 8.7 1.3 3.5 12.4 20.0 10.8 -3.7 2.3 -8.0 1.4 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 -2.8 -14.7 3.1 -0.8 2.1 2.4 0.9 3.6 -6.5 -8.0 3.1 -8.3 1.7 -7.6 -16.2 -13.2 -16.0 -14.9 -7.3 -11.0 0.5 -11.8 0.6 20.0 -1.9 -3.4 -2.8 0.4 -3.1 0.5 -20.0 -7.7 -8.4 -20.0 -20.0 -20.0 -20.0 -18.5 -20.0 LEANHOG 14.9 20.0 -2.2 1.2 7.5 -2.4 7.3 -3.4 5.0 10.3 -7.0 13.1 -11.0 16.6 9.4 20.0 -0.7 20.0 18.3 6.6 -10.5 13.6 -18.6 14.8 15.0 -2.3 5.7 -8.8 4.4 -10.5 2.7 -2.3 1.5 1.2 3.1 -20.0 -3.8 3.3 19.0 20.0 LIVECOW 11.1 19.3 18.3 1.7 10.4 -3.4 10.2 -4.8 7.0 5.1 20.0 19.6 20.0 20.0 20.0 -9.8 9.6 15.6 20.0 20.0 20.0 20.0 20.0 20.0 8.6 9.0 0.4 8.2 4.3 6.3 7.5 16.3 7.0 20.0 20.0 20.0 -20.0 -20.0 -16.6 -20.0 LUMBER-new 3.7 19.1 4.2 1.5 9.0 -2.5 8.8 -3.2 6.1 -17.8 -11.0 -8.3 -16.8 9.2 7.6 -4.8 -11.8 -9.5 -11.2 7.3 0.5 -8.9 -4.4 5.1 NaN 3.9 -11.4 1.4 -4.4 -0.6 2.5 -20.0 -20.0 -7.7 10.7 12.2 -20.0 -20.0 -20.0 -20.0 MILK 20.0 0.9 -6.9 0.7 4.4 -1.4 4.3 -2.0 3.0 8.9 -10.0 3.9 -10.5 -4.0 -8.5 -20.0 -20.0 -20.0 -20.0 -12.9 -15.8 10.5 -14.3 -2.9 -5.0 -3.3 4.1 -3.8 1.9 -3.2 -1.0 -20.0 20.0 -15.3 -20.0 -20.0 -20.0 -20.0 -13.7 -20.0 MXP -4.0 8.1 14.6 6.3 -1.7 4.3 4.8 1.9 7.3 -2.1 20.0 12.9 20.0 20.0 20.0 19.3 17.9 18.9 18.2 20.0 20.0 12.4 20.0 20.0 -20.0 8.7 -2.6 9.7 3.2 9.7 6.7 20.0 -6.7 -6.0 11.7 20.0 20.0 5.6 20.0 20.0 NASDAQ_micro -1.0 16.0 20.0 3.7 5.8 3.6 6.5 2.9 4.8 0.7 14.7 8.3 7.4 12.0 14.2 -10.9 -7.3 -10.3 -9.1 20.0 20.0 9.8 18.2 19.8 -20.0 5.5 -1.2 5.7 1.7 4.2 3.8 -5.5 -11.6 4.0 20.0 20.0 -7.1 -9.4 -14.6 -11.7 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 11.4 7.5 0.8 2.9 -0.8 2.0 2.2 0.9 3.5 -7.9 -1.0 0.8 -0.1 3.3 1.5 0.4 0.5 0.5 0.5 2.4 0.2 -1.0 -1.6 3.6 0.2 1.6 -5.2 0.5 -0.1 -0.5 2.3 5.0 -14.3 -9.9 -12.9 -10.6 1.1 -12.8 10.2 10.3 OAT -5.3 0.2 7.1 -1.5 1.0 -1.7 1.5 -2.6 -0.2 2.9 -4.0 1.2 -7.0 -0.3 -2.1 5.7 9.4 7.3 8.4 -1.9 -2.9 2.1 -7.0 -0.5 7.3 -0.9 1.1 -0.8 1.3 -2.9 -0.3 18.2 -0.2 -1.5 2.9 3.7 -20.0 -20.0 -2.5 1.1 OATIES 3.2 20.0 20.0 1.0 5.7 -1.8 5.6 -2.6 3.8 11.5 8.5 11.0 -8.2 12.4 12.1 -13.1 0.5 -10.5 -6.4 20.0 12.5 19.7 2.8 20.0 -20.0 3.9 3.4 2.2 3.0 0.4 3.5 -15.4 1.1 4.4 20.0 20.0 5.3 20.0 16.5 20.0 OJ 16.4 3.6 -4.4 1.5 9.0 -2.9 8.8 -4.1 6.1 18.9 18.8 20.0 20.0 18.0 17.4 20.0 18.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 16.4 10.3 12.0 14.3 8.0 20.0 20.0 20.0 14.8 20.0 15.6 6.1 20.0 16.6 PALLAD 3.6 -13.7 -11.7 2.6 0.1 2.0 3.1 1.5 3.6 2.7 -11.1 2.5 -11.4 -6.1 -9.5 -3.3 -2.5 -3.2 -3.0 -13.1 -17.8 1.6 -20.0 -5.4 -5.1 -3.2 0.3 -3.5 0.5 -3.6 -1.5 0.8 -2.9 -14.6 -20.0 -11.3 -16.1 0.1 0.6 2.2 PLAT 15.3 -19.6 -8.4 3.0 0.1 2.3 3.6 1.7 4.1 4.0 -6.3 7.7 0.7 -2.4 -8.0 -2.8 -1.8 -2.6 -2.2 -7.6 -6.3 7.2 -1.5 0.8 12.9 -1.1 0.5 -1.0 3.1 -0.1 1.5 2.1 9.6 1.1 -20.0 -6.7 0.4 -14.7 8.0 -9.8 REDWHEAT 3.8 7.3 4.4 1.0 6.0 -1.9 5.9 -2.8 4.1 9.2 1.4 7.0 -10.8 5.3 5.5 -1.2 3.7 1.8 3.7 3.4 -0.4 13.5 -2.9 7.5 -13.8 1.0 8.1 -0.2 5.6 -0.4 2.3 -3.5 4.2 -14.6 1.3 5.8 -20.0 -16.7 -4.0 -6.8 RICE 2.0 10.6 0.5 1.2 7.1 -2.3 6.9 -3.2 4.8 14.7 -4.2 11.5 -3.2 10.0 8.2 4.7 20.0 20.0 20.0 3.7 -1.4 20.0 -2.2 10.7 -20.0 2.0 11.8 -0.1 9.0 -1.0 4.5 20.0 20.0 -6.3 9.5 13.2 -9.2 -20.0 0.8 -19.7 ROBUSTA -20.0 -16.3 10.2 1.0 5.8 -1.9 5.7 -2.7 3.9 6.0 10.5 -4.7 10.3 -6.2 6.5 20.0 14.0 20.0 18.7 5.5 14.0 0.3 14.7 -1.7 -9.5 2.4 2.2 5.6 0.2 5.7 -0.4 17.1 -13.5 -20.0 2.0 20.0 -8.2 -20.0 3.9 -14.3 RUSSELL 15.3 19.7 10.8 4.0 6.4 3.9 7.1 3.2 5.2 7.3 1.5 12.7 -4.1 14.1 12.5 -6.7 -4.8 -6.3 -5.8 15.9 7.7 17.9 -0.7 19.9 -1.2 5.0 1.9 2.9 4.6 1.0 5.8 -0.6 2.4 16.3 20.0 -1.2 -4.6 -6.6 -20.0 -8.8 SHATZ 1.6 -17.1 -14.2 -1.3 0.9 -1.5 1.4 -2.3 -0.1 2.9 -5.6 2.1 -6.8 -4.9 -6.0 -11.7 0.2 -5.8 -3.5 -7.9 -9.1 1.6 -11.7 -3.6 11.2 -2.1 0.7 -2.3 0.6 -3.1 -0.9 0.0 -3.1 -0.5 -9.1 -4.1 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -3.8 -3.6 3.9 0.1 3.0 4.7 2.2 5.3 8.7 4.2 12.7 5.0 10.9 -0.0 -6.6 -5.3 -6.5 -6.0 5.3 3.2 18.3 4.0 14.8 7.4 3.5 1.7 2.1 6.3 1.3 6.1 -4.3 20.0 19.0 4.0 1.6 -12.1 -20.0 -2.0 -20.0 SMI -6.0 -16.0 3.4 4.3 6.9 4.2 7.6 3.5 5.7 14.9 6.5 5.0 2.6 -5.6 -0.0 -3.0 2.1 -2.5 -0.4 -4.9 1.1 6.3 3.7 -3.9 2.7 -2.5 7.2 -0.7 2.9 -0.7 -1.9 10.3 -11.7 -20.0 -20.0 -7.5 -6.8 -10.8 -12.7 -16.2 SOFR -0.6 -12.2 0.0 -1.4 0.9 -1.6 1.4 -2.4 -0.1 2.0 -0.4 4.4 -1.4 0.1 -2.3 -2.5 -0.5 -1.5 -1.0 -3.1 -2.0 1.5 -2.0 -1.0 -1.3 -1.4 -0.4 -0.8 0.7 -0.6 -0.3 1.3 6.3 -0.1 -5.6 3.2 -20.0 -20.0 -5.7 -0.6 SOYBEAN 18.0 20.0 2.6 0.6 3.4 -1.1 3.4 -1.6 2.3 6.5 1.9 7.4 -2.2 7.5 6.2 11.3 20.0 14.0 18.1 7.3 1.9 8.8 -0.7 9.9 -16.7 2.0 1.0 0.5 1.7 -0.2 2.4 20.0 3.5 5.9 20.0 6.7 -7.9 19.3 -3.7 20.0 SOYMEAL 10.9 15.8 -20.0 0.6 3.4 -1.1 3.3 -1.6 2.3 3.9 -1.6 4.2 1.8 1.4 -0.5 12.1 20.0 20.0 20.0 1.4 -0.5 5.4 1.2 4.6 -17.2 1.8 0.6 0.8 1.7 1.1 2.3 20.0 1.2 2.0 13.1 2.7 -8.3 -19.2 -3.6 -17.4 SOYOIL 20.0 20.0 10.7 0.5 3.3 -1.1 3.2 -1.5 2.2 6.7 0.6 7.2 -3.0 7.5 6.5 10.0 9.8 8.9 8.0 9.8 3.2 9.2 -0.9 11.5 -20.0 2.1 1.5 0.7 1.6 -0.2 2.2 4.6 2.7 10.5 20.0 10.3 3.1 7.1 14.4 20.0 SP400 20.0 20.0 7.8 4.2 6.7 4.1 7.4 3.3 5.5 9.4 4.4 14.3 3.4 15.7 14.0 -4.8 -4.4 -5.0 -4.9 20.0 11.6 20.0 4.1 20.0 -10.5 5.2 2.0 2.9 4.5 1.3 6.0 0.6 0.8 20.0 20.0 -0.2 -2.3 -8.0 -11.6 -10.1 SP500_micro 11.7 20.0 20.0 5.5 8.8 5.4 9.7 4.4 7.2 13.1 20.0 18.2 7.7 20.0 20.0 -13.2 -7.9 -11.6 -9.9 20.0 20.0 20.0 19.7 20.0 -19.4 8.1 2.8 6.8 5.5 4.2 7.3 -6.5 1.1 20.0 20.0 20.0 -4.4 -8.3 -10.8 -11.0 SUGAR11 -0.4 -20.0 4.9 1.1 6.8 -2.2 6.6 -3.1 4.5 13.5 10.2 9.5 12.1 0.8 4.4 -0.6 15.5 3.3 9.8 2.4 12.9 13.8 19.4 3.1 -20.0 1.5 7.5 6.4 4.3 9.6 0.9 13.0 10.1 -18.8 -16.0 20.0 -18.2 -18.4 10.3 -8.0 US10 0.5 -12.2 -4.2 -1.3 0.9 -1.5 1.4 -2.3 -0.1 1.8 -3.3 2.7 -5.7 -1.9 -4.5 -9.1 -6.4 -9.1 -8.5 -5.5 -5.2 0.5 -6.1 -2.5 0.6 -1.9 -0.4 -1.6 0.4 -1.5 -0.7 -10.5 2.3 -0.8 -7.1 -2.5 -20.0 -20.0 14.0 2.9 US10U -1.1 -8.7 -2.7 -1.9 1.2 -2.1 1.9 -3.2 -0.2 3.3 -4.0 3.3 -7.4 -1.8 -6.0 -1.2 -0.4 -1.0 -1.3 -6.0 -6.0 1.0 -7.9 -2.6 -3.9 -2.5 -0.2 -2.1 0.8 -1.9 -0.7 0.9 1.8 -0.1 -6.8 -2.5 -20.0 -20.0 20.0 17.8 US2 5.3 -20.0 -20.0 -1.3 0.9 -1.5 1.3 -2.2 -0.1 -3.4 -5.6 -0.4 -6.3 -4.9 -6.4 -20.0 -18.7 -20.0 -20.0 -11.3 -11.1 -2.1 -11.0 -6.4 7.0 -2.3 -0.7 -2.1 -0.4 -2.2 -1.3 -20.0 -2.7 -4.6 -14.5 -8.9 -20.0 -17.1 -20.0 -12.9 US20 -2.5 -5.7 -2.5 -1.5 1.0 -1.7 1.5 -2.6 -0.2 2.7 -2.6 2.1 -4.8 -0.7 -5.0 -1.8 -1.3 -1.5 -1.7 -4.2 -4.4 1.2 -6.4 -1.7 -4.0 -1.8 0.2 -1.7 1.1 -1.9 -0.3 -0.2 0.5 0.3 -1.9 -1.0 -20.0 -20.0 20.0 18.9 US30 -3.4 -2.4 -1.6 -1.9 1.3 -2.1 1.9 -3.2 -0.2 3.4 -5.4 1.0 -7.0 -1.0 -7.1 -6.7 -1.5 -3.3 -2.2 -4.7 -5.6 0.9 -9.5 -2.2 -3.8 -2.6 0.7 -2.3 1.2 -2.8 -0.8 -0.5 -3.6 -1.9 -0.3 -0.8 -20.0 -20.0 20.0 20.0 US5 3.4 -14.5 -6.8 -1.3 0.9 -1.5 1.3 -2.2 -0.1 0.2 -3.7 2.7 -5.7 -2.2 -4.7 -13.4 -8.3 -12.7 -11.2 -6.0 -5.8 0.3 -6.5 -2.7 2.9 -1.9 -0.5 -1.6 0.2 -1.6 -0.7 -14.2 2.3 -0.9 -8.4 -3.3 -20.0 -20.0 6.6 -13.8 VIX 0.8 -20.0 -20.0 -7.2 -1.0 -7.4 -2.5 -6.7 -5.1 -15.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.4 -20.0 -20.0 NaN -8.5 -1.0 -8.8 -2.5 -8.0 -5.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -3.1 20.0 12.3 0.6 3.3 -1.1 3.3 -1.5 2.2 3.9 -3.9 1.2 -7.2 0.6 -0.4 -9.0 -8.8 -10.0 -10.0 0.7 -2.4 6.6 -4.5 3.2 -3.8 0.4 3.0 -0.8 2.3 -1.4 1.1 -20.0 5.6 -12.9 7.1 -0.3 -17.9 -18.0 -8.8 -8.2 End of report for caleb_strategy_v3