******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230724_204323 produced at 2023-07-24 21:38:09.741056 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.53 0.0 0.97 -0.97 -0.10 -0.10 -5.50 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 -4.53 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -3.27 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.20 0.0 0.11 -0.11 -0.11 -0.11 -31.51 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.29 -0.14 0.0 0.54 -0.54 -0.29 -0.29 -4.50 17.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.13 0.0 0.39 -0.39 -0.13 -0.11 -18.80 56.0 -18 -15 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.70 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.09 0.0 0.96 -0.96 -0.15 -0.15 -2.35 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 -1.41 13.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.06 -0.06 -0.05 -0.05 -25.68 26.0 -20 -20 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.06 0.0 0.36 -0.36 0.00 0.00 -1.37 8.0 0 0 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.06 0.0 0.88 -0.88 -0.05 -0.05 -1.29 19.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.05 0.0 0.21 -0.21 -0.03 -0.03 -1.44 6.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.68 -0.68 0.00 0.00 -1.18 17.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.62 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.07 -0.07 0.00 0.00 -2.49 5.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -31.08 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 -0.76 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.25 -0.01 0.0 0.55 -0.55 -0.25 -0.25 -0.27 13.0 -6 -6 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.02 -0.01 0.0 0.26 -0.26 0.02 0.01 -0.48 23.0 2 1 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 -0.21 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 -2.09 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.13 -0.13 -0.03 -0.03 -0.52 9.0 -2 -2 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.01 0.0 0.79 -0.79 -0.03 -0.03 -0.51 29.0 -1 -1 caleb_strategy_v3 EUR False False 0.05 0.10 -0.01 0.0 0.70 -0.70 0.10 0.05 -0.26 14.0 2 1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.43 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.04 4.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.00 -0.00 0.0 0.42 -0.42 0.00 0.00 -0.06 9.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 0.00 -0.00 0.00 0.00 0.17 0.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.07 -0.00 0.0 0.17 -0.17 -0.07 -0.07 -0.20 10.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.20 12.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.44 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 REDWHEAT False False 0.02 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.04 8.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.10 0.00 0.0 0.38 -0.38 -0.10 -0.07 0.57 58.0 -16 -10 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.56 11.0 1 1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.73 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 0.87 26.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 0.61 10.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.03 1.49 23.0 3 3 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.53 -0.53 0.05 0.05 0.44 10.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.02 0.0 0.18 -0.18 0.05 0.05 0.67 7.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.02 0.0 0.39 -0.39 0.02 0.01 2.50 48.0 2 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.02 0.0 0.18 -0.18 0.02 0.02 1.65 18.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.42 -0.42 0.00 0.00 3.65 66.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.02 0.02 0.0 0.24 -0.24 0.02 0.01 4.28 68.0 5 3 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.28 2.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.03 0.0 0.35 -0.35 0.25 0.25 1.87 20.0 14 14 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.43 12.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.17 0.05 0.0 0.63 -0.63 0.17 0.14 1.59 22.0 6 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.84 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.03 1.91 4.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 4.50 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.06 0.0 0.23 -0.23 0.00 0.00 12.37 51.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.06 0.0 0.12 -0.12 0.00 0.00 1.38 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.06 0.0 0.15 -0.15 0.01 0.02 4.89 13.0 1 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.07 0.0 0.14 -0.14 0.06 0.06 2.49 5.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.19 0.08 0.0 0.47 -0.47 0.19 0.19 1.68 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.51 -0.51 0.00 0.00 1.72 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.16 0.11 0.0 0.16 -0.16 0.16 0.16 2.87 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.13 0.15 0.0 0.44 -0.44 0.13 0.13 5.76 17.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.38 0.0 0.30 -0.30 0.29 0.29 45.38 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.62 0.86 0.0 0.63 -0.63 0.62 0.62 81.74 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.60 1.63 0.0 0.60 -0.60 0.60 0.60 43.21 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.4 Shocked risk 65.8 Sum abs risk 57.6 Leverage 5.98 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 0.0048 0.6754 0.7143 11.4291 BITCOIN 782.4888 29380.0000 2.6633 42.6134 BOBL 0.3088 115.9700 0.2662 4.2597 BTP 0.7272 116.4800 0.6243 9.9884 BUND 0.6294 133.5700 0.4712 7.5389 BUXL 1.3708 137.0600 1.0001 16.0021 CAC 61.0940 7449.0000 0.8202 13.1226 CAD 0.0033 0.7600 0.4278 6.8441 CANOLA 8.8265 831.8000 1.0611 16.9781 CHF 0.0059 1.1584 0.5121 8.1938 COCOA 39.8588 3419.0000 1.1658 18.6528 COFFEE 2.8285 163.1000 1.7342 27.7477 COPPER 0.0426 3.8480 1.1059 17.6937 CORN 13.1480 569.2500 2.3097 36.9554 COTTON2 1.2513 85.8000 1.4584 23.3343 CRUDE_W 1.1061 77.7200 1.4232 22.7708 DAX 120.7330 16269.0000 0.7421 11.8737 DOW 191.9045 35603.0000 0.5390 8.6242 EUR 0.0055 1.1101 0.4991 7.9856 EURIBOR-ICE 0.0670 97.0950 0.0690 1.1042 EUROSTX 39.1943 4407.0000 0.8894 14.2298 FEEDCOW 1.7038 248.8000 0.6848 10.9572 GASOIL 11.9602 799.7500 1.4955 23.9278 GASOLINE 0.0381 2.5708 1.4827 23.7238 GAS_US_mini 0.0889 2.6900 3.3053 52.8850 GBP 0.0072 1.2827 0.5577 8.9228 GOLD_micro 11.6771 1956.6000 0.5968 9.5489 HEATOIL 0.0353 2.7590 1.2785 20.4567 JGB-SGX-mini 0.2566 148.2700 0.1730 2.7685 JPY 0.0000 0.0071 0.6691 10.7062 LEANHOG 1.2467 82.7250 1.5071 24.1130 LIVECOW 1.1512 180.3750 0.6382 10.2115 LUMBER-new 11.4185 541.5000 2.1087 33.7388 MILK 0.3235 18.4200 1.7562 28.0995 MXP 0.0004 0.0588 0.6418 10.2694 NASDAQ_micro 126.1796 15555.0000 0.8112 12.9789 NIKKEI 311.0917 32710.0000 0.9511 15.2170 NZD 0.0049 0.6200 0.7882 12.6106 OAT 0.6493 128.1700 0.5066 8.1060 OATIES 7.7271 471.2500 1.6397 26.2353 OJ 4.0616 305.3000 1.3304 21.2860 PALLAD 22.8830 1270.0000 1.8018 28.8289 PLAT 13.6674 967.4000 1.4128 22.6047 REDWHEAT 17.5378 923.2500 1.8996 30.3932 RICE 0.1668 16.2750 1.0250 16.4007 ROBUSTA 40.9127 2648.0000 1.5450 24.7207 RUSSELL 18.3912 1975.8000 0.9308 14.8931 SHATZ 0.0995 105.0100 0.0947 1.5154 SILVER-mini 0.3430 24.9250 1.3762 22.0187 SMI 78.8503 11200.0000 0.7040 11.2643 SOFR 0.0819 96.6200 0.0848 1.3565 SOYBEAN 19.2928 1423.5000 1.3553 21.6849 SOYMEAL 6.7316 412.3000 1.6327 26.1232 SOYOIL 1.0763 64.6100 1.6659 26.6540 SP400 20.5302 2724.8000 0.7535 12.0553 SP500_micro 23.8230 4583.0000 0.5198 8.3170 SUGAR11 0.3553 24.8800 1.4279 22.8458 US10 0.4659 112.0625 0.4158 6.6527 US10U 0.6073 118.0156 0.5146 8.2330 US2 0.1253 101.6367 0.1233 1.9721 US20 0.8183 126.1875 0.6485 10.3757 US30 1.1881 134.5625 0.8829 14.1271 US5 0.3179 107.1016 0.2968 4.7494 VIX 0.4409 17.6000 2.5050 40.0805 WHEAT 19.3948 777.7500 2.4937 39.8993 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 675.45 0.71 482.49 1.00 482.49 46875.0 97.15 -2.42 -23.47 BITCOIN 29.38 2.66 78.25 1.00 78.25 46875.0 599.05 -4.31 -258.45 BOBL 1159.70 0.27 308.75 1.11 343.93 46875.0 136.29 -10.21 -139.16 BTP 1164.80 0.62 727.15 1.11 810.01 46875.0 57.87 9.32 53.93 BUND 1335.70 0.47 629.36 1.11 701.08 46875.0 66.86 7.09 47.41 BUXL 1370.60 1.00 1370.78 1.11 1526.98 46875.0 30.70 1.28 3.93 CAC 744.90 0.82 610.94 1.11 680.56 46875.0 68.88 6.33 43.63 CAD 760.05 0.43 325.11 1.00 325.11 46875.0 144.18 -1.10 -15.79 CANOLA 166.36 1.06 176.53 0.76 134.00 46875.0 349.80 16.87 590.29 CHF 1448.00 0.51 741.54 1.00 741.54 46875.0 63.21 -6.84 -43.23 COCOA 341.90 1.17 398.59 1.00 398.59 46875.0 117.60 4.00 47.01 COFFEE 611.62 1.73 1060.70 1.00 1060.70 46875.0 44.19 -9.67 -42.72 COPPER 962.00 1.11 1063.84 1.00 1063.84 46875.0 44.06 -2.72 -11.99 CORN 284.62 2.31 657.40 1.00 657.40 46875.0 71.30 1.36 9.71 COTTON2 429.00 1.46 625.65 1.00 625.65 46875.0 74.92 4.03 30.22 CRUDE_W 777.20 1.42 1106.09 1.00 1106.09 46875.0 42.38 4.80 20.32 DAX 162.69 0.74 120.73 1.11 134.49 46875.0 348.54 0.50 17.49 DOW 178.02 0.54 95.95 1.00 95.95 46875.0 488.52 3.35 163.56 EUR 1387.62 0.50 692.56 1.00 692.56 46875.0 67.68 -1.19 -8.05 EURIBOR-ICE 2427.38 0.07 167.52 1.11 186.61 46875.0 251.20 -7.02 -176.30 EUROSTX 440.70 0.89 391.94 1.11 436.61 46875.0 107.36 5.34 57.31 FEEDCOW 1244.00 0.68 851.92 1.00 851.92 46875.0 55.02 -7.32 -40.29 GASOIL 799.75 1.50 1196.02 1.00 1196.02 46875.0 39.19 9.94 38.97 GASOLINE 1079.74 1.48 1600.97 1.00 1600.97 46875.0 29.28 20.00 58.56 GAS_US_mini 67.25 3.31 222.28 1.00 222.28 46875.0 210.88 -9.94 -209.65 GBP 801.69 0.56 447.08 1.00 447.08 46875.0 104.85 4.65 48.77 GOLD_micro 195.66 0.60 116.77 1.00 116.77 46875.0 401.43 -12.36 -496.21 HEATOIL 1158.78 1.28 1481.55 1.00 1481.55 46875.0 31.64 8.89 28.12 JGB-SGX-mini 148270.00 0.17 25655.55 0.01 184.00 46875.0 254.75 12.98 330.65 JPY 891.44 0.67 596.49 1.00 596.49 46875.0 78.58 -17.63 -138.53 LEANHOG 330.90 1.51 498.69 1.00 498.69 46875.0 94.00 8.31 78.15 LIVECOW 721.50 0.64 460.47 1.00 460.47 46875.0 101.80 16.59 168.89 LUMBER-new 148.91 2.11 314.01 1.00 314.01 46875.0 149.28 -7.73 -115.36 MILK 368.40 1.76 646.99 1.00 646.99 46875.0 72.45 -18.61 -134.81 MXP 293.95 0.64 188.67 1.00 188.67 46875.0 248.45 20.00 496.91 NASDAQ_micro 311.10 0.81 252.36 1.00 252.36 46875.0 185.75 -1.15 -21.35 NIKKEI 32710.00 0.95 31109.17 0.01 221.93 46875.0 211.22 16.44 347.25 NZD 619.95 0.79 488.62 1.00 488.62 46875.0 95.93 0.44 4.26 OAT 1281.70 0.51 649.34 1.11 723.34 46875.0 64.80 8.51 55.12 OATIES 235.62 1.64 386.36 1.00 386.36 46875.0 121.33 -1.74 -21.10 OJ 457.95 1.33 609.24 1.00 609.24 46875.0 76.94 20.00 153.88 PALLAD 1270.00 1.80 2288.30 1.00 2288.30 46875.0 20.48 -7.99 -16.37 PLAT 483.70 1.41 683.37 1.00 683.37 46875.0 68.59 -0.79 -5.40 REDWHEAT 461.62 1.90 876.89 1.00 876.89 46875.0 53.46 0.65 3.49 RICE 325.50 1.03 333.65 1.00 333.65 46875.0 140.49 15.28 214.62 ROBUSTA 264.80 1.55 409.13 1.00 409.13 46875.0 114.57 12.92 148.01 RUSSELL 98.79 0.93 91.96 1.00 91.96 46875.0 509.76 2.64 134.38 SHATZ 1050.10 0.09 99.46 1.11 110.79 46875.0 423.10 -6.89 -291.55 SILVER-mini 623.12 1.38 857.53 1.00 857.53 46875.0 54.66 0.84 4.59 SMI 1120.00 0.70 788.50 1.15 910.56 46875.0 51.48 -0.33 -1.69 SOFR 2415.50 0.08 204.79 1.00 204.79 46875.0 228.89 -2.46 -56.39 SOYBEAN 711.75 1.36 964.64 1.00 964.64 46875.0 48.59 17.23 83.75 SOYMEAL 412.30 1.63 673.16 1.00 673.16 46875.0 69.63 13.18 91.75 SOYOIL 387.66 1.67 645.79 1.00 645.79 46875.0 72.59 10.47 76.00 SP400 2724.80 0.75 2053.02 1.00 2053.02 46875.0 22.83 3.86 8.82 SP500_micro 229.15 0.52 119.12 1.00 119.12 46875.0 393.53 2.84 111.80 SUGAR11 278.66 1.43 397.88 1.00 397.88 46875.0 117.81 7.65 90.12 US10 1120.62 0.42 465.95 1.00 465.95 46875.0 100.60 -9.72 -97.79 US10U 1180.16 0.51 607.26 1.00 607.26 46875.0 77.19 -2.87 -22.16 US2 2032.73 0.12 250.54 1.00 250.54 46875.0 187.10 -20.00 -374.19 US20 1261.88 0.65 818.30 1.00 818.30 46875.0 57.28 -2.73 -15.62 US30 1345.62 0.88 1188.11 1.00 1188.11 46875.0 39.45 -4.29 -16.94 US5 1071.02 0.30 317.92 1.00 317.92 46875.0 147.44 -13.16 -194.00 VIX 176.00 2.51 440.89 1.00 440.89 46875.0 106.32 -20.00 -212.64 WHEAT 388.88 2.49 969.74 1.00 969.74 46875.0 48.34 -9.49 -45.89 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -23.465 0.013 2.5 -0.763 BITCOIN -258.448 0.048 2.5 -31.080 BOBL -139.164 0.004 2.5 -1.291 BTP 53.928 0.012 2.5 1.682 BUND 47.411 0.004 2.5 0.440 BUXL 3.925 0.004 2.5 0.036 CAC 43.628 0.013 2.5 1.425 CAD -15.792 0.013 2.5 -0.513 CANOLA 590.285 0.008 2.5 12.366 CHF -43.231 0.013 2.5 -1.405 COCOA 47.010 0.007 2.5 0.867 COFFEE -42.720 0.004 2.5 -0.430 COPPER -11.993 0.048 2.5 -1.442 CORN 9.710 0.008 2.5 0.203 COTTON2 30.218 0.007 2.5 0.557 CRUDE_W 20.324 0.049 2.5 2.489 DAX 17.493 0.013 2.5 0.571 DOW 163.561 0.009 2.5 3.653 EUR -8.051 0.013 2.5 -0.262 EURIBOR-ICE -176.295 0.012 2.5 -5.499 EUROSTX 57.310 0.013 2.5 1.872 FEEDCOW -40.294 0.014 2.5 -1.373 GASOIL 38.966 0.020 2.5 1.910 GASOLINE 58.558 0.020 2.5 2.871 GAS_US_mini -209.645 0.049 2.5 -25.676 GBP 48.769 0.013 2.5 1.585 GOLD_micro -496.214 0.015 2.5 -18.796 HEATOIL 28.125 0.020 2.5 1.379 JGB-SGX-mini 330.650 0.052 2.5 43.208 JPY -138.529 0.013 2.5 -4.503 LEANHOG 78.152 0.025 2.5 4.885 LIVECOW 168.894 0.014 2.5 5.756 LUMBER-new -115.362 0.007 2.5 -2.089 MILK -134.808 0.007 2.5 -2.487 MXP 496.907 0.066 2.5 81.743 NASDAQ_micro -21.353 0.009 2.5 -0.477 NIKKEI 347.251 0.052 2.5 45.377 NZD 4.256 0.013 2.5 0.138 OAT 55.124 0.012 2.5 1.720 OATIES -21.099 0.008 2.5 -0.442 OJ 153.879 0.007 2.5 2.839 PALLAD -16.373 0.015 2.5 -0.620 PLAT -5.400 0.015 2.5 -0.205 REDWHEAT 3.489 0.005 2.5 0.040 RICE 214.616 0.008 2.5 4.496 ROBUSTA 148.010 0.004 2.5 1.489 RUSSELL 134.377 0.013 2.5 4.279 SHATZ -291.551 0.004 2.5 -2.704 SILVER-mini 4.588 0.015 2.5 0.174 SMI -1.686 0.013 2.5 -0.055 SOFR -56.393 0.023 2.5 -3.274 SOYBEAN 83.748 0.003 2.5 0.671 SOYMEAL 91.750 0.003 2.5 0.735 SOYOIL 75.998 0.003 2.5 0.609 SP400 8.815 0.013 2.5 0.281 SP500_micro 111.796 0.009 2.5 2.497 SUGAR11 90.123 0.007 2.5 1.651 US10 -97.786 0.005 2.5 -1.184 US10U -22.159 0.005 2.5 -0.268 US2 -374.190 0.005 2.5 -4.529 US20 -15.618 0.005 2.5 -0.189 US30 -16.940 0.005 2.5 -0.205 US5 -193.995 0.005 2.5 -2.348 VIX -212.640 0.059 2.5 -31.507 WHEAT -45.888 0.005 2.5 -0.524 ===================== Position diags ===================== AUD 3.16 BITCOIN 72.04 BOBL 1.26 BTP 1.81 BUND 0.62 BUXL 0.28 CAC 2.25 CAD 4.69 CANOLA 7.33 CHF 2.05 COCOA 2.17 COFFEE 0.44 COPPER 5.30 CORN 1.49 COTTON2 1.38 CRUDE_W 5.19 DAX 11.39 DOW 10.91 EUR 2.20 EURIBOR-ICE 7.84 EUROSTX 3.51 FEEDCOW 1.88 GASOIL 1.92 GASOLINE 1.44 GAS_US_mini 25.83 GBP 3.41 GOLD_micro 15.21 HEATOIL 1.55 JGB-SGX-mini 33.29 JPY 2.55 LEANHOG 5.88 LIVECOW 3.47 LUMBER-new 2.70 MILK 1.34 MXP 40.87 NASDAQ_micro 4.15 NIKKEI 27.60 NZD 3.12 OAT 2.02 OATIES 2.54 OJ 1.42 PALLAD 0.78 PLAT 2.60 REDWHEAT 0.61 RICE 2.94 ROBUSTA 1.15 RUSSELL 16.23 SHATZ 3.92 SILVER-mini 2.07 SMI 1.68 SOFR 13.29 SOYBEAN 0.39 SOYMEAL 0.56 SOYOIL 0.58 SP400 0.73 SP500_micro 8.79 SUGAR11 2.16 US10 1.22 US10U 0.93 US2 2.26 US20 0.69 US30 0.48 US5 1.78 VIX 15.75 WHEAT 0.55 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.8 -1.1 -0.4 NaN 0 BITCOIN -31.1 -38.3 -23.9 0.0 0 BOBL -1.3 -1.4 -1.2 -1.0 -1 BTP 1.7 1.5 1.9 4.0 4 BUND 0.4 0.4 0.5 1.0 1 BUXL 0.0 0.0 0.1 NaN 0 CAC 1.4 1.2 1.7 NaN 0 CAD -0.5 -1.0 -0.0 -1.0 -1 CANOLA 12.4 11.6 13.1 NaN 0 CHF -1.4 -1.6 -1.2 -3.0 -3 COCOA 0.9 0.7 1.1 2.0 2 COFFEE -0.4 -0.5 -0.4 NaN 0 COPPER -1.4 -2.0 -0.9 -1.0 -1 CORN 0.2 0.1 0.4 0.0 0 COTTON2 0.6 0.4 0.7 1.0 1 CRUDE_W 2.5 2.0 3.0 2.0 2 DAX 0.6 -0.6 1.7 -16.0 -16 DOW 3.7 2.6 4.7 NaN 0 EUR -0.3 -0.5 -0.0 2.0 2 EURIBOR-ICE -5.5 -6.3 -4.7 -1.0 -1 EUROSTX 1.9 1.5 2.2 14.0 14 FEEDCOW -1.4 -1.6 -1.2 NaN 0 GASOIL 1.9 1.7 2.1 1.0 1 GASOLINE 2.9 2.7 3.0 4.0 4 GAS_US_mini -25.7 -28.3 -23.1 -20.0 -20 GBP 1.6 1.2 1.9 6.0 6 GOLD_micro -18.8 -20.3 -17.3 -18.0 -18 HEATOIL 1.4 1.2 1.5 0.0 0 JGB-SGX-mini 43.2 39.9 46.5 16.0 16 JPY -4.5 -4.8 -4.2 -9.0 -9 LEANHOG 4.9 4.3 5.5 1.0 1 LIVECOW 5.8 5.4 6.1 5.0 5 LUMBER-new -2.1 -2.4 -1.8 NaN 0 MILK -2.5 -2.6 -2.4 NaN 0 MXP 81.7 77.7 85.8 59.0 59 NASDAQ_micro -0.5 -0.9 -0.1 2.0 2 NIKKEI 45.4 42.6 48.1 35.0 35 NZD 0.1 -0.2 0.5 1.0 1 OAT 1.7 1.5 1.9 NaN 0 OATIES -0.4 -0.7 -0.2 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT -0.2 -0.5 0.1 -4.0 -4 REDWHEAT 0.0 -0.0 0.1 NaN 0 RICE 4.5 4.2 4.8 NaN 0 ROBUSTA 1.5 1.4 1.6 3.0 3 RUSSELL 4.3 2.7 5.9 5.0 5 SHATZ -2.7 -3.1 -2.3 NaN 0 SILVER-mini 0.2 -0.0 0.4 NaN 0 SMI -0.1 -0.2 0.1 0.0 0 SOFR -3.3 -4.6 -1.9 NaN 0 SOYBEAN 0.7 0.6 0.7 2.0 2 SOYMEAL 0.7 0.7 0.8 NaN 0 SOYOIL 0.6 0.6 0.7 1.0 1 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 2.5 1.6 3.4 2.0 2 SUGAR11 1.7 1.4 1.9 2.0 2 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.3 -0.4 -0.2 -6.0 -6 US2 -4.5 -4.8 -4.3 NaN 0 US20 -0.2 -0.3 -0.1 NaN 0 US30 -0.2 -0.3 -0.2 NaN 0 US5 -2.3 -2.5 -2.2 -4.0 -4 VIX -31.5 -33.1 -29.9 -17.0 -17 WHEAT -0.5 -0.6 -0.5 -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 1.6 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 0.1 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.2 -0.2 -0.2 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.4 -0.2 -0.3 -0.0 -0.3 0.1 0.1 BITCOIN -0.0 0.1 0.2 0.0 -0.0 0.1 0.0 0.1 0.1 -0.3 0.4 -0.2 -0.1 0.1 0.1 -0.4 -0.2 -0.3 -0.3 0.1 0.1 -0.1 0.1 0.0 -1.1 0.0 -0.1 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 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -1.2 -0.2 -1.1 -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 0.2 0.1 -0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP -0.2 0.1 0.3 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.0 -0.0 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 0.1 0.0 0.0 0.0 2.7 0.3 0.0 0.4 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 0.2 0.0 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 0.2 0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 0.0 -0.0 0.0 -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 -0.0 -0.3 -0.2 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.1 0.3 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -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 -0.2 -0.5 -0.2 -0.0 -0.2 -0.3 -0.3 -0.2 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 0.3 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 2.7 0.5 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 0.0 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 -0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -2.9 0.6 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 -0.0 0.1 -0.1 0.1 0.2 0.4 0.1 0.5 0.2 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 -0.3 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.2 -0.5 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 -0.1 -0.0 -0.2 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 0.0 -0.2 -0.1 -1.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.6 -0.6 -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 -0.0 -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 0.4 -0.0 -0.1 0.1 -0.5 -0.0 -0.3 0.1 -0.2 CORN -0.2 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 -0.0 0.2 -0.3 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 0.1 -0.1 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.5 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 -0.2 0.2 0.3 -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 0.2 -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 -0.3 -0.1 0.2 0.3 0.1 0.2 0.2 0.1 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 0.9 0.0 0.1 0.1 0.0 0.2 0.0 -0.6 -0.1 -0.4 -0.4 -0.2 0.2 -0.0 0.3 0.0 DOW 0.4 0.4 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.3 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 0.7 0.4 0.5 0.1 -0.1 -0.0 -0.3 -0.0 EUR 0.4 0.3 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 0.1 0.1 0.1 0.7 0.0 -0.0 0.1 0.0 0.0 0.0 -1.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.0 0.1 EURIBOR-ICE 0.2 -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 0.1 -0.2 0.0 0.9 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.9 0.3 0.1 -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 0.2 0.4 0.1 0.5 0.1 0.1 -0.3 0.0 -0.2 -0.1 0.1 0.1 0.1 0.3 0.0 0.3 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.3 -0.4 -0.3 -0.2 0.3 0.0 0.3 0.1 FEEDCOW 0.2 -0.1 0.3 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.1 0.4 0.1 0.5 0.1 0.2 -1.2 -1.2 -1.2 -1.2 0.2 0.2 0.0 0.4 0.1 0.3 0.1 -0.0 0.2 0.0 0.2 0.0 -3.2 -0.7 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 0.4 0.9 0.4 0.6 0.1 -0.0 0.2 -0.0 0.2 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 -0.0 0.2 0.3 0.0 -0.1 0.0 -0.1 -0.1 GASOLINE 0.5 0.4 -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 0.2 0.1 0.1 0.1 0.1 3.2 0.6 0.4 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 0.1 0.1 -0.3 0.0 -0.4 0.0 0.0 0.1 -0.7 -0.5 -0.7 -0.0 -0.2 0.1 -0.4 0.0 0.9 0.0 0.0 -0.0 0.0 -0.1 0.0 -3.2 -0.7 -0.5 -0.1 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 -0.6 -0.3 0.0 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.4 -0.3 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 0.0 0.1 0.2 0.0 -0.6 0.0 -0.0 0.0 0.0 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 0.6 0.2 -0.0 0.3 -0.1 0.2 -1.1 0.1 0.2 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 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.2 -0.0 0.2 -0.0 0.0 0.8 1.2 0.8 1.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 3.2 -0.3 -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 -0.4 -0.2 -0.5 -0.5 -0.3 -0.3 -0.3 -0.3 LEANHOG 0.4 0.5 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.3 0.1 0.1 1.2 0.0 1.2 1.2 0.1 -0.1 0.1 -0.4 0.1 0.8 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.0 -0.3 -0.1 0.1 -0.5 -0.0 0.0 0.3 0.3 LIVECOW 0.2 0.4 0.4 0.0 0.2 -0.1 0.1 -0.1 0.1 -0.1 0.4 0.1 0.6 0.2 0.2 -0.6 0.6 0.9 1.2 0.2 0.2 0.2 0.4 0.2 0.4 0.1 -0.0 0.2 0.0 0.2 0.1 2.4 -0.6 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 -0.0 0.1 -0.1 0.1 -0.2 -0.2 -0.1 -0.3 0.1 0.1 -0.3 -0.7 -0.6 -0.7 0.1 0.0 -0.2 -0.1 0.0 NaN 0.0 -0.1 0.0 -0.1 -0.0 0.0 -3.4 -0.7 -0.4 0.2 0.3 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.1 -0.1 0.0 0.1 -0.0 0.0 -0.0 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 0.2 -0.3 0.0 -0.3 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -3.2 0.7 -0.2 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.1 0.2 0.3 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 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 0.0 -0.1 0.3 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.0 0.4 0.5 0.0 0.0 0.1 0.0 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 -0.3 0.1 0.5 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.5 0.1 0.5 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 -0.0 0.4 0.0 0.1 0.9 0.7 0.8 0.7 0.2 0.2 0.0 0.4 0.0 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 3.2 -0.7 -0.5 0.4 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 -0.4 -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 0.1 -0.1 0.0 -0.2 0.0 -0.0 0.3 0.6 0.4 0.5 -0.0 -0.0 0.0 -0.1 0.0 0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 2.9 0.2 0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES 0.1 0.5 0.5 0.0 0.1 -0.0 0.1 -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 0.1 0.0 0.0 0.0 0.0 -2.6 0.0 0.1 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.5 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 0.2 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 0.2 -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 -0.2 -0.0 -0.4 -0.0 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.3 -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 0.2 0.1 -0.5 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.2 0.2 0.2 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.0 0.1 -0.3 0.1 0.1 -0.1 0.2 0.1 0.2 0.0 0.0 0.2 -0.0 0.1 -0.7 0.0 0.2 0.0 0.1 -0.0 0.0 -0.7 0.6 -0.3 0.1 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.2 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 0.2 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 0.7 -0.1 0.3 0.4 -0.1 -0.3 0.0 -0.3 ROBUSTA -0.5 -0.4 0.2 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.2 -0.0 0.3 -0.0 0.1 1.2 0.8 1.2 1.1 0.0 0.1 0.1 0.3 0.0 -0.5 0.0 0.1 0.1 0.0 0.2 0.0 2.7 -0.3 -0.5 0.0 0.5 -0.1 -0.3 0.1 -0.2 RUSSELL 0.4 0.5 0.3 0.0 0.0 0.1 0.0 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 0.1 -0.4 -0.4 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -0.0 -0.4 -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 0.1 -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 0.0 0.0 0.0 -0.7 0.7 0.5 0.1 0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.1 -0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 -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 -0.3 -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 -0.2 -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 0.1 0.0 -0.1 0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.5 0.5 0.1 0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 0.7 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 0.2 0.5 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL 0.3 0.4 -0.5 0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 0.1 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 0.6 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 0.2 0.1 0.2 -0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.2 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 0.3 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 0.1 -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 1.9 0.2 -0.3 -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 -1.6 0.0 0.0 -0.1 -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 0.2 0.1 0.1 -0.1 -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 -0.1 -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 -0.2 -0.1 -0.3 -0.2 -0.3 -0.2 -0.3 -0.2 US20 -0.0 -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 0.1 0.1 -0.0 -0.0 -0.3 -0.3 0.3 0.3 US30 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 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 0.0 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 -0.0 0.0 -0.2 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.1 -0.8 -0.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.4 -0.6 -0.3 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.3 -0.6 -0.3 NaN -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.0 0.5 0.4 0.0 0.0 -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 0.4 -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 5.8 10.2 2.0 3.4 -1.1 2.4 1.9 1.1 3.7 -4.9 -3.5 1.3 -4.1 4.4 3.3 -2.4 -2.6 -2.6 -2.7 2.3 -0.4 0.6 -3.3 3.5 2.0 1.7 -2.3 0.3 0.7 -1.3 2.2 -0.5 -4.3 -14.4 -9.7 -11.2 -1.6 -20.0 7.1 11.1 BITCOIN -1.4 5.5 7.1 5.3 -4.0 4.3 3.7 3.2 6.5 -20.0 19.9 -18.1 -4.5 12.9 15.1 -7.2 -3.3 -5.7 -4.5 10.9 14.0 -8.5 6.6 3.2 -20.0 4.6 -8.5 5.4 -4.5 3.7 1.4 -0.8 -20.0 -17.0 -1.7 -9.7 -2.8 20.0 -1.6 20.0 BOBL 0.4 -7.9 -2.5 -1.7 -0.1 -1.7 0.2 -2.4 -0.8 4.4 -3.5 3.2 -6.4 -2.6 -4.1 -20.0 -3.3 -17.7 -9.9 -3.7 -4.9 3.1 -8.2 -0.7 9.5 -1.4 1.8 -1.6 1.5 -2.8 -0.2 -7.5 5.1 2.1 -1.1 0.9 -20.0 -20.0 -20.0 -14.7 BTP -8.4 2.4 12.1 -2.4 -0.2 -2.5 0.2 -3.5 -1.2 8.0 7.7 5.3 -1.7 4.1 4.0 4.2 8.7 6.0 7.2 2.8 2.9 6.1 -1.6 3.3 -6.1 1.7 3.9 2.4 3.3 0.3 1.7 16.8 9.3 1.0 14.4 12.2 -20.0 -20.0 -6.7 4.4 BUND -2.7 -1.1 3.0 -1.7 -0.1 -1.8 0.2 -2.5 -0.8 3.9 -3.5 2.3 -6.7 -0.7 -2.8 5.7 9.2 6.5 7.4 -2.0 -3.4 2.9 -7.7 0.1 5.4 -0.9 2.0 -1.0 1.7 -2.8 0.1 17.1 5.9 1.3 2.7 2.7 -20.0 -20.0 -12.4 -2.5 BUXL -4.4 7.3 1.6 -2.1 -0.1 -2.2 0.2 -3.1 -1.0 4.1 -7.3 1.5 -9.1 1.0 -3.0 1.2 1.2 1.6 1.8 -1.1 -4.4 2.6 -11.3 0.7 0.1 -0.1 1.7 -1.0 1.7 -3.6 0.6 5.6 4.3 1.3 7.9 4.0 -20.0 -20.0 6.0 10.5 CAC 2.6 -6.3 -8.2 5.2 4.8 5.1 7.3 4.2 6.4 17.0 15.8 15.9 17.6 11.6 9.0 -6.0 1.1 -2.7 -0.4 5.3 10.5 13.8 17.5 8.2 -4.6 3.8 8.6 5.8 6.8 8.3 4.5 9.4 -0.6 -10.4 -9.4 -6.7 17.7 -2.6 20.0 -0.6 CAD -4.7 12.9 13.9 5.5 -1.7 3.9 3.1 1.7 6.0 -0.7 13.6 8.2 -7.4 14.5 15.3 -1.9 -1.9 -2.2 -2.2 11.8 8.5 5.3 -0.8 9.1 -0.5 5.8 1.4 4.7 2.3 0.6 4.2 0.5 -5.5 -20.0 -6.2 -0.6 -17.0 -20.0 -20.0 -17.6 CANOLA 20.0 20.0 14.0 1.1 5.6 -1.3 5.1 -2.0 3.5 6.7 1.3 10.2 -7.4 11.1 9.1 5.3 16.3 13.4 16.3 20.0 5.4 20.0 -4.4 20.0 -20.0 2.8 1.3 0.1 3.1 -1.3 4.1 17.3 13.6 20.0 20.0 9.5 -14.1 15.6 0.5 20.0 CHF 20.0 9.2 4.3 4.1 -1.3 2.9 2.3 1.3 4.4 1.2 10.8 9.4 11.0 11.1 9.6 -13.4 -12.8 -13.9 -13.5 15.1 10.4 13.7 7.4 20.0 -6.6 4.3 -0.5 2.9 4.0 1.8 5.7 -18.5 17.0 14.3 0.1 3.4 -13.1 -20.0 -14.7 -20.0 COCOA 1.8 4.8 13.7 2.0 10.5 -2.4 9.6 -3.7 6.6 14.9 20.0 15.9 19.0 18.3 19.7 -0.4 -0.9 -0.5 -0.3 20.0 20.0 16.6 20.0 20.0 -8.9 7.9 2.4 8.2 3.6 6.6 5.8 -11.7 -9.5 20.0 20.0 20.0 -19.8 -20.0 9.8 -9.1 COFFEE -8.0 -20.0 -7.6 1.9 9.8 -2.2 8.9 -3.5 6.2 14.9 -3.9 -4.4 -8.1 -16.7 -17.4 1.3 3.8 3.3 3.9 -20.0 -13.8 0.7 -9.7 -15.6 -20.0 -4.3 7.8 -1.9 1.7 -1.1 -3.5 -4.1 -19.0 -20.0 -20.0 9.7 -20.0 -20.0 -8.6 -18.0 COPPER 7.0 6.5 -12.0 3.4 -2.5 2.7 2.3 2.0 4.1 -3.4 -4.4 1.5 -4.0 4.1 -2.7 -2.4 -1.3 -2.3 -1.9 -1.5 -3.9 1.6 -3.5 2.0 -4.0 0.1 0.9 -2.1 1.7 -2.0 2.3 2.8 -1.0 -5.3 2.7 -20.0 -0.2 -20.0 3.8 -17.4 CORN -7.0 16.1 0.5 0.7 3.6 -0.8 3.2 -1.3 2.2 5.6 -3.3 1.8 -4.3 -2.3 -2.8 -3.9 8.2 -1.4 3.4 -1.1 -2.0 6.4 -1.8 1.3 -6.7 0.6 3.1 -0.6 2.0 -1.2 1.1 -0.0 6.5 -13.5 8.6 -0.3 -2.5 14.0 0.9 20.0 COTTON2 12.8 5.6 8.5 1.3 6.6 -1.5 6.1 -2.4 4.2 10.5 3.4 12.3 -9.6 10.7 8.9 9.0 6.7 7.2 5.2 5.4 0.8 11.7 -4.1 9.1 -20.0 2.6 4.7 0.8 5.6 -0.0 4.4 -1.3 5.2 10.1 -0.3 11.1 -20.0 -18.0 6.0 7.8 CRUDE_W 20.0 9.8 -4.8 3.7 13.3 -0.4 11.7 -0.8 8.3 17.5 -1.3 18.0 -10.9 17.2 2.9 5.8 8.1 5.8 6.4 10.5 0.0 20.0 -1.7 20.0 -6.0 5.7 11.2 2.3 9.7 1.8 8.5 -9.0 -10.3 -2.6 8.0 13.9 10.6 12.1 11.6 3.9 DAX -0.9 -7.1 -0.9 4.9 4.6 4.8 6.9 3.9 6.0 14.8 14.6 16.0 16.1 5.2 7.7 -8.2 -6.4 -8.2 -7.7 4.2 10.4 9.9 14.9 5.6 16.2 1.3 4.2 4.8 4.6 6.9 1.8 -3.6 -2.7 -17.2 -16.4 -7.3 18.3 -1.5 20.0 2.9 DOW 14.2 14.5 6.2 4.9 4.6 4.8 6.9 4.0 6.0 16.8 10.7 18.1 9.3 17.8 17.0 -10.5 -6.6 -9.5 -8.4 17.5 10.9 20.0 6.2 20.0 -9.3 6.2 9.0 4.2 9.1 2.7 7.9 -4.3 20.0 17.8 20.0 4.8 -4.5 -3.6 -20.0 -2.0 EUR 14.7 10.2 2.5 4.3 -1.3 3.0 2.4 1.4 4.6 -4.3 11.0 7.1 7.7 11.1 8.7 -6.2 -6.8 -6.5 -6.6 11.0 7.7 6.0 3.9 13.7 12.7 4.1 -3.4 2.9 2.3 1.4 5.0 -7.4 -2.4 -2.2 -3.9 -5.8 -4.7 -20.0 -0.8 6.3 EURIBOR-ICE 6.2 -8.1 7.1 -1.6 -0.1 -1.6 0.1 -2.3 -0.8 3.9 -4.0 3.9 -6.4 -1.3 -3.5 -11.0 -7.6 -10.5 -9.5 -3.4 -4.8 4.3 -7.7 0.3 16.2 -1.3 1.8 -1.6 1.7 -2.9 0.0 -12.0 8.4 3.0 -2.6 1.2 -20.0 -20.0 20.0 4.3 EUROSTX -1.2 -5.1 -2.9 4.9 4.5 4.8 6.9 3.9 6.0 12.1 17.3 13.5 17.8 11.2 13.3 -4.8 0.2 -4.2 -2.2 6.0 11.7 7.1 16.7 5.7 4.8 2.7 3.5 6.1 3.5 8.7 2.3 7.1 -9.3 -14.5 -12.9 -6.4 19.9 0.7 20.0 6.1 FEEDCOW 6.9 -3.6 12.7 2.1 10.7 -2.4 9.8 -3.8 6.8 -11.8 19.5 9.5 18.6 15.6 18.1 -20.0 -20.0 -20.0 -20.0 20.0 20.0 3.4 20.0 16.4 6.5 7.7 -1.8 9.5 1.4 8.9 4.9 -20.0 -20.0 20.0 20.0 20.0 0.2 -20.0 12.7 -13.1 GASOIL 20.0 20.0 -7.2 3.2 11.6 -0.4 10.1 -0.7 7.2 15.9 -6.6 17.5 -5.9 17.7 10.0 6.4 14.6 6.2 9.5 14.3 -0.9 20.0 -2.1 20.0 11.5 4.5 11.2 0.0 9.9 -1.2 8.1 0.0 -0.1 6.1 12.9 1.9 -7.4 3.4 -10.3 -4.5 GASOLINE 20.0 14.1 -0.2 4.0 14.4 -0.5 12.6 -0.9 9.0 20.0 13.3 20.0 -5.1 20.0 15.3 20.0 20.0 20.0 20.0 20.0 11.3 20.0 10.0 20.0 -20.0 7.3 13.5 4.8 11.6 4.5 9.7 20.0 17.3 15.0 20.0 20.0 10.3 12.5 13.2 -1.7 GAS_US_mini 1.4 20.0 4.9 2.8 10.2 -0.3 8.9 -0.6 6.3 10.9 -15.4 0.2 -16.0 5.1 1.3 1.7 -11.9 -7.9 -12.1 -2.1 -19.7 4.4 -20.0 2.4 16.8 2.3 3.3 -1.3 2.5 -3.5 2.6 -20.0 -20.0 -20.0 -2.9 1.1 3.2 14.8 -0.2 1.5 GBP 6.8 10.7 12.9 4.9 -1.5 3.4 2.7 1.5 5.3 -15.4 15.9 1.7 9.1 9.8 12.9 0.8 -1.0 -0.0 -0.6 16.0 15.0 -1.4 8.3 11.8 -0.8 5.6 -5.1 4.8 -0.0 1.8 4.4 2.6 -17.7 -10.1 0.4 4.4 5.6 10.5 11.0 20.0 GOLD_micro 14.0 -11.9 -5.1 4.8 -3.6 3.8 3.3 2.9 5.8 0.8 3.3 10.8 7.8 2.3 -10.5 -16.2 -11.8 -14.9 -13.5 -4.5 0.5 8.5 8.3 4.5 -12.1 1.6 -2.0 2.2 4.8 4.2 5.0 -16.1 9.1 11.0 -14.9 -12.3 -20.0 -20.0 -6.7 -20.0 HEATOIL 20.0 20.0 -8.0 3.9 14.0 -0.5 12.3 -0.8 8.8 19.8 -9.5 20.0 -8.4 20.0 11.3 5.2 16.2 5.0 9.3 18.2 -1.8 20.0 -3.3 20.0 -20.0 6.2 12.1 1.9 10.6 1.3 9.2 1.2 4.0 11.8 20.0 11.4 -3.3 2.2 -7.8 1.2 JGB-SGX-mini -20.0 -9.6 12.7 -2.0 0.1 -2.0 0.4 -2.8 -1.0 6.4 7.5 -3.5 6.8 -4.2 2.1 13.9 20.0 13.4 17.2 1.3 5.9 0.0 5.8 -2.8 1.1 0.1 3.9 1.8 -0.3 1.1 -1.6 20.0 -7.9 -7.9 3.4 10.5 -20.0 -6.5 5.0 7.6 JPY 20.0 -3.3 -14.7 3.0 -0.9 2.1 1.7 0.9 3.3 -7.5 -7.9 1.5 -8.2 1.0 -7.6 -16.1 -13.2 -16.0 -14.9 -7.3 -10.7 -2.0 -11.6 -0.7 20.0 -1.9 -3.3 -2.8 -0.5 -3.1 0.0 -20.0 -11.0 -7.9 -20.0 -20.0 -19.8 -20.0 -20.0 -20.0 LEANHOG 14.9 20.0 -0.4 1.7 8.7 -2.0 8.0 -3.1 5.5 -0.1 -6.7 10.6 -10.7 15.9 9.8 20.0 0.6 20.0 20.0 6.5 -9.8 9.5 -18.0 13.2 14.9 -2.2 1.3 -8.7 3.1 -10.7 2.5 0.0 -8.9 -2.2 4.2 -20.0 -3.8 3.2 19.2 20.0 LIVECOW 7.1 17.3 17.5 2.4 12.2 -2.8 11.1 -4.3 7.7 -10.8 20.0 14.4 20.0 20.0 20.0 -10.3 9.4 14.5 19.4 20.0 20.0 12.1 20.0 20.0 8.4 8.9 -2.4 8.3 2.5 6.4 6.7 15.2 -18.0 20.0 20.0 20.0 -20.0 -20.0 -16.6 -20.0 LUMBER-new 2.4 18.2 4.3 2.0 10.4 -2.0 9.5 -2.8 6.6 -18.2 -10.9 -12.1 -16.4 6.9 6.5 -4.9 -11.7 -9.3 -11.1 6.1 0.3 -11.9 -4.3 2.2 NaN 3.3 -11.1 1.2 -5.8 -0.6 1.1 -20.0 -20.0 -14.5 7.2 11.4 -20.0 -20.0 -20.0 -20.0 MILK 20.0 5.3 -3.7 1.0 5.1 -1.1 4.6 -1.8 3.2 8.9 -9.3 5.9 -10.2 -1.4 -7.5 -20.0 -20.0 -20.0 -20.0 -9.8 -13.8 16.0 -12.9 1.3 -4.8 -2.8 5.5 -3.6 3.1 -3.1 -0.2 -20.0 20.0 -7.8 -20.0 -20.0 -20.0 -20.0 -13.9 -20.0 MXP -5.5 6.1 13.3 6.1 -1.9 4.3 3.4 1.9 6.6 4.7 20.0 13.2 20.0 20.0 20.0 19.1 17.9 18.8 18.2 20.0 20.0 12.6 20.0 20.0 -20.0 8.6 0.4 9.7 3.3 9.8 6.4 20.0 0.8 -4.7 10.1 20.0 20.0 5.6 20.0 20.0 NASDAQ_micro -0.8 16.7 20.0 3.8 3.5 3.7 5.3 3.0 4.6 -0.8 14.6 6.1 7.5 11.2 13.9 -10.9 -7.4 -10.3 -9.1 20.0 20.0 7.0 18.8 18.5 -20.0 5.4 -1.3 5.8 1.2 4.3 3.5 -5.5 -7.8 4.5 20.0 20.0 -7.1 -9.5 -14.8 -11.9 NIKKEI -20.0 3.5 20.0 4.7 4.4 4.6 6.7 3.8 5.8 7.0 16.0 -3.9 15.5 5.5 13.6 15.7 11.7 13.7 12.5 18.7 20.0 1.2 20.0 4.6 -4.8 5.2 1.2 7.2 0.3 5.6 1.3 20.0 -20.0 -20.0 14.9 20.0 4.6 3.1 -0.1 9.4 NZD 10.4 7.5 1.0 2.9 -0.9 2.0 1.6 0.9 3.1 -7.0 -1.1 -0.2 0.0 2.5 1.3 0.2 0.5 0.5 0.5 2.1 0.1 -2.1 -1.6 2.6 0.2 1.4 -4.0 0.5 -0.7 -0.5 1.7 5.0 -10.9 -9.8 -12.4 -10.6 1.2 -12.7 8.9 7.2 OAT -4.3 0.6 6.0 -1.9 -0.1 -2.0 0.2 -2.8 -0.9 4.4 -3.9 2.2 -7.0 0.3 -1.8 5.7 9.4 7.2 8.4 -1.6 -2.9 3.0 -7.1 0.2 7.3 -0.7 2.3 -0.8 1.8 -3.0 0.1 18.3 6.1 0.6 4.2 4.3 -20.0 -20.0 -2.7 1.3 OATIES 4.1 20.0 20.0 1.3 6.7 -1.5 6.1 -2.4 4.3 11.8 8.8 11.8 -8.0 12.7 12.4 -13.5 0.4 -10.7 -6.6 20.0 13.1 20.0 3.2 20.0 -20.0 4.0 4.5 2.3 3.7 0.4 3.8 -16.2 0.5 4.0 20.0 20.0 5.0 20.0 16.4 20.0 OJ 20.0 5.6 -4.0 2.1 10.8 -2.4 9.9 -3.8 6.8 19.3 19.3 20.0 20.0 19.1 18.3 20.0 18.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 16.5 9.5 12.9 12.9 8.7 20.0 20.0 20.0 14.3 20.0 16.1 6.0 20.0 16.7 PALLAD 6.1 -13.3 -13.6 2.6 -1.9 2.1 1.8 1.5 3.1 -1.5 -11.2 1.7 -11.5 -6.2 -9.6 -3.4 -2.5 -3.2 -3.0 -13.1 -18.1 -0.1 -20.0 -5.6 -5.1 -3.2 -1.0 -3.6 -0.2 -3.7 -1.6 0.8 -0.4 -13.5 -20.0 -11.4 -16.1 0.1 0.9 2.2 PLAT 17.4 -19.2 -9.1 3.0 -2.2 2.4 2.1 1.8 3.6 2.5 -6.4 7.0 0.6 -2.2 -7.9 -2.9 -1.8 -2.6 -2.3 -7.4 -6.3 5.3 -1.6 0.5 13.0 -1.0 -0.3 -1.0 2.3 -0.1 1.4 2.1 7.1 2.9 -19.6 -6.5 0.6 -14.8 8.3 -10.0 REDWHEAT 7.4 8.9 6.1 1.3 6.8 -1.5 6.2 -2.4 4.3 11.0 2.0 9.0 -10.3 6.8 6.2 -1.3 3.7 1.6 3.6 4.5 0.4 18.2 -2.1 9.8 -13.3 1.6 13.2 0.2 8.0 -0.2 3.6 -4.1 19.4 -11.1 2.8 5.8 -20.0 -16.9 -4.5 -6.8 RICE 6.5 11.4 1.2 1.6 8.4 -1.9 7.7 -3.0 5.3 14.9 -3.5 13.3 -3.0 11.4 9.3 3.7 20.0 20.0 20.0 5.7 -0.5 20.0 -1.9 14.5 -20.0 2.5 13.4 0.2 10.2 -0.7 5.5 20.0 20.0 -4.3 11.2 14.3 -8.9 -20.0 1.0 -19.4 ROBUSTA -18.2 -14.6 9.8 1.3 6.8 -1.5 6.2 -2.4 4.3 10.1 10.5 -1.3 10.3 -4.8 6.7 20.0 14.3 20.0 19.1 6.0 14.0 4.7 14.8 0.4 -9.5 2.6 4.5 5.7 1.7 5.8 0.3 17.1 -10.1 -20.0 1.0 20.0 -8.1 -20.0 4.2 -14.0 RUSSELL 15.2 19.6 10.8 4.2 3.9 4.1 5.8 3.4 5.1 5.8 1.9 12.2 -3.8 14.1 12.8 -6.8 -4.9 -6.3 -5.8 16.8 8.4 16.3 -0.4 20.0 -1.2 5.1 1.5 3.0 4.1 1.1 5.6 -0.6 -2.2 17.0 20.0 -0.2 -4.5 -6.7 -20.0 -8.9 SHATZ 4.2 -16.3 -15.0 -1.7 -0.1 -1.7 0.2 -2.4 -0.8 4.8 -5.6 3.6 -6.9 -4.6 -5.9 -12.8 -0.0 -6.4 -3.9 -7.5 -9.0 2.6 -11.8 -2.8 11.2 -2.0 1.4 -2.3 0.9 -3.2 -0.7 -0.3 2.6 2.3 -7.4 -3.5 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -2.8 -3.9 3.8 -2.8 3.1 2.6 2.3 4.6 5.3 4.4 10.7 5.1 10.5 0.1 -6.7 -5.3 -6.5 -6.1 5.4 3.4 12.7 4.1 13.2 7.4 3.5 -1.1 2.2 4.4 1.4 5.5 -4.2 19.9 18.4 5.3 1.3 -12.3 -20.0 -2.0 -20.0 SMI -5.9 -15.8 2.7 4.5 4.2 4.4 6.3 3.6 5.5 11.7 6.5 5.6 2.7 -4.8 -0.4 -2.9 2.1 -2.5 -0.5 -4.6 1.2 5.7 3.8 -3.0 2.8 -2.4 4.3 -0.7 2.7 -0.8 -1.5 10.3 -8.4 -20.0 -20.0 -7.5 -6.9 -10.8 -13.0 -16.0 SOFR 0.8 -12.0 -0.6 -1.7 -0.1 -1.7 0.2 -2.5 -0.8 -0.1 -0.5 3.7 -1.5 0.0 -2.4 -2.6 -0.5 -1.6 -1.0 -3.2 -2.1 0.1 -2.1 -1.4 -1.3 -1.4 -1.1 -0.9 0.2 -0.6 -0.5 1.4 2.9 1.7 -4.1 3.0 -20.0 -20.0 -5.4 -0.7 SOYBEAN 18.7 20.0 3.8 0.8 4.1 -0.9 3.8 -1.5 2.6 7.1 2.3 7.8 -2.0 7.8 6.5 11.9 20.0 14.1 18.1 8.0 2.3 9.9 -0.6 10.7 -17.0 2.1 1.5 0.6 1.8 -0.1 2.4 20.0 2.5 6.0 20.0 6.9 -8.0 18.8 -3.9 20.0 SOYMEAL 10.8 17.6 -20.0 0.8 4.1 -0.9 3.7 -1.4 2.6 4.8 -1.5 5.0 1.9 1.7 -0.1 11.5 20.0 20.0 20.0 1.7 -0.3 5.5 1.3 4.9 -17.5 1.8 0.8 0.9 1.7 1.2 2.3 20.0 0.4 1.2 13.0 2.8 -8.4 -19.0 -3.8 -17.2 SOYOIL 20.0 20.0 12.3 0.8 4.0 -0.9 3.6 -1.4 2.5 7.0 1.0 7.6 -2.9 7.8 6.9 10.1 9.9 9.0 8.0 10.7 3.7 11.7 -0.7 12.9 -20.0 2.3 2.2 0.8 2.0 -0.1 2.4 4.1 1.8 10.9 20.0 10.9 3.0 7.0 14.4 20.0 SP400 19.5 20.0 8.6 4.3 4.0 4.3 6.1 3.5 5.3 5.9 4.9 13.5 3.7 15.7 14.2 -5.0 -4.4 -5.1 -4.9 20.0 12.3 17.9 4.5 20.0 -10.7 5.3 1.3 3.0 3.9 1.4 5.8 0.6 -4.8 20.0 20.0 0.6 -2.1 -8.0 -11.7 -10.3 SP500_micro 12.1 20.0 20.0 5.7 5.3 5.6 8.0 4.6 7.0 14.6 20.0 18.4 8.1 20.0 20.0 -13.3 -8.0 -11.7 -10.0 20.0 20.0 20.0 20.0 20.0 -19.7 8.1 3.1 6.9 5.2 4.3 7.2 -6.6 10.2 20.0 20.0 20.0 -4.3 -8.4 -10.9 -11.3 SUGAR11 3.6 -20.0 4.9 1.6 8.1 -1.8 7.4 -2.9 5.1 12.5 10.5 11.4 12.4 1.8 4.7 -0.7 15.4 3.2 9.7 3.3 13.6 14.6 20.0 4.7 -20.0 1.8 6.0 6.6 4.5 10.0 1.4 12.2 6.1 -13.6 -17.0 20.0 -17.7 -18.3 10.6 -7.7 US10 1.8 -12.2 -5.2 -1.7 -0.1 -1.7 0.2 -2.4 -0.8 0.2 -3.4 2.2 -5.7 -1.9 -4.5 -9.0 -6.4 -9.1 -8.5 -5.5 -5.3 -0.4 -6.2 -2.7 0.6 -1.9 -0.7 -1.6 0.0 -1.5 -0.8 -10.3 1.2 1.3 -5.6 -2.2 -20.0 -20.0 14.3 2.9 US10U -0.1 -8.8 -3.5 -2.3 -0.2 -2.4 0.2 -3.4 -1.1 1.4 -4.1 2.7 -7.5 -1.8 -6.0 -0.9 -0.4 -1.0 -1.3 -6.1 -6.2 0.0 -8.2 -2.8 -3.9 -2.5 -0.7 -2.1 0.4 -2.0 -0.8 1.2 2.3 2.8 -4.7 -2.1 -20.0 -20.0 20.0 18.1 US2 7.3 -20.0 -20.0 -1.6 -0.1 -1.6 0.1 -2.3 -0.8 -5.7 -5.7 -1.4 -6.4 -5.1 -6.5 -20.0 -18.9 -20.0 -20.0 -11.6 -11.4 -3.4 -11.4 -6.8 7.0 -2.3 -1.1 -2.2 -0.7 -2.3 -1.4 -20.0 -5.1 -2.7 -13.0 -8.8 -20.0 -17.4 -20.0 -13.2 US20 -1.8 -5.8 -3.3 -1.9 -0.1 -2.0 0.2 -2.8 -0.9 1.7 -2.7 1.9 -4.8 -0.5 -5.0 -1.9 -1.3 -1.6 -1.7 -4.2 -4.5 0.7 -6.5 -1.7 -4.0 -1.8 -0.2 -1.7 0.8 -1.9 -0.3 -0.1 2.3 2.9 -0.3 -0.6 -20.0 -20.0 20.0 19.1 US30 -3.2 -2.5 -2.2 -2.4 -0.2 -2.4 0.2 -3.4 -1.2 1.8 -5.6 0.8 -7.1 -0.9 -7.1 -7.1 -1.6 -3.6 -2.4 -4.7 -5.7 0.3 -9.7 -2.2 -3.9 -2.6 -0.1 -2.4 0.8 -2.9 -0.8 -0.5 0.1 1.6 1.4 -0.3 -20.0 -20.0 20.0 20.0 US5 4.9 -14.6 -7.8 -1.6 -0.1 -1.7 0.1 -2.4 -0.8 -1.6 -3.8 1.9 -5.7 -2.3 -4.8 -13.6 -8.3 -12.8 -11.3 -6.1 -6.0 -0.9 -6.7 -3.0 2.9 -1.9 -1.0 -1.7 -0.2 -1.7 -0.8 -14.2 -0.1 0.9 -6.9 -3.1 -20.0 -20.0 6.8 -13.9 VIX 2.0 -20.0 -20.0 -7.4 -2.0 -7.7 -2.8 -7.0 -5.2 -18.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.7 -20.0 -20.0 NaN -8.7 -2.1 -9.1 -2.8 -8.3 -5.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 1.3 20.0 16.0 0.7 3.9 -0.9 3.5 -1.4 2.4 5.9 -3.4 3.3 -7.1 1.9 0.5 -8.8 -8.8 -9.9 -9.9 1.5 -1.7 9.0 -3.7 4.6 -3.8 0.7 5.1 -0.6 3.3 -1.2 1.7 -20.0 12.5 -11.4 7.5 -0.0 -18.2 -17.9 -9.3 -8.3 End of report for caleb_strategy_v3