******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230725_204323 produced at 2023-07-25 21:38:32.670109 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.49 0.0 0.96 -0.96 -0.10 -0.48 -5.18 10.0 -1 -5 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -4.37 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -4.60 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.20 0.0 0.11 -0.11 -0.11 -0.11 -31.69 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.29 -0.15 0.0 0.54 -0.54 -0.29 -0.25 -4.57 17.0 -9 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.13 0.0 0.39 -0.39 -0.10 -0.11 -19.25 56.0 -15 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.72 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.09 0.0 0.95 -0.95 -0.15 -0.15 -2.47 25.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.08 0.0 0.67 -0.67 -0.15 -0.10 -1.49 13.0 -3 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.07 0.0 0.35 -0.35 0.00 -0.04 -1.55 8.0 0 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.06 -0.06 -0.05 -0.05 -25.55 26.0 -20 -20 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.06 0.0 0.87 -0.87 -0.05 -0.05 -1.31 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.67 -0.67 0.00 0.00 -1.27 17.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -35.07 59.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.63 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.36 5.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 -0.03 0.0 0.69 -0.69 0.05 -0.05 -0.51 14.0 1 -1 caleb_strategy_v3 US10U False False 0.04 -0.25 -0.02 0.0 0.54 -0.54 -0.25 -0.25 -0.38 13.0 -6 -6 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.02 0.0 0.21 -0.21 -0.03 0.00 -0.56 6.0 -1 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.02 0.0 0.78 -0.78 -0.03 -0.11 -0.57 29.0 -1 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.64 2.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.24 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 -0.24 6.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.57 19.0 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 -2.27 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 -0.50 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 -0.44 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 SILVER-mini False False 0.02 0.00 0.00 0.0 0.00 -0.00 0.00 0.00 0.14 0.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.22 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 0.05 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.07 -0.00 0.0 0.17 -0.17 -0.07 -0.07 -0.13 10.0 -4 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 -0.00 0.0 0.26 -0.26 0.01 -0.02 -0.36 23.0 1 -2 caleb_strategy_v3 SMI False False 0.05 0.00 0.00 0.0 0.41 -0.41 0.00 0.23 0.05 9.0 0 5 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.21 -0.21 0.03 0.03 1.50 23.0 3 3 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.62 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 0.76 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 0.61 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.46 -0.46 0.02 0.02 0.29 21.0 1 1 caleb_strategy_v3 DAX False False 0.01 -0.06 0.01 0.0 0.37 -0.37 -0.06 -0.02 1.05 58.0 -10 -3 caleb_strategy_v3 COCOA False False 0.01 0.02 0.01 0.0 0.32 -0.32 0.02 0.01 0.97 26.0 2 1 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.02 0.0 0.39 -0.39 0.01 0.00 2.85 48.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.02 0.0 0.18 -0.18 0.02 0.01 1.59 18.0 2 1 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.02 0.0 0.18 -0.18 0.05 0.05 0.69 7.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.01 0.02 0.0 0.24 -0.24 0.01 0.00 4.37 68.0 3 1 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.53 -0.53 0.05 0.00 0.46 10.0 1 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.42 -0.42 0.00 0.00 4.09 66.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.24 0.03 0.0 0.35 -0.35 0.24 0.19 1.74 20.0 14 11 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.18 12.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.19 0.03 0.0 0.19 -0.19 0.19 0.19 0.29 2.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.05 0.0 0.23 -0.23 0.00 0.00 11.56 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.14 0.05 0.0 0.63 -0.63 0.14 0.14 1.59 22.0 5 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.86 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.06 1.92 4.0 1 2 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 4.39 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.06 0.0 0.16 -0.16 0.02 0.04 5.38 13.0 2 3 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.06 0.0 0.12 -0.12 0.00 0.00 1.43 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.08 0.0 0.14 -0.14 0.06 0.08 2.72 5.0 2 3 caleb_strategy_v3 BTP False False 0.05 0.18 0.08 0.0 0.46 -0.46 0.18 0.18 1.73 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.50 -0.50 0.00 0.00 1.77 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.82 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.13 0.13 0.0 0.43 -0.43 0.13 0.10 5.16 17.0 5 4 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.38 0.0 0.29 -0.29 0.29 0.29 46.14 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.61 0.84 0.0 0.62 -0.62 0.61 0.61 80.99 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.60 1.67 0.0 0.60 -0.60 0.60 0.60 44.98 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.5 Shocked risk 66.0 Sum abs risk 57.6 Leverage 6.09 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 0.6798 0.7084 11.3345 BITCOIN 767.2072 29545.0000 2.5967 41.5479 BOBL 0.3046 115.9500 0.2627 4.2026 BTP 0.7200 116.2700 0.6192 9.9073 BUND 0.6200 133.5200 0.4643 7.4293 BUXL 1.3457 136.9800 0.9824 15.7179 CAC 60.6978 7402.0000 0.8200 13.1203 CAD 0.0032 0.7595 0.4202 6.7226 CANOLA 8.8554 824.4000 1.0742 17.1865 CHF 0.0060 1.1630 0.5117 8.1877 COCOA 39.8676 3470.0000 1.1489 18.3827 COFFEE 2.7781 161.8500 1.7164 27.4630 COPPER 0.0438 3.9225 1.1163 17.8613 CORN 12.8408 565.7500 2.2697 36.3151 COTTON2 1.3392 88.6800 1.5101 24.1623 CRUDE_W 1.0835 78.2200 1.3852 22.1631 DAX 118.4551 16311.0000 0.7262 11.6197 DOW 187.7395 35624.0000 0.5270 8.4320 EUR 0.0055 1.1074 0.4962 7.9398 EURIBOR-ICE 0.0666 97.0900 0.0686 1.0971 EUROSTX 38.5223 4401.0000 0.8753 14.0049 FEEDCOW 1.6647 249.4000 0.6675 10.6794 GASOIL 11.7437 800.0000 1.4680 23.4874 GASOLINE 0.0388 2.5394 1.5271 24.4332 GAS_US_mini 0.0874 2.7300 3.1998 51.1976 GBP 0.0072 1.2896 0.5558 8.8924 GOLD_micro 11.5406 1965.4000 0.5872 9.3950 HEATOIL 0.0346 2.7609 1.2530 20.0478 JGB-SGX-mini 0.2543 148.1000 0.1717 2.7475 JPY 0.0000 0.0072 0.6592 10.5464 LEANHOG 1.2578 84.4000 1.4903 23.8442 LIVECOW 1.1449 179.4750 0.6379 10.2063 LUMBER-new 11.7092 529.5000 2.2114 35.3819 MILK 0.3320 17.9300 1.8517 29.6269 MXP 0.0004 0.0585 0.6514 10.4229 NASDAQ_micro 124.7661 15708.0000 0.7943 12.7085 NIKKEI 305.0493 32620.0000 0.9352 14.9626 NZD 0.0048 0.6228 0.7763 12.4202 OAT 0.6389 128.1100 0.4987 7.9796 OATIES 7.8468 462.0000 1.6984 27.1750 OJ 4.0351 311.8000 1.2941 20.7059 PALLAD 22.3708 1284.0000 1.7423 27.8764 PLAT 13.5189 977.4000 1.3831 22.1303 REDWHEAT 17.1393 921.2500 1.8604 29.7671 RICE 0.1691 16.0950 1.0503 16.8054 ROBUSTA 40.4317 2621.0000 1.5426 24.6817 RUSSELL 17.9967 1982.0000 0.9080 14.5281 SHATZ 0.0985 105.0050 0.0938 1.5008 SILVER-mini 0.3424 25.1750 1.3603 21.7643 SMI 77.5154 11250.0000 0.6890 11.0244 SOFR 0.0810 96.5450 0.0839 1.3424 SOYBEAN 18.9127 1419.0000 1.3328 21.3251 SOYMEAL 6.5915 416.6000 1.5822 25.3154 SOYOIL 1.0617 64.1000 1.6563 26.5014 SP400 20.0773 2733.5000 0.7345 11.7518 SP500_micro 23.4195 4602.2500 0.5089 8.1419 SUGAR11 0.3496 24.7100 1.4149 22.6391 US10 0.4597 111.6719 0.4117 6.5870 US10U 0.5991 117.5156 0.5098 8.1574 US2 0.1234 101.5430 0.1216 1.9450 US20 0.8061 125.6250 0.6417 10.2669 US30 1.1730 133.8750 0.8762 14.0187 US5 0.3134 106.8594 0.2933 4.6932 VIX 0.4384 17.5500 2.4980 39.9687 WHEAT 18.8884 782.0000 2.4154 38.6463 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 679.80 0.71 481.57 1.00 481.57 46875.0 97.34 -1.81 -17.58 BITCOIN 29.54 2.60 76.72 1.00 76.72 46875.0 610.98 -4.77 -291.62 BOBL 1159.50 0.26 304.56 1.11 338.99 46875.0 138.28 -10.19 -140.93 BTP 1162.70 0.62 719.95 1.11 801.34 46875.0 58.50 9.46 55.32 BUND 1335.20 0.46 619.97 1.11 690.06 46875.0 67.93 7.23 49.14 BUXL 1369.80 0.98 1345.65 1.11 1497.78 46875.0 31.30 1.27 3.98 CAC 740.20 0.82 606.98 1.11 675.60 46875.0 69.38 5.22 36.22 CAD 759.55 0.42 319.13 1.00 319.13 46875.0 146.88 -1.19 -17.55 CANOLA 164.88 1.07 177.11 0.76 134.04 46875.0 349.72 15.78 552.02 CHF 1453.75 0.51 743.93 1.00 743.93 46875.0 63.01 -7.27 -45.84 COCOA 347.00 1.15 398.68 1.00 398.68 46875.0 117.58 4.45 52.33 COFFEE 606.94 1.72 1041.77 1.00 1041.77 46875.0 45.00 -9.63 -43.35 COPPER 980.62 1.12 1094.70 1.00 1094.70 46875.0 42.82 -1.08 -4.62 CORN 282.88 2.27 642.04 1.00 642.04 46875.0 73.01 1.43 10.44 COTTON2 443.40 1.51 669.60 1.00 669.60 46875.0 70.00 4.77 33.39 CRUDE_W 782.20 1.39 1083.50 1.00 1083.50 46875.0 43.26 5.13 22.18 DAX 163.11 0.73 118.46 1.11 131.85 46875.0 355.53 0.91 32.24 DOW 178.12 0.53 93.87 1.00 93.87 46875.0 499.36 3.67 183.23 EUR 1384.19 0.50 686.89 1.00 686.89 46875.0 68.24 -2.30 -15.68 EURIBOR-ICE 2427.25 0.07 166.44 1.11 185.25 46875.0 253.03 -6.56 -166.04 EUROSTX 440.10 0.88 385.22 1.11 428.77 46875.0 109.32 4.89 53.41 FEEDCOW 1247.00 0.67 832.33 1.00 832.33 46875.0 56.32 -8.10 -45.61 GASOIL 800.00 1.47 1174.37 1.00 1174.37 46875.0 39.92 9.82 39.18 GASOLINE 1066.55 1.53 1628.70 1.00 1628.70 46875.0 28.78 20.00 57.56 GAS_US_mini 68.25 3.20 218.39 1.00 218.39 46875.0 214.64 -9.72 -208.62 GBP 806.00 0.56 447.96 1.00 447.96 46875.0 104.64 4.67 48.86 GOLD_micro 196.54 0.59 115.41 1.00 115.41 46875.0 406.18 -12.51 -508.22 HEATOIL 1159.58 1.25 1452.94 1.00 1452.94 46875.0 32.26 9.04 29.15 JGB-SGX-mini 148100.00 0.17 25431.76 0.01 179.74 46875.0 260.79 13.20 344.18 JPY 894.06 0.66 589.32 1.00 589.32 46875.0 79.54 -17.67 -140.53 LEANHOG 337.60 1.49 503.11 1.00 503.11 46875.0 93.17 9.23 86.01 LIVECOW 717.90 0.64 457.94 1.00 457.94 46875.0 102.36 14.79 151.35 LUMBER-new 145.61 2.21 322.00 1.00 322.00 46875.0 145.57 -8.60 -125.14 MILK 358.60 1.85 664.01 1.00 664.01 46875.0 70.59 -18.12 -127.95 MXP 292.30 0.65 190.41 1.00 190.41 46875.0 246.18 20.00 492.35 NASDAQ_micro 314.16 0.79 249.53 1.00 249.53 46875.0 187.85 -0.87 -16.29 NIKKEI 32620.00 0.94 30504.93 0.01 215.60 46875.0 217.42 16.24 353.10 NZD 622.80 0.78 483.46 1.00 483.46 46875.0 96.96 0.92 8.96 OAT 1281.10 0.50 638.92 1.11 711.14 46875.0 65.91 8.62 56.84 OATIES 231.00 1.70 392.34 1.00 392.34 46875.0 119.48 -2.56 -30.54 OJ 467.70 1.29 605.26 1.00 605.26 46875.0 77.45 20.00 154.89 PALLAD 1284.00 1.74 2237.08 1.00 2237.08 46875.0 20.95 -7.91 -16.58 PLAT 488.70 1.38 675.94 1.00 675.94 46875.0 69.35 -0.51 -3.55 REDWHEAT 460.62 1.86 856.97 1.00 856.97 46875.0 54.70 0.85 4.67 RICE 321.90 1.05 338.10 1.00 338.10 46875.0 138.64 15.12 209.58 ROBUSTA 262.10 1.54 404.32 1.00 404.32 46875.0 115.94 12.87 149.18 RUSSELL 99.10 0.91 89.98 1.00 89.98 46875.0 520.93 2.63 137.25 SHATZ 1050.05 0.09 98.49 1.11 109.63 46875.0 427.59 -6.86 -293.11 SILVER-mini 629.38 1.36 856.12 1.00 856.12 46875.0 54.75 0.69 3.80 SMI 1125.00 0.69 775.15 1.15 895.03 46875.0 52.37 0.28 1.47 SOFR 2413.62 0.08 202.50 1.00 202.50 46875.0 231.48 -3.25 -75.34 SOYBEAN 709.50 1.33 945.63 1.00 945.63 46875.0 49.57 17.30 85.75 SOYMEAL 416.60 1.58 659.15 1.00 659.15 46875.0 71.11 13.34 94.89 SOYOIL 384.60 1.66 637.03 1.00 637.03 46875.0 73.58 10.37 76.33 SP400 2733.50 0.73 2007.73 1.00 2007.73 46875.0 23.35 3.85 8.99 SP500_micro 230.11 0.51 117.10 1.00 117.10 46875.0 400.31 3.19 127.81 SUGAR11 276.75 1.41 391.59 1.00 391.59 46875.0 119.70 7.24 86.62 US10 1116.72 0.41 459.74 1.00 459.74 46875.0 101.96 -10.32 -105.19 US10U 1175.16 0.51 599.14 1.00 599.14 46875.0 78.24 -3.99 -31.21 US2 2030.86 0.12 246.88 1.00 246.88 46875.0 189.87 -20.00 -379.75 US20 1256.25 0.64 806.11 1.00 806.11 46875.0 58.15 -3.38 -19.63 US30 1338.75 0.88 1172.97 1.00 1172.97 46875.0 39.96 -5.03 -20.10 US5 1068.59 0.29 313.45 1.00 313.45 46875.0 149.55 -13.62 -203.71 VIX 175.50 2.50 438.41 1.00 438.41 46875.0 106.92 -20.00 -213.84 WHEAT 391.00 2.42 944.42 1.00 944.42 46875.0 49.63 -8.76 -43.47 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -17.582 0.013 2.5 -0.571 BITCOIN -291.620 0.048 2.5 -35.069 BOBL -140.927 0.004 2.5 -1.307 BTP 55.319 0.012 2.5 1.726 BUND 49.141 0.004 2.5 0.456 BUXL 3.984 0.004 2.5 0.037 CAC 36.223 0.013 2.5 1.183 CAD -17.550 0.013 2.5 -0.570 CANOLA 552.020 0.008 2.5 11.564 CHF -45.838 0.013 2.5 -1.490 COCOA 52.335 0.007 2.5 0.965 COFFEE -43.349 0.004 2.5 -0.436 COPPER -4.620 0.048 2.5 -0.556 CORN 10.439 0.008 2.5 0.219 COTTON2 33.391 0.007 2.5 0.616 CRUDE_W 22.177 0.049 2.5 2.716 DAX 32.238 0.013 2.5 1.053 DOW 183.226 0.009 2.5 4.092 EUR -15.677 0.013 2.5 -0.510 EURIBOR-ICE -166.040 0.012 2.5 -5.179 EUROSTX 53.410 0.013 2.5 1.745 FEEDCOW -45.609 0.014 2.5 -1.555 GASOIL 39.182 0.020 2.5 1.921 GASOLINE 57.561 0.020 2.5 2.822 GAS_US_mini -208.616 0.049 2.5 -25.550 GBP 48.861 0.013 2.5 1.588 GOLD_micro -508.223 0.015 2.5 -19.251 HEATOIL 29.150 0.020 2.5 1.429 JGB-SGX-mini 344.182 0.052 2.5 44.976 JPY -140.528 0.013 2.5 -4.568 LEANHOG 86.006 0.025 2.5 5.376 LIVECOW 151.351 0.014 2.5 5.159 LUMBER-new -125.141 0.007 2.5 -2.267 MILK -127.946 0.007 2.5 -2.360 MXP 492.351 0.066 2.5 80.994 NASDAQ_micro -16.294 0.009 2.5 -0.364 NIKKEI 353.102 0.052 2.5 46.142 NZD 8.962 0.013 2.5 0.291 OAT 56.841 0.012 2.5 1.773 OATIES -30.543 0.008 2.5 -0.640 OJ 154.892 0.007 2.5 2.857 PALLAD -16.579 0.015 2.5 -0.628 PLAT -3.551 0.015 2.5 -0.135 REDWHEAT 4.674 0.005 2.5 0.053 RICE 209.577 0.008 2.5 4.390 ROBUSTA 149.181 0.004 2.5 1.501 RUSSELL 137.248 0.013 2.5 4.370 SHATZ -293.112 0.004 2.5 -2.718 SILVER-mini 3.805 0.015 2.5 0.144 SMI 1.472 0.013 2.5 0.048 SOFR -75.340 0.023 2.5 -4.374 SOYBEAN 85.747 0.003 2.5 0.687 SOYMEAL 94.890 0.003 2.5 0.760 SOYOIL 76.327 0.003 2.5 0.612 SP400 8.990 0.013 2.5 0.286 SP500_micro 127.814 0.009 2.5 2.854 SUGAR11 86.622 0.007 2.5 1.587 US10 -105.194 0.005 2.5 -1.273 US10U -31.210 0.005 2.5 -0.378 US2 -379.746 0.005 2.5 -4.596 US20 -19.634 0.005 2.5 -0.238 US30 -20.103 0.005 2.5 -0.243 US5 -203.710 0.005 2.5 -2.466 VIX -213.843 0.059 2.5 -31.686 WHEAT -43.466 0.005 2.5 -0.496 ===================== Position diags ===================== AUD 3.16 BITCOIN 73.47 BOBL 1.28 BTP 1.82 BUND 0.63 BUXL 0.29 CAC 2.27 CAD 4.77 CANOLA 7.33 CHF 2.05 COCOA 2.17 COFFEE 0.45 COPPER 5.15 CORN 1.53 COTTON2 1.29 CRUDE_W 5.30 DAX 11.61 DOW 11.15 EUR 2.22 EURIBOR-ICE 7.89 EUROSTX 3.57 FEEDCOW 1.92 GASOIL 1.96 GASOLINE 1.41 GAS_US_mini 26.29 GBP 3.40 GOLD_micro 15.39 HEATOIL 1.58 JGB-SGX-mini 34.08 JPY 2.59 LEANHOG 5.82 LIVECOW 3.49 LUMBER-new 2.64 MILK 1.30 MXP 40.50 NASDAQ_micro 4.19 NIKKEI 28.41 NZD 3.15 OAT 2.06 OATIES 2.50 OJ 1.43 PALLAD 0.79 PLAT 2.63 REDWHEAT 0.62 RICE 2.90 ROBUSTA 1.17 RUSSELL 16.59 SHATZ 3.97 SILVER-mini 2.07 SMI 1.71 SOFR 13.44 SOYBEAN 0.40 SOYMEAL 0.57 SOYOIL 0.59 SP400 0.74 SP500_micro 8.94 SUGAR11 2.19 US10 1.23 US10U 0.95 US2 2.30 US20 0.70 US30 0.48 US5 1.81 VIX 15.84 WHEAT 0.57 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.6 -0.9 -0.3 NaN 0 BITCOIN -35.1 -42.4 -27.7 0.0 0 BOBL -1.3 -1.4 -1.2 -1.0 -1 BTP 1.7 1.5 1.9 4.0 4 BUND 0.5 0.4 0.5 1.0 1 BUXL 0.0 0.0 0.1 NaN 0 CAC 1.2 1.0 1.4 NaN 0 CAD -0.6 -1.0 -0.1 -1.0 -1 CANOLA 11.6 10.8 12.3 NaN 0 CHF -1.5 -1.7 -1.3 -3.0 -3 COCOA 1.0 0.7 1.2 2.0 2 COFFEE -0.4 -0.5 -0.4 NaN 0 COPPER -0.6 -1.1 -0.0 -1.0 -1 CORN 0.2 0.1 0.4 0.0 0 COTTON2 0.6 0.5 0.7 1.0 1 CRUDE_W 2.7 2.2 3.2 2.0 2 DAX 1.1 -0.1 2.2 -10.0 -10 DOW 4.1 3.0 5.2 NaN 0 EUR -0.5 -0.7 -0.3 1.0 1 EURIBOR-ICE -5.2 -6.0 -4.4 -1.0 -1 EUROSTX 1.7 1.4 2.1 14.0 14 FEEDCOW -1.6 -1.7 -1.4 NaN 0 GASOIL 1.9 1.7 2.1 1.0 1 GASOLINE 2.8 2.7 3.0 4.0 4 GAS_US_mini -25.5 -28.2 -22.9 -20.0 -20 GBP 1.6 1.2 1.9 5.0 5 GOLD_micro -19.3 -20.8 -17.7 -15.0 -15 HEATOIL 1.4 1.3 1.6 0.0 0 JGB-SGX-mini 45.0 41.6 48.4 16.0 16 JPY -4.6 -4.8 -4.3 -9.0 -9 LEANHOG 5.4 4.8 6.0 2.0 2 LIVECOW 5.2 4.8 5.5 5.0 5 LUMBER-new -2.3 -2.5 -2.0 NaN 0 MILK -2.4 -2.5 -2.2 NaN 0 MXP 81.0 76.9 85.0 59.0 59 NASDAQ_micro -0.4 -0.8 0.1 1.0 1 NIKKEI 46.1 43.3 49.0 35.0 35 NZD 0.3 -0.0 0.6 1.0 1 OAT 1.8 1.6 2.0 NaN 0 OATIES -0.6 -0.9 -0.4 NaN 0 OJ 2.9 2.7 3.0 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT -0.1 -0.4 0.1 -4.0 -4 REDWHEAT 0.1 -0.0 0.1 NaN 0 RICE 4.4 4.1 4.7 NaN 0 ROBUSTA 1.5 1.4 1.6 3.0 3 RUSSELL 4.4 2.7 6.0 3.0 3 SHATZ -2.7 -3.1 -2.3 NaN 0 SILVER-mini 0.1 -0.1 0.4 NaN 0 SMI 0.0 -0.1 0.2 0.0 0 SOFR -4.4 -5.7 -3.0 NaN 0 SOYBEAN 0.7 0.6 0.7 2.0 2 SOYMEAL 0.8 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 2.9 2.0 3.7 1.0 1 SUGAR11 1.6 1.4 1.8 2.0 2 US10 -1.3 -1.4 -1.1 NaN 0 US10U -0.4 -0.5 -0.3 -6.0 -6 US2 -4.6 -4.8 -4.4 NaN 0 US20 -0.2 -0.3 -0.2 NaN 0 US30 -0.2 -0.3 -0.2 NaN 0 US5 -2.5 -2.6 -2.3 -4.0 -4 VIX -31.7 -33.3 -30.1 -17.0 -17 WHEAT -0.5 -0.6 -0.4 -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 0.2 0.2 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 -0.0 -0.3 -0.2 -0.3 -0.0 -0.3 0.1 0.1 BITCOIN -0.1 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 -0.5 -0.1 -0.3 -0.0 0.3 -0.0 0.3 BOBL 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -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 -1.3 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 0.1 -0.0 0.0 0.0 0.2 0.5 0.3 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 2.6 0.4 0.0 0.4 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.0 -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 0.0 -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 0.2 0.0 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.0 -0.2 -0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 0.5 0.1 0.1 -0.4 0.1 -0.2 -0.0 0.0 0.1 0.1 0.4 0.1 -0.2 0.0 0.0 0.1 0.0 0.2 0.0 1.4 -0.3 -0.3 -0.2 -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 0.1 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 -0.3 -0.5 -0.2 -0.0 -0.2 -0.3 -0.3 -0.2 CANOLA 0.5 0.5 0.4 0.0 0.1 -0.0 0.0 -0.1 0.0 0.0 0.0 0.1 -0.2 0.1 0.1 0.3 1.0 0.8 0.9 0.2 0.1 0.2 -0.1 0.2 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 2.5 0.3 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 0.1 0.2 0.2 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -2.9 0.4 0.3 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 -0.0 -0.0 -0.0 0.2 0.2 0.2 0.4 0.2 -0.5 0.1 0.1 0.2 0.0 0.2 0.1 -2.0 0.0 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.1 -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 -0.9 -0.4 -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 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 0.4 0.2 0.0 0.1 -0.5 0.0 -0.3 0.1 -0.2 CORN -0.0 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 -0.2 0.3 -0.3 0.2 -0.0 -0.0 0.2 0.0 0.3 COTTON2 0.3 0.2 0.3 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.5 0.4 0.4 0.3 0.1 0.0 0.2 -0.1 0.1 -1.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.4 0.3 0.4 -0.0 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.3 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.2 -0.3 0.2 0.0 0.4 0.5 0.3 0.4 0.1 0.0 0.2 -0.0 0.2 -0.3 0.0 0.1 0.1 0.1 0.0 0.1 -1.4 -0.4 -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 0.5 0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 0.1 0.3 0.1 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 0.2 0.1 -0.6 -0.4 -0.6 -0.5 0.2 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 0.5 0.5 0.1 -0.1 -0.0 -0.3 -0.0 EUR 0.3 0.3 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.0 0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 0.1 0.1 0.7 0.0 -0.1 0.1 0.0 0.0 0.0 -1.2 -0.2 -0.1 -0.1 -0.2 -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 -0.6 -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 -0.0 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.4 0.1 0.5 0.1 0.1 -0.3 0.0 -0.3 -0.1 0.1 0.1 0.1 0.4 0.0 0.3 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.4 -0.4 -0.3 -0.2 0.3 0.0 0.3 0.1 FEEDCOW 0.1 -0.1 0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.4 0.0 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 0.3 0.0 -3.2 -0.7 0.5 0.4 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 0.2 -0.2 0.2 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 -0.1 0.1 0.3 0.1 -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 0.1 0.1 0.1 0.1 0.1 3.2 0.4 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 0.1 0.2 -0.3 0.0 -0.5 0.1 0.0 0.1 -0.7 -0.5 -0.7 -0.0 -0.2 0.1 -0.4 0.0 0.9 0.0 0.1 -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 -0.1 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 -0.0 0.1 0.0 0.1 0.0 0.4 -0.6 -0.2 -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 -0.1 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 0.1 0.3 -0.3 -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 0.3 -0.2 0.2 -0.2 0.2 0.1 0.3 1.0 0.3 0.5 0.2 -0.0 0.3 -0.1 0.2 -1.1 0.1 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 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.2 -0.0 0.2 -0.0 0.0 0.7 1.2 0.7 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 -0.0 -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 -0.5 -0.2 -0.5 -0.5 -0.2 -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 0.1 -0.1 0.1 -0.3 0.1 0.1 1.2 0.1 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 0.2 -0.3 -0.0 0.1 -0.5 -0.1 0.0 0.3 0.3 LIVECOW 0.1 0.4 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.4 0.1 0.6 0.2 0.2 -0.6 0.5 0.8 1.1 0.2 0.2 0.0 0.4 0.2 0.4 0.1 -0.1 0.2 0.0 0.2 0.0 2.1 -0.7 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.0 0.5 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.2 -0.1 -0.3 0.0 0.0 -0.4 -0.7 -0.6 -0.7 0.0 -0.0 -0.2 -0.1 -0.0 NaN 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -3.4 -0.7 -0.5 0.0 0.3 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.2 -0.0 0.0 0.0 -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 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.6 -0.1 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.2 0.1 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 0.1 0.4 0.2 -1.1 0.1 -0.0 0.2 0.0 0.3 0.0 3.2 -0.1 -0.2 0.2 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.1 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 -0.1 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 0.2 0.0 0.2 0.0 3.2 -0.7 -0.5 0.3 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 -0.2 -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 0.2 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 0.0 -0.1 0.0 0.1 0.2 0.1 -0.2 0.1 0.1 -0.8 0.0 -0.7 -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 -2.8 0.0 0.1 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.5 0.2 0.1 0.0 0.1 -0.0 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 0.3 0.1 3.2 0.7 0.5 0.3 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 -0.3 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 0.0 -0.3 -0.0 -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 -0.1 -0.3 -0.5 -0.3 -0.2 0.0 0.0 0.0 PLAT 0.5 -0.5 -0.2 0.0 -0.0 0.1 0.0 0.1 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 0.3 0.3 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 -0.1 0.2 0.1 0.2 0.0 0.0 0.2 -0.0 0.1 -0.7 0.0 0.1 0.0 0.1 -0.0 0.0 -0.9 0.7 -0.2 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 0.1 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 0.4 -0.1 -0.3 0.0 -0.2 ROBUSTA -0.4 -0.4 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 0.9 1.2 1.2 0.1 0.1 0.1 0.3 0.0 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 2.6 -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 0.1 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 0.2 -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 -0.3 -0.1 -0.1 0.0 -0.2 -0.0 0.6 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.2 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 0.0 0.1 0.1 0.1 0.1 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 0.1 0.1 0.1 0.4 0.0 0.0 0.0 0.0 0.0 0.0 -0.7 0.6 0.4 0.2 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 0.2 0.1 0.1 0.1 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -0.0 0.0 0.1 0.1 -0.0 0.2 -0.0 0.1 -0.0 0.0 -0.0 -0.0 1.6 -0.2 -0.5 -0.5 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.0 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 -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 0.4 0.5 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 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 0.0 0.2 0.5 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL 0.3 0.5 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.0 0.6 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 0.1 0.3 0.1 -0.1 -0.2 -0.1 -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 0.2 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.5 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 0.0 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 -0.3 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 -1.1 0.1 0.1 0.1 0.0 0.1 0.1 -1.1 0.5 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.2 SUGAR11 0.1 -0.5 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.2 0.1 0.4 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 0.0 0.1 0.0 0.3 0.0 1.7 0.2 -0.2 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 0.1 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.5 -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 -0.1 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 -0.1 -0.0 -0.1 -0.0 -0.1 -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 -0.1 -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 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -3.2 -0.3 -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 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -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 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.1 -0.0 -0.3 -0.3 0.3 0.3 US5 0.2 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.8 -0.7 -0.1 -0.1 -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 0.1 -0.8 -0.8 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -0.6 -0.3 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.3 -0.6 -0.3 NaN -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.1 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 0.1 -0.2 0.0 0.1 -0.0 0.0 -0.0 0.0 -3.2 0.5 -0.2 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 6.5 9.9 2.5 3.5 -0.2 2.5 1.8 1.1 3.6 -4.0 -3.5 2.0 -4.1 4.7 3.6 -2.4 -2.6 -2.6 -2.7 2.5 -0.3 1.9 -3.3 3.7 2.0 1.8 0.6 0.4 1.4 -1.3 2.4 -0.5 -0.1 -12.1 -9.3 -11.1 -1.5 -20.0 6.7 10.9 BITCOIN -3.5 5.7 7.0 5.5 -0.3 4.4 3.9 3.3 6.4 -20.0 19.8 -19.6 -4.4 11.8 14.4 -7.5 -3.3 -5.9 -4.6 10.2 14.0 -9.7 6.7 1.7 -20.0 4.3 -7.7 5.4 -5.2 3.8 0.5 -0.9 -20.0 -20.0 -3.6 -10.1 -3.1 20.0 -1.9 20.0 BOBL 2.5 -7.5 -2.3 -1.7 -0.4 -1.7 -0.0 -2.5 -0.8 3.9 -3.4 4.1 -6.4 -2.2 -3.9 -20.0 -3.6 -18.1 -10.2 -3.4 -4.8 3.4 -8.3 -0.2 9.5 -1.3 1.7 -1.6 1.7 -2.9 0.0 -8.0 6.2 2.7 -0.7 1.1 -20.0 -20.0 -20.0 -14.6 BTP -6.7 2.3 12.5 -2.4 -0.6 -2.5 -0.0 -3.6 -1.2 6.8 7.9 6.2 -1.6 4.5 4.4 4.1 8.6 5.8 7.1 3.1 3.1 5.9 -1.5 3.7 -6.2 1.9 2.8 2.5 3.2 0.3 1.9 16.6 11.6 0.8 14.6 12.6 -20.0 -20.0 -7.0 4.5 BUND -1.6 -1.0 3.3 -1.7 -0.5 -1.8 -0.0 -2.6 -0.9 3.2 -3.4 2.8 -6.7 -0.3 -2.6 5.7 9.2 6.4 7.3 -1.7 -3.4 3.1 -7.8 0.5 5.4 -0.7 1.7 -1.0 1.8 -2.9 0.3 17.1 6.9 1.2 2.9 2.9 -20.0 -20.0 -12.6 -2.4 BUXL -4.8 6.9 1.8 -2.2 -0.6 -2.3 -0.0 -3.2 -1.1 3.3 -7.3 1.7 -9.2 1.2 -2.8 1.3 1.2 1.7 1.8 -0.9 -4.5 2.4 -11.6 0.9 0.1 -0.0 1.3 -1.0 1.7 -3.7 0.7 5.6 5.6 0.2 8.2 4.3 -20.0 -20.0 5.6 10.6 CAC 1.5 -6.1 -8.0 5.4 4.9 5.2 7.1 4.2 6.5 8.6 16.1 15.4 17.8 12.2 9.3 -6.1 1.0 -3.0 -0.7 5.7 10.7 11.2 17.8 8.2 -4.7 3.9 3.6 5.9 5.4 8.4 4.4 9.1 -8.0 -12.9 -9.0 -6.9 17.8 -2.5 20.0 -0.4 CAD -4.3 12.6 14.4 5.6 -0.4 4.0 2.8 1.8 5.7 -2.4 13.8 8.6 -7.2 14.6 15.5 -1.9 -1.9 -2.2 -2.2 12.0 8.8 5.2 -0.7 9.1 -0.4 5.9 1.4 4.8 2.3 0.6 4.2 0.5 -8.1 -20.0 -6.5 -1.0 -16.7 -20.0 -20.0 -17.5 CANOLA 20.0 20.0 14.9 1.3 4.2 -1.1 4.8 -1.9 3.6 3.9 1.8 9.7 -7.3 10.9 9.3 4.5 16.2 12.9 15.9 20.0 6.0 20.0 -4.0 20.0 -20.0 2.9 0.5 0.2 2.6 -1.3 3.9 15.6 7.8 20.0 20.0 9.9 -14.1 15.2 0.6 20.0 CHF 20.0 9.9 4.1 4.0 -0.3 2.9 2.0 1.3 4.1 -2.3 10.7 8.9 10.8 10.6 9.5 -13.2 -12.8 -13.8 -13.5 14.8 10.5 11.9 7.4 18.5 -6.5 4.3 0.3 3.0 3.5 1.8 5.3 -18.5 11.9 13.5 0.3 3.5 -13.2 -20.0 -14.8 -20.0 COCOA 0.3 4.4 13.5 2.4 7.8 -2.1 9.0 -3.5 6.9 17.5 20.0 17.7 19.3 19.1 20.0 -0.3 -0.8 -0.4 -0.3 20.0 20.0 20.0 20.0 20.0 -9.1 8.0 4.2 8.3 4.3 6.7 6.0 -12.9 1.1 20.0 20.0 20.0 -19.9 -20.0 9.9 -8.8 COFFEE -5.6 -20.0 -8.2 2.3 7.3 -1.9 8.4 -3.3 6.4 13.2 -4.1 1.5 -8.3 -16.2 -17.4 1.2 3.7 3.1 3.8 -20.0 -14.2 2.1 -10.1 -13.9 -20.0 -4.1 5.8 -2.0 2.3 -1.2 -2.8 -5.5 -12.5 -20.0 -20.0 9.5 -20.0 -20.0 -8.8 -17.6 COPPER 8.6 7.5 -11.3 3.5 -0.2 2.8 2.5 2.1 4.1 4.1 -4.3 5.0 -4.0 5.7 -2.2 -2.8 -1.4 -2.5 -2.0 -0.6 -3.4 6.8 -3.3 4.0 -4.1 0.6 6.7 -1.8 4.2 -1.8 3.2 2.8 6.6 0.2 4.1 -20.0 0.1 -20.0 4.1 -17.4 CORN -2.0 16.7 1.1 0.8 2.6 -0.7 3.0 -1.2 2.3 5.7 -3.1 3.4 -4.2 -1.7 -2.4 -4.0 8.1 -1.5 3.3 -0.6 -1.8 7.3 -1.7 2.3 -6.7 0.7 2.8 -0.5 2.2 -1.1 1.4 -1.6 8.0 -10.8 7.1 -0.0 -2.5 13.7 0.9 20.0 COTTON2 13.2 6.1 10.2 1.5 5.0 -1.3 5.7 -2.2 4.4 11.1 4.0 12.6 -9.7 11.3 9.4 9.3 6.8 7.4 5.3 6.3 1.4 15.5 -3.6 10.8 -20.0 2.9 9.0 1.0 7.1 0.1 5.0 -2.5 9.3 16.7 -1.6 11.7 -20.0 -17.8 6.3 7.9 CRUDE_W 20.0 11.5 -4.0 4.1 11.8 -0.1 11.6 -0.6 8.6 18.7 -0.3 19.4 -10.9 18.4 4.6 6.1 8.1 5.9 6.5 12.8 1.1 20.0 -1.4 20.0 -6.1 6.0 11.6 2.5 10.5 1.8 8.9 -8.9 -10.6 -2.2 6.6 13.3 10.9 12.0 11.7 4.0 DAX -0.2 -6.7 -0.8 5.1 4.6 4.9 6.7 4.0 6.2 16.7 15.0 17.4 16.5 6.4 8.2 -8.2 -6.5 -8.2 -7.7 4.9 10.9 10.7 15.5 6.7 16.5 1.7 5.0 4.9 5.1 7.0 2.4 -3.6 -2.8 -16.3 -16.5 -7.4 18.8 -1.4 20.0 3.1 DOW 15.3 15.5 7.1 5.2 4.7 4.9 6.8 4.0 6.2 17.3 11.4 18.8 9.7 18.5 17.6 -10.6 -6.7 -9.6 -8.5 19.6 12.2 20.0 6.8 20.0 -9.5 6.4 7.9 4.3 8.8 2.7 8.0 -4.4 20.0 19.1 20.0 5.5 -4.6 -3.6 -20.0 -2.1 EUR 13.4 10.5 2.3 4.3 -0.3 3.1 2.2 1.4 4.4 -11.1 10.7 4.3 7.7 9.6 8.1 -6.2 -6.8 -6.5 -6.6 10.2 7.6 0.9 3.9 11.0 12.6 4.0 -4.7 2.9 0.5 1.4 4.2 -7.4 -7.2 -5.9 -5.1 -6.2 -4.7 -20.0 -1.1 6.1 EURIBOR-ICE 9.3 -7.3 7.5 -1.6 -0.4 -1.7 -0.0 -2.4 -0.8 3.7 -3.9 4.5 -6.4 -0.8 -3.3 -10.8 -7.6 -10.4 -9.5 -3.0 -4.6 4.7 -7.7 0.9 16.2 -1.2 1.7 -1.6 1.8 -2.9 0.3 -12.0 9.6 4.1 -2.0 1.4 -20.0 -20.0 20.0 4.5 EUROSTX -2.1 -4.8 -2.6 5.1 4.6 4.9 6.7 4.0 6.2 3.8 17.6 13.8 18.1 11.8 13.6 -4.9 0.1 -4.2 -2.3 6.3 12.0 6.3 17.3 5.8 4.9 2.8 2.0 6.2 3.0 8.9 2.3 7.1 -11.2 -16.6 -13.5 -6.7 20.0 0.8 20.0 6.2 FEEDCOW 3.0 -4.2 12.6 2.5 8.0 -2.1 9.2 -3.6 7.0 -16.8 19.7 4.7 18.8 15.1 18.1 -20.0 -20.0 -20.0 -20.0 20.0 20.0 0.4 20.0 14.6 6.4 7.7 -2.3 9.8 0.6 9.2 4.4 -20.0 -20.0 20.0 14.8 20.0 0.4 -20.0 12.9 -12.7 GASOIL 20.0 20.0 -6.2 3.5 10.3 -0.1 10.0 -0.5 7.5 16.5 -6.2 18.1 -5.9 18.2 11.1 6.9 14.6 6.4 9.6 16.1 -0.0 20.0 -1.8 20.0 11.7 4.7 9.7 0.3 9.6 -1.0 8.2 0.0 -3.4 2.9 12.7 2.2 -7.6 3.4 -10.5 -4.4 GASOLINE 20.0 15.0 0.5 4.3 12.6 -0.1 12.3 -0.7 9.2 16.6 13.8 20.0 -4.9 20.0 16.0 20.0 20.0 20.0 20.0 20.0 12.3 20.0 10.3 20.0 -20.0 7.4 10.3 4.8 11.0 4.4 9.7 20.0 11.1 13.8 20.0 20.0 10.5 12.5 13.3 -1.5 GAS_US_mini 1.8 20.0 5.1 3.1 9.1 -0.1 8.9 -0.5 6.6 14.1 -15.8 4.5 -16.5 6.2 2.3 1.2 -11.8 -7.8 -12.0 -1.6 -20.0 6.0 -20.0 3.5 17.4 2.6 4.1 -1.2 3.3 -3.6 3.1 -20.0 -20.0 -20.0 -4.8 1.3 3.5 14.5 -0.2 1.5 GBP 6.2 10.1 12.8 4.9 -0.3 3.5 2.5 1.6 5.0 -11.1 15.7 1.6 9.2 9.0 12.3 0.8 -1.0 0.0 -0.6 15.4 14.9 -0.4 8.3 10.8 -0.8 5.6 -2.1 4.8 0.2 1.9 4.1 2.6 -18.5 -10.0 -0.8 4.0 5.7 10.5 11.0 20.0 GOLD_micro 15.0 -11.4 -5.5 4.9 -0.2 4.0 3.5 3.0 5.7 -4.0 3.2 10.8 7.9 3.0 -10.4 -16.3 -11.8 -15.0 -13.6 -4.0 0.6 8.1 8.4 4.7 -12.1 1.9 0.4 2.4 4.5 4.3 5.0 -16.1 3.5 13.0 -13.5 -12.9 -20.0 -20.0 -6.7 -20.0 HEATOIL 20.0 20.0 -6.6 4.3 12.4 -0.1 12.2 -0.6 9.0 20.0 -9.0 20.0 -8.5 20.0 12.7 5.3 16.1 5.0 9.3 20.0 -0.4 20.0 -2.8 20.0 -20.0 6.4 10.6 2.1 10.7 1.4 9.4 1.1 4.3 11.0 20.0 11.9 -3.0 2.1 -7.5 1.0 JGB-SGX-mini -20.0 -9.7 12.3 -1.9 -0.5 -2.0 -0.0 -2.8 -0.9 5.0 7.4 -0.3 6.7 -2.5 2.4 11.2 20.0 12.7 16.7 1.8 5.8 2.7 5.8 -0.7 1.0 0.3 2.7 1.8 1.0 1.2 -0.7 20.0 -0.8 -6.8 5.2 10.8 -20.0 -6.7 4.3 7.4 JPY 20.0 -2.9 -14.8 3.0 -0.2 2.2 1.5 1.0 3.1 -6.5 -7.9 0.9 -8.1 0.7 -7.5 -16.1 -13.2 -16.0 -14.9 -7.2 -10.7 -2.3 -11.6 -1.2 20.0 -1.9 -2.2 -2.8 -0.6 -3.2 -0.1 -20.0 -13.8 -6.4 -20.0 -20.0 -18.9 -20.0 -20.0 -20.0 LEANHOG 15.1 20.0 -1.6 2.0 6.4 -1.7 7.4 -2.9 5.7 7.3 -6.5 12.0 -10.5 16.0 10.6 20.0 1.8 20.0 20.0 7.0 -9.0 11.0 -17.4 13.6 15.0 -1.8 3.8 -8.5 3.9 -10.7 2.9 1.6 -9.3 -1.5 3.9 -20.0 -3.8 3.1 19.4 20.0 LIVECOW 3.2 15.9 17.3 2.8 9.0 -2.4 10.4 -4.1 7.9 -18.1 20.0 7.4 20.0 18.4 20.0 -10.4 9.2 13.6 18.9 20.0 20.0 2.7 20.0 20.0 8.2 8.7 -4.1 8.4 0.9 6.6 5.9 13.4 -20.0 20.0 20.0 20.0 -20.0 -20.0 -16.5 -19.9 LUMBER-new -0.0 17.2 4.5 2.3 7.3 -1.6 8.4 -2.5 6.4 -17.6 -10.7 -14.3 -15.8 3.3 4.4 -5.8 -11.7 -9.5 -11.1 3.7 -0.3 -17.9 -4.2 -2.3 NaN 2.2 -14.8 0.9 -8.6 -0.6 -1.0 -20.0 -20.0 -20.0 0.5 9.8 -20.0 -20.0 -20.0 -20.0 MILK 20.0 8.7 -1.7 1.1 3.6 -1.0 4.2 -1.6 3.2 6.5 -8.8 5.9 -9.8 -0.0 -6.7 -20.0 -20.0 -20.0 -20.0 -8.1 -12.5 15.0 -12.1 2.9 -4.5 -2.5 4.0 -3.5 3.1 -3.1 0.2 -20.0 18.1 -2.3 -20.0 -20.0 -20.0 -20.0 -14.1 -20.0 MXP -7.1 4.7 12.7 6.1 -0.4 4.4 3.1 2.0 6.3 -5.5 20.0 11.0 20.0 19.1 20.0 19.0 17.9 18.8 18.2 20.0 20.0 8.6 20.0 20.0 -20.0 8.4 -1.0 9.7 2.3 9.8 5.9 20.0 -2.7 -7.7 7.7 20.0 20.0 5.6 20.0 20.0 NASDAQ_micro -2.2 15.7 20.0 3.9 3.5 3.7 5.1 3.0 4.7 0.0 14.6 6.2 7.7 11.0 13.8 -10.9 -7.4 -10.3 -9.1 20.0 20.0 8.1 19.3 18.2 -20.0 5.4 0.1 5.9 1.3 4.4 3.4 -5.5 -2.3 4.0 20.0 20.0 -7.1 -9.6 -15.0 -12.0 NIKKEI -20.0 4.4 20.0 4.9 4.4 4.7 6.4 3.8 5.9 5.0 15.9 -4.3 15.6 5.1 13.5 15.7 11.8 13.8 12.6 18.4 20.0 0.3 20.0 4.2 -4.9 5.1 0.5 7.3 0.1 5.8 1.3 20.0 -20.0 -20.0 11.5 20.0 4.3 3.0 -0.4 9.2 NZD 10.2 7.6 1.3 2.9 -0.2 2.1 1.5 0.9 3.0 -5.0 -1.2 -0.1 0.1 2.3 1.3 0.3 0.5 0.5 0.5 2.0 0.2 -1.2 -1.6 2.4 0.2 1.4 -1.6 0.5 -0.3 -0.5 1.7 5.0 -6.8 -9.1 -11.9 -10.6 1.3 -12.6 8.9 7.3 OAT -3.2 0.6 6.4 -1.9 -0.5 -2.0 -0.0 -2.9 -0.9 3.5 -3.8 2.7 -7.1 0.8 -1.6 5.6 9.3 7.2 8.3 -1.3 -2.8 3.2 -7.2 0.6 7.4 -0.6 2.0 -0.8 1.9 -3.0 0.3 18.3 7.3 0.3 4.4 4.5 -20.0 -20.0 -2.8 1.4 OATIES 3.2 20.0 20.0 1.5 4.9 -1.3 5.7 -2.2 4.3 9.0 8.9 11.0 -7.7 12.4 12.2 -14.1 0.2 -11.0 -6.9 20.0 13.2 20.0 3.4 20.0 -20.0 4.0 3.0 2.4 3.3 0.5 3.8 -17.9 0.9 3.6 20.0 20.0 4.7 20.0 16.1 20.0 OJ 20.0 7.7 2.9 2.5 8.2 -2.2 9.4 -3.7 7.2 19.7 19.9 20.0 20.0 20.0 19.1 20.0 18.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 16.2 8.9 13.5 11.7 9.3 20.0 20.0 20.0 12.8 20.0 16.6 5.9 20.0 16.7 PALLAD 8.5 -13.0 -14.0 2.7 -0.1 2.2 1.9 1.6 3.1 -2.6 -11.4 2.6 -11.7 -5.9 -9.7 -3.3 -2.6 -3.2 -3.0 -13.1 -18.6 0.4 -20.0 -5.2 -5.1 -3.2 -0.1 -3.8 0.0 -3.9 -1.5 0.9 -2.7 -12.7 -20.0 -11.5 -16.0 0.1 1.2 2.2 PLAT 19.3 -18.5 -9.7 3.1 -0.1 2.5 2.2 1.9 3.6 1.4 -6.5 7.6 0.6 -1.7 -7.8 -2.9 -1.8 -2.6 -2.3 -6.9 -6.3 5.9 -1.6 1.1 13.2 -0.9 1.2 -1.0 2.6 -0.1 1.6 2.2 6.2 4.1 -18.9 -6.5 0.9 -14.9 8.6 -10.1 REDWHEAT 10.9 10.6 6.8 1.5 4.9 -1.3 5.7 -2.2 4.3 11.2 2.6 10.1 -9.9 7.8 6.8 -1.5 3.6 1.5 3.4 5.8 1.0 20.0 -1.9 12.2 -13.0 2.0 11.2 0.4 8.2 -0.1 4.3 -5.6 20.0 -6.5 2.2 5.8 -20.0 -17.1 -4.9 -6.9 RICE 9.2 11.8 1.7 1.9 6.2 -1.6 7.1 -2.8 5.4 12.1 -3.1 13.0 -2.7 11.7 9.8 2.6 20.0 20.0 20.0 6.8 0.1 20.0 -1.6 15.5 -20.0 2.9 8.9 0.4 9.2 -0.6 5.8 20.0 20.0 -6.1 9.7 15.3 -8.8 -20.0 1.3 -19.0 ROBUSTA -14.9 -15.4 9.1 1.6 5.0 -1.3 5.8 -2.3 4.4 7.8 10.5 2.1 10.3 -4.2 6.6 20.0 14.6 20.0 19.5 6.2 14.1 5.3 15.0 1.3 -9.6 2.7 3.3 5.8 1.9 6.0 0.6 16.4 -8.3 -20.0 -1.8 20.0 -8.1 -20.0 4.5 -13.7 RUSSELL 15.1 19.8 11.8 4.4 3.9 4.2 5.7 3.4 5.3 6.0 2.4 12.6 -3.6 14.5 13.3 -7.0 -4.9 -6.4 -5.8 17.8 9.3 16.0 -0.1 20.0 -1.3 5.2 1.7 3.2 3.9 1.2 5.6 -0.6 -4.4 16.3 20.0 0.8 -4.4 -6.7 -20.0 -9.1 SHATZ 7.2 -15.3 -14.9 -1.7 -0.4 -1.7 -0.0 -2.5 -0.8 4.8 -5.6 4.7 -6.9 -4.2 -5.8 -13.9 -0.3 -7.1 -4.2 -7.1 -9.0 3.1 -11.9 -2.1 11.2 -1.9 1.3 -2.3 1.1 -3.3 -0.5 -0.8 4.6 3.6 -6.7 -3.4 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -2.7 -4.2 3.9 -0.2 3.2 2.8 2.4 4.5 1.3 4.5 10.2 5.3 10.5 0.3 -6.6 -5.3 -6.5 -6.1 5.7 3.7 11.1 4.2 12.6 7.5 3.6 0.1 2.3 3.8 1.4 5.3 -4.2 18.7 16.7 6.2 0.5 -12.5 -20.0 -1.9 -20.0 SMI -4.7 -15.2 2.7 4.7 4.2 4.5 6.1 3.6 5.6 14.7 6.7 7.7 2.9 -3.6 -0.4 -3.0 2.0 -2.5 -0.5 -4.0 1.3 7.5 3.9 -1.5 2.9 -2.1 5.5 -0.6 3.6 -0.8 -0.7 10.2 -4.6 -20.0 -20.0 -7.6 -6.8 -10.7 -13.1 -15.9 SOFR 1.7 -12.2 -1.3 -1.7 -0.4 -1.8 -0.0 -2.5 -0.8 -5.2 -0.7 2.2 -1.5 -0.5 -2.6 -2.7 -0.6 -1.6 -1.1 -3.5 -2.3 -2.3 -2.2 -2.4 -1.3 -1.5 -2.3 -0.9 -0.7 -0.7 -0.8 1.4 -2.8 0.5 -3.6 2.3 -20.0 -20.0 -5.2 -0.8 SOYBEAN 17.9 20.0 4.9 1.0 3.1 -0.8 3.6 -1.4 2.7 6.9 2.7 7.9 -1.9 8.1 6.9 12.4 20.0 14.2 18.1 8.6 2.7 9.9 -0.4 11.2 -17.4 2.2 1.2 0.6 1.8 -0.1 2.5 20.0 1.3 7.2 20.0 7.2 -8.2 18.3 -4.1 20.0 SOYMEAL 11.3 19.5 -20.0 0.9 3.1 -0.8 3.5 -1.4 2.7 6.6 -1.4 6.2 2.0 2.3 0.4 10.9 20.0 20.0 20.0 2.2 -0.1 6.4 1.5 5.6 -17.9 1.9 1.4 1.0 1.8 1.2 2.4 20.0 -0.1 2.6 12.3 3.0 -8.6 -18.9 -4.0 -17.0 SOYOIL 20.0 20.0 13.7 0.9 3.0 -0.8 3.5 -1.4 2.7 6.3 1.4 7.6 -2.8 8.0 7.2 10.4 9.9 9.1 8.1 11.5 4.3 12.2 -0.5 13.7 -20.0 2.4 1.9 0.9 2.0 -0.1 2.5 2.9 3.5 10.1 20.0 11.5 2.8 6.9 14.3 20.0 SP400 18.7 20.0 9.7 4.5 4.1 4.3 6.0 3.5 5.5 7.7 5.5 14.0 4.1 16.1 14.8 -5.0 -4.4 -5.1 -4.9 20.0 13.4 17.8 5.1 20.0 -10.9 5.4 1.7 3.2 3.8 1.5 5.7 0.6 -8.2 20.0 20.0 1.6 -1.9 -8.0 -11.7 -10.4 SP500_micro 11.7 20.0 20.0 5.9 5.4 5.7 7.8 4.6 7.1 18.4 20.0 20.0 8.6 20.0 20.0 -13.5 -8.1 -11.8 -10.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.2 4.2 7.0 5.6 4.4 7.3 -6.7 14.8 20.0 20.0 20.0 -4.3 -8.5 -11.1 -11.5 SUGAR11 5.8 -20.0 4.5 1.9 6.1 -1.6 7.1 -2.8 5.4 9.4 10.8 12.2 12.6 2.6 4.7 -0.8 15.2 3.0 9.5 4.0 14.2 13.6 20.0 5.6 -20.0 2.0 3.8 6.9 4.2 10.4 1.7 10.6 5.1 -7.5 -20.0 20.0 -17.3 -18.2 10.9 -7.5 US10 2.6 -12.1 -5.8 -1.7 -0.4 -1.8 -0.0 -2.5 -0.8 -5.0 -3.5 0.9 -5.8 -2.4 -4.7 -9.0 -6.5 -9.1 -8.5 -5.8 -5.5 -2.4 -6.4 -3.5 0.6 -2.0 -1.8 -1.7 -0.7 -1.6 -1.0 -10.3 -3.2 0.5 -5.0 -2.6 -20.0 -20.0 14.5 2.9 US10U 0.3 -8.7 -4.1 -2.3 -0.6 -2.4 -0.0 -3.5 -1.1 -6.5 -4.3 1.1 -7.6 -2.4 -6.3 -2.0 -0.5 -1.4 -1.5 -6.4 -6.4 -2.4 -8.4 -3.7 -3.9 -2.6 -2.3 -2.2 -0.7 -2.1 -1.2 0.9 -3.7 1.7 -3.9 -2.5 -20.0 -20.0 20.0 18.3 US2 8.9 -20.0 -20.0 -1.6 -0.4 -1.7 -0.0 -2.4 -0.8 -6.5 -5.8 -3.1 -6.5 -5.6 -6.7 -20.0 -18.9 -20.0 -20.0 -11.9 -11.8 -5.2 -11.7 -7.6 7.1 -2.4 -1.6 -2.2 -1.1 -2.3 -1.5 -20.0 -8.4 -3.2 -12.4 -9.3 -20.0 -17.7 -20.0 -13.6 US20 -1.7 -5.8 -3.9 -1.9 -0.5 -2.0 -0.0 -2.9 -0.9 -5.1 -2.9 0.7 -4.9 -1.0 -5.1 -1.9 -1.3 -1.6 -1.8 -4.4 -4.6 -1.1 -6.7 -2.3 -4.0 -1.9 -1.7 -1.8 -0.1 -2.0 -0.6 -0.1 -1.7 2.1 0.3 -0.9 -20.0 -20.0 20.0 19.3 US30 -3.3 -2.5 -2.6 -2.4 -0.6 -2.5 -0.0 -3.6 -1.2 -6.4 -5.8 -0.6 -7.2 -1.5 -7.3 -7.2 -1.6 -3.6 -2.4 -4.9 -5.9 -1.5 -10.0 -2.8 -3.9 -2.7 -2.1 -2.5 -0.4 -3.0 -1.1 -0.5 -3.9 0.8 2.0 -0.5 -20.0 -20.0 20.0 20.0 US5 6.0 -14.4 -8.5 -1.6 -0.4 -1.7 -0.0 -2.4 -0.8 -5.4 -4.0 0.5 -5.8 -2.8 -5.0 -13.3 -8.4 -12.8 -11.3 -6.4 -6.2 -2.8 -6.9 -3.8 2.9 -2.0 -1.7 -1.7 -0.8 -1.7 -1.1 -14.2 -4.1 0.2 -6.2 -3.5 -20.0 -20.0 7.0 -14.1 VIX 2.2 -20.0 -20.0 -7.5 -2.3 -7.9 -3.1 -7.2 -5.3 -17.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.9 -20.0 -20.0 NaN -8.8 -2.4 -9.3 -3.1 -8.6 -5.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 5.7 20.0 16.9 0.9 2.8 -0.7 3.3 -1.3 2.5 6.5 -3.0 4.7 -6.9 3.0 1.2 -8.7 -8.8 -9.9 -9.9 2.3 -1.4 10.9 -3.7 6.1 -3.7 0.9 4.9 -0.4 3.7 -1.1 2.1 -20.0 14.3 -7.7 7.0 0.3 -18.4 -17.8 -9.7 -8.4 End of report for caleb_strategy_v3