******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230727_204335 produced at 2023-07-27 21:38:35.175951 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.48 -0.55 0.0 0.95 -0.95 -0.48 -0.38 -5.73 10.0 -5 -4 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.40 0.0 0.00 0.00 0.00 0.00 -4.70 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.34 0.0 0.00 0.00 0.00 0.00 -4.68 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 -31.17 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.26 -0.14 0.0 0.54 -0.54 -0.26 -0.26 -4.48 17.0 -8 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.13 0.0 0.39 -0.39 -0.11 -0.11 -18.61 56.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.07 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 -2.48 25.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.08 0.0 0.36 -0.36 -0.04 -0.04 -1.73 8.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.08 0.0 0.67 -0.67 -0.10 -0.10 -1.62 13.0 -2 -2 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.07 0.0 0.86 -0.86 -0.05 -0.05 -1.47 19.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.07 0.0 0.06 -0.06 -0.05 -0.05 -29.88 26.0 -20 -20 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 EUR False False 0.05 -0.05 -0.04 0.0 0.68 -0.68 -0.05 -0.05 -0.79 14.0 -1 -1 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -36.97 59.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.68 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 -2.39 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.85 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.25 -0.02 0.0 0.54 -0.54 -0.25 -0.25 -0.43 13.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.02 0.0 0.78 -0.78 -0.03 -0.03 -0.80 29.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.02 0.0 0.20 -0.20 0.00 0.00 -0.57 6.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.08 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.07 -0.01 0.0 0.17 -0.17 -0.07 -0.07 -0.38 10.0 -4 -4 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.25 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.28 -0.28 0.00 0.00 -0.27 6.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.01 0.0 0.25 -0.25 -0.02 -0.04 -0.84 23.0 -2 -4 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.60 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.50 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 -0.46 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.04 8.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.21 -0.21 0.00 0.00 0.00 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 -0.13 0.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.00 0.0 0.46 -0.46 0.02 0.02 0.15 21.0 1 1 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.10 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.49 11.0 1 1 caleb_strategy_v3 DAX False False 0.01 -0.02 0.01 0.0 0.37 -0.37 -0.02 -0.01 1.75 58.0 -3 -2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 4.02 68.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.56 10.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.17 -0.17 0.01 0.01 1.24 18.0 1 1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.79 9.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.19 0.02 0.0 0.19 -0.19 0.19 0.19 0.25 2.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.39 -0.39 0.00 0.00 1.94 48.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.23 0.02 0.0 0.42 -0.42 0.23 0.28 0.36 9.0 5 6 caleb_strategy_v3 COCOA False False 0.01 0.01 0.02 0.0 0.33 -0.33 0.01 0.01 1.24 26.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.52 -0.52 0.00 0.00 0.42 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.02 0.0 0.17 -0.17 0.05 0.05 0.69 7.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.22 -0.22 0.03 0.03 1.78 23.0 3 3 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.42 -0.42 0.00 0.00 3.81 66.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.07 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.19 0.03 0.0 0.35 -0.35 0.19 0.16 1.78 20.0 11 9 caleb_strategy_v3 GBP False False 0.03 0.14 0.04 0.0 0.62 -0.62 0.14 0.11 1.30 22.0 5 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 4.47 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 3.00 3.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.05 0.0 0.23 -0.23 0.00 0.00 10.79 51.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.07 0.0 0.15 -0.15 0.04 0.05 6.03 13.0 3 4 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.07 0.0 0.12 -0.12 0.06 0.06 2.32 4.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.07 0.0 0.14 -0.14 0.08 0.08 2.39 5.0 3 3 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.07 0.0 0.13 -0.13 0.00 0.00 1.76 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.50 -0.50 0.00 0.00 1.59 10.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.18 0.08 0.0 0.46 -0.46 0.18 0.18 1.79 10.0 4 4 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.91 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.12 0.0 0.43 -0.43 0.10 0.10 4.65 17.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.41 0.0 0.30 -0.30 0.29 0.29 49.61 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 82.66 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.60 1.79 0.0 0.60 -0.60 0.60 0.60 47.58 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.5 Shocked risk 67.4 Sum abs risk 59.5 Leverage 6.39 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 0.6715 0.7222 11.5558 BITCOIN 755.7781 29240.0000 2.5847 41.3558 BOBL 0.2978 115.5800 0.2576 4.1224 BTP 0.6982 116.1100 0.6013 9.6207 BUND 0.6086 132.4800 0.4594 7.3499 BUXL 1.3542 133.9600 1.0109 16.1748 CAC 64.1371 7446.0000 0.8614 13.7818 CAD 0.0031 0.7561 0.4148 6.6375 CANOLA 8.6062 826.2000 1.0417 16.6667 CHF 0.0063 1.1566 0.5416 8.6656 COCOA 40.4302 3532.0000 1.1447 18.3149 COFFEE 2.7006 161.3000 1.6743 26.7888 COPPER 0.0440 3.8440 1.1456 18.3298 CORN 12.6503 542.2500 2.3329 37.3269 COTTON2 1.5052 86.2300 1.7456 27.9294 CRUDE_W 1.0510 78.4400 1.3398 21.4370 DAX 120.0355 16401.0000 0.7319 11.7101 DOW 189.2356 35424.0000 0.5342 8.5472 EUR 0.0058 1.0998 0.5304 8.4858 EURIBOR-ICE 0.0653 96.9950 0.0673 1.0764 EUROSTX 40.5497 4438.0000 0.9137 14.6191 FEEDCOW 1.5986 251.2750 0.6362 10.1793 GASOIL 11.8620 834.0000 1.4223 22.7567 GASOLINE 0.0376 2.5939 1.4514 23.2222 GAS_US_mini 0.0872 2.7250 3.1992 51.1878 GBP 0.0077 1.2800 0.5981 9.5694 GOLD_micro 12.5108 1944.6000 0.6434 10.2937 HEATOIL 0.0345 2.8386 1.2171 19.4733 JGB-SGX-mini 0.2488 148.3000 0.1678 2.6846 JPY 0.0000 0.0072 0.6531 10.4502 LEANHOG 1.2224 83.4000 1.4657 23.4519 LIVECOW 1.0980 179.4250 0.6120 9.7914 LUMBER-new 11.3020 525.5000 2.1507 34.4113 MILK 0.3314 17.4200 1.9021 30.4343 MXP 0.0004 0.0588 0.6347 10.1549 NASDAQ_micro 122.2253 15577.5000 0.7846 12.5540 NIKKEI 292.6963 32590.0000 0.8981 14.3699 NZD 0.0047 0.6178 0.7616 12.1859 OAT 0.6315 126.8700 0.4978 7.9646 OATIES 8.0575 442.7500 1.8199 29.1182 OJ 3.8438 317.5000 1.2106 19.3703 PALLAD 22.3688 1228.0000 1.8216 29.1450 PLAT 14.5215 940.7000 1.5437 24.6990 REDWHEAT 18.4718 877.7500 2.1044 33.6711 RICE 0.1637 16.0150 1.0222 16.3549 ROBUSTA 39.0064 2676.0000 1.4576 23.3222 RUSSELL 18.0139 1965.2000 0.9166 14.6663 SHATZ 0.0973 104.9350 0.0928 1.4842 SILVER-mini 0.3834 24.6500 1.5552 24.8829 SMI 81.4112 11366.0000 0.7163 11.4603 SOFR 0.0826 96.4750 0.0856 1.3693 SOYBEAN 18.7755 1396.2500 1.3447 21.5154 SOYMEAL 6.3364 414.8000 1.5276 24.4412 SOYOIL 1.0607 62.0900 1.7083 27.3333 SP400 20.3485 2711.0000 0.7506 12.0095 SP500_micro 23.4587 4574.0000 0.5129 8.2059 SUGAR11 0.3396 24.4000 1.3919 22.2707 US10 0.4734 111.0156 0.4264 6.8231 US10U 0.6299 116.4844 0.5407 8.6519 US2 0.1213 101.4180 0.1196 1.9134 US20 0.8708 123.8125 0.7033 11.2530 US30 1.2599 131.2812 0.9597 15.3555 US5 0.3172 106.5234 0.2978 4.7648 VIX 0.4457 17.7000 2.5182 40.2910 WHEAT 19.4518 736.0000 2.6429 42.2864 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.50 0.72 484.98 1.00 484.98 46875.0 96.65 -2.69 -26.01 BITCOIN 29.24 2.58 75.58 1.00 75.58 46875.0 620.22 -4.96 -307.43 BOBL 1155.80 0.26 297.79 1.11 329.28 46875.0 142.36 -11.16 -158.86 BTP 1161.10 0.60 698.16 1.11 771.99 46875.0 60.72 9.45 57.38 BUND 1324.80 0.46 608.57 1.11 672.93 46875.0 69.66 6.46 45.02 BUXL 1339.60 1.01 1354.23 1.11 1497.44 46875.0 31.30 0.16 0.49 CAC 744.60 0.86 641.37 1.11 709.20 46875.0 66.10 4.95 32.73 CAD 756.10 0.41 313.67 1.00 313.67 46875.0 149.44 -1.66 -24.75 CANOLA 165.24 1.04 172.12 0.76 130.54 46875.0 359.10 14.35 515.15 CHF 1445.75 0.54 783.02 1.00 783.02 46875.0 59.86 -8.31 -49.75 COCOA 353.20 1.14 404.30 1.00 404.30 46875.0 115.94 5.78 66.99 COFFEE 604.88 1.67 1012.74 1.00 1012.74 46875.0 46.29 -9.91 -45.85 COPPER 961.00 1.15 1100.93 1.00 1100.93 46875.0 42.58 -1.11 -4.71 CORN 271.12 2.33 632.52 1.00 632.52 46875.0 74.11 0.67 4.99 COTTON2 431.15 1.75 752.61 1.00 752.61 46875.0 62.28 4.27 26.63 CRUDE_W 784.40 1.34 1050.95 1.00 1050.95 46875.0 44.60 4.38 19.53 DAX 164.01 0.73 120.04 1.11 132.73 46875.0 353.16 1.52 53.68 DOW 177.12 0.53 94.62 1.00 94.62 46875.0 495.41 3.44 170.63 EUR 1374.69 0.53 729.08 1.00 729.08 46875.0 64.29 -3.76 -24.20 EURIBOR-ICE 2424.88 0.07 163.13 1.11 180.38 46875.0 259.86 -7.07 -183.85 EUROSTX 443.80 0.91 405.50 1.11 448.38 46875.0 104.54 5.20 54.36 FEEDCOW 1256.38 0.64 799.31 1.00 799.31 46875.0 58.64 -8.64 -50.66 GASOIL 834.00 1.42 1186.20 1.00 1186.20 46875.0 39.52 11.98 47.34 GASOLINE 1089.44 1.45 1581.20 1.00 1581.20 46875.0 29.65 20.00 59.29 GAS_US_mini 68.12 3.20 217.95 1.00 217.95 46875.0 215.07 -11.34 -244.00 GBP 800.00 0.60 478.47 1.00 478.47 46875.0 97.97 4.09 40.10 GOLD_micro 194.46 0.64 125.11 1.00 125.11 46875.0 374.68 -13.11 -491.28 HEATOIL 1192.21 1.22 1451.02 1.00 1451.02 46875.0 32.30 11.14 35.99 JGB-SGX-mini 148300.00 0.17 24882.67 0.01 175.88 46875.0 266.52 13.66 364.09 JPY 898.88 0.65 587.09 1.00 587.09 46875.0 79.84 -17.26 -137.78 LEANHOG 333.60 1.47 488.97 1.00 488.97 46875.0 95.86 10.07 96.51 LIVECOW 717.70 0.61 439.21 1.00 439.21 46875.0 106.73 12.78 136.40 LUMBER-new 144.51 2.15 310.80 1.00 310.80 46875.0 150.82 -9.50 -143.20 MILK 348.40 1.90 662.71 1.00 662.71 46875.0 70.73 -18.34 -129.69 MXP 293.95 0.63 186.56 1.00 186.56 46875.0 251.25 20.00 502.51 NASDAQ_micro 311.55 0.78 244.45 1.00 244.45 46875.0 191.76 -1.96 -37.62 NIKKEI 32590.00 0.90 29269.63 0.01 207.65 46875.0 225.74 16.82 379.66 NZD 617.75 0.76 470.49 1.00 470.49 46875.0 99.63 0.46 4.60 OAT 1268.70 0.50 631.54 1.11 698.33 46875.0 67.12 7.60 51.04 OATIES 221.38 1.82 402.88 1.00 402.88 46875.0 116.35 -4.44 -51.61 OJ 476.25 1.21 576.57 1.00 576.57 46875.0 81.30 20.00 162.60 PALLAD 1228.00 1.82 2236.88 1.00 2236.88 46875.0 20.96 -8.52 -17.86 PLAT 470.35 1.54 726.07 1.00 726.07 46875.0 64.56 -1.55 -10.03 REDWHEAT 438.88 2.10 923.59 1.00 923.59 46875.0 50.75 -0.69 -3.50 RICE 320.30 1.02 327.41 1.00 327.41 46875.0 143.17 14.92 213.55 ROBUSTA 267.60 1.46 390.06 1.00 390.06 46875.0 120.17 14.71 176.73 RUSSELL 98.26 0.92 90.07 1.00 90.07 46875.0 520.43 2.42 126.20 SHATZ 1049.35 0.09 97.34 1.11 107.63 46875.0 435.50 -7.61 -331.40 SILVER-mini 616.25 1.56 958.38 1.00 958.38 46875.0 48.91 -0.73 -3.55 SMI 1136.60 0.72 814.11 1.16 942.42 46875.0 49.74 2.23 11.09 SOFR 2411.88 0.09 206.42 1.00 206.42 46875.0 227.09 -3.57 -80.97 SOYBEAN 698.12 1.34 938.78 1.00 938.78 46875.0 49.93 17.35 86.64 SOYMEAL 414.80 1.53 633.64 1.00 633.64 46875.0 73.98 13.36 98.83 SOYOIL 372.54 1.71 636.42 1.00 636.42 46875.0 73.65 9.41 69.33 SP400 2711.00 0.75 2034.85 1.00 2034.85 46875.0 23.04 3.47 7.99 SP500_micro 228.70 0.51 117.29 1.00 117.29 46875.0 399.64 2.18 87.07 SUGAR11 273.28 1.39 380.38 1.00 380.38 46875.0 123.23 5.51 67.88 US10 1110.16 0.43 473.42 1.00 473.42 46875.0 99.01 -10.60 -104.97 US10U 1164.84 0.54 629.88 1.00 629.88 46875.0 74.42 -4.76 -35.41 US2 2028.36 0.12 242.56 1.00 242.56 46875.0 193.25 -20.00 -386.50 US20 1238.12 0.70 870.79 1.00 870.79 46875.0 53.83 -3.87 -20.81 US30 1312.81 0.96 1259.93 1.00 1259.93 46875.0 37.20 -6.07 -22.60 US5 1065.23 0.30 317.23 1.00 317.23 46875.0 147.76 -13.88 -205.08 VIX 177.00 2.52 445.72 1.00 445.72 46875.0 105.17 -20.00 -210.33 WHEAT 368.00 2.64 972.59 1.00 972.59 46875.0 48.20 -9.02 -43.47 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -26.011 0.013 2.5 -0.845 BITCOIN -307.429 0.048 2.5 -36.970 BOBL -158.858 0.004 2.5 -1.473 BTP 57.377 0.012 2.5 1.790 BUND 45.025 0.004 2.5 0.418 BUXL 0.486 0.004 2.5 0.005 CAC 32.735 0.013 2.5 1.069 CAD -24.753 0.013 2.5 -0.805 CANOLA 515.145 0.008 2.5 10.792 CHF -49.752 0.013 2.5 -1.617 COCOA 66.991 0.007 2.5 1.236 COFFEE -45.847 0.004 2.5 -0.461 COPPER -4.708 0.048 2.5 -0.566 CORN 4.993 0.008 2.5 0.105 COTTON2 26.626 0.007 2.5 0.491 CRUDE_W 19.532 0.049 2.5 2.392 DAX 53.682 0.013 2.5 1.754 DOW 170.627 0.009 2.5 3.810 EUR -24.200 0.013 2.5 -0.787 EURIBOR-ICE -183.847 0.012 2.5 -5.735 EUROSTX 54.359 0.013 2.5 1.776 FEEDCOW -50.664 0.014 2.5 -1.727 GASOIL 47.338 0.020 2.5 2.321 GASOLINE 59.291 0.020 2.5 2.907 GAS_US_mini -244.001 0.049 2.5 -29.883 GBP 40.103 0.013 2.5 1.303 GOLD_micro -491.278 0.015 2.5 -18.609 HEATOIL 35.986 0.020 2.5 1.764 JGB-SGX-mini 364.087 0.052 2.5 47.577 JPY -137.784 0.013 2.5 -4.478 LEANHOG 96.512 0.025 2.5 6.033 LIVECOW 136.398 0.014 2.5 4.649 LUMBER-new -143.203 0.007 2.5 -2.596 MILK -129.693 0.007 2.5 -2.393 MXP 502.507 0.066 2.5 82.664 NASDAQ_micro -37.619 0.009 2.5 -0.840 NIKKEI 379.663 0.052 2.5 49.613 NZD 4.597 0.013 2.5 0.149 OAT 51.039 0.012 2.5 1.592 OATIES -51.608 0.008 2.5 -1.081 OJ 162.600 0.007 2.5 3.000 PALLAD -17.859 0.015 2.5 -0.676 PLAT -10.030 0.015 2.5 -0.380 REDWHEAT -3.499 0.005 2.5 -0.040 RICE 213.551 0.008 2.5 4.474 ROBUSTA 176.726 0.004 2.5 1.778 RUSSELL 126.202 0.013 2.5 4.018 SHATZ -331.402 0.004 2.5 -3.073 SILVER-mini -3.554 0.015 2.5 -0.135 SMI 11.090 0.013 2.5 0.362 SOFR -80.973 0.023 2.5 -4.701 SOYBEAN 86.639 0.003 2.5 0.694 SOYMEAL 98.825 0.003 2.5 0.791 SOYOIL 69.331 0.003 2.5 0.556 SP400 7.989 0.013 2.5 0.254 SP500_micro 87.070 0.009 2.5 1.944 SUGAR11 67.880 0.007 2.5 1.243 US10 -104.970 0.005 2.5 -1.271 US10U -35.408 0.005 2.5 -0.429 US2 -386.501 0.005 2.5 -4.678 US20 -20.815 0.005 2.5 -0.252 US30 -22.599 0.005 2.5 -0.274 US5 -205.079 0.005 2.5 -2.482 VIX -210.334 0.059 2.5 -31.166 WHEAT -43.470 0.005 2.5 -0.497 ===================== Position diags ===================== AUD 3.14 BITCOIN 74.59 BOBL 1.32 BTP 1.89 BUND 0.65 BUXL 0.29 CAC 2.16 CAD 4.86 CANOLA 7.52 CHF 1.95 COCOA 2.14 COFFEE 0.47 COPPER 5.12 CORN 1.55 COTTON2 1.15 CRUDE_W 5.46 DAX 11.54 DOW 11.06 EUR 2.09 EURIBOR-ICE 8.11 EUROSTX 3.42 FEEDCOW 2.00 GASOIL 1.94 GASOLINE 1.45 GAS_US_mini 26.34 GBP 3.18 GOLD_micro 14.19 HEATOIL 1.58 JGB-SGX-mini 34.83 JPY 2.60 LEANHOG 5.99 LIVECOW 3.64 LUMBER-new 2.73 MILK 1.30 MXP 41.33 NASDAQ_micro 4.28 NIKKEI 29.50 NZD 3.24 OAT 2.09 OATIES 2.44 OJ 1.50 PALLAD 0.79 PLAT 2.45 REDWHEAT 0.58 RICE 3.00 ROBUSTA 1.21 RUSSELL 16.57 SHATZ 4.04 SILVER-mini 1.85 SMI 1.62 SOFR 13.18 SOYBEAN 0.40 SOYMEAL 0.59 SOYOIL 0.59 SP400 0.73 SP500_micro 8.92 SUGAR11 2.26 US10 1.20 US10U 0.90 US2 2.34 US20 0.65 US30 0.45 US5 1.79 VIX 15.58 WHEAT 0.55 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.8 -1.2 -0.5 NaN 0 BITCOIN -37.0 -44.4 -29.5 0.0 0 BOBL -1.5 -1.6 -1.3 -1.0 -1 BTP 1.8 1.6 2.0 4.0 4 BUND 0.4 0.4 0.5 0.0 0 BUXL 0.0 -0.0 0.0 NaN 0 CAC 1.1 0.9 1.3 NaN 0 CAD -0.8 -1.3 -0.3 -1.0 -1 CANOLA 10.8 10.0 11.5 NaN 0 CHF -1.6 -1.8 -1.4 -2.0 -2 COCOA 1.2 1.0 1.4 1.0 1 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -0.6 -1.1 -0.1 0.0 0 CORN 0.1 -0.1 0.3 0.0 0 COTTON2 0.5 0.4 0.6 1.0 1 CRUDE_W 2.4 1.8 2.9 3.0 3 DAX 1.8 0.6 2.9 -3.0 -3 DOW 3.8 2.7 4.9 NaN 0 EUR -0.8 -1.0 -0.6 -1.0 -1 EURIBOR-ICE -5.7 -6.5 -4.9 -5.0 -5 EUROSTX 1.8 1.4 2.1 11.0 11 FEEDCOW -1.7 -1.9 -1.5 -1.0 -1 GASOIL 2.3 2.1 2.5 2.0 2 GASOLINE 2.9 2.8 3.1 4.0 4 GAS_US_mini -29.9 -32.5 -27.2 -20.0 -20 GBP 1.3 1.0 1.6 5.0 5 GOLD_micro -18.6 -20.0 -17.2 -16.0 -16 HEATOIL 1.8 1.6 1.9 0.0 0 JGB-SGX-mini 47.6 44.1 51.1 16.0 16 JPY -4.5 -4.7 -4.2 -8.0 -8 LEANHOG 6.0 5.4 6.6 3.0 3 LIVECOW 4.6 4.3 5.0 4.0 4 LUMBER-new -2.6 -2.9 -2.3 NaN 0 MILK -2.4 -2.5 -2.3 NaN 0 MXP 82.7 78.5 86.8 59.0 59 NASDAQ_micro -0.8 -1.3 -0.4 -2.0 -2 NIKKEI 49.6 46.7 52.6 35.0 35 NZD 0.1 -0.2 0.5 1.0 1 OAT 1.6 1.4 1.8 NaN 0 OATIES -1.1 -1.3 -0.8 NaN 0 OJ 3.0 2.8 3.1 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -0.4 -0.6 -0.1 -4.0 -4 REDWHEAT -0.0 -0.1 0.0 NaN 0 RICE 4.5 4.2 4.8 NaN 0 ROBUSTA 1.8 1.7 1.9 3.0 3 RUSSELL 4.0 2.4 5.7 1.0 1 SHATZ -3.1 -3.5 -2.7 NaN 0 SILVER-mini -0.1 -0.3 0.1 NaN 0 SMI 0.4 0.2 0.5 5.0 5 SOFR -4.7 -6.0 -3.4 NaN 0 SOYBEAN 0.7 0.7 0.7 2.0 2 SOYMEAL 0.8 0.7 0.9 NaN 0 SOYOIL 0.6 0.5 0.6 1.0 1 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 1.9 1.1 2.8 0.0 0 SUGAR11 1.2 1.0 1.5 1.0 1 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.4 -0.5 -0.3 -6.0 -6 US2 -4.7 -4.9 -4.4 NaN 0 US20 -0.3 -0.3 -0.2 NaN 0 US30 -0.3 -0.3 -0.2 NaN 0 US5 -2.5 -2.7 -2.3 -4.0 -4 VIX -31.2 -32.7 -29.6 -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 -0.2 -0.3 -0.2 -0.3 -0.0 -0.3 0.1 0.1 BITCOIN -0.2 0.2 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.3 0.4 -0.2 -0.1 0.1 0.1 -0.5 -0.2 -0.4 -0.3 0.1 0.1 -0.1 0.1 -0.0 -1.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.4 -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 -0.1 -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 -1.4 0.2 0.1 -0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP -0.1 0.0 0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.1 -0.0 0.0 0.0 0.2 0.5 0.3 0.4 0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 2.6 0.5 0.1 0.4 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -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 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 0.2 -0.1 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.0 -0.2 -0.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.4 0.1 -0.2 -0.1 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 -0.1 -0.4 -0.1 -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 -0.2 0.3 0.0 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.5 -0.2 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA 0.5 0.5 0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.1 0.1 -0.2 0.1 0.1 0.2 0.9 0.7 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 2.3 -0.1 0.5 0.5 0.3 -0.2 0.2 0.0 0.3 CHF 0.5 0.3 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.1 0.3 0.1 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -2.9 0.1 0.3 0.0 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.0 0.2 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 0.4 0.2 0.6 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 0.1 0.2 0.1 -2.1 0.7 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.1 -0.5 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.1 0.1 -0.2 -0.1 -0.1 0.0 0.2 0.2 0.2 -0.2 -0.1 0.0 -0.2 -0.1 -1.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.0 -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 -0.1 0.1 -0.0 0.1 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.5 0.2 0.2 0.1 -0.5 0.0 -0.3 0.1 -0.2 CORN 0.1 0.3 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 0.5 -0.1 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.4 0.2 -0.2 0.1 0.0 -0.0 0.2 0.0 0.3 COTTON2 0.3 0.2 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.1 0.1 -0.3 0.1 0.1 0.6 0.4 0.5 0.3 0.1 0.0 0.2 -0.1 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.2 0.4 -0.1 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 0.1 0.4 0.5 0.4 0.4 0.1 0.0 0.2 -0.0 0.2 -0.3 0.1 0.1 0.1 0.1 0.1 0.1 -1.4 -0.7 -0.3 0.1 0.3 0.2 0.2 0.2 0.1 DAX 0.0 -0.2 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 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 0.0 -0.3 -0.4 -0.2 0.3 -0.0 0.3 0.0 DOW 0.4 0.4 0.2 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.1 0.3 0.2 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.3 0.2 0.2 -0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.7 0.7 0.5 0.5 0.2 -0.1 -0.0 -0.3 -0.0 EUR 0.3 0.2 0.0 0.0 -0.0 0.1 0.0 0.0 0.0 -0.2 0.2 0.0 0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.1 0.1 0.0 0.6 0.0 -0.1 0.1 -0.0 0.0 0.0 -1.2 -0.4 -0.2 -0.2 -0.2 -0.1 -0.3 -0.0 0.1 EURIBOR-ICE 0.3 -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 -0.6 -0.5 -0.6 -0.6 -0.0 -0.0 0.0 -0.2 0.0 0.9 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -1.9 0.3 0.1 -0.0 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.1 -0.1 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.1 -0.3 0.0 -0.3 -0.1 0.1 0.1 0.1 0.3 0.0 0.3 0.0 0.1 0.1 0.0 0.2 0.0 1.1 -0.2 -0.4 -0.3 -0.2 0.3 0.0 0.3 0.1 FEEDCOW 0.0 -0.1 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 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 0.2 0.1 0.5 0.0 -0.3 0.2 -0.2 GASOIL 0.5 0.5 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 -0.2 0.2 0.1 0.5 0.9 0.4 0.6 0.2 0.0 0.2 -0.0 0.2 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 0.4 0.2 0.4 0.1 -0.1 0.0 -0.1 -0.1 GASOLINE 0.5 0.5 0.1 0.0 0.1 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 0.1 0.2 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.0 0.5 0.2 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 -0.3 0.0 -0.5 0.1 0.0 -0.3 -0.7 -0.6 -0.7 -0.0 -0.2 0.0 -0.4 0.0 1.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -3.2 -0.7 -0.5 -0.2 0.0 0.1 0.2 -0.0 0.0 GBP 0.1 0.2 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 -0.0 0.1 -0.0 0.1 0.0 0.4 -0.5 -0.2 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.4 -0.3 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 0.1 0.2 0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 0.0 0.0 0.2 0.0 -0.6 0.0 -0.1 0.1 0.0 0.1 0.0 -2.6 0.3 0.3 -0.3 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.3 -0.2 0.2 -0.2 0.2 0.1 0.5 1.0 0.4 0.6 0.2 0.0 0.3 -0.0 0.2 -1.1 0.1 0.2 0.1 0.1 0.0 0.1 0.2 0.5 0.4 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 0.5 1.2 0.7 0.9 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 3.2 0.3 -0.1 0.2 0.3 -0.3 -0.1 0.1 0.1 JPY 0.5 -0.0 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 0.0 -0.2 0.0 -0.1 -0.9 -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 -0.1 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.4 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 0.1 1.2 0.3 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 1.1 -0.6 -0.1 0.0 -0.5 -0.1 0.0 0.3 0.3 LIVECOW 0.0 0.3 0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.4 -0.0 0.6 0.1 0.2 -0.6 0.5 0.7 1.1 0.2 0.2 -0.1 0.4 0.2 0.4 0.1 -0.0 0.2 -0.0 0.2 0.0 1.8 -0.7 0.3 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.1 0.4 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.2 -0.1 -0.2 -0.0 0.0 -0.5 -0.8 -0.6 -0.7 0.0 -0.0 -0.3 -0.1 -0.1 NaN 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -3.4 -0.7 -0.5 -0.2 0.2 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.3 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.3 0.0 -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 0.0 0.0 0.4 0.1 0.6 0.2 0.2 1.1 1.1 1.1 1.1 0.2 0.2 0.1 0.4 0.2 -1.1 0.1 0.0 0.2 0.0 0.3 0.0 3.2 0.7 -0.3 0.1 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.1 0.3 0.5 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.1 0.4 0.1 -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 -0.0 0.1 0.0 0.1 0.0 -0.0 0.3 -0.0 0.4 0.0 0.1 0.9 0.7 0.8 0.8 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 -0.1 -0.5 0.2 0.5 0.1 0.0 -0.0 0.1 NZD 0.2 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 -0.3 -0.2 -0.3 -0.3 0.0 -0.2 0.1 0.1 OAT -0.1 0.0 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 0.3 0.5 0.4 0.5 -0.0 -0.0 -0.0 -0.2 -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 0.0 -0.0 0.0 -0.1 0.0 0.0 0.2 0.0 -0.2 0.1 0.1 -0.9 -0.0 -0.7 -0.4 0.2 0.1 0.1 0.1 0.1 -1.1 0.0 -0.0 0.0 0.0 0.0 0.0 -3.0 0.1 -0.0 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.5 0.4 0.1 0.0 0.0 -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 -0.3 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.4 -0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 -0.3 -0.5 -0.3 -0.2 -0.0 0.0 0.0 PLAT 0.5 -0.4 -0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.1 0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.7 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.3 0.0 0.1 -0.4 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.2 0.3 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.1 0.0 -0.2 0.1 0.1 -0.1 0.2 0.1 0.2 0.0 0.0 0.1 -0.0 0.1 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -1.0 0.5 -0.1 -0.0 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.3 0.3 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 1.2 1.2 1.2 0.1 0.0 0.2 -0.0 0.1 -1.1 0.0 0.0 0.0 0.1 -0.0 0.0 3.2 0.6 0.0 0.1 0.4 -0.1 -0.3 0.0 -0.2 ROBUSTA -0.2 -0.4 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 0.1 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 0.1 0.1 0.0 0.2 0.0 2.7 0.1 -0.4 -0.1 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 0.0 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.3 0.2 0.1 0.1 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 0.1 -0.1 -0.1 -0.3 -0.1 SHATZ 0.3 -0.4 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.9 -0.0 -0.5 -0.3 -0.1 -0.1 0.0 -0.3 -0.0 0.6 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.3 0.2 0.1 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.5 -0.1 -0.1 0.0 -0.1 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 0.1 0.1 0.1 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.6 0.4 0.4 0.2 -0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.0 -0.4 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.1 0.1 0.1 -0.0 -0.0 -0.2 0.1 -0.2 -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 0.6 -0.4 -0.5 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.1 -0.3 -0.1 -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 -0.2 0.0 -0.0 0.0 -0.3 -0.3 -0.1 -0.0 SOYBEAN 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 0.1 0.1 0.9 1.2 0.9 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 0.5 -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 0.1 -1.0 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 0.4 0.5 0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 0.6 0.6 0.6 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 0.4 -0.1 0.2 0.5 0.3 0.0 0.1 0.2 0.3 SP400 0.4 0.5 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 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 0.1 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.3 0.5 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.2 0.3 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 0.0 0.2 0.0 0.1 0.1 -1.1 0.4 0.5 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 0.2 -0.5 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.2 0.1 0.4 0.0 0.0 -0.1 0.9 0.2 0.5 0.0 0.1 0.1 0.4 0.0 -1.1 0.0 -0.0 0.2 0.0 0.3 0.0 1.5 -0.3 -0.0 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 0.1 -0.3 -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 -0.5 -0.4 -0.5 -0.5 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.6 -0.2 0.0 -0.1 -0.1 -0.3 -0.3 0.2 0.0 US10U 0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.1 -0.2 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 -0.1 -0.1 -1.2 -1.1 -1.2 -1.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -3.2 -0.3 -0.0 -0.3 -0.2 -0.3 -0.2 -0.3 -0.2 US20 -0.0 -0.1 -0.1 -0.0 -0.0 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=================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 6.0 8.6 3.3 3.5 -0.7 2.6 1.3 1.2 3.2 -9.8 -3.6 -0.8 -3.9 2.7 3.4 -2.5 -2.6 -2.6 -2.7 2.0 -0.3 -1.8 -3.2 1.9 2.1 1.6 -4.0 0.4 -0.7 -1.3 1.5 -0.5 -5.1 -11.1 -9.9 -11.0 -1.6 -20.0 6.0 10.4 BITCOIN -6.7 6.0 6.3 5.1 -9.3 4.5 -0.8 3.5 4.4 -20.0 19.8 -20.0 -3.9 10.1 13.1 -7.6 -3.4 -6.1 -4.7 8.6 13.6 -10.8 6.8 -0.9 -20.0 3.6 -7.5 5.3 -6.1 3.9 -0.8 -1.0 -11.6 -20.0 -3.0 -10.1 -3.6 20.0 -2.5 20.0 BOBL 4.4 -7.2 -3.7 -1.8 -2.9 -1.8 -1.3 -2.5 -1.3 -4.7 -3.4 2.7 -6.4 -2.3 -4.0 -20.0 -4.1 -19.0 -10.9 -3.4 -4.9 0.4 -8.5 -0.9 9.5 -1.4 -1.1 -1.6 0.2 -3.0 -0.3 -9.0 6.8 2.5 -0.5 1.2 -20.0 -20.0 -20.0 -14.6 BTP -4.0 1.1 11.4 -2.6 -4.3 -2.7 -2.0 -3.7 -1.8 1.2 8.1 6.5 -1.3 4.4 4.6 4.1 8.5 5.8 7.1 3.3 3.3 3.7 -1.5 3.4 -6.2 2.0 0.8 2.7 2.0 0.4 1.8 16.6 15.3 2.6 15.1 13.4 -20.0 -20.0 -7.6 4.7 BUND -0.6 -1.0 1.8 -1.9 -3.1 -1.9 -1.4 -2.7 -1.3 -5.8 -3.4 1.5 -6.8 -0.7 -2.7 5.7 9.1 6.4 7.3 -2.0 -3.5 -0.6 -8.0 -0.6 5.5 -0.9 -2.6 -1.1 -0.3 -2.9 -0.3 17.0 6.4 0.3 3.0 3.1 -20.0 -20.0 -13.2 -2.3 BUXL -5.6 7.0 1.0 -2.3 -3.8 -2.4 -1.7 -3.3 -1.6 -7.3 -7.4 -1.1 -9.3 -0.5 -3.1 1.1 1.2 1.6 1.8 -1.5 -4.6 -3.1 -11.5 -1.1 0.2 -0.4 -5.7 -1.1 -2.0 -3.7 -0.6 5.6 6.2 -2.5 8.2 4.5 -20.0 -20.0 4.9 10.7 CAC 0.7 -6.7 -11.2 5.4 -0.4 5.4 4.0 4.4 5.7 9.2 16.3 15.1 18.0 13.3 9.7 -6.1 0.9 -3.2 -0.9 5.7 10.2 8.2 16.8 7.5 -4.7 4.0 3.2 6.0 4.0 8.4 4.2 8.9 -4.4 -14.8 -5.6 -6.6 18.1 -2.2 20.0 -0.1 CAD -4.0 11.4 14.7 5.6 -1.2 4.3 2.0 2.0 5.2 -15.6 14.1 4.9 -7.1 12.0 15.1 -1.9 -1.9 -2.2 -2.2 11.3 8.9 -0.4 -0.5 6.6 -0.3 5.7 -4.0 5.1 -0.4 0.8 3.1 0.5 -0.0 -20.0 -9.8 -2.1 -16.4 -20.0 -20.0 -17.4 CANOLA 20.0 20.0 15.0 1.6 1.8 -0.9 3.8 -1.8 3.7 1.2 2.7 9.7 -7.3 11.2 10.0 3.2 15.8 11.8 15.3 20.0 7.7 17.0 -3.5 20.0 -20.0 3.1 0.3 0.4 2.1 -1.2 3.7 14.3 -2.5 20.0 20.0 11.6 -14.2 14.4 0.9 20.0 CHF 20.0 10.9 3.3 3.8 -0.8 2.9 1.4 1.4 3.5 -7.7 10.4 8.1 10.6 10.0 9.3 -13.2 -12.8 -13.8 -13.5 13.6 10.0 7.5 7.0 15.0 -6.2 4.1 -0.9 3.0 2.3 1.9 4.6 -18.5 2.4 12.4 1.7 3.4 -13.2 -20.0 -14.9 -20.0 COCOA 1.8 6.9 13.2 2.9 3.3 -1.6 7.0 -3.3 6.8 17.5 20.0 19.3 19.8 20.0 20.0 -0.0 -0.8 -0.3 -0.2 20.0 20.0 20.0 20.0 20.0 -9.4 8.2 6.5 8.3 6.2 6.7 6.8 -13.4 20.0 20.0 20.0 20.0 -20.0 -20.0 10.1 -8.2 COFFEE -2.2 -20.0 -9.2 2.8 3.1 -1.5 6.6 -3.2 6.5 11.4 -4.5 8.5 -8.7 -15.6 -17.5 0.8 3.7 2.9 3.6 -19.4 -14.9 2.8 -10.9 -11.3 -20.0 -3.9 2.6 -2.1 2.4 -1.3 -1.9 -6.2 -11.2 -20.0 -20.0 8.0 -20.0 -20.0 -9.3 -16.9 COPPER 10.0 7.4 -10.6 3.2 -5.9 2.9 -0.5 2.2 2.8 -3.2 -4.2 4.2 -3.8 5.8 -1.7 -2.9 -1.4 -2.5 -2.0 0.0 -3.0 4.6 -3.2 4.1 -4.1 0.9 0.5 -1.6 3.1 -1.8 3.3 2.9 5.5 8.1 5.1 -18.6 0.5 -20.0 4.7 -17.3 CORN 2.5 13.3 2.1 1.0 1.1 -0.5 2.3 -1.1 2.2 1.8 -2.9 3.2 -4.2 -1.5 -2.2 -4.1 7.9 -1.7 3.0 -0.3 -1.7 4.0 -1.7 2.1 -6.7 0.8 0.3 -0.5 1.3 -1.1 1.3 -2.5 4.9 -8.0 4.3 0.1 -2.4 13.0 1.0 20.0 COTTON2 13.8 6.6 11.7 1.8 2.0 -1.0 4.2 -2.0 4.1 3.6 4.6 9.5 -9.3 10.5 9.4 10.3 6.9 7.9 5.7 6.7 1.9 12.3 -2.7 10.7 -20.0 3.1 3.1 1.2 5.7 0.2 4.9 -2.6 5.4 15.5 -3.4 11.7 -20.0 -17.4 7.1 8.1 CRUDE_W 20.0 13.8 -2.9 4.7 10.6 0.6 11.3 -0.3 9.0 19.2 1.5 20.0 -10.9 20.0 7.5 6.6 8.1 6.1 6.6 16.3 3.0 20.0 -0.7 20.0 -6.3 6.4 8.5 2.9 9.8 2.0 9.1 -9.0 -20.0 -10.4 2.7 11.7 11.5 11.9 11.9 4.2 DAX 1.7 -6.9 -2.2 5.3 -0.3 5.2 3.9 4.3 5.5 12.2 15.6 17.8 17.0 8.0 8.9 -8.3 -6.5 -8.2 -7.8 5.7 11.1 10.9 15.7 7.6 16.9 2.1 7.0 5.1 5.5 7.2 3.1 -3.6 1.4 -12.0 -14.7 -7.1 19.7 -1.2 20.0 3.5 DOW 16.6 15.6 7.7 5.3 -0.4 5.3 4.0 4.3 5.6 12.6 12.6 17.9 10.6 18.6 18.3 -11.0 -6.8 -9.8 -8.6 20.0 13.7 20.0 7.7 20.0 -9.8 6.6 3.0 4.6 6.7 2.9 7.6 -4.5 20.0 20.0 20.0 6.7 -4.8 -3.6 -20.0 -2.2 EUR 11.2 9.9 1.3 4.2 -0.9 3.1 1.5 1.5 3.8 -12.6 9.9 0.2 7.8 7.1 7.0 -6.1 -6.8 -6.5 -6.6 8.1 6.8 -5.2 3.6 5.9 12.3 3.5 -6.7 2.9 -1.8 1.5 2.6 -7.4 -13.0 -10.0 -6.3 -6.9 -4.6 -20.0 -1.3 5.7 EURIBOR-ICE 11.6 -6.8 5.9 -1.7 -2.8 -1.7 -1.3 -2.4 -1.2 -4.6 -3.9 3.0 -6.4 -0.9 -3.3 -10.5 -7.6 -10.4 -9.5 -3.0 -4.6 1.2 -7.8 0.1 16.3 -1.2 -0.8 -1.7 0.5 -3.1 -0.0 -12.0 7.6 4.5 -1.6 1.3 -20.0 -20.0 20.0 4.8 EUROSTX -2.3 -5.7 -5.2 5.2 -0.3 5.1 3.8 4.2 5.4 8.6 17.9 14.4 18.3 12.9 14.0 -4.9 0.0 -4.3 -2.3 6.3 11.5 6.4 16.5 5.9 4.9 3.0 5.2 6.2 3.5 8.9 2.6 7.0 -5.8 -16.2 -11.7 -6.6 20.0 1.0 20.0 6.5 FEEDCOW 1.7 -5.2 12.4 3.1 3.4 -1.7 7.2 -3.5 7.0 -4.1 20.0 1.8 19.5 15.7 18.6 -19.5 -20.0 -20.0 -20.0 20.0 20.0 3.3 20.0 14.3 6.3 7.9 0.9 10.4 1.2 10.0 4.3 -20.0 -20.0 9.7 5.1 20.0 0.9 -19.3 13.3 -12.0 GASOIL 20.0 20.0 -3.4 4.1 9.3 0.5 9.9 -0.3 7.8 17.2 -4.9 19.0 -5.9 19.3 13.2 8.5 14.6 7.0 9.8 20.0 2.7 20.0 -0.7 20.0 12.1 5.2 11.9 0.9 10.9 -0.6 8.8 0.0 11.3 7.4 14.8 3.3 -7.8 3.3 -10.8 -4.4 GASOLINE 20.0 18.8 2.4 4.9 11.1 0.6 11.9 -0.3 9.4 20.0 15.1 20.0 -4.6 20.0 17.8 20.0 20.0 20.0 20.0 20.0 15.4 20.0 11.9 20.0 -20.0 7.6 8.8 5.0 10.4 4.3 9.8 20.0 3.5 9.2 20.0 20.0 10.8 12.7 13.5 -1.1 GAS_US_mini 1.3 20.0 7.8 3.7 8.4 0.4 9.0 -0.2 7.1 2.6 -16.6 2.7 -17.4 6.2 3.1 -4.4 -12.1 -9.4 -12.6 -1.6 -20.0 1.8 -20.0 2.7 18.4 2.7 -1.9 -1.2 1.1 -3.8 2.7 -20.0 -20.0 -20.0 -9.7 0.8 3.9 13.9 -0.4 1.3 GBP 3.2 8.5 11.6 4.7 -1.0 3.5 1.7 1.7 4.3 -12.3 14.7 -1.4 9.1 7.2 10.8 0.7 -1.0 0.0 -0.6 12.8 13.2 -2.5 7.7 7.3 -0.8 5.2 -3.8 4.8 -0.7 1.9 3.2 2.6 -14.0 -8.6 -3.7 3.1 5.9 10.6 11.0 20.0 GOLD_micro 16.1 -10.4 -7.5 4.6 -8.3 4.1 -0.7 3.1 3.9 -12.2 2.8 7.3 8.0 2.9 -10.6 -16.5 -11.9 -15.2 -13.7 -3.4 0.6 0.9 7.6 2.4 -11.9 1.9 -6.8 2.5 1.0 4.4 3.7 -16.2 10.0 13.5 -11.9 -13.4 -20.0 -20.0 -6.8 -20.0 HEATOIL 20.0 20.0 -3.7 4.9 11.1 0.6 11.8 -0.3 9.4 20.0 -7.3 20.0 -8.4 20.0 15.2 8.2 16.2 6.2 9.7 20.0 3.3 20.0 -1.4 20.0 -20.0 6.8 12.1 2.6 11.7 1.5 10.0 1.3 16.4 14.3 20.0 13.5 -2.1 1.8 -6.9 0.7 JGB-SGX-mini -20.0 -9.7 12.4 -1.9 -0.6 -2.0 -0.2 -2.9 -1.0 6.2 7.4 1.0 6.7 -1.7 2.5 8.9 20.0 11.7 15.9 2.1 5.9 3.9 5.9 0.3 0.9 0.5 3.0 1.9 1.5 1.2 -0.2 20.0 8.8 -4.4 6.5 11.2 -20.0 -6.8 3.9 7.3 JPY 20.0 -1.8 -14.6 3.0 0.7 2.2 1.7 1.0 3.0 -3.5 -7.8 1.6 -8.1 1.1 -7.3 -16.0 -13.3 -16.0 -14.9 -6.9 -10.5 -0.5 -11.6 -0.8 20.0 -1.9 -0.3 -2.9 -0.1 -3.3 -0.1 -20.0 -13.5 -5.7 -20.0 -20.0 -17.3 -20.0 -18.8 -20.0 LEANHOG 14.5 20.0 -0.7 2.4 2.6 -1.3 5.6 -2.7 5.5 2.0 -6.1 10.6 -10.1 15.4 11.6 20.0 4.5 20.0 20.0 7.4 -8.4 7.6 -17.4 12.5 15.2 -1.6 0.8 -8.5 2.7 -11.1 2.8 6.9 -16.6 -5.3 1.6 -19.1 -3.9 3.0 19.6 20.0 LIVECOW 0.9 13.9 17.8 3.4 3.7 -1.8 7.9 -3.8 7.7 -20.0 20.0 -1.3 20.0 14.3 20.0 -10.8 8.9 11.9 17.8 20.0 20.0 -5.1 20.0 19.3 7.8 8.5 -3.6 8.8 -0.6 7.1 4.6 11.7 -20.0 13.0 20.0 20.0 -20.0 -20.0 -16.7 -19.7 LUMBER-new -4.1 14.1 4.4 2.5 2.8 -1.1 6.0 -2.1 5.9 -16.5 -10.7 -16.2 -14.9 -2.1 1.0 -7.6 -11.8 -10.0 -11.3 0.4 -1.3 -20.0 -4.2 -8.0 NaN 0.5 -11.4 0.3 -9.7 -0.7 -3.4 -20.0 -20.0 -20.0 -7.7 7.4 -20.0 -20.0 -20.0 -20.0 MILK 20.0 12.8 0.2 1.3 1.4 -0.7 3.0 -1.4 2.9 2.0 -7.9 3.9 -9.1 0.6 -5.7 -20.0 -20.0 -20.0 -20.0 -6.5 -11.2 8.7 -11.2 2.8 -4.0 -2.2 1.2 -3.3 2.0 -3.0 0.3 -20.0 10.4 1.5 -20.0 -20.0 -20.0 -20.0 -14.2 -20.0 MXP -8.2 3.5 13.2 6.0 -1.2 4.6 2.2 2.1 5.5 2.7 20.0 12.6 20.0 18.6 20.0 18.8 17.9 18.8 18.2 20.0 20.0 9.9 20.0 20.0 -20.0 8.4 1.3 9.8 2.7 10.0 5.6 20.0 20.0 -11.3 5.7 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -3.8 13.9 20.0 3.9 -0.3 3.8 2.9 3.1 4.0 -9.4 14.5 3.7 8.0 10.0 13.5 -10.9 -7.5 -10.4 -9.2 20.0 20.0 4.4 20.0 15.7 -20.0 5.3 -0.8 6.1 0.7 4.7 2.9 -5.5 -8.4 4.6 20.0 20.0 -7.2 -9.7 -15.5 -12.2 NIKKEI -20.0 2.7 20.0 5.0 -0.3 5.0 3.7 4.1 5.2 -2.4 16.2 -4.3 15.9 3.8 13.7 15.8 11.8 14.0 12.7 18.5 20.0 0.1 20.0 4.1 -5.1 5.2 0.1 7.7 0.1 6.2 1.2 20.0 -3.3 -20.0 9.2 20.0 3.8 2.9 -1.0 9.0 NZD 7.5 7.5 1.5 2.9 -0.6 2.2 1.0 1.0 2.7 -7.5 -1.4 -2.9 0.3 1.1 0.9 0.5 0.6 0.5 0.5 1.5 0.1 -3.1 -1.6 0.9 0.2 1.2 -3.3 0.5 -1.5 -0.5 0.9 5.0 -8.7 -8.3 -11.9 -10.9 1.4 -12.5 8.6 7.3 OAT -2.4 0.2 4.7 -2.1 -3.4 -2.1 -1.5 -2.9 -1.4 -6.5 -3.9 1.1 -7.1 -0.1 -1.9 5.6 9.3 7.1 8.2 -1.7 -3.0 -1.3 -7.3 -0.8 7.5 -0.8 -3.6 -0.9 -0.8 -3.1 -0.5 18.2 5.8 -0.9 4.3 4.7 -20.0 -20.0 -3.3 1.6 OATIES -2.4 20.0 20.0 1.7 1.9 -0.9 4.0 -1.9 3.9 0.7 8.3 5.8 -6.9 10.1 10.9 -14.8 -0.1 -11.5 -7.2 18.7 12.1 7.9 3.5 16.4 -20.0 3.7 -0.9 2.3 1.3 0.6 2.9 -19.0 2.5 -0.9 20.0 20.0 4.2 20.0 15.6 20.0 OJ 20.0 14.0 5.4 3.1 3.5 -1.7 7.5 -3.6 7.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.6 12.9 8.3 13.1 10.5 9.9 20.0 20.0 20.0 12.4 20.0 17.5 5.8 20.0 16.7 PALLAD 8.2 -11.7 -12.9 2.5 -4.5 2.2 -0.4 1.7 2.1 -9.9 -11.5 -3.5 -11.8 -7.4 -10.1 -3.4 -2.6 -3.3 -3.0 -13.4 -18.8 -6.2 -20.0 -7.4 -4.9 -3.4 -5.0 -3.8 -2.6 -4.0 -2.4 1.0 -1.3 -12.0 -20.0 -11.5 -16.0 -0.1 1.5 2.3 PLAT 20.0 -15.9 -10.6 2.8 -5.1 2.5 -0.4 1.9 2.5 -9.3 -6.6 3.8 0.4 -2.4 -7.9 -3.1 -1.8 -2.7 -2.3 -6.4 -5.8 -1.4 -1.6 -1.1 13.1 -1.0 -5.2 -1.0 -0.5 -0.1 0.5 2.2 0.8 4.3 -16.7 -6.4 1.4 -15.0 9.3 -10.4 REDWHEAT 9.7 12.2 8.3 1.6 1.8 -0.9 3.8 -1.8 3.7 2.3 2.7 5.5 -8.7 6.0 6.1 -2.0 3.5 1.1 3.2 5.0 1.2 9.2 -1.3 8.6 -11.5 2.0 1.7 0.6 4.3 0.0 3.5 -6.4 14.1 -4.2 -0.9 4.8 -20.0 -17.2 -5.2 -6.8 RICE 12.8 11.6 2.5 2.3 2.6 -1.3 5.5 -2.6 5.3 7.4 -2.3 11.5 -2.4 11.5 10.5 0.2 20.0 20.0 20.0 8.4 1.1 18.7 -1.2 16.0 -20.0 3.3 3.6 0.8 6.7 -0.4 5.7 20.0 18.0 1.5 5.0 17.1 -8.5 -20.0 1.7 -18.3 ROBUSTA -8.5 -16.8 8.3 1.9 2.1 -1.1 4.5 -2.2 4.4 11.6 10.9 8.5 10.7 -2.1 7.1 20.0 15.1 20.0 20.0 7.5 15.0 9.5 16.0 4.3 -10.1 3.1 4.8 6.1 3.4 6.3 1.6 16.9 4.1 -15.8 -4.9 20.0 -8.0 -20.0 4.9 -13.1 RUSSELL 15.0 18.8 13.0 4.5 -0.3 4.5 3.4 3.7 4.7 0.4 3.3 11.8 -3.1 14.2 13.9 -7.1 -4.9 -6.5 -5.9 18.3 10.2 11.1 0.5 18.9 -1.4 5.4 -0.3 3.5 2.7 1.4 5.1 -0.6 -2.4 15.4 20.0 2.9 -4.4 -6.8 -20.0 -9.3 SHATZ 10.1 -14.1 -15.4 -1.8 -2.9 -1.8 -1.3 -2.5 -1.3 -1.3 -5.7 3.4 -6.9 -4.2 -5.8 -15.9 -0.7 -8.3 -5.0 -6.8 -9.0 0.8 -12.1 -2.4 11.2 -1.9 -0.1 -2.4 0.3 -3.4 -0.6 -1.8 7.3 4.2 -5.8 -3.2 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -2.3 -5.7 3.5 -6.3 3.1 -0.5 2.4 3.0 -7.7 4.7 8.5 5.4 10.0 0.7 -6.7 -5.4 -6.6 -6.1 5.2 3.5 5.1 3.8 9.2 7.3 3.5 -3.0 2.4 1.9 1.5 4.4 -4.1 11.6 15.0 6.9 -0.4 -12.6 -20.0 -1.7 -20.0 SMI -1.2 -14.5 1.6 4.7 -0.3 4.7 3.5 3.8 4.9 14.2 6.9 11.1 3.4 -0.9 -0.1 -3.1 1.9 -2.6 -0.6 -2.3 1.6 11.0 3.8 1.8 3.1 -1.3 9.6 -0.5 6.0 -0.8 1.0 10.1 17.2 -16.6 -20.0 -7.9 -6.8 -10.5 -13.5 -15.7 SOFR 3.8 -11.7 -2.2 -1.8 -3.0 -1.8 -1.4 -2.6 -1.3 -6.3 -0.9 0.9 -1.6 -1.0 -2.9 -2.9 -0.6 -1.8 -1.2 -3.7 -2.4 -3.9 -2.2 -3.1 -1.3 -1.7 -2.9 -1.0 -1.4 -0.7 -1.2 1.3 -4.8 1.3 -2.0 1.5 -20.0 -20.0 -4.5 -0.8 SOYBEAN 16.8 20.0 7.0 1.2 1.3 -0.6 2.8 -1.3 2.7 1.9 3.3 6.9 -1.7 8.2 7.3 15.2 20.0 15.1 18.4 9.0 3.3 7.0 -0.2 10.6 -17.9 2.2 0.0 0.8 1.2 -0.0 2.3 20.0 -2.1 8.2 20.0 7.7 -8.5 17.4 -4.6 20.0 SOYMEAL 13.2 20.0 -20.0 1.2 1.3 -0.7 2.8 -1.3 2.7 5.6 -1.2 7.1 2.2 3.1 1.2 10.4 20.0 20.0 20.0 3.0 0.3 6.4 1.7 6.4 -18.8 2.1 0.9 1.1 1.7 1.3 2.5 20.0 -0.7 3.6 11.5 3.7 -8.8 -18.6 -4.5 -16.7 SOYOIL 17.2 20.0 15.3 1.1 1.3 -0.6 2.7 -1.3 2.6 1.2 2.1 5.3 -2.6 7.7 7.3 10.7 9.9 9.4 8.3 11.7 4.9 7.6 -0.1 12.4 -20.0 2.4 -0.0 1.0 1.2 -0.0 2.3 2.5 -3.8 7.8 20.0 12.2 2.4 6.6 14.1 20.0 SP400 17.0 20.0 10.7 4.7 -0.3 4.6 3.5 3.8 4.9 0.7 6.5 12.9 4.8 16.0 15.3 -5.3 -4.4 -5.2 -5.0 20.0 14.2 12.0 5.7 20.0 -11.3 5.6 -0.5 3.5 2.5 1.7 5.2 0.6 -6.4 18.2 20.0 3.6 -1.6 -8.1 -11.9 -10.8 SP500_micro 10.4 20.0 20.0 6.1 -0.4 6.0 4.5 4.9 6.3 6.7 20.0 18.1 9.5 20.0 20.0 -13.8 -8.2 -12.1 -10.2 20.0 20.0 20.0 20.0 20.0 -20.0 8.3 0.9 7.4 4.1 4.7 6.9 -6.9 10.7 20.0 20.0 20.0 -4.2 -8.6 -11.5 -12.0 SUGAR11 6.8 -20.0 2.5 2.3 2.6 -1.3 5.5 -2.6 5.4 0.9 11.1 10.3 13.0 2.7 4.3 -1.1 14.9 2.6 9.1 4.3 14.7 7.0 20.0 4.6 -20.0 2.1 -0.5 7.4 2.0 11.3 1.3 9.4 -10.3 -1.3 -20.0 20.0 -16.8 -18.1 11.1 -7.1 US10 4.3 -10.6 -6.2 -1.8 -3.0 -1.8 -1.3 -2.5 -1.3 -6.5 -3.8 -0.8 -5.9 -3.0 -5.0 -9.0 -6.5 -9.1 -8.6 -5.9 -5.5 -4.7 -6.3 -4.4 0.6 -2.1 -3.1 -1.8 -1.6 -1.7 -1.4 -10.4 -5.7 0.9 -3.6 -2.9 -20.0 -20.0 15.1 2.9 US10U 1.8 -7.3 -4.0 -2.5 -4.1 -2.5 -1.9 -3.5 -1.7 -8.9 -4.7 -1.4 -7.7 -3.6 -6.7 -3.1 -0.7 -1.8 -1.7 -6.5 -6.3 -6.1 -8.1 -5.0 -3.9 -2.8 -5.2 -2.3 -2.4 -2.1 -1.9 0.6 -6.7 1.5 -2.1 -2.9 -20.0 -20.0 20.0 18.8 US2 9.6 -20.0 -20.0 -1.7 -2.8 -1.8 -1.3 -2.5 -1.2 -6.7 -6.1 -4.9 -6.6 -6.2 -7.0 -20.0 -19.2 -20.0 -20.0 -12.3 -12.3 -6.8 -12.2 -8.4 7.1 -2.5 -1.9 -2.3 -1.5 -2.4 -1.7 -20.0 -10.2 -1.8 -11.0 -9.8 -20.0 -18.4 -20.0 -14.3 US20 -0.4 -4.4 -3.4 -2.0 -3.4 -2.1 -1.5 -2.9 -1.4 -7.5 -3.3 -1.7 -4.9 -2.2 -5.5 -1.9 -1.3 -1.6 -1.8 -4.5 -4.5 -4.9 -6.2 -3.6 -4.0 -2.1 -5.7 -1.9 -2.4 -2.0 -1.5 -0.1 -4.4 1.7 1.2 -1.3 -20.0 -20.0 20.0 19.9 US30 -2.8 -1.5 -1.8 -2.5 -4.2 -2.6 -1.9 -3.6 -1.8 -9.5 -6.2 -3.8 -7.1 -3.4 -7.8 -8.4 -1.9 -4.5 -2.9 -5.1 -5.7 -6.2 -9.3 -4.4 -3.9 -2.9 -8.2 -2.5 -3.6 -2.9 -2.3 -1.2 -3.8 0.2 3.0 -0.8 -20.0 -20.0 20.0 20.0 US5 7.8 -13.0 -9.2 -1.7 -2.9 -1.8 -1.3 -2.5 -1.2 -6.3 -4.2 -1.2 -5.9 -3.4 -5.2 -13.3 -8.5 -12.8 -11.3 -6.5 -6.3 -4.5 -6.9 -4.6 2.9 -2.1 -2.4 -1.8 -1.4 -1.8 -1.4 -14.3 -6.4 1.1 -4.6 -3.8 -20.0 -20.0 7.5 -14.4 VIX 5.2 -20.0 -20.0 -7.6 -1.0 -8.2 -2.8 -7.5 -5.2 -4.4 -20.0 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.7 -20.0 -20.0 NaN -8.9 -1.0 -9.7 -2.8 -9.1 -5.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.9 20.0 19.1 1.0 1.1 -0.6 2.4 -1.2 2.4 1.9 -2.5 3.4 -6.7 2.9 1.6 -8.5 -8.8 -9.7 -9.8 2.4 -1.0 5.9 -3.3 5.2 -3.6 1.0 1.0 -0.3 2.3 -1.0 1.9 -20.0 11.8 -5.2 4.9 0.6 -18.5 -17.4 -10.1 -8.3 End of report for caleb_strategy_v3