******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230731_204331 produced at 2023-07-31 21:38:28.645683 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.09 -0.74 -0.50 0.0 0.93 -0.93 -0.74 -0.74 -5.37 10.0 -8 -8 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -4.55 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 -4.81 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.19 0.0 0.10 -0.10 -0.10 -0.10 -31.98 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.18 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.25 -0.13 0.0 0.52 -0.52 -0.25 -0.25 -4.16 17.0 -8 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.12 0.0 0.39 -0.39 -0.04 -0.06 -17.60 56.0 -6 -8 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.09 0.0 0.93 -0.93 -0.11 -0.11 -2.52 25.0 -3 -3 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.09 0.0 0.65 -0.65 -0.10 -0.10 -1.87 13.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.08 0.0 0.06 -0.06 -0.05 -0.05 -33.10 26.0 -20 -21 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.07 0.0 0.84 -0.84 -0.04 -0.04 -1.57 19.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.35 -0.35 -0.04 -0.04 -1.69 8.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -1.30 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.04 0.0 0.67 -0.67 0.00 0.00 -0.93 14.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.25 5.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -32.79 59.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.24 -0.02 0.0 0.53 -0.53 -0.24 -0.24 -0.45 13.0 -6 -6 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.56 2.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.44 -0.44 0.00 0.00 -0.89 19.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.39 -0.39 0.00 0.00 -0.29 9.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.10 -0.01 0.0 0.17 -0.17 -0.10 -0.10 -0.48 10.0 -6 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.22 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.01 0.0 0.25 -0.25 -0.04 -0.04 -0.68 23.0 -4 -4 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.28 -0.28 0.00 0.00 -0.32 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.01 0.0 0.01 -0.01 0.00 0.00 -2.87 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.54 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 -0.33 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.15 8.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.08 12.0 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 -0.20 0.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.21 -0.21 -0.05 -0.05 -0.02 4.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 -0.03 0.00 0.0 0.76 -0.76 -0.03 -0.03 0.02 29.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 0.01 0.01 0.0 0.16 -0.16 0.01 0.01 0.35 11.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.05 0.57 7.0 2 2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.66 9.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.45 -0.45 0.02 0.02 0.24 21.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.48 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 0.98 18.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 1.96 48.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.02 0.0 0.32 -0.32 0.01 0.01 1.28 26.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.51 -0.51 0.00 0.00 0.44 10.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.36 0.02 0.0 0.41 -0.41 0.36 0.36 0.46 9.0 8 8 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.21 -0.21 0.03 0.03 1.66 23.0 3 3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 7.14 68.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.19 0.03 0.0 0.19 -0.19 0.19 0.19 0.32 2.0 2 2 caleb_strategy_v3 DAX False False 0.01 -0.01 0.03 0.0 0.37 -0.37 -0.01 -0.01 4.51 58.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.41 -0.41 0.00 0.00 4.74 66.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.21 -0.21 0.00 0.00 7.73 51.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.53 12.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.06 0.04 0.0 0.61 -0.61 0.06 0.06 1.32 22.0 2 2 caleb_strategy_v3 COPPER False False 0.03 0.07 0.04 0.0 0.21 -0.21 0.07 0.07 1.01 6.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.15 0.04 0.0 0.34 -0.34 0.15 0.15 2.58 20.0 9 9 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 3.78 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 3.08 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.07 0.0 0.14 -0.14 0.08 0.08 2.69 5.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.49 -0.49 0.00 0.00 1.70 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.12 -0.12 0.06 0.06 2.68 4.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.22 0.08 0.0 0.44 -0.44 0.22 0.22 1.80 10.0 5 5 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.09 0.0 0.13 -0.13 0.00 0.00 2.12 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.11 0.0 0.42 -0.42 0.10 0.10 4.29 17.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.16 -0.16 0.07 0.07 9.15 13.0 6 6 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 3.01 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.46 0.0 0.29 -0.29 0.28 0.28 56.53 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.61 0.82 0.0 0.62 -0.62 0.61 0.61 79.94 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.57 1.01 0.0 0.57 -0.57 0.57 0.57 28.10 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 23.2 Shocked risk 73.5 Sum abs risk 60.9 Leverage 5.85 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 0.0050 0.6732 0.7441 11.9051 BITCOIN 733.9932 29355.0000 2.5004 40.0064 BOBL 0.2871 115.8400 0.2479 3.9659 BTP 0.6729 116.0600 0.5798 9.2767 BUND 0.5774 132.9000 0.4345 6.9512 BUXL 1.2688 134.3800 0.9442 15.1072 CAC 63.8216 7516.5000 0.8491 13.5854 CAD 0.0032 0.7594 0.4204 6.7262 CANOLA 9.8923 787.4000 1.2563 20.1012 CHF 0.0061 1.1532 0.5249 8.3986 COCOA 39.1539 3546.0000 1.1042 17.6668 COFFEE 3.0574 165.6500 1.8457 29.5312 COPPER 0.0467 4.0135 1.1646 18.6329 CORN 12.5664 512.2500 2.4532 39.2508 COTTON2 1.4426 85.5200 1.6869 26.9902 CRUDE_W 1.0257 80.4300 1.2753 20.4050 DAX 121.3710 16541.0000 0.7338 11.7401 DOW 181.0384 35603.0000 0.5085 8.1359 EUR 0.0057 1.1027 0.5127 8.2036 EURIBOR-ICE 0.0631 97.0950 0.0649 1.0391 EUROSTX 41.4262 4492.0000 0.9222 14.7555 FEEDCOW 1.5337 251.4250 0.6100 9.7601 GASOIL 11.4290 855.7500 1.3355 21.3688 GASOLINE 0.0363 2.5148 1.4447 23.1146 GAS_US_mini 0.0857 2.7450 3.1211 49.9383 GBP 0.0075 1.2841 0.5843 9.3483 GOLD_micro 12.2378 1985.0000 0.6165 9.8642 HEATOIL 0.0335 2.9115 1.1507 18.4113 JGB-SGX-mini 0.3160 146.7700 0.2153 3.4447 JPY 0.0000 0.0071 0.6951 11.1216 LEANHOG 1.2152 85.9750 1.4134 22.6151 LIVECOW 1.0514 179.7000 0.5851 9.3612 LUMBER-new 10.9010 521.0000 2.0923 33.4770 MILK 0.3252 18.0600 1.8005 28.8081 MXP 0.0004 0.0592 0.6517 10.4269 NASDAQ_micro 123.9271 15828.5000 0.7829 12.5270 NIKKEI 287.3376 33250.0000 0.8642 13.8268 NZD 0.0047 0.6214 0.7607 12.1709 OAT 0.5961 127.4500 0.4677 7.4836 OATIES 7.6845 448.2500 1.7143 27.4292 OJ 3.7385 315.8000 1.1838 18.9413 PALLAD 22.8183 1282.0000 1.7799 28.4784 PLAT 14.2404 960.7000 1.4823 23.7167 REDWHEAT 19.0713 829.2500 2.2998 36.7972 RICE 0.1650 15.6750 1.0527 16.8435 ROBUSTA 40.9900 2632.0000 1.5574 24.9179 RUSSELL 17.7395 2008.5000 0.8832 14.1315 SHATZ 0.0945 105.0400 0.0900 1.4400 SILVER-mini 0.3765 25.3000 1.4883 23.8129 SMI 81.0172 11333.0000 0.7149 11.4381 SOFR 0.0801 96.5650 0.0829 1.3271 SOYBEAN 20.4616 1331.0000 1.5373 24.5970 SOYMEAL 6.5988 395.6000 1.6680 26.6887 SOYOIL 1.0956 60.0500 1.8244 29.1906 SP400 19.7338 2737.1000 0.7210 11.5356 SP500_micro 23.8041 4602.5000 0.5172 8.2752 SUGAR11 0.3392 24.3100 1.3953 22.3251 US10 0.4576 111.5000 0.4104 6.5663 US10U 0.6071 117.0938 0.5185 8.2958 US2 0.1179 101.5391 0.1162 1.8585 US20 0.8288 124.5938 0.6652 10.6431 US30 1.1938 132.4375 0.9014 14.4226 US5 0.3077 106.8672 0.2879 4.6062 VIX 0.4343 17.4000 2.4962 39.9391 WHEAT 19.5653 692.0000 2.8274 45.2378 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.15 0.74 500.87 1.00 500.87 46875.0 93.59 -2.94 -27.50 BITCOIN 29.36 2.50 73.40 1.00 73.40 46875.0 638.63 -4.27 -272.66 BOBL 1158.40 0.25 287.13 1.10 315.27 46875.0 148.68 -11.38 -169.16 BTP 1160.60 0.58 672.91 1.10 738.86 46875.0 63.44 9.09 57.68 BUND 1329.00 0.43 577.39 1.10 633.97 46875.0 73.94 6.36 47.06 BUXL 1343.80 0.94 1268.81 1.10 1393.16 46875.0 33.65 -0.80 -2.69 CAC 751.65 0.85 638.22 1.10 700.76 46875.0 66.89 7.02 46.98 CAD 759.45 0.42 319.26 1.00 319.26 46875.0 146.82 0.03 0.48 CANOLA 157.48 1.26 197.85 0.76 149.59 46875.0 313.35 11.78 369.01 CHF 1441.50 0.52 756.66 1.00 756.66 46875.0 61.95 -9.28 -57.46 COCOA 354.60 1.10 391.54 1.00 391.54 46875.0 119.72 5.80 69.45 COFFEE 621.19 1.85 1146.53 1.00 1146.53 46875.0 40.88 -8.12 -33.20 COPPER 1003.37 1.16 1168.49 1.00 1168.49 46875.0 40.12 2.10 8.42 CORN 256.12 2.45 628.32 1.00 628.32 46875.0 74.60 -0.48 -3.62 COTTON2 427.60 1.69 721.31 1.00 721.31 46875.0 64.99 2.88 18.70 CRUDE_W 804.30 1.28 1025.74 1.00 1025.74 46875.0 45.70 4.80 21.94 DAX 165.41 0.73 121.37 1.10 133.27 46875.0 351.74 3.93 138.16 DOW 178.02 0.51 90.52 1.00 90.52 46875.0 517.85 4.10 212.10 EUR 1378.38 0.51 706.73 1.00 706.73 46875.0 66.33 -4.30 -28.54 EURIBOR-ICE 2427.38 0.06 157.64 1.10 173.09 46875.0 270.81 -6.35 -172.06 EUROSTX 449.20 0.92 414.26 1.10 454.86 46875.0 103.05 7.67 79.09 FEEDCOW 1257.12 0.61 766.86 1.00 766.86 46875.0 61.13 -8.13 -49.72 GASOIL 855.75 1.34 1142.90 1.00 1142.90 46875.0 41.01 13.33 54.68 GASOLINE 1056.22 1.44 1525.87 1.00 1525.87 46875.0 30.72 20.00 61.44 GAS_US_mini 68.62 3.12 214.19 1.00 214.19 46875.0 218.85 -12.35 -270.29 GBP 802.56 0.58 468.91 1.00 468.91 46875.0 99.97 4.05 40.52 GOLD_micro 198.50 0.62 122.38 1.00 122.38 46875.0 383.04 -12.13 -464.52 HEATOIL 1222.83 1.15 1407.12 1.00 1407.12 46875.0 33.31 12.97 43.22 JGB-SGX-mini 146770.00 0.22 31598.24 0.01 227.07 46875.0 206.43 10.42 215.08 JPY 885.44 0.70 615.47 1.00 615.47 46875.0 76.16 -16.81 -128.01 LEANHOG 343.90 1.41 486.08 1.00 486.08 46875.0 96.43 15.18 146.43 LIVECOW 718.80 0.59 420.55 1.00 420.55 46875.0 111.46 11.29 125.86 LUMBER-new 143.28 2.09 299.78 1.00 299.78 46875.0 156.37 -10.13 -158.36 MILK 361.20 1.80 650.34 1.00 650.34 46875.0 72.08 -16.94 -122.08 MXP 296.05 0.65 192.93 1.00 192.93 46875.0 242.96 20.00 485.93 NASDAQ_micro 316.57 0.78 247.85 1.00 247.85 46875.0 189.12 -1.61 -30.40 NIKKEI 33250.00 0.86 28733.76 0.01 206.49 46875.0 227.01 19.06 432.64 NZD 621.40 0.76 472.69 1.00 472.69 46875.0 99.17 0.75 7.44 OAT 1274.50 0.47 596.11 1.10 654.53 46875.0 71.62 7.59 54.37 OATIES 224.12 1.71 384.22 1.00 384.22 46875.0 122.00 -4.77 -58.15 OJ 473.70 1.18 560.78 1.00 560.78 46875.0 83.59 20.00 167.18 PALLAD 1282.00 1.78 2281.83 1.00 2281.83 46875.0 20.54 -7.21 -14.81 PLAT 480.35 1.48 712.02 1.00 712.02 46875.0 65.83 -1.91 -12.57 REDWHEAT 414.62 2.30 953.56 1.00 953.56 46875.0 49.16 -2.59 -12.72 RICE 313.50 1.05 330.03 1.00 330.03 46875.0 142.03 12.69 180.25 ROBUSTA 263.20 1.56 409.90 1.00 409.90 46875.0 114.36 14.45 165.25 RUSSELL 100.42 0.88 88.70 1.00 88.70 46875.0 528.48 4.24 224.15 SHATZ 1050.40 0.09 94.53 1.10 103.80 46875.0 451.59 -7.59 -342.67 SILVER-mini 632.50 1.49 941.35 1.00 941.35 46875.0 49.80 -1.07 -5.31 SMI 1133.30 0.71 810.17 1.15 932.22 46875.0 50.28 2.83 14.22 SOFR 2414.12 0.08 200.23 1.00 200.23 46875.0 234.10 -3.35 -78.45 SOYBEAN 665.50 1.54 1023.08 1.00 1023.08 46875.0 45.82 15.51 71.05 SOYMEAL 395.60 1.67 659.88 1.00 659.88 46875.0 71.04 11.54 81.96 SOYOIL 360.30 1.82 657.34 1.00 657.34 46875.0 71.31 8.35 59.54 SP400 2737.10 0.72 1973.38 1.00 1973.38 46875.0 23.75 4.26 10.12 SP500_micro 230.12 0.52 119.02 1.00 119.02 46875.0 393.84 2.22 87.62 SUGAR11 272.27 1.40 379.91 1.00 379.91 46875.0 123.39 4.35 53.62 US10 1115.00 0.41 457.59 1.00 457.59 46875.0 102.44 -10.51 -107.71 US10U 1170.94 0.52 607.12 1.00 607.12 46875.0 77.21 -4.86 -37.49 US2 2030.78 0.12 235.89 1.00 235.89 46875.0 198.72 -20.00 -397.43 US20 1245.94 0.67 828.79 1.00 828.79 46875.0 56.56 -4.29 -24.26 US30 1324.38 0.90 1193.81 1.00 1193.81 46875.0 39.27 -6.82 -26.78 US5 1068.67 0.29 307.66 1.00 307.66 46875.0 152.36 -13.66 -208.15 VIX 174.00 2.50 434.34 1.00 434.34 46875.0 107.92 -20.00 -215.85 WHEAT 346.00 2.83 978.27 1.00 978.27 46875.0 47.92 -9.81 -47.03 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -27.501 0.013 2.5 -0.894 BITCOIN -272.660 0.048 2.5 -32.789 BOBL -169.164 0.004 2.5 -1.569 BTP 57.684 0.012 2.5 1.799 BUND 47.058 0.004 2.5 0.436 BUXL -2.687 0.004 2.5 -0.025 CAC 46.976 0.013 2.5 1.535 CAD 0.480 0.013 2.5 0.016 CANOLA 369.005 0.008 2.5 7.730 CHF -57.462 0.013 2.5 -1.868 COCOA 69.448 0.007 2.5 1.281 COFFEE -33.197 0.004 2.5 -0.334 COPPER 8.418 0.048 2.5 1.012 CORN -3.618 0.008 2.5 -0.076 COTTON2 18.705 0.007 2.5 0.345 CRUDE_W 21.935 0.049 2.5 2.686 DAX 138.162 0.013 2.5 4.514 DOW 212.104 0.009 2.5 4.736 EUR -28.539 0.013 2.5 -0.928 EURIBOR-ICE -172.056 0.012 2.5 -5.367 EUROSTX 79.085 0.013 2.5 2.584 FEEDCOW -49.718 0.014 2.5 -1.695 GASOIL 54.685 0.020 2.5 2.681 GASOLINE 61.440 0.020 2.5 3.012 GAS_US_mini -270.287 0.049 2.5 -33.102 GBP 40.524 0.013 2.5 1.317 GOLD_micro -464.525 0.015 2.5 -17.595 HEATOIL 43.222 0.020 2.5 2.119 JGB-SGX-mini 215.076 0.052 2.5 28.105 JPY -128.008 0.013 2.5 -4.161 LEANHOG 146.427 0.025 2.5 9.153 LIVECOW 125.857 0.014 2.5 4.290 LUMBER-new -158.355 0.007 2.5 -2.872 MILK -122.079 0.007 2.5 -2.252 MXP 485.929 0.066 2.5 79.936 NASDAQ_micro -30.404 0.009 2.5 -0.679 NIKKEI 432.637 0.052 2.5 56.535 NZD 7.440 0.013 2.5 0.242 OAT 54.366 0.012 2.5 1.696 OATIES -58.154 0.008 2.5 -1.218 OJ 167.178 0.007 2.5 3.084 PALLAD -14.809 0.015 2.5 -0.561 PLAT -12.571 0.015 2.5 -0.476 REDWHEAT -12.716 0.005 2.5 -0.145 RICE 180.247 0.008 2.5 3.776 ROBUSTA 165.247 0.004 2.5 1.662 RUSSELL 224.154 0.013 2.5 7.137 SHATZ -342.672 0.004 2.5 -3.178 SILVER-mini -5.312 0.015 2.5 -0.201 SMI 14.221 0.013 2.5 0.465 SOFR -78.449 0.023 2.5 -4.554 SOYBEAN 71.047 0.003 2.5 0.569 SOYMEAL 81.959 0.003 2.5 0.656 SOYOIL 59.536 0.003 2.5 0.477 SP400 10.120 0.013 2.5 0.322 SP500_micro 87.620 0.009 2.5 1.957 SUGAR11 53.615 0.007 2.5 0.982 US10 -107.711 0.005 2.5 -1.304 US10U -37.494 0.005 2.5 -0.454 US2 -397.432 0.005 2.5 -4.810 US20 -24.261 0.005 2.5 -0.294 US30 -26.780 0.005 2.5 -0.324 US5 -208.152 0.005 2.5 -2.519 VIX -215.846 0.059 2.5 -31.982 WHEAT -47.026 0.005 2.5 -0.537 ===================== Position diags ===================== AUD 3.04 BITCOIN 76.80 BOBL 1.38 BTP 1.98 BUND 0.69 BUXL 0.31 CAC 2.19 CAD 4.77 CANOLA 6.56 CHF 2.01 COCOA 2.21 COFFEE 0.41 COPPER 4.82 CORN 1.56 COTTON2 1.20 CRUDE_W 5.60 DAX 11.49 DOW 11.56 EUR 2.16 EURIBOR-ICE 8.45 EUROSTX 3.37 FEEDCOW 2.08 GASOIL 2.01 GASOLINE 1.51 GAS_US_mini 26.80 GBP 3.25 GOLD_micro 14.51 HEATOIL 1.63 JGB-SGX-mini 26.98 JPY 2.48 LEANHOG 6.03 LIVECOW 3.80 LUMBER-new 2.84 MILK 1.33 MXP 39.97 NASDAQ_micro 4.22 NIKKEI 29.66 NZD 3.22 OAT 2.23 OATIES 2.56 OJ 1.54 PALLAD 0.78 PLAT 2.49 REDWHEAT 0.56 RICE 2.98 ROBUSTA 1.15 RUSSELL 16.83 SHATZ 4.19 SILVER-mini 1.89 SMI 1.64 SOFR 13.59 SOYBEAN 0.37 SOYMEAL 0.57 SOYOIL 0.57 SP400 0.76 SP500_micro 8.79 SUGAR11 2.26 US10 1.24 US10U 0.93 US2 2.41 US20 0.68 US30 0.48 US5 1.84 VIX 15.99 WHEAT 0.55 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.2 -0.6 NaN 0 BITCOIN -32.8 -40.5 -25.1 0.0 0 BOBL -1.6 -1.7 -1.4 -1.0 -1 BTP 1.8 1.6 2.0 5.0 5 BUND 0.4 0.4 0.5 0.0 0 BUXL -0.0 -0.1 0.0 -1.0 -1 CAC 1.5 1.3 1.8 NaN 0 CAD 0.0 -0.5 0.5 -1.0 -1 CANOLA 7.7 7.1 8.4 NaN 0 CHF -1.9 -2.1 -1.7 -2.0 -2 COCOA 1.3 1.1 1.5 1.0 1 COFFEE -0.3 -0.4 -0.3 NaN 0 COPPER 1.0 0.5 1.5 2.0 2 CORN -0.1 -0.2 0.1 0.0 0 COTTON2 0.3 0.2 0.5 1.0 1 CRUDE_W 2.7 2.1 3.2 3.0 3 DAX 4.5 3.4 5.7 -1.0 -1 DOW 4.7 3.6 5.9 NaN 0 EUR -0.9 -1.1 -0.7 0.0 0 EURIBOR-ICE -5.4 -6.2 -4.5 -8.0 -8 EUROSTX 2.6 2.2 2.9 9.0 9 FEEDCOW -1.7 -1.9 -1.5 -1.0 -1 GASOIL 2.7 2.5 2.9 2.0 2 GASOLINE 3.0 2.9 3.2 4.0 4 GAS_US_mini -33.1 -35.8 -30.4 -20.0 -20 GBP 1.3 1.0 1.6 2.0 2 GOLD_micro -17.6 -19.0 -16.1 -6.0 -6 HEATOIL 2.1 2.0 2.3 0.0 0 JGB-SGX-mini 28.1 25.4 30.8 16.0 16 JPY -4.2 -4.4 -3.9 -8.0 -8 LEANHOG 9.2 8.6 9.8 6.0 6 LIVECOW 4.3 3.9 4.7 4.0 4 LUMBER-new -2.9 -3.2 -2.6 NaN 0 MILK -2.3 -2.4 -2.1 NaN 0 MXP 79.9 75.9 83.9 59.0 59 NASDAQ_micro -0.7 -1.1 -0.3 -4.0 -4 NIKKEI 56.5 53.6 59.5 35.0 35 NZD 0.2 -0.1 0.6 1.0 1 OAT 1.7 1.5 1.9 NaN 0 OATIES -1.2 -1.5 -1.0 NaN 0 OJ 3.1 2.9 3.2 NaN 0 PALLAD -0.6 -0.6 -0.5 NaN 0 PLAT -0.5 -0.7 -0.2 -6.0 -6 REDWHEAT -0.1 -0.2 -0.1 NaN 0 RICE 3.8 3.5 4.1 NaN 0 ROBUSTA 1.7 1.5 1.8 3.0 3 RUSSELL 7.1 5.5 8.8 0.0 0 SHATZ -3.2 -3.6 -2.8 NaN 0 SILVER-mini -0.2 -0.4 -0.0 NaN 0 SMI 0.5 0.3 0.6 8.0 8 SOFR -4.6 -5.9 -3.2 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.7 0.6 0.7 NaN 0 SOYOIL 0.5 0.4 0.5 1.0 1 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 2.0 1.1 2.8 0.0 0 SUGAR11 1.0 0.8 1.2 1.0 1 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.5 -0.5 -0.4 -6.0 -6 US2 -4.8 -5.1 -4.6 NaN 0 US20 -0.3 -0.4 -0.2 NaN 0 US30 -0.3 -0.4 -0.3 NaN 0 US5 -2.5 -2.7 -2.3 -3.0 -3 VIX -32.0 -33.6 -30.4 -17.0 -17 WHEAT -0.5 -0.6 -0.5 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BITCOIN 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BOBL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BTP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BUND 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BUXL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CAC 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CANOLA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CHF 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COCOA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COFFEE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COPPER 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CORN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COTTON2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CRUDE_W 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 DAX 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 DOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EUR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EURIBOR-ICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EUROSTX 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 FEEDCOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GASOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GASOLINE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GAS_US_mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GBP 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GOLD_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 HEATOIL 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 JGB-SGX-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 JPY 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LEANHOG 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LIVECOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LUMBER-new 2.7 2.7 2.6 0.9 1.3 2.2 0.9 3.0 0.9 1.3 2.1 0.9 1.7 0.9 0.9 6.4 6.4 6.4 6.4 0.9 0.9 1.3 2.2 0.9 0.0 0.9 1.3 2.2 0.9 3.0 0.9 17.0 3.6 2.7 2.6 2.6 1.4 1.4 1.4 1.4 MILK 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 MXP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NASDAQ_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NIKKEI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NZD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OAT 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OATIES 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OJ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PALLAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PLAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 REDWHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 ROBUSTA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RUSSELL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SHATZ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SILVER-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SMI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOFR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYBEAN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYMEAL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP400 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP500_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SUGAR11 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10U 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US20 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US30 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US5 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 VIX 3.8 3.8 3.8 1.3 1.9 3.2 1.3 4.2 1.3 1.9 3.2 1.3 4.2 1.3 1.3 9.0 9.0 9.0 9.0 1.3 1.3 1.9 3.2 1.3 0.0 1.3 1.9 3.2 1.3 4.2 1.3 0.0 0.0 0.0 0.0 0.0 2.0 2.0 0.0 0.0 WHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.1 0.1 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 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 -0.1 -0.1 -0.0 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.3 -0.3 -0.3 -0.0 -0.3 0.1 0.1 BITCOIN -0.2 0.2 0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 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 -0.0 0.1 -0.0 -0.2 -0.2 -0.5 -0.0 -0.3 -0.1 0.3 -0.0 0.3 BOBL 0.2 -0.1 -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 -0.3 -1.2 -0.7 -0.0 -0.0 0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.6 0.2 0.1 -0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP 0.0 0.0 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 0.0 -0.0 0.0 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 2.6 0.3 0.0 0.3 0.3 -0.3 -0.3 -0.1 0.1 BUND 0.1 -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 0.1 -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 -0.1 -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 -0.1 -0.3 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 -0.1 -0.2 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.2 -0.1 -0.3 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.4 0.1 0.5 0.1 0.1 -0.4 0.0 -0.2 -0.1 0.1 0.1 0.2 0.4 0.1 -0.2 0.0 0.1 0.1 0.1 0.2 0.0 1.4 0.2 -0.3 -0.1 -0.1 0.2 -0.0 0.3 0.0 CAD -0.0 0.2 0.4 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 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 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.7 -0.5 -0.3 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA 0.5 0.5 0.5 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.2 0.1 0.1 0.1 0.9 0.6 0.9 0.2 0.1 0.0 -0.1 0.1 -1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 2.1 -0.7 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 0.0 0.3 0.1 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 0.0 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 0.2 0.2 0.4 0.0 -0.0 -0.0 0.0 -0.1 0.0 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 0.0 0.2 0.1 -2.1 0.7 0.4 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 0.0 -0.1 0.0 0.2 -0.1 0.1 -0.2 -0.1 -0.1 0.0 0.2 0.2 0.2 -0.1 -0.1 0.1 -0.2 -0.1 -1.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -1.0 0.2 -0.4 -0.5 0.2 -0.3 -0.3 -0.1 -0.2 COPPER 0.4 0.2 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.2 -0.1 0.1 -0.2 0.0 0.1 -0.0 0.1 -0.0 0.0 0.5 0.7 0.3 0.2 -0.4 0.0 -0.3 0.1 -0.2 CORN 0.1 0.2 0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 0.5 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.5 -0.0 -0.1 0.0 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 -0.1 0.1 0.0 -0.2 0.1 0.1 0.6 0.4 0.5 0.3 0.1 0.0 0.1 -0.1 0.1 -1.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.2 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.4 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.1 0.2 -0.3 0.2 0.1 0.4 0.5 0.4 0.4 0.2 0.0 0.2 0.0 0.2 -0.3 0.1 0.1 0.1 0.1 0.1 0.1 -1.5 -0.7 -0.3 0.0 0.3 0.2 0.2 0.2 0.1 DAX 0.3 -0.2 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.2 0.5 0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.1 0.1 0.2 0.3 0.1 0.9 0.0 0.1 0.1 0.1 0.2 0.1 -0.6 0.3 -0.1 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.5 0.4 0.2 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.3 0.2 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 0.0 0.1 0.1 -0.7 0.7 0.5 0.5 0.2 -0.1 -0.0 -0.3 -0.0 EUR 0.2 0.2 0.0 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.2 -0.0 0.2 0.0 0.0 -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 -0.5 -0.2 -0.2 -0.2 -0.1 -0.3 -0.0 0.1 EURIBOR-ICE 0.4 -0.1 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 -0.6 -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 0.2 0.2 -0.0 0.0 -0.3 -0.3 0.3 0.1 EUROSTX 0.2 -0.1 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.1 -0.3 -0.0 -0.3 -0.1 0.1 0.1 0.2 0.3 0.1 0.3 0.0 0.2 0.1 0.1 0.2 0.0 1.1 0.2 -0.3 -0.2 -0.1 0.3 0.0 0.3 0.1 FEEDCOW 0.0 0.1 0.4 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.1 0.4 0.0 0.6 0.1 0.2 -1.0 -1.2 -1.2 -1.2 0.2 0.2 0.1 0.4 0.1 0.3 0.1 0.0 0.2 0.0 0.3 0.0 -3.2 -0.7 -0.1 0.0 0.5 0.0 -0.2 0.2 -0.1 GASOIL 0.5 0.5 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 -0.2 0.2 0.1 0.6 0.9 0.5 0.6 0.2 0.1 0.2 0.0 0.2 0.7 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 0.4 0.3 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 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 3.2 -0.2 0.1 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.1 0.5 0.2 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 -0.4 0.0 -0.5 0.0 0.0 -0.5 -0.7 -0.6 -0.8 -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 -0.3 -0.0 0.1 0.2 -0.0 0.0 GBP 0.0 0.2 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 -0.0 0.2 0.0 0.1 0.0 -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 0.1 0.0 0.4 -0.3 -0.2 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.4 -0.2 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.1 0.2 0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 0.0 0.0 0.2 0.0 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 -2.6 0.4 0.3 -0.2 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.3 -0.1 0.2 -0.2 0.2 0.1 0.7 1.0 0.5 0.6 0.2 0.1 0.3 0.0 0.2 -1.1 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.7 0.5 0.5 0.4 -0.0 0.0 -0.1 0.0 JGB-SGX-mini -0.5 -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 0.5 1.2 0.7 0.9 0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 3.2 -0.1 -0.3 0.1 0.3 -0.3 -0.1 0.0 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 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.2 -0.0 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.2 -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 0.2 -0.1 0.1 -0.3 0.1 0.1 1.2 0.4 1.2 1.2 0.1 -0.1 0.2 -0.4 0.1 0.8 -0.0 0.1 -0.2 0.0 -0.3 0.0 2.0 0.2 0.1 0.1 -0.4 -0.0 0.0 0.3 0.3 LIVECOW -0.0 0.4 0.5 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.4 -0.0 0.6 0.1 0.2 -0.7 0.5 0.6 1.0 0.2 0.2 -0.1 0.4 0.1 0.4 0.1 -0.0 0.2 -0.0 0.2 0.0 1.7 -0.7 0.0 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.2 0.3 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.2 -0.2 -0.3 -0.1 -0.0 -0.5 -0.8 -0.6 -0.7 -0.0 -0.0 -0.3 -0.1 -0.1 NaN -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -3.4 -0.7 -0.5 -0.3 0.2 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.4 0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.2 0.0 -0.0 -1.2 -1.2 -1.2 -1.2 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.6 0.2 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.0 0.0 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.6 0.2 0.2 1.1 1.1 1.1 1.1 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.2 0.0 0.3 0.1 3.2 0.7 -0.1 0.2 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.1 0.2 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 0.1 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.9 -0.4 0.2 0.5 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.4 0.0 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.1 0.9 0.7 0.8 0.8 0.2 0.2 0.1 0.4 0.1 -0.3 0.0 0.1 0.2 0.0 0.2 0.0 3.2 0.3 -0.5 0.2 0.5 0.0 0.0 -0.0 0.1 NZD 0.1 0.2 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 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.8 -0.1 -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 2.8 0.1 -0.1 0.1 0.1 -0.3 -0.3 -0.1 0.0 OATIES -0.1 0.5 0.5 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 0.0 -0.2 0.1 0.1 -0.9 -0.0 -0.7 -0.5 0.2 0.1 0.1 0.1 0.1 -1.1 0.0 -0.0 0.1 0.0 0.0 0.0 -3.1 0.4 -0.0 0.5 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.5 0.2 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.2 0.4 0.2 0.6 0.2 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.2 0.1 0.3 0.1 3.2 0.7 0.5 0.4 0.5 0.2 0.1 0.3 0.2 PALLAD 0.3 -0.2 -0.3 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 -0.4 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 -0.2 -0.5 -0.3 -0.2 -0.0 0.0 0.0 PLAT 0.5 -0.4 -0.3 0.0 0.0 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 -0.0 -0.0 -0.0 -0.0 -0.0 0.4 -0.3 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 -0.0 0.0 -0.1 0.1 0.0 -0.2 0.0 0.0 -0.2 0.2 0.0 0.2 0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -1.1 0.2 -0.1 -0.1 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.4 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 -0.1 1.2 1.2 1.2 0.1 0.0 0.1 -0.0 0.1 -1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 3.2 0.2 0.1 -0.0 0.5 -0.1 -0.3 0.0 -0.2 ROBUSTA -0.1 -0.5 0.1 0.0 -0.0 -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 2.8 0.1 -0.2 -0.2 0.5 -0.1 -0.3 0.1 -0.2 RUSSELL 0.5 0.5 0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.2 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 0.5 0.5 0.1 -0.1 -0.1 -0.3 -0.1 SHATZ 0.3 -0.3 -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 -1.0 -0.1 -0.6 -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 -0.4 0.3 0.1 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.5 -0.0 -0.2 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 0.1 0.0 0.0 0.0 -0.6 0.1 0.3 0.2 -0.0 -0.2 -0.3 -0.0 -0.3 SMI 0.1 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.0 -0.2 0.1 -0.2 -0.0 -0.0 0.0 0.2 0.1 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.0 0.0 1.6 0.5 -0.3 -0.5 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.2 -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 -0.1 -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 0.3 0.5 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.0 0.1 0.1 1.0 1.2 0.9 1.1 0.1 0.0 -0.0 -0.0 0.0 -0.9 0.0 -0.0 0.0 -0.0 0.0 0.0 3.2 -0.4 -0.0 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 0.0 0.1 0.0 0.0 0.6 1.2 1.2 1.2 0.0 0.0 -0.0 0.0 0.0 -1.0 0.0 -0.0 0.0 -0.0 0.0 0.0 3.2 -0.3 -0.0 0.2 0.1 -0.1 -0.2 -0.1 -0.2 SOYOIL 0.3 0.5 0.4 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.1 0.1 0.1 0.6 0.6 0.6 0.5 0.1 0.0 0.0 0.0 0.1 -1.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.4 -0.2 0.0 0.5 0.3 0.0 0.1 0.2 0.3 SP400 0.5 0.5 0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 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 0.1 0.0 0.1 -0.1 0.4 0.5 0.1 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.3 0.5 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 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 0.2 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 -0.1 0.2 0.0 0.4 0.0 0.0 -0.1 0.9 0.1 0.5 0.0 0.1 -0.0 0.4 0.0 -1.1 0.0 -0.0 0.2 -0.0 0.3 0.0 1.4 -0.3 -0.1 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 0.2 -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 -0.1 -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 0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US2 0.3 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -3.2 -0.3 -0.0 -0.3 -0.3 -0.3 -0.3 -0.3 -0.2 US20 0.1 -0.1 -0.2 -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 4.7 5.7 3.9 3.3 -1.5 2.7 0.3 1.3 2.6 -4.6 -3.8 -4.0 -3.8 0.0 2.5 -2.6 -2.6 -2.7 -2.7 1.0 -0.5 -4.3 -3.0 -0.3 2.1 1.1 -3.3 0.3 -2.4 -1.3 0.2 -0.5 -1.3 -11.6 -11.6 -10.6 -1.7 -20.0 5.3 9.9 BITCOIN -8.5 7.1 6.2 5.1 0.7 4.8 0.5 3.7 4.0 -17.9 19.8 -20.0 -3.0 8.8 12.0 -7.7 -3.5 -6.2 -4.8 7.4 13.4 -10.1 7.0 -2.5 -20.0 3.0 -5.2 5.3 -5.8 4.1 -1.7 -1.0 -5.7 -20.0 -0.7 -10.4 -4.1 20.0 -3.1 20.0 BOBL 8.2 -5.9 -4.8 -1.7 -0.2 -1.9 -0.4 -2.7 -1.0 -1.7 -3.3 3.8 -6.5 -1.2 -3.8 -20.0 -4.6 -19.9 -11.7 -3.0 -4.9 1.5 -8.7 -0.2 9.6 -1.2 0.5 -1.6 0.7 -3.0 -0.0 -10.1 5.0 2.6 -0.3 1.2 -20.0 -20.0 -20.0 -14.6 BTP 1.8 0.7 11.3 -2.6 -0.3 -2.8 -0.6 -4.0 -1.4 -4.0 8.4 6.8 -1.1 4.5 4.9 4.1 8.5 5.7 7.0 3.4 3.5 2.6 -1.4 3.2 -6.4 2.2 0.4 2.9 1.5 0.5 1.7 16.5 9.4 1.4 13.1 13.7 -20.0 -20.0 -8.2 4.8 BUND 3.7 -0.4 0.4 -1.8 -0.2 -2.0 -0.4 -2.9 -1.0 -7.3 -3.4 2.0 -7.0 -0.1 -2.5 5.9 9.1 6.4 7.3 -1.9 -3.7 -0.4 -8.5 -0.5 5.7 -0.8 -1.2 -1.1 -0.2 -3.0 -0.3 17.0 2.5 -1.1 2.6 3.0 -20.0 -20.0 -13.9 -2.2 BUXL -2.7 6.8 -1.1 -2.3 -0.2 -2.5 -0.6 -3.6 -1.3 -9.4 -7.7 -2.0 -9.7 -1.6 -3.2 1.1 1.2 1.5 1.8 -2.1 -5.1 -4.7 -12.7 -2.3 0.2 -0.7 -4.8 -1.2 -2.9 -3.9 -1.3 5.6 -1.9 -7.9 7.3 4.4 -20.0 -20.0 4.1 10.9 CAC 8.7 -5.8 -10.9 5.6 4.0 5.3 5.5 4.3 6.1 17.2 16.8 18.0 18.0 15.9 12.1 -6.5 0.7 -3.6 -1.2 7.6 10.9 14.8 16.9 11.1 -4.6 4.8 9.0 6.1 7.7 8.1 6.0 8.6 6.1 -14.0 -2.4 -5.9 18.3 -2.0 20.0 0.1 CAD -1.3 9.5 14.8 5.6 -2.5 4.5 0.6 2.2 4.3 3.1 14.4 4.8 -7.0 10.5 14.9 -1.9 -1.9 -2.2 -2.2 10.4 8.8 0.3 -0.2 5.4 -0.2 5.6 0.9 5.3 0.0 0.9 2.7 0.5 20.0 -20.0 -12.4 -2.6 -16.2 -20.0 -20.0 -17.3 CANOLA 20.0 20.0 18.7 1.6 -0.8 -0.7 1.9 -1.7 3.0 -8.7 3.0 4.9 -6.8 9.4 9.1 2.1 15.5 10.9 14.7 18.2 6.6 1.0 -2.5 17.1 -20.0 2.7 -3.2 0.5 -0.1 -1.1 2.6 13.5 -20.0 18.9 20.0 11.2 -14.4 13.7 1.0 20.0 CHF 19.6 11.7 3.2 3.6 -1.6 2.9 0.4 1.4 2.8 -11.9 9.9 5.3 10.2 8.2 8.3 -13.4 -12.8 -13.8 -13.5 12.5 10.0 1.1 7.2 11.1 -6.0 3.9 -2.3 3.0 0.6 1.9 3.5 -18.6 -2.2 10.7 1.9 3.0 -13.2 -20.0 -15.1 -20.0 COCOA 6.1 7.9 15.1 3.1 -1.7 -1.4 3.7 -3.4 5.9 18.2 20.0 19.9 20.0 20.0 20.0 0.1 -0.8 -0.2 -0.2 20.0 20.0 20.0 20.0 20.0 -9.9 8.4 4.9 8.6 5.9 6.9 6.9 -13.4 20.0 16.5 20.0 20.0 -20.0 -20.0 10.3 -7.7 COFFEE 5.0 -19.9 -7.8 2.9 -1.5 -1.3 3.4 -3.1 5.4 12.0 -4.6 9.2 -8.8 -14.6 -17.0 0.6 3.6 2.7 3.5 -15.5 -12.9 4.5 -9.7 -7.4 -20.0 -3.4 6.8 -2.1 3.4 -1.4 -1.0 -6.4 5.8 -14.8 -20.0 6.6 -20.0 -20.0 -9.6 -16.3 COPPER 14.1 8.1 -9.1 3.2 0.4 3.0 0.3 2.3 2.5 12.0 -3.6 9.8 -3.5 8.8 -0.2 -2.9 -1.5 -2.6 -2.1 2.1 -1.8 13.7 -2.6 8.1 -4.1 1.8 10.2 -0.9 7.0 -1.4 4.8 2.9 20.0 13.6 7.4 -16.0 0.9 -20.0 5.2 -17.3 CORN 5.1 8.1 3.6 1.0 -0.5 -0.5 1.2 -1.1 1.9 -4.3 -2.9 0.8 -4.2 -2.2 -2.5 -4.3 7.6 -1.9 2.8 -0.7 -1.8 -1.4 -1.7 0.2 -6.6 0.7 -2.2 -0.5 -0.3 -1.2 0.7 -3.0 -1.0 -3.8 1.3 0.1 -2.4 12.3 1.1 20.0 COTTON2 12.4 7.1 12.4 1.8 -1.0 -0.8 2.1 -1.9 3.3 -4.1 4.5 4.7 -8.7 8.1 8.1 9.8 7.0 7.9 5.7 6.4 2.2 5.3 -2.5 8.3 -19.9 3.0 -1.0 1.3 2.6 0.3 3.9 -2.6 2.6 8.3 -5.2 10.7 -20.0 -17.1 7.6 8.1 CRUDE_W 20.0 17.0 -1.0 5.2 10.4 1.1 11.2 -0.0 9.3 20.0 3.9 20.0 -10.8 20.0 10.8 7.1 8.2 6.3 6.7 20.0 5.6 20.0 0.4 20.0 -6.6 6.8 10.6 3.3 10.8 2.1 9.7 -9.3 -20.0 -12.5 0.1 10.4 12.4 11.8 12.3 4.4 DAX 10.6 -7.2 -2.1 5.6 4.0 5.3 5.4 4.2 6.0 15.7 16.2 18.6 17.3 12.6 11.5 -8.4 -6.5 -8.3 -7.8 8.3 12.0 19.1 15.8 12.8 17.0 3.5 11.7 5.3 10.2 6.9 6.0 -3.6 9.5 -5.9 -11.7 -6.0 20.0 -1.0 20.0 3.8 DOW 20.0 16.9 9.0 5.8 4.1 5.4 5.6 4.4 6.2 15.7 13.8 19.1 11.4 19.6 19.4 -11.3 -6.9 -10.0 -8.8 20.0 16.1 20.0 9.0 20.0 -10.2 6.8 3.2 4.9 6.0 3.1 7.5 -4.7 20.0 20.0 20.0 7.6 -5.0 -3.7 -20.0 -2.4 EUR 8.6 9.2 1.1 4.0 -1.8 3.2 0.4 1.6 3.1 -10.9 9.1 -2.1 7.7 5.1 5.8 -6.1 -6.8 -6.5 -6.6 6.8 6.5 -6.8 3.7 2.9 11.9 3.1 -4.6 2.9 -2.6 1.5 1.4 -7.4 -14.5 -9.8 -6.3 -7.4 -4.3 -20.0 -1.3 5.3 EURIBOR-ICE 15.1 -5.0 4.9 -1.7 -0.2 -1.8 -0.4 -2.6 -0.9 0.3 -3.8 4.3 -6.4 0.3 -2.9 -10.1 -7.6 -10.2 -9.4 -2.4 -4.5 3.1 -8.0 1.1 16.4 -1.0 1.3 -1.7 1.3 -3.2 0.4 -12.0 6.9 6.1 -1.0 1.2 -20.0 -20.0 20.0 5.1 EUROSTX 6.5 -5.8 -5.3 5.3 3.8 5.0 5.1 4.0 5.7 15.5 17.9 16.7 18.2 14.9 14.9 -4.8 -0.1 -4.3 -2.4 8.3 11.8 15.5 16.1 10.7 4.9 4.3 12.3 6.2 9.5 8.3 5.8 6.9 4.9 -11.4 -8.3 -5.6 20.0 1.2 20.0 6.7 FEEDCOW 2.0 2.7 17.9 3.3 -1.8 -1.5 3.8 -3.5 6.1 9.9 20.0 5.4 20.0 16.9 19.4 -17.7 -20.0 -20.0 -20.0 20.0 20.0 6.7 20.0 15.3 6.2 8.2 1.6 11.0 2.0 10.7 4.5 -20.0 -20.0 -3.1 0.1 20.0 1.3 -18.5 13.7 -11.2 GASOIL 20.0 20.0 -0.2 4.6 9.2 1.0 9.9 -0.0 8.2 18.1 -3.4 20.0 -5.8 20.0 15.2 10.8 14.8 8.0 10.2 20.0 6.2 20.0 0.6 20.0 12.6 5.7 11.2 1.4 11.3 -0.3 9.4 0.0 12.6 10.6 16.0 4.6 -8.0 3.2 -11.2 -4.3 GASOLINE 20.0 20.0 5.8 5.3 10.6 1.1 11.5 -0.0 9.5 20.0 16.2 20.0 -4.1 20.0 19.3 20.0 20.0 20.0 20.0 20.0 18.7 20.0 13.7 20.0 -20.0 7.8 7.5 5.1 9.6 4.2 9.7 20.0 -4.9 4.2 20.0 20.0 11.3 12.9 13.7 -0.7 GAS_US_mini 2.2 20.0 9.2 4.1 8.2 0.9 8.9 -0.0 7.3 -4.0 -17.0 2.7 -17.9 5.4 3.6 -8.4 -12.4 -10.6 -13.2 -1.7 -20.0 0.2 -20.0 2.0 19.1 2.6 -1.4 -1.1 0.2 -3.8 2.1 -20.0 -20.0 -20.0 -13.7 -0.5 4.2 13.3 -0.9 1.2 GBP 0.9 7.4 11.5 4.3 -2.0 3.5 0.4 1.7 3.4 -9.7 13.6 -3.9 8.9 5.5 9.3 0.6 -1.0 0.0 -0.6 11.3 12.6 -3.3 7.5 5.0 -0.7 4.7 -2.4 4.7 -1.1 2.0 2.3 2.7 -8.7 -7.6 -4.2 2.4 6.2 10.7 11.2 20.0 GOLD_micro 17.2 -9.2 -7.2 4.5 0.6 4.2 0.5 3.2 3.5 -1.7 2.5 8.0 8.0 4.9 -10.4 -16.5 -12.0 -15.3 -13.8 -2.9 0.7 2.7 7.5 2.5 -11.7 2.0 0.0 2.7 1.5 4.6 3.4 -16.2 11.3 11.3 -8.0 -13.6 -20.0 -20.0 -6.9 -20.0 HEATOIL 20.0 20.0 -0.3 5.4 10.8 1.2 11.7 -0.0 9.7 20.0 -5.3 20.0 -8.2 20.0 17.5 11.6 16.4 7.6 10.3 20.0 7.8 20.0 0.4 20.0 -20.0 7.2 11.6 3.0 12.1 1.6 10.5 1.5 20.0 20.0 20.0 15.7 -1.4 1.7 -6.4 0.4 JGB-SGX-mini -19.2 -16.4 6.9 -1.8 -0.2 -2.0 -0.4 -2.8 -1.0 -6.1 6.6 -4.1 6.2 -3.7 0.9 8.6 20.0 11.4 15.6 0.1 3.7 -7.4 4.1 -3.5 0.8 -0.3 -7.3 1.2 -3.7 0.9 -1.9 20.0 -2.3 -12.4 4.2 10.2 -20.0 -7.0 3.8 7.2 JPY 20.0 2.0 -14.3 2.8 -1.3 2.3 0.3 1.1 2.2 -7.7 -7.7 -0.6 -7.9 0.2 -6.9 -15.7 -13.3 -16.0 -15.0 -6.2 -9.4 -4.1 -10.6 -2.2 20.0 -1.9 -3.5 -2.9 -1.4 -3.3 -0.7 -20.0 -7.4 -3.1 -20.0 -20.0 -15.9 -20.0 -17.2 -20.0 LEANHOG 14.1 20.0 0.3 2.5 -1.4 -1.2 3.0 -2.8 4.8 14.4 -5.7 14.8 -10.0 16.7 13.3 20.0 7.1 20.0 20.0 9.3 -7.3 14.4 -17.3 15.4 15.8 -0.7 7.3 -8.0 5.7 -11.0 4.2 12.7 7.3 3.9 3.6 -17.1 -3.8 2.8 20.0 20.0 LIVECOW -1.4 16.4 20.0 3.5 -1.9 -1.6 4.1 -3.8 6.6 -19.7 20.0 -4.7 20.0 11.8 20.0 -11.2 8.5 10.2 16.8 20.0 20.0 -6.0 20.0 15.4 7.6 8.3 -2.0 9.2 -0.8 7.6 3.9 10.6 -20.0 1.5 20.0 20.0 -20.0 -20.0 -16.9 -19.6 LUMBER-new -9.3 11.8 4.2 2.6 -1.4 -0.9 3.1 -2.1 5.0 -16.5 -11.4 -17.5 -15.1 -6.5 -1.8 -8.5 -11.9 -10.2 -11.4 -2.2 -2.3 -20.0 -4.6 -11.7 NaN -0.6 -8.4 -0.1 -9.3 -0.8 -4.8 -20.0 -20.0 -20.0 -10.7 6.3 -20.0 -20.0 -20.0 -20.0 MILK 20.0 17.3 1.3 1.3 -0.7 -0.6 1.5 -1.4 2.4 4.2 -7.2 4.8 -8.8 2.1 -4.8 -20.0 -20.0 -20.0 -20.0 -4.9 -10.4 9.6 -11.0 4.3 -3.8 -1.8 2.1 -3.2 2.2 -3.1 0.7 -20.0 19.3 8.9 -20.0 -20.0 -20.0 -20.0 -14.4 -20.0 MXP -0.8 0.3 10.7 5.8 -2.6 4.7 0.6 2.3 4.5 13.9 20.0 16.4 20.0 19.3 20.0 18.2 17.9 18.6 18.1 20.0 20.0 15.5 20.0 20.0 -20.0 8.3 4.5 9.7 4.5 9.9 6.1 20.0 20.0 -4.3 6.0 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -3.1 8.8 20.0 4.1 2.9 3.9 3.9 3.1 4.4 3.8 14.6 7.3 8.4 11.0 13.6 -10.9 -7.5 -10.4 -9.3 20.0 20.0 9.9 20.0 16.5 -20.0 5.4 1.9 6.2 1.8 4.8 3.2 -5.6 -11.1 6.6 18.8 20.0 -7.2 -9.9 -15.9 -12.4 NIKKEI -15.7 0.5 20.0 5.4 3.9 5.1 5.2 4.1 5.8 16.4 16.9 6.5 16.5 6.7 14.8 16.0 11.9 14.2 12.8 20.0 20.0 11.5 20.0 9.6 -5.4 5.8 4.4 8.2 2.8 6.7 2.5 20.0 8.6 -20.0 6.4 20.0 3.5 2.9 -1.4 8.8 NZD 5.2 6.3 1.7 2.9 -1.3 2.3 0.3 1.1 2.2 -2.7 -1.7 -5.3 0.4 0.2 0.6 0.6 0.6 0.6 0.5 1.1 0.0 -2.7 -1.6 0.1 0.2 1.0 -0.9 0.5 -1.4 -0.6 0.4 5.0 -3.1 -8.2 -11.6 -11.0 1.5 -12.5 8.4 7.3 OAT 2.3 0.5 3.4 -2.0 -0.2 -2.2 -0.5 -3.1 -1.1 -8.0 -3.8 1.9 -7.2 0.3 -1.5 5.7 9.2 7.0 8.1 -1.6 -3.1 -0.7 -7.7 -0.6 7.6 -0.7 -1.4 -0.9 -0.4 -3.2 -0.4 18.0 2.7 -2.1 3.7 4.7 -20.0 -20.0 -3.9 1.8 OATIES -5.5 20.0 20.0 1.7 -0.9 -0.8 2.0 -1.9 3.2 -4.5 8.3 3.5 -6.6 9.1 10.4 -15.3 -0.4 -12.0 -7.6 18.4 12.7 5.0 4.0 14.3 -20.0 3.6 -0.3 2.4 0.8 0.7 2.5 -19.6 11.1 -0.7 20.0 20.0 3.6 20.0 15.1 20.0 OJ 20.0 20.0 6.4 3.4 -1.8 -1.5 4.0 -3.6 6.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 7.4 8.3 10.9 10.2 9.9 20.0 20.0 20.0 15.9 20.0 18.3 5.8 20.0 16.7 PALLAD 12.7 -9.9 -12.4 2.5 0.4 2.3 0.3 1.8 2.0 -2.3 -11.7 -2.5 -12.0 -7.3 -10.3 -3.6 -2.6 -3.3 -3.1 -12.7 -18.4 -2.6 -20.0 -6.4 -4.7 -3.5 0.7 -4.0 -1.1 -4.2 -2.2 1.0 2.5 -8.2 -20.0 -11.7 -16.0 -0.2 1.8 2.2 PLAT 20.0 -14.7 -11.4 2.8 0.4 2.6 0.3 2.0 2.2 -6.0 -6.8 2.2 0.3 -2.9 -7.9 -3.1 -1.9 -2.8 -2.4 -6.5 -5.9 -2.4 -1.8 -2.2 13.0 -1.2 -2.1 -1.1 -1.1 -0.1 -0.1 2.3 -7.5 3.6 -16.2 -6.4 1.9 -15.2 9.9 -10.9 REDWHEAT 7.3 12.1 9.6 1.5 -0.8 -0.7 1.8 -1.6 2.9 -6.1 2.5 0.2 -7.8 3.5 4.9 -2.6 3.3 0.7 2.9 3.8 1.0 0.1 -1.1 4.6 -10.5 1.7 -4.0 0.5 0.7 0.0 2.2 -6.8 4.9 -3.8 -3.5 3.9 -20.0 -17.2 -5.5 -6.8 RICE 14.1 11.5 2.9 2.4 -1.3 -1.1 2.8 -2.6 4.5 -8.2 -2.0 6.9 -2.2 8.8 9.9 -2.0 20.0 20.0 20.0 7.8 1.4 6.3 -1.0 11.6 -20.0 3.3 -3.8 0.9 2.3 -0.4 4.3 20.0 5.8 4.5 -0.7 18.1 -8.4 -20.0 2.0 -17.7 ROBUSTA -5.5 -20.0 6.0 2.0 -1.1 -0.9 2.3 -2.1 3.7 4.1 10.6 5.9 10.5 -2.2 6.5 20.0 15.5 20.0 20.0 6.7 13.7 4.5 14.9 3.2 -10.0 3.1 0.9 6.1 1.7 6.5 1.3 17.8 2.1 -7.0 -6.8 20.0 -7.7 -20.0 5.6 -12.5 RUSSELL 19.0 19.0 14.4 4.9 3.5 4.6 4.7 3.7 5.3 12.5 4.5 14.7 -2.5 15.6 15.1 -7.2 -5.0 -6.6 -6.0 20.0 11.7 16.3 1.2 20.0 -1.5 5.7 3.7 3.8 3.9 1.6 5.4 -0.6 4.0 18.5 20.0 5.1 -4.2 -6.9 -20.0 -9.6 SHATZ 13.2 -12.6 -16.6 -1.7 -0.2 -1.9 -0.4 -2.7 -1.0 4.9 -5.7 5.5 -7.0 -3.1 -5.5 -17.4 -1.2 -9.4 -5.7 -6.2 -8.9 2.8 -12.3 -1.1 11.2 -1.8 1.4 -2.5 1.1 -3.6 -0.2 -2.7 8.3 5.5 -4.6 -3.1 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -1.5 -6.3 3.3 0.5 3.1 0.3 2.4 2.6 -1.0 4.7 8.1 5.3 9.5 0.9 -6.7 -5.4 -6.6 -6.1 5.2 3.7 4.9 3.8 8.0 7.0 3.4 0.6 2.5 1.7 1.6 3.7 -4.0 2.1 12.7 7.6 -1.2 -12.6 -20.0 -1.3 -20.0 SMI 6.0 -13.2 1.4 4.9 3.5 4.6 4.7 3.7 5.3 9.6 7.1 12.4 3.8 2.1 0.7 -3.2 1.9 -2.7 -0.7 -0.5 2.1 12.3 3.8 4.7 3.2 -0.3 6.8 -0.1 6.9 -0.6 2.7 10.0 15.0 -12.6 -20.0 -8.2 -7.0 -10.4 -14.0 -15.6 SOFR 9.9 -11.5 -3.7 -1.8 -0.2 -1.9 -0.4 -2.7 -1.0 -4.0 -1.2 0.6 -1.6 -1.1 -3.2 -3.0 -0.7 -1.9 -1.2 -3.9 -2.6 -3.2 -2.4 -3.3 -1.3 -1.7 -1.1 -1.1 -1.2 -0.8 -1.3 1.2 -6.2 1.7 -1.7 0.5 -20.0 -20.0 -3.9 -0.9 SOYBEAN 10.0 20.0 8.1 1.2 -0.7 -0.6 1.4 -1.3 2.3 -6.1 3.5 1.2 -1.5 6.7 6.8 16.7 20.0 15.8 18.6 7.1 3.0 -1.7 -0.0 6.0 -17.8 2.1 -2.8 0.8 -0.4 0.0 1.6 20.0 -11.9 -0.5 20.0 7.5 -8.7 16.5 -5.0 20.0 SOYMEAL 11.5 20.0 -20.0 1.2 -0.7 -0.6 1.5 -1.3 2.3 -6.3 -1.3 2.5 2.2 2.1 1.0 10.2 20.0 20.0 20.0 2.3 0.2 -0.6 1.6 3.5 -18.9 2.0 -2.6 1.2 -0.2 1.4 1.7 20.0 -10.2 -1.1 10.0 3.7 -9.1 -18.3 -4.9 -16.5 SOYOIL 11.6 20.0 17.8 1.2 -0.6 -0.5 1.4 -1.3 2.2 -4.3 2.4 1.4 -2.5 6.8 7.1 10.8 10.0 9.5 8.4 10.6 4.9 1.5 0.1 9.2 -20.0 2.3 -1.6 1.1 0.2 0.0 1.8 2.6 -5.4 0.3 20.0 12.5 2.1 6.6 13.9 20.0 SP400 18.6 20.0 12.2 5.0 3.6 4.8 4.9 3.8 5.4 6.2 7.5 14.3 5.5 16.4 16.1 -5.3 -4.5 -5.2 -5.0 20.0 15.7 12.5 6.7 20.0 -11.6 5.7 1.2 3.8 2.6 1.9 5.1 0.6 -3.6 16.2 20.0 5.2 -1.2 -8.2 -11.7 -11.1 SP500_micro 12.0 20.0 20.0 6.4 4.6 6.0 6.1 4.8 6.9 15.5 20.0 20.0 10.3 20.0 20.0 -14.0 -8.3 -12.3 -10.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.3 2.6 7.6 4.2 4.9 6.7 -7.1 4.9 20.0 20.0 20.0 -4.2 -8.8 -11.8 -12.4 SUGAR11 7.1 -20.0 4.4 2.5 -1.3 -1.1 2.9 -2.7 4.7 -8.8 11.2 3.5 13.2 1.6 3.2 -1.4 14.6 2.3 8.7 3.5 14.4 -0.8 20.0 1.5 -20.0 1.8 -3.7 7.6 -0.8 12.0 0.2 8.8 -10.0 -3.5 -20.0 20.0 -16.5 -17.9 11.2 -6.7 US10 9.0 -10.6 -8.9 -1.7 -0.2 -1.9 -0.4 -2.7 -1.0 -4.3 -4.1 -1.3 -6.0 -3.3 -5.2 -8.9 -6.5 -9.1 -8.6 -6.2 -5.9 -4.3 -6.7 -4.7 0.6 -2.2 -1.5 -1.9 -1.5 -1.8 -1.6 -10.4 -6.9 0.3 -3.4 -3.6 -20.0 -20.0 15.5 2.9 US10U 5.8 -7.7 -6.7 -2.4 -0.3 -2.6 -0.6 -3.7 -1.3 -6.2 -5.1 -2.3 -7.8 -4.2 -7.0 -2.9 -0.7 -1.8 -1.7 -7.0 -6.7 -6.1 -8.5 -5.8 -3.9 -2.9 -2.8 -2.5 -2.5 -2.3 -2.2 0.6 -9.1 -0.5 -2.0 -3.8 -20.0 -20.0 20.0 19.2 US2 13.4 -20.0 -20.0 -1.7 -0.2 -1.8 -0.4 -2.6 -0.9 -4.0 -6.3 -5.2 -6.7 -6.4 -7.2 -20.0 -19.4 -20.0 -20.0 -12.5 -12.7 -5.5 -12.8 -8.4 7.2 -2.5 -0.8 -2.4 -1.2 -2.5 -1.7 -20.0 -8.5 -0.9 -10.5 -10.4 -20.0 -19.0 -20.0 -15.0 US20 2.7 -5.3 -6.6 -2.0 -0.2 -2.1 -0.5 -3.0 -1.1 -5.8 -3.7 -3.1 -5.0 -3.2 -5.8 -1.9 -1.4 -1.6 -1.8 -5.1 -4.9 -5.6 -6.6 -4.6 -4.0 -2.3 -3.4 -2.0 -2.8 -2.1 -2.0 -0.1 -7.3 -1.3 0.5 -2.1 -20.0 -20.0 20.0 20.0 US30 -0.6 -2.8 -5.5 -2.4 -0.3 -2.6 -0.6 -3.8 -1.4 -7.3 -6.7 -6.2 -7.1 -5.3 -8.3 -8.7 -2.0 -4.9 -3.2 -5.8 -6.2 -6.8 -9.8 -5.6 -3.8 -3.1 -4.6 -2.6 -3.9 -2.9 -2.9 -1.5 -6.5 -3.9 2.1 -1.6 -20.0 -20.0 20.0 20.0 US5 12.8 -12.4 -11.7 -1.7 -0.2 -1.8 -0.4 -2.6 -0.9 -3.8 -4.4 -1.5 -6.0 -3.4 -5.4 -13.3 -8.6 -12.9 -11.4 -6.7 -6.6 -3.6 -7.3 -4.7 2.9 -2.1 -0.9 -1.9 -1.1 -1.9 -1.4 -14.5 -6.5 1.4 -4.2 -4.4 -20.0 -20.0 7.8 -14.8 VIX 1.4 -20.0 -20.0 -7.7 -1.7 -8.5 -2.8 -7.8 -5.2 -13.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.9 -20.0 -20.0 NaN -9.0 -1.9 -10.1 -2.9 -9.5 -5.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.1 20.0 20.0 1.0 -0.6 -0.5 1.2 -1.1 2.0 -3.9 -2.3 0.8 -6.5 1.7 1.4 -8.6 -8.8 -9.7 -9.8 2.0 -0.9 0.4 -3.1 3.1 -3.5 1.0 -1.8 -0.3 0.6 -1.0 1.4 -20.0 5.6 -2.9 2.7 0.7 -18.5 -17.0 -10.4 -8.3 End of report for caleb_strategy_v3