******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230801_204337 produced at 2023-08-01 21:38:25.986856 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.49 0.0 0.92 -0.92 -0.74 -0.74 -5.30 10.0 -8 -8 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.43 0.0 0.00 0.00 0.00 0.00 -5.19 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 -4.91 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 -31.77 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 -3.35 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.24 -0.13 0.0 0.51 -0.51 -0.24 -0.24 -4.26 17.0 -8 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.13 0.0 0.38 -0.38 -0.05 -0.07 -19.87 56.0 -8 -10 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.10 0.0 0.92 -0.92 -0.11 -0.11 -2.62 25.0 -3 -3 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.10 0.0 0.64 -0.64 -0.10 -0.10 -2.00 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 -35.65 26.0 -21 -22 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.07 0.0 0.83 -0.83 -0.04 -0.04 -1.66 19.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.35 -0.35 -0.04 -0.04 -1.32 8.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.37 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -0.97 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 -2.21 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 -26.28 59.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.43 -0.43 0.00 0.00 -1.11 19.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.02 0.0 0.75 -0.75 -0.03 -0.03 -0.80 29.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.55 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.34 6.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.24 -0.02 0.0 0.52 -0.52 -0.24 -0.24 -0.52 13.0 -6 -6 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -0.32 9.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.10 -0.01 0.0 0.16 -0.16 -0.10 -0.10 -0.58 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 -1.37 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 -0.03 -0.61 23.0 -4 -3 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.01 0.0 0.01 -0.01 0.00 0.00 -3.01 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 -0.59 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 -0.32 6.0 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 NZD False False 0.02 0.02 0.00 0.0 0.44 -0.44 0.02 0.02 0.15 21.0 1 1 caleb_strategy_v3 CORN False False 0.01 0.00 -0.00 0.0 0.10 -0.10 0.00 0.00 -0.22 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.15 8.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.20 -0.20 -0.05 -0.05 -0.05 4.0 -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 SOYMEAL False False 0.01 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.63 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.17 -0.17 0.01 0.01 1.15 18.0 1 1 caleb_strategy_v3 COTTON2 False False 0.01 0.01 0.01 0.0 0.16 -0.16 0.01 0.01 0.39 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 0.56 7.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.01 0.02 0.0 0.32 -0.32 0.01 0.01 1.33 26.0 1 1 caleb_strategy_v3 SMI False False 0.04 0.36 0.02 0.0 0.40 -0.40 0.36 0.36 0.46 9.0 8 8 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 0.40 10.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.07 0.02 0.0 0.20 -0.20 0.07 0.07 0.70 6.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.23 -0.23 0.00 0.00 7.11 68.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 1.91 48.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.21 -0.21 0.03 0.03 1.79 23.0 3 3 caleb_strategy_v3 DAX False False 0.01 -0.01 0.02 0.0 0.36 -0.36 -0.01 -0.01 2.81 58.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.05 0.03 0.0 0.60 -0.60 0.05 0.05 1.22 22.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.21 -0.21 0.00 0.00 7.35 51.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.41 -0.41 0.00 0.00 5.12 66.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.19 0.03 0.0 0.19 -0.19 0.19 0.19 0.33 2.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.15 0.04 0.0 0.34 -0.34 0.15 0.15 2.18 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 3.82 4.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.33 12.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 3.14 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.48 -0.48 0.00 0.00 1.56 10.0 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 2.70 5.0 3 3 caleb_strategy_v3 BTP False False 0.04 0.22 0.07 0.0 0.44 -0.44 0.22 0.22 1.60 10.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.09 0.0 0.12 -0.12 0.06 0.06 2.85 4.0 2 2 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.10 0.0 0.43 -0.43 0.10 0.10 4.15 17.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.10 0.0 0.13 -0.13 0.00 0.00 2.27 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.11 0.0 0.14 -0.14 0.14 0.14 3.01 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.12 0.0 0.15 -0.15 0.07 0.07 10.49 13.0 6 6 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.49 0.0 0.29 -0.29 0.28 0.28 60.75 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.60 0.79 0.0 0.61 -0.61 0.60 0.60 78.31 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.57 0.99 0.0 0.57 -0.57 0.57 0.57 28.04 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 23.3 Shocked risk 73.7 Sum abs risk 61.6 Leverage 5.91 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 0.0053 0.6622 0.7966 12.7461 BITCOIN 722.7841 29435.0000 2.4555 39.2884 BOBL 0.2863 115.6000 0.2476 3.9623 BTP 0.6797 115.1700 0.5902 9.4425 BUND 0.5839 132.1900 0.4417 7.0674 BUXL 1.3019 132.4400 0.9830 15.7279 CAC 64.8101 7429.0000 0.8724 13.9583 CAD 0.0033 0.7530 0.4380 7.0079 CANOLA 9.6643 784.1000 1.2325 19.7206 CHF 0.0060 1.1481 0.5241 8.3857 COCOA 38.3323 3551.0000 1.0795 17.2716 COFFEE 2.9020 164.7000 1.7620 28.1914 COPPER 0.0506 3.9100 1.2938 20.7009 CORN 12.2540 508.0000 2.4122 38.5953 COTTON2 1.4239 86.6300 1.6436 26.2978 CRUDE_W 1.0126 79.9700 1.2662 20.2589 DAX 126.2114 16339.0000 0.7725 12.3593 DOW 178.0344 35756.0000 0.4979 7.9666 EUR 0.0056 1.1000 0.5070 8.1115 EURIBOR-ICE 0.0621 97.0750 0.0640 1.0233 EUROSTX 42.6579 4433.0000 0.9623 15.3965 FEEDCOW 1.5440 253.7500 0.6085 9.7356 GASOIL 11.6876 867.0000 1.3480 21.5688 GASOLINE 0.0363 2.4960 1.4556 23.2897 GAS_US_mini 0.0855 2.6850 3.1862 50.9792 GBP 0.0075 1.2777 0.5856 9.3694 GOLD_micro 12.6365 1962.6000 0.6439 10.3019 HEATOIL 0.0329 2.9423 1.1181 17.8894 JGB-SGX-mini 0.3078 146.7300 0.2097 3.3559 JPY 0.0000 0.0070 0.7013 11.2208 LEANHOG 1.1947 85.6250 1.3953 22.3240 LIVECOW 1.0973 181.8750 0.6033 9.6535 LUMBER-new 10.7311 515.5000 2.0817 33.3069 MILK 0.3351 17.8100 1.8816 30.1062 MXP 0.0004 0.0588 0.6704 10.7267 NASDAQ_micro 121.0907 15847.0000 0.7641 12.2260 NIKKEI 281.9994 33220.0000 0.8489 13.5821 NZD 0.0048 0.6144 0.7786 12.4571 OAT 0.6031 126.7100 0.4760 7.6153 OATIES 7.5356 453.5000 1.6617 26.5865 OJ 3.6723 300.0000 1.2241 19.5857 PALLAD 23.8454 1235.5000 1.9300 30.8803 PLAT 14.5517 939.2000 1.5494 24.7899 REDWHEAT 19.0713 829.2500 2.2998 36.7972 RICE 0.1746 16.0400 1.0883 17.4131 ROBUSTA 39.8105 2631.0000 1.5131 24.2101 RUSSELL 17.8880 2002.9000 0.8931 14.2897 SHATZ 0.0931 105.0000 0.0886 1.4183 SILVER-mini 0.3765 25.3000 1.4883 23.8129 SMI 80.9574 11338.0000 0.7140 11.4246 SOFR 0.0798 96.4650 0.0827 1.3230 SOYBEAN 20.0943 1344.0000 1.4951 23.9218 SOYMEAL 6.4687 398.7000 1.6224 25.9592 SOYOIL 1.0788 61.0200 1.7679 28.2865 SP400 19.5576 2735.7000 0.7149 11.4384 SP500_micro 23.5161 4605.7500 0.5106 8.1693 SUGAR11 0.3360 24.5800 1.3671 21.8743 US10 0.4541 110.9062 0.4094 6.5505 US10U 0.6095 116.1562 0.5247 8.3957 US2 0.1155 101.4492 0.1139 1.8217 US20 0.8555 122.9688 0.6957 11.1319 US30 1.2378 130.2812 0.9501 15.2021 US5 0.3039 106.5469 0.2853 4.5643 VIX 0.4372 17.4500 2.5057 40.0917 WHEAT 19.1699 679.0000 2.8233 45.1721 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.25 0.80 527.57 1.00 527.57 46875.0 88.85 -3.85 -34.18 BITCOIN 29.44 2.46 72.28 1.00 72.28 46875.0 648.53 -3.37 -218.54 BOBL 1156.00 0.25 286.28 1.10 315.18 46875.0 148.73 -12.04 -179.13 BTP 1151.70 0.59 679.68 1.10 748.29 46875.0 62.64 8.18 51.25 BUND 1321.90 0.44 583.90 1.10 642.85 46875.0 72.92 5.91 43.07 BUXL 1324.40 0.98 1301.88 1.10 1433.30 46875.0 32.70 -1.67 -5.47 CAC 742.90 0.87 648.10 1.10 713.53 46875.0 65.69 6.21 40.80 CAD 753.00 0.44 329.81 1.00 329.81 46875.0 142.13 -1.73 -24.58 CANOLA 156.82 1.23 193.29 0.76 145.93 46875.0 321.21 10.92 350.76 CHF 1435.12 0.52 752.16 1.00 752.16 46875.0 62.32 -9.88 -61.57 COCOA 355.10 1.08 383.32 1.00 383.32 46875.0 122.29 5.90 72.18 COFFEE 617.62 1.76 1088.23 1.00 1088.23 46875.0 43.07 -7.28 -31.34 COPPER 977.50 1.29 1264.70 1.00 1264.70 46875.0 37.06 1.58 5.84 CORN 254.00 2.41 612.70 1.00 612.70 46875.0 76.51 -1.34 -10.28 COTTON2 433.15 1.64 711.93 1.00 711.93 46875.0 65.84 3.18 20.94 CRUDE_W 799.70 1.27 1012.57 1.00 1012.57 46875.0 46.29 4.77 22.09 DAX 163.39 0.77 126.21 1.10 138.95 46875.0 337.35 2.55 85.98 DOW 178.78 0.50 89.02 1.00 89.02 46875.0 526.58 4.35 229.31 EUR 1375.06 0.51 697.11 1.00 697.11 46875.0 67.24 -4.42 -29.72 EURIBOR-ICE 2426.88 0.06 155.22 1.10 170.89 46875.0 274.30 -6.19 -169.92 EUROSTX 443.30 0.96 426.58 1.10 469.64 46875.0 99.81 6.68 66.67 FEEDCOW 1268.75 0.61 772.00 1.00 772.00 46875.0 60.72 -6.36 -38.59 GASOIL 867.00 1.35 1168.76 1.00 1168.76 46875.0 40.11 14.49 58.11 GASOLINE 1048.32 1.46 1525.94 1.00 1525.94 46875.0 30.72 20.00 61.44 GAS_US_mini 67.12 3.19 213.87 1.00 213.87 46875.0 219.17 -13.28 -291.09 GBP 798.56 0.59 467.63 1.00 467.63 46875.0 100.24 3.75 37.60 GOLD_micro 196.26 0.64 126.37 1.00 126.37 46875.0 370.95 -14.14 -524.54 HEATOIL 1235.77 1.12 1381.69 1.00 1381.69 46875.0 33.93 13.66 46.34 JGB-SGX-mini 146730.00 0.21 30775.44 0.01 216.97 46875.0 216.05 9.93 214.60 JPY 878.50 0.70 616.09 1.00 616.09 46875.0 76.08 -17.21 -130.92 LEANHOG 342.50 1.40 477.87 1.00 477.87 46875.0 98.09 17.11 167.84 LIVECOW 727.50 0.60 438.93 1.00 438.93 46875.0 106.79 11.41 121.85 LUMBER-new 141.76 2.08 295.10 1.00 295.10 46875.0 158.84 -10.46 -166.12 MILK 356.20 1.88 670.24 1.00 670.24 46875.0 69.94 -17.15 -119.92 MXP 293.75 0.67 196.94 1.00 196.94 46875.0 238.02 20.00 476.04 NASDAQ_micro 316.94 0.76 242.18 1.00 242.18 46875.0 193.55 -1.41 -27.34 NIKKEI 33220.00 0.85 28199.94 0.01 198.81 46875.0 235.78 19.72 464.87 NZD 614.40 0.78 478.35 1.00 478.35 46875.0 97.99 0.48 4.72 OAT 1267.10 0.48 603.08 1.10 663.97 46875.0 70.60 7.07 49.92 OATIES 226.75 1.66 376.78 1.00 376.78 46875.0 124.41 -5.24 -65.21 OJ 450.00 1.22 550.85 1.00 550.85 46875.0 85.10 20.00 170.19 PALLAD 1235.50 1.93 2384.54 1.00 2384.54 46875.0 19.66 -7.45 -14.64 PLAT 469.60 1.55 727.58 1.00 727.58 46875.0 64.43 -2.38 -15.34 REDWHEAT 414.62 2.30 953.56 1.00 953.56 46875.0 49.16 -2.59 -12.75 RICE 320.80 1.09 349.13 1.00 349.13 46875.0 134.26 13.57 182.24 ROBUSTA 263.10 1.51 398.10 1.00 398.10 46875.0 117.75 15.08 177.56 RUSSELL 100.14 0.89 89.44 1.00 89.44 46875.0 524.09 4.26 223.27 SHATZ 1050.00 0.09 93.07 1.10 102.47 46875.0 457.45 -7.89 -360.89 SILVER-mini 632.50 1.49 941.35 1.00 941.35 46875.0 49.80 -1.05 -5.24 SMI 1133.80 0.71 809.57 1.15 931.54 46875.0 50.32 2.78 13.98 SOFR 2411.62 0.08 199.41 1.00 199.41 46875.0 235.07 -3.80 -89.34 SOYBEAN 672.00 1.50 1004.72 1.00 1004.72 46875.0 46.65 15.09 70.42 SOYMEAL 398.70 1.62 646.87 1.00 646.87 46875.0 72.46 10.89 78.94 SOYOIL 366.12 1.77 647.27 1.00 647.27 46875.0 72.42 8.33 60.31 SP400 2735.70 0.71 1955.76 1.00 1955.76 46875.0 23.97 4.38 10.51 SP500_micro 230.29 0.51 117.58 1.00 117.58 46875.0 398.66 2.15 85.63 SUGAR11 275.30 1.37 376.37 1.00 376.37 46875.0 124.55 5.06 62.99 US10 1109.06 0.41 454.06 1.00 454.06 46875.0 103.24 -10.95 -113.05 US10U 1161.56 0.52 609.51 1.00 609.51 46875.0 76.91 -5.57 -42.82 US2 2028.98 0.11 231.02 1.00 231.02 46875.0 202.91 -20.00 -405.81 US20 1229.69 0.70 855.55 1.00 855.55 46875.0 54.79 -4.87 -26.66 US30 1302.81 0.95 1237.85 1.00 1237.85 46875.0 37.87 -7.46 -28.27 US5 1065.47 0.29 303.94 1.00 303.94 46875.0 154.22 -14.03 -216.39 VIX 174.50 2.51 437.25 1.00 437.25 46875.0 107.20 -20.00 -214.41 WHEAT 339.50 2.82 958.49 1.00 958.49 46875.0 48.90 -10.55 -51.59 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -34.181 0.013 2.5 -1.111 BITCOIN -218.540 0.048 2.5 -26.281 BOBL -179.129 0.004 2.5 -1.661 BTP 51.246 0.012 2.5 1.599 BUND 43.072 0.004 2.5 0.399 BUXL -5.469 0.004 2.5 -0.051 CAC 40.798 0.013 2.5 1.333 CAD -24.583 0.013 2.5 -0.799 CANOLA 350.762 0.008 2.5 7.348 CHF -61.568 0.013 2.5 -2.001 COCOA 72.179 0.007 2.5 1.332 COFFEE -31.343 0.004 2.5 -0.315 COPPER 5.839 0.048 2.5 0.702 CORN -10.285 0.008 2.5 -0.215 COTTON2 20.942 0.007 2.5 0.386 CRUDE_W 22.086 0.049 2.5 2.705 DAX 85.984 0.013 2.5 2.809 DOW 229.310 0.009 2.5 5.121 EUR -29.724 0.013 2.5 -0.966 EURIBOR-ICE -169.915 0.012 2.5 -5.300 EUROSTX 66.668 0.013 2.5 2.178 FEEDCOW -38.591 0.014 2.5 -1.315 GASOIL 58.114 0.020 2.5 2.849 GASOLINE 61.437 0.020 2.5 3.012 GAS_US_mini -291.089 0.049 2.5 -35.650 GBP 37.598 0.013 2.5 1.222 GOLD_micro -524.537 0.015 2.5 -19.868 HEATOIL 46.336 0.020 2.5 2.272 JGB-SGX-mini 214.599 0.052 2.5 28.043 JPY -130.924 0.013 2.5 -4.255 LEANHOG 167.844 0.025 2.5 10.492 LIVECOW 121.853 0.014 2.5 4.153 LUMBER-new -166.123 0.007 2.5 -3.014 MILK -119.920 0.007 2.5 -2.212 MXP 476.045 0.066 2.5 78.310 NASDAQ_micro -27.337 0.009 2.5 -0.610 NIKKEI 464.865 0.052 2.5 60.746 NZD 4.718 0.013 2.5 0.153 OAT 49.924 0.012 2.5 1.557 OATIES -65.212 0.008 2.5 -1.366 OJ 170.192 0.007 2.5 3.140 PALLAD -14.644 0.015 2.5 -0.555 PLAT -15.340 0.015 2.5 -0.581 REDWHEAT -12.747 0.005 2.5 -0.146 RICE 182.242 0.008 2.5 3.818 ROBUSTA 177.560 0.004 2.5 1.786 RUSSELL 223.266 0.013 2.5 7.109 SHATZ -360.886 0.004 2.5 -3.347 SILVER-mini -5.236 0.015 2.5 -0.198 SMI 13.977 0.013 2.5 0.457 SOFR -89.335 0.023 2.5 -5.186 SOYBEAN 70.421 0.003 2.5 0.564 SOYMEAL 78.942 0.003 2.5 0.632 SOYOIL 60.311 0.003 2.5 0.483 SP400 10.505 0.013 2.5 0.334 SP500_micro 85.631 0.009 2.5 1.912 SUGAR11 62.988 0.007 2.5 1.154 US10 -113.048 0.005 2.5 -1.368 US10U -42.820 0.005 2.5 -0.518 US2 -405.813 0.005 2.5 -4.912 US20 -26.661 0.005 2.5 -0.323 US30 -28.267 0.005 2.5 -0.342 US5 -216.393 0.005 2.5 -2.619 VIX -214.408 0.059 2.5 -31.769 WHEAT -51.591 0.005 2.5 -0.589 ===================== Position diags ===================== AUD 2.89 BITCOIN 77.99 BOBL 1.38 BTP 1.95 BUND 0.68 BUXL 0.30 CAC 2.15 CAD 4.62 CANOLA 6.73 CHF 2.03 COCOA 2.26 COFFEE 0.43 COPPER 4.46 CORN 1.60 COTTON2 1.21 CRUDE_W 5.67 DAX 11.02 DOW 11.76 EUR 2.19 EURIBOR-ICE 8.56 EUROSTX 3.26 FEEDCOW 2.07 GASOIL 1.97 GASOLINE 1.51 GAS_US_mini 26.84 GBP 3.26 GOLD_micro 14.05 HEATOIL 1.66 JGB-SGX-mini 28.23 JPY 2.47 LEANHOG 6.13 LIVECOW 3.64 LUMBER-new 2.88 MILK 1.29 MXP 39.16 NASDAQ_micro 4.32 NIKKEI 30.81 NZD 3.19 OAT 2.20 OATIES 2.61 OJ 1.57 PALLAD 0.74 PLAT 2.44 REDWHEAT 0.56 RICE 2.81 ROBUSTA 1.18 RUSSELL 16.69 SHATZ 4.24 SILVER-mini 1.89 SMI 1.64 SOFR 13.65 SOYBEAN 0.37 SOYMEAL 0.58 SOYOIL 0.58 SP400 0.76 SP500_micro 8.90 SUGAR11 2.28 US10 1.25 US10U 0.93 US2 2.46 US20 0.66 US30 0.46 US5 1.87 VIX 15.88 WHEAT 0.56 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.1 -1.4 -0.8 NaN 0 BITCOIN -26.3 -34.1 -18.5 0.0 0 BOBL -1.7 -1.8 -1.5 -1.0 -1 BTP 1.6 1.4 1.8 5.0 5 BUND 0.4 0.3 0.5 0.0 0 BUXL -0.1 -0.1 -0.0 -1.0 -1 CAC 1.3 1.1 1.5 NaN 0 CAD -0.8 -1.3 -0.3 -1.0 -1 CANOLA 7.3 6.7 8.0 NaN 0 CHF -2.0 -2.2 -1.8 -2.0 -2 COCOA 1.3 1.1 1.6 1.0 1 COFFEE -0.3 -0.4 -0.3 NaN 0 COPPER 0.7 0.3 1.1 2.0 2 CORN -0.2 -0.4 -0.1 0.0 0 COTTON2 0.4 0.3 0.5 1.0 1 CRUDE_W 2.7 2.1 3.3 3.0 3 DAX 2.8 1.7 3.9 -1.0 -1 DOW 5.1 3.9 6.3 NaN 0 EUR -1.0 -1.2 -0.7 0.0 0 EURIBOR-ICE -5.3 -6.2 -4.4 -8.0 -8 EUROSTX 2.2 1.9 2.5 9.0 9 FEEDCOW -1.3 -1.5 -1.1 -1.0 -1 GASOIL 2.8 2.7 3.0 2.0 2 GASOLINE 3.0 2.9 3.2 4.0 4 GAS_US_mini -35.6 -38.3 -33.0 -21.0 -21 GBP 1.2 0.9 1.5 2.0 2 GOLD_micro -19.9 -21.3 -18.5 -8.0 -8 HEATOIL 2.3 2.1 2.4 0.0 0 JGB-SGX-mini 28.0 25.2 30.9 16.0 16 JPY -4.3 -4.5 -4.0 -8.0 -8 LEANHOG 10.5 9.9 11.1 6.0 6 LIVECOW 4.2 3.8 4.5 4.0 4 LUMBER-new -3.0 -3.3 -2.7 NaN 0 MILK -2.2 -2.3 -2.1 NaN 0 MXP 78.3 74.4 82.2 59.0 59 NASDAQ_micro -0.6 -1.0 -0.2 -4.0 -4 NIKKEI 60.7 57.7 63.8 35.0 35 NZD 0.2 -0.2 0.5 1.0 1 OAT 1.6 1.3 1.8 NaN 0 OATIES -1.4 -1.6 -1.1 NaN 0 OJ 3.1 3.0 3.3 NaN 0 PALLAD -0.6 -0.6 -0.5 NaN 0 PLAT -0.6 -0.8 -0.3 -6.0 -6 REDWHEAT -0.1 -0.2 -0.1 NaN 0 RICE 3.8 3.5 4.1 NaN 0 ROBUSTA 1.8 1.7 1.9 3.0 3 RUSSELL 7.1 5.4 8.8 0.0 0 SHATZ -3.3 -3.8 -2.9 NaN 0 SILVER-mini -0.2 -0.4 -0.0 NaN 0 SMI 0.5 0.3 0.6 8.0 8 SOFR -5.2 -6.6 -3.8 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.6 0.6 0.7 NaN 0 SOYOIL 0.5 0.4 0.5 1.0 1 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 1.9 1.0 2.8 0.0 0 SUGAR11 1.2 0.9 1.4 1.0 1 US10 -1.4 -1.5 -1.2 NaN 0 US10U -0.5 -0.6 -0.4 -6.0 -6 US2 -4.9 -5.2 -4.7 NaN 0 US20 -0.3 -0.4 -0.3 NaN 0 US30 -0.3 -0.4 -0.3 NaN 0 US5 -2.6 -2.8 -2.4 -3.0 -3 VIX -31.8 -33.4 -30.2 -17.0 -17 WHEAT -0.6 -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 -0.1 -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 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.3 -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 -0.2 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 0.4 -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 -0.1 -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 -1.8 0.1 0.1 -0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP 0.1 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.0 -0.0 0.0 0.0 0.2 0.5 0.3 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 0.1 0.1 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 -0.3 -0.2 0.2 0.1 -0.3 -0.3 0.0 0.1 CAC 0.2 -0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.5 0.1 0.1 -0.4 0.0 -0.2 -0.1 0.1 0.1 0.1 0.3 0.1 -0.2 0.0 0.0 0.1 0.0 0.2 0.0 1.3 0.2 -0.4 -0.1 -0.1 0.2 -0.0 0.3 0.0 CAD -0.1 0.2 0.4 0.0 -0.1 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 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.1 0.5 -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 0.8 0.1 0.1 -0.0 -0.0 0.1 -1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 2.1 -0.7 0.3 0.5 0.3 -0.2 0.2 0.0 0.3 CHF 0.4 0.3 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.2 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 -0.2 0.3 0.1 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 0.2 -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 0.5 -0.3 -0.5 0.1 -0.3 -0.3 -0.1 -0.2 COPPER 0.4 0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.1 -0.0 0.1 -0.2 0.0 0.0 -0.0 0.0 -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 0.1 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 0.4 -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 -0.2 -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 -0.0 0.1 -1.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.2 0.2 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 -0.3 0.2 0.1 0.4 0.5 0.4 0.4 0.2 0.1 0.2 0.0 0.2 -0.4 0.1 0.1 0.1 0.1 0.1 0.1 -1.5 -0.7 -0.3 -0.0 0.2 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 0.0 0.3 0.1 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 0.0 0.1 0.1 0.2 0.0 -0.6 0.2 -0.2 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.5 0.4 0.2 0.0 0.0 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 0.1 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 0.2 0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.2 0.2 -0.0 0.2 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 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 -0.1 -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 -0.2 -0.2 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 0.1 0.3 0.0 0.0 0.1 0.1 0.2 0.0 1.1 0.1 -0.3 -0.2 -0.1 0.3 0.0 0.3 0.1 FEEDCOW 0.0 0.1 0.5 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.2 0.4 0.1 0.6 0.2 0.2 -1.0 -1.2 -1.2 -1.2 0.2 0.2 0.2 0.4 0.1 0.3 0.1 0.1 0.2 0.0 0.3 0.0 -3.2 -0.1 -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 0.7 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 0.7 0.3 0.4 0.1 -0.1 0.0 -0.2 -0.1 GASOLINE 0.5 0.5 0.2 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 0.2 0.2 0.2 -0.0 GAS_US_mini 0.0 0.5 0.3 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 -0.4 -0.0 -0.5 0.0 0.0 -0.6 -0.7 -0.7 -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 -0.4 -0.0 0.1 0.2 -0.0 0.0 GBP -0.0 0.1 0.3 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.3 -0.1 0.2 0.0 0.1 0.0 -0.1 0.0 -0.0 0.1 0.1 -0.1 0.2 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 0.4 -0.1 -0.2 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.4 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.0 0.0 0.2 0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 0.0 -0.0 0.1 -0.0 -0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -2.6 -0.0 0.2 -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 0.2 0.8 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 0.3 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 -0.0 -0.4 0.1 0.2 -0.3 -0.1 0.0 0.1 JPY 0.5 0.0 -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 -0.1 -0.1 -0.0 -0.1 -0.0 -3.2 -0.3 -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 0.5 1.2 1.2 0.1 -0.1 0.2 -0.4 0.1 0.9 -0.0 0.1 -0.2 0.0 -0.3 0.0 2.5 0.6 0.1 0.1 -0.4 -0.0 0.0 0.3 0.3 LIVECOW -0.1 0.3 0.5 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.4 0.0 0.6 0.1 0.2 -0.7 0.5 0.5 1.0 0.2 0.2 0.0 0.4 0.1 0.4 0.1 0.0 0.2 0.0 0.2 0.0 1.6 -0.7 0.1 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.3 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 -0.6 -0.8 -0.7 -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 0.1 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.5 0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 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 0.5 0.2 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.1 -0.1 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 0.4 0.1 0.6 0.1 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 -0.1 0.1 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 0.1 0.3 0.1 0.2 0.1 0.1 -0.7 -0.4 -0.6 -0.6 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 -0.3 -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 1.0 0.7 0.8 0.8 0.2 0.2 0.2 0.4 0.1 -0.3 0.0 0.0 0.2 0.0 0.2 0.0 3.2 0.5 -0.5 0.1 0.5 0.0 0.0 -0.0 0.1 NZD 0.1 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 0.0 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 0.8 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 -0.1 -0.0 -0.0 -0.1 -0.0 2.8 -0.1 -0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES -0.2 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 -0.5 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 0.2 -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 0.0 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 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.4 -0.2 -0.2 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -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 -0.3 -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 -0.1 -0.0 -0.0 0.7 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.4 -0.2 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 -0.0 -0.0 0.1 -0.1 0.1 0.1 -0.2 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 0.3 0.2 -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 2.9 0.3 -0.1 -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 0.1 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 0.2 -0.1 -0.1 -0.3 -0.1 SHATZ 0.4 -0.3 -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 -1.1 -0.1 -0.6 -0.4 -0.0 -0.1 0.0 -0.3 -0.0 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.5 0.2 0.2 -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 0.2 -0.3 0.0 0.0 0.1 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 -0.1 -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 0.2 0.5 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 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 -0.1 0.5 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL 0.3 0.4 -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 -0.4 -0.1 0.2 0.1 -0.1 -0.2 -0.1 -0.2 SOYOIL 0.2 0.5 0.5 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 -0.0 -0.1 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 0.1 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 0.2 -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 0.2 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 1.3 -0.0 -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 -0.1 -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 -0.1 -0.2 -0.0 -0.1 -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 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -1.2 -1.2 -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 -0.2 -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 -0.0 -0.0 -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 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.0 -0.1 -0.3 -0.3 0.3 0.3 US30 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.3 -0.1 0.0 -0.1 -0.3 -0.3 0.3 0.3 US5 0.2 -0.3 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.8 -0.7 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -2.3 -0.2 0.0 -0.1 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.1 -0.7 -0.8 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.2 -0.6 -0.3 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.2 -0.6 -0.3 NaN -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.2 0.5 0.4 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.2 0.0 0.0 -0.5 -0.5 -0.6 -0.6 0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -3.2 0.1 -0.1 0.0 0.0 -0.2 -0.2 -0.1 -0.1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.0 4.1 4.3 3.1 -3.2 2.6 -0.8 1.3 2.0 -9.0 -4.0 -6.8 -3.7 -2.2 1.6 -2.6 -2.6 -2.7 -2.7 0.1 -0.7 -7.8 -2.9 -2.3 2.1 0.5 -7.9 0.1 -4.6 -1.3 -1.1 -0.5 -3.0 -12.2 -12.6 -10.3 -1.7 -20.0 5.1 9.7 BITCOIN -9.6 7.3 6.1 4.6 -7.6 4.8 -2.8 3.8 2.5 -17.1 19.8 -20.0 -2.5 8.3 11.5 -7.8 -3.5 -6.3 -4.9 6.8 13.3 -9.5 7.2 -3.1 -20.0 2.7 -4.0 5.3 -5.5 4.2 -2.1 -1.1 12.4 -20.0 0.8 -10.2 -4.4 20.0 -3.4 20.0 BOBL 9.9 -5.0 -4.4 -1.8 -2.2 -1.9 -1.3 -2.7 -1.3 -5.1 -3.3 3.2 -6.5 -1.1 -3.8 -20.0 -5.1 -20.0 -12.4 -3.0 -4.9 0.3 -8.8 -0.5 9.6 -1.2 -0.9 -1.6 0.1 -3.0 -0.2 -11.1 2.8 3.0 -0.0 1.2 -20.0 -20.0 -20.0 -14.6 BTP 2.6 -0.1 11.4 -2.7 -3.2 -2.9 -1.9 -4.1 -1.9 -8.8 8.4 5.0 -1.0 3.6 4.6 4.2 8.4 5.6 6.9 3.0 3.3 -0.6 -1.4 1.9 -6.4 1.9 -3.7 2.8 -0.5 0.5 1.0 16.3 3.2 2.2 12.8 13.8 -20.0 -20.0 -7.4 4.9 BUND 5.0 -0.2 1.1 -2.0 -2.3 -2.1 -1.4 -2.9 -1.4 -7.5 -3.5 0.7 -7.0 -0.5 -2.8 5.9 9.1 6.4 7.2 -2.1 -3.7 -2.4 -8.4 -1.3 5.7 -1.0 -3.7 -1.2 -1.5 -3.1 -0.8 16.9 -1.7 -1.3 2.7 3.0 -20.0 -20.0 -14.0 -2.2 BUXL -2.1 6.3 0.2 -2.5 -2.9 -2.6 -1.7 -3.6 -1.7 -9.6 -7.8 -4.5 -9.8 -3.1 -3.8 1.1 1.2 1.5 1.7 -2.7 -5.2 -7.7 -12.4 -3.8 0.3 -1.1 -8.3 -1.3 -4.9 -3.9 -2.3 5.6 -8.5 -8.9 7.0 4.2 -20.0 -20.0 3.6 10.9 CAC 9.6 -5.7 -12.0 5.7 3.0 5.3 5.2 4.3 6.0 6.4 16.8 15.8 18.0 15.1 12.1 -6.4 0.6 -3.7 -1.2 7.4 10.7 10.0 16.6 9.8 -4.5 4.8 1.7 6.2 5.3 8.3 5.5 8.5 5.9 -16.2 -2.1 -5.8 18.4 -2.0 20.0 0.3 CAD -2.9 7.6 15.0 5.3 -5.5 4.5 -1.3 2.2 3.3 -12.9 14.1 -0.5 -6.9 6.4 13.9 -1.9 -1.9 -2.2 -2.2 8.8 8.1 -5.7 -0.2 2.4 -0.1 5.0 -7.2 5.1 -3.4 0.9 1.1 0.5 14.3 -20.0 -13.7 -2.9 -16.0 -20.0 -20.0 -17.3 CANOLA 20.0 20.0 19.3 1.6 -0.5 -0.6 1.5 -1.7 2.7 -9.3 3.1 1.7 -6.5 8.3 8.5 1.4 15.4 10.3 14.3 16.9 6.6 -3.8 -2.3 13.6 -20.0 2.5 -3.5 0.5 -0.9 -1.1 2.0 13.1 -20.0 13.5 20.0 10.8 -14.5 13.3 1.1 20.0 CHF 16.4 11.2 3.5 3.4 -3.6 2.9 -0.9 1.5 2.2 -12.1 9.6 3.6 10.1 7.1 7.7 -13.3 -12.9 -13.8 -13.5 11.6 9.8 -2.6 7.2 8.7 -5.9 3.7 -3.3 3.1 -0.4 2.0 2.9 -18.6 -4.7 11.9 2.4 2.7 -13.3 -20.0 -15.2 -20.0 COCOA 7.0 8.9 16.1 3.2 -1.0 -1.3 3.1 -3.4 5.6 19.4 20.0 20.0 20.0 20.0 20.0 0.2 -0.8 -0.2 -0.2 20.0 20.0 20.0 20.0 20.0 -10.1 8.5 4.4 8.7 5.8 7.0 7.0 -13.4 20.0 15.0 20.0 20.0 -20.0 -20.0 10.4 -7.4 COFFEE 6.4 -20.0 -8.6 2.9 -0.9 -1.2 2.8 -3.1 5.1 16.1 -4.7 12.9 -8.9 -14.1 -16.8 0.6 3.6 2.6 3.4 -15.5 -13.4 6.2 -10.3 -6.3 -20.0 -3.1 7.1 -2.1 4.2 -1.4 -0.3 -6.5 14.7 -12.3 -20.0 5.7 -20.0 -20.0 -9.6 -16.0 COPPER 14.1 8.2 -8.3 2.7 -4.5 2.8 -1.6 2.2 1.5 3.3 -3.3 7.3 -3.3 7.8 0.1 -2.9 -1.5 -2.6 -2.1 2.1 -1.4 9.0 -2.2 6.8 -4.0 1.9 3.7 -0.7 5.2 -1.3 4.4 2.9 20.0 14.0 7.7 -14.4 1.1 -20.0 5.5 -17.2 CORN 5.7 4.3 2.8 1.0 -0.3 -0.4 1.0 -1.1 1.8 -5.6 -3.0 -0.4 -4.2 -2.6 -2.7 -4.4 7.5 -2.1 2.6 -1.1 -1.9 -3.5 -1.8 -0.9 -6.6 0.5 -2.6 -0.5 -0.9 -1.2 0.4 -3.3 -5.7 -3.7 -0.1 0.1 -2.4 12.0 1.1 20.0 COTTON2 13.6 7.5 12.7 1.8 -0.6 -0.7 1.7 -1.9 3.1 -4.1 4.6 4.4 -8.6 7.7 7.9 9.5 7.0 7.9 5.8 6.6 2.4 5.5 -2.4 8.2 -19.8 3.0 0.6 1.4 2.6 0.4 3.8 -2.6 6.8 6.9 -5.4 10.6 -20.0 -16.9 7.9 8.2 CRUDE_W 20.0 18.2 0.1 5.4 7.7 1.3 10.2 0.1 9.2 19.1 4.9 20.0 -10.7 20.0 12.1 7.3 8.2 6.5 6.7 20.0 6.8 20.0 0.9 20.0 -6.7 7.0 8.1 3.5 10.1 2.1 9.7 -9.5 -20.0 -13.2 -0.6 9.6 12.8 11.7 12.6 4.5 DAX 11.5 -8.5 -3.3 5.6 2.9 5.3 5.1 4.2 5.9 2.2 16.2 15.9 17.2 12.3 11.4 -8.4 -6.6 -8.3 -7.8 8.0 11.4 12.4 15.1 11.0 16.9 3.5 2.0 5.3 6.9 7.0 5.4 -3.6 4.7 -7.3 -11.9 -5.9 20.0 -0.9 20.0 4.0 DOW 20.0 17.7 9.9 5.9 3.1 5.6 5.4 4.5 6.3 18.3 14.5 20.0 11.9 20.0 20.0 -11.5 -7.0 -10.2 -8.8 20.0 17.5 20.0 9.8 20.0 -10.4 7.0 4.5 5.0 6.4 3.1 7.6 -4.7 20.0 20.0 20.0 8.5 -5.1 -3.8 -20.0 -2.5 EUR 6.0 8.4 0.8 3.8 -4.0 3.2 -1.0 1.6 2.4 -12.7 8.7 -3.7 7.8 3.9 5.2 -6.1 -6.8 -6.5 -6.6 6.0 6.3 -8.4 3.6 1.2 11.9 2.8 -5.0 2.9 -3.3 1.5 0.8 -7.4 -11.2 -7.1 -5.5 -7.5 -4.1 -20.0 -1.2 5.1 EURIBOR-ICE 17.3 -3.7 5.1 -1.8 -2.1 -1.9 -1.2 -2.6 -1.2 1.4 -3.8 4.5 -6.4 0.8 -2.8 -9.9 -7.7 -10.1 -9.4 -2.2 -4.5 3.0 -8.1 1.3 16.5 -0.9 0.9 -1.7 1.3 -3.3 0.5 -12.0 5.0 7.3 -0.5 1.3 -20.0 -20.0 20.0 5.3 EUROSTX 7.3 -6.7 -6.5 5.3 2.8 5.0 4.9 4.0 5.6 5.6 17.7 14.3 18.0 14.0 14.4 -4.8 -0.1 -4.3 -2.5 8.0 11.4 10.6 15.4 9.5 4.8 4.3 3.3 6.2 6.8 8.4 5.4 6.9 3.7 -13.0 -8.1 -5.5 20.0 1.3 20.0 6.8 FEEDCOW 0.3 2.3 18.7 3.4 -1.1 -1.4 3.2 -3.5 5.8 17.1 20.0 11.4 20.0 18.4 20.0 -16.4 -20.0 -20.0 -20.0 20.0 20.0 12.6 20.0 17.3 6.1 8.3 4.9 11.1 3.5 10.9 5.0 -20.0 -1.8 -4.0 -0.9 20.0 1.5 -18.1 13.9 -10.9 GASOIL 20.0 20.0 1.6 4.8 6.8 1.2 9.0 0.1 8.1 18.2 -2.5 20.0 -5.6 20.0 16.0 12.2 14.9 8.6 10.5 20.0 7.7 20.0 1.3 20.0 12.8 5.9 10.5 1.6 11.0 -0.1 9.5 0.0 20.0 13.8 17.6 5.6 -8.1 3.2 -11.4 -4.3 GASOLINE 20.0 20.0 7.5 5.5 7.8 1.4 10.4 0.1 9.3 18.6 16.7 20.0 -3.9 20.0 19.8 20.0 20.0 20.0 20.0 20.0 19.9 20.0 14.3 20.0 -20.0 7.8 5.4 5.2 8.6 4.3 9.5 20.0 -7.5 3.1 20.0 20.0 11.5 13.1 13.9 -0.4 GAS_US_mini 1.7 20.0 10.2 4.3 6.0 1.0 8.0 0.1 7.2 -11.9 -17.0 -0.8 -18.1 4.2 3.4 -10.2 -12.6 -11.1 -13.4 -2.0 -20.0 -2.5 -20.0 0.8 19.3 2.3 -4.0 -1.1 -1.2 -3.8 1.4 -20.0 -20.0 -20.0 -15.9 -1.2 4.3 13.0 -1.1 1.1 GBP -1.8 5.9 11.2 4.1 -4.3 3.5 -1.0 1.7 2.6 -13.0 13.1 -6.3 8.9 4.2 8.4 0.5 -1.0 0.0 -0.6 10.2 12.1 -5.9 7.4 3.1 -0.7 4.4 -4.2 4.7 -2.2 2.0 1.6 2.7 -4.0 -6.4 -3.7 2.3 6.3 10.8 11.2 20.0 GOLD_micro 16.5 -9.3 -8.1 4.0 -6.5 4.1 -2.4 3.3 2.1 -13.7 2.1 3.6 7.8 3.0 -10.8 -16.5 -12.1 -15.3 -13.9 -3.4 0.4 -3.5 7.0 -0.1 -11.5 1.5 -7.5 2.6 -1.9 4.6 1.9 -16.3 -0.3 9.9 -7.2 -13.7 -20.0 -20.0 -7.1 -20.0 HEATOIL 20.0 20.0 1.8 5.7 8.0 1.4 10.7 0.1 9.6 20.0 -4.2 20.0 -8.0 20.0 18.5 13.6 16.6 8.5 10.7 20.0 10.4 20.0 1.4 20.0 -20.0 7.4 10.9 3.2 12.0 1.7 10.6 1.6 20.0 20.0 20.0 17.2 -1.0 1.6 -6.1 0.3 JGB-SGX-mini -18.3 -16.9 6.4 -1.9 -2.2 -2.0 -1.3 -2.8 -1.3 -7.0 6.3 -5.5 6.0 -4.6 0.2 8.1 20.0 11.0 15.3 -0.6 3.4 -9.4 4.1 -4.9 0.7 -0.6 -6.5 1.0 -4.2 0.8 -2.4 20.0 -0.7 -14.4 3.1 9.7 -20.0 -7.0 3.8 7.2 JPY 20.0 1.4 -15.1 2.6 -2.8 2.2 -0.7 1.1 1.7 -8.8 -7.7 -3.1 -7.8 -1.4 -7.1 -15.6 -13.3 -15.9 -15.0 -6.7 -9.4 -7.7 -10.5 -4.1 20.0 -2.1 -5.2 -2.9 -2.7 -3.3 -1.3 -20.0 -8.1 -3.1 -20.0 -20.0 -15.2 -20.0 -16.4 -20.0 LEANHOG 14.3 20.0 0.2 2.6 -0.8 -1.1 2.5 -2.8 4.6 13.9 -5.6 15.3 -9.9 17.2 14.1 20.0 8.5 20.0 20.0 10.2 -6.9 15.2 -17.6 16.5 16.2 -0.3 6.1 -7.8 5.9 -11.1 4.6 15.7 17.6 5.5 3.6 -16.0 -3.7 2.8 20.0 20.0 LIVECOW -4.9 13.7 19.8 3.6 -1.1 -1.5 3.4 -3.8 6.2 -4.3 20.0 0.3 20.0 12.8 20.0 -12.0 8.3 9.2 16.1 20.0 20.0 3.3 20.0 16.6 7.4 8.4 2.6 9.4 1.0 7.8 4.3 9.9 -20.0 3.4 20.0 20.0 -20.0 -20.0 -17.0 -19.6 LUMBER-new -12.6 10.7 3.9 2.7 -0.8 -0.8 2.6 -2.1 4.7 -16.6 -11.8 -17.9 -15.3 -8.8 -3.3 -8.8 -11.9 -10.2 -11.4 -3.6 -2.9 -20.0 -4.9 -13.6 NaN -1.2 -8.5 -0.4 -9.3 -0.8 -5.4 -20.0 -20.0 -20.0 -12.6 5.5 -20.0 -20.0 -20.0 -20.0 MILK 20.0 20.0 2.9 1.3 -0.4 -0.5 1.2 -1.4 2.2 1.8 -7.0 4.1 -8.6 2.1 -4.6 -20.0 -20.0 -20.0 -20.0 -4.4 -9.8 6.7 -10.5 3.7 -3.6 -1.8 0.6 -3.2 1.7 -3.1 0.7 -20.0 14.1 9.7 -20.0 -20.0 -20.0 -20.0 -14.5 -20.0 MXP -2.1 -2.1 9.1 5.5 -5.7 4.7 -1.4 2.3 3.5 3.2 20.0 14.0 20.0 18.0 20.0 18.0 17.9 18.5 18.1 20.0 20.0 10.2 20.0 18.7 -20.0 8.2 0.6 9.7 3.1 10.0 5.6 20.0 20.0 -2.2 5.3 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -2.1 8.7 20.0 4.1 2.2 3.9 3.8 3.1 4.4 6.3 14.7 8.8 8.6 11.5 13.8 -11.0 -7.6 -10.5 -9.3 20.0 20.0 11.3 20.0 17.3 -20.0 5.4 1.9 6.3 2.0 5.0 3.3 -5.6 -10.6 7.2 18.4 20.0 -7.2 -10.0 -16.1 -12.6 NIKKEI -12.4 -0.9 20.0 5.6 2.9 5.3 5.1 4.2 5.9 16.2 17.3 10.1 16.9 7.6 15.3 16.1 12.0 14.3 12.9 20.0 20.0 13.0 20.0 11.1 -5.6 6.0 3.8 8.4 3.1 7.0 2.9 20.0 16.2 -20.0 4.3 20.0 3.3 2.8 -1.6 8.7 NZD 3.2 5.5 1.6 2.7 -2.9 2.3 -0.7 1.2 1.7 -7.6 -1.9 -7.3 0.4 -0.7 0.1 0.5 0.6 0.5 0.5 0.6 -0.1 -4.6 -1.6 -1.0 0.2 0.7 -3.8 0.4 -2.6 -0.6 -0.3 5.0 1.5 -8.7 -11.3 -10.6 1.5 -12.5 8.2 7.3 OAT 3.5 0.3 4.0 -2.1 -2.5 -2.2 -1.5 -3.2 -1.5 -8.0 -3.9 0.5 -7.3 -0.3 -1.8 5.7 9.2 7.0 8.1 -1.9 -3.1 -2.8 -7.7 -1.5 7.7 -0.9 -4.2 -0.9 -1.9 -3.2 -1.0 18.0 -1.9 -2.0 3.6 4.6 -20.0 -20.0 -3.5 1.9 OATIES -7.1 20.0 20.0 1.8 -0.6 -0.7 1.7 -1.9 3.1 -3.3 8.5 3.7 -6.6 9.2 10.5 -15.5 -0.6 -12.2 -7.8 18.9 13.4 6.1 4.4 14.5 -20.0 3.7 0.5 2.5 1.0 0.7 2.5 -19.9 4.9 -0.1 20.0 20.0 3.4 20.0 14.9 20.0 OJ 20.0 20.0 7.0 3.5 -1.1 -1.4 3.3 -3.6 6.0 19.5 20.0 20.0 20.0 20.0 20.0 20.0 19.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.1 5.6 8.3 9.6 10.1 9.6 20.0 20.0 20.0 19.0 20.0 18.5 5.7 20.0 16.7 PALLAD 14.8 -7.9 -9.4 2.2 -3.6 2.3 -1.3 1.8 1.2 -7.9 -11.5 -5.5 -11.8 -7.8 -10.3 -3.5 -2.6 -3.3 -3.0 -12.0 -17.3 -4.7 -20.0 -6.7 -4.5 -3.5 -2.4 -4.0 -2.0 -4.2 -2.5 1.1 -1.7 -6.9 -20.0 -11.5 -16.1 -0.2 2.0 2.2 PLAT 19.9 -14.0 -11.8 2.5 -4.0 2.5 -1.5 2.0 1.3 -9.9 -6.8 0.1 0.2 -3.4 -8.0 -3.1 -1.9 -2.8 -2.4 -6.6 -5.8 -4.9 -1.9 -3.4 12.8 -1.4 -4.4 -1.2 -2.3 -0.2 -0.8 2.3 -7.3 3.1 -16.0 -6.2 2.1 -15.3 10.2 -11.0 REDWHEAT 7.3 12.1 9.6 1.5 -0.9 -0.7 1.8 -1.6 2.8 -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 -6.9 4.9 -3.8 -3.5 3.9 -20.0 -17.3 -5.6 -6.7 RICE 15.7 11.7 3.3 2.4 -0.8 -1.0 2.3 -2.5 4.2 -0.6 -1.6 8.1 -2.0 9.2 10.1 -2.9 20.0 20.0 20.0 7.8 1.7 8.7 -0.8 11.5 -20.0 3.4 1.8 1.0 3.4 -0.3 4.5 20.0 10.1 7.9 -1.7 18.3 -8.3 -20.0 2.2 -17.3 ROBUSTA -4.3 -20.0 5.7 2.0 -0.6 -0.8 1.9 -2.1 3.5 4.1 10.7 5.7 10.5 -2.1 6.4 20.0 15.7 20.0 20.0 6.9 14.1 4.1 15.4 3.3 -10.2 3.1 0.9 6.3 1.5 6.7 1.3 18.1 7.6 -5.0 -7.5 20.0 -7.4 -20.0 6.0 -12.2 RUSSELL 18.6 18.9 15.5 5.0 2.6 4.7 4.5 3.8 5.3 9.4 5.1 14.9 -2.1 15.8 15.4 -7.3 -5.0 -6.6 -6.0 20.0 12.2 16.6 1.5 20.0 -1.6 5.7 3.2 3.9 4.0 1.7 5.5 -0.7 2.9 19.3 20.0 6.2 -4.2 -7.0 -20.0 -9.7 SHATZ 15.1 -11.3 -16.7 -1.8 -2.2 -1.9 -1.3 -2.7 -1.3 3.9 -5.7 5.7 -7.0 -2.7 -5.4 -18.2 -1.4 -10.0 -6.1 -5.9 -8.9 2.6 -12.5 -0.9 11.2 -1.7 0.8 -2.5 1.0 -3.7 -0.1 -3.2 7.2 6.3 -3.8 -2.9 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -1.5 -6.3 3.3 0.5 3.1 0.4 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 -12.5 -20.0 -1.0 -20.0 SMI 6.0 -13.2 1.4 4.9 4.5 4.6 5.1 3.7 5.4 10.0 7.1 12.5 3.8 2.1 0.7 -3.1 1.9 -2.6 -0.7 -0.4 2.1 12.5 3.9 4.8 3.2 -0.3 7.0 -0.1 7.0 -0.6 2.7 10.1 13.6 -13.2 -20.0 -8.2 -7.0 -10.4 -14.0 -15.6 SOFR 7.4 -11.6 -4.5 -1.9 -2.2 -2.0 -1.3 -2.8 -1.3 -6.4 -1.4 -0.5 -1.7 -1.6 -3.4 -2.9 -0.7 -1.9 -1.3 -4.2 -2.8 -4.7 -2.5 -4.1 -1.3 -1.9 -2.4 -1.2 -1.8 -0.9 -1.6 1.2 -5.7 1.7 -1.8 0.1 -20.0 -20.0 -4.0 -1.0 SOYBEAN 7.7 20.0 8.6 1.2 -0.4 -0.5 1.2 -1.3 2.1 -5.6 3.4 -0.7 -1.5 6.0 6.4 17.2 20.0 16.0 18.7 6.6 2.9 -3.5 -0.0 4.5 -17.6 1.9 -2.5 0.8 -0.9 0.0 1.2 20.0 -13.1 -3.7 18.8 7.2 -8.8 16.0 -5.1 20.0 SOYMEAL 10.9 14.5 -20.0 1.3 -0.4 -0.5 1.2 -1.3 2.2 -5.9 -1.4 1.0 2.1 1.6 0.9 10.1 20.0 20.0 20.0 2.0 0.2 -2.1 1.7 2.5 -19.0 1.9 -2.4 1.2 -0.6 1.5 1.4 20.0 -12.3 -3.0 9.7 3.6 -9.3 -18.2 -5.2 -16.4 SOYOIL 9.2 20.0 18.3 1.2 -0.4 -0.5 1.2 -1.3 2.1 -4.3 2.6 0.5 -2.4 6.4 6.9 10.8 10.0 9.6 8.4 10.3 5.0 0.6 0.2 8.2 -20.0 2.3 -1.2 1.1 -0.0 0.1 1.6 2.6 -1.4 -2.4 19.1 12.5 1.9 6.6 13.8 20.0 SP400 17.7 20.0 13.1 5.1 2.7 4.8 4.7 3.9 5.5 7.9 8.0 15.2 5.8 16.9 16.5 -5.4 -4.5 -5.3 -5.0 20.0 16.4 12.6 7.1 20.0 -11.8 5.8 1.2 3.9 2.6 2.0 5.0 0.7 -3.5 15.6 20.0 6.0 -1.1 -8.3 -11.7 -11.3 SP500_micro 12.6 20.0 20.0 6.5 3.4 6.1 5.9 4.9 6.9 13.8 20.0 20.0 10.8 20.0 20.0 -14.1 -8.4 -12.4 -10.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 2.5 7.7 4.3 5.0 6.7 -7.1 4.9 20.0 20.0 20.0 -4.2 -8.9 -12.1 -12.7 SUGAR11 7.7 -20.0 3.3 2.6 -0.8 -1.1 2.4 -2.7 4.5 -5.1 11.3 3.8 13.3 1.8 3.1 -1.5 14.5 2.1 8.5 3.6 14.5 0.7 20.0 1.7 -20.0 1.9 -0.7 7.8 -0.2 12.4 0.3 8.4 -0.3 -3.7 -20.0 20.0 -16.4 -17.9 11.2 -6.5 US10 7.2 -10.7 -9.9 -1.8 -2.2 -1.9 -1.3 -2.7 -1.3 -6.5 -4.3 -2.9 -6.1 -3.9 -5.5 -8.9 -6.6 -9.0 -8.6 -6.6 -6.1 -6.0 -6.8 -5.6 0.6 -2.3 -2.7 -1.9 -2.1 -1.8 -1.9 -10.4 -6.4 -0.2 -3.5 -3.8 -20.0 -20.0 15.5 2.9 US10U 5.2 -7.8 -7.2 -2.5 -3.0 -2.7 -1.7 -3.7 -1.8 -9.0 -5.5 -5.1 -7.8 -5.5 -7.5 -3.2 -0.7 -2.0 -1.8 -7.6 -7.0 -8.8 -8.6 -7.2 -3.9 -3.1 -5.0 -2.5 -3.6 -2.2 -2.8 0.5 -9.6 -1.8 -2.4 -4.2 -20.0 -20.0 20.0 19.4 US2 10.1 -20.0 -20.0 -1.8 -2.1 -1.9 -1.2 -2.6 -1.3 -5.7 -6.5 -6.0 -6.8 -6.8 -7.3 -20.0 -19.5 -20.0 -20.0 -12.8 -13.1 -6.1 -13.2 -8.7 7.3 -2.5 -1.1 -2.5 -1.3 -2.6 -1.8 -20.0 -5.1 -0.4 -10.2 -10.6 -20.0 -19.4 -20.0 -15.3 US20 2.9 -5.4 -6.4 -2.0 -2.4 -2.2 -1.4 -3.0 -1.4 -7.4 -4.0 -5.1 -5.0 -4.4 -6.2 -1.9 -1.4 -1.7 -1.8 -5.5 -5.0 -8.2 -6.5 -5.9 -3.9 -2.4 -5.8 -1.9 -3.9 -2.0 -2.5 -0.1 -9.2 -3.0 -0.3 -2.5 -20.0 -20.0 20.0 20.0 US30 0.0 -2.9 -4.8 -2.5 -3.0 -2.7 -1.7 -3.7 -1.8 -9.1 -6.8 -7.8 -7.1 -6.4 -8.5 -8.8 -2.1 -5.1 -3.3 -6.2 -6.1 -9.5 -9.4 -6.8 -3.7 -3.2 -7.6 -2.5 -5.3 -2.7 -3.5 -1.6 -8.2 -5.9 1.2 -2.0 -20.0 -20.0 20.0 20.0 US5 9.8 -12.2 -13.0 -1.8 -2.1 -1.9 -1.2 -2.6 -1.3 -6.1 -4.6 -2.6 -6.1 -3.9 -5.6 -13.2 -8.6 -12.9 -11.4 -7.0 -6.8 -4.8 -7.5 -5.3 2.9 -2.2 -1.8 -2.0 -1.5 -2.0 -1.6 -14.5 -4.9 1.6 -4.0 -4.6 -20.0 -20.0 7.5 -15.0 VIX 2.8 -18.8 -20.0 -7.8 -1.4 -8.6 -2.8 -8.0 -5.1 -11.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.6 -20.0 -20.0 NaN -9.0 -1.5 -10.3 -2.9 -9.7 -5.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.1 20.0 16.0 1.0 -0.3 -0.4 1.0 -1.1 1.8 -5.6 -2.3 -0.9 -6.5 0.7 1.0 -8.7 -8.8 -9.7 -9.8 1.6 -1.0 -2.4 -3.2 1.7 -3.5 0.9 -2.7 -0.3 -0.3 -1.0 1.0 -20.0 1.9 -3.5 1.5 0.8 -18.4 -16.9 -10.6 -8.3 End of report for caleb_strategy_v3