******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230802_204344 produced at 2023-08-02 21:38:21.968197 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.47 0.0 0.93 -0.93 -0.74 -0.74 -5.03 10.0 -8 -8 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.47 0.0 0.00 0.00 0.00 0.00 -5.58 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.35 0.0 0.00 0.00 0.00 0.00 -4.99 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 -31.42 17.0 -17 -16 caleb_strategy_v3 GOLD_micro False False 0.01 -0.07 -0.15 0.0 0.38 -0.38 -0.07 -0.10 -22.02 56.0 -10 -14 caleb_strategy_v3 JPY False False 0.03 -0.24 -0.13 0.0 0.52 -0.52 -0.24 -0.21 -4.32 17.0 -8 -7 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.23 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.10 0.0 0.93 -0.93 -0.11 -0.11 -2.73 25.0 -3 -3 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.10 0.0 0.65 -0.65 -0.10 -0.10 -2.09 13.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.09 0.0 0.06 -0.06 -0.05 -0.05 -37.88 26.0 -22 -24 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.07 0.0 0.84 -0.84 -0.04 -0.04 -1.66 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.66 -0.66 0.00 0.00 -1.45 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.05 0.0 0.67 -0.67 0.00 -0.05 -1.00 14.0 0 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.05 0.0 0.35 -0.35 -0.04 -0.04 -1.10 8.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.04 0.0 0.76 -0.76 -0.03 -0.08 -1.43 29.0 -1 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.18 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 -27.08 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 -1.30 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.24 -0.02 0.0 0.52 -0.52 -0.24 -0.24 -0.59 13.0 -6 -6 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.38 -0.38 0.00 0.00 -0.39 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.40 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.57 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.02 0.0 0.01 -0.01 0.00 0.00 -3.21 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -0.65 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 -0.28 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.34 0.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.10 -0.01 0.0 0.16 -0.16 -0.10 -0.10 -0.70 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 -1.40 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.01 0.0 0.25 -0.25 -0.03 -0.03 -1.36 23.0 -3 -3 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.20 -0.20 -0.05 -0.10 -0.05 4.0 -1 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.00 0.0 0.38 -0.38 0.00 -0.08 -0.54 48.0 0 -10 caleb_strategy_v3 CORN False False 0.01 0.00 -0.00 0.0 0.10 -0.10 0.00 0.00 -0.32 12.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.00 0.0 0.45 -0.45 0.02 0.00 -0.01 21.0 1 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 -0.01 -0.28 8.0 0 -1 caleb_strategy_v3 COTTON2 False False 0.01 0.01 0.00 0.0 0.16 -0.16 0.01 0.00 0.29 11.0 1 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.49 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 0.61 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.05 0.55 7.0 2 2 caleb_strategy_v3 DAX False False 0.01 -0.01 0.01 0.0 0.36 -0.36 -0.01 0.00 0.87 58.0 -1 0 caleb_strategy_v3 COPPER False False 0.03 0.07 0.01 0.0 0.20 -0.20 0.07 0.03 0.33 6.0 2 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.17 -0.17 0.01 0.01 1.19 18.0 1 1 caleb_strategy_v3 SMI False False 0.04 0.36 0.02 0.0 0.40 -0.40 0.36 0.36 0.44 9.0 8 8 caleb_strategy_v3 SP400 False False 0.09 0.19 0.02 0.0 0.19 -0.19 0.19 0.19 0.24 2.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.41 -0.41 0.00 0.00 3.49 66.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.23 -0.23 0.00 0.00 5.66 68.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.20 -0.20 0.03 0.03 1.93 23.0 3 3 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.51 -0.51 0.00 0.00 0.42 10.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.02 0.0 0.32 -0.32 0.01 0.00 1.40 26.0 1 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.98 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.21 -0.21 0.00 0.00 6.71 51.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.15 0.03 0.0 0.33 -0.33 0.15 0.15 1.58 20.0 9 9 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.61 -0.61 0.06 0.06 1.20 22.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.77 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.04 -0.04 0.00 0.00 4.25 4.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.06 0.0 0.14 -0.14 0.08 0.08 2.18 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 1.62 10.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.12 -0.12 0.06 0.09 2.81 4.0 2 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.49 -0.49 0.00 0.00 1.61 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.10 0.0 0.14 -0.14 0.14 0.14 2.70 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.10 0.0 0.43 -0.43 0.10 0.10 3.79 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 2.25 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.13 0.0 0.15 -0.15 0.07 0.09 11.21 13.0 6 8 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.34 0.0 0.28 -0.28 0.28 0.27 43.11 36.0 35 34 caleb_strategy_v3 MXP False False 0.01 0.60 0.77 0.0 0.61 -0.61 0.60 0.61 76.28 60.0 59 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.57 0.91 0.0 0.57 -0.57 0.57 0.57 25.55 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.9 Shocked risk 64.4 Sum abs risk 60.3 Leverage 5.60 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 0.6558 0.8064 12.9025 BITCOIN 711.8237 29260.0000 2.4328 38.9241 BOBL 0.2832 115.8300 0.2445 3.9121 BTP 0.6646 115.2100 0.5769 9.2297 BUND 0.5746 132.5200 0.4336 6.9371 BUXL 1.2809 132.9200 0.9637 15.4189 CAC 66.7042 7318.5000 0.9114 14.5831 CAD 0.0033 0.7498 0.4382 7.0120 CANOLA 9.5354 776.6000 1.2278 19.6454 CHF 0.0059 1.1456 0.5166 8.2659 COCOA 37.6584 3547.0000 1.0617 16.9871 COFFEE 2.8633 166.2000 1.7228 27.5645 COPPER 0.0511 3.8445 1.3288 21.2603 CORN 11.9976 499.7500 2.4007 38.4115 COTTON2 1.4573 84.8600 1.7173 27.4766 CRUDE_W 1.0949 78.5600 1.3937 22.2991 DAX 133.3372 16074.0000 0.8295 13.2723 DOW 190.5113 35418.0000 0.5379 8.6063 EUR 0.0055 1.0968 0.5039 8.0623 EURIBOR-ICE 0.0610 97.1100 0.0628 1.0049 EUROSTX 44.7520 4349.0000 1.0290 16.4643 FEEDCOW 1.5257 252.9250 0.6032 9.6516 GASOIL 12.2689 866.2500 1.4163 22.6612 GASOLINE 0.0405 2.4408 1.6609 26.5744 GAS_US_mini 0.0864 2.5950 3.3310 53.2966 GBP 0.0074 1.2726 0.5833 9.3325 GOLD_micro 12.5119 1952.7000 0.6408 10.2520 HEATOIL 0.0343 2.9412 1.1662 18.6594 JGB-SGX-mini 0.3058 146.5200 0.2087 3.3399 JPY 0.0000 0.0070 0.6894 11.0304 LEANHOG 1.1840 84.8500 1.3954 22.3269 LIVECOW 1.1108 180.6000 0.6151 9.8410 LUMBER-new 10.5527 511.0000 2.0651 33.0417 MILK 0.3310 18.0100 1.8379 29.4063 MXP 0.0004 0.0582 0.6948 11.1163 NASDAQ_micro 135.2323 15470.5000 0.8741 13.9861 NIKKEI 338.6565 32345.0000 1.0470 16.7522 NZD 0.0048 0.6085 0.7922 12.6748 OAT 0.5925 126.9600 0.4667 7.4675 OATIES 7.3586 454.0000 1.6208 25.9335 OJ 4.1652 288.8000 1.4422 23.0757 PALLAD 23.1612 1240.0000 1.8678 29.8855 PLAT 14.3719 928.8000 1.5474 24.7578 REDWHEAT 18.3997 800.5000 2.2985 36.7765 RICE 0.1712 16.1350 1.0611 16.9783 ROBUSTA 39.5075 2534.0000 1.5591 24.9455 RUSSELL 18.3662 1977.9000 0.9286 14.8571 SHATZ 0.0930 105.1050 0.0885 1.4164 SILVER-mini 0.3875 24.6875 1.5695 25.1121 SMI 80.9582 11229.0000 0.7210 11.5356 SOFR 0.0771 96.4850 0.0799 1.2781 SOYBEAN 20.0319 1320.5000 1.5170 24.2719 SOYMEAL 6.4235 392.2000 1.6378 26.2050 SOYOIL 1.0552 60.6500 1.7399 27.8383 SP400 20.0925 2706.3000 0.7424 11.8789 SP500_micro 26.7176 4536.0000 0.5890 9.4242 SUGAR11 0.3295 24.4300 1.3488 21.5803 US10 0.4416 110.8281 0.3985 6.3758 US10U 0.5938 115.9062 0.5123 8.1965 US2 0.1136 101.5000 0.1119 1.7909 US20 0.8363 122.3125 0.6838 10.9405 US30 1.2251 129.0938 0.9490 15.1835 US5 0.2955 106.5938 0.2772 4.4354 VIX 0.4421 17.5500 2.5193 40.3089 WHEAT 18.7508 667.7500 2.8081 44.9290 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 655.80 0.81 528.84 1.00 528.84 46875.0 88.64 -4.52 -40.08 BITCOIN 29.26 2.43 71.18 1.00 71.18 46875.0 658.52 -3.42 -225.22 BOBL 1158.30 0.24 283.21 1.10 311.46 46875.0 150.50 -11.86 -178.47 BTP 1152.10 0.58 664.59 1.10 730.89 46875.0 64.13 8.09 51.91 BUND 1325.20 0.43 574.57 1.10 631.88 46875.0 74.18 6.10 45.27 BUXL 1329.20 0.96 1280.93 1.10 1408.70 46875.0 33.28 -1.75 -5.84 CAC 731.85 0.91 667.04 1.10 733.58 46875.0 63.90 4.69 29.94 CAD 749.85 0.44 328.62 1.00 328.62 46875.0 142.64 -3.09 -44.09 CANOLA 155.32 1.23 190.71 0.76 144.26 46875.0 324.94 9.86 320.43 CHF 1432.00 0.52 739.80 1.00 739.80 46875.0 63.36 -10.16 -64.37 COCOA 354.70 1.06 376.58 1.00 376.58 46875.0 124.47 6.08 75.74 COFFEE 623.25 1.72 1073.72 1.00 1073.72 46875.0 43.66 -6.32 -27.61 COPPER 961.12 1.33 1277.11 1.00 1277.11 46875.0 36.70 0.74 2.70 CORN 249.88 2.40 599.88 1.00 599.88 46875.0 78.14 -1.94 -15.16 COTTON2 424.30 1.72 728.64 1.00 728.64 46875.0 64.33 2.43 15.62 CRUDE_W 785.60 1.39 1094.88 1.00 1094.88 46875.0 42.81 4.16 17.81 DAX 160.74 0.83 133.34 1.10 146.64 46875.0 319.67 0.83 26.60 DOW 177.09 0.54 95.26 1.00 95.26 46875.0 492.10 3.18 156.36 EUR 1371.00 0.50 690.83 1.00 690.83 46875.0 67.85 -4.51 -30.63 EURIBOR-ICE 2427.75 0.06 152.47 1.10 167.68 46875.0 279.54 -5.76 -161.12 EUROSTX 434.90 1.03 447.52 1.10 492.16 46875.0 95.24 5.07 48.30 FEEDCOW 1264.62 0.60 762.85 1.00 762.85 46875.0 61.45 -5.25 -32.26 GASOIL 866.25 1.42 1226.89 1.00 1226.89 46875.0 38.21 15.02 57.38 GASOLINE 1025.14 1.66 1702.65 1.00 1702.65 46875.0 27.53 20.00 55.06 GAS_US_mini 64.88 3.33 216.10 1.00 216.10 46875.0 216.91 -14.26 -309.33 GBP 795.38 0.58 463.93 1.00 463.93 46875.0 101.04 3.65 36.91 GOLD_micro 195.27 0.64 125.12 1.00 125.12 46875.0 374.64 -15.52 -581.42 HEATOIL 1235.30 1.17 1440.62 1.00 1440.62 46875.0 32.54 14.10 45.89 JGB-SGX-mini 146520.00 0.21 30584.90 0.01 214.26 46875.0 218.77 8.94 195.52 JPY 878.94 0.69 605.94 1.00 605.94 46875.0 77.36 -17.18 -132.90 LEANHOG 339.40 1.40 473.61 1.00 473.61 46875.0 98.97 18.12 179.36 LIVECOW 722.40 0.62 444.32 1.00 444.32 46875.0 105.50 10.53 111.06 LUMBER-new 140.52 2.07 290.20 1.00 290.20 46875.0 161.53 -10.94 -176.66 MILK 360.20 1.84 662.01 1.00 662.01 46875.0 70.81 -16.68 -118.09 MXP 291.00 0.69 202.18 1.00 202.18 46875.0 231.85 20.00 463.70 NASDAQ_micro 309.41 0.87 270.46 1.00 270.46 46875.0 173.31 -3.53 -61.10 NIKKEI 32345.00 1.05 33865.65 0.01 237.25 46875.0 197.58 16.70 329.90 NZD 608.50 0.79 482.04 1.00 482.04 46875.0 97.24 -0.04 -0.40 OAT 1269.60 0.47 592.55 1.10 651.65 46875.0 71.93 7.18 51.62 OATIES 227.00 1.62 367.93 1.00 367.93 46875.0 127.40 -5.26 -66.98 OJ 433.20 1.44 624.78 1.00 624.78 46875.0 75.03 20.00 150.05 PALLAD 1240.00 1.87 2316.12 1.00 2316.12 46875.0 20.24 -7.43 -15.04 PLAT 464.40 1.55 718.59 1.00 718.59 46875.0 65.23 -2.82 -18.42 REDWHEAT 400.25 2.30 919.99 1.00 919.99 46875.0 50.95 -4.83 -24.61 RICE 322.70 1.06 342.43 1.00 342.43 46875.0 136.89 14.81 202.68 ROBUSTA 253.40 1.56 395.07 1.00 395.07 46875.0 118.65 16.15 191.56 RUSSELL 98.90 0.93 91.83 1.00 91.83 46875.0 510.45 3.49 177.90 SHATZ 1051.05 0.09 93.04 1.10 102.33 46875.0 458.10 -7.60 -348.09 SILVER-mini 617.19 1.57 968.68 1.00 968.68 46875.0 48.39 -1.85 -8.94 SMI 1122.90 0.72 809.58 1.15 928.51 46875.0 50.48 2.66 13.42 SOFR 2412.12 0.08 192.68 1.00 192.68 46875.0 243.28 -3.95 -96.18 SOYBEAN 660.25 1.52 1001.60 1.00 1001.60 46875.0 46.80 14.61 68.38 SOYMEAL 392.20 1.64 642.35 1.00 642.35 46875.0 72.97 10.45 76.27 SOYOIL 363.90 1.74 633.15 1.00 633.15 46875.0 74.03 8.20 60.73 SP400 2706.30 0.74 2009.25 1.00 2009.25 46875.0 23.33 3.27 7.62 SP500_micro 226.80 0.59 133.59 1.00 133.59 46875.0 350.89 -0.69 -24.13 SUGAR11 273.62 1.35 369.04 1.00 369.04 46875.0 127.02 5.11 64.94 US10 1108.28 0.40 441.64 1.00 441.64 46875.0 106.14 -11.27 -119.64 US10U 1159.06 0.51 593.77 1.00 593.77 46875.0 78.95 -6.21 -49.05 US2 2030.00 0.11 227.22 1.00 227.22 46875.0 206.30 -20.00 -412.59 US20 1223.12 0.68 836.35 1.00 836.35 46875.0 56.05 -5.69 -31.86 US30 1290.94 0.95 1225.06 1.00 1225.06 46875.0 38.26 -8.53 -32.64 US5 1065.94 0.28 295.49 1.00 295.49 46875.0 158.63 -14.20 -225.25 VIX 175.50 2.52 442.14 1.00 442.14 46875.0 106.02 -20.00 -212.04 WHEAT 333.88 2.81 937.54 1.00 937.54 46875.0 50.00 -11.34 -56.69 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -40.079 0.013 2.5 -1.303 BITCOIN -225.217 0.048 2.5 -27.084 BOBL -178.466 0.004 2.5 -1.655 BTP 51.907 0.012 2.5 1.619 BUND 45.271 0.004 2.5 0.420 BUXL -5.837 0.004 2.5 -0.054 CAC 29.945 0.013 2.5 0.978 CAD -44.086 0.013 2.5 -1.433 CANOLA 320.432 0.008 2.5 6.713 CHF -64.366 0.013 2.5 -2.092 COCOA 75.741 0.007 2.5 1.397 COFFEE -27.608 0.004 2.5 -0.278 COPPER 2.703 0.048 2.5 0.325 CORN -15.159 0.008 2.5 -0.318 COTTON2 15.621 0.007 2.5 0.288 CRUDE_W 17.807 0.049 2.5 2.181 DAX 26.598 0.013 2.5 0.869 DOW 156.357 0.009 2.5 3.492 EUR -30.631 0.013 2.5 -0.996 EURIBOR-ICE -161.121 0.012 2.5 -5.026 EUROSTX 48.299 0.013 2.5 1.578 FEEDCOW -32.260 0.014 2.5 -1.100 GASOIL 57.384 0.020 2.5 2.813 GASOLINE 55.061 0.020 2.5 2.699 GAS_US_mini -309.331 0.049 2.5 -37.884 GBP 36.906 0.013 2.5 1.200 GOLD_micro -581.419 0.015 2.5 -22.023 HEATOIL 45.892 0.020 2.5 2.250 JGB-SGX-mini 195.521 0.052 2.5 25.550 JPY -132.902 0.013 2.5 -4.320 LEANHOG 179.362 0.025 2.5 11.212 LIVECOW 111.059 0.014 2.5 3.785 LUMBER-new -176.656 0.007 2.5 -3.206 MILK -118.094 0.007 2.5 -2.179 MXP 463.700 0.066 2.5 76.279 NASDAQ_micro -61.098 0.009 2.5 -1.364 NIKKEI 329.899 0.052 2.5 43.109 NZD -0.405 0.013 2.5 -0.013 OAT 51.620 0.012 2.5 1.610 OATIES -66.980 0.008 2.5 -1.403 OJ 150.054 0.007 2.5 2.768 PALLAD -15.037 0.015 2.5 -0.570 PLAT -18.424 0.015 2.5 -0.698 REDWHEAT -24.609 0.005 2.5 -0.281 RICE 202.676 0.008 2.5 4.246 ROBUSTA 191.563 0.004 2.5 1.927 RUSSELL 177.895 0.013 2.5 5.664 SHATZ -348.092 0.004 2.5 -3.228 SILVER-mini -8.938 0.015 2.5 -0.339 SMI 13.424 0.013 2.5 0.439 SOFR -96.181 0.023 2.5 -5.583 SOYBEAN 68.383 0.003 2.5 0.548 SOYMEAL 76.272 0.003 2.5 0.611 SOYOIL 60.726 0.003 2.5 0.487 SP400 7.620 0.013 2.5 0.243 SP500_micro -24.127 0.009 2.5 -0.539 SUGAR11 64.938 0.007 2.5 1.190 US10 -119.642 0.005 2.5 -1.448 US10U -49.050 0.005 2.5 -0.594 US2 -412.595 0.005 2.5 -4.994 US20 -31.863 0.005 2.5 -0.386 US30 -32.641 0.005 2.5 -0.395 US5 -225.248 0.005 2.5 -2.726 VIX -212.038 0.059 2.5 -31.418 WHEAT -56.690 0.005 2.5 -0.648 ===================== Position diags ===================== AUD 2.88 BITCOIN 79.19 BOBL 1.40 BTP 2.00 BUND 0.69 BUXL 0.31 CAC 2.09 CAD 4.64 CANOLA 6.81 CHF 2.06 COCOA 2.30 COFFEE 0.44 COPPER 4.41 CORN 1.64 COTTON2 1.19 CRUDE_W 5.24 DAX 10.44 DOW 10.99 EUR 2.21 EURIBOR-ICE 8.72 EUROSTX 3.11 FEEDCOW 2.09 GASOIL 1.87 GASOLINE 1.35 GAS_US_mini 26.57 GBP 3.28 GOLD_micro 14.19 HEATOIL 1.60 JGB-SGX-mini 28.59 JPY 2.51 LEANHOG 6.19 LIVECOW 3.60 LUMBER-new 2.93 MILK 1.31 MXP 38.14 NASDAQ_micro 3.87 NIKKEI 25.82 NZD 3.16 OAT 2.24 OATIES 2.67 OJ 1.38 PALLAD 0.77 PLAT 2.47 REDWHEAT 0.58 RICE 2.87 ROBUSTA 1.19 RUSSELL 16.25 SHATZ 4.25 SILVER-mini 1.83 SMI 1.65 SOFR 14.12 SOYBEAN 0.37 SOYMEAL 0.58 SOYOIL 0.59 SP400 0.74 SP500_micro 7.84 SUGAR11 2.33 US10 1.28 US10U 0.96 US2 2.50 US20 0.68 US30 0.46 US5 1.92 VIX 15.71 WHEAT 0.57 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.6 -1.0 NaN 0 BITCOIN -27.1 -35.0 -19.2 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 0.4 0.5 0.0 0 BUXL -0.1 -0.1 -0.0 -1.0 -1 CAC 1.0 0.8 1.2 NaN 0 CAD -1.4 -1.9 -1.0 -1.0 -1 CANOLA 6.7 6.0 7.4 NaN 0 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA 1.4 1.2 1.6 1.0 1 COFFEE -0.3 -0.3 -0.2 NaN 0 COPPER 0.3 -0.1 0.8 2.0 2 CORN -0.3 -0.5 -0.2 0.0 0 COTTON2 0.3 0.2 0.4 1.0 1 CRUDE_W 2.2 1.7 2.7 3.0 3 DAX 0.9 -0.2 1.9 -1.0 -1 DOW 3.5 2.4 4.6 NaN 0 EUR -1.0 -1.2 -0.8 0.0 0 EURIBOR-ICE -5.0 -5.9 -4.2 -8.0 -8 EUROSTX 1.6 1.3 1.9 9.0 9 FEEDCOW -1.1 -1.3 -0.9 -1.0 -1 GASOIL 2.8 2.6 3.0 2.0 2 GASOLINE 2.7 2.6 2.8 4.0 4 GAS_US_mini -37.9 -40.5 -35.2 -22.0 -22 GBP 1.2 0.9 1.5 2.0 2 GOLD_micro -22.0 -23.4 -20.6 -10.0 -10 HEATOIL 2.2 2.1 2.4 0.0 0 JGB-SGX-mini 25.5 22.7 28.4 16.0 16 JPY -4.3 -4.6 -4.1 -8.0 -8 LEANHOG 11.2 10.6 11.8 6.0 6 LIVECOW 3.8 3.4 4.1 4.0 4 LUMBER-new -3.2 -3.5 -2.9 NaN 0 MILK -2.2 -2.3 -2.0 NaN 0 MXP 76.3 72.5 80.1 59.0 59 NASDAQ_micro -1.4 -1.8 -1.0 -3.0 -3 NIKKEI 43.1 40.5 45.7 35.0 35 NZD -0.0 -0.3 0.3 1.0 1 OAT 1.6 1.4 1.8 NaN 0 OATIES -1.4 -1.7 -1.1 NaN 0 OJ 2.8 2.6 2.9 NaN 0 PALLAD -0.6 -0.6 -0.5 NaN 0 PLAT -0.7 -0.9 -0.5 -6.0 -6 REDWHEAT -0.3 -0.3 -0.2 NaN 0 RICE 4.2 4.0 4.5 NaN 0 ROBUSTA 1.9 1.8 2.0 3.0 3 RUSSELL 5.7 4.0 7.3 0.0 0 SHATZ -3.2 -3.7 -2.8 NaN 0 SILVER-mini -0.3 -0.5 -0.2 NaN 0 SMI 0.4 0.3 0.6 8.0 8 SOFR -5.6 -7.0 -4.2 NaN 0 SOYBEAN 0.5 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 0.2 0.2 0.3 2.0 2 SP500_micro -0.5 -1.3 0.2 0.0 0 SUGAR11 1.2 1.0 1.4 1.0 1 US10 -1.4 -1.6 -1.3 NaN 0 US10U -0.6 -0.7 -0.5 -6.0 -6 US2 -5.0 -5.2 -4.7 NaN 0 US20 -0.4 -0.5 -0.3 NaN 0 US30 -0.4 -0.4 -0.3 NaN 0 US5 -2.7 -2.9 -2.5 -3.0 -3 VIX -31.4 -33.0 -29.8 -17.0 -17 WHEAT -0.6 -0.7 -0.6 -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 0.0 0.1 0.1 0.0 -0.1 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 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.3 -0.2 -0.0 -0.3 0.1 0.1 BITCOIN -0.3 0.2 0.1 0.0 -0.2 0.1 -0.1 0.1 0.0 -0.3 0.4 -0.2 -0.1 0.1 0.1 -0.5 -0.2 -0.4 -0.3 0.1 0.1 -0.1 0.2 -0.0 -1.1 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.6 -0.5 0.1 -0.2 -0.1 0.3 -0.0 0.3 BOBL 0.3 -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 -0.8 -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 0.2 0.1 0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP 0.1 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.0 -0.0 0.0 0.0 0.3 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 0.0 0.3 0.3 -0.3 -0.3 -0.1 0.1 BUND 0.2 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 -0.0 -0.0 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.0 0.1 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 -0.2 -0.3 0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 0.3 0.1 0.5 0.1 0.1 -0.4 0.0 -0.2 -0.1 0.1 0.1 0.0 0.3 0.1 -0.2 0.0 -0.1 0.1 0.0 0.2 0.0 1.3 0.4 -0.4 -0.0 -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 -0.1 -0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.1 0.0 -0.0 0.1 0.3 -0.5 -0.4 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA 0.4 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 -0.1 -0.0 0.1 -1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 2.0 -0.7 0.2 0.5 0.3 -0.2 0.2 0.0 0.3 CHF 0.3 0.3 0.1 0.0 -0.1 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 -0.1 0.2 0.1 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -2.9 -0.1 0.3 0.1 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.2 0.3 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 0.0 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 -0.3 -0.1 -0.1 0.0 0.2 0.2 0.2 -0.1 -0.1 0.1 -0.2 -0.0 -1.1 -0.0 0.1 -0.0 0.0 -0.0 0.0 -1.0 0.7 -0.1 -0.5 0.1 -0.3 -0.3 -0.1 -0.2 COPPER 0.3 0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.5 0.7 0.3 0.2 -0.3 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 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.6 -0.3 -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 0.5 0.4 0.5 0.3 0.1 0.0 0.0 -0.0 0.1 -1.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.2 -0.2 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 0.1 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 0.0 0.1 0.1 0.1 0.1 -1.5 -0.7 -0.4 -0.1 0.2 0.2 0.2 0.2 0.1 DAX 0.3 -0.2 -0.1 0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 0.3 0.1 0.5 0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.1 0.1 0.0 0.3 0.1 0.9 0.0 -0.1 0.1 0.0 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 -0.1 0.1 0.0 0.1 0.0 -0.0 0.3 0.1 0.3 0.2 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.2 0.2 0.2 -0.5 0.1 -0.0 0.1 0.0 0.1 0.1 -0.8 0.7 0.5 0.5 0.2 -0.1 -0.1 -0.3 -0.0 EUR 0.1 0.2 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.2 -0.1 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 -0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.0 0.1 EURIBOR-ICE 0.5 -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 -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 0.1 -0.2 -0.2 0.0 -0.1 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 0.0 0.3 0.0 0.2 0.0 -0.1 0.1 0.0 0.2 0.0 1.1 0.3 -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 -0.9 -1.2 -1.2 -1.2 0.2 0.2 0.2 0.4 0.2 0.3 0.1 0.0 0.2 0.0 0.3 0.0 -3.2 0.4 -0.0 0.0 0.5 0.0 -0.2 0.2 -0.1 GASOIL 0.5 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.0 0.2 -0.1 0.2 0.1 0.8 0.9 0.5 0.6 0.2 0.1 0.2 0.0 0.2 0.7 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.7 0.4 0.5 0.2 -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 0.1 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 0.0 0.1 0.1 0.1 0.1 3.2 -0.5 0.0 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 -0.2 -0.4 -0.1 -0.5 0.0 0.0 -0.7 -0.8 -0.7 -0.8 -0.0 -0.2 -0.1 -0.4 -0.0 1.0 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -3.2 -0.7 -0.5 -0.5 -0.0 0.1 0.2 -0.0 0.0 GBP -0.1 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 -0.1 -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 -0.1 0.1 -0.0 -0.6 0.0 -0.1 0.0 -0.0 0.1 0.0 -2.6 -0.2 0.2 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.1 0.2 -0.2 0.2 0.2 0.9 1.0 0.5 0.7 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 0.5 -0.0 0.0 -0.1 0.0 JGB-SGX-mini -0.5 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.0 0.5 1.2 0.6 0.9 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 3.2 -0.2 -0.4 0.0 0.2 -0.3 -0.1 0.1 0.1 JPY 0.4 0.0 -0.4 0.0 -0.1 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 -0.1 -0.0 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.3 0.5 0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 1.2 0.6 1.2 1.2 0.1 -0.1 0.2 -0.4 0.1 0.9 -0.0 0.0 -0.2 0.0 -0.3 0.0 2.9 0.7 0.2 0.1 -0.4 -0.0 0.0 0.3 0.3 LIVECOW -0.2 0.3 0.5 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.4 0.0 0.6 0.1 0.2 -0.8 0.5 0.5 0.9 0.2 0.2 0.0 0.4 0.1 0.4 0.1 0.0 0.2 0.0 0.2 0.0 1.4 -0.7 0.2 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.5 0.3 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.3 -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 -0.1 -3.4 -0.7 -0.5 -0.4 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 0.7 0.3 -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 -0.2 0.4 0.1 0.6 0.1 0.2 1.1 1.1 1.1 1.1 0.2 0.2 0.0 0.4 0.1 -1.1 0.1 -0.1 0.2 0.0 0.3 0.0 3.2 0.6 -0.1 0.1 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.2 0.0 0.5 0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.2 0.1 0.1 -0.6 -0.5 -0.6 -0.6 0.2 0.2 0.0 0.4 0.1 -1.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.9 -0.4 0.1 0.5 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.4 -0.2 0.5 0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.4 0.0 0.1 0.9 0.7 0.8 0.8 0.1 0.2 0.0 0.4 0.1 -0.3 0.0 -0.0 0.2 0.0 0.2 0.0 3.2 0.2 -0.5 0.1 0.5 0.0 0.0 -0.0 0.1 NZD 0.0 0.1 0.0 0.0 -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 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 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 -0.0 -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 -3.2 0.1 0.1 0.5 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 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 -0.0 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 -0.3 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.1 -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 -0.1 -0.5 -0.3 -0.2 -0.0 0.0 0.0 PLAT 0.5 -0.4 -0.3 0.0 -0.1 0.0 -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 -0.1 -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 0.1 0.3 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 0.0 -0.2 0.2 0.0 0.2 0.0 0.0 -0.1 -0.0 0.0 -0.5 0.0 -0.1 0.0 -0.0 0.0 0.0 -1.1 -0.3 -0.2 -0.1 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.5 0.3 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.0 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 0.1 0.0 0.0 -0.0 0.0 3.2 0.6 0.4 -0.1 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 0.1 0.3 -0.0 0.1 1.2 0.9 1.2 1.2 0.1 0.1 0.1 0.3 0.0 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 2.9 0.4 0.0 -0.2 0.5 -0.1 -0.3 0.1 -0.2 RUSSELL 0.4 0.5 0.4 0.0 -0.1 0.1 0.0 0.1 0.0 -0.0 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.2 0.1 0.1 0.0 0.2 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.2 0.5 0.5 0.2 -0.1 -0.1 -0.3 -0.1 SHATZ 0.5 -0.2 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -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 -0.6 0.3 0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.5 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.1 0.1 0.1 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 0.0 0.1 0.0 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.6 0.0 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 0.1 0.1 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.0 0.0 1.6 0.7 -0.2 -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 0.1 -0.0 -0.0 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.1 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 0.0 1.1 1.2 1.0 1.1 0.0 0.0 -0.1 -0.0 0.0 -0.9 0.0 -0.0 0.0 -0.0 0.0 0.0 3.2 -0.5 -0.1 0.4 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL 0.2 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 -0.1 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 0.7 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 0.3 0.5 0.3 0.0 -0.1 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 0.1 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 -0.2 SP500_micro 0.1 0.4 0.5 0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 0.4 0.1 0.3 0.2 0.2 -0.8 -0.5 -0.7 -0.6 0.2 0.2 0.1 0.4 0.2 -1.1 0.1 -0.0 0.2 0.0 0.1 0.0 -1.1 -0.1 0.4 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 0.4 0.0 1.3 0.1 -0.0 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 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 -0.5 -0.4 -0.5 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.6 -0.3 -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 -0.1 -0.2 -0.1 -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 -0.4 -0.1 -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 -0.1 0.0 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 US20 0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.5 -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 -0.2 -0.2 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.5 -0.2 0.0 -0.1 -0.3 -0.3 0.3 0.3 US5 0.2 -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 -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 -0.1 -0.6 -0.2 -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 -0.1 -0.0 -0.2 -0.0 0.0 -0.5 -0.5 -0.6 -0.6 0.0 -0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -3.2 -0.2 -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 0.6 2.3 4.2 2.8 -4.7 2.6 -2.0 1.3 1.2 -10.1 -4.2 -8.4 -3.7 -4.1 0.4 -2.6 -2.6 -2.7 -2.7 -1.0 -1.1 -11.7 -2.9 -4.6 2.0 -0.1 -10.4 -0.1 -6.5 -1.2 -2.3 -0.5 -2.7 -12.0 -13.3 -10.0 -1.9 -20.0 4.7 9.5 BITCOIN -10.6 7.1 5.9 3.9 -13.0 4.6 -6.3 3.8 0.6 -20.0 19.7 -20.0 -2.1 7.6 10.8 -7.8 -3.6 -6.4 -4.9 6.1 13.2 -10.0 7.3 -4.0 -20.0 2.3 -4.8 5.3 -5.9 4.3 -2.6 -1.1 17.6 -20.0 2.5 -9.6 -4.6 20.0 -3.7 20.0 BOBL 11.9 -4.0 -5.3 -1.9 -2.0 -2.0 -1.4 -2.7 -1.4 -1.7 -3.3 3.6 -6.5 -0.7 -3.7 -20.0 -5.4 -20.0 -12.8 -2.9 -4.9 0.8 -8.8 -0.3 9.6 -1.1 0.1 -1.5 0.4 -3.0 -0.1 -11.7 4.7 3.6 0.3 1.4 -20.0 -20.0 -20.0 -14.6 BTP 4.2 -0.0 11.3 -2.8 -3.0 -3.0 -2.2 -4.1 -2.1 -10.3 8.4 4.1 -0.9 3.0 4.4 4.2 8.4 5.6 6.9 2.8 3.4 -2.0 -1.4 1.1 -6.5 1.8 -4.0 2.8 -1.4 0.5 0.5 16.3 3.3 1.9 12.4 14.0 -20.0 -20.0 -6.6 5.0 BUND 6.5 0.1 0.7 -2.0 -2.1 -2.1 -1.5 -2.9 -1.5 -5.6 -3.6 0.4 -7.1 -0.7 -2.9 5.9 9.1 6.4 7.2 -2.3 -3.8 -2.6 -8.6 -1.7 5.8 -1.1 -2.7 -1.2 -1.6 -3.1 -1.0 16.9 -0.1 -0.8 2.6 3.0 -20.0 -20.0 -14.3 -2.1 BUXL -1.3 5.3 0.2 -2.5 -2.7 -2.6 -1.9 -3.7 -1.9 -8.5 -7.9 -5.8 -9.8 -4.2 -4.3 1.0 1.2 1.5 1.7 -3.2 -5.4 -8.7 -12.7 -4.9 0.3 -1.4 -6.9 -1.4 -5.3 -3.8 -2.8 5.6 -7.7 -8.7 6.5 4.1 -20.0 -20.0 2.9 11.0 CAC 8.3 -6.5 -12.3 5.3 -5.7 5.3 1.1 4.3 4.5 -10.0 16.4 10.3 17.7 12.1 10.7 -7.0 0.5 -4.0 -1.5 6.1 9.9 0.9 15.7 6.1 -4.5 4.2 -8.5 6.0 0.1 8.2 3.5 8.3 10.6 -15.6 -1.3 -5.5 18.5 -1.9 20.0 0.4 CAD -4.7 6.1 14.6 4.8 -8.1 4.4 -3.5 2.3 2.1 -16.7 13.6 -6.1 -6.8 1.9 12.6 -1.9 -1.9 -2.2 -2.2 7.3 7.6 -11.4 -0.3 -0.8 -0.0 4.2 -12.3 4.8 -6.6 0.9 -0.7 0.5 10.0 -20.0 -15.1 -3.0 -15.9 -20.0 -20.0 -17.2 CANOLA 15.6 20.0 20.0 1.5 -1.7 -0.6 0.6 -1.6 2.3 -9.3 3.0 -1.1 -6.3 7.2 8.0 0.9 15.2 9.8 14.0 15.4 6.3 -7.7 -2.2 10.2 -20.0 2.3 -3.6 0.5 -1.6 -1.1 1.5 12.6 -20.0 8.3 20.0 10.6 -14.6 13.0 1.1 20.0 CHF 12.9 10.9 3.3 3.2 -5.3 2.9 -2.3 1.5 1.4 -12.3 9.4 1.7 10.1 6.1 7.1 -13.2 -12.9 -13.7 -13.5 10.8 9.8 -5.4 7.3 6.6 -5.9 3.6 -3.8 3.1 -1.2 2.1 2.4 -18.6 -3.7 13.7 3.3 2.5 -13.6 -20.0 -15.5 -20.0 COCOA 7.6 10.2 17.2 3.2 -3.7 -1.3 1.3 -3.5 4.9 20.0 20.0 20.0 20.0 20.0 20.0 0.3 -0.8 -0.1 -0.1 20.0 20.0 20.0 20.0 20.0 -10.4 8.6 3.5 8.9 5.4 7.2 7.0 -13.4 20.0 17.8 20.0 20.0 -20.0 -19.7 10.6 -7.2 COFFEE 9.2 -20.0 -8.8 2.9 -3.3 -1.2 1.2 -3.2 4.4 17.4 -4.7 15.3 -9.0 -13.2 -16.4 0.6 3.5 2.5 3.4 -14.4 -13.3 9.3 -10.5 -4.0 -20.0 -2.6 9.0 -2.0 5.9 -1.4 0.8 -6.6 20.0 -5.3 -20.0 5.1 -20.0 -20.0 -9.6 -15.6 COPPER 13.6 8.2 -8.0 2.2 -7.2 2.6 -3.5 2.1 0.3 -5.2 -3.2 3.4 -3.1 5.9 -0.1 -3.1 -1.5 -2.7 -2.1 1.6 -1.3 3.3 -2.1 4.7 -3.8 1.7 -1.9 -0.7 2.5 -1.2 3.5 2.9 20.0 12.5 7.2 -13.1 1.3 -20.0 5.9 -17.2 CORN 5.5 3.6 3.1 1.0 -1.2 -0.4 0.4 -1.1 1.5 -6.1 -3.2 -1.7 -4.3 -3.2 -3.0 -4.6 7.4 -2.2 2.4 -1.6 -2.1 -5.4 -1.9 -2.1 -6.6 0.4 -3.0 -0.6 -1.5 -1.2 -0.0 -3.6 -9.1 -2.8 -0.8 0.1 -2.5 11.7 1.1 20.0 COTTON2 11.7 7.5 11.7 1.7 -2.0 -0.7 0.7 -1.9 2.6 -8.3 4.5 2.9 -8.4 6.8 7.4 9.1 6.9 7.8 5.7 6.0 2.3 2.7 -2.2 6.7 -19.3 2.9 -1.5 1.4 1.5 0.4 3.2 -2.7 4.0 6.7 -6.0 10.3 -20.0 -16.8 8.1 8.2 CRUDE_W 20.0 18.6 1.0 5.5 5.2 1.5 9.1 0.2 8.9 10.6 5.6 19.4 -10.5 20.0 12.7 7.4 8.2 6.5 6.8 20.0 7.1 20.0 1.2 20.0 -6.7 7.0 3.0 3.6 8.1 2.2 9.2 -9.7 -20.0 -16.3 -2.2 8.2 13.2 11.7 13.0 4.6 DAX 10.1 -9.0 -4.7 5.2 -5.6 5.2 1.1 4.3 4.4 -10.7 15.7 10.2 16.9 9.7 10.1 -8.4 -6.6 -8.3 -7.8 6.3 10.3 1.2 13.9 6.5 16.5 2.9 -10.4 5.1 0.5 6.9 3.1 -3.6 6.7 -7.3 -11.4 -5.7 20.0 -0.8 20.0 4.1 DOW 20.0 16.5 9.6 5.6 -6.0 5.6 1.1 4.6 4.7 -3.8 14.7 17.7 12.1 19.1 19.6 -11.6 -7.0 -10.2 -8.9 20.0 16.5 18.6 9.4 20.0 -10.4 6.9 -0.1 5.1 4.4 3.2 6.9 -4.8 20.0 20.0 20.0 9.2 -5.2 -3.8 -20.0 -2.6 EUR 3.4 7.6 0.6 3.5 -5.8 3.2 -2.5 1.6 1.5 -13.1 8.2 -6.2 7.8 2.4 4.4 -6.1 -6.8 -6.5 -6.6 5.1 6.1 -10.2 3.6 -0.5 11.8 2.5 -5.8 2.8 -4.1 1.6 0.1 -7.4 -7.6 -4.2 -4.7 -7.7 -4.0 -20.0 -0.9 4.9 EURIBOR-ICE 19.8 -2.2 2.8 -1.8 -1.9 -1.9 -1.4 -2.6 -1.3 4.3 -3.7 5.0 -6.4 1.3 -2.6 -9.6 -7.7 -10.0 -9.4 -1.9 -4.4 3.6 -8.2 1.7 16.6 -0.8 1.4 -1.7 1.5 -3.4 0.6 -12.0 6.6 8.0 -0.0 1.5 -20.0 -20.0 20.0 5.5 EUROSTX 5.9 -7.4 -8.1 4.9 -5.3 4.9 1.0 4.0 4.2 -9.3 17.0 8.3 17.5 10.6 12.3 -4.8 -0.1 -4.4 -2.5 6.4 10.2 0.8 14.2 5.5 4.7 3.6 -9.3 5.9 0.5 8.2 3.2 6.9 7.8 -12.5 -7.5 -5.2 20.0 1.4 20.0 6.9 FEEDCOW -1.3 2.8 18.9 3.3 -3.8 -1.4 1.3 -3.6 5.1 14.4 20.0 13.2 20.0 19.3 20.0 -15.7 -20.0 -20.0 -20.0 20.0 20.0 13.3 20.0 18.1 6.0 8.5 3.8 11.4 3.7 11.2 5.2 -20.0 13.2 -1.7 1.1 20.0 1.6 -17.8 14.1 -10.5 GASOIL 20.0 20.0 3.3 4.9 4.6 1.3 8.0 0.2 7.9 16.3 -1.5 19.6 -5.4 20.0 16.4 13.3 15.0 9.2 10.7 20.0 9.0 20.0 2.0 20.0 12.8 6.0 8.8 1.8 10.5 0.0 9.4 0.0 20.0 16.6 19.6 6.7 -8.4 3.1 -11.7 -4.3 GASOLINE 20.0 20.0 6.7 5.6 5.2 1.5 9.1 0.2 8.9 8.4 16.7 19.7 -3.6 20.0 19.6 20.0 20.0 20.0 20.0 20.0 18.3 20.0 13.1 20.0 -20.0 7.7 1.4 5.2 6.8 4.3 8.8 20.0 -16.5 0.5 18.2 20.0 11.7 13.2 14.0 -0.2 GAS_US_mini 0.2 20.0 12.3 4.3 4.0 1.2 7.1 0.2 7.0 -14.7 -16.9 -6.3 -18.0 1.9 2.6 -11.7 -12.7 -11.7 -13.7 -2.7 -20.0 -7.2 -20.0 -1.5 19.3 1.8 -8.1 -1.2 -3.7 -3.7 0.2 -20.0 -20.0 -20.0 -18.3 -1.7 4.4 12.7 -1.4 1.1 GBP -4.9 4.6 10.9 3.7 -6.3 3.4 -2.7 1.8 1.6 -14.0 12.7 -9.5 8.9 2.3 7.5 0.5 -1.0 0.0 -0.5 9.1 11.7 -8.9 7.4 1.0 -0.7 4.1 -5.8 4.6 -3.4 2.1 0.8 2.7 3.9 -5.4 -3.4 2.2 6.1 10.9 11.1 20.0 GOLD_micro 14.7 -9.9 -9.1 3.3 -11.0 3.9 -5.4 3.2 0.5 -17.2 1.6 -1.3 7.7 0.3 -11.5 -16.5 -12.1 -15.4 -13.9 -4.4 -0.0 -9.5 6.8 -3.1 -11.3 0.9 -11.8 2.3 -5.1 4.5 0.1 -16.3 -5.3 8.2 -5.8 -13.7 -20.0 -20.0 -7.5 -20.0 HEATOIL 20.0 20.0 3.6 5.8 5.5 1.6 9.5 0.2 9.4 19.3 -3.1 20.0 -7.8 20.0 19.2 14.8 16.7 9.1 11.0 20.0 12.2 20.0 2.4 20.0 -20.0 7.5 8.9 3.3 11.4 1.8 10.6 1.7 20.0 20.0 20.0 18.6 -0.6 1.5 -5.8 0.2 JGB-SGX-mini -18.3 -18.7 5.5 -1.9 -2.0 -2.0 -1.5 -2.8 -1.4 -7.2 6.1 -6.3 5.8 -5.2 -0.5 7.8 20.0 10.7 15.0 -1.4 3.0 -10.8 3.9 -6.1 0.7 -0.8 -5.9 0.8 -4.5 0.7 -2.7 20.0 -7.1 -17.0 1.6 9.2 -20.0 -7.1 3.8 7.2 JPY 15.9 1.8 -15.5 2.4 -4.0 2.2 -1.7 1.1 1.0 -8.9 -7.7 -5.3 -7.8 -2.6 -7.3 -15.5 -13.3 -15.9 -15.0 -7.2 -9.6 -9.2 -10.6 -5.3 20.0 -2.3 -4.7 -2.9 -3.2 -3.3 -1.7 -20.0 -3.0 -2.0 -20.0 -20.0 -14.6 -20.0 -15.7 -20.0 LEANHOG 12.8 20.0 1.3 2.6 -3.0 -1.1 1.0 -2.9 4.0 8.1 -5.5 13.8 -9.9 17.2 14.6 20.0 9.8 20.0 20.0 10.7 -6.5 12.8 -17.7 16.2 16.5 -0.1 2.9 -7.8 5.0 -11.3 4.6 18.6 20.0 8.7 4.0 -15.0 -3.8 2.7 20.0 20.0 LIVECOW -8.0 12.9 19.3 3.5 -4.1 -1.5 1.4 -3.8 5.3 -5.7 20.0 0.2 20.0 12.5 20.0 -13.0 8.0 8.1 15.4 20.0 20.0 2.8 20.0 15.4 7.2 8.3 1.1 9.5 1.0 8.0 4.1 9.1 -20.0 6.2 20.0 20.0 -20.0 -20.0 -17.2 -19.5 LUMBER-new -17.1 9.8 3.7 2.6 -3.1 -0.8 1.1 -2.1 4.1 -16.8 -12.3 -18.3 -15.6 -10.9 -4.9 -9.5 -11.9 -10.5 -11.5 -5.1 -3.6 -20.0 -5.2 -15.7 NaN -1.7 -8.5 -0.6 -9.5 -0.9 -5.9 -20.0 -20.0 -20.0 -15.3 4.7 -20.0 -20.0 -20.0 -20.0 MILK 20.0 20.0 3.6 1.2 -1.4 -0.5 0.5 -1.4 1.9 -0.5 -6.8 4.1 -8.5 2.4 -4.3 -20.0 -20.0 -20.0 -20.0 -4.0 -9.5 6.0 -10.5 3.7 -3.5 -1.7 0.6 -3.2 1.5 -3.2 0.7 -20.0 20.0 12.3 -20.0 -20.0 -20.0 -20.0 -14.5 -20.0 MXP -5.1 -5.1 7.0 4.9 -8.3 4.5 -3.6 2.3 2.1 -12.1 20.0 8.4 20.0 15.1 20.0 18.0 17.9 18.5 18.1 20.0 20.0 1.4 20.0 14.1 -20.0 7.8 -4.1 9.6 0.5 10.0 4.5 20.0 18.0 -3.9 3.9 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -9.8 2.0 20.0 3.9 -4.2 3.9 0.8 3.2 3.3 -7.1 14.4 4.2 8.6 9.8 13.3 -10.9 -7.6 -10.5 -9.3 20.0 20.0 2.1 18.6 12.0 -20.0 5.2 -2.1 6.3 0.4 5.0 2.6 -5.6 -12.9 4.4 18.4 20.0 -7.2 -10.2 -16.3 -12.7 NIKKEI -16.6 -9.0 19.1 5.1 -5.5 5.1 1.0 4.2 4.3 -5.7 16.6 4.2 16.2 5.4 14.4 15.9 12.0 14.3 12.9 16.3 20.0 2.5 20.0 6.5 -5.4 5.5 -2.9 8.2 0.6 6.8 2.1 20.0 4.9 -20.0 3.8 20.0 3.6 2.9 -1.4 8.8 NZD 1.0 4.6 1.3 2.5 -4.2 2.3 -1.8 1.2 1.1 -9.0 -2.2 -8.4 0.5 -2.3 -0.6 0.6 0.6 0.6 0.6 -0.2 -0.3 -7.4 -1.7 -2.6 0.2 0.3 -7.0 0.2 -4.3 -0.6 -1.3 5.1 1.6 -9.1 -10.7 -10.3 1.3 -12.5 7.8 7.3 OAT 4.9 0.2 3.8 -2.2 -2.3 -2.3 -1.7 -3.2 -1.6 -6.7 -4.0 -0.0 -7.3 -0.7 -2.0 5.7 9.2 7.0 8.1 -2.1 -3.3 -3.3 -7.8 -2.0 7.7 -1.1 -3.4 -1.0 -2.2 -3.3 -1.3 17.9 -0.6 -1.8 3.5 4.6 -20.0 -20.0 -3.2 2.0 OATIES -7.9 20.0 20.0 1.8 -2.1 -0.7 0.7 -1.9 2.7 -2.7 8.8 4.0 -6.6 9.3 10.7 -15.6 -0.7 -12.3 -7.9 19.6 14.2 6.7 4.9 14.8 -20.0 3.8 0.8 2.7 1.1 0.8 2.6 -20.0 3.6 2.8 20.0 20.0 3.2 20.0 14.8 20.0 OJ 20.0 15.4 -1.4 3.3 -3.8 -1.4 1.3 -3.6 5.0 7.0 20.0 19.0 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 7.9 -0.7 8.3 6.3 10.1 8.5 20.0 20.0 20.0 20.0 20.0 18.7 5.7 20.0 16.6 PALLAD 14.1 -8.9 -11.0 1.8 -6.1 2.2 -3.0 1.8 0.3 -8.3 -11.5 -6.8 -11.8 -8.1 -10.4 -3.5 -2.6 -3.3 -3.1 -12.2 -17.6 -5.2 -20.0 -7.0 -4.4 -3.6 -2.4 -4.1 -2.2 -4.2 -2.6 1.1 1.5 -5.2 -19.3 -11.3 -16.1 -0.3 2.3 2.1 PLAT 18.5 -14.6 -12.3 2.0 -6.8 2.4 -3.3 2.0 0.3 -11.1 -7.0 -2.3 0.1 -4.2 -8.2 -3.2 -1.9 -2.8 -2.4 -7.0 -6.0 -7.8 -2.0 -4.9 12.7 -1.6 -6.0 -1.2 -3.5 -0.2 -1.5 2.3 -5.2 2.3 -15.8 -6.2 2.1 -15.3 10.4 -11.2 REDWHEAT 4.5 10.0 7.6 1.4 -1.6 -0.6 0.6 -1.5 2.1 -8.4 1.8 -4.9 -7.2 0.1 3.3 -3.1 3.2 0.3 2.6 2.0 0.6 -7.4 -1.1 0.1 -9.7 1.0 -6.3 0.4 -2.5 0.0 0.4 -7.3 -7.8 -6.0 -5.2 3.1 -20.0 -17.3 -5.7 -6.7 RICE 18.5 12.4 3.6 2.3 -2.7 -1.0 0.9 -2.6 3.6 5.1 -1.2 9.8 -1.8 10.0 10.5 -3.7 20.0 20.0 20.0 8.6 2.1 11.5 -0.6 12.6 -20.0 3.6 4.3 1.2 4.4 -0.2 4.8 20.0 18.1 14.1 -2.2 18.4 -8.2 -20.0 2.3 -17.0 ROBUSTA -2.8 -20.0 5.1 1.9 -2.2 -0.8 0.8 -2.1 2.9 9.6 10.6 8.4 10.4 -1.0 6.5 20.0 15.9 20.0 20.0 7.3 14.0 6.7 15.3 4.5 -10.1 3.2 3.2 6.2 2.5 6.7 1.8 18.5 12.4 1.3 -8.0 20.0 -7.1 -19.8 6.4 -12.0 RUSSELL 15.5 18.7 16.4 4.7 -5.1 4.7 1.0 3.9 4.0 -2.7 5.4 12.9 -1.8 14.8 15.2 -7.3 -5.1 -6.7 -6.0 19.4 11.9 10.7 1.7 18.5 -1.7 5.7 -0.1 4.0 2.7 1.8 5.0 -0.7 5.4 19.3 20.0 7.4 -4.2 -7.0 -20.0 -9.9 SHATZ 18.1 -9.1 -17.2 -1.9 -2.0 -1.9 -1.4 -2.7 -1.4 6.1 -5.6 6.5 -7.0 -2.0 -5.2 -19.0 -1.7 -10.6 -6.4 -5.4 -8.7 3.9 -12.4 -0.0 11.2 -1.6 2.0 -2.5 1.5 -3.8 0.2 -3.7 9.8 7.5 -3.0 -2.6 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -1.8 -7.2 2.9 -4.6 3.0 -1.7 2.4 1.6 -9.0 4.5 6.1 5.2 8.4 0.7 -6.5 -5.4 -6.5 -6.1 4.5 3.4 1.1 3.5 5.9 6.7 3.2 -2.7 2.5 0.3 1.6 3.0 -4.0 1.5 12.1 7.9 -1.4 -12.5 -20.0 -1.0 -20.0 SMI 9.2 -11.9 0.3 4.7 -5.0 4.7 0.9 3.8 4.0 -8.5 7.1 9.5 4.0 2.3 0.4 -3.4 1.8 -2.7 -0.8 -0.4 2.0 5.7 3.8 3.5 3.3 -0.3 7.0 -0.1 7.0 -0.6 2.7 10.0 20.0 -6.6 -19.6 -7.7 -7.2 -10.4 -14.7 -15.6 SOFR 7.4 -12.1 -5.4 -1.9 -2.1 -2.0 -1.5 -2.8 -1.4 -6.6 -1.6 -0.8 -1.7 -1.7 -3.6 -2.9 -0.7 -1.9 -1.3 -4.5 -3.0 -4.7 -2.7 -4.4 -1.4 -1.9 -2.0 -1.3 -1.8 -0.9 -1.7 1.2 -6.4 2.1 -1.5 -0.3 -20.0 -20.0 -4.1 -1.2 SOYBEAN 3.9 20.0 9.2 1.2 -1.4 -0.5 0.5 -1.3 1.8 -6.9 3.4 -3.2 -1.4 5.0 6.0 18.1 20.0 16.4 18.8 5.7 2.7 -6.1 -0.0 2.6 -17.4 1.8 -2.9 0.8 -1.4 0.0 0.8 20.0 -14.2 -5.3 17.5 6.9 -8.8 15.5 -5.2 20.0 SOYMEAL 8.4 14.1 -20.0 1.2 -1.4 -0.5 0.5 -1.4 1.9 -7.1 -1.6 -1.2 2.1 0.8 0.5 10.1 20.0 19.9 20.0 1.4 0.1 -4.4 1.6 1.0 -19.0 1.7 -3.1 1.2 -1.3 1.5 1.0 20.0 -11.6 -3.5 9.0 3.3 -9.4 -18.1 -5.5 -16.3 SOYOIL 7.2 20.0 19.4 1.2 -1.4 -0.5 0.5 -1.3 1.8 -5.1 2.8 -0.5 -2.3 6.0 6.8 11.0 10.0 9.7 8.5 10.1 5.1 -0.5 0.3 7.3 -20.0 2.2 -1.2 1.2 -0.2 0.1 1.4 2.7 -0.8 -2.9 18.1 12.7 1.8 6.5 13.8 20.0 SP400 13.3 20.0 13.4 4.9 -5.2 4.9 1.0 4.0 4.1 -8.9 8.2 12.8 6.0 15.8 16.3 -5.6 -4.5 -5.3 -5.1 20.0 16.0 6.0 7.1 18.7 -11.8 5.7 -1.9 4.0 1.2 2.1 4.4 0.7 -1.6 14.5 20.0 7.0 -0.9 -8.3 -11.8 -11.5 SP500_micro 4.1 16.6 20.0 6.0 -6.4 6.0 1.2 4.9 5.1 -10.0 20.0 13.5 10.7 19.2 20.0 -14.0 -8.4 -12.4 -10.5 20.0 20.0 7.0 20.0 20.0 -20.0 8.0 -3.7 7.7 1.4 5.1 5.5 -7.2 -2.7 16.0 20.0 20.0 -4.2 -9.0 -12.3 -13.0 SUGAR11 7.9 -20.0 2.7 2.5 -2.9 -1.1 1.0 -2.8 3.9 -6.8 11.5 3.1 13.5 1.7 2.8 -1.5 14.4 2.0 8.3 3.5 14.8 0.1 20.0 1.3 -20.0 1.9 -1.1 8.0 -0.4 12.9 0.1 8.1 3.5 -1.4 -20.0 20.0 -16.3 -17.8 11.3 -6.3 US10 6.9 -11.6 -10.9 -1.9 -2.0 -2.0 -1.4 -2.8 -1.4 -7.0 -4.5 -3.7 -6.2 -4.3 -5.7 -8.8 -6.6 -9.0 -8.6 -7.0 -6.4 -6.5 -7.1 -6.2 0.6 -2.4 -2.7 -2.0 -2.3 -1.8 -2.0 -10.4 -7.8 -0.4 -3.3 -4.2 -20.0 -20.0 15.4 2.7 US10U 4.5 -8.8 -8.2 -2.6 -2.8 -2.7 -2.0 -3.8 -1.9 -9.7 -5.8 -6.8 -8.0 -6.4 -7.9 -3.1 -0.8 -2.0 -1.8 -8.3 -7.4 -10.4 -9.0 -8.4 -3.9 -3.2 -5.3 -2.6 -4.1 -2.3 -3.1 0.5 -13.2 -2.9 -2.4 -4.8 -20.0 -20.0 20.0 19.5 US2 10.7 -20.0 -20.0 -1.8 -1.9 -1.9 -1.4 -2.7 -1.4 -4.2 -6.6 -6.1 -6.9 -6.9 -7.4 -20.0 -19.6 -20.0 -20.0 -12.9 -13.4 -5.5 -13.6 -8.6 7.3 -2.6 -0.7 -2.5 -1.2 -2.7 -1.8 -20.0 -3.3 0.3 -9.8 -10.9 -20.0 -19.7 -20.0 -15.7 US20 1.9 -6.5 -7.3 -2.1 -2.2 -2.2 -1.6 -3.0 -1.6 -7.8 -4.3 -6.4 -5.0 -5.3 -6.5 -1.9 -1.4 -1.7 -1.8 -6.2 -5.3 -10.5 -6.7 -7.3 -3.9 -2.5 -6.3 -1.9 -4.5 -1.9 -2.9 -0.1 -14.6 -4.9 -0.7 -3.1 -20.0 -20.0 20.0 20.0 US30 -0.8 -3.9 -5.5 -2.5 -2.7 -2.7 -1.9 -3.7 -1.9 -9.5 -7.0 -8.8 -7.1 -7.3 -8.8 -8.9 -2.2 -5.2 -3.5 -7.0 -6.5 -12.4 -9.5 -8.5 -3.7 -3.2 -8.5 -2.4 -6.1 -2.5 -4.0 -1.8 -15.8 -8.3 0.3 -2.6 -20.0 -20.0 20.0 20.0 US5 9.8 -13.1 -14.0 -1.8 -2.0 -1.9 -1.4 -2.7 -1.4 -6.1 -4.8 -2.9 -6.2 -4.0 -5.8 -13.2 -8.6 -12.9 -11.5 -7.3 -7.1 -4.8 -7.8 -5.5 2.9 -2.3 -1.5 -2.1 -1.5 -2.0 -1.7 -14.6 -5.0 1.9 -3.8 -4.9 -20.0 -20.0 7.3 -15.2 VIX 3.4 -18.1 -20.0 -7.7 -0.8 -8.6 -2.6 -8.0 -5.1 -7.8 -20.0 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.5 -20.0 -20.0 NaN -9.0 -0.9 -10.3 -2.6 -9.7 -5.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.8 20.0 16.2 1.0 -1.2 -0.4 0.4 -1.1 1.6 -6.1 -2.4 -2.4 -6.4 -0.5 0.6 -8.8 -8.8 -9.7 -9.8 1.1 -1.1 -4.6 -3.3 0.3 -3.4 0.7 -3.1 -0.3 -1.0 -1.1 0.6 -20.0 -5.9 -3.0 0.8 0.8 -18.4 -16.7 -10.7 -8.2 End of report for caleb_strategy_v3