******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230803_204336 produced at 2023-08-03 21:38:38.061498 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.09 0.00 -0.55 0.0 0.00 0.00 0.00 0.00 -6.35 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 -0.76 -0.49 0.0 0.95 -0.95 -0.76 -0.38 -5.12 10.0 -8 -4 caleb_strategy_v3 US2 False True 0.07 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -5.09 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -28.91 17.0 -16 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.39 -0.39 -0.10 -0.10 -24.01 56.0 -14 -14 caleb_strategy_v3 JPY False False 0.03 -0.22 -0.14 0.0 0.54 -0.54 -0.22 -0.22 -4.38 17.0 -7 -7 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -3.38 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.11 0.0 0.95 -0.95 -0.11 -0.15 -2.86 25.0 -3 -4 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.11 0.0 0.67 -0.67 -0.10 -0.20 -2.07 13.0 -2 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.09 0.0 0.06 -0.06 -0.06 -0.06 -38.47 26.0 -24 -25 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.08 0.0 0.86 -0.86 -0.05 -0.18 -1.71 19.0 -1 -4 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.67 -0.67 0.00 0.00 -1.52 17.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.05 0.0 0.78 -0.78 -0.03 -0.03 -1.95 29.0 -1 -1 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.05 0.0 0.69 -0.69 -0.05 -0.05 -1.04 14.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.05 -0.05 -0.04 0.0 0.36 -0.36 -0.05 0.00 -0.81 8.0 -1 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.28 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 -26.84 59.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.25 -0.03 0.0 0.53 -0.53 -0.25 -0.21 -0.67 13.0 -6 -5 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -1.49 19.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.76 0.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.55 2.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -0.42 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.41 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.35 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.01 -0.69 9.0 -2 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.29 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.10 -0.01 0.0 0.16 -0.16 -0.10 -0.08 -0.87 10.0 -6 -5 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.01 0.0 0.25 -0.25 -0.03 -0.02 -1.36 23.0 -3 -2 caleb_strategy_v3 SP500_micro False False 0.01 -0.08 -0.01 0.0 0.39 -0.39 -0.08 -0.08 -1.29 48.0 -10 -10 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.52 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.10 -0.00 0.0 0.20 -0.20 -0.10 -0.10 -0.08 4.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.41 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.00 0.0 0.11 -0.11 -0.01 -0.01 -0.34 8.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 0.00 -0.00 0.0 0.36 -0.36 0.00 -0.09 -0.44 58.0 0 -15 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.27 11.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.00 0.0 0.46 -0.46 0.02 0.00 -0.20 21.0 1 0 caleb_strategy_v3 SMI False False 0.05 0.36 0.01 0.0 0.41 -0.41 0.36 0.36 0.30 9.0 8 8 caleb_strategy_v3 COPPER False False 0.03 0.03 0.01 0.0 0.21 -0.21 0.03 0.03 0.35 6.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.00 0.48 10.0 1 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.01 0.63 9.0 0 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.17 -0.17 0.01 0.00 0.96 18.0 1 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.32 -0.32 0.00 0.00 1.20 26.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.17 -0.17 0.05 0.05 0.57 7.0 2 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.80 12.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.21 -0.21 0.03 0.02 2.07 23.0 3 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 5.21 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.42 -0.42 0.00 0.00 2.83 66.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.51 -0.51 0.00 0.00 0.38 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.15 0.02 0.0 0.34 -0.34 0.15 0.03 1.35 20.0 9 2 caleb_strategy_v3 SP400 False False 0.10 0.19 0.02 0.0 0.19 -0.19 0.19 0.19 0.19 2.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.21 -0.21 0.00 0.00 6.37 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.62 -0.62 0.06 0.06 1.06 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 2.74 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 4.57 4.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.49 -0.49 0.00 0.00 1.50 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.09 0.07 0.0 0.14 -0.14 0.09 0.06 2.41 5.0 3 2 caleb_strategy_v3 BTP False False 0.04 0.22 0.07 0.0 0.45 -0.45 0.22 0.22 1.50 10.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.09 0.09 0.0 0.13 -0.13 0.09 0.09 2.72 4.0 3 3 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.74 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.11 0.0 0.44 -0.44 0.10 0.10 4.17 17.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.11 0.0 0.15 -0.15 0.09 0.09 9.28 13.0 8 8 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.11 0.0 0.13 -0.13 0.00 0.00 2.37 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.34 0.0 0.29 -0.29 0.28 0.29 42.16 36.0 35 36 caleb_strategy_v3 MXP False False 0.01 0.61 0.69 0.0 0.61 -0.61 0.61 0.61 67.24 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.58 0.87 0.0 0.58 -0.58 0.58 0.55 23.90 16.0 16 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.1 Shocked risk 61.1 Sum abs risk 59.7 Leverage 5.52 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 0.0052 0.6558 0.7984 12.7742 BITCOIN 701.7412 29405.0000 2.3865 38.1835 BOBL 0.2806 115.5400 0.2429 3.8857 BTP 0.6658 114.5200 0.5814 9.3025 BUND 0.5769 131.6900 0.4381 7.0091 BUXL 1.2918 130.9000 0.9868 15.7893 CAC 65.4268 7281.0000 0.8986 14.3775 CAD 0.0032 0.7492 0.4328 6.9245 CANOLA 9.3252 783.9000 1.1896 19.0334 CHF 0.0058 1.1476 0.5076 8.1222 COCOA 39.1635 3494.0000 1.1209 17.9340 COFFEE 2.8694 163.5000 1.7550 28.0795 COPPER 0.0508 3.8970 1.3041 20.8650 CORN 11.7065 494.7500 2.3662 37.8585 COTTON2 1.4152 85.2500 1.6600 26.5608 CRUDE_W 1.1097 80.1900 1.3838 22.1406 DAX 131.0662 15982.0000 0.8201 13.1214 DOW 188.0999 35362.0000 0.5319 8.5108 EUR 0.0054 1.0964 0.4967 7.9465 EURIBOR-ICE 0.0606 97.0450 0.0624 0.9988 EUROSTX 43.9834 4328.0000 1.0163 16.2600 FEEDCOW 1.5047 254.3500 0.5916 9.4652 GASOIL 13.0621 883.5000 1.4784 23.6551 GASOLINE 0.0399 2.4467 1.6324 26.1184 GAS_US_mini 0.0860 2.6600 3.2349 51.7577 GBP 0.0073 1.2702 0.5782 9.2513 GOLD_micro 12.2769 1949.2000 0.6298 10.0775 HEATOIL 0.0341 2.9942 1.1402 18.2430 JGB-SGX-mini 0.3018 146.2700 0.2064 3.3016 JPY 0.0000 0.0071 0.6813 10.9006 LEANHOG 1.2769 82.1250 1.5548 24.8768 LIVECOW 1.0915 181.3000 0.6021 9.6328 LUMBER-new 10.3997 514.0000 2.0233 32.3727 MILK 0.3271 17.6800 1.8503 29.6042 MXP 0.0004 0.0574 0.7519 12.0297 NASDAQ_micro 133.4293 15451.7500 0.8635 13.8164 NIKKEI 329.9254 31935.0000 1.0331 16.5298 NZD 0.0048 0.6068 0.7844 12.5501 OAT 0.5901 126.2600 0.4674 7.4776 OATIES 7.5058 443.0000 1.6943 27.1090 OJ 4.2055 283.7500 1.4821 23.7140 PALLAD 22.7682 1250.0000 1.8215 29.1433 PLAT 14.1772 919.0000 1.5427 24.6828 REDWHEAT 18.1180 783.0000 2.3139 37.0227 RICE 0.1683 16.2550 1.0355 16.5676 ROBUSTA 38.7142 2519.0000 1.5369 24.5902 RUSSELL 18.1102 1972.0000 0.9184 14.6939 SHATZ 0.0909 105.0700 0.0865 1.3845 SILVER-mini 0.3821 23.9875 1.5930 25.4882 SMI 82.3640 11112.0000 0.7412 11.8595 SOFR 0.0773 96.3750 0.0802 1.2826 SOYBEAN 19.5710 1325.2500 1.4768 23.6284 SOYMEAL 6.3375 396.9000 1.5967 25.5480 SOYOIL 1.0337 60.1800 1.7176 27.4821 SP400 19.9536 2692.9000 0.7410 11.8555 SP500_micro 26.4535 4521.7500 0.5850 9.3604 SUGAR11 0.3257 24.1600 1.3480 21.5676 US10 0.4424 110.2344 0.4013 6.4212 US10U 0.6077 114.8125 0.5293 8.4687 US2 0.1115 101.4883 0.1099 1.7576 US20 0.8784 120.3125 0.7301 11.6820 US30 1.3040 126.0938 1.0341 16.5460 US5 0.2914 106.3594 0.2740 4.3834 VIX 0.4804 18.5500 2.5900 41.4399 WHEAT 18.3544 655.5000 2.8001 44.8010 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 655.80 0.80 523.58 1.00 523.58 46875.0 89.53 -5.13 -45.96 BITCOIN 29.40 2.39 70.17 1.00 70.17 46875.0 667.98 -3.34 -223.23 BOBL 1155.40 0.24 280.59 1.10 308.43 46875.0 151.98 -12.11 -184.09 BTP 1145.20 0.58 665.83 1.10 731.88 46875.0 64.05 7.52 48.17 BUND 1316.90 0.44 576.89 1.10 634.12 46875.0 73.92 5.57 41.16 BUXL 1309.00 0.99 1291.76 1.10 1419.91 46875.0 33.01 -2.56 -8.46 CAC 728.10 0.90 654.27 1.10 719.17 46875.0 65.18 3.76 24.52 CAD 749.25 0.43 324.26 1.00 324.26 46875.0 144.56 -4.15 -60.00 CANOLA 156.78 1.19 186.50 0.75 140.27 46875.0 334.18 9.10 304.04 CHF 1434.56 0.51 728.24 1.00 728.24 46875.0 64.37 -9.89 -63.67 COCOA 349.40 1.12 391.63 1.00 391.63 46875.0 119.69 5.42 64.91 COFFEE 613.12 1.75 1076.01 1.00 1076.01 46875.0 43.56 -6.61 -28.79 COPPER 974.25 1.30 1270.48 1.00 1270.48 46875.0 36.90 0.78 2.89 CORN 247.38 2.37 585.33 1.00 585.33 46875.0 80.08 -2.42 -19.35 COTTON2 426.25 1.66 707.60 1.00 707.60 46875.0 66.25 2.17 14.37 CRUDE_W 801.90 1.38 1109.66 1.00 1109.66 46875.0 42.24 4.66 19.70 DAX 159.82 0.82 131.07 1.10 144.07 46875.0 325.37 -0.41 -13.46 DOW 176.81 0.53 94.05 1.00 94.05 46875.0 498.41 2.55 126.85 EUR 1370.50 0.50 680.67 1.00 680.67 46875.0 68.87 -4.63 -31.90 EURIBOR-ICE 2426.12 0.06 151.46 1.10 166.48 46875.0 281.56 -5.83 -164.04 EUROSTX 432.80 1.02 439.83 1.10 483.47 46875.0 96.96 4.26 41.33 FEEDCOW 1271.75 0.59 752.34 1.00 752.34 46875.0 62.31 -3.79 -23.63 GASOIL 883.50 1.48 1306.21 1.00 1306.21 46875.0 35.89 15.47 55.51 GASOLINE 1027.61 1.63 1677.47 1.00 1677.47 46875.0 27.94 20.00 55.89 GAS_US_mini 66.50 3.23 215.12 1.00 215.12 46875.0 217.90 -14.42 -314.13 GBP 793.88 0.58 459.02 1.00 459.02 46875.0 102.12 3.20 32.67 GOLD_micro 194.92 0.63 122.77 1.00 122.77 46875.0 381.81 -16.60 -633.99 HEATOIL 1257.56 1.14 1433.86 1.00 1433.86 46875.0 32.69 14.79 48.35 JGB-SGX-mini 146270.00 0.21 30183.23 0.01 211.45 46875.0 221.68 8.25 182.90 JPY 881.81 0.68 600.77 1.00 600.77 46875.0 78.03 -17.25 -134.62 LEANHOG 328.50 1.55 510.75 1.00 510.75 46875.0 91.78 16.17 148.39 LIVECOW 725.20 0.60 436.61 1.00 436.61 46875.0 107.36 11.40 122.36 LUMBER-new 141.35 2.02 285.99 1.00 285.99 46875.0 163.90 -11.27 -184.75 MILK 353.60 1.85 654.25 1.00 654.25 46875.0 71.65 -17.27 -123.70 MXP 286.85 0.75 215.67 1.00 215.67 46875.0 217.35 18.81 408.75 NASDAQ_micro 309.04 0.86 266.86 1.00 266.86 46875.0 175.65 -3.46 -60.75 NIKKEI 31935.00 1.03 32992.54 0.01 231.13 46875.0 202.81 15.91 322.65 NZD 606.80 0.78 475.96 1.00 475.96 46875.0 98.48 -0.64 -6.26 OAT 1262.60 0.47 590.08 1.10 648.61 46875.0 72.27 6.66 48.16 OATIES 221.50 1.69 375.29 1.00 375.29 46875.0 124.90 -5.80 -72.47 OJ 425.62 1.48 630.83 1.00 630.83 46875.0 74.31 20.00 148.61 PALLAD 1250.00 1.82 2276.82 1.00 2276.82 46875.0 20.59 -7.08 -14.59 PLAT 459.50 1.54 708.86 1.00 708.86 46875.0 66.13 -3.48 -22.99 REDWHEAT 391.50 2.31 905.90 1.00 905.90 46875.0 51.74 -5.82 -30.09 RICE 325.10 1.04 336.63 1.00 336.63 46875.0 139.25 15.65 217.97 ROBUSTA 251.90 1.54 387.14 1.00 387.14 46875.0 121.08 17.03 206.16 RUSSELL 98.60 0.92 90.55 1.00 90.55 46875.0 517.66 3.16 163.76 SHATZ 1050.70 0.09 90.92 1.10 99.94 46875.0 469.04 -7.77 -364.38 SILVER-mini 599.69 1.59 955.31 1.00 955.31 46875.0 49.07 -4.08 -20.01 SMI 1111.20 0.74 823.64 1.14 942.29 46875.0 49.75 1.87 9.32 SOFR 2409.38 0.08 193.15 1.00 193.15 46875.0 242.69 -4.51 -109.38 SOYBEAN 662.62 1.48 978.55 1.00 978.55 46875.0 47.90 14.75 70.66 SOYMEAL 396.90 1.60 633.75 1.00 633.75 46875.0 73.96 10.69 79.08 SOYOIL 361.08 1.72 620.20 1.00 620.20 46875.0 75.58 7.92 59.83 SP400 2692.90 0.74 1995.36 1.00 1995.36 46875.0 23.49 2.56 6.01 SP500_micro 226.09 0.59 132.27 1.00 132.27 46875.0 354.40 -1.63 -57.78 SUGAR11 270.59 1.35 364.75 1.00 364.75 46875.0 128.51 4.10 52.63 US10 1102.34 0.40 442.40 1.00 442.40 46875.0 105.96 -11.86 -125.70 US10U 1148.12 0.53 607.69 1.00 607.69 46875.0 77.14 -7.17 -55.34 US2 2029.77 0.11 222.97 1.00 222.97 46875.0 210.23 -20.00 -420.46 US20 1203.12 0.73 878.43 1.00 878.43 46875.0 53.36 -6.57 -35.08 US30 1260.94 1.03 1303.96 1.00 1303.96 46875.0 35.95 -9.49 -34.13 US5 1063.59 0.27 291.39 1.00 291.39 46875.0 160.87 -14.66 -235.88 VIX 185.50 2.59 480.44 1.00 480.44 46875.0 97.57 -20.00 -195.13 WHEAT 327.75 2.80 917.72 1.00 917.72 46875.0 51.08 -11.80 -60.26 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -45.959 0.013 2.5 -1.494 BITCOIN -223.231 0.048 2.5 -26.845 BOBL -184.091 0.004 2.5 -1.707 BTP 48.173 0.012 2.5 1.503 BUND 41.157 0.004 2.5 0.382 BUXL -8.456 0.004 2.5 -0.078 CAC 24.524 0.013 2.5 0.801 CAD -59.995 0.013 2.5 -1.950 CANOLA 304.037 0.008 2.5 6.369 CHF -63.672 0.013 2.5 -2.070 COCOA 64.907 0.007 2.5 1.197 COFFEE -28.789 0.004 2.5 -0.290 COPPER 2.887 0.048 2.5 0.347 CORN -19.347 0.008 2.5 -0.405 COTTON2 14.371 0.007 2.5 0.265 CRUDE_W 19.699 0.049 2.5 2.412 DAX -13.460 0.013 2.5 -0.440 DOW 126.846 0.009 2.5 2.833 EUR -31.901 0.013 2.5 -1.037 EURIBOR-ICE -164.037 0.012 2.5 -5.117 EUROSTX 41.334 0.013 2.5 1.350 FEEDCOW -23.627 0.014 2.5 -0.805 GASOIL 55.510 0.020 2.5 2.721 GASOLINE 55.888 0.020 2.5 2.740 GAS_US_mini -314.126 0.049 2.5 -38.471 GBP 32.668 0.013 2.5 1.062 GOLD_micro -633.994 0.015 2.5 -24.014 HEATOIL 48.353 0.020 2.5 2.371 JGB-SGX-mini 182.899 0.052 2.5 23.900 JPY -134.622 0.013 2.5 -4.376 LEANHOG 148.387 0.025 2.5 9.275 LIVECOW 122.355 0.014 2.5 4.170 LUMBER-new -184.755 0.007 2.5 -3.353 MILK -123.703 0.007 2.5 -2.282 MXP 408.754 0.066 2.5 67.241 NASDAQ_micro -60.749 0.009 2.5 -1.357 NIKKEI 322.645 0.052 2.5 42.161 NZD -6.261 0.013 2.5 -0.203 OAT 48.157 0.012 2.5 1.502 OATIES -72.470 0.008 2.5 -1.518 OJ 148.614 0.007 2.5 2.742 PALLAD -14.586 0.015 2.5 -0.552 PLAT -22.985 0.015 2.5 -0.871 REDWHEAT -30.092 0.005 2.5 -0.344 RICE 217.970 0.008 2.5 4.566 ROBUSTA 206.162 0.004 2.5 2.074 RUSSELL 163.756 0.013 2.5 5.214 SHATZ -364.383 0.004 2.5 -3.379 SILVER-mini -20.014 0.015 2.5 -0.758 SMI 9.316 0.013 2.5 0.304 SOFR -109.375 0.023 2.5 -6.349 SOYBEAN 70.661 0.003 2.5 0.566 SOYMEAL 79.081 0.003 2.5 0.633 SOYOIL 59.832 0.003 2.5 0.480 SP400 6.006 0.013 2.5 0.191 SP500_micro -57.778 0.009 2.5 -1.290 SUGAR11 52.635 0.007 2.5 0.964 US10 -125.699 0.005 2.5 -1.521 US10U -55.342 0.005 2.5 -0.670 US2 -420.459 0.005 2.5 -5.089 US20 -35.075 0.005 2.5 -0.425 US30 -34.128 0.005 2.5 -0.413 US5 -235.878 0.005 2.5 -2.855 VIX -195.132 0.059 2.5 -28.913 WHEAT -60.262 0.005 2.5 -0.688 ===================== Position diags ===================== AUD 2.91 BITCOIN 80.33 BOBL 1.41 BTP 2.00 BUND 0.69 BUXL 0.31 CAC 2.13 CAD 4.70 CANOLA 7.00 CHF 2.09 COCOA 2.21 COFFEE 0.44 COPPER 4.44 CORN 1.68 COTTON2 1.22 CRUDE_W 5.17 DAX 10.63 DOW 11.13 EUR 2.24 EURIBOR-ICE 8.78 EUROSTX 3.17 FEEDCOW 2.12 GASOIL 1.76 GASOLINE 1.37 GAS_US_mini 26.69 GBP 3.32 GOLD_micro 14.46 HEATOIL 1.60 JGB-SGX-mini 28.97 JPY 2.54 LEANHOG 5.74 LIVECOW 3.66 LUMBER-new 2.97 MILK 1.32 MXP 35.75 NASDAQ_micro 3.92 NIKKEI 26.50 NZD 3.20 OAT 2.25 OATIES 2.62 OJ 1.37 PALLAD 0.78 PLAT 2.50 REDWHEAT 0.59 RICE 2.92 ROBUSTA 1.22 RUSSELL 16.48 SHATZ 4.35 SILVER-mini 1.86 SMI 1.63 SOFR 14.09 SOYBEAN 0.38 SOYMEAL 0.59 SOYOIL 0.61 SP400 0.75 SP500_micro 7.91 SUGAR11 2.35 US10 1.28 US10U 0.93 US2 2.54 US20 0.65 US30 0.44 US5 1.95 VIX 14.46 WHEAT 0.58 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.5 -1.8 -1.2 NaN 0 BITCOIN -26.8 -34.9 -18.8 0.0 0 BOBL -1.7 -1.8 -1.6 -1.0 -1 BTP 1.5 1.3 1.7 5.0 5 BUND 0.4 0.3 0.5 0.0 0 BUXL -0.1 -0.1 -0.0 -2.0 -2 CAC 0.8 0.6 1.0 NaN 0 CAD -2.0 -2.4 -1.5 -1.0 -1 CANOLA 6.4 5.7 7.1 NaN 0 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA 1.2 1.0 1.4 0.0 0 COFFEE -0.3 -0.3 -0.2 NaN 0 COPPER 0.3 -0.1 0.8 1.0 1 CORN -0.4 -0.6 -0.2 0.0 0 COTTON2 0.3 0.1 0.4 0.0 0 CRUDE_W 2.4 1.9 2.9 3.0 3 DAX -0.4 -1.5 0.6 0.0 0 DOW 2.8 1.7 3.9 NaN 0 EUR -1.0 -1.3 -0.8 -1.0 -1 EURIBOR-ICE -5.1 -6.0 -4.2 -8.0 -8 EUROSTX 1.4 1.0 1.7 9.0 9 FEEDCOW -0.8 -1.0 -0.6 -1.0 -1 GASOIL 2.7 2.5 2.9 3.0 3 GASOLINE 2.7 2.6 2.9 4.0 4 GAS_US_mini -38.5 -41.1 -35.8 -24.0 -24 GBP 1.1 0.7 1.4 2.0 2 GOLD_micro -24.0 -25.5 -22.6 -14.0 -14 HEATOIL 2.4 2.2 2.5 0.0 0 JGB-SGX-mini 23.9 21.0 26.8 16.0 16 JPY -4.4 -4.6 -4.1 -7.0 -7 LEANHOG 9.3 8.7 9.8 8.0 8 LIVECOW 4.2 3.8 4.5 4.0 4 LUMBER-new -3.4 -3.7 -3.1 NaN 0 MILK -2.3 -2.4 -2.1 NaN 0 MXP 67.2 63.7 70.8 60.0 60 NASDAQ_micro -1.4 -1.7 -1.0 -3.0 -3 NIKKEI 42.2 39.5 44.8 35.0 35 NZD -0.2 -0.5 0.1 1.0 1 OAT 1.5 1.3 1.7 NaN 0 OATIES -1.5 -1.8 -1.3 NaN 0 OJ 2.7 2.6 2.9 NaN 0 PALLAD -0.6 -0.6 -0.5 NaN 0 PLAT -0.9 -1.1 -0.6 -6.0 -6 REDWHEAT -0.3 -0.4 -0.3 -1.0 -1 RICE 4.6 4.3 4.9 NaN 0 ROBUSTA 2.1 2.0 2.2 3.0 3 RUSSELL 5.2 3.6 6.9 0.0 0 SHATZ -3.4 -3.8 -2.9 NaN 0 SILVER-mini -0.8 -0.9 -0.6 NaN 0 SMI 0.3 0.1 0.5 8.0 8 SOFR -6.3 -7.8 -4.9 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 0.2 0.1 0.3 2.0 2 SP500_micro -1.3 -2.1 -0.5 -10.0 -10 SUGAR11 1.0 0.7 1.2 1.0 1 US10 -1.5 -1.6 -1.4 NaN 0 US10U -0.7 -0.8 -0.6 -6.0 -6 US2 -5.1 -5.3 -4.8 NaN 0 US20 -0.4 -0.5 -0.4 NaN 0 US30 -0.4 -0.5 -0.4 NaN 0 US5 -2.9 -3.0 -2.7 -3.0 -3 VIX -28.9 -30.4 -27.5 -16.0 -16 WHEAT -0.7 -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 -0.1 0.0 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 -0.2 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -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 -0.2 0.4 -0.2 -0.0 0.1 0.1 -0.5 -0.2 -0.4 -0.3 0.0 0.1 -0.1 0.2 -0.0 -1.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.6 -0.5 0.1 -0.2 -0.1 0.3 -0.1 0.3 BOBL 0.3 -0.1 -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 -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 -0.1 -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 -0.1 -0.0 -0.0 -0.3 0.0 -0.1 0.1 -0.0 0.0 -0.0 2.6 0.0 0.1 0.3 0.4 -0.3 -0.3 -0.1 0.1 BUND 0.1 -0.0 0.0 -0.0 -0.1 -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 -0.1 -0.2 -0.0 0.3 -0.0 -0.1 -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 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.3 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.9 -0.3 -0.2 0.1 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 -0.2 0.3 0.0 0.5 0.1 0.1 -0.4 0.0 -0.2 -0.1 0.0 0.1 -0.1 0.3 0.0 -0.2 0.0 -0.2 0.1 -0.0 0.2 0.0 1.3 0.2 -0.3 -0.0 -0.1 0.2 -0.0 0.3 0.0 CAD -0.2 0.1 0.3 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 0.0 0.1 -0.2 -0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.1 0.0 -0.0 0.1 0.1 -0.4 -0.4 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA 0.3 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 0.0 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 1.9 -0.7 0.2 0.5 0.3 -0.2 0.2 0.0 0.3 CHF 0.2 0.3 0.1 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.3 0.0 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 -0.1 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -2.9 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.1 0.2 0.4 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 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 -0.6 0.1 0.0 0.2 0.0 0.2 0.1 -2.1 0.7 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE 0.3 -0.5 -0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 -0.1 -0.1 0.0 0.2 0.1 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 -1.1 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 0.0 -0.0 0.1 -0.0 -0.0 -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 0.0 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 0.1 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 0.4 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 0.2 0.1 -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 -1.6 -0.5 -0.4 -0.1 0.2 0.2 0.2 0.2 0.1 DAX 0.2 -0.2 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 0.0 0.5 0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.1 0.3 0.0 0.9 0.0 -0.2 0.1 -0.0 0.2 0.0 -0.6 0.1 -0.1 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.5 0.4 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 0.1 0.3 0.1 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.2 0.2 0.2 -0.6 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 -0.0 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 0.0 -0.1 0.1 -0.0 0.6 0.0 -0.1 0.1 -0.0 0.0 -0.0 -1.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.0 0.1 EURIBOR-ICE 0.5 -0.1 0.0 -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 0.3 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 -0.2 0.3 0.0 0.5 0.1 0.1 -0.3 -0.0 -0.3 -0.2 0.0 0.1 -0.1 0.3 0.0 0.2 0.0 -0.2 0.1 -0.0 0.2 0.0 1.1 0.2 -0.2 -0.2 -0.1 0.3 0.0 0.3 0.1 FEEDCOW -0.0 0.1 0.5 0.0 -0.1 -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 0.1 0.2 0.0 0.3 0.0 -3.2 0.7 0.2 0.1 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 0.6 0.6 0.2 0.1 0.2 0.1 0.2 0.7 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.7 0.5 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 0.0 0.3 0.1 -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 0.0 0.1 0.1 3.2 -0.7 -0.1 0.4 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 -0.1 -0.5 0.0 0.0 -0.8 -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 -0.1 0.1 0.2 -0.0 0.0 GBP -0.2 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 0.2 -0.2 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.2 -0.2 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.1 0.2 -0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 -0.0 -0.2 0.1 -0.0 -0.6 0.0 -0.2 0.0 -0.1 0.1 -0.0 -2.6 -0.3 0.2 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.3 -0.0 0.2 -0.2 0.2 0.2 1.0 1.0 0.6 0.7 0.2 0.1 0.3 0.1 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 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 -0.2 0.1 -0.1 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 3.2 -0.3 -0.5 0.0 0.2 -0.3 -0.1 0.1 0.1 JPY 0.2 0.0 -0.4 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.2 -0.0 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.0 -0.0 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.2 0.5 0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.3 0.1 0.1 1.2 0.7 1.2 1.2 0.1 -0.0 0.0 -0.3 0.1 0.8 -0.0 -0.1 -0.2 0.0 -0.3 0.0 3.2 0.1 0.1 0.1 -0.3 -0.1 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 0.4 0.9 0.2 0.2 0.1 0.4 0.1 0.4 0.1 0.0 0.2 0.0 0.2 0.0 1.3 -0.2 0.3 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.5 0.2 0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 -0.1 -0.1 -0.6 -0.8 -0.7 -0.7 -0.1 -0.0 -0.3 -0.1 -0.2 NaN -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -3.4 -0.7 -0.5 -0.5 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 -0.1 -0.1 0.0 -0.2 0.0 -0.0 -1.2 -1.2 -1.2 -1.2 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -3.2 0.4 0.4 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.2 -0.2 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.4 -0.0 0.6 0.1 0.2 1.1 1.1 1.1 1.1 0.2 0.2 -0.1 0.4 0.1 -1.1 0.1 -0.1 0.2 -0.0 0.3 0.0 3.2 0.3 -0.1 0.1 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.3 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 0.0 0.0 0.4 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.4 -0.3 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 -0.1 0.4 0.0 -0.3 0.0 -0.1 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 -0.1 0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.1 -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 0.0 -0.2 -0.3 -0.3 0.0 -0.2 0.1 0.1 OAT 0.1 -0.0 0.1 -0.0 -0.1 -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 -0.1 -0.2 -0.0 0.4 -0.0 -0.1 -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 -0.0 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 0.0 -0.2 0.1 0.1 -0.9 -0.1 -0.7 -0.5 0.2 0.1 0.0 0.1 0.1 -1.1 0.0 -0.0 0.1 0.0 0.0 0.0 -3.2 -0.0 0.0 0.5 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.4 0.1 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 0.0 0.3 0.1 3.2 0.7 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.3 -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 0.2 -0.1 -0.4 -0.3 -0.2 -0.0 0.0 0.0 PLAT 0.3 -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 -0.1 0.7 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.4 -0.2 0.0 -0.4 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.1 0.2 0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.0 -0.2 0.2 0.0 0.1 0.0 0.0 -0.1 -0.0 -0.0 -0.5 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -1.2 -0.4 -0.2 -0.1 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.5 0.3 0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.3 1.2 1.2 1.2 0.1 0.0 0.2 -0.0 0.1 -1.1 0.0 0.1 0.0 0.0 -0.0 0.0 3.2 0.7 0.5 -0.0 0.5 -0.1 -0.3 0.0 -0.2 ROBUSTA -0.0 -0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.2 0.1 0.3 -0.0 0.1 1.2 1.0 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 3.0 0.7 0.1 -0.2 0.5 -0.1 -0.3 0.1 -0.2 RUSSELL 0.3 0.5 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.1 -0.0 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.2 0.1 0.1 0.0 0.1 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.5 0.5 0.2 -0.1 -0.1 -0.3 -0.1 SHATZ 0.4 -0.2 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.0 -1.2 -0.1 -0.7 -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 -0.7 0.4 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.3 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.0 0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 -0.1 0.1 0.0 0.3 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.6 -0.2 0.3 0.1 -0.1 -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 -0.2 0.1 0.0 0.1 0.0 -0.0 -0.2 0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 1.6 0.7 -0.1 -0.4 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -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 -0.4 -0.1 0.4 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL 0.2 0.3 -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 -0.2 -0.1 0.2 0.1 -0.1 -0.2 -0.1 -0.2 SOYOIL 0.1 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 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 -0.1 -0.1 0.4 0.3 0.0 0.1 0.2 0.3 SP400 0.2 0.5 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.2 0.1 0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.0 0.2 0.1 -0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.0 0.3 0.5 0.2 -0.0 -0.1 -0.2 -0.2 SP500_micro 0.0 0.4 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.4 0.1 0.3 0.1 0.2 -0.8 -0.5 -0.7 -0.6 0.2 0.2 -0.0 0.4 0.2 -1.1 0.1 -0.1 0.2 -0.0 0.1 0.0 -1.1 0.1 0.3 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 0.2 -0.5 0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.0 0.4 0.0 0.0 -0.1 0.8 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 1.2 -0.1 0.0 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 0.1 -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 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 -0.1 -0.1 -0.2 -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 0.0 -0.2 -0.2 -0.0 -0.1 -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 -0.2 -0.2 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US2 0.1 -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 -0.0 0.0 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 US20 -0.0 -0.2 -0.2 -0.0 -0.1 -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 -0.2 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.6 -0.2 -0.0 -0.1 -0.3 -0.3 0.3 0.3 US30 -0.1 -0.1 -0.1 -0.0 -0.1 -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 -0.7 -0.3 -0.0 -0.1 -0.3 -0.3 0.3 0.3 US5 0.1 -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 -0.1 -0.8 -0.5 -0.8 -0.7 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -2.3 -0.1 0.1 -0.1 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.5 -0.4 -0.8 -0.1 0.1 -0.3 0.0 -0.4 -0.0 0.4 -0.6 0.0 -0.8 -0.2 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 0.1 -0.6 -0.2 NaN -0.1 0.1 -0.3 0.0 -0.4 -0.0 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 -0.3 -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 -3.1 0.8 3.6 2.5 -4.6 2.5 -2.7 1.3 0.6 -9.8 -4.5 -9.2 -3.7 -5.4 -0.7 -2.6 -2.6 -2.7 -2.7 -1.9 -1.4 -13.3 -3.0 -6.3 2.0 -0.6 -9.0 -0.3 -6.9 -1.2 -3.1 -0.5 -5.4 -10.9 -13.8 -9.9 -2.1 -20.0 4.3 9.3 BITCOIN -11.0 6.9 5.7 3.2 -13.2 4.4 -8.4 3.8 -1.1 -18.0 19.7 -20.0 -1.7 7.3 10.4 -8.0 -3.6 -6.5 -5.0 5.6 13.1 -8.8 7.4 -4.2 -20.0 2.1 -2.9 5.3 -5.3 4.4 -2.8 -1.2 17.6 -20.0 4.5 -8.5 -4.9 20.0 -3.9 20.0 BOBL 10.7 -4.3 -6.1 -2.0 -3.8 -2.0 -2.4 -2.7 -1.8 -5.6 -3.3 2.6 -6.5 -0.8 -3.8 -20.0 -5.4 -20.0 -12.8 -3.0 -4.9 -0.6 -8.9 -0.8 9.6 -1.2 -1.4 -1.6 -0.3 -3.1 -0.4 -11.6 5.5 5.0 0.6 1.5 -20.0 -20.0 -20.0 -14.5 BTP 3.6 -0.9 11.0 -3.0 -5.8 -3.0 -3.7 -4.1 -2.8 -10.7 8.3 1.9 -0.8 1.7 3.9 4.2 8.3 5.5 6.8 2.2 3.1 -5.0 -1.5 -0.4 -6.5 1.4 -6.9 2.7 -3.3 0.5 -0.5 16.2 1.4 3.5 12.1 14.2 -20.0 -20.0 -6.0 5.1 BUND 5.1 -1.3 0.1 -2.1 -4.1 -2.1 -2.6 -2.9 -2.0 -7.2 -3.7 -1.4 -7.2 -1.7 -3.3 5.9 9.0 6.4 7.2 -2.7 -4.0 -5.0 -8.7 -2.9 5.8 -1.4 -5.3 -1.3 -3.1 -3.2 -1.7 16.9 -0.8 0.3 2.6 3.0 -20.0 -20.0 -14.6 -2.0 BUXL -2.4 2.7 -0.6 -2.7 -5.2 -2.6 -3.3 -3.6 -2.5 -9.5 -8.1 -7.6 -9.9 -5.6 -5.1 0.9 1.2 1.4 1.7 -4.1 -5.7 -11.8 -12.6 -6.7 0.3 -1.8 -8.9 -1.5 -6.5 -3.4 -3.6 5.5 -10.2 -8.4 5.9 4.0 -20.0 -20.0 2.3 11.1 CAC 6.2 -6.5 -11.3 4.8 -9.1 5.3 -1.9 4.4 3.1 -15.0 16.1 5.4 17.5 9.4 9.4 -6.7 0.5 -4.0 -1.5 5.2 9.6 -5.4 15.7 3.1 -4.4 3.5 -12.2 5.7 -3.6 8.1 1.7 8.3 5.6 -10.2 -0.7 -5.3 18.6 -1.8 20.0 0.5 CAD -6.9 4.8 12.5 4.3 -8.1 4.4 -4.7 2.3 1.0 -17.9 13.1 -11.2 -6.8 -2.3 11.3 -1.9 -1.9 -2.1 -2.2 5.9 7.1 -15.1 -0.3 -3.6 -0.0 3.3 -12.7 4.5 -8.5 0.8 -2.2 0.5 4.0 -17.2 -15.4 -3.3 -15.9 -20.0 -20.0 -17.1 CANOLA 10.2 20.0 18.5 1.4 -2.7 -0.6 -0.3 -1.6 1.8 -8.0 3.1 -2.1 -6.1 6.6 7.7 0.4 15.0 9.4 13.7 14.6 6.4 -7.8 -2.1 8.4 -20.0 2.2 -2.6 0.5 -1.6 -1.1 1.2 12.3 -20.0 6.5 20.0 10.7 -14.7 12.6 1.2 20.0 CHF 9.0 10.9 3.4 2.9 -5.4 2.9 -3.2 1.5 0.7 -10.8 9.4 -0.3 10.2 5.4 6.7 -13.3 -12.9 -13.7 -13.5 10.4 9.8 -6.0 7.5 5.2 -6.0 3.5 -2.9 3.2 -1.4 2.1 2.0 -18.6 3.8 14.6 3.7 2.3 -13.9 -20.0 -15.8 -20.0 COCOA 4.7 7.9 15.7 3.0 -5.9 -1.3 -0.6 -3.6 3.9 9.3 20.0 19.0 20.0 20.0 20.0 0.3 -0.7 -0.1 -0.1 20.0 20.0 20.0 20.0 20.0 -10.5 8.6 0.4 9.0 4.0 7.4 6.5 -13.4 20.0 20.0 20.0 20.0 -20.0 -19.5 10.8 -7.0 COFFEE 11.6 -19.4 -9.1 2.7 -5.3 -1.2 -0.6 -3.2 3.5 9.4 -4.7 13.3 -9.1 -12.7 -16.2 0.7 3.5 2.5 3.4 -13.7 -13.1 7.3 -10.5 -3.5 -20.0 -2.4 4.0 -1.9 4.8 -1.5 0.9 -6.7 20.0 -2.9 -20.0 3.9 -20.0 -20.0 -9.6 -15.3 COPPER 11.7 7.7 -7.7 1.7 -7.1 2.3 -4.5 2.0 -0.6 -3.3 -3.1 2.3 -2.9 5.3 0.1 -3.1 -1.5 -2.7 -2.2 1.7 -1.2 2.9 -2.0 4.4 -3.7 1.7 -0.3 -0.6 2.2 -1.2 3.3 2.9 20.0 13.2 7.4 -11.8 1.6 -20.0 6.3 -17.2 CORN 5.7 0.7 2.8 0.9 -1.8 -0.4 -0.2 -1.1 1.2 -6.2 -3.3 -2.8 -4.4 -3.7 -3.3 -4.9 7.3 -2.4 2.3 -2.1 -2.4 -6.8 -2.0 -3.2 -6.6 0.2 -3.1 -0.6 -1.9 -1.3 -0.4 -3.8 -8.5 -3.1 -1.3 0.2 -2.5 11.4 1.0 20.0 COTTON2 11.2 7.6 11.3 1.6 -3.2 -0.7 -0.3 -1.9 2.1 -9.3 4.5 2.3 -8.3 6.3 7.1 8.4 6.9 7.6 5.7 6.0 2.4 1.8 -2.2 6.1 -19.3 2.9 -1.4 1.5 1.1 0.4 3.0 -2.8 5.5 5.9 -6.0 10.2 -20.0 -16.6 8.4 8.3 CRUDE_W 20.0 19.4 1.8 5.6 5.4 1.7 8.4 0.3 8.7 14.3 6.5 19.6 -10.3 20.0 13.7 7.5 8.2 6.6 6.8 20.0 7.9 20.0 1.6 20.0 -6.7 7.1 4.3 3.7 7.8 2.3 9.0 -9.8 -15.5 -16.8 -2.7 7.2 13.5 11.7 13.4 4.7 DAX 7.7 -9.4 -4.1 4.7 -8.8 5.1 -1.9 4.3 3.0 -14.9 15.3 4.6 16.6 7.1 8.6 -8.4 -6.6 -8.3 -7.8 5.1 9.8 -6.6 13.8 2.7 16.3 2.1 -15.0 4.7 -4.2 6.6 0.9 -3.5 1.6 -4.2 -11.4 -5.4 20.0 -0.7 20.0 4.3 DOW 20.0 16.6 10.2 5.1 -9.6 5.6 -2.0 4.7 3.2 -13.8 14.8 15.7 12.3 17.8 19.2 -11.6 -7.1 -10.3 -9.0 20.0 16.9 12.5 9.7 20.0 -10.5 6.8 -1.9 5.2 2.8 3.4 6.3 -4.8 20.0 20.0 20.0 9.7 -5.2 -3.9 -20.0 -2.7 EUR -0.0 6.8 0.3 3.2 -5.9 3.2 -3.5 1.7 0.7 -13.4 7.8 -9.3 7.9 1.0 3.7 -6.1 -6.8 -6.5 -6.5 4.3 5.9 -11.4 3.6 -2.1 11.9 2.2 -5.5 2.8 -4.6 1.6 -0.6 -7.3 -3.5 -3.4 -4.3 -7.9 -3.9 -20.0 -0.6 4.7 EURIBOR-ICE 18.3 -2.0 1.9 -1.9 -3.7 -1.9 -2.3 -2.6 -1.8 0.2 -3.7 4.4 -6.5 1.4 -2.6 -9.3 -7.6 -9.9 -9.3 -1.9 -4.4 2.1 -8.3 1.3 16.6 -0.8 -0.2 -1.7 0.9 -3.4 0.5 -11.9 8.5 9.8 0.4 1.6 -20.0 -20.0 20.0 5.6 EUROSTX 4.0 -7.8 -7.1 4.5 -8.3 4.8 -1.8 4.0 2.8 -13.8 16.4 3.0 17.1 7.5 10.4 -4.8 -0.2 -4.4 -2.5 5.4 9.8 -5.4 14.1 2.5 4.7 2.9 -13.1 5.6 -3.6 8.0 1.2 6.9 7.1 -8.6 -7.0 -4.9 20.0 1.5 20.0 7.0 FEEDCOW -1.4 4.6 19.8 3.1 -6.2 -1.4 -0.7 -3.7 4.1 19.0 20.0 16.8 20.0 20.0 20.0 -15.2 -20.0 -20.0 -20.0 20.0 20.0 17.2 20.0 20.0 5.9 8.6 5.4 11.5 4.6 11.3 5.6 -20.0 20.0 6.0 5.2 20.0 1.8 -17.4 14.3 -10.1 GASOIL 20.0 20.0 4.5 4.9 4.7 1.5 7.4 0.3 7.6 16.7 -0.5 19.1 -5.1 20.0 16.6 13.9 15.0 9.5 10.9 20.0 9.8 20.0 2.5 20.0 12.6 6.0 8.2 2.0 9.8 0.1 9.1 0.0 20.0 20.0 20.0 7.4 -8.5 3.1 -11.9 -4.3 GASOLINE 20.0 20.0 7.9 5.6 5.3 1.7 8.4 0.3 8.6 2.1 16.6 17.1 -3.4 20.0 19.3 20.0 20.0 20.0 20.0 20.0 18.9 20.0 13.5 20.0 -20.0 7.6 -0.0 5.3 5.2 4.3 8.1 20.0 -20.0 -4.7 15.2 20.0 11.8 13.3 14.2 0.0 GAS_US_mini -0.1 19.9 13.5 4.4 4.2 1.3 6.6 0.2 6.8 -10.4 -16.9 -7.3 -18.0 0.9 2.4 -12.9 -12.8 -12.1 -13.8 -3.0 -20.0 -6.9 -20.0 -2.1 19.4 1.6 -5.1 -1.3 -3.6 -3.7 -0.2 -20.0 -20.0 -20.0 -20.0 -2.0 4.6 12.4 -1.6 1.0 GBP -8.7 3.4 10.5 3.4 -6.3 3.4 -3.7 1.8 0.8 -14.2 12.2 -11.7 8.9 0.5 6.5 0.4 -1.0 0.0 -0.5 7.9 11.3 -11.3 7.3 -1.1 -0.7 3.6 -6.3 4.5 -4.4 2.1 -0.1 2.7 6.5 -6.1 -3.7 2.2 6.0 10.9 11.0 20.0 GOLD_micro 9.7 -9.5 -8.4 2.6 -11.1 3.7 -7.0 3.2 -0.9 -18.4 1.1 -8.2 7.6 -2.3 -12.2 -16.5 -12.2 -15.4 -14.0 -5.5 -0.5 -13.5 6.6 -5.8 -11.2 0.2 -12.4 2.1 -7.2 4.4 -1.4 -16.3 -9.3 6.8 -5.7 -13.9 -20.0 -20.0 -7.9 -20.0 HEATOIL 20.0 20.0 5.2 6.0 5.7 1.8 8.9 0.3 9.2 20.0 -1.9 20.0 -7.5 20.0 20.0 16.2 16.8 9.8 11.3 20.0 14.6 20.0 3.4 20.0 -20.0 7.6 8.9 3.5 11.1 1.9 10.6 1.9 20.0 20.0 20.0 20.0 -0.3 1.4 -5.5 0.1 JGB-SGX-mini -18.0 -20.0 4.6 -2.0 -3.9 -2.0 -2.4 -2.7 -1.8 -7.2 5.8 -6.9 5.7 -5.8 -1.2 7.7 20.0 10.5 14.7 -2.1 2.6 -12.4 3.8 -7.5 0.7 -1.0 -5.6 0.6 -4.7 0.6 -3.0 20.0 -10.1 -18.3 0.9 8.8 -20.0 -7.1 3.8 7.2 JPY 9.3 1.9 -15.6 2.2 -4.1 2.2 -2.4 1.1 0.5 -7.5 -7.8 -6.3 -7.8 -3.3 -7.4 -15.5 -13.4 -15.9 -15.0 -7.5 -9.7 -8.7 -10.7 -5.9 20.0 -2.4 -3.2 -2.9 -3.0 -3.3 -1.9 -20.0 -0.3 -1.3 -20.0 -20.0 -14.0 -20.0 -15.1 -20.0 LEANHOG 9.1 20.0 2.9 2.4 -4.7 -1.1 -0.5 -2.8 3.1 -8.1 -5.2 5.6 -9.5 14.7 14.0 20.0 11.1 20.0 20.0 8.7 -5.8 2.9 -15.8 11.2 16.1 -0.4 -5.9 -7.8 0.9 -11.2 3.1 20.0 2.9 4.8 3.7 -13.5 -3.9 2.7 20.0 20.0 LIVECOW -7.2 13.7 20.0 3.2 -6.5 -1.5 -0.7 -3.9 4.3 5.9 20.0 -0.7 20.0 12.9 20.0 -14.3 7.7 6.9 14.7 20.0 20.0 5.4 20.0 15.9 7.1 8.4 1.9 9.7 1.5 8.3 4.2 8.3 -5.8 11.3 20.0 20.0 -20.0 -20.0 -17.4 -19.5 LUMBER-new -19.8 8.2 3.7 2.5 -5.0 -0.9 -0.5 -2.2 3.3 -16.0 -12.9 -18.5 -16.0 -12.5 -6.3 -10.1 -12.0 -10.6 -11.5 -6.3 -4.2 -20.0 -5.5 -16.8 NaN -2.1 -6.4 -0.8 -8.8 -1.0 -6.2 -20.0 -20.0 -20.0 -17.2 3.9 -20.0 -20.0 -20.0 -20.0 MILK 20.0 20.0 4.2 1.1 -2.3 -0.5 -0.2 -1.4 1.5 -5.5 -6.6 3.3 -8.4 2.3 -4.2 -20.0 -20.0 -20.0 -20.0 -3.9 -9.4 3.7 -10.5 3.1 -3.4 -1.6 -0.2 -3.2 1.1 -3.2 0.6 -20.0 12.6 14.3 -20.0 -20.0 -20.0 -20.0 -14.5 -20.0 MXP -9.7 -7.0 4.3 4.3 -8.1 4.3 -4.7 2.3 1.0 -16.2 20.0 -1.3 20.0 9.9 18.3 17.9 17.9 18.5 18.1 20.0 20.0 -9.5 20.0 7.5 -20.0 6.9 -9.9 9.2 -3.0 9.8 2.7 20.0 8.9 -2.9 2.7 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -11.3 0.7 20.0 3.5 -6.6 3.8 -1.4 3.2 2.2 -10.8 14.1 1.2 8.6 8.4 12.8 -10.9 -7.6 -10.5 -9.4 20.0 20.0 -2.3 18.7 9.5 -20.0 5.0 -3.0 6.4 -0.6 5.1 2.1 -5.6 0.2 1.8 17.8 20.0 -7.1 -10.3 -16.3 -12.8 NIKKEI -15.2 -10.5 19.2 4.6 -8.7 5.0 -1.8 4.2 2.9 -11.6 16.2 -2.0 15.9 1.6 13.7 15.8 12.0 14.4 13.0 15.1 20.0 -5.8 20.0 3.3 -5.4 5.2 -6.7 8.1 -1.7 6.9 1.1 20.0 6.9 -20.0 3.6 20.0 3.4 2.8 -1.7 8.7 NZD -2.9 3.8 0.9 2.2 -4.2 2.3 -2.5 1.2 0.5 -9.4 -2.5 -9.2 0.4 -4.0 -1.4 0.5 0.6 0.5 0.5 -0.9 -0.6 -9.5 -1.8 -4.1 0.3 -0.2 -7.6 0.1 -5.4 -0.6 -2.1 5.0 0.2 -9.1 -10.2 -10.1 1.1 -12.5 7.4 7.3 OAT 3.6 -1.1 3.1 -2.3 -4.5 -2.3 -2.8 -3.1 -2.1 -8.0 -4.1 -1.8 -7.4 -1.8 -2.5 5.6 9.1 6.9 8.0 -2.6 -3.4 -5.5 -7.9 -3.1 7.8 -1.4 -5.8 -1.1 -3.6 -3.3 -2.0 17.8 -0.7 -0.2 3.5 4.7 -20.0 -20.0 -3.0 2.1 OATIES -1.2 20.0 20.0 1.6 -3.3 -0.7 -0.3 -2.0 2.2 -8.2 8.8 2.4 -6.5 8.7 10.5 -15.8 -0.9 -12.5 -8.1 18.5 13.9 3.2 4.9 12.7 -20.0 3.7 -0.9 2.7 0.5 0.9 2.3 -20.0 -0.4 0.6 20.0 20.0 3.0 20.0 14.6 20.0 OJ 20.0 14.9 -2.8 3.0 -6.0 -1.4 -0.6 -3.6 4.0 -11.3 20.0 14.7 20.0 19.3 20.0 20.0 19.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.6 -4.2 8.3 3.5 10.1 7.3 20.0 20.0 20.0 20.0 20.0 18.8 5.6 20.0 16.6 PALLAD 11.3 -9.3 -12.4 1.5 -6.2 2.1 -3.9 1.8 -0.5 -5.8 -11.5 -6.8 -11.8 -8.2 -10.4 -3.4 -2.6 -3.3 -3.1 -12.2 -17.8 -4.4 -20.0 -6.9 -4.3 -3.6 -1.2 -4.1 -1.8 -4.3 -2.5 1.2 6.0 -3.4 -17.6 -11.2 -16.1 -0.4 2.9 2.1 PLAT 13.1 -14.2 -13.0 1.6 -6.8 2.2 -4.3 1.9 -0.5 -11.4 -7.2 -5.6 -0.1 -5.3 -8.5 -3.3 -1.9 -2.8 -2.4 -7.7 -6.3 -10.6 -2.2 -6.7 12.5 -1.9 -7.0 -1.3 -4.6 -0.3 -2.3 2.3 -5.5 1.9 -15.4 -6.5 2.1 -15.4 10.6 -11.3 REDWHEAT 2.9 8.6 6.6 1.2 -2.5 -0.6 -0.3 -1.5 1.6 -8.3 1.4 -6.3 -7.0 -1.6 2.4 -3.3 3.1 0.0 2.5 1.0 0.3 -10.3 -1.2 -2.1 -9.3 0.6 -6.9 0.2 -3.6 -0.0 -0.5 -7.4 -12.6 -6.9 -5.9 2.8 -20.0 -17.4 -5.9 -6.6 RICE 20.0 12.5 4.1 2.2 -4.4 -1.0 -0.5 -2.6 2.9 11.0 -0.8 11.9 -1.5 11.3 11.3 -4.3 20.0 20.0 20.0 9.7 2.7 14.8 -0.3 14.3 -20.0 3.8 6.1 1.4 5.5 -0.1 5.2 20.0 20.0 19.9 -1.8 18.8 -8.1 -20.0 2.5 -16.7 ROBUSTA -0.8 -20.0 6.5 1.8 -3.6 -0.8 -0.4 -2.1 2.4 8.6 10.6 9.2 10.4 -0.4 6.5 20.0 16.1 20.0 20.0 7.6 14.2 6.8 15.6 5.0 -10.2 3.4 2.5 6.3 2.5 6.8 1.9 18.9 20.0 5.3 -9.5 20.0 -6.8 -19.6 6.7 -11.7 RUSSELL 12.9 18.5 15.9 4.3 -8.1 4.7 -1.7 3.9 2.7 -9.3 5.6 10.8 -1.6 13.8 14.9 -7.4 -5.1 -6.7 -6.1 19.0 12.2 6.4 1.9 16.5 -1.7 5.6 -1.6 4.1 1.6 1.9 4.5 -0.7 10.7 19.0 20.0 8.5 -4.1 -7.1 -20.0 -10.1 SHATZ 17.5 -8.5 -18.1 -2.0 -3.8 -2.0 -2.4 -2.7 -1.8 5.7 -5.6 6.7 -7.0 -1.6 -5.1 -19.8 -1.9 -11.1 -6.8 -5.2 -8.8 3.8 -12.7 0.3 11.2 -1.5 1.5 -2.5 1.5 -3.8 0.3 -4.2 12.8 9.0 -1.9 -2.3 -20.0 -20.0 -20.0 -20.0 SILVER-mini 13.1 -1.8 -6.8 1.8 -7.6 2.5 -4.8 2.2 -0.6 -12.5 3.9 -1.3 4.9 4.7 -0.5 -6.5 -5.4 -6.5 -6.1 2.5 2.7 -7.9 3.2 0.7 6.3 2.3 -7.4 2.2 -3.4 1.5 0.8 -3.9 -7.1 10.2 6.0 -2.1 -13.3 -20.0 -1.1 -20.0 SMI 8.6 -12.0 -0.6 4.2 -7.9 4.6 -1.7 3.8 2.7 -13.7 6.8 4.5 4.0 0.7 -0.5 -3.2 1.8 -2.7 -0.8 -1.2 1.7 -2.6 3.6 0.3 3.3 -0.3 -2.6 -0.1 2.6 -0.6 2.0 10.0 20.0 -3.4 -17.6 -7.3 -7.3 -10.4 -15.0 -15.6 SOFR 3.0 -12.5 -6.0 -2.1 -4.0 -2.1 -2.5 -2.8 -1.9 -7.3 -1.9 -2.4 -1.8 -2.5 -4.0 -2.7 -0.7 -1.9 -1.3 -5.0 -3.3 -6.9 -2.8 -5.5 -1.4 -2.1 -3.7 -1.3 -2.6 -0.9 -2.1 1.1 -6.0 2.4 -1.8 -0.8 -20.0 -20.0 -4.2 -1.4 SOYBEAN 2.8 20.0 9.3 1.1 -2.2 -0.5 -0.2 -1.3 1.4 -6.8 3.3 -4.6 -1.4 4.3 5.6 19.4 20.0 16.9 19.1 5.2 2.6 -6.9 -0.0 1.3 -17.3 1.7 -2.5 0.8 -1.6 0.0 0.5 20.0 -11.9 -5.6 16.7 6.7 -8.9 15.1 -5.4 20.0 SOYMEAL 7.6 13.0 -19.9 1.1 -2.3 -0.5 -0.2 -1.4 1.5 -5.7 -1.7 -1.8 2.1 0.4 0.4 10.1 20.0 19.6 20.0 1.2 0.0 -4.4 1.6 0.4 -19.1 1.7 -2.1 1.2 -1.3 1.6 0.8 20.0 -5.8 -2.8 9.3 3.0 -9.6 -18.0 -5.7 -16.3 SOYOIL 5.4 20.0 18.4 1.1 -2.2 -0.5 -0.2 -1.3 1.4 -6.4 2.9 -1.6 -2.2 5.5 6.6 11.3 10.1 9.9 8.6 9.8 5.2 -1.8 0.4 6.2 -20.0 2.2 -1.3 1.2 -0.5 0.1 1.2 2.8 -2.3 -2.2 17.0 13.0 1.6 6.5 13.7 20.0 SP400 9.1 20.0 13.7 4.5 -8.4 4.9 -1.8 4.1 2.8 -13.8 8.3 9.3 6.2 14.6 15.9 -5.6 -4.5 -5.4 -5.1 20.0 16.0 0.4 7.3 15.6 -11.9 5.5 -3.6 4.1 -0.2 2.2 3.7 0.7 0.4 12.3 20.0 7.8 -0.8 -8.4 -11.9 -11.7 SP500_micro 1.3 15.5 20.0 5.4 -10.2 5.9 -2.2 4.9 3.4 -16.3 20.0 8.3 10.8 16.6 20.0 -14.0 -8.5 -12.5 -10.6 20.0 20.0 -1.8 20.0 19.6 -20.0 7.6 -5.8 7.6 -0.6 5.2 4.4 -7.2 1.6 11.3 20.0 20.0 -4.3 -9.2 -12.6 -13.2 SUGAR11 6.6 -20.0 3.0 2.4 -4.8 -1.1 -0.5 -2.9 3.1 -13.0 11.5 -0.3 13.6 1.1 2.3 -1.6 14.2 1.8 8.1 3.0 14.7 -3.1 20.0 -0.2 -20.0 1.6 -3.7 8.1 -1.7 13.3 -0.5 7.8 -3.2 0.3 -20.0 20.0 -16.3 -17.8 11.3 -6.1 US10 2.2 -12.0 -11.5 -2.0 -3.9 -2.0 -2.5 -2.7 -1.8 -7.2 -4.7 -5.2 -6.3 -5.1 -6.0 -8.7 -6.6 -9.0 -8.6 -7.5 -6.7 -8.8 -7.2 -7.3 0.6 -2.4 -3.9 -2.0 -3.0 -1.8 -2.4 -10.4 -8.0 -0.9 -3.5 -4.5 -20.0 -20.0 15.3 2.6 US10U 0.5 -9.3 -8.2 -2.7 -5.3 -2.7 -3.3 -3.7 -2.5 -9.8 -6.1 -8.2 -8.1 -7.3 -8.2 -3.4 -0.8 -2.1 -1.9 -9.0 -7.7 -14.4 -8.9 -10.4 -3.8 -3.3 -7.5 -2.5 -5.4 -2.1 -3.7 0.4 -15.6 -4.7 -3.2 -5.3 -20.0 -20.0 20.0 19.6 US2 4.4 -20.0 -20.0 -2.0 -3.8 -1.9 -2.4 -2.6 -1.8 -4.0 -6.7 -6.2 -7.0 -7.0 -7.5 -20.0 -19.7 -20.0 -20.0 -13.1 -13.8 -5.0 -14.0 -8.5 7.4 -2.6 -0.6 -2.6 -1.1 -2.8 -1.7 -20.0 -0.4 1.1 -9.2 -11.0 -20.0 -20.0 -20.0 -16.0 US20 -1.7 -7.2 -6.9 -2.2 -4.2 -2.2 -2.6 -2.9 -2.0 -7.8 -4.5 -7.1 -5.0 -5.9 -6.7 -1.9 -1.4 -1.7 -1.8 -6.9 -5.4 -14.3 -6.5 -9.3 -3.8 -2.5 -7.9 -1.8 -5.5 -1.6 -3.4 -0.1 -18.6 -7.4 -1.9 -3.6 -20.0 -20.0 20.0 20.0 US30 -3.4 -4.6 -4.4 -2.6 -5.1 -2.6 -3.2 -3.6 -2.4 -9.5 -7.1 -9.3 -7.0 -7.8 -8.8 -9.0 -2.3 -5.4 -3.6 -7.7 -6.5 -17.0 -8.9 -10.8 -3.6 -3.1 -10.3 -2.1 -7.1 -2.0 -4.4 -2.0 -20.0 -11.5 -1.3 -3.2 -20.0 -20.0 20.0 20.0 US5 4.5 -13.2 -15.0 -2.0 -3.8 -1.9 -2.4 -2.7 -1.8 -6.8 -5.0 -4.0 -6.3 -4.6 -6.1 -13.2 -8.7 -12.9 -11.5 -7.7 -7.4 -6.0 -8.0 -6.2 3.0 -2.3 -2.2 -2.1 -1.9 -2.1 -1.9 -14.6 -3.4 2.1 -3.7 -5.1 -20.0 -20.0 7.0 -15.4 VIX 12.4 -11.0 -20.0 -7.2 5.9 -8.8 1.6 -8.4 -3.1 18.5 -20.0 0.9 -20.0 -17.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 5.9 -20.0 -14.5 NaN -8.3 6.7 -10.5 2.0 -10.3 -3.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.3 20.0 15.6 0.9 -1.9 -0.4 -0.2 -1.1 1.2 -6.3 -2.6 -3.9 -6.4 -1.7 0.1 -9.0 -8.8 -9.7 -9.8 0.5 -1.3 -6.5 -3.3 -1.0 -3.4 0.6 -3.4 -0.4 -1.7 -1.1 0.1 -20.0 -9.0 -2.2 0.1 0.8 -18.4 -16.5 -10.8 -8.2 End of report for caleb_strategy_v3