******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230804_204327 produced at 2023-08-04 21:38:39.725731 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 EURIBOR-ICE False False 0.10 -0.39 -0.51 0.0 0.97 -0.97 -0.39 -0.19 -5.29 10.0 -4 -2 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.46 0.0 0.00 0.00 0.00 0.00 -5.25 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -4.97 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 -28.62 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.40 -0.40 -0.10 -0.10 -23.76 56.0 -14 -14 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.62 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.23 -0.14 0.0 0.55 -0.55 -0.23 -0.23 -4.24 17.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.11 0.0 0.68 -0.68 -0.21 -0.21 -2.12 13.0 -4 -4 caleb_strategy_v3 US5 False False 0.04 -0.16 -0.10 0.0 0.97 -0.97 -0.16 -0.19 -2.60 25.0 -4 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.10 0.0 0.06 -0.06 -0.06 -0.06 -39.79 26.0 -25 -25 caleb_strategy_v3 BOBL False False 0.05 -0.18 -0.08 0.0 0.88 -0.88 -0.18 -0.23 -1.83 19.0 -4 -5 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.07 0.0 0.79 -0.79 -0.03 -0.03 -2.52 29.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.69 -0.69 0.00 0.00 -1.36 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.05 0.0 0.70 -0.70 -0.05 -0.05 -0.95 14.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.45 -0.45 0.00 0.00 -1.58 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.21 -0.03 0.0 0.55 -0.55 -0.21 -0.21 -0.59 13.0 -5 -5 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -31.54 59.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.03 0.0 0.37 -0.37 0.00 0.00 -0.58 8.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.55 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.35 5.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -0.39 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.02 0.0 0.28 -0.28 0.00 0.00 -0.40 6.0 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 -0.84 0.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.08 -0.02 0.0 0.39 -0.39 -0.08 -0.08 -2.04 48.0 -10 -10 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.02 0.0 0.26 -0.26 -0.02 -0.02 -1.46 23.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 -0.08 -0.02 0.0 0.17 -0.17 -0.08 -0.08 -0.95 10.0 -5 -5 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.56 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.71 9.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.40 8.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 -0.10 -0.01 0.0 0.37 -0.37 -0.10 -0.11 -1.50 58.0 -15 -18 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.34 6.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.73 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.01 0.0 0.47 -0.47 0.02 0.02 -0.24 21.0 1 1 caleb_strategy_v3 BUXL False False 0.05 -0.11 -0.00 0.0 0.21 -0.21 -0.11 -0.11 -0.08 4.0 -2 -2 caleb_strategy_v3 COPPER False False 0.03 0.03 0.00 0.0 0.21 -0.21 0.03 0.03 0.08 6.0 1 1 caleb_strategy_v3 CORN False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.49 12.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.37 0.01 0.0 0.41 -0.41 0.37 0.37 0.23 9.0 8 8 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.17 -0.17 0.05 0.05 0.58 7.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.49 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.42 -0.42 0.00 0.00 1.69 66.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.56 18.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.63 9.0 1 1 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.32 11.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.20 0.02 0.0 0.20 -0.20 0.20 0.20 0.17 2.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.00 0.02 0.0 0.33 -0.33 0.00 0.00 1.19 26.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.68 12.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.53 -0.53 0.00 0.00 0.39 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.21 -0.21 0.02 0.02 2.00 23.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 4.70 68.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.02 0.0 0.34 -0.34 0.03 0.02 1.13 20.0 2 1 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.64 -0.64 0.06 0.06 1.01 22.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.22 -0.22 0.00 0.00 6.38 51.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.83 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 4.36 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.23 0.07 0.0 0.46 -0.46 0.23 0.23 1.49 10.0 5 5 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.51 -0.51 0.00 0.00 1.56 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.10 0.09 0.0 0.13 -0.13 0.10 0.10 2.93 4.0 3 3 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.09 0.0 0.15 -0.15 0.06 0.06 2.98 5.0 2 2 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.79 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.10 0.11 0.0 0.16 -0.16 0.10 0.10 9.27 13.0 8 8 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.11 0.0 0.14 -0.14 0.00 0.00 2.41 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.11 0.12 0.0 0.45 -0.45 0.11 0.11 4.67 17.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.38 0.0 0.30 -0.30 0.30 0.30 46.00 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.63 0.62 0.0 0.63 -0.63 0.63 0.62 59.19 60.0 60 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.56 0.86 0.0 0.60 -0.60 0.56 0.56 22.95 16.0 15 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.0 Shocked risk 60.7 Sum abs risk 59.8 Leverage 5.40 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 0.6584 0.7864 12.5818 BITCOIN 693.8787 29135.0000 2.3816 38.1056 BOBL 0.2722 115.7000 0.2353 3.7642 BTP 0.6541 114.9700 0.5689 9.1026 BUND 0.5626 132.2400 0.4255 6.8073 BUXL 1.2838 132.6000 0.9681 15.4903 CAC 64.4273 7291.5000 0.8836 14.1375 CAD 0.0032 0.7478 0.4276 6.8412 CANOLA 9.5463 801.1000 1.1917 19.0664 CHF 0.0058 1.1510 0.4998 7.9967 COCOA 38.7455 3493.0000 1.1092 17.7477 COFFEE 2.8571 160.9500 1.7751 28.4021 COPPER 0.0505 3.8505 1.3112 20.9790 CORN 11.4418 497.5000 2.2999 36.7978 COTTON2 1.3903 86.0500 1.6157 25.8517 CRUDE_W 1.0930 81.0100 1.3492 21.5871 DAX 129.0992 15927.0000 0.8106 12.9691 DOW 188.6657 35171.0000 0.5364 8.5828 EUR 0.0055 1.1031 0.4988 7.9801 EURIBOR-ICE 0.0585 97.0700 0.0603 0.9643 EUROSTX 43.4212 4323.0000 1.0044 16.0708 FEEDCOW 1.4931 256.1500 0.5829 9.3264 GASOIL 12.3823 876.5000 1.4127 22.6032 GASOLINE 0.0392 2.4567 1.5966 25.5448 GAS_US_mini 0.0849 2.6800 3.1671 50.6732 GBP 0.0073 1.2755 0.5714 9.1429 GOLD_micro 12.1329 1957.4000 0.6198 9.9176 HEATOIL 0.0345 2.9800 1.1567 18.5077 JGB-SGX-mini 0.2982 146.5200 0.2035 3.2561 JPY 0.0000 0.0071 0.6775 10.8394 LEANHOG 1.2686 83.2500 1.5238 24.3811 LIVECOW 1.1087 183.1000 0.6055 9.6879 LUMBER-new 10.1837 505.5000 2.0146 32.2332 MILK 0.3244 17.8000 1.8227 29.1637 MXP 0.0005 0.0580 0.8119 12.9906 NASDAQ_micro 131.1405 15366.7500 0.8534 13.6545 NIKKEI 317.2079 32180.0000 0.9857 15.7717 NZD 0.0047 0.6095 0.7707 12.3316 OAT 0.5767 126.8100 0.4548 7.2766 OATIES 7.3646 439.5000 1.6757 26.8108 OJ 4.0772 288.4000 1.4137 22.6196 PALLAD 22.3746 1257.5000 1.7793 28.4687 PLAT 13.9462 925.6000 1.5067 24.1075 REDWHEAT 17.7598 769.0000 2.3095 36.9516 RICE 0.1694 16.0800 1.0535 16.8555 ROBUSTA 38.2902 2489.0000 1.5384 24.6140 RUSSELL 17.8301 1965.6000 0.9071 14.5138 SHATZ 0.0890 105.0800 0.0847 1.3552 SILVER-mini 0.3745 24.0875 1.5547 24.8755 SMI 81.6928 11083.0000 0.7371 11.7936 SOFR 0.0811 96.5350 0.0840 1.3434 SOYBEAN 19.1326 1331.0000 1.4375 22.9993 SOYMEAL 6.1917 397.2000 1.5588 24.9414 SOYOIL 1.0293 61.4600 1.6748 26.7968 SP400 19.5735 2691.8000 0.7272 11.6344 SP500_micro 26.1322 4506.0000 0.5799 9.2791 SUGAR11 0.3232 23.8600 1.3547 21.6755 US10 0.4696 111.1562 0.4225 6.7600 US10U 0.6412 116.0625 0.5525 8.8398 US2 0.1141 101.6680 0.1122 1.7953 US20 0.9128 122.0938 0.7476 11.9618 US30 1.3407 128.1562 1.0461 16.7383 US5 0.3046 106.9297 0.2849 4.5580 VIX 0.4854 18.5500 2.6167 41.8677 WHEAT 17.9710 662.0000 2.7146 43.4343 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.35 0.79 517.70 1.00 517.70 46875.0 90.54 -5.38 -48.74 BITCOIN 29.14 2.38 69.39 1.00 69.39 46875.0 675.55 -3.88 -262.28 BOBL 1157.00 0.24 272.20 1.09 297.76 46875.0 157.43 -12.56 -197.69 BTP 1149.70 0.57 654.08 1.09 715.49 46875.0 65.51 7.28 47.71 BUND 1322.40 0.43 562.62 1.09 615.45 46875.0 76.16 5.56 42.36 BUXL 1326.00 0.97 1283.76 1.09 1404.30 46875.0 33.38 -2.43 -8.10 CAC 729.15 0.88 644.27 1.09 704.77 46875.0 66.51 3.13 20.80 CAD 747.80 0.43 319.74 1.00 319.74 46875.0 146.60 -5.29 -77.58 CANOLA 160.22 1.19 190.93 0.75 142.98 46875.0 327.83 9.29 304.40 CHF 1438.69 0.50 719.05 1.00 719.05 46875.0 65.19 -10.02 -65.30 COCOA 349.30 1.11 387.45 1.00 387.45 46875.0 120.98 5.31 64.30 COFFEE 603.56 1.78 1071.40 1.00 1071.40 46875.0 43.75 -7.66 -33.50 COPPER 962.62 1.31 1262.18 1.00 1262.18 46875.0 37.14 0.19 0.70 CORN 248.75 2.30 572.09 1.00 572.09 46875.0 81.94 -2.85 -23.32 COTTON2 430.25 1.62 695.17 1.00 695.17 46875.0 67.43 2.57 17.34 CRUDE_W 810.10 1.35 1092.98 1.00 1092.98 46875.0 42.89 5.67 24.30 DAX 159.27 0.81 129.10 1.09 141.22 46875.0 331.93 -1.39 -45.97 DOW 175.86 0.54 94.33 1.00 94.33 46875.0 496.91 1.53 75.90 EUR 1378.88 0.50 687.73 1.00 687.73 46875.0 68.16 -4.28 -29.17 EURIBOR-ICE 2426.75 0.06 146.26 1.09 159.99 46875.0 292.99 -5.79 -169.53 EUROSTX 432.30 1.00 434.21 1.09 474.98 46875.0 98.69 3.49 34.48 FEEDCOW 1280.75 0.58 746.55 1.00 746.55 46875.0 62.79 -2.71 -16.99 GASOIL 876.50 1.41 1238.23 1.00 1238.23 46875.0 37.86 15.79 59.76 GASOLINE 1031.81 1.60 1647.34 1.00 1647.34 46875.0 28.45 20.00 56.91 GAS_US_mini 67.00 3.17 212.19 1.00 212.19 46875.0 220.91 -14.71 -324.93 GBP 797.19 0.57 455.54 1.00 455.54 46875.0 102.90 3.03 31.22 GOLD_micro 195.74 0.62 121.33 1.00 121.33 46875.0 386.35 -16.24 -627.29 HEATOIL 1251.60 1.16 1447.77 1.00 1447.77 46875.0 32.38 15.19 49.19 JGB-SGX-mini 146520.00 0.20 29817.82 0.01 207.88 46875.0 225.49 7.79 175.60 JPY 887.06 0.68 600.95 1.00 600.95 46875.0 78.00 -16.73 -130.47 LEANHOG 333.00 1.52 507.43 1.00 507.43 46875.0 92.38 16.06 148.37 LIVECOW 732.40 0.61 443.46 1.00 443.46 46875.0 105.70 12.97 137.07 LUMBER-new 139.01 2.01 280.05 1.00 280.05 46875.0 167.38 -11.72 -196.22 MILK 356.00 1.82 648.89 1.00 648.89 46875.0 72.24 -17.64 -127.39 MXP 290.10 0.81 235.54 1.00 235.54 46875.0 199.01 18.08 359.84 NASDAQ_micro 307.33 0.85 262.28 1.00 262.28 46875.0 178.72 -3.65 -65.23 NIKKEI 32180.00 0.99 31720.79 0.01 222.22 46875.0 210.94 16.69 352.02 NZD 609.45 0.77 469.72 1.00 469.72 46875.0 99.79 -0.74 -7.41 OAT 1268.10 0.45 576.72 1.09 630.87 46875.0 74.30 6.73 49.99 OATIES 219.75 1.68 368.23 1.00 368.23 46875.0 127.30 -6.48 -82.44 OJ 432.60 1.41 611.58 1.00 611.58 46875.0 76.65 20.00 153.29 PALLAD 1257.50 1.78 2237.46 1.00 2237.46 46875.0 20.95 -6.93 -14.51 PLAT 462.80 1.51 697.31 1.00 697.31 46875.0 67.22 -3.74 -25.14 REDWHEAT 384.50 2.31 887.99 1.00 887.99 46875.0 52.79 -6.60 -34.84 RICE 321.60 1.05 338.80 1.00 338.80 46875.0 138.36 15.06 208.31 ROBUSTA 248.90 1.54 382.90 1.00 382.90 46875.0 122.42 16.23 198.66 RUSSELL 98.28 0.91 89.15 1.00 89.15 46875.0 525.79 2.81 147.59 SHATZ 1050.80 0.08 89.00 1.09 97.36 46875.0 481.48 -8.12 -390.84 SILVER-mini 602.19 1.55 936.23 1.00 936.23 46875.0 50.07 -4.43 -22.19 SMI 1108.30 0.74 816.93 1.14 930.48 46875.0 50.38 1.41 7.10 SOFR 2413.38 0.08 202.63 1.00 202.63 46875.0 231.34 -3.91 -90.37 SOYBEAN 665.50 1.44 956.63 1.00 956.63 46875.0 49.00 14.80 72.53 SOYMEAL 397.20 1.56 619.17 1.00 619.17 46875.0 75.71 10.45 79.13 SOYOIL 368.76 1.67 617.60 1.00 617.60 46875.0 75.90 8.10 61.51 SP400 2691.80 0.73 1957.35 1.00 1957.35 46875.0 23.95 2.29 5.49 SP500_micro 225.30 0.58 130.66 1.00 130.66 46875.0 358.75 -2.55 -91.50 SUGAR11 267.23 1.35 362.02 1.00 362.02 46875.0 129.48 2.35 30.47 US10 1111.56 0.42 469.63 1.00 469.63 46875.0 99.81 -11.22 -111.96 US10U 1160.62 0.55 641.23 1.00 641.23 46875.0 73.10 -6.70 -48.98 US2 2033.36 0.11 228.15 1.00 228.15 46875.0 205.46 -20.00 -410.91 US20 1220.94 0.75 912.79 1.00 912.79 46875.0 51.35 -6.25 -32.10 US30 1281.56 1.05 1340.70 1.00 1340.70 46875.0 34.96 -9.39 -32.84 US5 1069.30 0.28 304.61 1.00 304.61 46875.0 153.88 -13.96 -214.88 VIX 185.50 2.62 485.40 1.00 485.40 46875.0 96.57 -20.00 -193.14 WHEAT 331.00 2.71 898.55 1.00 898.55 46875.0 52.17 -11.94 -62.30 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -48.741 0.013 2.5 -1.584 BITCOIN -262.276 0.048 2.5 -31.540 BOBL -197.689 0.004 2.5 -1.833 BTP 47.715 0.012 2.5 1.488 BUND 42.355 0.004 2.5 0.393 BUXL -8.098 0.004 2.5 -0.075 CAC 20.800 0.013 2.5 0.680 CAD -77.584 0.013 2.5 -2.522 CANOLA 304.398 0.008 2.5 6.377 CHF -65.303 0.013 2.5 -2.123 COCOA 64.297 0.007 2.5 1.186 COFFEE -33.497 0.004 2.5 -0.337 COPPER 0.702 0.048 2.5 0.084 CORN -23.320 0.008 2.5 -0.489 COTTON2 17.344 0.007 2.5 0.320 CRUDE_W 24.297 0.049 2.5 2.976 DAX -45.975 0.013 2.5 -1.502 DOW 75.896 0.009 2.5 1.695 EUR -29.166 0.013 2.5 -0.948 EURIBOR-ICE -169.533 0.012 2.5 -5.288 EUROSTX 34.476 0.013 2.5 1.126 FEEDCOW -16.986 0.014 2.5 -0.579 GASOIL 59.761 0.020 2.5 2.930 GASOLINE 56.910 0.020 2.5 2.790 GAS_US_mini -324.926 0.049 2.5 -39.794 GBP 31.217 0.013 2.5 1.015 GOLD_micro -627.286 0.015 2.5 -23.760 HEATOIL 49.188 0.020 2.5 2.412 JGB-SGX-mini 175.595 0.052 2.5 22.946 JPY -130.469 0.013 2.5 -4.241 LEANHOG 148.371 0.025 2.5 9.274 LIVECOW 137.070 0.014 2.5 4.672 LUMBER-new -196.222 0.007 2.5 -3.562 MILK -127.395 0.007 2.5 -2.350 MXP 359.842 0.066 2.5 59.194 NASDAQ_micro -65.227 0.009 2.5 -1.457 NIKKEI 352.025 0.052 2.5 46.000 NZD -7.413 0.013 2.5 -0.241 OAT 49.986 0.012 2.5 1.559 OATIES -82.437 0.008 2.5 -1.727 OJ 153.292 0.007 2.5 2.828 PALLAD -14.511 0.015 2.5 -0.550 PLAT -25.136 0.015 2.5 -0.952 REDWHEAT -34.837 0.005 2.5 -0.398 RICE 208.312 0.008 2.5 4.364 ROBUSTA 198.664 0.004 2.5 1.998 RUSSELL 147.588 0.013 2.5 4.699 SHATZ -390.838 0.004 2.5 -3.625 SILVER-mini -22.192 0.015 2.5 -0.841 SMI 7.101 0.013 2.5 0.232 SOFR -90.374 0.023 2.5 -5.246 SOYBEAN 72.528 0.003 2.5 0.581 SOYMEAL 79.126 0.003 2.5 0.634 SOYOIL 61.514 0.003 2.5 0.493 SP400 5.495 0.013 2.5 0.175 SP500_micro -91.497 0.009 2.5 -2.043 SUGAR11 30.472 0.007 2.5 0.558 US10 -111.959 0.005 2.5 -1.355 US10U -48.985 0.005 2.5 -0.593 US2 -410.914 0.005 2.5 -4.974 US20 -32.103 0.005 2.5 -0.389 US30 -32.845 0.005 2.5 -0.398 US5 -214.877 0.005 2.5 -2.601 VIX -193.138 0.059 2.5 -28.617 WHEAT -62.300 0.005 2.5 -0.712 ===================== Position diags ===================== AUD 2.94 BITCOIN 81.24 BOBL 1.46 BTP 2.04 BUND 0.71 BUXL 0.31 CAC 2.17 CAD 4.77 CANOLA 6.87 CHF 2.12 COCOA 2.23 COFFEE 0.44 COPPER 4.47 CORN 1.72 COTTON2 1.24 CRUDE_W 5.25 DAX 10.84 DOW 11.10 EUR 2.22 EURIBOR-ICE 9.14 EUROSTX 3.22 FEEDCOW 2.14 GASOIL 1.86 GASOLINE 1.40 GAS_US_mini 27.05 GBP 3.34 GOLD_micro 14.63 HEATOIL 1.59 JGB-SGX-mini 29.47 JPY 2.54 LEANHOG 5.77 LIVECOW 3.60 LUMBER-new 3.04 MILK 1.33 MXP 32.74 NASDAQ_micro 3.99 NIKKEI 27.56 NZD 3.24 OAT 2.32 OATIES 2.67 OJ 1.41 PALLAD 0.79 PLAT 2.55 REDWHEAT 0.60 RICE 2.90 ROBUSTA 1.23 RUSSELL 16.74 SHATZ 4.47 SILVER-mini 1.90 SMI 1.65 SOFR 13.43 SOYBEAN 0.39 SOYMEAL 0.61 SOYOIL 0.61 SP400 0.76 SP500_micro 8.01 SUGAR11 2.37 US10 1.21 US10U 0.88 US2 2.49 US20 0.62 US30 0.42 US5 1.86 VIX 14.31 WHEAT 0.60 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.6 -1.9 -1.3 NaN 0 BITCOIN -31.5 -39.7 -23.4 0.0 0 BOBL -1.8 -2.0 -1.7 -4.0 -4 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 0.7 0.5 0.9 NaN 0 CAD -2.5 -3.0 -2.0 -1.0 -1 CANOLA 6.4 5.7 7.1 NaN 0 CHF -2.1 -2.3 -1.9 -4.0 -4 COCOA 1.2 1.0 1.4 0.0 0 COFFEE -0.3 -0.4 -0.3 NaN 0 COPPER 0.1 -0.4 0.5 1.0 1 CORN -0.5 -0.7 -0.3 0.0 0 COTTON2 0.3 0.2 0.4 0.0 0 CRUDE_W 3.0 2.5 3.5 2.0 2 DAX -1.5 -2.6 -0.4 -15.0 -15 DOW 1.7 0.6 2.8 NaN 0 EUR -0.9 -1.2 -0.7 -1.0 -1 EURIBOR-ICE -5.3 -6.2 -4.4 -4.0 -4 EUROSTX 1.1 0.8 1.4 2.0 2 FEEDCOW -0.6 -0.8 -0.4 0.0 0 GASOIL 2.9 2.7 3.1 3.0 3 GASOLINE 2.8 2.7 2.9 4.0 4 GAS_US_mini -39.8 -42.5 -37.1 -25.0 -25 GBP 1.0 0.7 1.3 2.0 2 GOLD_micro -23.8 -25.2 -22.3 -14.0 -14 HEATOIL 2.4 2.3 2.6 0.0 0 JGB-SGX-mini 22.9 20.0 25.9 15.0 15 JPY -4.2 -4.5 -4.0 -7.0 -7 LEANHOG 9.3 8.7 9.9 8.0 8 LIVECOW 4.7 4.3 5.0 4.0 4 LUMBER-new -3.6 -3.9 -3.3 NaN 0 MILK -2.4 -2.5 -2.2 NaN 0 MXP 59.2 55.9 62.5 60.0 60 NASDAQ_micro -1.5 -1.9 -1.1 -2.0 -2 NIKKEI 46.0 43.2 48.8 36.0 36 NZD -0.2 -0.6 0.1 1.0 1 OAT 1.6 1.3 1.8 NaN 0 OATIES -1.7 -2.0 -1.5 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.5 -0.6 -0.5 NaN 0 PLAT -1.0 -1.2 -0.7 -5.0 -5 REDWHEAT -0.4 -0.5 -0.3 -1.0 -1 RICE 4.4 4.1 4.7 NaN 0 ROBUSTA 2.0 1.9 2.1 2.0 2 RUSSELL 4.7 3.0 6.4 0.0 0 SHATZ -3.6 -4.1 -3.2 NaN 0 SILVER-mini -0.8 -1.0 -0.7 NaN 0 SMI 0.2 0.1 0.4 8.0 8 SOFR -5.2 -6.6 -3.9 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.6 0.6 0.7 1.0 1 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 0.2 0.1 0.3 2.0 2 SP500_micro -2.0 -2.8 -1.2 -10.0 -10 SUGAR11 0.6 0.3 0.8 0.0 0 US10 -1.4 -1.5 -1.2 NaN 0 US10U -0.6 -0.7 -0.5 -5.0 -5 US2 -5.0 -5.2 -4.7 NaN 0 US20 -0.4 -0.5 -0.3 NaN 0 US30 -0.4 -0.4 -0.4 NaN 0 US5 -2.6 -2.8 -2.4 -4.0 -4 VIX -28.6 -30.0 -27.2 -17.0 -17 WHEAT -0.7 -0.8 -0.7 -1.0 -1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 1.8 0.9 0.9 6.4 6.4 6.4 6.4 0.9 0.9 1.3 2.2 0.9 0.0 0.9 1.3 2.2 0.9 3.0 0.9 17.0 3.6 2.7 2.6 2.6 1.4 1.4 1.4 1.4 MILK 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 MXP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NASDAQ_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NIKKEI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NZD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OAT 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OATIES 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OJ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PALLAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PLAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 REDWHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 ROBUSTA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RUSSELL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SHATZ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SILVER-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SMI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOFR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYBEAN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYMEAL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP400 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP500_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SUGAR11 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10U 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US20 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US30 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US5 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 VIX 3.8 3.8 3.8 1.3 1.9 3.2 1.3 4.2 1.3 1.9 3.2 1.3 4.2 1.3 1.3 9.0 9.0 9.0 9.0 1.3 1.3 1.9 3.2 1.3 0.0 1.3 1.9 3.2 1.3 4.2 1.3 0.0 0.0 0.0 0.0 0.0 2.0 2.0 0.0 0.0 WHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.2 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -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 -0.4 -0.2 -0.0 -0.3 0.1 0.1 BITCOIN -0.3 0.2 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.3 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 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.4 -0.5 0.1 -0.2 -0.1 0.3 -0.1 0.3 BOBL 0.2 -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 -2.0 0.1 0.1 0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP 0.1 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.0 -0.0 0.0 0.0 0.3 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 -0.1 0.1 0.3 0.4 -0.3 -0.3 -0.1 0.1 BUND 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 0.5 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.0 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.7 -0.1 0.0 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -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 -0.0 -0.1 -0.0 0.9 -0.4 -0.2 0.1 0.1 -0.3 -0.3 0.0 0.1 CAC 0.1 -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 -0.1 0.1 -0.0 0.2 0.0 1.3 0.0 -0.2 -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 -0.1 0.0 0.0 -0.2 0.1 -0.1 0.0 -0.0 0.1 -0.2 -0.4 -0.4 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA 0.1 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.1 0.1 0.0 0.9 0.5 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 -0.5 0.2 0.5 0.3 -0.2 0.2 0.0 0.3 CHF 0.1 0.3 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.3 0.0 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 0.0 0.4 0.1 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.2 0.2 0.4 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 0.4 0.1 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 -0.0 -0.1 0.1 -0.3 -0.1 -0.1 0.0 0.2 0.1 0.2 -0.1 -0.1 0.0 -0.2 -0.0 -1.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -1.1 0.5 -0.1 -0.5 0.1 -0.3 -0.3 -0.1 -0.2 COPPER 0.2 0.2 -0.2 0.0 -0.1 0.0 -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 -0.2 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 -0.7 -0.2 -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 0.5 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 0.3 0.2 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 -0.3 0.2 0.1 0.5 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 -0.2 -0.4 -0.1 0.2 0.2 0.2 0.2 0.1 DAX 0.1 -0.2 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.0 0.5 0.0 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.2 0.3 -0.0 0.8 0.0 -0.2 0.1 -0.1 0.2 -0.0 -0.6 -0.0 -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 0.1 0.2 0.2 -0.6 0.1 -0.1 0.1 0.0 0.1 0.0 -0.8 0.5 0.5 0.5 0.3 -0.1 -0.1 -0.3 -0.0 EUR -0.1 0.1 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 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 -0.0 0.1 -0.0 0.0 -0.0 -1.2 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 0.1 EURIBOR-ICE 0.4 -0.0 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 -0.5 -0.5 -0.6 -0.5 -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 0.0 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.0 0.5 0.0 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 -0.1 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 0.3 0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 0.4 0.2 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 0.1 0.3 0.1 -3.2 0.7 0.2 0.2 0.5 0.0 -0.2 0.2 -0.1 GASOIL 0.5 0.5 0.2 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.0 0.2 -0.1 0.2 0.1 0.9 0.9 0.6 0.7 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 -0.2 0.3 0.5 0.2 0.2 0.2 0.0 GAS_US_mini 0.0 0.5 0.3 0.0 0.0 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 -0.0 -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 -0.3 0.1 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 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 -0.0 0.1 -0.0 0.1 -0.0 0.4 0.1 -0.2 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.2 -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 -0.1 -0.0 -0.2 0.1 -0.1 -0.6 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -2.6 -0.1 0.1 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.2 0.1 0.1 0.0 0.1 0.0 0.1 0.2 -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 0.4 1.2 0.6 0.9 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 3.2 -0.6 -0.4 -0.0 0.2 -0.3 -0.1 0.1 0.1 JPY 0.2 0.1 -0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.0 -0.2 -0.0 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.2 -0.0 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 0.2 -0.0 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.2 0.5 0.1 0.0 -0.0 -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 0.2 0.4 0.0 0.6 0.1 0.2 -0.9 0.4 0.3 0.8 0.2 0.2 0.2 0.4 0.2 0.4 0.1 0.1 0.2 0.0 0.2 0.0 1.2 0.5 0.3 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.5 0.1 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 -0.7 -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 0.2 0.4 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.4 -0.3 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.0 0.6 0.1 0.1 1.0 1.1 1.1 1.1 0.1 0.2 -0.1 0.4 0.0 -1.1 0.1 -0.1 0.2 -0.0 0.3 0.0 3.2 0.3 -0.0 0.0 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.3 0.1 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 -0.1 0.4 0.1 -1.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.9 0.1 0.0 0.4 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.3 -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 0.9 0.8 0.1 0.2 -0.0 0.4 0.0 -0.3 0.0 -0.1 0.2 -0.0 0.2 0.0 3.2 0.4 -0.5 0.1 0.5 0.0 0.0 -0.0 0.1 NZD -0.2 0.1 0.0 0.0 -0.0 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 -0.2 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 -0.1 -0.2 -0.0 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.8 -0.1 0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES -0.1 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 0.0 -0.2 0.1 0.1 -1.0 -0.1 -0.8 -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 -0.1 -0.0 0.5 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.5 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 -0.0 0.2 0.0 0.3 0.1 3.2 0.7 0.5 0.5 0.5 0.3 0.1 0.3 0.2 PALLAD 0.3 -0.2 -0.4 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 -0.4 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.2 -0.0 -0.4 -0.3 -0.2 -0.0 0.0 0.0 PLAT 0.2 -0.3 -0.3 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -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 0.1 -0.4 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.0 0.1 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 -0.2 -0.0 -0.0 -0.5 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -1.2 -0.5 -0.2 -0.2 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 -0.3 1.2 1.2 1.2 0.1 0.0 0.2 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 3.2 0.5 0.5 -0.1 0.5 -0.1 -0.3 0.0 -0.2 ROBUSTA 0.0 -0.5 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 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 0.5 0.0 -0.3 0.5 -0.1 -0.3 0.1 -0.2 RUSSELL 0.2 0.5 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 0.1 -0.0 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.2 0.1 0.0 0.0 0.1 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.5 0.4 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 0.1 -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 0.2 -0.0 -0.2 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 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 0.2 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 -0.1 -0.0 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 1.6 0.6 0.0 -0.4 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -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 -0.1 0.1 -0.0 -0.0 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.0 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 1.2 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 0.2 -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 1.1 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 -0.1 -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 -0.0 0.4 0.3 0.0 0.1 0.2 0.3 SP400 0.1 0.5 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.2 0.0 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 0.2 0.2 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 -0.2 0.4 0.0 0.3 0.1 0.2 -0.8 -0.5 -0.7 -0.6 0.2 0.2 -0.1 0.4 0.1 -1.1 0.1 -0.1 0.2 -0.0 0.1 0.0 -1.1 0.1 0.2 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 0.1 -0.5 0.1 0.0 -0.0 -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 -0.1 0.4 -0.0 -1.1 0.0 -0.1 0.2 -0.0 0.4 -0.0 1.2 -0.6 -0.1 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 0.0 -0.3 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.6 -0.2 -0.0 -0.1 -0.1 -0.3 -0.3 0.2 0.0 US10U -0.0 -0.2 -0.2 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.4 -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 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 -0.0 -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 -0.1 -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 -0.0 -0.0 -0.0 -0.6 -0.2 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US30 -0.1 -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 -0.7 -0.3 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US5 0.1 -0.3 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.8 -0.5 -0.8 -0.7 -0.1 -0.1 -0.0 -0.2 -0.0 0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -2.3 -0.0 0.1 -0.1 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.6 -0.3 -0.8 -0.1 0.1 -0.3 0.0 -0.4 -0.0 0.3 -0.6 0.1 -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 0.1 0.4 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 -0.0 -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 -7.1 -0.2 3.3 2.3 -2.9 2.4 -2.4 1.3 0.3 -8.2 -4.7 -9.1 -3.7 -6.1 -1.4 -2.6 -2.6 -2.7 -2.8 -2.5 -1.6 -12.3 -3.0 -6.9 2.0 -0.9 -6.0 -0.4 -6.3 -1.2 -3.3 -0.6 -6.6 -10.3 -14.4 -9.8 -2.3 -20.0 4.0 9.1 BITCOIN -12.0 6.3 5.8 2.7 -9.7 4.3 -8.3 3.8 -1.9 -20.0 19.7 -20.0 -1.3 6.6 9.8 -7.9 -3.7 -6.5 -5.1 4.9 12.9 -9.5 7.4 -4.9 -20.0 1.7 -4.6 5.2 -5.8 4.4 -3.3 -1.2 10.8 -20.0 5.3 -7.9 -5.2 20.0 -4.1 20.0 BOBL 9.8 -3.9 -6.7 -2.0 -1.4 -2.0 -1.8 -2.8 -1.7 -4.3 -3.3 3.0 -6.6 -0.5 -3.8 -20.0 -5.9 -20.0 -13.5 -2.9 -5.0 -0.1 -9.2 -0.7 9.7 -1.1 -0.5 -1.6 -0.1 -3.1 -0.3 -12.7 3.9 4.8 0.7 1.6 -20.0 -20.0 -20.0 -14.5 BTP 2.6 -1.6 11.0 -3.1 -2.2 -3.1 -2.7 -4.3 -2.6 -8.5 8.4 1.6 -0.7 1.3 3.6 4.3 8.3 5.5 6.8 1.9 3.1 -4.8 -1.5 -0.9 -6.6 1.2 -4.5 2.6 -3.1 0.5 -0.8 16.2 -2.5 3.2 10.9 14.3 -20.0 -20.0 -5.4 5.2 BUND 3.8 -1.5 -0.2 -2.2 -1.5 -2.2 -1.9 -3.0 -1.9 -5.8 -3.8 -1.3 -7.2 -1.7 -3.4 6.0 9.0 6.4 7.2 -2.9 -4.1 -4.3 -8.9 -3.0 5.9 -1.5 -2.9 -1.4 -2.7 -3.3 -1.8 16.8 -2.1 0.8 2.2 3.0 -20.0 -20.0 -14.9 -1.9 BUXL -3.2 2.2 -0.1 -2.7 -1.9 -2.7 -2.4 -3.7 -2.3 -6.9 -8.3 -7.5 -10.0 -6.1 -5.4 0.9 1.2 1.4 1.7 -4.4 -5.9 -10.0 -12.8 -6.9 0.3 -2.0 -4.9 -1.6 -5.5 -3.5 -3.7 5.5 -11.0 -7.1 5.1 3.9 -20.0 -20.0 1.8 11.2 CAC 3.8 -6.6 -12.0 4.3 -9.9 5.2 -4.1 4.4 1.7 -14.7 15.9 1.3 17.4 7.1 8.1 -6.7 0.4 -4.1 -1.6 4.3 9.4 -8.4 15.7 0.8 -4.4 2.9 -10.8 5.5 -5.2 8.0 0.3 8.2 1.2 -6.6 -0.0 -5.2 18.8 -1.7 20.0 0.6 CAD -9.7 3.3 12.2 4.1 -5.2 4.4 -4.4 2.4 0.6 -18.3 12.7 -14.3 -6.8 -5.8 10.1 -1.8 -1.9 -2.1 -2.2 4.5 6.7 -17.9 -0.4 -6.1 0.0 2.5 -12.8 4.1 -9.8 0.8 -3.5 0.6 -4.9 -16.6 -16.6 -4.2 -15.8 -20.0 -20.0 -17.1 CANOLA 4.2 20.0 19.8 1.3 -2.0 -0.6 -0.5 -1.7 1.5 -3.6 3.3 -2.2 -6.0 6.4 7.5 0.0 14.9 8.9 13.4 13.8 6.3 -4.1 -1.9 7.9 -20.0 2.2 -0.6 0.5 -1.0 -1.1 1.2 11.8 -13.6 6.8 20.0 10.9 -14.9 12.3 1.3 20.0 CHF 4.6 10.8 3.3 2.8 -3.5 3.0 -3.0 1.6 0.4 -7.5 9.4 -1.2 10.3 5.3 6.6 -13.3 -12.9 -13.8 -13.5 10.2 10.0 -4.3 7.7 5.0 -6.0 3.5 -1.3 3.3 -0.9 2.2 1.9 -18.6 1.5 15.1 4.7 2.2 -14.1 -20.0 -16.0 -20.0 COCOA 8.1 7.0 15.8 2.8 -4.5 -1.3 -1.1 -3.6 3.4 4.9 20.0 17.0 20.0 20.0 20.0 0.4 -0.7 -0.0 -0.1 20.0 20.0 15.6 20.0 20.0 -10.6 8.5 -0.7 9.2 2.9 7.6 6.1 -13.5 20.0 20.0 20.0 20.0 -20.0 -19.2 11.1 -6.7 COFFEE 12.9 -18.7 -9.4 2.6 -4.0 -1.2 -1.0 -3.3 3.0 -0.3 -4.8 9.2 -9.2 -12.7 -16.2 0.8 3.5 2.5 3.3 -13.5 -13.1 2.8 -10.6 -4.2 -20.0 -2.5 -2.1 -2.0 2.3 -1.5 0.4 -6.8 14.8 -4.9 -20.0 2.7 -20.0 -20.0 -9.7 -15.1 COPPER 7.9 7.0 -7.5 1.4 -5.0 2.2 -4.3 2.0 -1.0 -8.3 -3.0 -0.1 -2.8 4.1 0.1 -3.3 -1.5 -2.8 -2.2 1.4 -1.1 0.4 -1.9 3.2 -3.7 1.6 -2.3 -0.5 0.9 -1.2 2.7 2.9 20.0 11.5 7.0 -11.0 1.8 -20.0 6.7 -17.1 CORN 4.7 -3.7 2.9 0.9 -1.4 -0.4 -0.3 -1.1 1.0 -6.0 -3.5 -3.5 -4.4 -4.1 -3.6 -5.2 7.1 -2.6 2.1 -2.5 -2.6 -7.0 -2.2 -3.9 -6.6 0.1 -2.4 -0.7 -2.0 -1.3 -0.6 -4.2 -7.1 -3.0 -1.6 0.0 -2.5 11.1 1.0 19.7 COTTON2 10.6 7.9 11.5 1.5 -2.4 -0.7 -0.6 -1.9 1.8 -7.4 4.6 2.4 -8.3 6.1 7.0 8.4 6.9 7.6 5.7 6.2 2.6 2.3 -2.1 6.0 -19.4 2.9 -0.0 1.6 1.2 0.5 2.9 -2.8 9.1 6.9 -5.9 10.2 -20.0 -16.4 8.7 8.3 CRUDE_W 20.0 20.0 2.6 5.8 4.6 1.9 7.7 0.4 8.5 18.7 7.4 20.0 -10.0 20.0 14.8 7.8 8.2 6.7 6.9 20.0 9.0 20.0 2.2 20.0 -6.7 7.2 5.8 3.8 8.0 2.3 9.0 -10.0 -6.0 -15.2 -2.4 6.5 13.8 11.8 13.8 4.9 DAX 4.6 -9.8 -4.8 4.2 -9.6 5.0 -4.0 4.3 1.6 -16.1 14.8 -0.9 16.4 4.4 6.9 -8.3 -6.6 -8.3 -7.8 3.7 9.3 -12.4 13.6 -0.9 16.1 1.2 -15.6 4.3 -7.3 6.3 -1.1 -3.5 -0.4 -3.7 -11.3 -5.3 20.0 -0.6 20.0 4.5 DOW 18.2 16.2 10.2 4.6 -10.5 5.5 -4.4 4.7 1.8 -16.9 14.7 12.2 12.4 15.8 18.5 -11.6 -7.1 -10.4 -9.0 20.0 16.7 4.6 9.8 20.0 -10.5 6.6 -4.5 5.3 0.9 3.5 5.3 -4.8 14.3 20.0 20.0 10.1 -5.4 -3.9 -20.0 -2.8 EUR -3.4 5.9 -0.0 3.0 -3.8 3.2 -3.2 1.7 0.4 -5.3 7.6 -8.9 8.0 0.7 3.5 -6.2 -6.8 -6.5 -6.5 4.0 5.7 -7.7 3.6 -1.7 11.9 2.1 -1.5 2.8 -3.2 1.6 -0.5 -7.3 -3.6 -1.9 -3.0 -8.0 -3.7 -20.0 -0.4 4.5 EURIBOR-ICE 16.6 -1.2 1.2 -2.0 -1.4 -2.0 -1.7 -2.7 -1.7 1.9 -3.7 4.7 -6.5 1.8 -2.4 -9.1 -7.6 -9.8 -9.3 -1.7 -4.4 2.4 -8.5 1.6 16.7 -0.7 0.1 -1.6 1.0 -3.4 0.6 -11.9 7.3 9.4 0.6 1.7 -20.0 -20.0 20.0 5.8 EUROSTX 1.4 -8.2 -7.8 4.0 -9.0 4.7 -3.8 4.0 1.5 -14.3 15.9 -1.9 16.8 4.6 8.5 -4.8 -0.2 -4.4 -2.6 4.3 9.4 -9.2 13.9 -0.1 4.6 2.1 -12.7 5.2 -6.1 7.7 -0.5 6.8 4.5 -6.6 -6.5 -4.7 20.0 1.6 20.0 7.1 FEEDCOW 1.7 10.3 20.0 3.0 -4.7 -1.4 -1.2 -3.8 3.6 20.0 20.0 19.3 20.0 20.0 20.0 -14.7 -20.0 -20.0 -20.0 20.0 20.0 20.0 20.0 20.0 5.8 8.8 8.0 11.6 6.2 11.4 6.3 -20.0 20.0 9.1 9.4 20.0 2.0 -17.1 14.6 -9.8 GASOIL 20.0 20.0 6.1 5.1 4.0 1.6 6.8 0.3 7.4 17.5 0.3 19.5 -4.9 20.0 17.2 14.8 15.1 10.0 11.1 20.0 11.7 20.0 3.3 20.0 12.7 6.2 6.3 2.2 8.9 0.2 9.0 0.0 20.0 18.8 20.0 8.3 -8.7 3.1 -12.2 -4.4 GASOLINE 20.0 20.0 9.0 5.7 4.5 1.8 7.6 0.4 8.3 -3.5 16.7 16.2 -3.2 20.0 19.3 20.0 20.0 20.0 20.0 20.0 19.8 20.0 14.0 20.0 -20.0 7.6 0.1 5.4 4.5 4.4 7.7 20.0 -20.0 -6.5 13.1 20.0 12.0 13.4 14.4 0.2 GAS_US_mini 0.2 18.1 11.3 4.5 3.6 1.5 6.1 0.3 6.7 -7.3 -17.0 -7.0 -18.2 0.4 2.2 -14.1 -12.9 -12.6 -14.1 -3.3 -20.0 -5.9 -20.0 -2.4 19.6 1.4 -2.8 -1.3 -3.0 -3.7 -0.4 -20.0 -20.0 -20.0 -20.0 -2.5 4.8 12.2 -1.7 0.9 GBP -11.1 2.4 10.2 3.2 -4.1 3.4 -3.4 1.8 0.5 -10.9 12.0 -12.1 9.0 -0.3 6.0 0.3 -1.0 -0.0 -0.6 7.4 11.2 -9.6 7.4 -1.6 -0.7 3.5 -3.6 4.6 -3.8 2.2 -0.3 2.7 4.1 -6.2 -3.8 2.3 5.9 11.0 10.9 20.0 GOLD_micro 7.4 -9.1 -9.1 2.2 -8.1 3.6 -7.0 3.2 -1.6 -14.3 0.8 -10.5 7.6 -3.3 -12.7 -16.5 -12.2 -15.5 -14.0 -6.0 -0.7 -12.3 6.5 -6.6 -11.1 -0.1 -7.7 2.0 -6.6 4.4 -1.9 -16.4 -3.7 5.9 -5.4 -13.5 -20.0 -20.0 -8.2 -20.0 HEATOIL 20.0 20.0 6.7 6.1 4.9 2.0 8.2 0.4 9.0 19.7 -0.8 20.0 -7.3 20.0 20.0 17.4 16.9 10.5 11.7 20.0 16.5 20.0 4.4 20.0 -20.0 7.7 6.9 3.7 10.2 2.0 10.4 2.0 20.0 20.0 20.0 20.0 0.0 1.3 -5.4 -0.1 JGB-SGX-mini -18.0 -20.0 3.9 -2.0 -1.4 -2.0 -1.8 -2.8 -1.7 -6.3 5.6 -6.7 5.6 -6.0 -1.8 7.5 20.0 10.3 14.5 -2.7 2.3 -11.7 3.6 -8.0 0.6 -1.2 -3.9 0.5 -4.2 0.6 -3.0 20.0 -16.9 -17.0 -0.3 8.3 -20.0 -7.2 3.8 7.2 JPY 6.4 3.0 -15.3 2.1 -2.6 2.2 -2.2 1.2 0.3 -4.2 -7.8 -5.9 -7.8 -3.3 -7.4 -15.4 -13.4 -15.8 -15.0 -7.4 -9.6 -6.1 -10.7 -5.4 20.0 -2.4 -1.0 -3.0 -2.2 -3.4 -1.8 -20.0 4.8 -1.5 -20.0 -20.0 -13.5 -20.0 -14.5 -20.0 LEANHOG 7.0 20.0 4.1 2.2 -3.5 -1.0 -0.9 -2.8 2.6 -7.0 -5.0 3.0 -9.2 12.8 13.8 20.0 12.3 20.0 20.0 8.2 -5.5 0.9 -15.4 9.6 15.8 -0.5 -4.5 -7.7 -0.1 -11.3 2.5 20.0 1.6 3.8 3.2 -12.6 -3.8 2.6 20.0 20.0 LIVECOW -7.9 12.7 19.7 3.1 -4.9 -1.5 -1.2 -4.0 3.7 16.8 20.0 5.6 20.0 14.7 20.0 -15.1 7.4 5.9 14.1 20.0 20.0 13.5 20.0 18.4 6.9 8.5 5.2 9.8 3.2 8.4 4.8 7.5 16.3 13.0 20.0 20.0 -20.0 -20.0 -17.5 -19.5 LUMBER-new -20.0 5.4 2.9 2.4 -3.8 -0.9 -0.9 -2.3 2.9 -17.3 -13.5 -19.2 -16.4 -14.2 -7.9 -11.0 -12.1 -11.0 -11.7 -8.1 -5.0 -20.0 -6.0 -19.3 NaN -2.6 -7.5 -1.1 -9.2 -1.0 -6.7 -20.0 -20.0 -20.0 -19.3 2.4 -20.0 -20.0 -20.0 -20.0 MILK 20.0 19.4 5.0 1.1 -1.7 -0.5 -0.4 -1.4 1.3 -5.1 -6.4 2.8 -8.3 2.4 -4.0 -20.0 -20.0 -20.0 -20.0 -3.7 -9.2 2.8 -10.4 2.7 -3.3 -1.6 -0.1 -3.2 0.8 -3.3 0.5 -20.0 5.7 15.1 -19.5 -20.0 -20.0 -20.0 -14.5 -20.0 MXP -14.8 -11.4 -0.0 3.8 -4.9 4.1 -4.1 2.2 0.5 -7.7 19.4 -2.3 20.0 7.0 16.4 17.1 17.8 18.2 17.9 16.4 20.0 -8.7 20.0 4.5 -20.0 6.2 -6.3 8.7 -3.4 9.4 1.7 20.0 8.5 -0.5 1.3 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -13.3 2.8 20.0 3.1 -7.2 3.8 -3.0 3.2 1.2 -12.0 13.9 -1.8 8.6 6.6 12.4 -10.8 -7.7 -10.5 -9.4 20.0 20.0 -6.0 18.9 7.0 -20.0 4.8 -3.6 6.4 -1.4 5.3 1.6 -5.6 4.3 0.3 17.0 20.0 -7.1 -10.4 -16.4 -13.0 NIKKEI -13.8 -8.9 20.0 4.7 -9.4 5.1 -2.1 4.3 2.9 -11.7 16.5 0.1 16.2 2.6 14.1 15.9 12.0 14.4 13.0 16.3 20.0 -3.5 20.0 4.5 -5.5 5.4 -5.3 8.2 -1.0 7.0 1.4 20.0 12.4 -20.0 4.4 20.0 3.3 2.8 -1.9 8.6 NZD -6.8 3.1 0.4 2.1 -2.7 2.3 -2.3 1.2 0.3 -8.1 -2.8 -9.3 0.5 -4.8 -1.9 0.5 0.5 0.5 0.5 -1.3 -0.8 -9.0 -1.8 -4.6 0.3 -0.4 -5.2 -0.0 -5.0 -0.7 -2.4 5.0 1.2 -8.9 -10.2 -9.9 0.9 -12.5 7.0 7.3 OAT 2.6 -1.4 2.9 -2.4 -1.7 -2.4 -2.1 -3.3 -2.0 -6.3 -4.2 -1.6 -7.5 -1.9 -2.6 5.7 9.1 6.9 8.0 -2.7 -3.6 -4.6 -8.1 -3.2 7.8 -1.4 -3.0 -1.2 -2.9 -3.4 -2.0 17.8 -2.0 0.4 3.0 4.7 -20.0 -20.0 -2.8 2.2 OATIES -2.0 20.0 20.0 1.6 -2.5 -0.7 -0.6 -2.0 1.9 -10.3 8.8 0.9 -6.4 8.0 10.3 -16.1 -1.0 -12.8 -8.3 18.0 14.1 0.2 5.2 11.0 -20.0 3.6 -1.7 2.8 -0.2 0.9 2.0 -20.0 -4.5 -0.7 20.0 20.0 2.8 20.0 14.4 20.0 OJ 20.0 19.5 4.6 2.9 -4.5 -1.3 -1.1 -3.7 3.4 -11.2 20.0 13.7 20.0 18.5 20.0 20.0 19.7 20.0 20.0 20.0 20.0 19.5 20.0 20.0 -20.0 7.5 -2.5 8.4 2.8 10.2 6.8 20.0 20.0 20.0 20.0 20.0 19.0 5.6 20.0 16.5 PALLAD 10.6 -9.6 -15.3 1.3 -4.6 2.0 -3.9 1.8 -0.9 -2.1 -11.6 -6.1 -11.9 -8.1 -10.5 -3.4 -2.6 -3.3 -3.1 -12.2 -18.1 -3.0 -20.0 -6.4 -4.2 -3.6 -0.1 -4.2 -1.3 -4.5 -2.3 1.2 5.2 -1.2 -15.7 -11.1 -16.1 -0.5 3.3 2.1 PLAT 8.2 -13.4 -13.6 1.4 -4.9 2.2 -4.2 1.9 -1.0 -10.2 -7.4 -7.4 -0.2 -5.6 -8.8 -3.3 -1.9 -2.9 -2.5 -8.2 -6.6 -10.5 -2.4 -7.4 12.6 -2.1 -5.1 -1.4 -4.5 -0.3 -2.6 2.3 -6.3 2.1 -15.2 -6.7 2.1 -15.5 10.9 -11.4 REDWHEAT 0.7 5.9 6.2 1.2 -1.8 -0.5 -0.4 -1.5 1.4 -8.2 1.0 -7.1 -6.9 -3.0 1.5 -3.5 3.0 -0.2 2.3 0.0 -0.1 -12.7 -1.3 -4.2 -9.1 0.2 -6.9 0.1 -4.4 -0.1 -1.3 -7.7 -14.6 -7.3 -6.5 2.0 -20.0 -17.5 -6.1 -6.6 RICE 20.0 12.4 4.4 2.1 -3.3 -1.0 -0.8 -2.7 2.5 7.1 -0.5 11.9 -1.4 11.5 11.5 -5.0 20.0 20.0 20.0 9.9 3.0 12.5 -0.1 13.8 -20.0 3.9 3.0 1.5 4.7 -0.0 5.1 20.0 14.9 20.0 -2.8 18.9 -8.1 -20.0 2.7 -16.5 ROBUSTA 0.2 -20.0 5.6 1.7 -2.7 -0.8 -0.7 -2.2 2.0 2.4 10.6 7.9 10.4 -0.6 6.3 20.0 16.2 20.0 20.0 7.5 14.2 4.7 15.8 4.5 -10.3 3.4 0.3 6.4 1.7 7.0 1.8 19.1 13.9 1.7 -11.1 20.0 -6.6 -19.4 7.0 -11.4 RUSSELL 9.8 18.3 16.5 3.9 -8.9 4.7 -3.7 4.0 1.5 -14.1 5.8 7.3 -1.4 12.7 14.6 -7.4 -5.1 -6.8 -6.1 18.5 12.3 2.5 2.1 14.4 -1.8 5.5 -2.5 4.2 0.5 2.0 3.9 -0.7 14.8 16.9 19.9 9.7 -4.2 -7.2 -20.0 -10.2 SHATZ 17.0 -7.2 -18.5 -2.0 -1.4 -2.0 -1.8 -2.8 -1.7 6.2 -5.6 7.1 -7.0 -1.1 -5.0 -20.0 -2.2 -11.7 -7.2 -4.8 -8.7 4.1 -12.9 0.8 11.2 -1.3 1.4 -2.5 1.6 -3.9 0.5 -4.7 10.5 8.0 -1.4 -2.1 -20.0 -20.0 -20.0 -20.0 SILVER-mini 8.4 -0.9 -7.4 1.5 -5.5 2.4 -4.7 2.1 -1.1 -11.6 3.7 -3.5 4.8 3.5 -1.0 -6.5 -5.4 -6.5 -6.1 1.8 2.5 -9.0 3.1 -0.8 6.3 1.9 -6.1 2.1 -3.9 1.5 0.1 -3.9 -5.8 9.2 4.4 -2.2 -13.7 -20.0 -1.2 -20.0 SMI 7.8 -11.8 -1.5 3.8 -8.6 4.5 -3.6 3.8 1.4 -14.6 6.4 -0.1 4.0 -1.0 -1.5 -3.2 1.7 -2.7 -0.9 -2.1 1.3 -7.2 3.4 -2.3 3.4 -0.4 -3.6 -0.1 0.3 -0.7 1.0 10.0 17.3 0.7 -15.7 -7.1 -7.4 -10.4 -15.2 -15.5 SOFR 1.3 -11.7 -5.9 -2.1 -1.5 -2.1 -1.8 -2.9 -1.8 -1.2 -1.9 -2.4 -1.8 -2.2 -4.1 -2.6 -0.7 -1.9 -1.3 -4.6 -3.1 -4.3 -2.7 -4.6 -1.4 -2.1 -0.7 -1.4 -1.7 -1.0 -1.9 1.1 -2.9 3.5 -1.5 -1.0 -20.0 -20.0 -4.2 -1.6 SOYBEAN 0.7 20.0 9.8 1.1 -1.7 -0.5 -0.4 -1.3 1.2 -6.2 3.3 -5.3 -1.4 3.7 5.4 20.0 20.0 17.3 19.2 4.8 2.6 -6.7 0.0 0.6 -17.4 1.6 -1.8 0.8 -1.6 0.0 0.3 20.0 -11.1 -5.2 15.6 6.7 -9.0 14.7 -5.5 20.0 SOYMEAL 6.0 7.7 -19.7 1.1 -1.7 -0.5 -0.4 -1.4 1.3 -5.2 -1.8 -2.3 2.1 0.1 0.2 10.0 20.0 19.2 20.0 1.0 -0.0 -4.2 1.6 -0.0 -19.3 1.6 -1.5 1.3 -1.3 1.6 0.6 20.0 -4.0 -2.4 9.6 2.9 -9.8 -17.9 -6.0 -16.2 SOYOIL 3.5 20.0 19.2 1.1 -1.7 -0.5 -0.4 -1.4 1.3 -4.1 3.1 -1.6 -2.2 5.4 6.6 11.5 10.1 10.0 8.7 9.7 5.4 -0.5 0.6 6.1 -20.0 2.2 -0.3 1.2 -0.2 0.1 1.2 2.8 -1.8 -0.7 15.9 13.4 1.5 6.5 13.7 20.0 SP400 5.4 20.0 14.3 4.1 -9.3 4.8 -3.9 4.1 1.6 -15.4 8.5 4.8 6.4 13.6 15.7 -5.8 -4.5 -5.4 -5.1 20.0 16.2 -2.8 7.6 13.3 -12.0 5.4 -3.7 4.2 -1.0 2.3 3.1 0.7 5.4 9.7 20.0 8.9 -0.7 -8.5 -11.9 -11.8 SP500_micro -2.5 14.7 20.0 4.8 -11.0 5.8 -4.6 4.9 1.9 -18.3 20.0 3.5 10.8 13.8 19.9 -13.9 -8.5 -12.5 -10.6 20.0 20.0 -8.3 20.0 15.1 -20.0 7.2 -6.6 7.6 -2.1 5.3 3.4 -7.3 1.6 8.9 20.0 20.0 -4.3 -9.3 -12.8 -13.5 SUGAR11 4.8 -20.0 2.0 2.3 -3.6 -1.1 -0.9 -2.9 2.7 -15.1 11.5 -4.6 13.7 0.2 1.6 -1.7 14.1 1.7 7.9 2.2 14.5 -7.3 20.0 -2.3 -20.0 1.3 -6.8 8.0 -3.5 13.4 -1.4 7.5 -17.4 -2.7 -20.0 20.0 -16.4 -17.8 11.3 -5.9 US10 0.9 -10.2 -10.4 -2.0 -1.4 -2.0 -1.8 -2.8 -1.7 -2.2 -4.8 -4.4 -6.3 -4.9 -6.1 -8.6 -6.6 -9.0 -8.5 -6.9 -6.3 -6.0 -6.8 -6.4 0.7 -2.4 -1.2 -2.0 -2.2 -1.9 -2.2 -10.4 -5.6 -0.4 -3.2 -4.7 -20.0 -20.0 15.3 2.4 US10U -1.1 -8.3 -7.4 -2.7 -1.9 -2.8 -2.4 -3.8 -2.3 -4.7 -6.2 -7.0 -8.1 -7.0 -8.2 -3.9 -0.9 -2.4 -2.0 -8.6 -7.3 -10.9 -8.4 -9.5 -3.8 -3.3 -3.4 -2.5 -4.3 -2.2 -3.6 0.2 -13.0 -4.5 -3.2 -5.5 -20.0 -20.0 20.0 19.6 US2 2.6 -20.0 -20.0 -2.0 -1.4 -2.0 -1.7 -2.7 -1.7 3.6 -6.8 -4.9 -7.0 -6.5 -7.5 -20.0 -19.8 -20.0 -20.0 -12.3 -13.4 -2.1 -13.7 -7.1 7.4 -2.5 0.9 -2.7 -0.4 -2.8 -1.5 -20.0 2.2 1.1 -8.2 -11.1 -20.0 -20.0 -20.0 -16.4 US20 -3.6 -7.1 -6.4 -2.2 -1.5 -2.2 -1.9 -3.0 -1.9 -4.8 -4.6 -6.3 -5.0 -5.8 -6.7 -1.9 -1.4 -1.7 -1.8 -6.8 -5.4 -11.8 -6.2 -9.0 -3.7 -2.5 -4.4 -1.8 -4.6 -1.6 -3.3 -0.1 -17.0 -7.6 -2.4 -3.9 -20.0 -20.0 20.0 20.0 US30 -5.2 -5.0 -4.1 -2.6 -1.8 -2.6 -2.3 -3.6 -2.2 -6.5 -7.1 -8.3 -6.9 -7.6 -8.7 -9.0 -2.3 -5.5 -3.7 -7.9 -6.4 -15.0 -8.6 -10.8 -3.5 -3.1 -6.4 -2.1 -6.2 -1.9 -4.3 -2.1 -20.0 -12.3 -2.3 -3.6 -20.0 -20.0 20.0 20.0 US5 2.9 -11.1 -14.0 -2.0 -1.4 -2.0 -1.7 -2.7 -1.7 0.4 -5.0 -3.5 -6.3 -4.1 -6.0 -13.1 -8.7 -12.9 -11.5 -7.1 -7.0 -3.2 -7.7 -5.1 3.0 -2.3 0.2 -2.2 -1.0 -2.1 -1.6 -14.7 -0.7 2.7 -3.2 -5.1 -20.0 -20.0 6.8 -15.5 VIX 15.2 -8.3 -20.0 -7.0 5.2 -8.8 2.0 -8.5 -2.7 18.2 -20.0 5.6 -20.0 -15.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 7.1 -20.0 -12.1 NaN -8.1 6.0 -10.5 2.5 -10.5 -2.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 5.9 14.6 15.9 0.9 -1.4 -0.4 -0.3 -1.1 1.1 -5.9 -2.7 -4.6 -6.4 -2.5 -0.3 -9.1 -8.8 -9.8 -9.8 0.1 -1.5 -6.8 -3.4 -1.9 -3.4 0.4 -2.7 -0.4 -1.8 -1.1 -0.1 -20.0 -6.0 -1.5 -0.5 0.7 -18.4 -16.3 -11.0 -8.2 End of report for caleb_strategy_v3