******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230807_204335 produced at 2023-08-07 21:38:28.822926 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.19 -0.53 0.0 0.96 -0.96 -0.19 -0.48 -5.48 10.0 -2 -5 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.39 0.0 0.00 0.00 0.00 0.00 -4.46 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 -5.01 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 -28.50 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.39 -0.39 -0.10 -0.07 -24.27 56.0 -14 -10 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.64 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.22 -0.14 0.0 0.54 -0.54 -0.22 -0.22 -4.32 17.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.11 0.0 0.67 -0.67 -0.21 -0.21 -2.14 13.0 -4 -4 caleb_strategy_v3 US5 False False 0.04 -0.19 -0.10 0.0 0.96 -0.96 -0.19 -0.19 -2.52 25.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.09 0.0 0.07 -0.07 -0.06 -0.06 -35.23 26.0 -25 -25 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.09 0.0 0.87 -0.87 -0.23 -0.23 -1.91 19.0 -5 -5 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.08 0.0 0.78 -0.78 -0.03 -0.05 -2.80 29.0 -1 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.68 -0.68 0.00 0.00 -1.30 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.04 0.0 0.70 -0.70 -0.05 -0.05 -0.86 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 -1.68 19.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.60 2.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.03 0.0 0.36 -0.36 0.00 0.00 -0.74 8.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.07 -0.07 0.00 0.00 -2.31 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 -29.39 59.0 0 -3 caleb_strategy_v3 PLAT False False 0.02 -0.08 -0.02 0.0 0.17 -0.17 -0.08 -0.08 -0.98 10.0 -5 -5 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.09 2.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.21 -0.02 0.0 0.54 -0.54 -0.21 -0.21 -0.58 13.0 -5 -5 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -0.40 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.02 0.0 0.26 -0.26 -0.02 -0.01 -1.53 23.0 -2 -1 caleb_strategy_v3 US30 False False 0.05 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.42 6.0 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 -2.40 48.0 -10 -10 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.03 0.0 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 -4.33 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 -0.72 9.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.10 -0.01 0.0 0.21 -0.21 -0.10 -0.10 -0.11 4.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.34 6.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.03 -0.01 0.0 0.21 -0.21 0.03 0.00 -0.24 6.0 1 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.01 0.0 0.46 -0.46 0.02 0.02 -0.29 21.0 1 1 caleb_strategy_v3 CORN False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.63 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.44 8.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 -0.11 -0.01 0.0 0.37 -0.37 -0.11 -0.10 -0.95 58.0 -18 -16 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.49 18.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.28 11.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.33 -0.33 0.00 0.00 1.09 26.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.45 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.62 9.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.05 0.55 7.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 3.92 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.42 -0.42 0.00 0.00 2.04 66.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.21 -0.21 0.02 0.02 2.05 23.0 2 2 caleb_strategy_v3 SMI False False 0.05 0.37 0.02 0.0 0.41 -0.41 0.37 0.37 0.33 9.0 8 8 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.52 -0.52 0.00 0.05 0.36 10.0 0 1 caleb_strategy_v3 EUROSTX False False 0.02 0.02 0.02 0.0 0.35 -0.35 0.02 0.02 1.40 20.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.84 12.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.20 0.02 0.0 0.20 -0.20 0.20 0.20 0.21 2.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.63 -0.63 0.06 0.06 1.18 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 6.39 51.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.90 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 4.28 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.23 0.06 0.0 0.45 -0.45 0.23 0.27 1.41 10.0 5 6 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.50 -0.50 0.00 0.00 1.48 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.09 0.09 0.0 0.12 -0.12 0.09 0.09 2.84 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 3.05 5.0 2 2 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.84 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.11 0.0 0.13 -0.13 0.00 0.00 2.43 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.11 0.0 0.44 -0.44 0.10 0.10 4.15 17.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.10 0.12 0.0 0.16 -0.16 0.10 0.10 10.23 13.0 8 8 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.36 0.0 0.30 -0.30 0.30 0.29 43.39 36.0 36 35 caleb_strategy_v3 MXP False False 0.01 0.63 0.62 0.0 0.63 -0.63 0.63 0.63 58.98 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.56 0.84 0.0 0.59 -0.59 0.56 0.56 22.55 16.0 15 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.9 Shocked risk 60.6 Sum abs risk 59.7 Leverage 5.36 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 0.0051 0.6584 0.7713 12.3409 BITCOIN 686.0151 29195.0000 2.3498 37.5963 BOBL 0.2674 115.7100 0.2311 3.6975 BTP 0.6412 114.6400 0.5593 8.9496 BUND 0.5481 131.8700 0.4156 6.6498 BUXL 1.2472 130.8400 0.9532 15.2511 CAC 63.9007 7346.0000 0.8699 13.9179 CAD 0.0032 0.7485 0.4231 6.7701 CANOLA 9.4871 799.9000 1.1860 18.9765 CHF 0.0056 1.1506 0.4908 7.8531 COCOA 38.4432 3474.0000 1.1066 17.7055 COFFEE 2.8219 162.6000 1.7355 27.7674 COPPER 0.0495 3.8390 1.2894 20.6303 CORN 11.1637 498.0000 2.2417 35.8672 COTTON2 1.3849 85.2700 1.6242 25.9869 CRUDE_W 1.0749 80.8500 1.3295 21.2716 DAX 127.3868 16045.0000 0.7939 12.7030 DOW 200.6395 35557.0000 0.5643 9.0284 EUR 0.0054 1.1029 0.4909 7.8541 EURIBOR-ICE 0.0573 97.0700 0.0590 0.9444 EUROSTX 43.2361 4365.0000 0.9905 15.8483 FEEDCOW 1.5996 253.0000 0.6323 10.1161 GASOIL 12.7818 867.2500 1.4738 23.5814 GASOLINE 0.0385 2.4761 1.5544 24.8698 GAS_US_mini 0.0885 2.8200 3.1371 50.1929 GBP 0.0072 1.2789 0.5635 9.0167 GOLD_micro 11.9699 1953.0000 0.6129 9.8064 HEATOIL 0.0349 2.9580 1.1811 18.8979 JGB-SGX-mini 0.2946 146.4000 0.2012 3.2194 JPY 0.0000 0.0071 0.6770 10.8319 LEANHOG 1.2643 84.5500 1.4953 23.9244 LIVECOW 1.1526 181.2750 0.6358 10.1731 LUMBER-new 10.0565 506.5000 1.9855 31.7678 MILK 0.3252 18.2300 1.7838 28.5405 MXP 0.0005 0.0582 0.8012 12.8185 NASDAQ_micro 128.9972 15453.2500 0.8348 13.3561 NIKKEI 316.8857 32380.0000 0.9786 15.6583 NZD 0.0046 0.6106 0.7580 12.1273 OAT 0.5630 126.4300 0.4453 7.1243 OATIES 7.4521 428.7500 1.7381 27.8097 OJ 3.9753 289.9000 1.3713 21.9402 PALLAD 22.0314 1238.5000 1.7789 28.4620 PLAT 13.7568 927.4000 1.4834 23.7340 REDWHEAT 17.6226 783.2500 2.2499 35.9989 RICE 0.1655 16.0350 1.0323 16.5174 ROBUSTA 39.0441 2552.0000 1.5299 24.4790 RUSSELL 17.4763 1965.3000 0.8892 14.2279 SHATZ 0.0885 105.1400 0.0842 1.3470 SILVER-mini 0.3775 23.5625 1.6022 25.6344 SMI 80.1924 11134.0000 0.7202 11.5240 SOFR 0.0814 96.5500 0.0843 1.3491 SOYBEAN 19.2468 1303.7500 1.4763 23.6203 SOYMEAL 6.1049 392.6000 1.5550 24.8800 SOYOIL 1.0419 59.9700 1.7374 27.7989 SP400 19.4577 2712.3000 0.7174 11.4782 SP500_micro 26.5229 4531.0000 0.5854 9.3658 SUGAR11 0.3159 23.9000 1.3218 21.1494 US10 0.4710 111.1094 0.4239 6.7826 US10U 0.6410 115.8125 0.5535 8.8560 US2 0.1133 101.6992 0.1114 1.7831 US20 0.9048 121.5000 0.7447 11.9152 US30 1.3311 127.1250 1.0471 16.7528 US5 0.3041 106.9453 0.2843 4.5495 VIX 0.4874 18.2000 2.6780 42.8483 WHEAT 17.9052 681.0000 2.6293 42.0681 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.35 0.77 507.79 1.00 507.79 46875.0 92.31 -5.60 -51.69 BITCOIN 29.20 2.35 68.60 1.00 68.60 46875.0 683.29 -3.58 -244.37 BOBL 1157.10 0.23 267.40 1.10 293.01 46875.0 159.98 -12.84 -205.48 BTP 1146.40 0.56 641.24 1.10 702.64 46875.0 66.71 6.75 45.05 BUND 1318.70 0.42 548.07 1.10 600.54 46875.0 78.05 5.02 39.21 BUXL 1308.40 0.95 1247.16 1.10 1366.58 46875.0 34.30 -3.33 -11.42 CAC 734.60 0.87 639.01 1.10 700.19 46875.0 66.95 3.82 25.60 CAD 748.50 0.42 316.71 1.00 316.71 46875.0 148.00 -5.83 -86.28 CANOLA 159.98 1.19 189.74 0.75 142.10 46875.0 329.88 9.25 305.08 CHF 1438.31 0.49 705.95 1.00 705.95 46875.0 66.40 -9.94 -65.99 COCOA 347.40 1.11 384.43 1.00 384.43 46875.0 121.93 4.83 58.94 COFFEE 609.75 1.74 1058.20 1.00 1058.20 46875.0 44.30 -7.66 -33.95 COPPER 959.75 1.29 1237.50 1.00 1237.50 46875.0 37.88 -0.53 -2.00 CORN 249.00 2.24 558.18 1.00 558.18 46875.0 83.98 -3.56 -29.91 COTTON2 426.35 1.62 692.47 1.00 692.47 46875.0 67.69 2.21 14.97 CRUDE_W 808.50 1.33 1074.88 1.00 1074.88 46875.0 43.61 5.71 24.89 DAX 160.45 0.79 127.39 1.10 139.58 46875.0 335.82 -0.86 -28.96 DOW 177.78 0.56 100.32 1.00 100.32 46875.0 467.26 1.95 91.20 EUR 1378.62 0.49 676.74 1.00 676.74 46875.0 69.27 -3.83 -26.53 EURIBOR-ICE 2426.75 0.06 143.23 1.10 156.95 46875.0 298.66 -5.88 -175.69 EUROSTX 436.50 0.99 432.36 1.10 473.76 46875.0 98.94 4.33 42.83 FEEDCOW 1265.00 0.63 799.80 1.00 799.80 46875.0 58.61 -3.68 -21.58 GASOIL 867.25 1.47 1278.18 1.00 1278.18 46875.0 36.67 15.79 57.91 GASOLINE 1039.96 1.55 1616.48 1.00 1616.48 46875.0 29.00 20.00 58.00 GAS_US_mini 70.50 3.14 221.16 1.00 221.16 46875.0 211.95 -13.57 -287.67 GBP 799.31 0.56 450.45 1.00 450.45 46875.0 104.06 3.48 36.25 GOLD_micro 195.30 0.61 119.70 1.00 119.70 46875.0 391.61 -16.36 -640.83 HEATOIL 1242.36 1.18 1467.38 1.00 1467.38 46875.0 31.94 15.51 49.53 JGB-SGX-mini 146400.00 0.20 29457.68 0.01 206.78 46875.0 226.69 7.61 172.56 JPY 883.31 0.68 598.00 1.00 598.00 46875.0 78.39 -16.97 -133.03 LEANHOG 338.20 1.50 505.70 1.00 505.70 46875.0 92.69 17.66 163.70 LIVECOW 725.10 0.64 461.03 1.00 461.03 46875.0 101.67 11.97 121.68 LUMBER-new 139.29 1.99 276.55 1.00 276.55 46875.0 169.50 -14.08 -238.63 MILK 364.60 1.78 650.37 1.00 650.37 46875.0 72.07 -17.41 -125.49 MXP 290.90 0.80 233.06 1.00 233.06 46875.0 201.13 17.83 358.55 NASDAQ_micro 309.06 0.83 257.99 1.00 257.99 46875.0 181.69 -3.77 -68.55 NIKKEI 32380.00 0.98 31688.57 0.01 222.44 46875.0 210.73 15.76 332.07 NZD 610.55 0.76 462.77 1.00 462.77 46875.0 101.29 -0.88 -8.92 OAT 1264.30 0.45 562.96 1.10 616.86 46875.0 75.99 6.22 47.30 OATIES 214.38 1.74 372.61 1.00 372.61 46875.0 125.80 -7.93 -99.79 OJ 434.85 1.37 596.29 1.00 596.29 46875.0 78.61 20.00 157.22 PALLAD 1238.50 1.78 2203.14 1.00 2203.14 46875.0 21.28 -7.46 -15.87 PLAT 463.70 1.48 687.84 1.00 687.84 46875.0 68.15 -3.79 -25.83 REDWHEAT 391.62 2.25 881.13 1.00 881.13 46875.0 53.20 -7.23 -38.46 RICE 320.70 1.03 331.07 1.00 331.07 46875.0 141.59 14.44 204.44 ROBUSTA 255.20 1.53 390.44 1.00 390.44 46875.0 120.06 17.01 204.21 RUSSELL 98.26 0.89 87.38 1.00 87.38 46875.0 536.44 2.29 123.09 SHATZ 1051.40 0.08 88.51 1.10 96.99 46875.0 483.30 -8.12 -392.55 SILVER-mini 589.06 1.60 943.77 1.00 943.77 46875.0 49.67 -5.48 -27.21 SMI 1113.40 0.72 801.92 1.14 917.24 46875.0 51.10 1.98 10.10 SOFR 2413.75 0.08 203.52 1.00 203.52 46875.0 230.32 -3.33 -76.76 SOYBEAN 651.88 1.48 962.34 1.00 962.34 46875.0 48.71 14.07 68.54 SOYMEAL 392.60 1.56 610.49 1.00 610.49 46875.0 76.78 10.04 77.07 SOYOIL 359.82 1.74 625.16 1.00 625.16 46875.0 74.98 7.41 55.56 SP400 2712.30 0.72 1945.77 1.00 1945.77 46875.0 24.09 2.75 6.62 SP500_micro 226.55 0.59 132.61 1.00 132.61 46875.0 353.47 -3.05 -107.69 SUGAR11 267.68 1.32 353.83 1.00 353.83 46875.0 132.48 2.02 26.71 US10 1111.09 0.42 471.00 1.00 471.00 46875.0 99.52 -10.82 -107.65 US10U 1158.12 0.55 641.02 1.00 641.02 46875.0 73.13 -6.54 -47.83 US2 2033.98 0.11 226.67 1.00 226.67 46875.0 206.80 -20.00 -413.59 US20 1215.00 0.74 904.81 1.00 904.81 46875.0 51.81 -6.34 -32.83 US30 1271.25 1.05 1331.06 1.00 1331.06 46875.0 35.22 -9.75 -34.33 US5 1069.45 0.28 304.09 1.00 304.09 46875.0 154.15 -13.49 -207.93 VIX 182.00 2.68 487.40 1.00 487.40 46875.0 96.17 -20.00 -192.35 WHEAT 340.50 2.63 895.26 1.00 895.26 46875.0 52.36 -12.07 -63.18 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -51.690 0.013 2.5 -1.680 BITCOIN -244.368 0.048 2.5 -29.386 BOBL -205.481 0.004 2.5 -1.906 BTP 45.053 0.012 2.5 1.405 BUND 39.212 0.004 2.5 0.364 BUXL -11.419 0.004 2.5 -0.106 CAC 25.598 0.013 2.5 0.836 CAD -86.281 0.013 2.5 -2.804 CANOLA 305.082 0.008 2.5 6.391 CHF -65.991 0.013 2.5 -2.145 COCOA 58.937 0.007 2.5 1.087 COFFEE -33.947 0.004 2.5 -0.341 COPPER -1.999 0.048 2.5 -0.240 CORN -29.912 0.008 2.5 -0.627 COTTON2 14.973 0.007 2.5 0.276 CRUDE_W 24.892 0.049 2.5 3.049 DAX -28.956 0.013 2.5 -0.946 DOW 91.201 0.009 2.5 2.037 EUR -26.535 0.013 2.5 -0.862 EURIBOR-ICE -175.686 0.012 2.5 -5.480 EUROSTX 42.826 0.013 2.5 1.399 FEEDCOW -21.582 0.014 2.5 -0.736 GASOIL 57.905 0.020 2.5 2.839 GASOLINE 57.996 0.020 2.5 2.843 GAS_US_mini -287.674 0.049 2.5 -35.232 GBP 36.249 0.013 2.5 1.178 GOLD_micro -640.828 0.015 2.5 -24.273 HEATOIL 49.533 0.020 2.5 2.428 JGB-SGX-mini 172.563 0.052 2.5 22.549 JPY -133.031 0.013 2.5 -4.324 LEANHOG 163.699 0.025 2.5 10.232 LIVECOW 121.683 0.014 2.5 4.147 LUMBER-new -238.633 0.007 2.5 -4.333 MILK -125.486 0.007 2.5 -2.315 MXP 358.548 0.066 2.5 58.981 NASDAQ_micro -68.550 0.009 2.5 -1.531 NIKKEI 332.074 0.052 2.5 43.393 NZD -8.925 0.013 2.5 -0.290 OAT 47.302 0.012 2.5 1.475 OATIES -99.795 0.008 2.5 -2.091 OJ 157.221 0.007 2.5 2.900 PALLAD -15.867 0.015 2.5 -0.601 PLAT -25.834 0.015 2.5 -0.979 REDWHEAT -38.456 0.005 2.5 -0.439 RICE 204.435 0.008 2.5 4.283 ROBUSTA 204.210 0.004 2.5 2.054 RUSSELL 123.089 0.013 2.5 3.919 SHATZ -392.553 0.004 2.5 -3.640 SILVER-mini -27.214 0.015 2.5 -1.031 SMI 10.095 0.013 2.5 0.330 SOFR -76.764 0.023 2.5 -4.456 SOYBEAN 68.538 0.003 2.5 0.549 SOYMEAL 77.074 0.003 2.5 0.617 SOYOIL 55.564 0.003 2.5 0.445 SP400 6.623 0.013 2.5 0.211 SP500_micro -107.689 0.009 2.5 -2.405 SUGAR11 26.713 0.007 2.5 0.489 US10 -107.652 0.005 2.5 -1.303 US10U -47.825 0.005 2.5 -0.579 US2 -413.593 0.005 2.5 -5.006 US20 -32.828 0.005 2.5 -0.397 US30 -34.331 0.005 2.5 -0.416 US5 -207.927 0.005 2.5 -2.517 VIX -192.347 0.059 2.5 -28.500 WHEAT -63.185 0.005 2.5 -0.722 ===================== Position diags ===================== AUD 3.00 BITCOIN 82.17 BOBL 1.48 BTP 2.08 BUND 0.72 BUXL 0.32 CAC 2.19 CAD 4.81 CANOLA 6.91 CHF 2.16 COCOA 2.25 COFFEE 0.45 COPPER 4.56 CORN 1.76 COTTON2 1.25 CRUDE_W 5.34 DAX 10.97 DOW 10.43 EUR 2.25 EURIBOR-ICE 9.32 EUROSTX 3.23 FEEDCOW 2.00 GASOIL 1.80 GASOLINE 1.42 GAS_US_mini 25.96 GBP 3.38 GOLD_micro 14.83 HEATOIL 1.57 JGB-SGX-mini 29.62 JPY 2.55 LEANHOG 5.79 LIVECOW 3.47 LUMBER-new 3.08 MILK 1.33 MXP 33.09 NASDAQ_micro 4.06 NIKKEI 27.54 NZD 3.29 OAT 2.37 OATIES 2.64 OJ 1.45 PALLAD 0.81 PLAT 2.58 REDWHEAT 0.61 RICE 2.97 ROBUSTA 1.21 RUSSELL 17.08 SHATZ 4.48 SILVER-mini 1.88 SMI 1.67 SOFR 13.37 SOYBEAN 0.39 SOYMEAL 0.61 SOYOIL 0.60 SP400 0.77 SP500_micro 7.89 SUGAR11 2.43 US10 1.20 US10U 0.89 US2 2.50 US20 0.63 US30 0.43 US5 1.87 VIX 14.25 WHEAT 0.60 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.7 -2.0 -1.4 NaN 0 BITCOIN -29.4 -37.6 -21.2 0.0 0 BOBL -1.9 -2.1 -1.8 -5.0 -5 BTP 1.4 1.2 1.6 5.0 5 BUND 0.4 0.3 0.4 0.0 0 BUXL -0.1 -0.1 -0.1 -2.0 -2 CAC 0.8 0.6 1.1 NaN 0 CAD -2.8 -3.3 -2.3 -1.0 -1 CANOLA 6.4 5.7 7.1 NaN 0 CHF -2.1 -2.4 -1.9 -4.0 -4 COCOA 1.1 0.9 1.3 0.0 0 COFFEE -0.3 -0.4 -0.3 NaN 0 COPPER -0.2 -0.7 0.2 1.0 1 CORN -0.6 -0.8 -0.5 0.0 0 COTTON2 0.3 0.2 0.4 0.0 0 CRUDE_W 3.0 2.5 3.6 2.0 2 DAX -0.9 -2.0 0.2 -18.0 -18 DOW 2.0 1.0 3.1 NaN 0 EUR -0.9 -1.1 -0.6 -1.0 -1 EURIBOR-ICE -5.5 -6.4 -4.5 -2.0 -2 EUROSTX 1.4 1.1 1.7 1.0 1 FEEDCOW -0.7 -0.9 -0.5 0.0 0 GASOIL 2.8 2.7 3.0 3.0 3 GASOLINE 2.8 2.7 3.0 4.0 4 GAS_US_mini -35.2 -37.8 -32.6 -25.0 -25 GBP 1.2 0.8 1.5 2.0 2 GOLD_micro -24.3 -25.8 -22.8 -14.0 -14 HEATOIL 2.4 2.3 2.6 0.0 0 JGB-SGX-mini 22.5 19.6 25.5 15.0 15 JPY -4.3 -4.6 -4.1 -7.0 -7 LEANHOG 10.2 9.7 10.8 8.0 8 LIVECOW 4.1 3.8 4.5 4.0 4 LUMBER-new -4.3 -4.6 -4.0 NaN 0 MILK -2.3 -2.4 -2.2 NaN 0 MXP 59.0 55.7 62.3 60.0 60 NASDAQ_micro -1.5 -1.9 -1.1 -2.0 -2 NIKKEI 43.4 40.6 46.1 36.0 36 NZD -0.3 -0.6 0.0 1.0 1 OAT 1.5 1.2 1.7 NaN 0 OATIES -2.1 -2.4 -1.8 NaN 0 OJ 2.9 2.8 3.0 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT -1.0 -1.2 -0.7 -5.0 -5 REDWHEAT -0.4 -0.5 -0.4 -1.0 -1 RICE 4.3 4.0 4.6 NaN 0 ROBUSTA 2.1 1.9 2.2 2.0 2 RUSSELL 3.9 2.2 5.6 0.0 0 SHATZ -3.6 -4.1 -3.2 NaN 0 SILVER-mini -1.0 -1.2 -0.8 NaN 0 SMI 0.3 0.2 0.5 8.0 8 SOFR -4.5 -5.8 -3.1 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.6 0.7 1.0 1 SOYOIL 0.4 0.4 0.5 0.0 0 SP400 0.2 0.1 0.3 2.0 2 SP500_micro -2.4 -3.2 -1.6 -10.0 -10 SUGAR11 0.5 0.2 0.7 0.0 0 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.6 -0.7 -0.5 -5.0 -5 US2 -5.0 -5.3 -4.8 NaN 0 US20 -0.4 -0.5 -0.3 NaN 0 US30 -0.4 -0.5 -0.4 NaN 0 US5 -2.5 -2.7 -2.3 -5.0 -5 VIX -28.5 -29.9 -27.1 -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 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.4 -0.2 -0.0 -0.3 0.0 0.1 BITCOIN -0.3 0.1 0.1 0.0 -0.1 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 0.5 -0.5 0.2 -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 -0.0 -0.1 0.0 -0.2 -0.0 -0.0 -1.2 -0.4 -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 -2.1 0.1 0.1 0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP 0.0 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.0 -0.0 0.0 0.0 0.3 0.5 0.3 0.4 0.0 0.0 -0.1 -0.0 -0.0 -0.4 0.0 -0.1 0.1 -0.0 0.0 -0.0 2.5 -0.2 0.1 0.2 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 -0.2 0.0 0.0 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.0 -0.1 -0.2 -0.3 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.9 -0.5 -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 -0.1 0.3 -0.0 0.5 0.1 0.1 -0.4 0.0 -0.3 -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 0.1 -0.1 0.0 -0.1 0.2 -0.0 0.3 0.0 CAD -0.2 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 -0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 -0.4 -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 0.0 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 -0.0 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -2.9 0.2 0.4 0.2 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.2 0.2 0.4 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.4 0.1 0.6 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.4 0.2 -0.6 0.1 -0.0 0.2 0.0 0.2 0.0 -2.1 0.7 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE 0.3 -0.4 -0.2 0.0 -0.0 -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 0.0 -0.3 -0.3 -0.1 -0.2 COPPER 0.1 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 0.5 0.3 0.2 -0.3 0.0 -0.3 0.1 -0.2 CORN 0.1 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.4 -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 -0.3 -0.1 -0.1 -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 0.0 0.1 0.5 0.4 0.4 0.3 0.0 0.0 0.0 -0.0 0.0 -1.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.4 0.2 0.2 -0.2 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.1 0.0 0.0 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 0.1 0.2 -0.4 0.1 0.1 0.1 0.1 0.1 0.1 -1.6 -0.3 -0.4 -0.0 0.1 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 -0.1 0.3 -0.0 0.8 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.5 0.1 -0.0 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.4 0.4 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.3 0.1 0.3 0.1 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.1 0.2 0.2 -0.5 0.1 0.0 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 -0.2 0.1 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 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 -0.1 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 -0.1 0.1 -0.0 0.2 -0.0 1.1 0.3 -0.1 -0.1 -0.1 0.3 0.0 0.3 0.1 FEEDCOW -0.0 0.2 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.2 0.2 -0.8 -1.2 -1.2 -1.2 0.2 0.2 0.2 0.4 0.2 0.3 0.1 0.0 0.2 0.0 0.3 0.0 -3.2 0.7 0.1 0.3 0.5 0.0 -0.2 0.2 -0.1 GASOIL 0.5 0.5 0.2 0.0 0.0 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 0.4 0.5 0.2 -0.1 0.0 -0.2 -0.1 GASOLINE 0.5 0.5 0.2 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.4 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 0.4 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.4 0.0 -0.5 0.0 0.0 -0.9 -0.8 -0.8 -0.8 -0.0 -0.2 0.0 -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 -0.3 0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.0 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 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.1 -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 -0.0 0.2 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.2 0.0 0.2 -0.2 0.2 0.2 1.1 1.0 0.7 0.7 0.2 0.2 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 -0.4 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -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 0.1 0.1 -0.4 0.0 -0.0 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 0.1 -0.1 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.1 0.5 0.1 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 0.8 1.2 1.2 0.1 -0.0 0.0 -0.3 0.1 0.8 -0.0 -0.0 -0.2 0.0 -0.3 0.0 3.2 0.6 0.1 0.1 -0.3 -0.1 0.0 0.3 0.3 LIVECOW -0.2 0.3 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.4 0.0 0.6 0.1 0.2 -0.9 0.4 0.3 0.8 0.2 0.2 0.1 0.4 0.1 0.3 0.1 0.0 0.2 0.0 0.2 0.0 1.1 0.7 0.2 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.5 0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 -0.1 -0.1 -0.8 -0.8 -0.7 -0.8 -0.1 -0.1 -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 0.0 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -1.2 -1.2 -1.2 -1.2 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.1 0.4 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.4 -0.3 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.0 0.5 0.0 0.1 1.0 1.1 1.1 1.1 0.1 0.2 -0.1 0.4 0.0 -1.1 0.0 -0.0 0.2 -0.0 0.3 0.0 3.2 0.1 0.0 0.0 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.4 0.1 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.0 0.2 0.0 0.1 -0.6 -0.5 -0.6 -0.6 0.2 0.2 -0.1 0.4 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.9 0.2 -0.0 0.4 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.3 -0.3 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.4 -0.0 0.1 0.9 0.7 0.9 0.8 0.1 0.2 -0.1 0.4 -0.0 -0.3 0.0 -0.0 0.2 -0.0 0.2 0.0 3.2 0.2 -0.4 0.0 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 -0.0 -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 0.0 -0.0 0.1 -0.0 -0.0 -0.1 -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 -0.2 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 0.1 0.1 -0.1 0.1 0.1 -1.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -3.2 -0.5 -0.1 0.5 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.5 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.4 0.1 0.6 0.1 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 0.2 -0.3 -0.4 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 -0.2 -0.1 -0.4 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 0.0 -0.4 -0.3 -0.2 -0.0 0.0 0.0 PLAT 0.1 -0.3 -0.4 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 -0.1 -0.1 0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.4 -0.2 0.0 -0.4 -0.2 0.0 -0.2 0.1 -0.2 REDWHEAT -0.0 0.1 0.1 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 -1.3 -0.7 -0.2 -0.2 0.0 -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 0.1 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 3.2 0.3 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 0.1 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 3.1 0.6 0.1 -0.3 0.5 -0.1 -0.3 0.1 -0.1 RUSSELL 0.2 0.5 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 0.0 -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 0.4 0.3 0.5 0.3 -0.1 -0.1 -0.3 -0.1 SHATZ 0.5 -0.1 -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 -0.8 0.3 0.2 -0.0 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.1 -0.0 -0.2 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.1 -0.1 0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 -0.2 0.1 -0.0 0.3 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.6 -0.3 0.2 0.1 -0.1 -0.2 -0.3 -0.0 -0.3 SMI 0.2 -0.3 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.0 -0.2 0.1 -0.2 -0.1 -0.0 0.0 -0.1 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 0.0 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 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 -0.1 -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 -0.5 -0.2 0.4 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL 0.1 0.1 -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 -0.2 -0.1 0.2 0.1 -0.1 -0.2 -0.1 -0.2 SOYOIL 0.0 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 0.0 -1.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.4 -0.2 -0.1 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 -0.1 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 0.3 0.2 0.5 0.2 -0.0 -0.1 -0.2 -0.2 SP500_micro -0.2 0.3 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 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 -1.2 -0.1 0.2 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 0.1 -0.5 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.1 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 1.1 -0.5 -0.1 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 0.0 -0.2 -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 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.6 -0.0 -0.0 -0.1 -0.1 -0.3 -0.3 0.2 0.0 US10U -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 -0.3 -0.1 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US2 0.0 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 -0.0 -0.3 -0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -3.2 0.3 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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.2 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US30 -0.2 -0.2 -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 -0.0 -0.1 -0.0 -0.4 -0.7 -0.3 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US5 0.1 -0.2 -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 0.1 0.1 -0.1 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.7 -0.2 -0.8 -0.1 0.1 -0.3 0.0 -0.4 -0.0 0.2 -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 -0.1 NaN -0.1 0.1 -0.3 0.0 -0.5 -0.0 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.1 0.3 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 0.0 -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 -9.9 -1.2 2.9 2.2 -1.9 2.5 -2.2 1.4 0.1 -7.9 -5.0 -9.2 -3.7 -6.8 -2.1 -2.7 -2.6 -2.7 -2.8 -3.0 -1.9 -11.6 -3.1 -7.5 2.0 -1.2 -4.4 -0.5 -5.7 -1.2 -3.5 -0.6 -7.1 -9.1 -15.3 -9.9 -2.4 -20.0 3.7 8.9 BITCOIN -11.5 5.1 5.7 2.0 -10.0 4.0 -9.1 3.7 -3.0 -16.9 19.6 -20.0 -0.9 6.1 9.2 -8.0 -3.7 -6.6 -5.1 4.3 12.7 -9.5 7.4 -5.5 -20.0 1.3 -4.0 5.0 -5.8 4.4 -3.6 -1.2 15.9 -20.0 6.6 -7.0 -5.4 20.0 -4.4 20.0 BOBL 9.3 -3.4 -6.8 -2.1 -1.6 -2.1 -1.9 -2.8 -1.9 -4.0 -3.3 2.8 -6.6 -0.2 -3.9 -20.0 -6.1 -20.0 -13.8 -3.0 -5.1 -0.3 -9.4 -0.8 9.7 -1.1 -0.4 -1.6 -0.2 -3.1 -0.3 -13.1 2.8 5.2 0.8 1.7 -20.0 -20.0 -20.0 -14.5 BTP 1.2 -1.9 11.0 -3.2 -2.5 -3.2 -2.9 -4.3 -2.9 -10.5 8.3 0.3 -0.6 0.3 3.2 4.4 8.3 5.5 6.8 1.4 3.0 -6.1 -1.6 -2.0 -6.7 0.9 -5.0 2.5 -3.9 0.5 -1.4 16.1 -5.3 3.3 9.5 14.3 -20.0 -20.0 -4.9 5.4 BUND 2.2 -1.9 -0.5 -2.3 -1.7 -2.3 -2.1 -3.1 -2.0 -7.7 -3.9 -2.5 -7.3 -2.5 -3.8 6.0 9.0 6.4 7.2 -3.4 -4.4 -5.5 -9.3 -3.8 6.0 -1.7 -3.7 -1.5 -3.3 -3.3 -2.3 16.8 -4.6 0.8 1.8 3.0 -20.0 -20.0 -15.2 -1.9 BUXL -5.7 0.9 -0.6 -2.8 -2.2 -2.8 -2.5 -3.8 -2.5 -9.4 -8.6 -9.2 -10.2 -7.4 -6.2 0.8 1.2 1.4 1.6 -5.4 -6.4 -12.6 -13.3 -8.7 0.4 -2.3 -6.4 -1.6 -6.2 -3.3 -4.2 5.5 -14.8 -7.7 4.1 3.7 -20.0 -20.0 1.3 11.3 CAC 2.7 -6.1 -12.4 4.1 -6.5 5.2 -4.1 4.6 1.1 -8.3 15.9 -0.0 17.5 6.9 8.0 -6.8 0.3 -4.2 -1.7 4.2 9.4 -5.6 15.8 1.0 -4.4 2.9 -4.6 5.4 -3.5 8.0 0.4 8.0 3.4 -3.0 1.1 -4.8 19.0 -1.6 20.0 0.8 CAD -9.8 1.6 12.0 3.9 -3.5 4.4 -4.0 2.4 0.3 -16.2 12.3 -15.5 -6.9 -8.1 9.0 -1.8 -1.9 -2.1 -2.2 3.3 6.2 -18.2 -0.5 -7.9 0.1 1.8 -10.0 3.8 -9.8 0.7 -4.4 0.6 -11.5 -14.9 -17.5 -5.0 -15.8 -20.0 -20.0 -17.1 CANOLA 4.3 20.0 19.7 1.3 -2.1 -0.6 -0.5 -1.7 1.5 -3.9 3.3 -2.4 -6.0 6.4 7.5 0.0 14.9 8.9 13.4 13.8 6.3 -4.3 -1.9 7.9 -20.0 2.2 -0.7 0.5 -1.0 -1.1 1.2 11.8 -13.9 6.7 20.0 10.9 -14.8 12.3 1.3 20.0 CHF 1.2 10.8 3.2 2.7 -2.4 3.1 -2.7 1.7 0.2 -7.2 9.5 -3.8 10.6 5.0 6.5 -13.4 -12.9 -13.8 -13.5 10.2 10.4 -3.7 8.1 4.5 -6.2 3.5 -0.9 3.4 -0.8 2.4 1.8 -18.6 4.8 14.6 6.1 2.1 -14.4 -20.0 -16.4 -20.0 COCOA 8.9 7.2 16.3 2.8 -3.3 -1.3 -1.3 -3.7 2.9 -9.3 20.0 15.1 20.0 19.5 20.0 0.5 -0.7 0.0 -0.1 20.0 20.0 10.6 20.0 20.0 -10.8 8.5 -1.7 9.4 1.9 7.8 5.6 -13.5 20.0 18.8 20.0 20.0 -20.0 -19.0 11.4 -6.5 COFFEE 12.3 -17.8 -9.8 2.5 -3.0 -1.2 -1.1 -3.3 2.6 0.9 -4.9 8.1 -9.2 -12.3 -16.2 0.8 3.5 2.4 3.3 -13.2 -13.2 2.2 -10.9 -4.0 -20.0 -2.4 -0.9 -2.0 1.9 -1.6 0.3 -6.9 15.4 -4.0 -20.0 1.3 -20.0 -20.0 -9.8 -14.8 COPPER 5.4 6.4 -7.5 1.0 -5.0 2.0 -4.6 1.9 -1.5 -10.5 -3.0 -2.0 -2.7 2.9 -0.0 -3.4 -1.6 -2.8 -2.2 1.1 -1.2 -1.5 -1.9 2.1 -3.6 1.4 -3.1 -0.5 -0.1 -1.2 2.1 2.9 14.9 10.7 6.7 -10.3 2.0 -20.0 7.0 -17.1 CORN 3.1 -6.6 2.6 0.9 -1.0 -0.4 -0.4 -1.1 0.9 -5.8 -3.6 -3.8 -4.5 -4.5 -3.8 -5.4 7.0 -2.8 1.9 -2.8 -2.8 -6.8 -2.3 -4.4 -6.6 0.0 -1.9 -0.7 -1.9 -1.3 -0.8 -4.5 -10.3 -2.9 -2.6 -0.1 -2.5 10.8 1.0 19.3 COTTON2 10.3 7.8 11.5 1.5 -2.4 -0.7 -0.6 -1.9 1.8 -9.6 4.5 1.8 -8.3 5.8 6.8 8.4 6.9 7.6 5.7 6.0 2.5 1.1 -2.1 5.6 -19.4 2.9 -1.2 1.5 0.7 0.5 2.7 -2.8 7.1 6.2 -6.1 10.1 -20.0 -16.3 8.9 8.3 CRUDE_W 20.0 20.0 3.4 5.9 3.7 2.0 7.0 0.5 8.2 19.1 8.3 20.0 -9.8 20.0 15.8 8.0 8.2 6.8 6.9 20.0 10.1 20.0 2.7 20.0 -6.8 7.3 4.9 4.0 7.5 2.4 8.9 -10.0 -8.0 -14.5 -1.9 5.8 14.0 11.8 14.0 5.0 DAX 3.3 -9.7 -5.3 4.0 -6.3 5.0 -3.9 4.4 1.1 -12.5 14.6 -2.9 16.3 3.9 6.4 -8.3 -6.6 -8.3 -7.8 3.3 9.2 -10.4 13.7 -1.4 16.1 1.1 -9.3 4.3 -6.3 6.4 -1.4 -3.5 2.2 -1.7 -10.9 -5.0 20.0 -0.5 20.0 4.7 DOW 15.5 14.9 9.7 4.3 -6.8 5.5 -4.2 4.8 1.2 -1.0 14.8 12.7 12.4 15.7 18.2 -11.6 -7.1 -10.4 -9.1 20.0 15.7 7.3 9.3 18.6 -10.4 6.6 0.2 5.3 1.7 3.5 5.2 -4.9 14.8 20.0 20.0 10.7 -5.5 -4.0 -20.0 -2.9 EUR -6.6 5.5 -0.0 2.9 -2.6 3.3 -2.9 1.8 0.2 -3.0 7.5 -8.9 8.1 0.1 3.3 -6.2 -6.8 -6.5 -6.5 3.8 5.8 -5.8 3.7 -1.6 12.0 2.1 -0.4 2.9 -2.4 1.7 -0.4 -7.3 2.4 -1.4 -2.4 -8.0 -3.6 -20.0 -0.1 4.4 EURIBOR-ICE 16.0 -0.3 1.0 -2.0 -1.5 -2.0 -1.8 -2.7 -1.8 2.1 -3.6 4.5 -6.5 2.3 -2.4 -8.9 -7.6 -9.7 -9.2 -1.6 -4.4 1.9 -8.7 1.5 16.8 -0.7 -0.0 -1.6 0.7 -3.4 0.5 -11.9 4.9 9.6 0.8 1.8 -20.0 -20.0 20.0 5.9 EUROSTX 0.1 -8.1 -8.0 3.7 -5.9 4.7 -3.7 4.1 1.0 -8.4 15.7 -2.6 16.7 4.3 8.0 -4.7 -0.2 -4.4 -2.6 4.1 9.3 -6.2 13.8 0.1 4.6 2.1 -5.8 5.4 -4.3 8.0 -0.4 6.8 8.3 -3.7 -5.4 -4.2 20.0 1.7 20.0 7.3 FEEDCOW -1.8 9.3 18.7 2.9 -3.5 -1.4 -1.3 -3.9 3.1 7.8 20.0 13.4 20.0 20.0 20.0 -14.1 -20.0 -20.0 -20.0 20.0 20.0 15.7 20.0 20.0 5.6 8.8 2.2 11.7 4.5 11.6 5.9 -20.0 20.0 4.6 10.6 20.0 2.2 -16.8 14.9 -9.5 GASOIL 20.0 20.0 7.3 5.1 3.3 1.8 6.2 0.4 7.2 13.7 1.2 18.2 -4.6 19.9 17.4 15.1 15.1 10.2 11.2 20.0 12.5 20.0 3.8 20.0 12.7 6.2 4.2 2.3 7.8 0.3 8.6 0.0 20.0 17.9 20.0 8.8 -8.9 3.0 -12.4 -4.4 GASOLINE 20.0 20.0 9.9 5.8 3.7 2.0 6.9 0.5 8.1 -0.6 17.0 16.0 -3.0 20.0 19.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 14.7 20.0 -20.0 7.6 0.9 5.5 4.2 4.5 7.4 20.0 -20.0 -7.2 12.0 20.0 12.2 13.5 14.5 0.4 GAS_US_mini 1.9 19.8 15.4 4.7 3.0 1.6 5.6 0.4 6.5 6.4 -17.0 0.3 -18.3 1.8 3.1 -14.7 -13.0 -12.9 -14.2 -2.5 -19.3 0.4 -20.0 -0.3 19.9 1.7 4.7 -1.2 0.3 -3.7 0.6 -20.0 -20.0 -20.0 -20.0 -3.1 4.9 11.9 -1.9 0.9 GBP -13.5 1.7 9.9 3.1 -2.8 3.5 -3.1 1.9 0.2 -7.1 11.9 -11.7 9.2 -1.3 5.7 0.2 -0.9 -0.0 -0.5 7.1 11.2 -7.3 7.6 -1.5 -0.7 3.4 -1.2 4.7 -2.9 2.2 -0.3 2.7 8.6 -5.6 -3.2 2.6 5.8 11.1 10.8 20.0 GOLD_micro 5.3 -8.2 -9.8 1.7 -8.4 3.4 -7.6 3.1 -2.5 -15.2 0.4 -12.9 7.6 -4.5 -13.2 -16.6 -12.2 -15.5 -14.1 -6.6 -1.1 -12.4 6.4 -7.5 -11.1 -0.5 -7.1 1.8 -6.7 4.4 -2.5 -16.4 -1.1 6.0 -5.1 -13.1 -20.0 -20.0 -8.5 -20.0 HEATOIL 20.0 20.0 7.9 6.3 4.0 2.2 7.5 0.5 8.8 17.3 0.3 20.0 -7.0 20.0 20.0 18.3 17.0 11.0 11.9 20.0 18.1 20.0 5.2 20.0 -20.0 7.8 4.4 3.8 8.9 2.1 10.1 2.1 20.0 20.0 20.0 20.0 0.4 1.3 -5.0 -0.2 JGB-SGX-mini -17.6 -20.0 3.3 -2.0 -1.6 -2.0 -1.8 -2.7 -1.8 -6.4 5.4 -6.8 5.4 -6.2 -2.4 7.5 20.0 10.3 14.5 -3.3 2.0 -11.4 3.5 -8.6 0.6 -1.3 -3.2 0.3 -3.9 0.5 -3.1 20.0 -19.5 -14.9 -1.0 7.9 -20.0 -7.2 3.9 7.2 JPY 3.5 3.3 -15.2 2.0 -1.7 2.2 -2.0 1.2 0.1 -5.0 -7.9 -6.3 -7.9 -3.7 -7.5 -15.4 -13.4 -15.8 -15.0 -7.5 -9.7 -5.8 -10.8 -5.4 20.0 -2.4 -1.3 -3.0 -2.1 -3.4 -1.9 -20.0 3.9 -2.9 -20.0 -20.0 -12.9 -20.0 -13.9 -20.0 LEANHOG 5.7 20.0 4.7 2.1 -2.6 -1.0 -1.0 -2.9 2.3 0.4 -4.8 4.0 -8.9 12.5 14.0 20.0 13.4 20.0 20.0 8.3 -5.1 3.1 -15.1 9.6 15.8 -0.3 -0.1 -7.6 0.9 -11.4 2.6 20.0 17.7 5.3 2.1 -11.6 -4.2 2.6 20.0 20.0 LIVECOW -9.4 10.5 18.9 3.0 -3.6 -1.4 -1.4 -4.0 3.2 5.7 20.0 2.6 20.0 14.6 20.0 -15.0 7.2 5.2 13.6 20.0 20.0 9.5 20.0 16.6 6.6 8.4 1.9 9.9 2.4 8.6 4.6 6.9 20.0 8.9 20.0 20.0 -20.0 -20.0 -17.6 -19.4 LUMBER-new -20.0 3.6 2.7 2.4 -2.9 -0.9 -1.1 -2.3 2.6 -15.8 -14.2 -19.3 -16.8 -15.4 -9.3 -11.8 -12.1 -11.3 -11.8 -9.5 -5.8 -20.0 -6.4 -20.0 NaN -3.0 -6.0 -1.3 -8.7 -1.1 -7.0 -20.0 -20.0 -20.0 -20.0 1.4 -20.0 -20.0 -20.0 -20.0 MILK 20.0 18.8 6.3 1.1 -1.3 -0.5 -0.5 -1.4 1.1 1.5 -6.3 3.6 -8.3 3.0 -3.7 -20.0 -20.0 -20.0 -20.0 -3.2 -8.9 4.5 -10.4 3.3 -3.2 -1.5 1.0 -3.2 1.2 -3.4 0.7 -20.0 2.7 15.6 -18.2 -20.0 -20.0 -20.0 -14.5 -20.0 MXP -17.0 -11.8 -0.5 3.5 -3.1 3.9 -3.5 2.2 0.2 -3.2 18.4 -1.8 19.1 5.6 15.4 17.2 17.9 18.2 17.9 15.2 20.0 -6.3 20.0 3.8 -20.0 5.8 -3.3 8.4 -2.7 9.2 1.4 20.0 4.1 1.2 0.6 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -16.6 2.0 20.0 3.0 -4.7 3.8 -2.9 3.3 0.8 -9.4 13.8 -3.3 8.7 5.6 12.1 -10.8 -7.7 -10.5 -9.4 19.4 20.0 -6.1 19.2 5.8 -20.0 4.7 -2.4 6.5 -1.5 5.4 1.3 -5.6 5.7 -0.0 15.6 20.0 -7.1 -10.6 -16.5 -13.1 NIKKEI -13.3 -11.8 19.5 3.9 -6.2 4.9 -3.8 4.3 1.0 -9.4 15.7 -6.5 15.6 -2.9 12.8 15.8 12.1 14.4 13.1 13.3 20.0 -8.9 20.0 -0.0 -5.5 4.7 -3.8 8.1 -2.6 7.1 0.2 20.0 7.4 -16.7 0.8 20.0 3.3 2.8 -2.0 8.6 NZD -9.8 2.6 0.0 2.1 -1.8 2.3 -2.1 1.3 0.1 -6.6 -3.0 -9.2 0.5 -5.5 -2.3 0.5 0.5 0.5 0.5 -1.7 -1.0 -8.1 -1.9 -4.9 0.3 -0.6 -3.4 -0.1 -4.5 -0.7 -2.6 5.0 0.2 -8.1 -10.2 -9.8 0.7 -12.5 6.7 7.3 OAT 1.1 -1.8 2.7 -2.5 -1.9 -2.4 -2.2 -3.3 -2.2 -8.2 -4.3 -2.7 -7.5 -2.7 -3.0 5.7 9.1 6.8 8.0 -3.1 -3.8 -5.7 -8.4 -4.0 7.9 -1.7 -3.9 -1.3 -3.6 -3.4 -2.5 17.8 -4.6 0.6 2.5 4.6 -20.0 -20.0 -2.6 2.3 OATIES -4.0 20.0 20.0 1.5 -1.8 -0.7 -0.7 -2.0 1.6 -10.8 8.6 -1.9 -6.3 6.6 9.8 -16.4 -1.2 -13.0 -8.5 16.3 13.5 -4.6 5.1 7.9 -20.0 3.4 -3.4 2.8 -1.2 0.9 1.4 -20.0 -15.3 -5.3 20.0 20.0 2.6 20.0 14.2 20.0 OJ 20.0 20.0 12.0 2.8 -3.3 -1.3 -1.3 -3.7 2.9 -9.6 20.0 13.1 20.0 18.0 20.0 20.0 19.8 20.0 20.0 20.0 20.0 17.3 20.0 20.0 -20.0 7.5 -1.3 8.5 2.4 10.4 6.4 20.0 20.0 20.0 20.0 20.0 19.1 5.5 20.0 16.5 PALLAD 9.5 -11.5 -15.9 1.0 -4.7 1.9 -4.3 1.8 -1.4 -7.3 -11.7 -8.0 -12.0 -8.7 -10.7 -3.4 -2.6 -3.3 -3.1 -12.4 -18.4 -4.3 -20.0 -6.9 -4.2 -3.7 -1.7 -4.3 -1.8 -4.6 -2.5 1.2 3.1 0.0 -15.2 -11.7 -16.1 -0.6 3.6 2.0 PLAT 5.6 -12.1 -14.0 1.0 -5.1 2.1 -4.6 1.9 -1.5 -9.1 -7.6 -8.2 -0.3 -5.7 -9.0 -3.4 -2.0 -2.9 -2.5 -8.5 -6.9 -9.5 -2.5 -7.7 12.6 -2.3 -3.6 -1.5 -4.1 -0.4 -2.7 2.3 -5.6 1.6 -14.4 -6.9 2.1 -15.6 11.1 -11.4 REDWHEAT -1.7 4.2 6.0 1.1 -1.3 -0.5 -0.5 -1.5 1.2 -7.0 0.7 -7.1 -6.8 -3.8 0.9 -3.7 3.0 -0.3 2.2 -0.6 -0.3 -11.9 -1.3 -5.0 -8.9 -0.0 -4.7 0.0 -4.1 -0.1 -1.6 -7.9 -20.0 -6.2 -6.6 1.5 -20.0 -17.5 -6.3 -6.5 RICE 19.1 12.1 4.7 2.0 -2.5 -1.0 -0.9 -2.7 2.2 5.4 -0.2 11.9 -1.2 11.7 11.9 -5.6 20.0 20.0 20.0 10.4 3.4 10.8 0.0 13.7 -20.0 4.0 1.2 1.6 3.9 0.0 4.9 20.0 7.8 20.0 -3.6 19.2 -8.0 -20.0 2.9 -16.2 ROBUSTA 1.6 -20.0 4.0 1.7 -2.0 -0.8 -0.8 -2.2 1.8 8.9 10.7 9.8 10.5 0.5 6.6 20.0 16.4 20.0 20.0 7.8 14.1 7.2 15.6 5.6 -10.4 3.5 3.4 6.5 2.8 7.1 2.2 19.4 16.9 3.5 -11.0 20.0 -6.4 -19.2 7.4 -11.2 RUSSELL 8.4 18.4 17.3 3.7 -5.9 4.7 -3.7 4.1 1.0 -15.1 6.1 4.1 -1.1 12.0 14.5 -7.4 -5.1 -6.8 -6.1 18.3 12.7 0.5 2.4 12.9 -1.8 5.5 -2.3 4.3 0.0 2.1 3.6 -0.7 11.7 12.1 19.4 10.5 -4.1 -7.3 -20.0 -10.4 SHATZ 18.1 -5.5 -18.0 -2.1 -1.6 -2.1 -1.9 -2.8 -1.8 6.6 -5.5 7.3 -7.0 -0.2 -4.8 -20.0 -2.4 -12.3 -7.6 -4.4 -8.6 4.7 -12.9 1.3 11.2 -1.2 2.0 -2.5 1.9 -4.0 0.7 -5.2 10.3 8.7 -0.7 -1.9 -20.0 -20.0 -20.0 -20.0 SILVER-mini 3.1 -0.0 -8.3 1.1 -5.5 2.2 -5.0 2.0 -1.6 -12.1 3.4 -6.9 4.6 1.6 -1.8 -6.5 -5.4 -6.5 -6.2 0.6 2.1 -12.3 2.9 -3.2 6.1 1.4 -8.1 1.9 -5.3 1.4 -0.9 -3.9 -8.1 7.0 2.7 -2.4 -14.0 -20.0 -1.2 -20.0 SMI 7.2 -11.4 -2.1 3.6 -5.6 4.5 -3.5 3.9 1.0 -11.6 6.3 -1.3 4.1 -1.1 -1.9 -3.2 1.7 -2.7 -0.9 -2.2 1.2 -6.0 3.4 -2.6 3.4 -0.2 -0.5 -0.1 1.4 -0.7 1.4 9.9 19.7 3.8 -14.2 -6.9 -7.4 -10.3 -15.5 -15.5 SOFR 0.8 -10.9 -6.1 -2.1 -1.6 -2.1 -1.9 -2.9 -1.9 1.9 -2.0 -1.9 -1.8 -1.8 -4.0 -2.5 -0.7 -1.9 -1.3 -4.4 -3.1 -2.4 -2.7 -3.9 -1.4 -2.0 0.5 -1.4 -0.9 -1.0 -1.6 1.1 2.9 3.2 -0.9 -1.1 -20.0 -20.0 -4.3 -1.7 SOYBEAN -3.2 19.9 9.8 1.0 -1.2 -0.5 -0.5 -1.4 1.1 -7.1 3.2 -6.3 -1.4 2.6 5.0 20.0 20.0 17.6 19.3 3.9 2.4 -8.2 -0.0 -0.9 -17.3 1.4 -2.5 0.8 -2.0 0.0 -0.0 20.0 -15.0 -7.0 14.2 6.4 -9.1 14.3 -5.6 20.0 SOYMEAL 4.1 5.9 -18.7 1.1 -1.3 -0.5 -0.5 -1.5 1.2 -6.9 -1.9 -4.1 2.1 -0.5 -0.0 10.0 20.0 18.9 20.0 0.6 -0.1 -5.0 1.6 -0.8 -19.5 1.5 -2.0 1.3 -1.6 1.7 0.3 20.0 -4.7 -2.8 9.6 2.6 -10.0 -17.9 -6.2 -16.1 SOYOIL 0.3 20.0 19.9 1.0 -1.2 -0.5 -0.5 -1.4 1.1 -6.4 3.2 -3.2 -2.1 4.7 6.4 11.8 10.1 10.1 8.8 9.0 5.2 -1.9 0.6 4.9 -20.0 2.1 -1.1 1.3 -0.5 0.1 1.0 2.8 -7.1 -2.4 14.3 13.4 1.3 6.5 13.7 20.0 SP400 4.5 20.0 14.9 3.9 -6.1 4.9 -3.8 4.3 1.0 -7.4 8.8 2.8 6.7 13.6 15.8 -5.8 -4.6 -5.5 -5.2 20.0 16.5 -0.8 7.9 12.8 -12.1 5.4 -1.2 4.3 -0.5 2.5 3.1 0.7 8.4 6.7 20.0 9.9 -0.5 -8.6 -11.9 -12.0 SP500_micro -6.4 12.2 20.0 4.5 -7.1 5.7 -4.4 5.0 1.2 -11.8 20.0 0.5 10.9 12.1 19.1 -13.8 -8.6 -12.5 -10.7 20.0 20.0 -8.2 20.0 12.2 -20.0 7.0 -4.2 7.6 -2.2 5.4 2.8 -7.3 -2.4 7.6 20.0 20.0 -4.3 -9.5 -13.1 -13.7 SUGAR11 2.7 -18.7 1.1 2.3 -2.7 -1.1 -1.0 -3.0 2.4 -15.7 11.5 -7.9 13.8 -0.6 1.0 -1.7 13.9 1.5 7.7 1.5 14.5 -9.2 20.0 -3.8 -20.0 1.0 -6.4 8.0 -4.3 13.7 -2.0 7.1 -15.6 -3.7 -20.0 20.0 -16.5 -17.8 11.2 -5.8 US10 0.1 -9.6 -10.3 -2.1 -1.6 -2.1 -1.9 -2.8 -1.8 -0.5 -4.9 -3.8 -6.3 -4.6 -6.1 -8.5 -6.6 -8.9 -8.5 -6.8 -6.3 -4.5 -6.8 -5.8 0.7 -2.4 -0.4 -2.1 -1.6 -1.9 -2.0 -10.4 -1.4 -0.7 -2.6 -4.7 -20.0 -20.0 15.1 2.3 US10U -2.5 -8.3 -7.4 -2.8 -2.1 -2.8 -2.5 -3.7 -2.5 -3.9 -6.3 -6.5 -8.0 -6.8 -8.2 -4.1 -1.0 -2.5 -2.1 -8.7 -7.4 -9.6 -8.4 -9.4 -3.7 -3.3 -2.5 -2.6 -3.8 -2.2 -3.5 0.1 -9.1 -5.1 -3.0 -5.7 -20.0 -20.0 20.0 19.6 US2 1.5 -18.1 -20.0 -2.0 -1.6 -2.0 -1.8 -2.7 -1.8 6.0 -6.8 -3.7 -7.0 -5.8 -7.4 -20.0 -19.9 -20.0 -20.0 -11.8 -13.3 -0.1 -13.8 -5.9 7.4 -2.5 1.4 -2.7 0.1 -2.9 -1.2 -20.0 8.0 1.0 -7.1 -11.0 -20.0 -20.0 -20.0 -16.7 US20 -5.7 -7.9 -6.7 -2.2 -1.7 -2.2 -2.0 -3.0 -1.9 -4.9 -4.7 -6.2 -5.0 -5.9 -6.7 -1.9 -1.4 -1.7 -1.8 -7.2 -5.6 -11.5 -6.3 -9.4 -3.7 -2.6 -3.6 -1.8 -4.3 -1.6 -3.3 -0.1 -15.0 -8.4 -2.8 -4.1 -20.0 -20.0 20.0 20.0 US30 -7.2 -6.1 -4.2 -2.6 -2.0 -2.6 -2.4 -3.5 -2.3 -7.0 -7.1 -8.3 -6.9 -7.8 -8.6 -9.1 -2.4 -5.7 -3.8 -8.4 -6.7 -15.0 -8.6 -11.6 -3.4 -3.1 -5.4 -2.1 -5.7 -1.9 -4.3 -2.3 -20.0 -13.1 -3.1 -3.9 -20.0 -20.0 20.0 20.0 US5 2.2 -10.0 -14.0 -2.0 -1.6 -2.0 -1.8 -2.7 -1.8 3.4 -5.1 -2.9 -6.3 -3.6 -6.0 -13.1 -8.8 -12.9 -11.6 -6.8 -7.0 -1.6 -7.7 -4.3 3.0 -2.3 0.9 -2.2 -0.4 -2.2 -1.4 -14.7 4.3 2.3 -2.4 -5.0 -20.0 -20.0 6.5 -15.5 VIX 17.4 -5.9 -20.0 -6.8 3.1 -8.9 1.9 -8.7 -2.3 12.2 -20.0 7.1 -20.0 -14.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 6.4 -20.0 -10.4 NaN -7.9 3.6 -10.6 2.3 -10.7 -2.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 4.9 12.6 16.3 0.9 -1.0 -0.4 -0.4 -1.2 0.9 -4.5 -2.7 -4.4 -6.4 -2.8 -0.5 -9.1 -8.9 -9.8 -9.8 -0.1 -1.5 -5.2 -3.4 -1.9 -3.4 0.4 -1.1 -0.4 -1.3 -1.1 -0.2 -20.0 -8.6 0.2 -0.8 0.6 -18.4 -16.1 -11.1 -8.1 End of report for caleb_strategy_v3