******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230809_204330 produced at 2023-08-09 21:38:22.339142 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.48 -0.49 0.0 0.96 -0.96 -0.48 -0.38 -5.10 10.0 -5 -4 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.39 0.0 0.00 0.00 0.00 0.00 -4.45 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -5.18 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.07 -0.20 0.0 0.39 -0.39 -0.07 -0.15 -28.19 56.0 -10 -21 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.18 0.0 0.11 -0.11 -0.11 -0.11 -28.39 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.22 -0.15 0.0 0.53 -0.53 -0.22 -0.25 -4.66 17.0 -7 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.63 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.13 0.0 0.67 -0.67 -0.21 -0.21 -2.50 13.0 -4 -4 caleb_strategy_v3 US5 False False 0.04 -0.19 -0.10 0.0 0.96 -0.96 -0.19 -0.23 -2.61 25.0 -5 -6 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.08 0.0 0.87 -0.87 -0.23 -0.23 -1.76 19.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.08 0.0 0.07 -0.07 -0.07 -0.07 -29.08 26.0 -25 -25 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.08 0.0 0.78 -0.78 -0.03 -0.03 -3.05 29.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.68 -0.68 0.00 0.00 -1.31 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -0.96 8.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.04 0.0 0.69 -0.69 -0.05 -0.05 -0.87 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 -1.88 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 COPPER False False 0.03 0.00 -0.03 0.0 0.20 -0.20 0.00 -0.03 -0.79 6.0 0 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.08 -0.03 0.0 0.39 -0.39 -0.08 -0.13 -3.55 48.0 -10 -16 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.07 -0.07 0.00 0.00 -2.34 5.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.03 0.0 0.00 -0.00 0.00 0.00 -1.42 0.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.94 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.25 -0.25 -0.01 -0.01 -2.09 23.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 -0.21 -0.02 0.0 0.54 -0.54 -0.21 -0.17 -0.57 13.0 -5 -4 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -0.38 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 PLAT False False 0.02 -0.08 -0.02 0.0 0.16 -0.16 -0.08 -0.08 -1.34 10.0 -5 -5 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.02 0.0 0.01 -0.01 0.00 0.00 -4.47 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 -0.77 9.0 -1 -1 caleb_strategy_v3 BITCOIN False False 0.00 -0.00 -0.01 0.0 0.06 -0.06 -0.00 -0.00 -10.08 59.0 -3 -3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.41 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.81 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 -0.50 8.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.02 -0.01 0.0 0.46 -0.46 0.02 0.00 -0.45 21.0 1 0 caleb_strategy_v3 DAX False False 0.01 -0.11 -0.01 0.0 0.37 -0.37 -0.11 -0.11 -2.07 58.0 -17 -17 caleb_strategy_v3 BUXL False False 0.05 -0.11 -0.00 0.0 0.21 -0.21 -0.11 -0.11 -0.04 4.0 -2 -2 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 COCOA False False 0.01 0.00 -0.00 0.0 0.31 -0.31 0.00 -0.01 -0.24 26.0 0 -1 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.02 0.20 11.0 0 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 1.04 68.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.00 0.58 9.0 1 0 caleb_strategy_v3 SP400 False False 0.10 0.19 0.01 0.0 0.19 -0.19 0.19 0.19 0.07 2.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.46 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 1.30 66.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.05 0.54 7.0 2 2 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.52 -0.52 0.05 0.05 0.42 10.0 1 1 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.02 0.0 0.21 -0.21 0.00 0.00 4.86 51.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.21 -0.21 0.02 0.01 2.26 23.0 2 1 caleb_strategy_v3 EUROSTX False False 0.02 0.02 0.02 0.0 0.34 -0.34 0.02 0.02 1.27 20.0 1 1 caleb_strategy_v3 SMI False False 0.05 0.37 0.02 0.0 0.41 -0.41 0.37 0.37 0.34 9.0 8 8 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.63 -0.63 0.06 0.06 1.01 22.0 2 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.02 12.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.85 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.06 0.0 0.05 -0.05 0.00 0.00 4.77 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.32 0.07 0.0 0.46 -0.46 0.32 0.32 1.58 10.0 7 7 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.50 -0.50 0.00 0.00 1.65 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.13 0.08 0.0 0.13 -0.13 0.13 0.13 2.56 4.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.09 0.0 0.15 -0.15 0.06 0.06 3.20 5.0 2 2 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.10 0.0 0.44 -0.44 0.10 0.10 3.87 17.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.10 0.0 0.15 -0.15 0.09 0.09 8.91 13.0 8 8 caleb_strategy_v3 GASOLINE False False 0.04 0.16 0.11 0.0 0.16 -0.16 0.16 0.16 2.84 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.12 0.0 0.14 -0.14 0.00 0.00 2.52 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.38 0.0 0.29 -0.29 0.29 0.29 46.77 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.63 0.65 0.0 0.63 -0.63 0.63 0.63 62.36 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.59 0.95 0.0 0.59 -0.59 0.59 0.59 25.85 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.5 Shocked risk 60.4 Sum abs risk 60.0 Leverage 5.57 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 0.0049 0.6548 0.7503 12.0043 BITCOIN 698.9870 29640.0000 2.3583 37.7321 BOBL 0.2771 115.9600 0.2390 3.8240 BTP 0.6587 115.5800 0.5699 9.1186 BUND 0.5927 132.7900 0.4463 7.1412 BUXL 1.4014 133.6400 1.0486 16.7783 CAC 64.0992 7367.0000 0.8701 13.9214 CAD 0.0031 0.7458 0.4149 6.6385 CANOLA 9.7230 779.7000 1.2470 19.9524 CHF 0.0055 1.1447 0.4811 7.6972 COCOA 43.4580 3356.0000 1.2949 20.7189 COFFEE 2.7855 159.7500 1.7436 27.8982 COPPER 0.0486 3.7910 1.2820 20.5115 CORN 10.6366 496.0000 2.1445 34.3116 COTTON2 1.3235 85.4300 1.5492 24.7873 CRUDE_W 1.0413 82.3900 1.2639 20.2225 DAX 129.5614 15978.0000 0.8109 12.9740 DOW 197.9653 35369.0000 0.5597 8.9554 EUR 0.0053 1.0998 0.4850 7.7605 EURIBOR-ICE 0.0572 97.1050 0.0589 0.9420 EUROSTX 43.5955 4350.0000 1.0022 16.0351 FEEDCOW 1.5495 252.6250 0.6134 9.8139 GASOIL 14.8315 919.2500 1.6134 25.8149 GASOLINE 0.0385 2.5683 1.4983 23.9735 GAS_US_mini 0.0931 3.0600 3.0419 48.6705 GBP 0.0070 1.2728 0.5520 8.8323 GOLD_micro 11.7882 1929.9000 0.6108 9.7731 HEATOIL 0.0366 3.1050 1.1802 18.8837 JGB-SGX-mini 0.2925 147.0200 0.1989 3.1829 JPY 0.0000 0.0070 0.6701 10.7209 LEANHOG 1.3233 81.8000 1.6177 25.8832 LIVECOW 1.1107 181.7000 0.6113 9.7803 LUMBER-new 9.7310 504.0000 1.9308 30.8921 MILK 0.3101 18.1400 1.7096 27.3537 MXP 0.0005 0.0582 0.7782 12.4519 NASDAQ_micro 127.7297 15243.2500 0.8379 13.4071 NIKKEI 301.6822 32195.0000 0.9370 14.9928 NZD 0.0045 0.6061 0.7454 11.9269 OAT 0.6032 127.3600 0.4736 7.5780 OATIES 7.2581 440.0000 1.6496 26.3932 OJ 4.0449 289.0500 1.3994 22.3899 PALLAD 21.4115 1235.5000 1.7330 27.7283 PLAT 13.8105 893.5000 1.5457 24.7306 REDWHEAT 16.7873 776.2500 2.1626 34.6019 RICE 0.1613 16.2500 0.9924 15.8785 ROBUSTA 37.6735 2542.0000 1.4820 23.7126 RUSSELL 17.2507 1941.1000 0.8887 14.2193 SHATZ 0.0887 105.1500 0.0843 1.3492 SILVER-mini 0.3658 23.1000 1.5837 25.3390 SMI 78.0800 11119.0000 0.7022 11.2355 SOFR 0.0791 96.5950 0.0819 1.3109 SOYBEAN 18.3849 1309.7500 1.4037 22.4591 SOYMEAL 5.8518 391.4000 1.4951 23.9215 SOYOIL 1.0002 60.4700 1.6541 26.4653 SP400 19.5037 2683.5000 0.7268 11.6288 SP500_micro 26.3221 4505.5000 0.5842 9.3475 SUGAR11 0.3116 23.9700 1.3001 20.8018 US10 0.4615 111.3906 0.4143 6.6287 US10U 0.6336 116.4844 0.5440 8.7035 US2 0.1095 101.6484 0.1078 1.7241 US20 0.9026 122.8125 0.7350 11.7596 US30 1.3418 128.9688 1.0404 16.6460 US5 0.2956 107.0078 0.2763 4.4202 VIX 0.4893 18.1000 2.7034 43.2543 WHEAT 17.2601 662.5000 2.6053 41.6848 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.85 0.75 491.32 1.00 491.32 46875.0 95.41 -6.07 -57.92 BITCOIN 29.64 2.36 69.90 1.00 69.90 46875.0 670.61 -1.25 -83.84 BOBL 1159.60 0.24 277.14 1.10 304.80 46875.0 153.79 -12.34 -189.74 BTP 1155.80 0.57 658.71 1.10 724.45 46875.0 64.70 7.84 50.72 BUND 1327.90 0.45 592.68 1.10 651.83 46875.0 71.91 6.34 45.56 BUXL 1336.40 1.05 1401.41 1.10 1541.27 46875.0 30.41 -1.26 -3.85 CAC 736.70 0.87 640.99 1.10 704.96 46875.0 66.49 4.68 31.12 CAD 745.80 0.41 309.44 1.00 309.44 46875.0 151.49 -6.19 -93.70 CANOLA 155.94 1.25 194.46 0.75 145.07 46875.0 323.12 7.19 232.18 CHF 1430.88 0.48 688.36 1.00 688.36 46875.0 68.10 -11.32 -77.05 COCOA 335.60 1.29 434.58 1.00 434.58 46875.0 107.86 -1.18 -12.76 COFFEE 599.06 1.74 1044.55 1.00 1044.55 46875.0 44.88 -8.97 -40.26 COPPER 947.75 1.28 1214.98 1.00 1214.98 46875.0 38.58 -1.70 -6.54 CORN 248.00 2.14 531.83 1.00 531.83 46875.0 88.14 -4.39 -38.66 COTTON2 427.15 1.55 661.74 1.00 661.74 46875.0 70.84 1.52 10.78 CRUDE_W 823.90 1.26 1041.33 1.00 1041.33 46875.0 45.01 5.80 26.10 DAX 159.78 0.81 129.56 1.10 142.49 46875.0 328.97 -1.92 -63.30 DOW 176.84 0.56 98.98 1.00 98.98 46875.0 473.57 1.23 58.02 EUR 1374.81 0.49 666.83 1.00 666.83 46875.0 70.30 -3.81 -26.79 EURIBOR-ICE 2427.62 0.06 142.92 1.10 157.19 46875.0 298.22 -5.49 -163.65 EUROSTX 435.00 1.00 435.95 1.10 479.46 46875.0 97.77 3.98 38.87 FEEDCOW 1263.12 0.61 774.76 1.00 774.76 46875.0 60.50 -4.64 -28.09 GASOIL 919.25 1.61 1483.15 1.00 1483.15 46875.0 31.61 16.51 52.18 GASOLINE 1078.69 1.50 1616.25 1.00 1616.25 46875.0 29.00 20.00 58.00 GAS_US_mini 76.50 3.04 232.71 1.00 232.71 46875.0 201.43 -11.79 -237.48 GBP 795.50 0.55 439.13 1.00 439.13 46875.0 106.75 2.92 31.20 GOLD_micro 192.99 0.61 117.88 1.00 117.88 46875.0 397.64 -18.72 -744.26 HEATOIL 1304.10 1.18 1539.14 1.00 1539.14 46875.0 30.46 16.85 51.31 JGB-SGX-mini 147020.00 0.20 29246.91 0.01 204.02 46875.0 229.75 8.61 197.79 JPY 875.19 0.67 586.43 1.00 586.43 46875.0 79.93 -17.94 -143.39 LEANHOG 327.20 1.62 529.31 1.00 529.31 46875.0 88.56 16.10 142.57 LIVECOW 726.80 0.61 444.27 1.00 444.27 46875.0 105.51 10.76 113.49 LUMBER-new 138.60 1.93 267.60 1.00 267.60 46875.0 175.17 -14.04 -245.90 MILK 362.80 1.71 620.24 1.00 620.24 46875.0 75.58 -16.81 -127.05 MXP 290.95 0.78 226.43 1.00 226.43 46875.0 207.02 18.31 379.08 NASDAQ_micro 304.86 0.84 255.46 1.00 255.46 46875.0 183.49 -5.11 -93.81 NIKKEI 32195.00 0.94 30168.22 0.01 210.45 46875.0 222.74 16.07 357.95 NZD 606.10 0.75 451.81 1.00 451.81 46875.0 103.75 -1.33 -13.83 OAT 1273.60 0.47 603.21 1.10 663.41 46875.0 70.66 7.49 52.89 OATIES 220.00 1.65 362.91 1.00 362.91 46875.0 129.17 -7.18 -92.68 OJ 433.58 1.40 606.73 1.00 606.73 46875.0 77.26 20.00 154.52 PALLAD 1235.50 1.73 2141.15 1.00 2141.15 46875.0 21.89 -7.27 -15.91 PLAT 446.75 1.55 690.52 1.00 690.52 46875.0 67.88 -5.22 -35.44 REDWHEAT 388.12 2.16 839.37 1.00 839.37 46875.0 55.85 -7.76 -43.36 RICE 325.00 0.99 322.53 1.00 322.53 46875.0 145.33 15.68 227.87 ROBUSTA 254.20 1.48 376.73 1.00 376.73 46875.0 124.42 18.08 224.92 RUSSELL 97.06 0.89 86.25 1.00 86.25 46875.0 543.46 0.60 32.74 SHATZ 1051.50 0.08 88.67 1.10 97.52 46875.0 480.69 -8.15 -391.78 SILVER-mini 577.50 1.58 914.58 1.00 914.58 46875.0 51.25 -7.30 -37.43 SMI 1111.90 0.70 780.80 1.15 894.56 46875.0 52.40 1.99 10.43 SOFR 2414.88 0.08 197.86 1.00 197.86 46875.0 236.91 -3.24 -76.65 SOYBEAN 654.88 1.40 919.25 1.00 919.25 46875.0 50.99 13.27 67.67 SOYMEAL 391.40 1.50 585.18 1.00 585.18 46875.0 80.10 9.12 73.04 SOYOIL 362.82 1.65 600.13 1.00 600.13 46875.0 78.11 7.32 57.21 SP400 2683.50 0.73 1950.37 1.00 1950.37 46875.0 24.03 0.90 2.17 SP500_micro 225.28 0.58 131.61 1.00 131.61 46875.0 356.16 -4.46 -158.94 SUGAR11 268.46 1.30 349.03 1.00 349.03 46875.0 134.30 2.01 26.95 US10 1113.91 0.41 461.49 1.00 461.49 46875.0 101.57 -10.65 -108.22 US10U 1164.84 0.54 633.64 1.00 633.64 46875.0 73.98 -6.40 -47.33 US2 2032.97 0.11 219.07 1.00 219.07 46875.0 213.98 -20.00 -427.95 US20 1228.12 0.73 902.64 1.00 902.64 46875.0 51.93 -5.98 -31.08 US30 1289.69 1.04 1341.76 1.00 1341.76 46875.0 34.94 -9.58 -33.46 US5 1070.08 0.28 295.62 1.00 295.62 46875.0 158.56 -13.58 -215.32 VIX 181.00 2.70 489.31 1.00 489.31 46875.0 95.80 -20.00 -191.59 WHEAT 331.25 2.61 863.01 1.00 863.01 46875.0 54.32 -12.46 -67.68 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -57.916 0.013 2.5 -1.882 BITCOIN -83.842 0.048 2.5 -10.082 BOBL -189.737 0.004 2.5 -1.760 BTP 50.719 0.012 2.5 1.582 BUND 45.565 0.004 2.5 0.423 BUXL -3.846 0.004 2.5 -0.036 CAC 31.118 0.013 2.5 1.017 CAD -93.705 0.013 2.5 -3.046 CANOLA 232.182 0.008 2.5 4.864 CHF -77.052 0.013 2.5 -2.504 COCOA -12.757 0.007 2.5 -0.235 COFFEE -40.264 0.004 2.5 -0.405 COPPER -6.540 0.048 2.5 -0.786 CORN -38.655 0.008 2.5 -0.810 COTTON2 10.782 0.007 2.5 0.199 CRUDE_W 26.099 0.049 2.5 3.196 DAX -63.297 0.013 2.5 -2.068 DOW 58.021 0.009 2.5 1.296 EUR -26.785 0.013 2.5 -0.871 EURIBOR-ICE -163.653 0.012 2.5 -5.105 EUROSTX 38.866 0.013 2.5 1.270 FEEDCOW -28.094 0.014 2.5 -0.958 GASOIL 52.184 0.020 2.5 2.558 GASOLINE 58.005 0.020 2.5 2.844 GAS_US_mini -237.478 0.049 2.5 -29.084 GBP 31.201 0.013 2.5 1.014 GOLD_micro -744.260 0.015 2.5 -28.191 HEATOIL 51.312 0.020 2.5 2.516 JGB-SGX-mini 197.786 0.052 2.5 25.845 JPY -143.394 0.013 2.5 -4.661 LEANHOG 142.566 0.025 2.5 8.911 LIVECOW 113.487 0.014 2.5 3.868 LUMBER-new -245.900 0.007 2.5 -4.468 MILK -127.055 0.007 2.5 -2.344 MXP 379.080 0.066 2.5 62.359 NASDAQ_micro -93.812 0.009 2.5 -2.095 NIKKEI 357.948 0.052 2.5 46.774 NZD -13.832 0.013 2.5 -0.450 OAT 52.889 0.012 2.5 1.650 OATIES -92.683 0.008 2.5 -1.942 OJ 154.517 0.007 2.5 2.850 PALLAD -15.908 0.015 2.5 -0.603 PLAT -35.444 0.015 2.5 -1.343 REDWHEAT -43.358 0.005 2.5 -0.495 RICE 227.874 0.008 2.5 4.774 ROBUSTA 224.916 0.004 2.5 2.262 RUSSELL 32.742 0.013 2.5 1.043 SHATZ -391.778 0.004 2.5 -3.633 SILVER-mini -37.432 0.015 2.5 -1.418 SMI 10.434 0.013 2.5 0.341 SOFR -76.648 0.023 2.5 -4.449 SOYBEAN 67.674 0.003 2.5 0.542 SOYMEAL 73.037 0.003 2.5 0.585 SOYOIL 57.212 0.003 2.5 0.459 SP400 2.166 0.013 2.5 0.069 SP500_micro -158.941 0.009 2.5 -3.549 SUGAR11 26.949 0.007 2.5 0.494 US10 -108.220 0.005 2.5 -1.310 US10U -47.327 0.005 2.5 -0.573 US2 -427.951 0.005 2.5 -5.180 US20 -31.077 0.005 2.5 -0.376 US30 -33.458 0.005 2.5 -0.405 US5 -215.321 0.005 2.5 -2.606 VIX -191.595 0.059 2.5 -28.388 WHEAT -67.684 0.005 2.5 -0.773 ===================== Position diags ===================== AUD 3.10 BITCOIN 80.64 BOBL 1.43 BTP 2.02 BUND 0.67 BUXL 0.28 CAC 2.17 CAD 4.92 CANOLA 6.77 CHF 2.21 COCOA 1.99 COFFEE 0.45 COPPER 4.64 CORN 1.85 COTTON2 1.31 CRUDE_W 5.51 DAX 10.75 DOW 10.58 EUR 2.28 EURIBOR-ICE 9.30 EUROSTX 3.19 FEEDCOW 2.06 GASOIL 1.55 GASOLINE 1.42 GAS_US_mini 24.67 GBP 3.47 GOLD_micro 15.06 HEATOIL 1.49 JGB-SGX-mini 30.02 JPY 2.60 LEANHOG 5.54 LIVECOW 3.60 LUMBER-new 3.18 MILK 1.39 MXP 34.05 NASDAQ_micro 4.10 NIKKEI 29.11 NZD 3.37 OAT 2.20 OATIES 2.71 OJ 1.43 PALLAD 0.83 PLAT 2.57 REDWHEAT 0.64 RICE 3.04 ROBUSTA 1.25 RUSSELL 17.30 SHATZ 4.46 SILVER-mini 1.94 SMI 1.71 SOFR 13.75 SOYBEAN 0.41 SOYMEAL 0.64 SOYOIL 0.63 SP400 0.77 SP500_micro 7.95 SUGAR11 2.46 US10 1.23 US10U 0.90 US2 2.59 US20 0.63 US30 0.42 US5 1.92 VIX 14.19 WHEAT 0.62 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.2 -1.6 NaN 0 BITCOIN -10.1 -18.1 -2.0 -3.0 -3 BOBL -1.8 -1.9 -1.6 -5.0 -5 BTP 1.6 1.4 1.8 7.0 7 BUND 0.4 0.4 0.5 1.0 1 BUXL -0.0 -0.1 -0.0 -2.0 -2 CAC 1.0 0.8 1.2 NaN 0 CAD -3.0 -3.5 -2.6 -1.0 -1 CANOLA 4.9 4.2 5.5 NaN 0 CHF -2.5 -2.7 -2.3 -4.0 -4 COCOA -0.2 -0.4 -0.0 0.0 0 COFFEE -0.4 -0.5 -0.4 NaN 0 COPPER -0.8 -1.3 -0.3 0.0 0 CORN -0.8 -1.0 -0.6 0.0 0 COTTON2 0.2 0.1 0.3 0.0 0 CRUDE_W 3.2 2.6 3.7 2.0 2 DAX -2.1 -3.1 -1.0 -17.0 -17 DOW 1.3 0.2 2.4 NaN 0 EUR -0.9 -1.1 -0.6 -1.0 -1 EURIBOR-ICE -5.1 -6.0 -4.2 -5.0 -5 EUROSTX 1.3 1.0 1.6 1.0 1 FEEDCOW -1.0 -1.2 -0.8 0.0 0 GASOIL 2.6 2.4 2.7 4.0 4 GASOLINE 2.8 2.7 3.0 4.0 4 GAS_US_mini -29.1 -31.6 -26.6 -25.0 -25 GBP 1.0 0.7 1.4 2.0 2 GOLD_micro -28.2 -29.7 -26.7 -10.0 -10 HEATOIL 2.5 2.4 2.7 0.0 0 JGB-SGX-mini 25.8 22.8 28.8 16.0 16 JPY -4.7 -4.9 -4.4 -7.0 -7 LEANHOG 8.9 8.4 9.5 8.0 8 LIVECOW 3.9 3.5 4.2 4.0 4 LUMBER-new -4.5 -4.8 -4.1 NaN 0 MILK -2.3 -2.5 -2.2 NaN 0 MXP 62.4 59.0 65.8 60.0 60 NASDAQ_micro -2.1 -2.5 -1.7 -1.0 -1 NIKKEI 46.8 43.9 49.7 36.0 36 NZD -0.4 -0.8 -0.1 1.0 1 OAT 1.6 1.4 1.9 NaN 0 OATIES -1.9 -2.2 -1.7 NaN 0 OJ 2.9 2.7 3.0 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT -1.3 -1.6 -1.1 -5.0 -5 REDWHEAT -0.5 -0.6 -0.4 -1.0 -1 RICE 4.8 4.5 5.1 NaN 0 ROBUSTA 2.3 2.1 2.4 2.0 2 RUSSELL 1.0 -0.7 2.8 0.0 0 SHATZ -3.6 -4.1 -3.2 NaN 0 SILVER-mini -1.4 -1.6 -1.2 NaN 0 SMI 0.3 0.2 0.5 8.0 8 SOFR -4.4 -5.8 -3.1 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.5 0.6 1.0 1 SOYOIL 0.5 0.4 0.5 0.0 0 SP400 0.1 -0.0 0.1 2.0 2 SP500_micro -3.5 -4.3 -2.8 -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 -5.2 -5.4 -4.9 NaN 0 US20 -0.4 -0.4 -0.3 NaN 0 US30 -0.4 -0.4 -0.4 NaN 0 US5 -2.6 -2.8 -2.4 -5.0 -5 VIX -28.4 -29.8 -27.0 -17.0 -17 WHEAT -0.8 -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 16.9 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 -0.4 -0.1 0.0 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 -0.3 -0.0 -0.3 0.0 0.1 BITCOIN -0.3 0.1 0.1 -0.0 -0.2 0.1 -0.1 0.1 -0.1 0.1 0.4 -0.1 0.0 0.1 0.1 -0.5 -0.2 -0.4 -0.3 0.0 0.1 -0.0 0.2 -0.0 -1.1 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.7 -0.0 0.3 -0.1 -0.1 0.3 -0.1 0.3 BOBL 0.2 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -1.2 -0.4 -1.2 -0.9 -0.0 -0.0 0.0 -0.2 0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 -2.2 0.2 0.2 0.0 0.1 -0.3 -0.3 -0.3 -0.2 BTP -0.0 -0.1 0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 -0.0 -0.0 0.0 0.0 0.3 0.5 0.3 0.4 0.0 0.0 -0.0 -0.0 -0.0 -0.4 0.0 0.0 0.1 -0.0 0.0 -0.0 2.5 0.0 0.1 0.2 0.4 -0.3 -0.3 -0.1 0.1 BUND 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 0.5 0.4 0.4 -0.0 -0.0 -0.0 -0.2 -0.0 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.7 0.0 0.1 0.0 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.0 0.0 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.9 -0.2 -0.1 0.1 0.1 -0.3 -0.3 0.0 0.2 CAC 0.0 -0.1 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.0 0.5 0.0 0.1 -0.4 0.0 -0.3 -0.1 0.0 0.1 -0.1 0.3 -0.0 -0.2 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.2 0.6 0.0 0.1 -0.1 0.3 -0.0 0.3 0.0 CAD -0.3 -0.0 0.3 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.2 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 0.1 -0.1 -0.3 -0.5 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA -0.3 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.2 0.0 0.1 -0.0 0.9 0.5 0.8 0.1 0.0 -0.1 -0.0 0.0 -1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 1.7 -0.5 -0.0 0.5 0.3 -0.2 0.1 0.0 0.3 CHF -0.2 0.3 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.3 0.0 0.0 -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 -3.0 0.0 0.3 0.2 0.0 -0.2 -0.3 -0.2 -0.3 COCOA -0.1 -0.0 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.4 0.0 0.6 0.1 0.2 -0.1 -0.0 -0.0 -0.0 0.2 0.2 -0.1 0.4 0.1 -0.5 0.1 -0.1 0.2 -0.0 0.2 0.0 -2.2 -0.6 0.1 0.5 0.5 -0.2 -0.2 0.2 -0.1 COFFEE 0.3 -0.4 -0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -1.1 0.2 -0.1 -0.5 -0.0 -0.3 -0.3 -0.1 -0.2 COPPER 0.1 0.1 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.4 0.4 0.3 0.1 -0.2 0.0 -0.3 0.1 -0.2 CORN -0.0 -0.3 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 -0.4 0.4 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.8 -0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.0 0.2 COTTON2 0.2 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 0.1 0.0 0.0 -0.0 0.0 -1.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.5 -0.2 0.2 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.1 0.1 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 0.1 0.2 -0.4 0.1 0.1 0.1 0.1 0.1 0.1 -1.6 -0.3 -0.5 -0.1 0.1 0.2 0.2 0.2 0.1 DAX -0.0 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.4 -0.0 0.0 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.2 0.3 -0.0 0.8 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.5 0.1 -0.1 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.3 0.4 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.3 0.1 0.3 0.1 0.1 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.1 0.2 0.1 -0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.8 0.4 0.5 0.5 0.3 -0.1 -0.1 -0.3 -0.0 EUR -0.3 0.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -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 0.3 0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.1 EURIBOR-ICE 0.3 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 -1.8 0.2 0.2 0.0 0.1 -0.3 -0.3 0.3 0.1 EUROSTX -0.1 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.5 0.0 0.0 -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 0.5 -0.1 -0.1 -0.1 0.3 0.0 0.3 0.1 FEEDCOW -0.1 0.3 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.4 0.0 0.6 0.2 0.2 -0.8 -1.2 -1.2 -1.2 0.2 0.2 0.1 0.4 0.1 0.3 0.1 -0.0 0.3 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 0.1 0.0 0.1 0.0 0.1 0.2 0.1 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 0.1 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 0.3 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.4 0.2 -0.1 0.2 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.1 0.1 0.0 0.1 0.1 3.2 -0.7 -0.3 0.3 0.5 0.2 0.2 0.2 0.0 GAS_US_mini 0.2 0.5 0.5 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.4 0.1 -0.5 0.1 0.0 -0.9 -0.8 -0.8 -0.9 0.0 -0.1 0.2 -0.4 0.1 1.1 0.0 0.2 -0.0 0.1 -0.1 0.0 -3.2 -0.7 -0.5 -0.5 -0.1 0.1 0.2 -0.0 0.0 GBP -0.4 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 0.2 -0.1 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro -0.0 -0.2 -0.3 -0.0 -0.2 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.1 0.2 -0.1 -0.1 -1.0 -0.7 -0.9 -0.8 -0.1 -0.0 -0.2 0.1 -0.1 -0.6 -0.0 -0.2 0.0 -0.1 0.1 -0.0 -2.6 -0.2 0.0 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.2 -0.2 0.2 0.2 1.2 1.0 0.7 0.8 0.2 0.2 0.3 0.1 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.7 0.5 0.5 0.5 0.0 0.0 -0.1 -0.0 JGB-SGX-mini -0.4 -0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.5 1.2 0.6 0.9 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 3.2 -0.6 -0.3 -0.1 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 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 0.0 -0.2 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.1 0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.1 0.1 1.2 0.9 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 0.2 -0.0 -0.0 -0.2 -0.1 0.0 0.3 0.3 LIVECOW -0.3 0.3 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 0.4 0.0 0.6 0.1 0.2 -0.9 0.4 0.2 0.8 0.2 0.2 0.1 0.4 0.1 0.3 0.1 0.0 0.2 0.0 0.3 0.0 0.9 0.7 0.0 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.5 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 -0.2 -0.1 -0.8 -0.8 -0.8 -0.8 -0.1 -0.1 -0.3 -0.2 -0.2 NaN -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -3.4 -0.2 -0.5 -0.5 0.0 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.5 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -1.2 -1.2 -1.2 -1.2 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.3 0.4 -0.4 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.5 -0.3 0.0 0.0 -0.1 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 0.5 0.2 0.0 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.5 0.1 0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.3 -0.1 0.2 0.0 0.1 -0.6 -0.5 -0.6 -0.6 0.1 0.2 -0.1 0.4 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.9 -0.1 -0.0 0.3 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 -0.1 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 0.3 -0.1 -0.1 0.5 0.0 0.0 -0.0 0.1 NZD -0.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.8 0.1 -0.2 -0.3 -0.2 0.0 -0.2 0.1 0.1 OAT 0.0 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.3 0.5 0.4 0.5 -0.0 -0.0 -0.0 -0.2 -0.0 0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.8 0.0 0.1 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 -0.0 0.2 -0.0 -0.2 0.0 0.1 -1.0 -0.1 -0.8 -0.5 0.1 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 -0.1 0.4 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.4 0.1 0.6 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.1 0.4 0.2 -1.1 0.1 -0.0 0.2 0.0 0.3 0.0 3.2 -0.3 0.5 0.5 0.5 0.3 0.1 0.3 0.2 PALLAD 0.1 -0.3 -0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.3 -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 0.5 0.1 -0.4 -0.3 -0.2 -0.0 0.1 0.0 PLAT -0.1 -0.3 -0.4 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.4 -0.3 -0.0 -0.3 -0.2 0.0 -0.2 0.2 -0.2 REDWHEAT -0.1 0.0 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 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.3 -0.6 -0.1 -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 0.2 0.0 0.1 -0.0 0.1 0.1 -0.4 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 0.7 0.5 -0.0 0.5 -0.1 -0.3 0.0 -0.2 ROBUSTA 0.1 -0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.2 0.1 0.3 0.0 0.1 1.2 1.0 1.2 1.2 0.1 0.1 0.1 0.3 0.1 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 3.1 0.6 0.2 -0.3 0.5 -0.1 -0.2 0.1 -0.1 RUSSELL 0.0 0.5 0.5 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 0.1 0.1 -0.1 0.1 0.1 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.2 0.5 0.3 -0.1 -0.1 -0.3 -0.1 SHATZ 0.4 -0.1 -0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -1.2 -0.2 -0.8 -0.5 -0.0 -0.1 0.1 -0.3 0.0 0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.0 0.4 0.2 0.0 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.2 0.0 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 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 -0.1 0.3 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.6 -0.4 0.1 0.0 -0.1 -0.2 -0.3 -0.0 -0.3 SMI 0.1 -0.3 -0.1 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.1 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 0.3 -0.3 -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 0.1 -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 0.0 -0.0 -0.0 -0.3 -0.3 -0.1 -0.0 SOYBEAN -0.2 0.4 0.3 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 1.1 1.2 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 0.3 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL -0.0 0.1 -0.4 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.0 0.6 1.2 1.1 1.2 -0.0 -0.0 -0.1 0.0 -0.0 -1.1 0.0 -0.0 0.0 -0.0 0.1 -0.0 3.2 -0.3 -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 0.0 -1.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.5 -0.2 -0.1 0.3 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 -0.1 0.2 0.1 0.1 -0.4 -0.3 -0.3 -0.3 0.2 0.1 -0.1 0.2 0.1 -0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.0 0.0 0.5 0.3 -0.0 -0.1 -0.2 -0.2 SP500_micro -0.3 0.3 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.1 0.3 0.1 0.1 -0.8 -0.5 -0.7 -0.6 0.2 0.2 -0.1 0.4 0.1 -1.0 0.1 -0.1 0.2 -0.0 0.2 0.0 -1.2 -0.3 0.2 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 0.0 -0.4 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.4 -0.0 -0.0 -0.1 0.8 0.1 0.4 0.0 0.1 -0.1 0.4 -0.0 -1.1 0.0 -0.1 0.2 -0.0 0.4 -0.0 1.0 -0.2 -0.2 -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 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -1.6 -0.1 -0.1 -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 -0.0 -0.2 -0.0 -0.1 -0.3 -0.1 -0.2 -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 -0.2 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US2 0.1 -0.4 -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 0.2 -0.0 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 US20 -0.2 -0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.4 -0.2 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US30 -0.2 -0.2 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.2 -0.4 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.4 -0.6 -0.4 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US5 0.0 -0.2 -0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.8 -0.7 -0.1 -0.1 0.0 -0.2 -0.0 0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -2.3 0.1 0.0 -0.0 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.8 -0.1 -0.8 -0.1 0.0 -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 0.0 -0.3 0.0 -0.5 -0.0 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.1 0.2 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 -0.6 -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 -14.6 -2.3 1.7 1.8 -2.7 2.4 -2.7 1.4 -0.5 -10.0 -5.7 -10.5 -3.8 -8.5 -3.7 -2.7 -2.6 -2.7 -2.8 -4.3 -2.5 -11.8 -3.5 -9.0 2.0 -1.7 -4.1 -0.7 -5.4 -1.2 -4.0 -0.6 -4.8 -6.9 -16.3 -10.1 -2.7 -20.0 3.1 8.5 BITCOIN -10.1 3.1 5.4 -0.1 -16.1 2.9 -13.2 3.2 -6.2 4.8 19.8 -16.8 0.0 7.0 9.5 -8.1 -3.8 -6.7 -5.2 4.5 12.3 -1.6 7.4 -2.5 -20.0 1.6 3.2 5.0 -0.6 4.5 -1.6 -1.3 20.0 -1.2 13.9 -3.6 -5.9 20.0 -4.9 20.0 BOBL 8.4 -2.8 -5.0 -2.0 0.3 -2.1 -0.7 -2.8 -1.5 2.0 -3.2 3.8 -6.6 1.6 -3.5 -20.0 -6.6 -20.0 -14.5 -2.2 -4.6 2.4 -8.9 0.5 9.7 -0.8 2.0 -1.5 1.3 -3.1 0.4 -14.0 6.4 6.6 1.4 2.0 -20.0 -20.0 -20.0 -14.5 BTP -0.3 -3.2 10.8 -3.0 0.5 -3.2 -1.1 -4.3 -2.2 2.7 8.4 -0.0 -0.4 0.9 3.3 4.4 8.2 5.5 6.7 1.5 2.9 -1.0 -1.5 -0.7 -6.7 1.0 2.0 2.5 -0.6 0.5 -0.6 16.1 0.0 5.9 7.3 14.5 -20.0 -20.0 -3.9 5.7 BUND 1.2 -2.1 1.9 -2.1 0.4 -2.2 -0.8 -3.0 -1.6 3.1 -3.8 -1.5 -7.3 -1.5 -3.5 6.0 9.0 6.4 7.1 -2.6 -3.9 -0.6 -8.4 -2.0 5.9 -1.4 2.2 -1.4 -0.2 -3.3 -1.2 16.9 0.6 3.1 2.0 3.2 -20.0 -20.0 -15.8 -1.8 BUXL -5.9 0.7 3.3 -2.6 0.4 -2.7 -1.0 -3.7 -1.9 1.8 -8.3 -5.2 -9.8 -6.0 -5.7 0.8 1.1 1.3 1.6 -4.4 -5.5 -4.0 -11.4 -5.5 0.4 -2.1 1.5 -1.7 -2.2 -3.3 -3.0 5.6 -6.1 -3.0 3.7 3.6 -20.0 -20.0 0.4 11.5 CAC 1.0 -5.9 -13.8 3.2 -7.9 5.1 -6.0 4.6 -0.8 -7.3 15.8 -5.9 17.5 4.9 6.6 -6.7 0.2 -4.4 -1.9 3.2 8.8 -4.9 15.5 -0.6 -4.4 2.2 -0.8 5.2 -3.1 7.9 -0.5 7.9 19.3 0.2 3.2 -4.4 19.4 -1.5 20.0 1.0 CAD -13.9 -1.5 10.7 3.3 -4.9 4.4 -4.9 2.6 -0.9 -18.5 11.4 -18.7 -7.1 -12.8 6.5 -1.9 -1.9 -2.1 -2.2 0.6 5.2 -20.0 -0.8 -12.0 0.2 0.3 -9.9 3.1 -10.7 0.5 -6.1 0.6 -2.7 -10.9 -18.4 -5.9 -15.7 -20.0 -20.0 -17.0 CANOLA -12.5 20.0 20.0 1.1 -1.4 -0.6 -0.7 -1.7 1.0 -7.0 3.3 -5.7 -5.7 5.0 6.9 -0.7 14.5 8.1 12.8 11.6 5.9 -5.7 -1.5 4.7 -20.0 2.0 -1.6 0.5 -1.3 -1.1 0.8 10.9 -14.0 -2.0 20.0 11.1 -15.2 11.3 1.6 20.0 CHF -7.4 10.3 3.1 2.4 -3.5 3.1 -3.5 1.8 -0.7 -12.4 9.6 -9.7 11.0 3.2 5.9 -13.7 -13.0 -13.9 -13.6 9.3 10.7 -6.7 8.6 2.2 -6.5 3.4 -2.7 3.7 -1.8 2.6 1.2 -18.7 0.7 10.3 8.0 1.9 -15.0 -20.0 -17.0 -20.0 COCOA -2.3 -0.3 10.7 2.5 -3.0 -1.2 -1.5 -3.6 2.1 -17.3 20.0 3.3 20.0 12.3 19.0 -1.1 -0.8 -0.6 -0.4 20.0 20.0 -10.1 20.0 12.0 -10.4 7.4 -7.9 9.0 -2.6 7.8 3.1 -14.0 -18.9 4.9 20.0 20.0 -18.5 -18.4 12.5 -6.0 COFFEE 13.0 -15.6 -10.3 2.3 -2.8 -1.2 -1.4 -3.4 2.0 -8.5 -5.2 2.2 -9.4 -12.8 -16.2 0.9 3.5 2.4 3.2 -13.1 -13.4 -3.3 -11.2 -5.6 -20.0 -2.6 -5.8 -2.1 -1.5 -1.7 -0.9 -7.1 7.0 -2.7 -20.0 -1.7 -20.0 -20.0 -10.1 -14.4 COPPER 2.6 5.3 -6.4 -0.0 -7.8 1.4 -6.4 1.5 -3.0 -10.3 -3.2 -7.4 -2.6 -0.0 -0.5 -3.9 -1.7 -3.0 -2.4 -0.1 -1.4 -6.2 -2.0 -0.9 -3.6 0.9 -5.3 -0.6 -2.7 -1.2 0.5 2.8 11.0 10.9 4.2 -9.0 2.3 -20.0 7.8 -17.1 CORN -0.8 -10.2 3.0 0.8 -1.0 -0.4 -0.5 -1.2 0.7 -5.9 -3.9 -5.0 -4.7 -5.0 -4.3 -6.0 6.8 -3.2 1.6 -3.5 -3.2 -6.2 -2.5 -5.0 -6.6 -0.2 -1.4 -0.8 -1.8 -1.4 -1.0 -5.2 -9.4 -2.0 -4.1 -0.4 -2.6 10.2 1.0 18.5 COTTON2 8.1 9.8 12.0 1.4 -1.7 -0.7 -0.9 -2.1 1.2 -6.5 5.0 -0.4 -8.5 5.7 6.8 7.9 6.9 7.5 5.8 6.4 3.1 1.6 -2.0 5.3 -20.0 3.1 -0.5 1.8 0.9 0.6 2.6 -2.9 -5.4 6.6 -5.0 10.5 -20.0 -16.1 9.5 8.4 CRUDE_W 20.0 20.0 5.2 6.2 6.8 2.4 7.8 0.7 8.4 20.0 10.2 20.0 -9.5 20.0 17.8 8.4 8.3 7.1 7.0 20.0 12.8 20.0 3.9 20.0 -6.9 7.6 6.4 4.3 7.9 2.6 9.0 -10.1 -10.4 -18.9 -3.2 4.1 14.5 11.8 14.9 5.2 DAX -1.3 -9.8 -7.0 3.1 -7.4 4.8 -5.7 4.4 -0.8 -11.8 13.8 -9.4 16.0 -0.0 3.7 -8.2 -6.7 -8.3 -7.8 1.0 7.9 -13.7 12.8 -5.6 15.9 -0.2 -8.1 3.5 -8.0 5.9 -3.7 -3.4 2.7 -2.9 -11.8 -5.0 20.0 -0.3 20.0 5.0 DOW 11.7 15.7 10.3 3.3 -8.0 5.2 -6.1 4.7 -0.8 -3.9 14.7 9.7 12.5 14.3 17.4 -11.6 -7.2 -10.5 -9.2 19.9 15.8 4.3 9.6 15.6 -10.2 6.3 -0.8 5.5 1.0 3.7 4.5 -4.9 11.3 20.0 20.0 12.1 -5.9 -4.1 -20.0 -3.1 EUR -13.0 4.6 -0.1 2.5 -3.6 3.3 -3.7 1.9 -0.7 -4.1 7.0 -11.3 8.4 -2.6 2.4 -6.2 -6.8 -6.4 -6.5 2.8 5.5 -6.6 3.7 -2.8 12.2 1.7 -1.8 2.9 -2.9 1.8 -1.0 -7.3 10.4 0.2 -1.3 -8.2 -3.4 -20.0 0.4 4.0 EURIBOR-ICE 12.6 0.0 1.0 -1.9 0.3 -2.0 -0.7 -2.7 -1.4 3.2 -3.5 4.5 -6.5 3.7 -2.1 -8.7 -7.6 -9.6 -9.2 -1.1 -4.2 3.0 -8.6 2.1 16.9 -0.5 1.1 -1.5 1.3 -3.3 0.8 -11.7 7.2 9.7 1.3 2.1 -20.0 -20.0 20.0 6.2 EUROSTX -2.7 -8.2 -9.5 2.9 -7.0 4.5 -5.3 4.1 -0.7 -9.9 15.0 -8.2 16.3 0.9 5.3 -4.7 -0.3 -4.4 -2.7 2.6 8.4 -8.0 13.2 -2.5 4.5 1.1 -5.1 4.8 -5.6 7.7 -2.1 6.8 13.6 -2.2 -4.6 -3.7 20.0 1.8 20.0 7.5 FEEDCOW -3.6 10.9 19.1 2.7 -3.3 -1.4 -1.6 -4.0 2.4 -7.4 20.0 4.3 20.0 19.2 20.0 -13.0 -20.0 -20.0 -20.0 20.0 20.0 6.7 20.0 16.7 5.3 8.7 -1.1 12.0 2.0 12.2 5.0 -20.0 20.0 -3.1 13.3 20.0 2.7 -16.1 15.4 -8.8 GASOIL 20.0 20.0 9.0 5.2 5.8 2.0 6.6 0.6 7.1 16.0 3.0 18.7 -4.0 19.9 17.9 15.8 15.2 10.8 11.5 20.0 13.1 20.0 4.5 20.0 12.4 6.3 6.7 2.6 7.8 0.5 8.4 0.0 20.0 19.7 20.0 9.9 -9.4 3.0 -13.0 -4.6 GASOLINE 20.0 20.0 11.3 6.0 6.7 2.3 7.6 0.7 8.2 16.2 17.9 19.4 -2.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 15.9 20.0 -20.0 7.8 5.2 5.7 5.6 4.6 7.6 20.0 -20.0 -10.3 10.3 19.5 12.6 13.8 14.9 0.8 GAS_US_mini 6.1 20.0 20.0 5.0 5.5 1.9 6.2 0.5 6.7 15.8 -16.9 10.7 -18.9 6.8 5.9 -15.7 -13.1 -13.4 -14.4 0.2 -17.4 14.9 -20.0 6.2 20.0 3.1 17.2 -0.6 8.5 -3.6 4.3 -20.0 -20.0 -20.0 -20.0 -4.7 5.2 11.5 -2.3 0.8 GBP -17.7 0.4 9.7 2.7 -3.9 3.5 -4.0 2.0 -0.7 -10.8 11.8 -13.6 9.6 -4.0 4.8 0.2 -0.9 -0.0 -0.5 6.1 11.2 -8.0 7.9 -2.9 -0.8 3.1 -2.8 4.8 -3.3 2.4 -0.9 2.8 7.2 -3.8 -3.3 2.9 5.5 11.3 10.6 20.0 GOLD_micro -2.0 -8.0 -11.1 -0.1 -13.4 2.5 -11.0 2.7 -5.2 -18.8 -0.7 -17.8 7.4 -10.2 -15.0 -16.6 -12.3 -15.7 -14.2 -9.3 -2.3 -20.0 5.9 -13.0 -11.0 -1.9 -13.8 1.1 -10.6 3.9 -5.3 -16.5 -7.1 1.3 -4.3 -12.4 -20.0 -20.0 -9.0 -20.0 HEATOIL 20.0 20.0 10.7 6.5 7.2 2.5 8.2 0.7 8.8 20.0 2.7 20.0 -6.4 20.0 20.0 20.0 17.4 12.6 12.7 20.0 20.0 20.0 7.0 20.0 -20.0 8.0 8.0 4.1 9.3 2.2 10.0 2.7 20.0 20.0 20.0 20.0 1.1 1.1 -4.2 -0.5 JGB-SGX-mini -14.5 -20.0 1.8 -1.9 0.3 -2.0 -0.7 -2.7 -1.4 -2.8 5.2 -4.8 5.3 -5.7 -2.8 9.2 19.9 10.7 14.4 -3.4 1.6 -6.1 3.4 -7.3 0.5 -1.4 0.1 0.2 -2.2 0.4 -2.7 20.0 -16.7 -10.4 -2.7 7.4 -20.0 -7.3 4.1 7.3 JPY -2.5 4.7 -15.8 1.6 -2.4 2.2 -2.4 1.3 -0.5 -8.8 -8.2 -8.6 -8.0 -5.6 -8.0 -15.4 -13.4 -15.8 -15.0 -8.3 -10.1 -8.6 -11.1 -7.1 20.0 -2.7 -3.3 -3.1 -3.1 -3.5 -2.5 -20.0 0.7 -6.1 -19.5 -20.0 -12.0 -20.0 -12.8 -20.0 LEANHOG 3.3 20.0 8.4 1.9 -2.4 -1.0 -1.2 -2.8 1.7 -9.2 -4.5 -2.2 -8.4 9.4 13.5 20.0 15.7 20.0 20.0 6.8 -4.4 -2.1 -13.6 6.2 15.4 -0.6 -6.2 -7.4 -1.7 -11.3 1.4 20.0 5.6 -1.2 -1.5 -9.6 -4.6 2.4 20.0 20.0 LIVECOW -13.1 10.3 20.0 2.8 -3.4 -1.4 -1.7 -4.1 2.5 3.5 20.0 0.4 20.0 14.7 20.0 -14.4 6.9 4.1 12.7 20.0 20.0 7.1 20.0 15.5 6.3 8.4 1.2 10.2 1.9 9.0 4.3 5.9 20.0 1.2 20.0 20.0 -20.0 -20.0 -17.8 -19.3 LUMBER-new -20.0 -0.0 1.6 2.4 -2.9 -0.9 -1.4 -2.5 2.0 -17.5 -15.5 -20.0 -17.8 -17.7 -11.8 -13.2 -12.3 -11.9 -12.1 -12.0 -7.3 -20.0 -7.2 -20.0 NaN -3.7 -4.5 -1.7 -7.7 -1.3 -7.2 -20.0 -5.8 -20.0 -20.0 1.0 -20.0 -20.0 -20.0 -20.0 MILK 20.0 20.0 4.1 1.0 -1.2 -0.5 -0.6 -1.5 0.9 3.4 -6.1 4.3 -8.4 3.9 -3.3 -20.0 -20.0 -20.0 -20.0 -2.5 -9.0 5.2 -10.9 4.1 -3.1 -1.3 0.9 -3.3 1.4 -3.6 0.9 -20.0 9.1 15.9 -15.3 -20.0 -20.0 -20.0 -14.6 -20.0 MXP -20.0 -13.2 1.2 2.8 -4.1 3.7 -4.1 2.1 -0.8 -2.2 17.2 -2.4 18.0 2.7 13.8 16.4 17.8 17.8 17.7 13.4 20.0 -4.8 20.0 2.4 -20.0 5.2 -1.5 8.2 -2.2 9.2 0.8 20.0 15.5 7.3 0.1 20.0 20.0 5.8 20.0 20.0 NASDAQ_micro -20.0 2.5 20.0 2.3 -5.6 3.6 -4.3 3.3 -0.6 -12.0 13.5 -9.0 8.8 2.8 11.4 -10.8 -7.7 -10.5 -9.5 16.9 20.0 -10.3 19.2 1.9 -20.0 4.3 -3.7 6.5 -2.5 5.7 0.4 -5.6 -1.8 -0.9 13.1 20.0 -7.0 -10.9 -16.7 -13.5 NIKKEI -13.5 -10.6 19.7 3.0 -7.4 4.8 -5.7 4.4 -0.8 -10.3 15.5 -9.3 15.5 -6.4 12.1 15.7 12.2 14.5 13.2 12.0 20.0 -9.8 20.0 -2.4 -5.6 4.3 -3.0 8.2 -2.9 7.5 -0.5 20.0 9.7 -4.6 -2.6 20.0 3.4 2.8 -2.2 8.6 NZD -13.6 1.5 -1.1 1.7 -2.6 2.3 -2.6 1.3 -0.5 -9.5 -3.8 -10.3 0.5 -7.6 -3.6 0.5 0.5 0.5 0.5 -2.8 -1.5 -9.4 -2.2 -6.5 0.3 -1.2 -4.5 -0.4 -5.0 -0.8 -3.3 5.0 2.5 -6.1 -10.6 -9.8 0.3 -12.6 5.9 7.3 OAT 0.1 -2.4 4.3 -2.3 0.4 -2.4 -0.9 -3.3 -1.7 3.6 -4.3 -1.7 -7.5 -1.7 -2.7 5.6 9.0 6.7 7.8 -2.5 -3.4 -0.6 -7.7 -2.1 7.9 -1.4 2.5 -1.2 -0.2 -3.4 -1.3 17.7 1.0 3.0 2.4 4.8 -20.0 -20.0 -2.3 2.6 OATIES -2.9 19.7 20.0 1.4 -1.8 -0.7 -0.9 -2.1 1.3 -3.7 8.6 -2.8 -6.2 4.6 9.5 -16.9 -1.5 -13.4 -8.9 15.4 13.7 -4.0 5.5 6.1 -20.0 3.3 -1.1 2.9 -1.1 1.1 1.0 -20.0 -2.4 -2.1 15.5 20.0 2.3 20.0 14.0 20.0 OJ 20.0 19.2 10.0 2.6 -3.1 -1.3 -1.5 -3.8 2.2 -11.9 20.0 10.8 20.0 16.4 19.3 20.0 19.7 20.0 20.0 20.0 20.0 10.3 20.0 20.0 -20.0 7.3 -1.2 8.7 1.3 10.7 5.4 20.0 -7.9 20.0 20.0 20.0 19.0 5.4 20.0 16.5 PALLAD 4.6 -10.4 -19.5 -0.0 -7.7 1.4 -6.3 1.5 -3.0 -7.7 -12.1 -9.4 -12.3 -9.8 -11.3 -3.2 -2.6 -3.2 -3.0 -13.0 -19.2 -5.8 -20.0 -7.8 -4.0 -3.9 -2.1 -4.5 -2.4 -4.7 -2.9 1.3 15.1 2.8 -14.7 -12.9 -16.4 -0.8 4.1 1.9 PLAT -2.1 -10.6 -15.6 -0.0 -8.0 1.5 -6.6 1.6 -3.1 -11.2 -8.1 -10.7 -0.6 -8.2 -9.8 -3.4 -2.0 -3.0 -2.5 -9.9 -7.4 -15.2 -2.9 -11.0 12.4 -2.7 -7.5 -1.7 -6.1 -0.5 -3.9 2.4 -8.0 -1.0 -13.3 -8.1 2.1 -15.8 11.7 -11.6 REDWHEAT -5.6 1.1 5.3 1.0 -1.2 -0.5 -0.6 -1.5 0.9 -6.7 0.1 -7.4 -6.7 -5.1 -0.2 -4.0 2.8 -0.7 1.9 -1.8 -0.8 -11.1 -1.5 -6.5 -8.7 -0.4 -3.2 -0.1 -3.7 -0.1 -2.0 -8.4 -17.6 -5.5 -6.6 0.9 -20.0 -17.8 -6.8 -6.5 RICE 18.2 11.9 5.5 2.0 -2.4 -1.0 -1.2 -2.9 1.7 12.1 0.7 13.5 -0.8 13.1 13.0 -6.6 20.0 20.0 20.0 11.6 4.3 12.0 0.4 14.5 -20.0 4.4 3.6 1.9 4.3 0.2 5.1 20.0 19.9 20.0 -1.4 20.0 -7.9 -20.0 3.3 -15.7 ROBUSTA 4.7 -19.6 8.6 1.6 -1.9 -0.8 -0.9 -2.3 1.4 9.5 11.1 11.2 10.8 2.1 7.1 20.0 16.7 20.0 20.0 8.9 14.9 8.5 16.5 7.1 -10.9 3.9 2.8 6.7 3.3 7.3 2.8 19.9 17.9 7.0 -11.3 20.0 -5.9 -18.9 8.0 -10.7 RUSSELL 1.7 18.4 18.3 3.0 -7.2 4.6 -5.5 4.3 -0.7 -15.8 6.3 -6.8 -0.8 9.7 13.9 -7.6 -5.2 -6.9 -6.2 16.5 12.7 -6.5 2.7 8.1 -2.0 5.2 -4.9 4.5 -2.0 2.3 2.3 -0.7 3.1 7.0 19.7 12.2 -4.0 -7.5 -20.0 -10.7 SHATZ 17.4 -3.8 -16.7 -1.9 0.3 -2.0 -0.7 -2.8 -1.4 4.2 -5.4 6.5 -7.0 2.0 -4.5 -20.0 -2.9 -13.4 -8.3 -3.4 -8.1 5.6 -12.7 2.5 11.1 -0.8 2.1 -2.3 2.4 -4.0 1.2 -6.2 12.4 9.9 0.3 -1.5 -20.0 -20.0 -20.0 -20.0 SILVER-mini -6.6 0.1 -7.0 -0.0 -8.4 1.5 -6.9 1.7 -3.3 -12.0 2.6 -10.4 4.3 -2.5 -3.6 -6.6 -5.5 -6.6 -6.2 -1.9 1.1 -17.9 2.5 -8.1 6.0 0.2 -8.6 1.3 -7.1 1.1 -2.8 -3.8 -13.1 3.3 1.0 -2.6 -14.5 -20.0 -1.3 -20.0 SMI 5.2 -11.0 -2.9 2.8 -6.9 4.4 -5.3 4.1 -0.7 -12.2 6.0 -6.0 4.3 -2.7 -3.3 -3.2 1.6 -2.8 -1.0 -3.3 0.8 -7.3 3.3 -4.7 3.6 -0.3 -0.8 -0.1 0.2 -0.7 0.7 9.9 20.0 10.3 -10.2 -6.7 -7.5 -10.3 -16.0 -15.6 SOFR -0.6 -10.2 -7.1 -2.0 0.4 -2.1 -0.7 -2.9 -1.5 5.9 -2.1 -0.8 -1.9 -0.9 -3.9 -2.4 -0.7 -1.9 -1.3 -4.0 -3.1 0.3 -2.8 -2.6 -1.4 -1.9 1.6 -1.4 0.2 -1.1 -1.1 1.2 1.9 0.7 -0.5 -1.4 -20.0 -20.0 -4.5 -2.0 SOYBEAN -9.4 16.6 11.0 1.0 -1.2 -0.5 -0.6 -1.4 0.8 -6.8 3.0 -7.2 -1.4 0.6 4.4 20.0 20.0 18.2 19.6 2.9 2.1 -8.4 -0.1 -2.5 -17.4 1.2 -1.7 0.7 -2.0 0.0 -0.4 20.0 -16.4 -8.6 10.8 6.1 -9.3 13.4 -5.9 20.0 SOYMEAL -1.3 4.5 -16.3 1.1 -1.3 -0.5 -0.6 -1.5 0.9 -7.9 -2.3 -6.5 2.1 -1.6 -0.5 9.9 20.0 18.3 20.0 -0.1 -0.3 -5.6 1.7 -2.0 -20.0 1.3 -1.9 1.3 -1.8 1.8 -0.1 20.0 -9.6 -4.7 9.5 2.6 -10.4 -17.7 -6.8 -16.0 SOYOIL -2.5 20.0 20.0 1.0 -1.2 -0.5 -0.6 -1.4 0.9 -4.6 3.4 -5.1 -2.0 3.9 6.3 12.2 10.2 10.4 9.0 8.6 5.5 -2.4 0.8 3.7 -20.0 2.1 -0.6 1.3 -0.6 0.2 0.8 2.9 -5.7 -2.8 11.2 13.7 1.0 6.5 13.6 20.0 SP400 -2.4 20.0 15.7 3.0 -7.4 4.8 -5.7 4.4 -0.8 -15.4 9.0 -8.8 7.1 11.9 15.2 -6.0 -4.6 -5.6 -5.2 18.7 16.1 -5.9 8.1 8.4 -12.2 5.1 -3.5 4.5 -1.9 2.7 2.1 0.7 -0.2 1.3 20.0 11.4 -0.2 -8.8 -11.9 -12.4 SP500_micro -13.7 11.5 20.0 3.5 -8.4 5.4 -6.4 5.0 -0.9 -14.9 20.0 -8.7 11.0 9.0 17.7 -13.6 -8.7 -12.6 -10.8 20.0 20.0 -10.8 20.0 7.3 -19.8 6.4 -4.2 7.7 -2.8 5.6 1.8 -7.3 -8.5 6.8 20.0 20.0 -4.3 -9.8 -13.7 -14.2 SUGAR11 0.8 -15.5 0.9 2.2 -2.6 -1.1 -1.3 -3.2 1.9 -10.2 11.5 -11.7 13.9 -1.8 -0.1 -2.0 13.7 1.2 7.4 0.2 14.0 -10.1 20.0 -6.0 -20.0 0.4 -4.0 7.9 -4.6 14.1 -3.0 6.4 -7.2 -8.3 -20.0 20.0 -16.9 -17.8 10.9 -5.4 US10 -1.0 -9.1 -11.3 -1.9 0.3 -2.0 -0.7 -2.8 -1.4 4.9 -5.0 -2.5 -6.3 -4.0 -6.1 -8.5 -6.7 -8.9 -8.5 -6.5 -6.4 -1.9 -7.0 -4.8 0.7 -2.4 0.8 -2.2 -0.7 -2.0 -1.7 -10.3 -1.9 -2.7 -2.4 -4.8 -20.0 -20.0 15.0 2.0 US10U -4.0 -8.4 -8.2 -2.6 0.5 -2.7 -1.0 -3.7 -1.9 2.6 -6.4 -4.6 -8.1 -5.9 -8.1 -4.6 -1.1 -2.8 -2.3 -8.6 -7.6 -5.2 -8.6 -8.0 -3.6 -3.3 0.3 -2.7 -2.1 -2.3 -3.0 0.0 -8.6 -7.2 -3.2 -6.0 -20.0 -20.0 20.0 19.5 US2 2.1 -16.2 -20.0 -1.9 0.3 -2.0 -0.7 -2.8 -1.4 4.5 -6.9 -2.9 -7.2 -5.0 -7.5 -20.0 -20.0 -20.0 -20.0 -11.4 -13.7 0.8 -14.5 -4.8 7.5 -2.4 0.7 -2.8 0.4 -3.1 -0.9 -20.0 5.6 -1.3 -6.0 -11.1 -20.0 -20.0 -20.0 -17.5 US20 -7.6 -8.7 -7.4 -2.0 0.4 -2.1 -0.8 -2.9 -1.5 -0.4 -4.8 -4.7 -5.1 -5.2 -6.5 -1.9 -1.4 -1.7 -1.8 -7.2 -5.7 -7.0 -6.3 -8.3 -3.6 -2.6 -0.5 -1.8 -2.6 -1.6 -3.0 0.1 -13.5 -9.6 -3.6 -4.5 -20.0 -20.0 20.0 20.0 US30 -9.0 -7.3 -4.5 -2.4 0.4 -2.5 -0.9 -3.4 -1.8 -2.6 -7.1 -6.6 -6.8 -7.2 -8.3 -9.3 -2.6 -6.0 -4.0 -8.6 -6.8 -10.0 -8.5 -10.6 -3.3 -3.1 -1.4 -2.1 -3.8 -1.8 -3.9 -2.4 -18.3 -14.0 -4.9 -4.5 -20.0 -20.0 20.0 20.0 US5 1.5 -8.8 -15.1 -1.9 0.3 -2.0 -0.7 -2.8 -1.4 5.2 -5.2 -2.1 -6.4 -2.8 -6.0 -13.2 -8.9 -13.0 -11.6 -6.4 -7.1 0.2 -8.0 -3.3 3.0 -2.2 1.1 -2.3 0.2 -2.4 -1.0 -14.8 2.7 0.1 -1.8 -5.1 -20.0 -20.0 5.9 -15.7 VIX 20.0 -2.2 -20.0 -6.5 1.2 -9.0 1.5 -9.0 -1.8 8.4 -20.0 8.4 -20.0 -11.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 4.4 -20.0 -8.2 NaN -7.5 1.3 -10.8 1.8 -11.1 -1.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 2.5 8.4 17.0 0.8 -1.0 -0.4 -0.5 -1.2 0.7 -4.6 -2.9 -5.0 -6.4 -3.7 -1.0 -9.3 -8.9 -9.8 -9.8 -0.6 -1.7 -4.9 -3.6 -2.5 -3.3 0.3 -1.4 -0.4 -1.3 -1.2 -0.4 -20.0 -9.0 1.1 -1.2 0.5 -18.4 -15.8 -11.3 -8.1 End of report for caleb_strategy_v3