******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230818_204335 produced at 2023-08-18 21:40:37.903674 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.09 0.00 -0.74 0.0 0.00 0.00 0.00 0.00 -8.57 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 -0.67 -0.62 0.0 0.95 -0.95 -0.67 -0.29 -6.52 10.0 -7 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -5.22 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.18 -0.21 0.0 0.38 -0.38 -0.18 -0.12 -31.31 56.0 -26 -18 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -4.85 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.17 0.0 0.12 -0.12 -0.11 -0.12 -24.42 17.0 -16 -17 caleb_strategy_v3 JPY False False 0.03 -0.22 -0.15 0.0 0.53 -0.53 -0.22 -0.31 -4.91 17.0 -7 -10 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.15 0.0 0.67 -0.67 -0.15 -0.21 -2.84 13.0 -3 -4 caleb_strategy_v3 US5 False False 0.04 -0.23 -0.12 0.0 0.96 -0.96 -0.23 -0.23 -3.07 25.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.11 0.0 0.77 -0.77 -0.03 -0.08 -4.24 29.0 -1 -3 caleb_strategy_v3 BOBL False False 0.05 -0.32 -0.09 0.0 0.86 -0.86 -0.32 -0.32 -2.06 19.0 -7 -7 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.06 -0.08 0.0 0.00 -0.06 -0.06 -0.06 -32.31 26.0 -23 -23 caleb_strategy_v3 EUR False False 0.05 -0.15 -0.07 0.0 0.69 -0.69 -0.15 -0.15 -1.44 14.0 -3 -3 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.07 0.0 0.20 -0.20 -0.10 -0.07 -2.20 6.0 -3 -2 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.06 0.0 0.36 -0.36 0.00 0.00 -1.31 8.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.44 -0.44 0.00 0.00 -2.65 19.0 0 0 caleb_strategy_v3 US10 False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.55 17.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.05 0.0 0.38 -0.38 -0.02 -0.02 -6.17 48.0 -2 -2 caleb_strategy_v3 BITCOIN False False 0.00 -0.00 -0.04 0.0 0.06 -0.06 -0.00 -0.01 -45.86 59.0 -3 -11 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.03 0.0 0.23 -0.23 0.00 0.00 -7.90 68.0 0 0 caleb_strategy_v3 US10U False True 0.04 -0.12 -0.03 0.0 0.00 -0.12 -0.12 -0.12 -0.80 13.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.45 -0.45 0.02 0.00 -1.44 21.0 1 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.03 0.0 0.25 -0.25 -0.04 -0.06 -3.18 23.0 -4 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.07 -0.07 0.00 0.00 -2.48 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 -1.64 0.0 0 0 caleb_strategy_v3 US20 False True 0.04 -0.04 -0.02 0.0 0.00 -0.04 -0.04 -0.04 -0.46 9.0 -1 -1 caleb_strategy_v3 US30 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.46 6.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.26 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.44 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.04 -0.02 0.0 0.41 -0.41 -0.04 -0.02 -3.51 66.0 -6 -4 caleb_strategy_v3 DAX False False 0.01 -0.09 -0.02 0.0 0.36 -0.36 -0.09 -0.07 -3.40 58.0 -15 -12 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.66 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -1.27 12.0 -1 -1 caleb_strategy_v3 SMI False False 0.04 0.09 -0.01 0.0 0.40 -0.40 0.09 0.04 -0.21 9.0 2 1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.63 8.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.10 -0.01 0.0 0.17 -0.17 -0.10 -0.10 -0.88 10.0 -6 -6 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.30 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.20 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.94 9.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.10 -0.00 0.0 0.20 -0.20 -0.10 -0.15 -0.07 4.0 -2 -3 caleb_strategy_v3 COCOA False False 0.01 -0.01 -0.00 0.0 0.32 -0.32 -0.01 -0.01 -0.22 26.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.00 0.0 0.17 -0.17 0.02 0.02 0.22 11.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.08 0.01 0.0 0.33 -0.33 0.08 0.10 0.68 20.0 5 6 caleb_strategy_v3 CAC False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.45 12.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.18 -0.18 0.00 0.00 0.57 18.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.01 0.79 10.0 0 1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.44 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.17 -0.17 0.05 0.05 0.54 7.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.20 -0.20 0.01 0.01 1.50 23.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.52 -0.52 0.05 0.05 0.33 10.0 1 1 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.02 0.0 0.22 -0.22 0.00 0.00 4.82 51.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.03 0.0 0.14 -0.14 0.03 0.00 0.92 5.0 1 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 2.89 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 1.86 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.05 0.04 0.0 0.44 -0.44 0.05 0.05 1.40 17.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.12 0.05 0.0 0.63 -0.63 0.12 0.12 1.90 22.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.27 0.05 0.0 0.45 -0.45 0.27 0.27 1.15 10.0 6 6 caleb_strategy_v3 OAT False False 0.05 0.05 0.06 0.0 0.49 -0.49 0.05 0.05 1.27 10.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.06 0.08 0.0 0.14 -0.14 0.06 0.06 7.02 13.0 6 6 caleb_strategy_v3 GASOIL False False 0.03 0.13 0.09 0.0 0.13 -0.13 0.13 0.09 2.75 4.0 4 3 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.10 0.0 0.14 -0.14 0.00 0.00 2.16 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.74 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.33 0.0 0.28 -0.28 0.28 0.28 42.36 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.63 0.71 0.0 0.63 -0.63 0.63 0.63 67.23 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.58 1.16 0.0 0.58 0.00 0.58 0.55 31.71 16.0 16 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.1 Shocked risk 52.7 Sum abs risk 64.1 Leverage 6.83 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2767142.15, 'annual_cash_vol_target': 691785.5375, 'daily_cash_vol_target': 43236.59609375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6410 0.6874 10.9987 BITCOIN 754.8415 26030.0000 2.8999 46.3982 BOBL 0.2651 115.3500 0.2298 3.6768 BTP 0.6338 113.9900 0.5560 8.8960 BUND 0.5757 131.3600 0.4383 7.0125 BUXL 1.3302 129.8000 1.0248 16.3967 CAC 60.0204 7192.0000 0.8345 13.3527 CAD 0.0028 0.7384 0.3809 6.0942 CANOLA 8.8144 805.5000 1.0943 17.5084 CHF 0.0050 1.1369 0.4390 7.0240 COCOA 40.3276 3441.0000 1.1720 18.7516 COFFEE 2.6380 150.5500 1.7523 28.0362 COPPER 0.0448 3.7055 1.2091 19.3460 CORN 9.5432 492.5000 1.9377 31.0034 COTTON2 1.2883 84.5300 1.5241 24.3859 CRUDE_W 1.0335 79.7200 1.2964 20.7421 DAX 121.6249 15626.0000 0.7783 12.4536 DOW 198.3205 34536.0000 0.5742 9.1879 EUR 0.0049 1.0891 0.4480 7.1684 EURIBOR-ICE 0.0537 96.9700 0.0554 0.8864 EUROSTX 42.7032 4232.0000 1.0091 16.1449 FEEDCOW 1.3921 250.6750 0.5553 8.8856 GASOIL 13.1623 874.2500 1.5056 24.0889 GASOLINE 0.0368 2.4835 1.4826 23.7208 GAS_US_mini 0.0961 2.6950 3.5654 57.0461 GBP 0.0064 1.2741 0.5054 8.0864 GOLD_micro 10.4612 1898.4000 0.5511 8.8169 HEATOIL 0.0386 3.0413 1.2694 20.3110 JGB-SGX-mini 0.2694 146.6300 0.1837 2.9394 JPY 0.0000 0.0069 0.6350 10.1600 LEANHOG 1.3172 74.2500 1.7741 28.3850 LIVECOW 1.0408 178.9250 0.5817 9.3069 LUMBER-new 9.9416 533.0000 1.8652 29.8433 MILK 0.2827 18.1000 1.5619 24.9896 MXP 0.0004 0.0583 0.7120 11.3926 NASDAQ_micro 124.4030 14743.0000 0.8438 13.5010 NIKKEI 293.0700 31470.0000 0.9313 14.9003 NZD 0.0041 0.5928 0.6920 11.0725 OAT 0.5790 125.8300 0.4602 7.3629 OATIES 6.5349 461.7500 1.4153 22.6441 OJ 5.7073 315.0000 1.8119 28.9896 PALLAD 23.6101 1254.0000 1.8828 30.1245 PLAT 13.7717 914.1000 1.5066 24.1054 REDWHEAT 15.1723 761.5000 1.9924 31.8788 RICE 0.1537 16.0600 0.9570 15.3115 ROBUSTA 36.7777 2362.0000 1.5571 24.9129 RUSSELL 17.0891 1866.1000 0.9158 14.6523 SHATZ 0.0830 104.9900 0.0791 1.2651 SILVER-mini 0.3231 23.0500 1.4017 22.4278 SMI 76.7892 10841.0000 0.7083 11.3332 SOFR 0.0733 96.2250 0.0762 1.2188 SOYBEAN 17.3653 1354.0000 1.2825 20.5203 SOYMEAL 5.7323 388.8000 1.4744 23.5898 SOYOIL 0.8804 64.2600 1.3700 21.9202 SP400 19.7611 2582.9000 0.7651 12.2412 SP500_micro 26.6050 4376.5000 0.6079 9.7265 SUGAR11 0.3011 24.0900 1.2499 19.9983 US10 0.4234 109.5938 0.3864 6.1820 US10U 0.5807 114.0156 0.5093 8.1485 US2 0.1003 101.3750 0.0989 1.5823 US20 0.8209 119.1562 0.6890 11.0234 US30 1.2194 124.3125 0.9809 15.6943 US5 0.2705 105.9219 0.2554 4.0860 VIX 0.5023 19.3000 2.6027 41.6428 WHEAT 15.7342 639.7500 2.4594 39.3510 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 641.00 0.69 440.64 1.00 440.64 43236.6 98.12 -8.30 -81.48 BITCOIN 26.03 2.90 75.48 1.00 75.48 43236.6 572.79 -6.66 -381.32 BOBL 1153.50 0.23 265.07 1.09 288.18 43236.6 150.04 -14.84 -222.60 BTP 1139.90 0.56 633.79 1.09 689.02 43236.6 62.75 5.85 36.73 BUND 1313.60 0.44 575.72 1.09 625.90 43236.6 69.08 5.11 35.29 BUXL 1298.00 1.02 1330.19 1.09 1446.11 43236.6 29.90 -2.46 -7.37 CAC 719.20 0.83 600.20 1.09 652.51 43236.6 66.26 2.09 13.87 CAD 738.40 0.38 281.25 1.00 281.25 43236.6 153.73 -8.48 -130.44 CANOLA 161.10 1.09 176.29 0.74 130.24 43236.6 331.97 6.93 230.22 CHF 1421.12 0.44 623.87 1.00 623.87 43236.6 69.30 -12.61 -87.38 COCOA 344.10 1.17 403.28 1.00 403.28 43236.6 107.21 -1.09 -11.74 COFFEE 564.56 1.75 989.26 1.00 989.26 43236.6 43.71 -15.12 -66.09 COPPER 926.38 1.21 1120.10 1.00 1120.10 43236.6 38.60 -4.73 -18.25 CORN 246.25 1.94 477.16 1.00 477.16 43236.6 90.61 -6.67 -60.46 COTTON2 422.65 1.52 644.17 1.00 644.17 43236.6 67.12 1.81 12.17 CRUDE_W 797.20 1.30 1033.48 1.00 1033.48 43236.6 41.84 1.80 7.53 DAX 156.26 0.78 121.62 1.09 132.22 43236.6 326.99 -3.18 -103.96 DOW 172.68 0.57 99.16 1.00 99.16 43236.6 436.03 -3.61 -157.30 EUR 1361.38 0.45 609.93 1.00 609.93 43236.6 70.89 -6.23 -44.17 EURIBOR-ICE 2424.25 0.06 134.31 1.09 146.01 43236.6 296.12 -7.06 -209.14 EUROSTX 423.20 1.01 427.03 1.09 464.25 43236.6 93.13 2.23 20.73 FEEDCOW 1253.38 0.56 696.06 1.00 696.06 43236.6 62.12 -6.19 -38.47 GASOIL 874.25 1.51 1316.23 1.00 1316.23 43236.6 32.85 17.11 56.19 GASOLINE 1043.07 1.48 1546.41 1.00 1546.41 43236.6 27.96 20.00 55.92 GAS_US_mini 67.38 3.57 240.22 1.00 240.22 43236.6 179.99 -14.66 -263.79 GBP 796.31 0.51 402.46 1.00 402.46 43236.6 107.43 5.45 58.54 GOLD_micro 189.84 0.55 104.61 1.00 104.61 43236.6 413.30 -20.00 -826.61 HEATOIL 1277.35 1.27 1621.51 1.00 1621.51 43236.6 26.66 16.55 44.14 JGB-SGX-mini 146630.00 0.18 26938.06 0.01 184.05 43236.6 234.91 10.33 242.68 JPY 864.06 0.64 548.68 1.00 548.68 43236.6 78.80 -19.15 -150.93 LEANHOG 297.00 1.77 526.90 1.00 526.90 43236.6 82.06 13.68 112.26 LIVECOW 715.70 0.58 416.31 1.00 416.31 43236.6 103.86 3.95 41.04 LUMBER-new 146.58 1.87 273.39 1.00 273.39 43236.6 158.15 -11.94 -188.90 MILK 362.00 1.56 565.39 1.00 565.39 43236.6 76.47 -17.55 -134.22 MXP 291.60 0.71 207.63 1.00 207.63 43236.6 208.24 19.63 408.67 NASDAQ_micro 294.86 0.84 248.81 1.00 248.81 43236.6 173.78 -8.20 -142.48 NIKKEI 31470.00 0.93 29307.00 0.01 200.24 43236.6 215.92 15.01 324.19 NZD 592.80 0.69 410.24 1.00 410.24 43236.6 105.39 -4.20 -44.29 OAT 1258.30 0.46 579.05 1.09 629.51 43236.6 68.68 5.94 40.83 OATIES 230.88 1.42 326.75 1.00 326.75 43236.6 132.32 -4.32 -57.12 OJ 472.50 1.81 856.10 1.00 856.10 43236.6 50.50 20.00 101.01 PALLAD 1254.00 1.88 2361.01 1.00 2361.01 43236.6 18.31 -4.39 -8.03 PLAT 457.05 1.51 688.58 1.00 688.58 43236.6 62.79 -3.71 -23.27 REDWHEAT 380.75 1.99 758.62 1.00 758.62 43236.6 56.99 -9.73 -55.47 RICE 321.20 0.96 307.38 1.00 307.38 43236.6 140.66 9.81 137.98 ROBUSTA 236.20 1.56 367.78 1.00 367.78 43236.6 117.56 12.65 148.74 RUSSELL 93.30 0.92 85.45 1.00 85.45 43236.6 506.01 -4.90 -248.14 SHATZ 1049.90 0.08 83.02 1.09 90.25 43236.6 479.08 -10.92 -523.38 SILVER-mini 576.25 1.40 807.75 1.00 807.75 43236.6 53.53 -8.11 -43.43 SMI 1084.10 0.71 767.89 1.14 872.63 43236.6 49.55 -1.27 -6.29 SOFR 2405.62 0.08 183.24 1.00 183.24 43236.6 235.95 -6.25 -147.57 SOYBEAN 677.00 1.28 868.26 1.00 868.26 43236.6 49.80 13.55 67.49 SOYMEAL 388.80 1.47 573.23 1.00 573.23 43236.6 75.43 7.29 55.01 SOYOIL 385.56 1.37 528.22 1.00 528.22 43236.6 81.85 12.09 98.93 SP400 2582.90 0.77 1976.11 1.00 1976.11 43236.6 21.88 -3.75 -8.20 SP500_micro 218.82 0.61 133.02 1.00 133.02 43236.6 325.03 -8.50 -276.28 SUGAR11 269.81 1.25 337.23 1.00 337.23 43236.6 128.21 2.43 31.16 US10 1095.94 0.39 423.44 1.00 423.44 43236.6 102.11 -12.53 -127.93 US10U 1140.16 0.51 580.66 1.00 580.66 43236.6 74.46 -8.90 -66.26 US2 2027.50 0.10 200.51 1.00 200.51 43236.6 215.64 -20.00 -431.27 US20 1191.56 0.69 820.94 1.00 820.94 43236.6 52.67 -7.24 -38.13 US30 1243.12 0.98 1219.38 1.00 1219.38 43236.6 35.46 -10.61 -37.62 US5 1059.22 0.26 270.50 1.00 270.50 43236.6 159.84 -15.85 -253.31 VIX 193.00 2.60 502.32 1.00 502.32 43236.6 86.07 -19.15 -164.83 WHEAT 319.88 2.46 786.71 1.00 786.71 43236.6 54.96 -15.01 -82.50 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -81.485 0.013 2.5 -2.648 BITCOIN -381.323 0.048 2.5 -45.855 BOBL -222.595 0.004 2.5 -2.064 BTP 36.726 0.012 2.5 1.146 BUND 35.288 0.004 2.5 0.327 BUXL -7.367 0.004 2.5 -0.068 CAC 13.872 0.013 2.5 0.453 CAD -130.441 0.013 2.5 -4.240 CANOLA 230.216 0.008 2.5 4.823 CHF -87.384 0.013 2.5 -2.840 COCOA -11.739 0.007 2.5 -0.217 COFFEE -66.092 0.004 2.5 -0.665 COPPER -18.254 0.048 2.5 -2.195 CORN -60.461 0.008 2.5 -1.267 COTTON2 12.167 0.007 2.5 0.224 CRUDE_W 7.530 0.049 2.5 0.922 DAX -103.962 0.013 2.5 -3.396 DOW -157.298 0.009 2.5 -3.513 EUR -44.173 0.013 2.5 -1.436 EURIBOR-ICE -209.141 0.012 2.5 -6.524 EUROSTX 20.735 0.013 2.5 0.677 FEEDCOW -38.474 0.014 2.5 -1.311 GASOIL 56.195 0.020 2.5 2.755 GASOLINE 55.919 0.020 2.5 2.741 GAS_US_mini -263.790 0.049 2.5 -32.306 GBP 58.542 0.013 2.5 1.903 GOLD_micro -826.605 0.015 2.5 -31.309 HEATOIL 44.138 0.020 2.5 2.164 JGB-SGX-mini 242.684 0.052 2.5 31.712 JPY -150.928 0.013 2.5 -4.905 LEANHOG 112.259 0.025 2.5 7.017 LIVECOW 41.041 0.014 2.5 1.399 LUMBER-new -188.904 0.007 2.5 -3.438 MILK -134.224 0.007 2.5 -2.476 MXP 408.669 0.066 2.5 67.225 NASDAQ_micro -142.480 0.009 2.5 -3.182 NIKKEI 324.192 0.052 2.5 42.363 NZD -44.288 0.013 2.5 -1.439 OAT 40.826 0.012 2.5 1.273 OATIES -57.121 0.008 2.5 -1.197 OJ 101.008 0.007 2.5 1.863 PALLAD -8.033 0.015 2.5 -0.304 PLAT -23.273 0.015 2.5 -0.881 REDWHEAT -55.468 0.005 2.5 -0.634 RICE 137.978 0.008 2.5 2.890 ROBUSTA 148.739 0.004 2.5 1.496 RUSSELL -248.137 0.013 2.5 -7.901 SHATZ -523.380 0.004 2.5 -4.854 SILVER-mini -43.428 0.015 2.5 -1.645 SMI -6.292 0.013 2.5 -0.206 SOFR -147.567 0.023 2.5 -8.566 SOYBEAN 67.491 0.003 2.5 0.540 SOYMEAL 55.010 0.003 2.5 0.441 SOYOIL 98.934 0.003 2.5 0.793 SP400 -8.202 0.013 2.5 -0.261 SP500_micro -276.284 0.009 2.5 -6.170 SUGAR11 31.163 0.007 2.5 0.571 US10 -127.931 0.005 2.5 -1.548 US10U -66.260 0.005 2.5 -0.802 US2 -431.273 0.005 2.5 -5.220 US20 -38.127 0.005 2.5 -0.461 US30 -37.619 0.005 2.5 -0.455 US5 -253.305 0.005 2.5 -3.066 VIX -164.834 0.059 2.5 -24.423 WHEAT -82.498 0.005 2.5 -0.942 ===================== Position diags ===================== AUD 3.19 BITCOIN 68.88 BOBL 1.39 BTP 1.96 BUND 0.64 BUXL 0.28 CAC 2.16 CAD 5.00 CANOLA 6.95 CHF 2.25 COCOA 1.98 COFFEE 0.44 COPPER 4.64 CORN 1.90 COTTON2 1.24 CRUDE_W 5.12 DAX 10.68 DOW 9.74 EUR 2.30 EURIBOR-ICE 9.24 EUROSTX 3.04 FEEDCOW 2.12 GASOIL 1.61 GASOLINE 1.37 GAS_US_mini 22.04 GBP 3.49 GOLD_micro 15.65 HEATOIL 1.31 JGB-SGX-mini 30.70 JPY 2.56 LEANHOG 5.13 LIVECOW 3.54 LUMBER-new 2.88 MILK 1.41 MXP 34.25 NASDAQ_micro 3.88 NIKKEI 28.21 NZD 3.43 OAT 2.14 OATIES 2.77 OJ 0.93 PALLAD 0.69 PLAT 2.38 REDWHEAT 0.65 RICE 2.95 ROBUSTA 1.18 RUSSELL 16.11 SHATZ 4.44 SILVER-mini 2.03 SMI 1.62 SOFR 13.70 SOYBEAN 0.40 SOYMEAL 0.60 SOYOIL 0.66 SP400 0.70 SP500_micro 7.26 SUGAR11 2.35 US10 1.24 US10U 0.90 US2 2.61 US20 0.64 US30 0.43 US5 1.93 VIX 12.75 WHEAT 0.63 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -3.0 -2.3 NaN 0 BITCOIN -45.9 -52.7 -39.0 -3.0 -3 BOBL -2.1 -2.2 -1.9 -7.0 -7 BTP 1.1 0.9 1.3 6.0 6 BUND 0.3 0.3 0.4 1.0 1 BUXL -0.1 -0.1 -0.0 -2.0 -2 CAC 0.5 0.2 0.7 NaN 0 CAD -4.2 -4.7 -3.7 -1.0 -1 CANOLA 4.8 4.1 5.5 NaN 0 CHF -2.8 -3.1 -2.6 -3.0 -3 COCOA -0.2 -0.4 -0.0 -1.0 -1 COFFEE -0.7 -0.7 -0.6 NaN 0 COPPER -2.2 -2.7 -1.7 -3.0 -3 CORN -1.3 -1.5 -1.1 -1.0 -1 COTTON2 0.2 0.1 0.3 1.0 1 CRUDE_W 0.9 0.4 1.4 1.0 1 DAX -3.4 -4.5 -2.3 -15.0 -15 DOW -3.5 -4.5 -2.5 -6.0 -6 EUR -1.4 -1.7 -1.2 -3.0 -3 EURIBOR-ICE -6.5 -7.4 -5.6 -7.0 -7 EUROSTX 0.7 0.4 1.0 5.0 5 FEEDCOW -1.3 -1.5 -1.1 0.0 0 GASOIL 2.8 2.6 2.9 4.0 4 GASOLINE 2.7 2.6 2.9 4.0 4 GAS_US_mini -32.3 -34.5 -30.1 -23.0 -23 GBP 1.9 1.6 2.3 4.0 4 GOLD_micro -31.3 -32.9 -29.7 -26.0 -26 HEATOIL 2.2 2.0 2.3 0.0 0 JGB-SGX-mini 31.7 28.6 34.8 16.0 16 JPY -4.9 -5.2 -4.6 -7.0 -7 LEANHOG 7.0 6.5 7.5 6.0 6 LIVECOW 1.4 1.0 1.8 2.0 2 LUMBER-new -3.4 -3.7 -3.1 NaN 0 MILK -2.5 -2.6 -2.3 NaN 0 MXP 67.2 63.8 70.7 60.0 60 NASDAQ_micro -3.2 -3.6 -2.8 -4.0 -4 NIKKEI 42.4 39.5 45.2 36.0 36 NZD -1.4 -1.8 -1.1 1.0 1 OAT 1.3 1.1 1.5 1.0 1 OATIES -1.2 -1.5 -0.9 NaN 0 OJ 1.9 1.8 2.0 NaN 0 PALLAD -0.3 -0.4 -0.2 NaN 0 PLAT -0.9 -1.1 -0.6 -6.0 -6 REDWHEAT -0.6 -0.7 -0.6 -1.0 -1 RICE 2.9 2.6 3.2 NaN 0 ROBUSTA 1.5 1.4 1.6 1.0 1 RUSSELL -7.9 -9.5 -6.3 0.0 0 SHATZ -4.9 -5.3 -4.4 NaN 0 SILVER-mini -1.6 -1.8 -1.4 NaN 0 SMI -0.2 -0.4 -0.0 2.0 2 SOFR -8.6 -9.9 -7.2 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.4 0.4 0.5 0.0 0 SOYOIL 0.8 0.7 0.9 0.0 0 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro -6.2 -6.9 -5.4 -2.0 -2 SUGAR11 0.6 0.3 0.8 0.0 0 US10 -1.5 -1.7 -1.4 NaN 0 US10U -0.8 -0.9 -0.7 -3.0 -3 US2 -5.2 -5.5 -5.0 NaN 0 US20 -0.5 -0.5 -0.4 -1.0 -1 US30 -0.5 -0.5 -0.4 0.0 0 US5 -3.1 -3.3 -2.9 -6.0 -6 VIX -24.4 -25.7 -23.1 -16.0 -16 WHEAT -0.9 -1.0 -0.9 -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 1.9 0.9 0.9 6.3 6.3 6.3 6.3 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 1.2 2.1 0.8 2.8 0.8 1.2 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 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 -0.5 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.2 -0.4 -0.3 -0.1 -0.3 0.0 0.1 BITCOIN -0.3 -0.2 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.3 0.4 -0.2 0.1 -0.1 0.0 -0.5 -0.2 -0.4 -0.3 -0.0 0.1 -0.3 0.1 -0.1 -1.1 -0.0 -0.3 0.0 -0.1 0.1 -0.1 -0.3 -0.4 0.3 0.2 0.0 -0.1 0.3 -0.1 0.3 BOBL -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -1.2 -0.5 -1.2 -1.0 -0.0 -0.0 -0.1 -0.2 -0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -2.6 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.2 BTP -0.3 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.3 0.5 0.3 0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.4 -0.0 -0.1 0.0 -0.0 0.0 -0.0 2.6 0.2 0.1 0.1 0.4 -0.3 -0.3 -0.0 0.1 BUND -0.2 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 0.4 0.5 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.8 0.1 0.0 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.4 -0.2 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 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 1.0 0.1 -0.1 0.0 0.1 -0.3 -0.3 -0.0 0.2 CAC -0.2 -0.2 -0.5 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.1 0.5 -0.0 0.0 -0.4 -0.0 -0.3 -0.1 -0.0 0.1 -0.2 0.3 -0.1 -0.2 -0.0 -0.2 0.1 -0.1 0.2 -0.0 1.1 0.7 0.4 0.1 -0.1 0.3 -0.0 0.3 0.0 CAD -0.5 -0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.3 -0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA -0.5 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.0 -0.1 0.0 0.1 -0.2 0.8 0.3 0.6 0.1 0.1 0.0 -0.0 0.0 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 1.2 0.3 -0.1 0.5 0.4 -0.2 0.1 0.0 0.3 CHF -0.4 0.2 0.1 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.4 -0.0 0.0 -0.8 -0.8 -0.8 -0.8 0.0 0.1 -0.2 0.2 -0.0 -0.4 0.0 -0.1 0.1 -0.0 0.1 -0.0 -3.0 0.1 0.1 0.4 0.0 -0.2 -0.3 -0.3 -0.3 COCOA -0.3 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.4 -0.0 0.5 0.1 0.1 -0.4 -0.1 -0.2 -0.1 0.2 0.2 0.0 0.4 0.1 -0.6 0.1 0.0 0.2 0.0 0.3 0.0 -2.5 -0.3 0.4 0.5 0.5 -0.2 -0.2 0.2 -0.1 COFFEE -0.0 -0.3 -0.4 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.3 -0.1 -0.2 -0.1 0.2 0.1 0.1 -0.2 -0.1 -0.2 -0.3 -0.2 -1.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -1.3 -0.7 -0.2 -0.5 -0.2 -0.3 -0.3 -0.2 -0.2 COPPER -0.3 0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.2 0.3 0.0 -0.1 0.0 -0.3 0.1 -0.2 CORN -0.5 -0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 0.3 -0.3 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.2 -0.0 -0.2 -0.3 0.0 -0.0 0.1 0.0 0.2 COTTON2 -0.1 0.3 0.3 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.0 0.1 0.5 0.4 0.5 0.4 0.1 0.0 -0.1 -0.0 0.0 -1.1 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.5 0.0 0.2 0.2 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.2 0.5 0.2 0.1 0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 -0.2 0.1 0.1 0.5 0.5 0.4 0.4 0.2 0.1 0.0 0.1 0.2 -0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -2.0 -0.7 -0.5 -0.3 -0.1 0.2 0.2 0.2 0.1 DAX -0.4 -0.3 -0.3 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.1 0.4 -0.1 -0.0 -0.5 -0.4 -0.5 -0.5 -0.0 0.0 -0.2 0.3 -0.1 0.8 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.5 0.5 0.2 -0.2 -0.1 0.3 0.0 0.3 0.1 DOW -0.4 0.3 0.3 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.1 0.4 0.0 0.1 -0.7 -0.4 -0.6 -0.6 0.1 0.1 -0.3 0.2 -0.0 -0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.8 0.3 0.5 0.5 0.4 -0.1 -0.1 -0.3 -0.1 EUR -0.4 0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.1 0.3 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.2 0.1 -0.1 0.7 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -1.2 0.0 -0.0 -0.0 -0.3 -0.0 -0.3 0.0 0.0 EURIBOR-ICE 0.0 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.5 -0.5 -0.6 -0.5 -0.0 -0.0 -0.1 -0.2 -0.0 0.9 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.7 0.0 0.2 0.1 0.1 -0.3 -0.3 0.3 0.1 EUROSTX -0.3 -0.3 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.2 -0.1 0.4 -0.1 -0.0 -0.3 -0.0 -0.3 -0.2 -0.0 0.0 -0.2 0.2 -0.1 0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.0 1.0 0.5 0.3 -0.0 -0.0 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 -0.1 0.6 0.1 0.2 -0.4 -1.2 -1.2 -1.2 0.2 0.2 -0.1 0.4 0.1 0.2 0.1 -0.0 0.3 -0.0 0.4 0.0 -3.2 -0.7 0.3 0.5 0.5 0.1 -0.2 0.2 -0.1 GASOIL 0.5 0.5 0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 -0.1 0.1 0.1 1.2 1.0 0.9 0.8 0.2 0.2 0.2 0.2 0.2 0.6 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.5 0.5 0.3 -0.1 0.0 -0.2 -0.1 GASOLINE 0.1 0.5 0.4 0.1 0.0 0.1 0.0 0.0 0.0 -0.2 0.4 0.0 -0.0 0.2 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 0.1 0.0 0.2 0.0 3.2 -0.1 -0.4 0.0 0.4 0.2 0.2 0.2 0.0 GAS_US_mini 0.1 0.4 0.4 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 -0.3 -0.0 -0.5 -0.0 0.0 -1.2 -0.8 -1.0 -0.9 0.0 -0.1 -0.1 -0.4 0.0 1.0 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -3.2 -0.0 -0.5 -0.5 -0.3 0.1 0.1 -0.0 0.0 GBP -0.4 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.1 0.3 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.5 0.7 0.4 0.0 0.1 0.1 0.2 0.1 0.3 GOLD_micro -0.5 -0.3 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.2 0.2 -0.2 -0.2 -1.0 -0.8 -1.0 -0.9 -0.2 -0.1 -0.2 0.1 -0.2 -0.6 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.7 -0.4 -0.1 -0.4 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.4 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.1 -0.1 0.2 0.2 1.2 1.1 1.0 0.9 0.2 0.2 0.3 0.2 0.2 -1.1 0.1 0.0 0.1 0.0 0.1 0.1 0.4 0.1 0.5 0.5 0.5 0.0 0.0 -0.0 -0.0 JGB-SGX-mini -0.5 -0.5 -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 0.8 1.2 0.7 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 0.3 -0.1 -0.1 0.2 -0.3 -0.1 0.1 0.1 JPY -0.4 0.2 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 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0.3 0.3 0.5 0.0 0.3 0.2 0.3 OJ -0.3 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.4 0.1 0.5 0.1 0.1 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.2 0.1 0.2 0.1 3.2 0.7 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 0.1 -0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.4 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.4 0.3 -0.1 -0.3 -0.2 -0.0 0.1 0.0 PLAT -0.3 -0.1 -0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -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 -0.1 -0.3 0.0 -0.2 0.2 -0.2 REDWHEAT -0.5 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.2 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.5 -0.1 -0.3 -0.3 0.0 -0.3 -0.2 -0.1 -0.1 RICE -0.0 0.3 0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 -0.6 1.2 0.9 1.2 0.1 0.0 -0.1 0.0 0.0 -1.1 0.0 -0.0 0.0 -0.0 0.0 0.0 3.2 -0.4 0.2 0.0 0.4 -0.1 -0.3 0.1 -0.2 ROBUSTA -0.2 -0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.0 0.0 1.2 1.1 1.2 1.2 0.0 0.1 -0.2 0.3 -0.0 -0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 3.2 -0.6 0.0 -0.4 0.5 -0.1 -0.2 0.1 -0.1 RUSSELL -0.5 0.2 0.4 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.1 -0.0 -0.0 0.1 -0.5 -0.3 -0.4 -0.4 0.0 0.1 -0.2 0.0 -0.1 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.4 -0.0 0.4 0.4 -0.1 -0.1 -0.3 -0.2 SHATZ 0.2 0.1 -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 -1.2 -0.3 -1.0 -0.6 -0.0 -0.1 -0.0 -0.3 -0.0 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.4 0.1 0.3 0.2 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.5 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.0 -0.2 0.0 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.1 -0.1 0.1 -0.1 -0.2 -0.3 -0.0 -0.3 SMI -0.2 -0.3 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.1 0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 0.2 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 1.5 0.3 0.5 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR -0.3 -0.3 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.2 -0.1 -0.0 -0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN -0.5 0.2 0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.0 -0.0 0.0 1.0 1.2 1.0 1.1 0.0 0.0 0.0 -0.0 -0.0 -1.0 0.0 0.0 0.0 0.0 0.0 -0.0 3.2 0.2 -0.2 0.1 0.2 -0.1 0.1 -0.1 0.3 SOYMEAL -0.4 0.0 -0.4 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 0.5 1.2 1.0 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 -0.2 -0.2 -0.0 0.1 -0.2 -0.2 -0.1 -0.2 SOYOIL -0.2 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 0.0 -0.1 0.1 0.1 0.9 0.6 0.7 0.6 0.1 0.1 0.2 0.0 0.1 -1.1 0.0 0.1 0.0 0.0 0.0 0.0 0.6 0.6 0.2 0.4 0.5 0.0 0.1 0.2 0.3 SP400 -0.5 0.3 0.4 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.1 0.2 -0.0 0.1 -0.4 -0.3 -0.3 -0.3 0.0 0.1 -0.3 0.2 -0.1 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 -0.3 -0.1 0.5 0.4 0.0 -0.1 -0.2 -0.2 SP500_micro -0.5 -0.1 0.5 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.2 0.3 -0.1 0.1 -0.8 -0.5 -0.8 -0.7 0.1 0.2 -0.3 0.4 -0.1 -1.0 0.0 -0.1 0.1 -0.1 0.2 -0.0 -1.2 -0.1 -0.1 0.4 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 -0.2 -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.2 -0.1 0.4 0.0 -0.0 -0.2 0.8 0.0 0.4 0.0 0.1 -0.0 0.4 -0.0 -1.1 0.0 -0.0 0.2 -0.0 0.5 -0.0 0.6 0.3 -0.0 -0.5 0.2 -0.2 -0.2 0.1 -0.1 US10 -0.3 -0.3 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.5 -0.1 -0.1 -0.1 -0.2 -0.3 -0.3 0.2 0.0 US10U -0.4 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.3 -0.1 -0.2 -0.2 -0.1 -0.1 -0.2 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.3 -0.3 0.3 0.2 US2 0.0 -0.3 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 -0.1 -0.4 -0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.0 0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.3 US20 -0.5 -0.4 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 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=================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -20.0 -8.1 -1.3 0.1 -2.9 2.0 -4.2 1.5 -3.0 -11.6 -8.8 -13.0 -5.2 -12.7 -9.2 -2.9 -2.7 -2.8 -2.8 -11.3 -6.4 -18.8 -5.6 -17.5 2.5 -3.3 -4.9 -1.6 -6.1 -1.4 -5.5 -0.6 -5.7 -7.9 -17.7 -11.1 -4.1 -20.0 0.7 7.2 BITCOIN -11.6 -6.0 3.7 -3.8 -3.7 0.3 -9.0 1.8 -8.4 -20.0 17.7 -20.0 2.1 -14.0 3.2 -7.9 -4.0 -7.0 -5.5 -2.5 7.8 -20.0 5.8 -14.3 -20.0 -2.4 -20.0 2.3 -17.6 3.0 -8.8 -1.6 -12.2 11.8 6.4 1.3 -8.0 20.0 -6.6 20.0 BOBL -1.1 -1.6 -5.1 -2.4 -1.8 -2.0 -3.0 -2.4 -2.8 -4.7 -3.7 -5.6 -6.9 -1.6 -4.8 -20.0 -8.2 -20.0 -16.5 -3.8 -5.3 -4.7 -9.5 -3.7 9.9 -1.6 -1.3 -1.8 -2.4 -3.3 -1.8 -16.3 4.1 5.6 4.6 2.5 -20.0 -20.0 -20.0 -14.7 BTP -11.2 -6.9 9.4 -3.8 -2.8 -3.2 -4.6 -3.7 -4.4 -7.2 6.8 -10.1 -0.1 -5.5 -0.4 4.7 8.1 5.4 6.5 -2.1 1.4 -9.8 -1.9 -7.0 -6.9 -1.2 -4.2 1.4 -5.9 0.2 -4.2 16.6 4.8 3.2 4.3 15.9 -20.0 -20.0 -1.2 6.8 BUND -8.6 -4.6 1.2 -2.6 -1.9 -2.2 -3.1 -2.5 -3.0 -4.7 -4.8 -6.6 -7.6 -5.9 -5.8 6.3 8.8 6.4 7.1 -4.9 -4.9 -6.6 -8.9 -6.1 6.0 -2.3 -1.7 -1.7 -3.4 -2.9 -3.1 17.5 4.3 1.3 2.5 3.4 -20.0 -20.0 -17.3 -1.6 BUXL -15.0 -6.6 1.7 -3.0 -2.2 -2.5 -3.6 -2.9 -3.4 -6.5 -8.8 -8.6 -9.7 -8.8 -7.8 0.5 1.1 1.1 1.5 -7.3 -6.9 -9.6 -11.8 -9.5 0.5 -2.8 -2.4 -1.9 -3.9 -2.8 -3.9 6.2 4.3 -4.3 0.2 3.5 -20.0 -20.0 -2.0 12.1 CAC -9.1 -8.7 -18.5 -1.3 -13.6 2.4 -12.0 3.2 -6.9 -18.0 14.1 -17.5 17.9 -3.7 0.7 -7.0 -0.3 -5.0 -2.5 -1.3 7.3 -17.9 15.9 -9.1 -4.6 -0.5 -14.0 4.0 -10.5 7.7 -5.4 7.3 20.0 17.7 5.0 -2.6 20.0 -1.0 20.0 2.0 CAD -20.0 -9.5 8.5 0.1 -5.0 3.4 -7.4 2.6 -5.2 -20.0 7.4 -20.0 -8.7 -20.0 -3.6 -2.0 -2.0 -2.1 -2.2 -10.5 0.4 -20.0 -2.7 -20.0 0.7 -3.8 -8.6 0.4 -11.0 -0.2 -9.4 0.6 -7.7 -6.0 -20.0 -4.5 -16.2 -20.0 -20.0 -17.0 CANOLA -20.0 20.0 20.0 0.3 -0.2 -0.8 -1.7 -2.0 -0.6 8.6 4.1 -1.8 -5.3 3.6 6.4 -3.7 13.3 4.9 10.6 9.7 6.4 3.8 -0.9 4.3 -20.0 1.9 2.4 0.7 1.0 -1.1 1.0 7.7 9.7 -5.9 19.0 14.1 -16.1 9.2 2.6 20.0 CHF -16.1 8.7 4.1 0.1 -4.1 2.8 -6.0 2.1 -4.2 -15.5 10.0 -17.7 13.2 -2.4 3.4 -14.0 -13.1 -14.1 -13.7 5.8 11.8 -12.8 11.2 -5.3 -8.1 2.7 -4.7 4.6 -4.3 3.8 -1.3 -18.9 2.0 5.5 15.2 1.4 -17.2 -20.0 -19.3 -20.0 COCOA -13.1 2.3 12.8 0.7 -0.5 -1.7 -3.5 -4.1 -1.3 6.4 19.9 -1.9 19.8 8.1 16.7 -7.0 -1.6 -3.3 -1.8 20.0 20.0 3.4 20.0 8.0 -10.9 6.6 1.4 9.8 0.6 9.3 2.1 -16.1 -8.6 15.4 20.0 20.0 -13.0 -16.3 14.0 -4.3 COFFEE -0.8 -13.2 -14.6 0.7 -0.4 -1.6 -3.3 -3.8 -1.2 -15.5 -7.6 -16.8 -10.4 -17.6 -18.3 -1.2 3.1 1.2 2.5 -19.6 -16.8 -20.0 -13.3 -20.0 -20.0 -5.1 -9.1 -2.9 -10.5 -1.8 -7.6 -8.4 -20.0 -9.3 -20.0 -9.7 -20.0 -20.0 -12.2 -13.2 COPPER -10.8 2.2 -5.3 -1.9 -1.9 0.2 -4.5 0.9 -4.2 -5.8 -5.2 -10.4 -3.0 -8.3 -3.7 -5.9 -2.0 -4.1 -3.0 -5.3 -3.7 -11.9 -3.0 -9.5 -3.8 -1.6 -2.4 -1.4 -5.2 -1.4 -3.6 2.1 -4.8 10.8 1.5 -5.5 3.4 -20.0 10.5 -17.2 CORN -18.6 -11.3 3.8 0.3 -0.2 -0.6 -1.2 -1.4 -0.5 1.7 -5.1 -5.7 -5.3 -6.2 -5.8 -7.3 5.9 -4.4 0.4 -5.7 -4.7 -4.8 -3.5 -6.7 -6.8 -0.9 0.2 -1.2 -1.4 -1.7 -1.6 -7.4 -0.5 -6.1 -12.8 0.6 -3.0 8.4 1.0 15.8 COTTON2 -2.0 11.8 11.3 0.4 -0.3 -1.0 -2.2 -2.5 -0.8 -11.0 6.0 -8.8 -8.7 5.5 6.7 7.9 7.0 7.7 6.1 6.1 3.9 -4.5 -1.4 2.6 -20.0 3.0 -4.8 2.3 -2.0 1.0 1.4 -3.0 0.6 8.2 6.8 13.4 -19.6 -15.6 11.0 8.8 CRUDE_W 9.3 20.0 9.3 6.4 0.8 3.3 2.6 1.3 6.0 -9.3 12.8 2.8 -8.3 17.7 17.8 8.7 8.4 7.5 7.3 20.0 15.5 0.3 6.3 20.0 -7.0 7.1 -2.2 5.2 -0.3 3.4 4.8 -12.8 -20.0 -20.0 -12.3 -2.6 15.5 12.1 17.1 6.3 DAX -14.7 -11.9 -10.1 -1.2 -12.5 2.2 -11.0 2.9 -6.3 -16.4 10.8 -17.2 15.6 -9.4 -4.2 -8.3 -6.8 -8.3 -7.9 -5.2 5.0 -19.6 12.1 -13.8 16.0 -3.0 -10.4 1.5 -9.4 4.4 -6.9 -3.3 13.5 9.6 -7.4 -3.7 20.0 0.3 20.0 6.3 DOW -14.6 10.1 10.7 -1.3 -12.9 2.3 -11.5 3.0 -6.6 -16.9 13.3 -14.9 12.7 3.4 12.2 -11.6 -7.5 -10.8 -9.4 10.1 12.9 -20.0 9.3 -3.8 -10.2 3.9 -10.2 5.3 -7.3 4.2 -1.2 -5.2 10.5 19.6 20.0 15.1 -7.9 -4.9 -20.0 -4.2 EUR -16.9 1.0 0.0 0.1 -3.9 2.7 -5.8 2.0 -4.1 -15.7 4.8 -17.5 9.7 -13.3 -2.2 -6.3 -6.8 -6.5 -6.5 -2.4 4.1 -14.9 3.8 -10.8 14.0 -0.6 -5.5 2.2 -6.7 1.8 -4.6 -7.3 0.9 -1.1 -1.2 -10.4 -3.3 -20.0 1.4 2.9 EURIBOR-ICE 0.4 3.0 -2.0 -2.3 -1.7 -1.9 -2.8 -2.3 -2.7 -4.3 -3.9 -5.0 -6.6 1.3 -3.0 -8.5 -7.7 -9.4 -9.1 -2.8 -4.7 -4.6 -9.1 -2.9 17.1 -1.2 -1.2 -1.7 -2.0 -3.4 -1.3 -10.9 1.2 6.2 5.2 2.2 -20.0 -20.0 20.0 7.2 EUROSTX -11.5 -12.0 -13.8 -1.1 -11.2 2.0 -9.9 2.6 -5.7 -14.9 11.8 -15.1 15.2 -8.1 -2.6 -4.5 -0.6 -4.4 -2.9 -2.0 5.8 -15.5 11.8 -9.2 4.4 -1.6 -11.3 2.8 -9.3 6.0 -5.7 6.6 15.6 13.8 -0.1 -1.4 20.0 2.4 20.0 8.5 FEEDCOW -5.2 10.3 20.0 0.8 -0.5 -1.9 -4.1 -4.8 -1.5 -11.8 20.0 -7.6 20.0 15.1 20.0 -6.6 -20.0 -20.0 -20.0 20.0 20.0 -5.0 20.0 7.8 4.4 8.3 -2.6 13.8 -1.6 15.0 2.4 -20.0 -20.0 12.2 20.0 20.0 4.1 -14.1 17.7 -6.6 GASOIL 20.0 20.0 17.7 5.0 0.6 2.6 2.1 1.0 4.7 5.4 7.4 14.3 -2.3 17.3 17.5 20.0 16.4 15.9 14.1 20.0 19.4 19.1 8.3 20.0 11.7 6.1 1.5 3.3 3.2 1.1 5.9 0.0 3.5 20.0 19.6 13.4 -11.2 2.6 -14.8 -4.9 GASOLINE 5.7 20.0 15.8 6.2 0.8 3.2 2.5 1.2 5.8 -15.5 19.0 4.5 -1.1 18.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 5.1 19.3 20.0 -20.0 7.6 -1.6 6.6 1.0 5.5 5.3 20.0 -2.8 -17.2 1.4 17.8 13.9 14.3 16.4 2.4 GAS_US_mini 2.6 16.8 17.0 4.4 0.6 2.3 1.8 0.9 4.1 -12.4 -13.5 -4.3 -16.4 -1.2 4.6 -20.0 -13.9 -16.2 -15.8 0.1 -12.8 -4.1 -20.0 0.8 18.3 2.5 -5.6 -0.1 -1.7 -2.9 1.4 -20.0 -0.3 -20.0 -20.0 -10.6 7.1 9.9 -2.5 0.5 GBP -14.3 -1.6 9.5 0.1 -4.4 3.0 -6.4 2.2 -4.5 2.5 11.9 -12.4 11.7 -10.4 2.2 0.3 -0.9 0.1 -0.4 3.5 11.7 -3.7 9.6 -4.7 -0.9 2.2 1.3 5.5 -1.6 3.3 -1.9 3.0 20.0 15.3 1.1 4.8 3.8 12.1 8.8 20.0 GOLD_micro -20.0 -10.2 -14.0 -3.5 -3.4 0.3 -8.3 1.6 -7.7 -20.0 -5.6 -20.0 6.7 -20.0 -20.0 -17.2 -12.7 -16.2 -14.6 -20.0 -8.9 -20.0 3.8 -20.0 -11.3 -5.4 -10.4 -1.2 -12.1 2.0 -9.5 -17.0 -20.0 -14.0 -2.4 -15.2 -20.0 -20.0 -10.5 -20.0 HEATOIL 20.0 20.0 17.9 6.3 0.8 3.3 2.6 1.3 6.0 0.1 7.9 13.6 -4.4 19.7 20.0 20.0 18.5 17.6 15.4 20.0 20.0 20.0 11.0 20.0 -20.0 7.7 2.0 4.9 3.5 2.8 7.0 2.7 2.6 20.0 20.0 20.0 2.8 0.6 -2.7 -1.4 JGB-SGX-mini -20.0 -20.0 -3.0 -2.3 -1.7 -2.0 -2.9 -2.3 -2.7 -3.2 4.5 -6.0 4.9 -6.4 -4.8 13.3 19.6 12.4 14.8 -5.0 0.3 -5.1 2.9 -7.1 0.4 -1.8 -0.6 -0.2 -1.7 0.2 -2.4 20.0 9.0 -2.6 -5.3 6.8 -20.0 -7.7 4.5 7.4 JPY -16.1 7.1 -17.9 0.1 -2.4 1.6 -3.6 1.2 -2.5 -6.4 -9.7 -9.7 -9.1 -9.6 -10.0 -15.5 -13.6 -15.8 -15.1 -13.2 -13.2 -12.6 -13.6 -13.6 20.0 -3.6 -1.7 -3.3 -3.6 -3.4 -3.8 -20.0 -7.2 -3.4 -11.1 -20.0 -9.3 -20.0 -9.6 -20.0 LEANHOG -12.2 17.9 9.7 0.4 -0.3 -1.0 -2.0 -2.4 -0.8 -3.8 -3.4 -8.0 -6.0 -4.7 7.5 20.0 18.9 20.0 20.0 -0.6 -4.5 -8.8 -10.0 -5.5 11.8 -2.5 -0.0 -5.3 -4.1 -7.5 -3.2 20.0 -10.6 -7.2 -4.1 -9.7 -6.2 1.7 20.0 20.0 LIVECOW -15.3 3.8 20.0 0.8 -0.5 -1.9 -4.1 -4.8 -1.5 -18.7 20.0 -18.1 20.0 7.8 19.2 -10.9 6.1 1.6 10.4 20.0 20.0 -16.2 20.0 0.6 5.2 7.3 -5.5 11.3 -4.0 10.9 0.8 3.0 -20.0 -10.3 20.0 20.0 -20.0 -20.0 -19.2 -19.4 LUMBER-new -13.4 -3.7 2.4 0.8 -0.5 -1.4 -3.7 -3.1 -1.4 17.6 -18.1 -3.0 -20.0 -15.4 -14.4 -15.6 -12.7 -13.3 -12.9 -11.3 -9.1 6.0 -8.4 -9.3 NaN -3.7 9.3 -2.5 3.4 -1.8 -2.7 -20.0 20.0 -15.9 -18.8 0.4 -20.0 -20.0 -16.0 -20.0 MILK 13.0 20.0 4.8 0.3 -0.2 -0.8 -1.6 -1.9 -0.6 0.1 -5.9 -2.0 -9.1 4.3 -2.4 -19.8 -20.0 -20.0 -20.0 -2.0 -9.3 1.1 -12.7 2.6 -2.7 -1.3 0.3 -3.9 0.3 -4.7 0.6 -20.0 5.4 12.2 -5.0 -20.0 -20.0 -20.0 -15.8 -20.0 MXP -18.4 -18.8 3.0 0.1 -3.9 2.6 -5.7 2.0 -4.0 6.5 16.5 -1.5 17.8 -0.5 12.3 16.2 17.7 17.5 17.6 11.1 20.0 -0.7 20.0 1.5 -20.0 4.7 1.1 9.0 -0.6 10.9 0.4 20.0 20.0 20.0 8.9 20.0 20.0 5.9 20.0 20.0 NASDAQ_micro -20.0 -11.0 20.0 -0.9 -9.3 1.6 -8.2 2.2 -4.7 -12.4 12.1 -13.2 8.8 -7.6 7.8 -10.6 -7.9 -10.5 -9.6 6.6 20.0 -20.0 18.5 -11.9 -20.0 1.9 -6.3 5.8 -5.8 5.9 -3.0 -5.6 -3.3 -3.6 4.2 20.0 -7.7 -12.3 -18.5 -14.9 NIKKEI -18.2 -20.0 14.8 -1.2 -12.5 2.2 -11.1 2.9 -6.4 -16.2 14.6 -15.9 15.2 -13.6 9.3 15.9 12.4 14.9 13.5 5.4 20.0 -18.5 20.0 -10.2 -6.0 2.5 -7.5 8.0 -6.1 8.3 -3.2 20.0 20.0 15.8 -7.7 20.0 3.7 2.8 -2.3 8.7 NZD -20.0 -5.6 -4.8 0.1 -2.8 1.9 -4.1 1.4 -2.8 -10.9 -7.1 -12.4 -0.0 -12.0 -8.9 -0.1 0.5 0.3 0.4 -9.7 -5.0 -17.4 -4.0 -15.9 0.4 -3.1 -4.3 -1.4 -6.0 -1.0 -5.3 4.9 -7.3 -4.6 -11.1 -10.6 -0.9 -12.9 3.7 7.4 OAT -9.4 -5.6 2.8 -2.8 -2.0 -2.4 -3.4 -2.7 -3.2 -5.5 -5.3 -7.4 -7.9 -6.6 -5.6 5.6 8.8 6.6 7.6 -5.0 -4.6 -7.4 -8.4 -6.7 8.1 -2.4 -2.2 -1.6 -3.8 -3.0 -3.5 18.2 4.0 1.4 2.1 5.0 -20.0 -20.0 -1.4 3.4 OATIES -6.3 16.0 20.0 0.5 -0.3 -1.2 -2.6 -3.0 -1.0 13.9 11.4 4.1 -7.1 7.2 12.4 -18.1 -2.5 -14.7 -10.1 20.0 19.5 14.5 9.2 13.3 -20.0 4.5 5.5 4.2 3.7 1.9 3.0 -20.0 20.0 11.4 12.6 20.0 1.8 20.0 14.3 20.0 OJ -13.3 7.5 -1.5 0.7 -0.4 -1.5 -3.2 -3.8 -1.2 9.0 18.8 11.5 19.3 16.1 17.6 20.0 19.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.7 7.3 7.4 7.4 8.7 6.7 20.0 20.0 20.0 20.0 20.0 17.6 5.2 20.0 16.4 PALLAD 8.5 3.4 -13.6 -1.8 -1.7 0.1 -4.2 0.8 -3.9 -2.7 -11.4 -4.5 -11.7 -7.0 -10.5 -2.4 -2.6 -2.9 -2.9 -9.2 -15.3 -3.0 -20.0 -4.6 -3.2 -3.2 -0.2 -4.3 -1.2 -4.9 -1.8 1.6 12.2 12.2 -4.9 -11.0 -18.9 -1.5 4.5 1.7 PLAT -11.2 -4.6 -18.3 -1.9 -1.9 0.2 -4.5 0.9 -4.2 0.5 -9.3 -8.8 -1.6 -9.4 -10.9 -3.4 -2.1 -3.1 -2.6 -11.5 -8.8 -7.4 -4.0 -10.9 12.4 -3.4 0.7 -2.2 -2.8 -0.9 -3.8 2.4 6.6 -0.4 -3.4 -11.7 2.4 -16.2 14.3 -12.0 REDWHEAT -20.0 -5.0 0.1 0.3 -0.2 -0.7 -1.5 -1.8 -0.6 -2.7 -2.3 -8.4 -7.5 -8.1 -4.1 -4.1 2.4 -1.4 1.2 -6.0 -3.1 -10.1 -2.6 -10.4 -9.2 -1.6 -1.0 -0.8 -3.1 -0.4 -3.0 -9.7 -2.9 -11.4 -12.1 1.5 -20.0 -18.8 -8.8 -6.7 RICE -0.3 12.3 6.9 0.6 -0.4 -1.4 -3.0 -3.5 -1.1 -11.7 1.9 -6.4 -0.1 9.2 12.5 -10.0 20.0 15.6 20.0 9.0 5.0 -5.6 1.2 4.0 -20.0 3.6 -3.0 2.3 -2.7 0.5 1.2 20.0 -11.8 9.5 1.9 18.0 -7.3 -20.0 5.0 -14.0 ROBUSTA -7.5 -13.2 5.2 0.5 -0.3 -1.1 -2.2 -2.6 -0.8 -11.8 10.3 -9.1 10.4 -5.2 3.3 20.0 18.6 20.0 20.0 3.4 12.4 -14.3 15.8 -5.5 -11.4 1.5 -8.3 5.7 -6.4 7.2 -2.5 20.0 -17.7 1.1 -14.7 20.0 -4.9 -18.0 9.8 -9.2 RUSSELL -20.0 9.4 17.3 -1.2 -12.1 2.1 -10.7 2.8 -6.2 -14.0 4.7 -16.6 -0.6 -3.6 8.0 -7.7 -5.4 -7.1 -6.4 4.0 8.6 -20.0 2.2 -13.7 -2.3 1.4 -10.0 3.3 -9.5 2.2 -4.3 -0.7 -12.7 -0.3 15.3 15.9 -4.9 -8.5 -20.0 -11.8 SHATZ 9.2 2.0 -16.2 -2.4 -1.7 -2.0 -2.9 -2.3 -2.8 -4.1 -5.7 -4.0 -7.3 0.9 -4.9 -20.0 -4.6 -16.5 -10.6 -4.0 -8.3 -2.5 -13.5 -1.5 11.2 -1.3 -0.6 -2.6 -1.2 -4.6 -0.6 -8.6 4.4 10.5 6.4 -0.5 -20.0 -20.0 -20.0 -20.0 SILVER-mini -20.0 -2.4 -9.0 -2.3 -2.2 0.2 -5.4 1.0 -5.0 -6.6 0.6 -13.4 4.1 -10.8 -9.2 -6.8 -5.6 -6.7 -6.3 -8.5 -2.0 -14.6 1.7 -14.9 6.8 -2.0 -1.6 0.2 -4.8 0.8 -4.6 -3.9 -2.3 -5.6 5.3 -4.1 -16.1 -20.0 -0.9 -20.0 SMI -8.6 -11.8 -7.5 -1.2 -11.9 2.1 -10.5 2.8 -6.0 -15.8 4.2 -16.0 4.6 -10.0 -8.7 -3.1 1.3 -2.8 -1.2 -8.0 -1.7 -19.9 2.2 -13.3 4.1 -2.4 -14.6 -0.9 -9.6 -1.0 -4.8 9.7 9.4 20.0 -3.9 -7.6 -8.0 -10.6 -17.7 -15.8 SOFR -11.4 -11.7 -11.1 -2.6 -1.9 -2.2 -3.1 -2.5 -3.0 -7.1 -4.1 -7.9 -2.6 -6.5 -6.6 -2.1 -0.8 -1.9 -1.4 -7.9 -5.3 -11.4 -4.0 -9.8 -1.5 -2.7 -3.2 -1.8 -3.8 -1.2 -3.2 1.9 -5.3 -4.5 -1.5 -3.5 -20.0 -20.0 -5.3 -2.8 SOYBEAN -20.0 9.4 14.0 0.3 -0.2 -0.7 -1.5 -1.7 -0.5 7.2 3.1 -4.7 -1.3 -1.3 3.8 16.2 20.0 16.8 18.7 1.8 1.8 0.7 -0.0 -1.1 -18.7 1.0 2.2 0.8 0.3 0.1 -0.1 20.0 6.4 -6.2 2.1 8.3 -10.2 10.8 -6.8 20.0 SOYMEAL -15.9 1.4 -14.8 0.3 -0.2 -0.8 -1.6 -1.9 -0.6 -1.1 -3.7 -7.7 1.8 -5.5 -2.9 8.7 20.0 16.1 20.0 -2.7 -1.5 -6.3 1.3 -5.4 -20.0 0.3 -0.6 1.1 -2.4 2.1 -1.6 20.0 -5.4 -8.4 -0.4 3.4 -12.1 -17.7 -8.7 -16.0 SOYOIL -6.6 20.0 20.0 0.4 -0.2 -0.9 -1.8 -2.1 -0.7 10.0 5.9 3.9 -1.9 7.1 8.8 14.8 10.7 11.9 10.0 12.9 9.0 12.2 2.4 10.3 -20.0 3.0 4.4 2.1 3.0 0.6 2.4 3.6 19.1 9.3 14.7 20.0 0.3 6.4 14.2 20.0 SP400 -20.0 10.5 15.6 -1.2 -12.2 2.1 -10.8 2.9 -6.2 -15.4 7.3 -17.1 7.2 -1.0 9.7 -6.1 -4.7 -5.7 -5.3 5.6 11.4 -20.0 7.3 -13.2 -12.3 1.4 -11.1 3.3 -9.6 2.5 -4.2 0.7 -9.8 -3.3 19.3 14.4 0.3 -9.7 -12.1 -13.7 SP500_micro -20.0 -2.2 20.0 -1.3 -13.3 2.3 -11.8 3.1 -6.8 -17.8 16.5 -18.9 11.0 -7.1 11.2 -13.3 -9.0 -12.7 -11.0 9.2 20.0 -20.0 18.5 -15.0 -19.4 2.7 -10.4 6.4 -9.1 5.6 -4.0 -7.6 -3.1 -2.8 16.8 20.0 -5.1 -11.2 -16.4 -16.0 SUGAR11 -6.0 -6.1 -6.8 0.7 -0.4 -1.6 -3.3 -3.8 -1.2 1.0 12.0 -6.9 14.5 2.5 -1.0 -2.6 12.7 0.3 6.2 0.4 13.6 -1.3 20.0 -2.4 -20.0 0.5 -1.4 8.8 -0.6 17.1 -1.3 4.1 9.9 -1.7 -20.0 8.7 -17.7 -18.4 10.8 -4.4 US10 -10.9 -11.4 -15.1 -2.4 -1.8 -2.0 -2.9 -2.4 -2.8 -6.8 -6.3 -7.6 -6.9 -7.3 -7.5 -8.1 -6.7 -8.7 -8.4 -9.6 -8.4 -9.9 -8.5 -9.9 0.7 -2.8 -2.3 -2.3 -3.0 -2.0 -2.9 -9.5 -2.8 -5.0 -2.6 -6.1 -20.0 -20.0 14.7 1.2 US10U -14.8 -12.6 -11.7 -3.2 -2.3 -2.7 -3.9 -3.1 -3.7 -8.8 -8.1 -10.2 -8.8 -9.8 -9.9 -5.7 -1.5 -3.7 -2.8 -12.9 -10.4 -14.1 -10.6 -14.2 -3.6 -3.7 -3.2 -2.8 -4.2 -2.2 -4.1 0.0 -3.2 -9.9 -4.7 -7.8 -20.0 -20.0 20.0 18.9 US2 1.6 -12.6 -20.0 -2.5 -1.8 -2.1 -3.0 -2.4 -2.9 -5.9 -7.9 -6.7 -7.9 -7.4 -8.5 -20.0 -20.0 -20.0 -20.0 -13.1 -16.0 -6.0 -17.3 -8.1 8.1 -2.9 -1.1 -3.3 -1.6 -3.7 -1.9 -20.0 -0.1 1.6 -2.6 -12.0 -20.0 -20.0 -20.0 -20.0 US20 -20.0 -15.3 -10.9 -2.4 -1.8 -2.1 -3.0 -2.4 -2.8 -7.1 -6.1 -8.0 -5.7 -7.7 -7.7 -1.7 -1.4 -1.7 -1.8 -10.9 -8.2 -12.4 -7.9 -12.6 -3.5 -2.8 -2.5 -2.0 -3.2 -1.6 -3.3 0.9 -2.6 -11.9 -5.8 -6.1 -20.0 -20.0 20.0 20.0 US30 -20.0 -14.7 -7.5 -2.9 -2.1 -2.4 -3.5 -2.8 -3.3 -8.7 -8.1 -9.5 -7.3 -9.3 -9.3 -8.9 -3.0 -6.6 -4.6 -12.3 -9.5 -13.5 -10.2 -14.3 -3.1 -3.3 -2.7 -2.3 -3.6 -1.8 -3.8 -2.5 -1.6 -13.6 -7.8 -5.9 -20.0 -20.0 20.0 20.0 US5 -6.6 -9.2 -18.9 -2.5 -1.8 -2.1 -3.0 -2.4 -2.8 -7.1 -6.5 -7.8 -7.1 -7.0 -7.6 -12.9 -9.1 -13.0 -11.8 -9.3 -9.1 -8.9 -9.8 -8.7 3.2 -2.8 -2.2 -2.5 -2.8 -2.5 -2.6 -14.3 -2.9 -1.8 -1.0 -6.3 -20.0 -20.0 4.1 -15.9 VIX 20.0 8.6 -20.0 -5.3 5.9 -9.5 4.4 -10.5 0.6 17.5 -20.0 16.9 -20.0 -0.2 -20.0 -20.0 -20.0 -20.0 -20.0 -19.5 -20.0 12.9 -20.0 0.8 NaN -6.0 6.8 -11.3 5.1 -13.0 0.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -20.0 1.1 14.6 0.2 -0.2 -0.6 -1.2 -1.4 -0.4 -3.2 -4.1 -6.3 -6.7 -6.1 -3.8 -10.3 -9.1 -10.2 -10.0 -3.5 -3.1 -7.4 -4.3 -6.5 -3.2 -0.7 -1.0 -0.8 -2.4 -1.3 -1.8 -20.0 -3.8 -6.2 -9.3 1.3 -19.0 -14.8 -12.5 -8.0 End of report for caleb_strategy_v3