******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230822_204319 produced at 2023-08-22 21:39:07.088544 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.84 0.0 0.00 0.00 0.00 0.00 -9.79 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 -0.66 -0.61 0.0 0.94 -0.94 -0.66 -0.47 -6.51 10.0 -7 -5 caleb_strategy_v3 US2 False True 0.07 0.00 -0.39 0.0 0.00 0.00 0.00 0.00 -5.41 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.22 0.0 0.38 -0.38 -0.12 -0.12 -32.37 56.0 -18 -18 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -5.39 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.18 0.0 0.11 -0.11 -0.11 -0.11 -26.31 17.0 -16 -16 caleb_strategy_v3 JPY False False 0.03 -0.18 -0.16 0.0 0.52 -0.52 -0.18 -0.18 -5.14 17.0 -6 -6 caleb_strategy_v3 CHF False False 0.05 -0.20 -0.14 0.0 0.66 -0.66 -0.20 -0.20 -2.79 13.0 -4 -4 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.12 0.0 0.76 -0.76 -0.03 -0.03 -4.65 29.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 -0.26 -0.12 0.0 0.94 -0.94 -0.26 -0.26 -3.27 25.0 -7 -7 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.11 0.0 0.07 -0.07 -0.07 -0.07 -38.99 26.0 -25 -25 caleb_strategy_v3 BOBL False False 0.04 -0.36 -0.10 0.0 0.85 -0.85 -0.36 -0.36 -2.12 19.0 -8 -8 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.07 0.0 0.20 -0.20 -0.10 -0.10 -1.99 6.0 -3 -3 caleb_strategy_v3 EUR False False 0.05 -0.29 -0.07 0.0 0.68 -0.68 -0.29 -0.34 -1.50 14.0 -6 -7 caleb_strategy_v3 BITCOIN False False 0.00 -0.01 -0.06 0.0 0.05 -0.05 -0.01 -0.01 -66.16 59.0 -9 -10 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.44 -0.44 0.00 0.00 -2.79 19.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.66 -0.66 0.00 0.00 -1.64 17.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.05 0.0 0.38 -0.38 -0.01 -0.01 -6.13 48.0 -1 -1 caleb_strategy_v3 US10U False True 0.04 -0.12 -0.04 0.0 0.00 -0.12 -0.12 -0.12 -0.87 13.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.04 0.0 0.41 -0.41 -0.03 -0.03 -5.79 66.0 -5 -5 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.18 -0.18 0.00 0.00 -0.33 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.03 0.0 0.23 -0.23 0.00 0.00 -9.01 68.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.03 0.0 0.36 -0.36 0.00 0.00 -0.63 8.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.44 -0.44 0.02 0.02 -1.59 21.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.03 0.0 0.25 -0.25 -0.06 -0.05 -2.67 23.0 -6 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.22 5.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.46 6.0 0 0 caleb_strategy_v3 US20 False True 0.04 -0.04 -0.02 0.0 0.00 -0.04 -0.04 -0.04 -0.48 9.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.04 0.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.67 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.04 -0.01 0.0 0.36 -0.36 -0.04 -0.03 -2.36 58.0 -7 -5 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.74 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.50 12.0 -1 -1 caleb_strategy_v3 SMI False False 0.04 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.24 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.73 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 -0.59 10.0 -6 -6 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.28 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 -1.12 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 -1.03 9.0 -1 -1 caleb_strategy_v3 COCOA False False 0.01 0.00 -0.00 0.0 0.32 -0.32 0.00 0.00 -0.15 26.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.19 11.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.15 -0.00 0.0 0.20 -0.20 -0.15 -0.15 -0.05 4.0 -3 -3 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.05 18.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.74 10.0 1 1 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.54 9.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.01 0.0 0.17 -0.17 0.07 0.07 0.58 7.0 3 3 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.20 -0.20 0.01 0.01 1.54 23.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.44 5.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.13 0.02 0.0 0.33 -0.33 0.13 0.15 0.97 20.0 8 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.62 12.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.51 -0.51 0.05 0.05 0.32 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 5.01 51.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 3.02 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 1.92 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.05 0.04 0.0 0.43 -0.43 0.05 0.05 1.55 17.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.27 0.05 0.0 0.44 -0.44 0.27 0.27 1.20 10.0 6 6 caleb_strategy_v3 GBP False False 0.03 0.14 0.06 0.0 0.63 -0.63 0.14 0.14 2.21 22.0 5 5 caleb_strategy_v3 OAT False False 0.05 0.05 0.06 0.0 0.49 -0.49 0.05 0.05 1.26 10.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.06 0.07 0.0 0.13 -0.13 0.06 0.06 6.93 13.0 6 6 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.67 4.0 4 4 caleb_strategy_v3 GASOIL False False 0.03 0.12 0.10 0.0 0.12 -0.12 0.12 0.12 3.12 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.11 0.0 0.14 -0.14 0.00 0.00 2.34 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.35 0.0 0.28 -0.28 0.28 0.28 44.98 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.63 0.74 0.0 0.63 -0.63 0.63 0.63 70.70 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.57 1.19 0.0 0.57 0.00 0.57 0.57 33.19 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.7 Shocked risk 54.5 Sum abs risk 65.7 Leverage 7.10 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2802227.5, 'annual_cash_vol_target': 700556.875, 'daily_cash_vol_target': 43784.8046875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6430 0.6692 10.7078 BITCOIN 732.2516 26070.0000 2.8088 44.9406 BOBL 0.2689 115.2500 0.2333 3.7334 BTP 0.6463 114.0900 0.5665 9.0634 BUND 0.5921 131.2100 0.4512 7.2199 BUXL 1.4093 130.0000 1.0841 17.3454 CAC 58.6614 7249.5000 0.8092 12.9469 CAD 0.0027 0.7380 0.3706 5.9299 CANOLA 8.8610 803.2000 1.1032 17.6514 CHF 0.0050 1.1396 0.4349 6.9587 COCOA 38.8331 3421.0000 1.1351 18.1622 COFFEE 2.5460 151.0000 1.6861 26.9774 COPPER 0.0440 3.7575 1.1702 18.7229 CORN 9.2382 479.0000 1.9286 30.8583 COTTON2 1.2376 84.6100 1.4627 23.4028 CRUDE_W 1.0061 79.1000 1.2720 20.3514 DAX 119.9296 15751.0000 0.7614 12.1826 DOW 191.2256 34405.0000 0.5558 8.8929 EUR 0.0048 1.0865 0.4458 7.1324 EURIBOR-ICE 0.0542 96.9550 0.0559 0.8947 EUROSTX 41.8675 4268.0000 0.9810 15.6954 FEEDCOW 1.4047 251.5000 0.5585 8.9366 GASOIL 12.7033 872.7500 1.4555 23.2887 GASOLINE 0.0360 2.4710 1.4557 23.2909 GAS_US_mini 0.0938 3.1100 3.0158 48.2535 GBP 0.0063 1.2740 0.4942 7.9065 GOLD_micro 10.2472 1908.0000 0.5371 8.5930 HEATOIL 0.0378 3.0348 1.2458 19.9331 JGB-SGX-mini 0.2602 146.4200 0.1777 2.8429 JPY 0.0000 0.0069 0.6278 10.0448 LEANHOG 1.2903 72.2000 1.7871 28.5936 LIVECOW 1.0740 178.5750 0.6014 9.6225 LUMBER-new 9.7225 531.5000 1.8293 29.2680 MILK 0.3014 17.8200 1.6914 27.0629 MXP 0.0004 0.0588 0.6926 11.0814 NASDAQ_micro 126.8071 15001.2500 0.8453 13.5250 NIKKEI 288.6908 31815.0000 0.9074 14.5185 NZD 0.0040 0.5928 0.6832 10.9307 OAT 0.5940 125.7400 0.4724 7.5587 OATIES 6.3116 464.5000 1.3588 21.7407 OJ 5.6154 306.6500 1.8312 29.2992 PALLAD 22.9493 1257.0000 1.8257 29.2116 PLAT 13.5541 925.9000 1.4639 23.4221 REDWHEAT 14.6870 747.7500 1.9642 31.4265 RICE 0.1478 16.0500 0.9212 14.7388 ROBUSTA 35.3635 2376.0000 1.4884 23.8138 RUSSELL 16.3605 1861.3000 0.8790 14.0637 SHATZ 0.0826 104.9250 0.0787 1.2597 SILVER-mini 0.3350 23.8125 1.4066 22.5059 SMI 74.3199 10873.0000 0.6835 10.9364 SOFR 0.0718 96.1200 0.0747 1.1944 SOYBEAN 16.8952 1344.5000 1.2566 20.1058 SOYMEAL 5.6324 395.0000 1.4259 22.8149 SOYOIL 0.9347 61.7300 1.5141 24.2257 SP400 19.0199 2582.4000 0.7365 11.7843 SP500_micro 26.3223 4410.7500 0.5968 9.5484 SUGAR11 0.2960 23.6800 1.2498 19.9967 US10 0.4173 109.4375 0.3814 6.1016 US10U 0.5729 113.3125 0.5056 8.0890 US2 0.0979 101.1953 0.0968 1.5485 US20 0.8225 118.2812 0.6953 11.1254 US30 1.2216 125.0312 0.9770 15.6328 US5 0.2649 105.4922 0.2511 4.0183 VIX 0.4931 18.9500 2.6022 41.6344 WHEAT 15.1681 628.0000 2.4153 38.6449 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 643.05 0.67 430.35 1.00 430.35 43784.8 101.74 -8.44 -85.83 BITCOIN 26.07 2.81 73.23 1.00 73.23 43784.8 597.95 -9.20 -550.14 BOBL 1152.50 0.23 268.92 1.09 292.53 43784.8 149.68 -15.27 -228.55 BTP 1140.90 0.57 646.27 1.09 703.02 43784.8 62.28 6.16 38.36 BUND 1312.10 0.45 592.08 1.09 644.07 43784.8 67.98 5.15 35.04 BUXL 1300.00 1.08 1409.32 1.09 1533.06 43784.8 28.56 -2.04 -5.83 CAC 724.95 0.81 586.61 1.09 638.12 43784.8 68.62 2.77 19.01 CAD 738.00 0.37 273.52 1.00 273.52 43784.8 160.08 -8.93 -142.97 CANOLA 160.64 1.10 177.22 0.74 130.82 43784.8 334.69 7.14 239.08 CHF 1424.44 0.43 619.51 1.00 619.51 43784.8 70.68 -12.14 -85.79 COCOA 342.10 1.14 388.33 1.00 388.33 43784.8 112.75 -0.74 -8.38 COFFEE 566.25 1.69 954.75 1.00 954.75 43784.8 45.86 -15.94 -73.10 COPPER 939.38 1.17 1099.24 1.00 1099.24 43784.8 39.83 -4.15 -16.52 CORN 239.50 1.93 461.91 1.00 461.91 43784.8 94.79 -7.57 -71.76 COTTON2 423.05 1.46 618.78 1.00 618.78 43784.8 70.76 1.42 10.07 CRUDE_W 791.00 1.27 1006.12 1.00 1006.12 43784.8 43.52 0.83 3.62 DAX 157.51 0.76 119.93 1.09 130.46 43784.8 335.62 -2.15 -72.22 DOW 172.02 0.56 95.61 1.00 95.61 43784.8 457.94 -5.66 -259.36 EUR 1358.12 0.45 605.41 1.00 605.41 43784.8 72.32 -6.37 -46.07 EURIBOR-ICE 2423.88 0.06 135.53 1.09 147.43 43784.8 296.98 -7.03 -208.83 EUROSTX 426.80 0.98 418.68 1.09 455.43 43784.8 96.14 3.08 29.63 FEEDCOW 1257.50 0.56 702.36 1.00 702.36 43784.8 62.34 -2.96 -18.45 GASOIL 872.75 1.46 1270.33 1.00 1270.33 43784.8 34.47 18.49 63.72 GASOLINE 1037.82 1.46 1510.73 1.00 1510.73 43784.8 28.98 18.80 54.50 GAS_US_mini 77.75 3.02 234.48 1.00 234.48 43784.8 186.73 -17.05 -318.40 GBP 796.25 0.49 393.47 1.00 393.47 43784.8 111.28 6.10 67.86 GOLD_micro 190.80 0.54 102.47 1.00 102.47 43784.8 427.29 -20.00 -854.57 HEATOIL 1274.62 1.25 1587.94 1.00 1587.94 43784.8 27.57 17.33 47.78 JGB-SGX-mini 146420.00 0.18 26016.49 0.01 178.93 43784.8 244.70 10.38 254.03 JPY 860.44 0.63 540.18 1.00 540.18 43784.8 81.06 -19.51 -158.13 LEANHOG 288.80 1.79 516.11 1.00 516.11 43784.8 84.84 13.07 110.92 LIVECOW 714.30 0.60 429.58 1.00 429.58 43784.8 101.92 4.47 45.54 LUMBER-new 146.16 1.83 267.37 1.00 267.37 43784.8 163.76 -12.32 -201.83 MILK 356.40 1.69 602.83 1.00 602.83 43784.8 72.63 -16.56 -120.28 MXP 294.20 0.69 203.76 1.00 203.76 43784.8 214.88 20.00 429.77 NASDAQ_micro 300.03 0.85 253.61 1.00 253.61 43784.8 172.64 -6.92 -119.49 NIKKEI 31815.00 0.91 28869.08 0.01 198.55 43784.8 220.52 15.61 344.23 NZD 592.80 0.68 404.98 1.00 404.98 43784.8 108.12 -4.54 -49.04 OAT 1257.40 0.47 594.02 1.09 646.18 43784.8 67.76 5.98 40.54 OATIES 232.25 1.36 315.58 1.00 315.58 43784.8 138.74 -3.85 -53.43 OJ 459.98 1.83 842.31 1.00 842.31 43784.8 51.98 20.00 103.96 PALLAD 1257.00 1.83 2294.93 1.00 2294.93 43784.8 19.08 -3.86 -7.36 PLAT 462.95 1.46 677.71 1.00 677.71 43784.8 64.61 -2.42 -15.63 REDWHEAT 373.88 1.96 734.35 1.00 734.35 43784.8 59.62 -10.69 -63.71 RICE 321.00 0.92 295.70 1.00 295.70 43784.8 148.07 9.74 144.17 ROBUSTA 237.60 1.49 353.64 1.00 353.64 43784.8 123.81 12.34 152.80 RUSSELL 93.06 0.88 81.80 1.00 81.80 43784.8 535.25 -5.29 -282.98 SHATZ 1049.25 0.08 82.61 1.09 89.86 43784.8 487.25 -11.93 -581.10 SILVER-mini 595.31 1.41 837.38 1.00 837.38 43784.8 52.29 -5.25 -27.46 SMI 1087.30 0.68 743.20 1.13 842.38 43784.8 51.98 -1.39 -7.24 SOFR 2403.00 0.07 179.39 1.00 179.39 43784.8 244.08 -6.91 -168.70 SOYBEAN 672.25 1.26 844.76 1.00 844.76 43784.8 51.83 14.01 72.59 SOYMEAL 395.00 1.43 563.24 1.00 563.24 43784.8 77.74 8.62 67.01 SOYOIL 370.38 1.51 560.79 1.00 560.79 43784.8 78.08 11.84 92.45 SP400 2582.40 0.74 1901.99 1.00 1901.99 43784.8 23.02 -4.56 -10.50 SP500_micro 220.54 0.60 131.61 1.00 131.61 43784.8 332.68 -8.25 -274.53 SUGAR11 265.22 1.25 331.47 1.00 331.47 43784.8 132.09 0.23 2.98 US10 1094.38 0.38 417.34 1.00 417.34 43784.8 104.91 -12.89 -135.20 US10U 1133.12 0.51 572.87 1.00 572.87 43784.8 76.43 -9.43 -72.06 US2 2023.91 0.10 195.87 1.00 195.87 43784.8 223.54 -20.00 -447.08 US20 1182.81 0.70 822.45 1.00 822.45 43784.8 53.24 -7.38 -39.26 US30 1250.31 0.98 1221.62 1.00 1221.62 43784.8 35.84 -10.54 -37.79 US5 1054.92 0.25 264.93 1.00 264.93 43784.8 165.27 -16.37 -270.53 VIX 189.50 2.60 493.11 1.00 493.11 43784.8 88.79 -20.00 -177.59 WHEAT 314.00 2.42 758.41 1.00 758.41 43784.8 57.73 -15.67 -90.49 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -85.831 0.013 2.5 -2.790 BITCOIN -550.137 0.048 2.5 -66.155 BOBL -228.548 0.004 2.5 -2.119 BTP 38.359 0.012 2.5 1.197 BUND 35.044 0.004 2.5 0.325 BUXL -5.827 0.004 2.5 -0.054 CAC 19.012 0.013 2.5 0.621 CAD -142.972 0.013 2.5 -4.647 CANOLA 239.075 0.008 2.5 5.008 CHF -85.787 0.013 2.5 -2.788 COCOA -8.378 0.007 2.5 -0.155 COFFEE -73.103 0.004 2.5 -0.735 COPPER -16.525 0.048 2.5 -1.987 CORN -71.760 0.008 2.5 -1.503 COTTON2 10.072 0.007 2.5 0.186 CRUDE_W 3.622 0.049 2.5 0.444 DAX -72.217 0.013 2.5 -2.359 DOW -259.359 0.009 2.5 -5.792 EUR -46.068 0.013 2.5 -1.497 EURIBOR-ICE -208.830 0.012 2.5 -6.514 EUROSTX 29.627 0.013 2.5 0.968 FEEDCOW -18.453 0.014 2.5 -0.629 GASOIL 63.717 0.020 2.5 3.124 GASOLINE 54.496 0.020 2.5 2.672 GAS_US_mini -318.401 0.049 2.5 -38.994 GBP 67.858 0.013 2.5 2.206 GOLD_micro -854.570 0.015 2.5 -32.369 HEATOIL 47.782 0.020 2.5 2.343 JGB-SGX-mini 254.031 0.052 2.5 33.194 JPY -158.126 0.013 2.5 -5.139 LEANHOG 110.916 0.025 2.5 6.933 LIVECOW 45.543 0.014 2.5 1.552 LUMBER-new -201.827 0.007 2.5 -3.674 MILK -120.283 0.007 2.5 -2.219 MXP 429.768 0.066 2.5 70.696 NASDAQ_micro -119.489 0.009 2.5 -2.668 NIKKEI 344.227 0.052 2.5 44.980 NZD -49.041 0.013 2.5 -1.594 OAT 40.543 0.012 2.5 1.265 OATIES -53.434 0.008 2.5 -1.119 OJ 103.964 0.007 2.5 1.918 PALLAD -7.355 0.015 2.5 -0.279 PLAT -15.630 0.015 2.5 -0.592 REDWHEAT -63.711 0.005 2.5 -0.728 RICE 144.165 0.008 2.5 3.020 ROBUSTA 152.803 0.004 2.5 1.537 RUSSELL -282.977 0.013 2.5 -9.010 SHATZ -581.104 0.004 2.5 -5.389 SILVER-mini -27.460 0.015 2.5 -1.040 SMI -7.236 0.013 2.5 -0.236 SOFR -168.696 0.023 2.5 -9.793 SOYBEAN 72.593 0.003 2.5 0.581 SOYMEAL 67.007 0.003 2.5 0.537 SOYOIL 92.448 0.003 2.5 0.741 SP400 -10.505 0.013 2.5 -0.334 SP500_micro -274.532 0.009 2.5 -6.130 SUGAR11 2.979 0.007 2.5 0.055 US10 -135.195 0.005 2.5 -1.636 US10U -72.057 0.005 2.5 -0.872 US2 -447.078 0.005 2.5 -5.411 US20 -39.265 0.005 2.5 -0.475 US30 -37.793 0.005 2.5 -0.457 US5 -270.526 0.005 2.5 -3.274 VIX -177.587 0.059 2.5 -26.313 WHEAT -90.491 0.005 2.5 -1.034 ===================== Position diags ===================== AUD 3.31 BITCOIN 71.90 BOBL 1.39 BTP 1.94 BUND 0.63 BUXL 0.26 CAC 2.24 CAD 5.20 CANOLA 7.01 CHF 2.30 COCOA 2.08 COFFEE 0.46 COPPER 4.79 CORN 1.99 COTTON2 1.31 CRUDE_W 5.33 DAX 10.96 DOW 10.23 EUR 2.35 EURIBOR-ICE 9.26 EUROSTX 3.14 FEEDCOW 2.12 GASOIL 1.69 GASOLINE 1.42 GAS_US_mini 22.87 GBP 3.62 GOLD_micro 16.18 HEATOIL 1.35 JGB-SGX-mini 31.97 JPY 2.63 LEANHOG 5.30 LIVECOW 3.47 LUMBER-new 2.98 MILK 1.34 MXP 35.35 NASDAQ_micro 3.86 NIKKEI 28.82 NZD 3.51 OAT 2.11 OATIES 2.91 OJ 0.96 PALLAD 0.72 PLAT 2.45 REDWHEAT 0.68 RICE 3.10 ROBUSTA 1.25 RUSSELL 17.04 SHATZ 4.52 SILVER-mini 1.98 SMI 1.70 SOFR 14.17 SOYBEAN 0.42 SOYMEAL 0.62 SOYOIL 0.63 SP400 0.73 SP500_micro 7.43 SUGAR11 2.42 US10 1.27 US10U 0.93 US2 2.71 US20 0.64 US30 0.43 US5 2.00 VIX 13.16 WHEAT 0.66 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.8 -3.1 -2.5 NaN 0 BITCOIN -66.2 -73.3 -59.0 -9.0 -9 BOBL -2.1 -2.3 -2.0 -8.0 -8 BTP 1.2 1.0 1.4 6.0 6 BUND 0.3 0.3 0.4 1.0 1 BUXL -0.1 -0.1 -0.0 -3.0 -3 CAC 0.6 0.4 0.8 NaN 0 CAD -4.6 -5.2 -4.1 -1.0 -1 CANOLA 5.0 4.3 5.7 NaN 0 CHF -2.8 -3.0 -2.6 -4.0 -4 COCOA -0.2 -0.4 0.1 0.0 0 COFFEE -0.7 -0.8 -0.7 NaN 0 COPPER -2.0 -2.5 -1.5 -3.0 -3 CORN -1.5 -1.7 -1.3 -1.0 -1 COTTON2 0.2 0.1 0.3 0.0 0 CRUDE_W 0.4 -0.1 1.0 0.0 0 DAX -2.4 -3.5 -1.3 -7.0 -7 DOW -5.8 -6.8 -4.8 -5.0 -5 EUR -1.5 -1.7 -1.3 -6.0 -6 EURIBOR-ICE -6.5 -7.4 -5.6 -7.0 -7 EUROSTX 1.0 0.7 1.3 8.0 8 FEEDCOW -0.6 -0.8 -0.4 0.0 0 GASOIL 3.1 3.0 3.3 4.0 4 GASOLINE 2.7 2.5 2.8 4.0 4 GAS_US_mini -39.0 -41.3 -36.7 -25.0 -25 GBP 2.2 1.8 2.6 5.0 5 GOLD_micro -32.4 -34.0 -30.8 -18.0 -18 HEATOIL 2.3 2.2 2.5 0.0 0 JGB-SGX-mini 33.2 30.0 36.4 16.0 16 JPY -5.1 -5.4 -4.9 -6.0 -6 LEANHOG 6.9 6.4 7.5 6.0 6 LIVECOW 1.6 1.2 1.9 2.0 2 LUMBER-new -3.7 -4.0 -3.4 NaN 0 MILK -2.2 -2.4 -2.1 NaN 0 MXP 70.7 67.2 74.2 60.0 60 NASDAQ_micro -2.7 -3.1 -2.3 -6.0 -6 NIKKEI 45.0 42.1 47.9 36.0 36 NZD -1.6 -1.9 -1.2 1.0 1 OAT 1.3 1.1 1.5 1.0 1 OATIES -1.1 -1.4 -0.8 NaN 0 OJ 1.9 1.8 2.0 NaN 0 PALLAD -0.3 -0.4 -0.2 NaN 0 PLAT -0.6 -0.8 -0.3 -6.0 -6 REDWHEAT -0.7 -0.8 -0.7 -1.0 -1 RICE 3.0 2.7 3.3 NaN 0 ROBUSTA 1.5 1.4 1.7 1.0 1 RUSSELL -9.0 -10.7 -7.3 0.0 0 SHATZ -5.4 -5.8 -4.9 NaN 0 SILVER-mini -1.0 -1.2 -0.8 NaN 0 SMI -0.2 -0.4 -0.1 0.0 0 SOFR -9.8 -11.2 -8.4 NaN 0 SOYBEAN 0.6 0.5 0.6 3.0 3 SOYMEAL 0.5 0.5 0.6 1.0 1 SOYOIL 0.7 0.7 0.8 1.0 1 SP400 -0.3 -0.4 -0.3 0.0 0 SP500_micro -6.1 -6.9 -5.4 -1.0 -1 SUGAR11 0.1 -0.2 0.3 0.0 0 US10 -1.6 -1.8 -1.5 NaN 0 US10U -0.9 -1.0 -0.8 -3.0 -3 US2 -5.4 -5.7 -5.1 NaN 0 US20 -0.5 -0.5 -0.4 -1.0 -1 US30 -0.5 -0.5 -0.4 0.0 0 US5 -3.3 -3.5 -3.1 -7.0 -7 VIX -26.3 -27.6 -25.0 -16.0 -16 WHEAT -1.0 -1.1 -1.0 -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 2.0 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 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.4 -0.3 -0.1 -0.3 0.0 0.1 BITCOIN -0.4 -0.2 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.3 0.3 -0.2 0.1 -0.1 -0.0 -0.5 -0.2 -0.4 -0.3 -0.1 0.0 -0.3 0.1 -0.2 -1.1 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.3 -0.7 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.3 BOBL -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -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 -2.7 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.2 BTP -0.3 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.5 0.3 0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 2.6 0.3 0.1 0.1 0.4 -0.3 -0.3 -0.0 0.1 BUND -0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 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 0.0 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.3 -0.1 0.1 -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 -0.3 -0.1 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.3 -0.1 0.5 -0.1 -0.0 -0.4 -0.0 -0.3 -0.2 -0.0 0.1 -0.2 0.3 -0.1 -0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.1 1.1 0.7 0.5 0.1 -0.1 0.3 -0.0 0.3 0.0 CAD -0.5 -0.3 0.2 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 0.1 -0.2 -0.3 -0.2 -0.1 -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 -0.3 -0.5 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA -0.4 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 -0.3 0.8 0.2 0.6 0.1 0.1 0.1 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 1.2 0.3 -0.0 0.5 0.4 -0.2 0.1 0.0 0.3 CHF -0.4 0.2 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.0 0.0 -0.9 -0.8 -0.8 -0.8 0.0 0.1 -0.1 0.2 -0.0 -0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -3.0 0.2 0.2 0.4 0.0 -0.2 -0.3 -0.3 -0.3 COCOA -0.4 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.4 -0.0 0.6 0.1 0.1 -0.5 -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 -2.6 0.3 0.3 0.5 0.5 -0.2 -0.2 0.2 -0.0 COFFEE -0.2 -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 0.0 0.1 -0.2 -0.2 -0.2 -0.3 -0.2 -1.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -1.3 -0.7 -0.3 -0.5 -0.3 -0.3 -0.3 -0.2 -0.2 COPPER -0.4 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 -0.4 -0.1 -0.3 -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 -0.0 0.2 0.1 -0.1 0.1 -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 -0.1 -0.2 -0.1 -0.1 -0.5 0.3 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.2 -0.1 -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 0.0 0.0 -0.1 -0.0 0.0 -1.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.4 -0.1 0.1 0.3 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.1 0.5 0.3 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 0.1 -0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -2.2 -0.7 -0.5 -0.4 -0.1 0.2 0.2 0.2 0.1 DAX -0.5 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 0.0 -0.2 0.2 -0.1 0.9 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.5 0.7 0.3 -0.1 -0.1 0.3 0.0 0.3 0.1 DOW -0.5 0.2 0.3 -0.0 -0.1 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 -0.1 -0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.8 -0.2 0.3 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 0.8 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -1.2 -0.0 0.1 -0.0 -0.3 -0.0 -0.3 0.0 0.0 EURIBOR-ICE -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.5 -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 0.1 0.1 0.1 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.4 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 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 0.0 -0.1 0.2 -0.0 1.1 0.7 0.4 0.0 -0.0 0.3 0.0 0.3 0.1 FEEDCOW -0.2 0.2 0.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.4 -0.0 0.6 0.1 0.2 -0.2 -1.2 -1.2 -1.2 0.2 0.2 0.0 0.4 0.1 0.2 0.1 0.0 0.3 0.0 0.4 0.0 -3.2 0.3 0.5 0.5 0.5 0.1 -0.2 0.2 -0.1 GASOIL 0.4 0.5 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 -0.1 0.1 0.2 1.2 1.0 1.1 0.9 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 0.5 0.5 0.5 0.4 -0.2 0.0 -0.2 -0.1 GASOLINE -0.0 0.5 0.4 0.1 0.0 0.1 0.0 0.0 0.0 -0.2 0.4 -0.0 -0.0 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.0 0.4 0.2 -1.1 0.1 -0.0 0.1 -0.0 0.2 0.0 3.2 -0.3 -0.5 -0.0 0.4 0.2 0.2 0.2 0.0 GAS_US_mini 0.0 0.4 0.4 0.0 0.0 0.1 0.0 0.0 0.0 -0.2 -0.3 -0.1 -0.5 -0.0 0.0 -1.2 -0.9 -1.2 -1.0 -0.0 -0.1 -0.1 -0.4 -0.0 1.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -3.2 -0.5 -0.5 -0.5 -0.3 0.1 0.1 -0.0 0.0 GBP -0.3 -0.1 0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.1 0.3 -0.1 0.0 0.0 -0.0 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 0.6 0.5 0.1 0.1 0.0 0.2 0.1 0.3 GOLD_micro -0.5 -0.3 -0.4 -0.0 0.0 0.0 -0.0 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 -0.0 -0.0 -0.1 0.0 -0.1 -2.7 -0.7 -0.4 -0.0 -0.4 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.3 0.5 0.5 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 1.1 1.0 0.2 0.2 0.3 0.3 0.2 -1.1 0.1 0.0 0.1 0.0 0.1 0.1 0.4 0.3 0.5 0.5 0.5 0.0 0.0 -0.0 -0.0 JGB-SGX-mini -0.4 -0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.9 1.2 0.8 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 -0.2 0.2 -0.3 -0.1 0.1 0.1 JPY -0.4 0.0 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.2 -0.3 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.2 -0.1 -0.2 -0.5 -0.1 -0.3 -0.1 -0.3 LEANHOG -0.4 0.4 0.3 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.1 1.2 1.2 1.2 1.2 -0.0 -0.0 -0.1 -0.2 -0.0 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 3.2 -0.6 -0.1 -0.1 -0.3 -0.1 0.0 0.3 0.3 LIVECOW -0.4 -0.0 0.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.4 -0.1 0.6 0.0 0.2 -0.6 0.3 0.1 0.6 0.2 0.2 -0.2 0.4 -0.0 0.3 0.1 -0.1 0.2 -0.0 0.3 0.0 0.4 -0.5 0.1 0.5 0.5 -0.3 -0.3 -0.3 -0.3 LUMBER-new -0.2 -0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 -0.4 0.1 -0.4 -0.1 -0.1 -1.0 -0.8 -0.9 -0.8 -0.1 -0.1 0.1 -0.2 -0.0 NaN -0.0 0.1 -0.1 0.0 -0.1 -0.0 -3.4 0.7 0.1 -0.5 0.0 -0.3 -0.3 -0.2 -0.3 MILK 0.3 0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 -0.0 -0.5 -1.2 -1.2 -1.2 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -3.2 0.0 0.2 -0.0 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.4 -0.3 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 0.4 0.0 0.5 0.0 0.1 1.0 1.0 1.0 1.0 0.1 0.2 0.1 0.4 0.0 -1.1 0.0 0.1 0.2 0.0 0.3 0.0 3.2 0.7 0.5 0.3 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.5 -0.4 0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.2 -0.1 0.2 -0.1 0.1 -0.6 -0.5 -0.6 -0.6 0.0 0.2 -0.2 0.4 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.9 0.2 0.1 0.1 0.5 -0.1 -0.2 -0.3 -0.2 NIKKEI -0.5 -0.5 0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.3 -0.1 0.4 -0.1 0.1 0.9 0.7 0.9 0.8 0.0 0.2 -0.2 0.4 -0.1 -0.3 0.0 -0.0 0.2 -0.0 0.2 -0.0 3.2 0.7 0.5 -0.2 0.5 0.1 0.0 -0.0 0.1 NZD -0.5 -0.2 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.8 -0.3 -0.1 -0.3 -0.3 -0.0 -0.2 0.0 0.1 OAT -0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.3 0.5 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.9 0.1 0.0 0.0 0.1 -0.3 -0.3 -0.0 0.0 OATIES -0.1 0.4 0.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 0.3 0.1 -0.2 0.1 0.1 -1.2 -0.2 -0.9 -0.6 0.2 0.2 0.2 0.2 0.2 -1.1 0.0 0.1 0.1 0.0 0.1 0.0 -3.2 0.7 0.3 0.3 0.5 0.0 0.3 0.2 0.3 OJ -0.5 0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 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 0.0 0.1 0.0 0.2 0.0 3.2 0.7 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 0.2 -0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -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 -0.3 -0.0 0.1 0.0 PLAT -0.2 -0.1 -0.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.4 0.3 0.0 -0.0 -0.3 0.0 -0.2 0.2 -0.2 REDWHEAT -0.5 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 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 -0.2 -0.5 -0.3 0.1 -0.3 -0.3 -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 -0.7 1.2 0.8 1.2 0.1 0.0 -0.1 0.0 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.0 0.0 3.2 -0.2 0.1 0.0 0.4 -0.1 -0.3 0.1 -0.2 ROBUSTA -0.2 -0.2 0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.0 1.2 1.1 1.2 1.2 0.0 0.1 -0.2 0.3 -0.1 -0.6 0.0 -0.1 0.1 -0.0 0.2 -0.0 3.2 -0.7 -0.1 -0.4 0.5 -0.1 -0.2 0.1 -0.1 RUSSELL -0.5 0.2 0.4 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.1 -0.0 -0.1 0.1 -0.5 -0.3 -0.4 -0.4 0.0 0.1 -0.2 0.0 -0.2 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.4 -0.0 0.3 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 -0.7 -0.0 -0.1 -0.0 -0.3 -0.0 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.5 0.1 0.2 0.2 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.5 -0.0 -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 -0.0 0.0 -0.1 0.4 -0.0 0.1 0.0 -0.0 0.0 -0.0 -0.6 0.5 0.0 0.2 -0.1 -0.2 -0.3 -0.0 -0.3 SMI -0.3 -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 -0.1 -0.0 -0.1 -0.0 -0.0 1.5 0.4 0.5 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR -0.4 -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 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.3 -0.1 -0.0 -0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN -0.4 0.2 0.4 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 0.0 0.8 1.2 0.9 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 0.4 -0.1 0.1 0.2 -0.1 0.1 -0.1 0.3 SOYMEAL -0.3 0.0 -0.4 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.5 1.2 0.9 1.2 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 0.0 0.0 0.0 -0.0 0.1 -0.0 3.2 0.1 -0.1 -0.0 0.1 -0.2 -0.2 -0.1 -0.2 SOYOIL -0.1 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.1 0.0 -0.0 0.1 0.1 0.9 0.6 0.7 0.6 0.1 0.1 0.1 0.1 0.1 -1.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.7 0.6 0.1 0.4 0.5 0.0 0.1 0.2 0.3 SP400 -0.5 0.2 0.4 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.1 0.2 -0.1 0.1 -0.4 -0.3 -0.4 -0.3 0.0 0.1 -0.3 0.1 -0.1 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 -0.4 -0.1 0.4 0.4 0.0 -0.1 -0.2 -0.2 SP500_micro -0.5 -0.1 0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.3 -0.1 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 -0.0 0.1 -0.1 0.2 -0.0 -1.2 -0.0 -0.1 0.4 0.5 -0.1 -0.2 -0.2 -0.2 SUGAR11 -0.2 -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.2 -0.1 0.4 0.0 -0.0 -0.2 0.7 -0.0 0.3 -0.0 0.1 -0.1 0.4 -0.1 -1.1 -0.0 -0.1 0.2 -0.0 0.5 -0.0 0.6 0.2 -0.2 -0.4 0.1 -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 -0.2 -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 -0.3 -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 -0.2 -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 -0.1 0.1 -0.0 -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 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 -0.3 -0.2 -0.2 -0.3 -0.3 0.3 0.3 US30 -0.5 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.5 -0.2 -0.4 -0.3 -0.1 -0.1 -0.2 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 0.0 -0.3 -0.2 -0.2 -0.3 -0.3 0.3 0.3 US5 -0.2 -0.2 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.8 -0.5 -0.8 -0.7 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.2 -0.2 -0.0 -0.0 -0.2 -0.3 -0.3 0.0 -0.2 VIX 0.8 0.3 -0.8 -0.1 0.0 -0.3 0.0 -0.5 0.0 0.1 -0.6 0.2 -0.8 0.0 -0.3 -1.8 -1.8 -1.8 -1.8 -0.2 -0.3 0.2 -0.6 0.0 NaN -0.1 0.0 -0.4 0.0 -0.6 0.0 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT -0.5 0.0 0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.6 -0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -3.2 -0.2 -0.3 -0.3 0.0 -0.3 -0.2 -0.2 -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 -20.0 -9.9 -2.1 -0.3 -1.8 1.9 -3.7 1.5 -3.2 -9.2 -9.7 -13.1 -5.7 -13.4 -10.5 -2.9 -2.7 -2.8 -2.8 -13.1 -7.7 -16.1 -6.4 -18.3 2.7 -3.7 -2.2 -1.9 -4.9 -1.6 -5.4 -0.6 -4.7 -9.6 -16.8 -11.7 -4.3 -20.0 0.2 6.8 BITCOIN -15.2 -9.1 3.1 -3.9 1.0 0.0 -5.1 1.6 -7.1 -20.0 15.7 -20.0 2.1 -17.5 -1.6 -8.0 -4.1 -7.1 -5.6 -7.2 5.5 -20.0 5.0 -20.0 -20.0 -4.0 -19.8 0.8 -17.2 1.9 -10.5 -1.7 -20.0 -0.0 -4.1 -0.9 -8.5 20.0 -7.1 20.0 BOBL -2.9 -0.8 -3.5 -2.5 -2.0 -2.0 -2.9 -2.3 -2.9 -4.7 -3.9 -5.9 -7.0 -2.2 -5.2 -20.0 -8.6 -20.0 -17.0 -4.1 -5.3 -4.4 -9.4 -4.1 9.8 -1.8 -1.2 -1.9 -2.3 -3.3 -2.1 -16.9 2.5 5.1 4.9 2.4 -20.0 -20.0 -20.0 -14.8 BTP -12.9 -5.6 9.7 -3.9 -3.2 -3.2 -4.5 -3.5 -4.5 -5.8 6.1 -9.3 -0.0 -6.6 -1.4 4.9 8.0 5.4 6.5 -2.9 0.9 -7.8 -2.0 -7.2 -6.9 -1.7 -1.4 1.1 -4.6 0.1 -4.3 16.8 8.0 3.2 3.6 15.8 -19.9 -20.0 -0.5 7.2 BUND -9.2 -3.9 2.9 -2.6 -2.1 -2.1 -3.1 -2.4 -3.0 -4.4 -5.0 -6.3 -7.6 -6.4 -6.2 6.3 8.8 6.5 7.1 -5.1 -5.0 -5.6 -8.6 -6.1 6.0 -2.4 -1.1 -1.8 -2.9 -2.9 -3.1 17.7 3.0 1.1 1.9 3.2 -20.0 -20.0 -17.3 -1.5 BUXL -13.7 -6.0 4.5 -3.0 -2.4 -2.4 -3.5 -2.7 -3.4 -4.2 -8.8 -7.5 -9.6 -8.5 -7.9 0.5 1.1 1.1 1.4 -7.3 -6.7 -7.6 -11.0 -8.9 0.6 -2.9 -1.1 -2.0 -3.2 -2.7 -3.7 6.4 3.9 -3.8 -1.0 3.2 -20.0 -20.0 -2.5 12.4 CAC -13.4 -4.1 -12.3 -2.3 -7.5 1.6 -10.2 2.8 -7.4 -10.9 13.3 -16.0 18.1 -6.3 -1.5 -7.1 -0.5 -5.2 -2.8 -2.9 6.6 -14.9 16.1 -10.6 -4.7 -1.4 -4.9 3.5 -8.5 7.6 -6.0 7.0 20.0 19.7 5.2 -2.0 20.0 -0.9 20.0 2.3 CAD -20.0 -10.2 7.6 -0.5 -3.0 3.1 -6.3 2.5 -5.4 -20.0 6.1 -20.0 -9.2 -20.0 -6.4 -2.0 -2.0 -2.1 -2.2 -13.4 -1.3 -20.0 -3.4 -20.0 0.8 -4.5 -5.9 -0.1 -9.6 -0.4 -9.4 0.6 -7.6 -11.1 -20.0 -4.5 -16.4 -20.0 -20.0 -17.1 CANOLA -17.3 20.0 20.0 0.3 -0.3 -0.9 -1.2 -2.1 -0.6 6.3 4.7 0.6 -5.3 4.5 6.9 -4.2 13.0 4.1 10.0 10.4 6.9 6.0 -0.6 6.2 -20.0 2.1 1.6 0.8 1.5 -1.1 1.5 7.3 9.8 -1.8 19.7 15.7 -16.0 8.7 3.1 20.0 CHF -16.6 7.7 4.1 -0.4 -2.5 2.6 -5.1 2.1 -4.4 -5.4 9.9 -16.2 13.6 -3.4 2.6 -14.4 -13.1 -14.2 -13.8 4.7 11.6 -10.2 11.5 -5.8 -8.4 2.4 -2.2 4.7 -3.6 4.1 -1.6 -19.0 4.9 6.8 16.0 1.6 -17.7 -20.0 -20.0 -20.0 COCOA -16.9 3.0 13.0 0.6 -0.7 -1.8 -2.4 -4.3 -1.2 2.3 20.0 -3.4 20.0 7.2 16.7 -8.5 -1.8 -4.1 -2.3 20.0 20.0 0.5 20.0 7.2 -11.3 6.6 -1.0 10.3 -0.2 10.0 1.9 -16.3 9.7 13.7 20.0 20.0 -11.7 -15.7 14.1 -3.8 COFFEE -6.6 -12.8 -16.1 0.5 -0.6 -1.7 -2.3 -4.0 -1.1 -12.7 -8.5 -16.7 -11.0 -17.8 -18.9 -2.3 2.9 0.6 2.2 -20.0 -18.4 -20.0 -14.6 -20.0 -20.0 -5.5 -4.3 -3.3 -8.2 -2.0 -7.6 -8.5 -20.0 -11.4 -20.0 -12.1 -20.0 -20.0 -12.8 -12.9 COPPER -14.2 2.3 -4.5 -2.1 0.5 0.0 -2.8 0.9 -3.8 4.3 -5.7 -8.3 -3.2 -7.9 -3.8 -6.5 -2.2 -4.5 -3.2 -5.5 -4.0 -5.6 -3.3 -7.8 -4.0 -1.7 2.2 -1.6 -2.3 -1.6 -3.0 1.9 -0.9 8.1 4.1 -4.9 3.9 -20.0 11.3 -17.3 CORN -18.6 -11.0 3.2 0.2 -0.2 -0.6 -0.8 -1.5 -0.4 -2.7 -5.4 -6.2 -5.5 -6.5 -6.2 -7.8 5.6 -4.7 0.0 -6.3 -5.2 -5.6 -3.8 -7.1 -6.9 -1.1 -1.3 -1.3 -1.8 -1.7 -1.8 -7.6 -3.5 -9.4 -13.2 1.1 -3.1 7.9 1.0 15.1 COTTON2 -3.3 10.9 10.7 0.4 -0.4 -1.1 -1.5 -2.7 -0.8 -11.2 6.0 -11.2 -8.8 4.4 6.2 7.6 7.0 7.6 6.1 5.4 3.9 -5.5 -1.4 0.8 -20.0 2.8 -3.1 2.4 -2.5 1.1 0.6 -2.6 -2.5 4.5 10.8 12.8 -19.3 -15.6 11.2 8.9 CRUDE_W 3.2 20.0 10.0 6.4 0.2 3.6 2.1 1.4 5.5 -11.4 13.2 -2.8 -8.1 16.5 17.6 8.4 8.3 7.5 7.3 20.0 16.2 -1.3 7.0 17.0 -7.0 7.0 -2.3 5.5 -0.7 3.7 4.1 -14.0 -20.0 -20.0 -14.5 -3.9 15.8 12.2 17.7 6.7 DAX -20.0 -8.3 -7.1 -2.1 -6.8 1.5 -9.3 2.5 -6.8 -10.1 9.6 -16.5 15.7 -11.8 -6.6 -8.4 -6.8 -8.4 -8.0 -6.9 4.0 -16.6 11.9 -14.9 16.3 -3.6 -3.7 1.0 -7.5 4.1 -6.9 -3.3 20.0 12.0 -5.3 -3.5 20.0 0.5 20.0 6.6 DOW -20.0 9.7 11.2 -2.1 -7.0 1.5 -9.5 2.6 -6.9 -17.2 12.5 -17.4 12.7 -0.8 10.1 -11.6 -7.6 -10.8 -9.5 6.8 12.0 -20.0 9.3 -9.4 -10.3 2.8 -8.7 4.9 -8.2 4.1 -3.0 -5.2 -6.3 11.8 20.0 15.1 -8.5 -5.2 -20.0 -4.6 EUR -16.7 -0.4 -0.0 -0.4 -2.4 2.5 -5.0 2.0 -4.3 -15.2 4.0 -17.7 10.1 -15.4 -3.7 -6.4 -6.8 -6.5 -6.6 -3.9 3.4 -14.7 3.7 -12.2 14.6 -1.3 -5.3 1.9 -6.6 1.8 -5.3 -7.3 -1.1 2.8 -1.9 -10.9 -3.2 -20.0 1.8 2.5 EURIBOR-ICE -2.3 3.1 -0.7 -2.4 -1.9 -1.9 -2.8 -2.2 -2.7 -4.5 -4.1 -5.4 -6.7 0.8 -3.3 -8.4 -7.7 -9.3 -9.1 -3.1 -4.8 -4.2 -9.1 -3.3 17.1 -1.3 -1.0 -1.7 -1.8 -3.4 -1.5 -10.7 2.3 5.5 5.7 2.0 -20.0 -20.0 20.0 7.4 EUROSTX -16.6 -7.9 -10.0 -1.9 -6.1 1.3 -8.3 2.3 -6.0 -10.0 10.8 -14.3 15.2 -10.2 -4.8 -4.5 -0.6 -4.4 -2.9 -3.4 5.0 -13.2 11.8 -10.4 4.5 -2.3 -4.0 2.2 -7.4 5.6 -6.0 6.7 20.0 16.3 0.5 -0.7 20.0 2.6 20.0 8.8 FEEDCOW -6.6 9.1 18.3 0.7 -0.8 -2.1 -2.8 -5.0 -1.4 6.8 20.0 -3.4 20.0 13.5 20.0 -4.2 -20.0 -20.0 -20.0 20.0 20.0 2.3 20.0 9.2 4.1 8.5 1.7 14.3 0.9 15.7 3.1 -20.0 9.8 20.0 20.0 20.0 4.4 -13.6 18.4 -6.0 GASOIL 15.2 20.0 20.0 5.1 0.1 2.9 1.7 1.2 4.4 6.6 8.8 15.1 -1.9 17.9 18.2 20.0 16.9 17.9 15.2 20.0 20.0 18.7 9.7 20.0 11.9 6.3 1.3 3.6 3.0 1.3 5.7 0.0 16.3 20.0 19.9 15.1 -11.6 2.5 -15.3 -5.1 GASOLINE -1.7 20.0 16.4 6.2 0.2 3.5 2.1 1.4 5.4 -17.6 19.0 -4.7 -0.9 17.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 0.2 20.0 20.0 -20.0 7.5 -1.8 6.9 -0.0 5.9 4.4 20.0 -9.4 -20.0 -1.8 16.7 14.3 14.4 16.8 2.9 GAS_US_mini 1.1 16.1 17.5 4.8 0.1 2.7 1.6 1.1 4.1 -15.7 -14.5 -8.8 -17.8 -4.9 3.7 -20.0 -14.9 -19.7 -17.6 -0.9 -14.1 -7.9 -20.0 -1.7 20.0 2.0 -7.3 -0.2 -3.9 -3.1 0.0 -20.0 -15.7 -20.0 -20.0 -13.7 7.7 9.5 -2.6 0.4 GBP -13.2 -2.2 9.6 -0.4 -2.7 2.8 -5.6 2.3 -4.8 10.9 12.2 -11.5 12.5 -10.9 1.9 0.3 -0.8 0.1 -0.4 3.4 12.1 -2.1 10.2 -3.9 -0.9 2.3 1.0 5.9 -0.8 3.6 -1.5 3.0 18.4 18.9 3.0 5.7 3.4 12.5 8.3 20.0 GOLD_micro -20.0 -10.6 -15.0 -3.8 0.9 0.0 -5.0 1.5 -6.8 -12.0 -6.9 -20.0 6.5 -20.0 -20.0 -17.3 -12.8 -16.3 -14.7 -20.0 -10.7 -20.0 3.1 -20.0 -11.4 -5.9 -3.5 -1.7 -8.8 1.7 -9.1 -17.2 -20.0 -16.0 -2.0 -17.1 -20.0 -20.0 -10.9 -20.0 HEATOIL 12.1 20.0 20.0 6.3 0.2 3.6 2.1 1.4 5.5 2.3 9.2 13.4 -3.9 19.8 20.0 20.0 19.0 19.4 16.4 20.0 20.0 20.0 12.4 20.0 -20.0 7.7 1.7 5.2 3.3 3.0 6.6 2.6 10.3 20.0 20.0 20.0 3.3 0.4 -2.3 -1.7 JGB-SGX-mini -17.9 -20.0 -4.1 -2.4 -2.0 -2.0 -2.8 -2.2 -2.8 -6.3 4.3 -6.8 4.8 -7.0 -5.5 14.6 19.6 13.2 15.1 -5.6 -0.1 -5.4 2.8 -7.5 0.3 -1.9 -1.0 -0.4 -1.7 0.2 -2.4 20.0 10.0 -4.6 -6.2 6.4 -20.0 -7.8 4.8 7.5 JPY -17.6 1.2 -17.9 -0.2 -1.4 1.5 -3.0 1.2 -2.6 -8.0 -10.1 -10.3 -9.4 -10.3 -10.6 -15.7 -13.7 -15.9 -15.1 -14.3 -14.2 -12.0 -14.4 -14.2 20.0 -3.8 -1.8 -3.5 -3.4 -3.5 -3.9 -20.0 -6.2 -3.2 -9.4 -20.0 -8.7 -20.0 -8.9 -20.0 LEANHOG -16.0 15.8 11.7 0.3 -0.4 -1.0 -1.4 -2.4 -0.7 -4.7 -3.2 -7.6 -5.7 -5.6 6.8 20.0 19.6 20.0 20.0 -1.3 -4.6 -7.6 -9.8 -5.6 11.5 -2.6 -2.1 -5.2 -3.5 -7.4 -3.2 20.0 -17.9 -5.6 -4.2 -10.4 -6.7 1.5 20.0 20.0 LIVECOW -16.9 -0.0 19.5 0.7 -0.8 -2.0 -2.8 -5.0 -1.4 -16.6 20.0 -17.2 20.0 3.2 18.6 -10.3 5.8 1.0 9.8 19.6 20.0 -13.2 20.0 -1.3 5.0 6.9 -4.0 11.5 -3.5 11.5 0.2 2.6 -15.4 3.8 20.0 20.0 -20.0 -20.0 -19.8 -19.5 LUMBER-new -7.7 -4.6 2.8 0.6 -0.7 -1.5 -2.6 -3.3 -1.3 17.0 -18.2 9.7 -20.0 -13.2 -13.4 -15.9 -12.9 -13.6 -13.0 -9.6 -9.0 9.4 -8.6 -4.7 NaN -3.0 6.8 -2.4 4.9 -1.9 -0.9 -20.0 20.0 2.6 -17.5 0.3 -20.0 -20.0 -14.9 -20.0 MILK 10.6 20.0 8.2 0.3 -0.3 -0.8 -1.1 -2.0 -0.5 -2.3 -5.7 -0.3 -9.0 4.8 -1.9 -9.1 -20.0 -20.0 -20.0 -1.4 -8.3 1.6 -11.8 2.7 -2.5 -1.1 -0.3 -3.9 0.5 -4.9 0.7 -20.0 0.3 8.1 -0.9 -20.0 -20.0 -20.0 -15.9 -20.0 MXP -17.3 -11.2 4.9 -0.4 -2.3 2.5 -4.9 2.0 -4.2 15.2 17.1 3.2 18.4 2.0 13.1 16.2 17.7 17.4 17.5 12.1 20.0 5.8 20.0 4.2 -20.0 5.1 5.5 9.5 2.2 11.7 1.6 20.0 20.0 20.0 11.0 20.0 20.0 6.0 20.0 20.0 NASDAQ_micro -20.0 -14.9 20.0 -1.5 -5.0 1.1 -6.8 1.9 -4.9 -2.4 11.7 -10.2 8.8 -7.9 7.2 -10.5 -8.0 -10.5 -9.6 4.9 18.7 -13.9 17.8 -10.6 -20.0 1.6 -0.9 5.7 -3.7 6.0 -2.8 -5.6 6.0 2.2 5.1 20.0 -8.1 -12.8 -19.2 -15.3 NIKKEI -20.0 -18.0 13.8 -2.1 -6.8 1.5 -9.3 2.5 -6.8 -9.5 14.4 -15.3 15.2 -14.5 8.2 16.0 12.5 15.0 13.6 3.6 19.5 -15.2 20.0 -11.4 -6.2 1.9 -2.5 7.8 -5.0 8.5 -3.7 20.0 19.9 19.3 -6.5 20.0 4.0 2.8 -2.2 8.8 NZD -20.0 -6.6 -5.3 -0.1 -1.9 1.8 -3.8 1.4 -3.0 -10.5 -7.6 -12.6 -0.1 -12.5 -9.5 -0.2 0.5 0.2 0.4 -10.8 -5.6 -17.0 -4.3 -16.7 0.4 -3.3 -3.4 -1.5 -5.7 -1.1 -5.4 4.9 -8.5 -5.5 -11.6 -11.0 -1.2 -12.9 3.2 7.4 OAT -10.0 -5.0 4.3 -2.9 -2.3 -2.3 -3.3 -2.6 -3.3 -4.9 -5.6 -6.9 -7.9 -7.1 -6.2 5.6 8.8 6.5 7.5 -5.3 -4.8 -6.3 -8.2 -6.7 8.1 -2.6 -1.3 -1.7 -3.2 -2.9 -3.4 18.3 3.4 1.3 1.5 4.8 -20.0 -20.0 -1.1 3.6 OATIES -3.7 15.1 20.0 0.5 -0.5 -1.4 -1.9 -3.5 -1.0 14.2 13.0 11.0 -7.4 10.3 14.2 -19.4 -3.0 -15.5 -10.6 20.0 20.0 19.2 11.1 18.0 -20.0 5.2 5.0 4.8 4.8 2.2 4.1 -20.0 20.0 13.9 13.5 20.0 1.9 20.0 14.7 20.0 OJ -19.0 8.7 5.6 0.5 -0.5 -1.5 -2.0 -3.6 -1.0 2.7 17.1 6.9 17.7 14.0 15.8 20.0 19.9 20.0 20.0 20.0 20.0 18.7 20.0 20.0 -20.0 6.2 2.5 6.8 5.1 8.0 6.0 20.0 20.0 20.0 20.0 20.0 16.6 5.1 20.0 16.5 PALLAD 7.3 6.2 -14.8 -1.9 0.5 0.0 -2.5 0.8 -3.4 -0.4 -11.4 -2.2 -11.7 -5.4 -10.4 -2.2 -2.6 -2.8 -2.8 -8.8 -15.4 -0.7 -20.0 -3.6 -3.0 -2.9 1.3 -4.2 -0.1 -4.9 -1.3 1.7 11.7 12.0 -3.1 -10.2 -19.2 -1.8 4.6 1.6 PLAT -9.3 -2.7 -18.4 -2.1 0.5 0.0 -2.7 0.8 -3.7 10.2 -9.6 -5.3 -1.8 -7.9 -10.9 -3.3 -2.1 -3.1 -2.6 -10.8 -9.0 -1.1 -4.3 -8.0 12.7 -3.3 3.5 -2.3 -0.3 -1.0 -2.8 2.4 9.9 0.7 -0.6 -11.8 2.5 -16.3 15.0 -12.1 REDWHEAT -20.0 -7.2 -1.0 0.3 -0.3 -0.8 -1.1 -1.9 -0.5 -5.4 -3.0 -8.7 -7.8 -8.7 -5.1 -3.9 2.3 -1.6 1.1 -7.1 -3.8 -9.6 -3.0 -10.9 -9.4 -1.9 -1.4 -0.9 -2.9 -0.5 -3.1 -9.6 -5.5 -18.2 -13.8 2.1 -20.0 -19.1 -9.3 -6.9 RICE -0.2 13.3 7.9 0.5 -0.6 -1.6 -2.1 -3.8 -1.0 -10.9 2.2 -6.7 0.0 9.0 12.7 -11.1 20.0 13.5 20.0 8.8 5.4 -4.3 1.4 3.2 -20.0 3.6 -1.6 2.5 -2.1 0.6 0.9 20.0 -5.8 5.7 0.4 16.7 -7.0 -20.0 5.6 -13.5 ROBUSTA -9.3 -9.8 6.2 0.4 -0.4 -1.1 -1.5 -2.7 -0.8 -11.0 10.2 -11.1 10.4 -7.4 2.1 20.0 19.3 20.0 20.0 1.8 12.0 -14.0 16.2 -7.8 -11.7 0.8 -4.9 5.3 -5.9 7.1 -3.4 20.0 -20.0 -2.4 -16.3 19.2 -4.7 -17.8 10.3 -8.7 RUSSELL -20.0 7.6 16.9 -2.0 -6.6 1.5 -9.0 2.5 -6.5 -14.1 3.9 -16.9 -0.8 -8.3 6.1 -7.7 -5.4 -7.2 -6.5 0.6 7.4 -20.0 1.9 -18.0 -2.3 0.3 -6.6 2.7 -8.8 2.0 -5.3 -0.7 -12.9 -0.6 13.9 16.8 -5.4 -8.7 -20.0 -12.1 SHATZ 6.4 3.0 -14.8 -2.4 -2.0 -2.0 -2.9 -2.2 -2.8 -5.6 -5.8 -5.5 -7.3 0.3 -5.1 -20.0 -5.2 -17.7 -11.6 -4.3 -8.3 -3.2 -13.5 -2.2 11.2 -1.5 -1.5 -2.7 -1.6 -4.7 -1.0 -9.8 1.7 9.7 7.5 -0.6 -20.0 -20.0 -20.0 -20.0 SILVER-mini -20.0 -1.5 -8.9 -2.5 0.6 0.0 -3.3 1.0 -4.5 11.6 0.4 -8.8 4.2 -9.3 -9.4 -6.8 -5.6 -6.7 -6.3 -7.3 -2.0 -1.9 1.5 -9.5 7.1 -1.7 5.8 0.3 -0.1 0.8 -2.9 -3.9 15.1 0.0 7.6 -4.1 -16.4 -20.0 -0.8 -20.0 SMI -13.9 -10.1 -8.3 -2.0 -6.5 1.4 -8.9 2.4 -6.4 -13.6 3.4 -16.2 4.5 -12.4 -10.6 -3.1 1.2 -2.9 -1.3 -10.2 -2.8 -19.7 1.8 -15.9 4.3 -3.2 -8.3 -1.3 -8.9 -1.1 -5.9 9.7 10.7 20.0 -3.2 -8.1 -8.4 -10.7 -18.3 -15.9 SOFR -14.4 -10.6 -12.2 -2.7 -2.2 -2.2 -3.2 -2.5 -3.1 -8.1 -4.8 -8.7 -2.9 -7.6 -7.3 -2.0 -0.8 -1.9 -1.4 -9.5 -6.2 -13.5 -4.6 -12.0 -1.5 -2.9 -3.7 -1.9 -4.1 -1.2 -3.5 2.1 -9.0 -3.9 -1.9 -4.2 -20.0 -20.0 -5.7 -3.0 SOYBEAN -15.1 8.6 16.1 0.2 -0.3 -0.8 -1.0 -1.8 -0.5 5.0 3.4 -3.2 -1.2 -0.6 4.0 14.2 20.0 16.0 18.2 2.2 2.0 2.7 0.1 0.4 -19.2 1.1 1.5 0.9 0.9 0.2 0.3 20.0 12.7 -5.0 2.6 8.8 -10.4 10.1 -7.1 20.0 SOYMEAL -12.6 1.8 -14.1 0.3 -0.3 -0.8 -1.1 -2.0 -0.6 7.3 -3.8 -4.7 1.8 -4.2 -2.8 8.1 20.0 15.4 19.6 -2.3 -1.5 -0.6 1.3 -3.2 -20.0 0.5 2.5 1.2 -0.2 2.2 -0.8 20.0 3.6 -5.3 -0.1 3.8 -12.5 -17.7 -9.2 -16.1 SOYOIL -5.2 20.0 20.0 0.3 -0.4 -1.0 -1.3 -2.3 -0.6 0.9 6.6 3.4 -1.7 7.4 9.3 15.6 10.8 12.4 10.3 12.4 9.0 6.4 2.7 9.1 -20.0 3.2 -0.4 2.3 1.6 0.7 2.3 4.3 17.4 5.9 14.0 20.0 0.2 6.5 14.6 20.0 SP400 -20.0 8.0 15.7 -2.0 -6.6 1.5 -9.0 2.4 -6.5 -14.7 6.5 -17.0 7.1 -6.5 7.8 -6.6 -4.8 -6.0 -5.5 2.1 10.1 -20.0 7.2 -17.5 -12.3 0.4 -7.1 2.7 -8.8 2.3 -5.2 0.7 -13.3 -4.0 15.8 14.7 0.3 -10.0 -12.3 -14.1 SP500_micro -20.0 -3.9 20.0 -2.2 -7.2 1.6 -9.8 2.7 -7.1 -10.1 15.6 -16.4 11.0 -9.7 9.8 -13.2 -9.0 -12.7 -11.1 6.3 20.0 -20.0 18.1 -15.9 -19.4 1.9 -4.0 6.1 -7.0 5.6 -4.4 -7.6 -1.0 -3.0 15.7 20.0 -5.4 -11.6 -17.2 -16.5 SUGAR11 -6.9 -6.2 -8.2 0.5 -0.6 -1.7 -2.3 -4.0 -1.1 -16.1 11.7 -14.4 14.4 1.3 -2.2 -2.9 12.4 -0.0 5.8 -1.4 12.7 -10.3 20.0 -6.4 -20.0 -0.5 -8.6 8.2 -5.4 16.8 -3.4 3.8 5.0 -6.8 -17.1 4.3 -18.3 -18.7 10.5 -4.2 US10 -12.8 -10.4 -15.7 -2.5 -2.0 -2.0 -2.9 -2.3 -2.9 -7.5 -6.6 -8.1 -7.1 -7.9 -7.9 -8.0 -6.7 -8.6 -8.4 -10.7 -9.2 -11.5 -9.0 -11.4 0.7 -2.9 -2.9 -2.3 -3.3 -2.0 -3.1 -9.3 -5.0 -4.6 -2.7 -6.6 -20.0 -20.0 14.6 1.0 US10U -16.4 -12.1 -12.2 -3.3 -2.7 -2.7 -3.9 -3.0 -3.8 -9.7 -8.6 -10.7 -9.1 -10.5 -10.4 -5.8 -1.6 -3.9 -3.0 -14.4 -11.5 -15.8 -11.2 -16.0 -3.6 -3.8 -3.6 -2.9 -4.4 -2.2 -4.3 0.0 -4.6 -9.8 -5.0 -8.4 -20.0 -20.0 20.0 18.7 US2 0.1 -10.3 -20.0 -2.6 -2.1 -2.1 -3.1 -2.4 -3.0 -7.7 -8.3 -8.0 -8.2 -8.1 -8.8 -20.0 -20.0 -20.0 -20.0 -14.1 -16.9 -8.9 -18.4 -9.8 8.4 -3.0 -2.7 -3.4 -2.4 -3.8 -2.4 -20.0 -3.7 2.8 -1.8 -12.5 -20.0 -20.0 -20.0 -20.0 US20 -20.0 -15.2 -11.0 -2.5 -2.1 -2.0 -2.9 -2.3 -2.9 -6.8 -6.4 -8.0 -5.9 -8.0 -7.9 -1.6 -1.4 -1.6 -1.7 -11.9 -8.8 -13.3 -8.2 -13.8 -3.4 -2.9 -2.6 -2.0 -3.3 -1.5 -3.3 1.2 -3.1 -12.4 -6.3 -6.5 -20.0 -20.0 20.0 20.0 US30 -20.0 -15.0 -7.4 -2.9 -2.4 -2.4 -3.4 -2.7 -3.4 -7.5 -8.3 -9.3 -7.6 -9.5 -9.5 -8.9 -3.1 -6.7 -4.7 -13.3 -10.2 -13.9 -10.6 -15.2 -3.1 -3.3 -2.5 -2.3 -3.5 -1.8 -3.8 -2.4 0.9 -13.8 -8.1 -6.2 -20.0 -20.0 20.0 20.0 US5 -9.0 -7.7 -19.7 -2.6 -2.1 -2.1 -3.0 -2.3 -3.0 -7.7 -7.0 -8.4 -7.4 -7.8 -8.1 -12.8 -9.2 -12.9 -11.8 -10.6 -10.0 -11.1 -10.5 -10.5 3.3 -2.9 -3.3 -2.6 -3.4 -2.5 -3.0 -14.2 -6.1 -1.2 -0.9 -6.9 -20.0 -20.0 3.5 -15.9 VIX 20.0 7.3 -20.0 -5.1 1.5 -9.8 3.0 -11.1 0.6 7.7 -20.0 13.1 -20.0 3.3 -20.0 -20.0 -20.0 -20.0 -20.0 -18.2 -20.0 8.1 -20.0 1.0 NaN -5.7 1.8 -11.6 3.4 -13.7 0.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -20.0 0.3 13.5 0.2 -0.2 -0.6 -0.8 -1.4 -0.4 -3.4 -4.4 -6.2 -6.8 -6.2 -4.3 -10.6 -9.1 -10.3 -10.1 -4.2 -3.5 -6.6 -4.6 -6.7 -3.2 -0.9 -1.0 -0.9 -2.1 -1.3 -1.9 -20.0 -7.3 -10.5 -10.2 1.7 -19.3 -14.6 -12.8 -8.0 End of report for caleb_strategy_v3