******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230830_204324 produced at 2023-08-30 21:39:07.876250 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.08 0.00 -0.55 0.0 0.00 0.00 0.00 0.00 -6.46 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 -0.09 -0.49 0.0 0.93 -0.93 -0.09 -0.09 -5.32 10.0 -1 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -5.15 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -5.90 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.19 0.0 0.38 -0.38 -0.13 -0.13 -27.13 56.0 -19 -19 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.17 0.0 0.11 -0.11 -0.11 -0.11 -26.90 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.16 0.0 0.51 -0.51 -0.12 -0.18 -5.31 17.0 -4 -6 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.15 0.0 0.65 -0.65 -0.25 -0.25 -3.04 13.0 -5 -5 caleb_strategy_v3 CAD False False 0.03 0.00 -0.13 0.0 0.75 -0.75 0.00 0.00 -4.87 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.12 0.0 0.07 -0.07 -0.07 -0.07 -43.12 26.0 -26 -26 caleb_strategy_v3 US5 False False 0.04 -0.34 -0.11 0.0 0.94 -0.94 -0.34 -0.34 -2.96 25.0 -9 -9 caleb_strategy_v3 BOBL False False 0.04 -0.44 -0.09 0.0 0.84 -0.84 -0.44 -0.44 -2.10 19.0 -10 -10 caleb_strategy_v3 EUR False False 0.05 -0.34 -0.06 0.0 0.67 -0.67 -0.34 -0.19 -1.31 14.0 -7 -4 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.06 0.0 0.06 -0.06 -0.04 -0.04 -65.84 59.0 -43 -43 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -1.40 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.43 -0.43 0.00 0.00 -2.09 19.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.04 0.0 0.20 -0.20 -0.10 -0.10 -1.32 6.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.44 -0.44 0.02 0.02 -1.22 21.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.03 0.0 0.38 -0.38 -0.01 -0.01 -3.80 48.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.03 0.0 0.01 -0.01 0.00 0.00 -5.44 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.09 -0.03 0.0 0.41 -0.41 -0.09 -0.08 -5.22 66.0 -14 -13 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.39 2.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.33 6.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.12 -0.02 0.0 0.53 -0.53 -0.12 -0.12 -0.59 13.0 -3 -3 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.02 0.0 0.19 -0.19 -0.09 -0.09 -0.19 2.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.25 -0.25 0.00 0.00 -1.77 23.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.02 0.0 0.23 -0.23 0.00 0.00 -6.72 68.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.07 -0.07 0.00 0.00 -1.86 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.67 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.94 8.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -1.70 12.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.23 9.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 -0.02 -0.01 0.0 0.35 -0.35 -0.02 -0.02 -1.58 58.0 -3 -3 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.38 -0.38 -0.04 -0.04 -0.32 9.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.48 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.20 -0.20 -0.05 -0.05 -0.01 4.0 -1 -1 caleb_strategy_v3 COCOA False False 0.01 0.01 0.00 0.0 0.33 -0.33 0.01 0.01 0.34 26.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 0.00 -0.00 0.00 0.00 -0.05 0.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.22 0.01 0.0 0.40 -0.40 0.22 0.22 0.22 9.0 5 5 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.76 9.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.76 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.03 0.01 0.0 0.17 -0.17 -0.03 -0.02 0.73 10.0 -2 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 0.01 0.0 0.36 -0.36 0.00 0.00 0.16 8.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.49 11.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.08 0.02 0.0 0.33 -0.33 0.08 0.08 1.13 20.0 5 5 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.20 -0.20 0.02 0.02 2.02 23.0 2 2 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.02 0.0 0.17 -0.17 0.07 0.07 0.66 7.0 3 3 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.51 -0.51 0.05 0.05 0.42 10.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.18 -0.18 0.00 0.00 1.67 18.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.22 -0.22 0.00 0.00 6.12 51.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.03 0.0 0.14 -0.14 0.00 0.00 1.05 5.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.17 12.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.11 0.03 0.0 0.62 -0.62 0.11 0.08 0.94 22.0 4 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.08 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.05 0.05 0.0 0.43 -0.43 0.05 0.05 1.92 17.0 2 2 caleb_strategy_v3 RICE False False 0.01 0.00 0.06 0.0 0.05 -0.05 0.00 0.00 4.80 4.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.26 0.07 0.0 0.44 -0.44 0.26 0.26 1.59 10.0 6 6 caleb_strategy_v3 GASOIL False False 0.03 0.12 0.08 0.0 0.12 -0.12 0.12 0.12 2.64 4.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.49 -0.49 0.00 0.00 1.64 10.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.08 0.0 0.14 -0.14 0.07 0.07 7.76 13.0 7 7 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.08 0.0 0.13 -0.13 0.00 0.00 1.78 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.09 0.0 0.15 -0.15 0.15 0.15 2.59 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.37 0.0 0.28 -0.28 0.28 0.28 46.81 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.63 0.80 0.0 0.63 -0.63 0.63 0.63 76.39 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.53 1.44 0.0 0.57 -0.57 0.53 0.53 40.77 16.0 15 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.1 Shocked risk 55.5 Sum abs risk 65.3 Leverage 6.87 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2840087.87, 'annual_cash_vol_target': 710021.9675, 'daily_cash_vol_target': 44376.37296875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6486 0.6815 10.9044 BITCOIN 789.0650 27395.0000 2.8803 46.0852 BOBL 0.2782 115.5200 0.2409 3.8536 BTP 0.6453 115.1100 0.5606 8.9689 BUND 0.5947 132.0900 0.4502 7.2040 BUXL 1.3741 131.9000 1.0418 16.6682 CAC 56.3760 7379.5000 0.7640 12.2233 CAD 0.0027 0.7393 0.3648 5.8374 CANOLA 7.9909 814.0000 0.9817 15.7070 CHF 0.0050 1.1406 0.4380 7.0084 COCOA 40.8141 3640.0000 1.1213 17.9403 COFFEE 2.4650 155.2000 1.5883 25.4124 COPPER 0.0412 3.8420 1.0733 17.1724 CORN 8.6452 480.7500 1.7983 28.7724 COTTON2 1.1651 87.9000 1.3255 21.2082 CRUDE_W 0.9714 80.6000 1.2052 19.2840 DAX 116.0118 15932.0000 0.7282 11.6507 DOW 208.4679 34966.0000 0.5962 9.5392 EUR 0.0049 1.0932 0.4479 7.1671 EURIBOR-ICE 0.0573 97.0350 0.0591 0.9449 EUROSTX 40.3421 4326.0000 0.9326 14.9208 FEEDCOW 1.3742 255.8500 0.5371 8.5940 GASOIL 13.5578 859.2500 1.5779 25.2459 GASOLINE 0.0352 2.4702 1.4253 22.8043 GAS_US_mini 0.0917 3.1850 2.8798 46.0772 GBP 0.0066 1.2719 0.5196 8.3142 GOLD_micro 10.4885 1952.5000 0.5372 8.5949 HEATOIL 0.0447 2.9994 1.4898 23.8360 JGB-SGX-mini 0.2405 146.8200 0.1638 2.6211 JPY 0.0000 0.0069 0.6187 9.8994 LEANHOG 1.2702 74.8500 1.6970 27.1516 LIVECOW 1.0635 179.9750 0.5909 9.4545 LUMBER-new 9.3501 512.0000 1.8262 29.2192 MILK 0.2803 18.9200 1.4813 23.7005 MXP 0.0004 0.0596 0.6418 10.2681 NASDAQ_micro 163.2159 15506.5000 1.0526 16.8410 NIKKEI 298.4669 32395.0000 0.9213 14.7414 NZD 0.0041 0.5973 0.6902 11.0440 OAT 0.6012 126.8300 0.4740 7.5839 OATIES 7.3509 502.5000 1.4629 23.4057 OJ 5.2488 329.2000 1.5944 25.5104 PALLAD 22.6712 1234.5000 1.8365 29.3835 PLAT 13.2897 984.8000 1.3495 21.5917 REDWHEAT 13.6540 728.7500 1.8736 29.9778 RICE 0.1549 16.8500 0.9194 14.7102 ROBUSTA 34.6169 2497.0000 1.3863 22.1814 RUSSELL 17.0705 1908.8000 0.8943 14.3089 SHATZ 0.0863 104.9050 0.0823 1.3165 SILVER-mini 0.3418 25.3250 1.3495 21.5924 SMI 73.3210 11105.0000 0.6603 10.5640 SOFR 0.0732 96.4150 0.0759 1.2152 SOYBEAN 15.7967 1386.0000 1.1397 18.2357 SOYMEAL 5.5801 409.9000 1.3613 21.7812 SOYOIL 0.8712 62.5700 1.3923 22.2770 SP400 20.3444 2653.7000 0.7666 12.2663 SP500_micro 33.4611 4525.7500 0.7393 11.8296 SUGAR11 0.3205 25.6000 1.2519 20.0303 US10 0.4311 110.8281 0.3890 6.2240 US10U 0.5944 115.8438 0.5131 8.2096 US2 0.1043 101.4336 0.1029 1.6458 US20 0.8501 121.2500 0.7011 11.2183 US30 1.2655 128.9375 0.9815 15.7042 US5 0.2742 106.2812 0.2580 4.1285 VIX 0.4888 17.6000 2.7775 44.4404 WHEAT 13.8275 606.0000 2.2818 36.5083 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 648.65 0.68 442.07 1.00 442.07 44376.37 100.38 -6.41 -64.38 BITCOIN 27.40 2.88 78.91 1.00 78.91 44376.37 562.39 -9.74 -547.50 BOBL 1155.20 0.24 278.23 1.08 301.10 44376.37 147.38 -15.38 -226.60 BTP 1151.10 0.56 645.26 1.08 698.30 44376.37 63.55 8.04 51.09 BUND 1320.90 0.45 594.73 1.08 643.62 44376.37 68.95 6.61 45.58 BUXL 1319.00 1.04 1374.08 1.08 1487.03 44376.37 29.84 -0.43 -1.28 CAC 737.95 0.76 563.76 1.08 610.10 44376.37 72.74 4.94 35.90 CAD 739.30 0.36 269.72 1.00 269.72 44376.37 164.53 -9.11 -149.81 CANOLA 162.80 0.98 159.82 0.74 117.60 44376.37 377.36 7.74 291.97 CHF 1425.81 0.44 624.54 1.00 624.54 44376.37 71.05 -13.15 -93.45 COCOA 364.00 1.12 408.14 1.00 408.14 44376.37 108.73 1.71 18.59 COFFEE 582.00 1.59 924.38 1.00 924.38 44376.37 48.01 -13.96 -67.02 COPPER 960.50 1.07 1030.88 1.00 1030.88 44376.37 43.05 -2.55 -10.97 CORN 240.38 1.80 432.26 1.00 432.26 44376.37 102.66 -7.88 -80.94 COTTON2 439.50 1.33 582.56 1.00 582.56 44376.37 76.17 3.51 26.72 CRUDE_W 806.00 1.21 971.43 1.00 971.43 44376.37 45.68 1.88 8.59 DAX 159.32 0.73 116.01 1.08 125.55 44376.37 353.46 -1.36 -48.23 DOW 174.83 0.60 104.23 1.00 104.23 44376.37 425.74 -5.49 -233.76 EUR 1366.50 0.45 612.12 1.00 612.12 44376.37 72.50 -5.55 -40.22 EURIBOR-ICE 2425.88 0.06 143.26 1.08 155.03 44376.37 286.24 -5.96 -170.52 EUROSTX 432.60 0.93 403.42 1.08 436.58 44376.37 101.64 3.42 34.71 FEEDCOW 1279.25 0.54 687.12 1.00 687.12 44376.37 64.58 0.74 4.78 GASOIL 859.25 1.58 1355.78 1.00 1355.78 44376.37 32.73 16.45 53.83 GASOLINE 1037.48 1.43 1478.69 1.00 1478.69 44376.37 30.01 17.58 52.76 GAS_US_mini 79.62 2.88 229.31 1.00 229.31 44376.37 193.52 -18.19 -352.12 GBP 794.94 0.52 413.08 1.00 413.08 44376.37 107.43 2.69 28.94 GOLD_micro 195.25 0.54 104.89 1.00 104.89 44376.37 423.10 -16.93 -716.36 HEATOIL 1259.75 1.49 1876.71 1.00 1876.71 44376.37 23.65 15.31 36.21 JGB-SGX-mini 146820.00 0.16 24051.76 0.01 164.28 44376.37 270.13 11.55 311.99 JPY 857.31 0.62 530.43 1.00 530.43 44376.37 83.66 -19.54 -163.50 LEANHOG 299.40 1.70 508.07 1.00 508.07 44376.37 87.34 14.21 124.08 LIVECOW 719.90 0.59 425.39 1.00 425.39 44376.37 104.32 5.40 56.35 LUMBER-new 140.80 1.83 257.13 1.00 257.13 44376.37 172.58 -17.28 -298.26 MILK 378.40 1.48 560.52 1.00 560.52 44376.37 79.17 -12.73 -100.76 MXP 297.80 0.64 191.11 1.00 191.11 44376.37 232.20 20.00 464.40 NASDAQ_micro 310.13 1.05 326.43 1.00 326.43 44376.37 135.94 -5.82 -79.15 NIKKEI 32395.00 0.92 29846.69 0.01 203.86 44376.37 217.68 16.46 358.26 NZD 597.30 0.69 412.29 1.00 412.29 44376.37 107.64 -3.48 -37.43 OAT 1268.30 0.47 601.17 1.08 650.58 44376.37 68.21 7.72 52.69 OATIES 251.25 1.46 367.54 1.00 367.54 44376.37 120.74 -1.91 -23.07 OJ 493.80 1.59 787.32 1.00 787.32 44376.37 56.36 20.00 112.73 PALLAD 1234.50 1.84 2267.12 1.00 2267.12 44376.37 19.57 -5.25 -10.28 PLAT 492.40 1.35 664.49 1.00 664.49 44376.37 66.78 2.88 19.22 REDWHEAT 364.38 1.87 682.70 1.00 682.70 44376.37 65.00 -12.70 -82.56 RICE 337.00 0.92 309.83 1.00 309.83 44376.37 143.23 15.98 228.90 ROBUSTA 249.70 1.39 346.17 1.00 346.17 44376.37 128.19 15.70 201.22 RUSSELL 95.44 0.89 85.35 1.00 85.35 44376.37 519.92 -4.06 -211.10 SHATZ 1049.05 0.08 86.32 1.08 93.41 44376.37 475.05 -13.39 -636.08 SILVER-mini 633.12 1.35 854.42 1.00 854.42 44376.37 51.94 -0.26 -1.37 SMI 1110.50 0.66 733.21 1.13 829.96 44376.37 53.47 1.25 6.68 SOFR 2410.38 0.08 183.06 1.00 183.06 44376.37 242.41 -4.59 -111.29 SOYBEAN 693.00 1.14 789.84 1.00 789.84 44376.37 56.18 14.58 81.92 SOYMEAL 409.90 1.36 558.01 1.00 558.01 44376.37 79.53 11.91 94.69 SOYOIL 375.42 1.39 522.70 1.00 522.70 44376.37 84.90 11.15 94.64 SP400 2653.70 0.77 2034.44 1.00 2034.44 44376.37 21.81 -2.71 -5.90 SP500_micro 226.29 0.74 167.31 1.00 167.31 44376.37 265.24 -6.41 -170.15 SUGAR11 286.72 1.25 358.94 1.00 358.94 44376.37 123.63 7.38 91.24 US10 1108.28 0.39 431.12 1.00 431.12 44376.37 102.93 -11.23 -115.58 US10U 1158.44 0.51 594.39 1.00 594.39 44376.37 74.66 -6.57 -49.07 US2 2028.67 0.10 208.67 1.00 208.67 44376.37 212.66 -20.00 -425.32 US20 1212.50 0.70 850.13 1.00 850.13 44376.37 52.20 -5.06 -26.41 US30 1289.38 0.98 1265.54 1.00 1265.54 44376.37 35.07 -7.82 -27.44 US5 1062.81 0.26 274.24 1.00 274.24 44376.37 161.82 -15.10 -244.35 VIX 176.00 2.78 488.84 1.00 488.84 44376.37 90.78 -20.00 -181.56 WHEAT 303.00 2.28 691.38 1.00 691.38 44376.37 64.19 -16.78 -107.70 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -64.382 0.013 2.5 -2.093 BITCOIN -547.499 0.048 2.5 -65.837 BOBL -226.604 0.004 2.5 -2.101 BTP 51.086 0.012 2.5 1.593 BUND 45.578 0.004 2.5 0.423 BUXL -1.278 0.004 2.5 -0.012 CAC 35.899 0.013 2.5 1.173 CAD -149.809 0.013 2.5 -4.869 CANOLA 291.974 0.008 2.5 6.116 CHF -93.446 0.013 2.5 -3.037 COCOA 18.591 0.007 2.5 0.343 COFFEE -67.022 0.004 2.5 -0.674 COPPER -10.974 0.048 2.5 -1.320 CORN -80.937 0.008 2.5 -1.695 COTTON2 26.719 0.007 2.5 0.493 CRUDE_W 8.588 0.049 2.5 1.052 DAX -48.225 0.013 2.5 -1.575 DOW -233.757 0.009 2.5 -5.220 EUR -40.221 0.013 2.5 -1.307 EURIBOR-ICE -170.517 0.012 2.5 -5.319 EUROSTX 34.713 0.013 2.5 1.134 FEEDCOW 4.784 0.014 2.5 0.163 GASOIL 53.828 0.020 2.5 2.639 GASOLINE 52.764 0.020 2.5 2.587 GAS_US_mini -352.118 0.049 2.5 -43.123 GBP 28.941 0.013 2.5 0.941 GOLD_micro -716.364 0.015 2.5 -27.134 HEATOIL 36.209 0.020 2.5 1.775 JGB-SGX-mini 311.991 0.052 2.5 40.768 JPY -163.497 0.013 2.5 -5.314 LEANHOG 124.082 0.025 2.5 7.756 LIVECOW 56.351 0.014 2.5 1.921 LUMBER-new -298.261 0.007 2.5 -5.437 MILK -100.758 0.007 2.5 -1.859 MXP 464.396 0.066 2.5 76.391 NASDAQ_micro -79.152 0.009 2.5 -1.767 NIKKEI 358.257 0.052 2.5 46.813 NZD -37.429 0.013 2.5 -1.217 OAT 52.686 0.012 2.5 1.643 OATIES -23.073 0.008 2.5 -0.483 OJ 112.728 0.007 2.5 2.080 PALLAD -10.283 0.015 2.5 -0.389 PLAT 19.222 0.015 2.5 0.728 REDWHEAT -82.559 0.005 2.5 -0.943 RICE 228.897 0.008 2.5 4.795 ROBUSTA 201.219 0.004 2.5 2.024 RUSSELL -211.095 0.013 2.5 -6.721 SHATZ -636.079 0.004 2.5 -5.899 SILVER-mini -1.366 0.015 2.5 -0.052 SMI 6.678 0.013 2.5 0.218 SOFR -111.294 0.023 2.5 -6.460 SOYBEAN 81.922 0.003 2.5 0.656 SOYMEAL 94.686 0.003 2.5 0.758 SOYOIL 94.637 0.003 2.5 0.759 SP400 -5.903 0.013 2.5 -0.188 SP500_micro -170.151 0.009 2.5 -3.799 SUGAR11 91.244 0.007 2.5 1.671 US10 -115.577 0.005 2.5 -1.399 US10U -49.073 0.005 2.5 -0.594 US2 -425.322 0.005 2.5 -5.148 US20 -26.410 0.005 2.5 -0.320 US30 -27.437 0.005 2.5 -0.332 US5 -244.354 0.005 2.5 -2.958 VIX -181.556 0.059 2.5 -26.900 WHEAT -107.702 0.005 2.5 -1.230 ===================== Position diags ===================== AUD 3.26 BITCOIN 67.63 BOBL 1.37 BTP 1.98 BUND 0.64 BUXL 0.28 CAC 2.38 CAD 5.35 CANOLA 7.91 CHF 2.31 COCOA 2.01 COFFEE 0.48 COPPER 5.18 CORN 2.15 COTTON2 1.41 CRUDE_W 5.59 DAX 11.55 DOW 9.51 EUR 2.36 EURIBOR-ICE 8.93 EUROSTX 3.32 FEEDCOW 2.20 GASOIL 1.60 GASOLINE 1.47 GAS_US_mini 23.70 GBP 3.49 GOLD_micro 16.03 HEATOIL 1.16 JGB-SGX-mini 35.30 JPY 2.72 LEANHOG 5.46 LIVECOW 3.56 LUMBER-new 3.15 MILK 1.46 MXP 38.20 NASDAQ_micro 3.04 NIKKEI 28.44 NZD 3.50 OAT 2.13 OATIES 2.53 OJ 1.04 PALLAD 0.74 PLAT 2.53 REDWHEAT 0.74 RICE 3.00 ROBUSTA 1.29 RUSSELL 16.55 SHATZ 4.41 SILVER-mini 1.97 SMI 1.75 SOFR 14.07 SOYBEAN 0.45 SOYMEAL 0.64 SOYOIL 0.68 SP400 0.69 SP500_micro 5.92 SUGAR11 2.26 US10 1.25 US10U 0.90 US2 2.57 US20 0.63 US30 0.42 US5 1.96 VIX 13.45 WHEAT 0.73 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.4 -1.8 NaN 0 BITCOIN -65.8 -72.6 -59.1 -43.0 -43 BOBL -2.1 -2.2 -2.0 -10.0 -10 BTP 1.6 1.4 1.8 6.0 6 BUND 0.4 0.4 0.5 1.0 1 BUXL -0.0 -0.0 0.0 -1.0 -1 CAC 1.2 0.9 1.4 NaN 0 CAD -4.9 -5.4 -4.3 0.0 0 CANOLA 6.1 5.3 6.9 NaN 0 CHF -3.0 -3.3 -2.8 -5.0 -5 COCOA 0.3 0.1 0.5 1.0 1 COFFEE -0.7 -0.7 -0.6 NaN 0 COPPER -1.3 -1.8 -0.8 -3.0 -3 CORN -1.7 -1.9 -1.5 -2.0 -2 COTTON2 0.5 0.4 0.6 0.0 0 CRUDE_W 1.1 0.5 1.6 0.0 0 DAX -1.6 -2.7 -0.4 -3.0 -3 DOW -5.2 -6.2 -4.3 -14.0 -14 EUR -1.3 -1.5 -1.1 -7.0 -7 EURIBOR-ICE -5.3 -6.2 -4.4 -1.0 -1 EUROSTX 1.1 0.8 1.5 5.0 5 FEEDCOW 0.2 -0.1 0.4 0.0 0 GASOIL 2.6 2.5 2.8 4.0 4 GASOLINE 2.6 2.4 2.7 4.0 4 GAS_US_mini -43.1 -45.5 -40.8 -26.0 -26 GBP 0.9 0.6 1.3 4.0 4 GOLD_micro -27.1 -28.7 -25.5 -19.0 -19 HEATOIL 1.8 1.7 1.9 0.0 0 JGB-SGX-mini 40.8 37.2 44.3 15.0 15 JPY -5.3 -5.6 -5.0 -4.0 -4 LEANHOG 7.8 7.2 8.3 7.0 7 LIVECOW 1.9 1.6 2.3 2.0 2 LUMBER-new -5.4 -5.8 -5.1 NaN 0 MILK -1.9 -2.0 -1.7 NaN 0 MXP 76.4 72.6 80.2 60.0 60 NASDAQ_micro -1.8 -2.1 -1.5 0.0 0 NIKKEI 46.8 44.0 49.7 36.0 36 NZD -1.2 -1.6 -0.9 1.0 1 OAT 1.6 1.4 1.9 0.0 0 OATIES -0.5 -0.7 -0.2 NaN 0 OJ 2.1 2.0 2.2 NaN 0 PALLAD -0.4 -0.5 -0.3 NaN 0 PLAT 0.7 0.5 1.0 -2.0 -2 REDWHEAT -0.9 -1.0 -0.9 -1.0 -1 RICE 4.8 4.5 5.1 NaN 0 ROBUSTA 2.0 1.9 2.2 2.0 2 RUSSELL -6.7 -8.4 -5.1 0.0 0 SHATZ -5.9 -6.3 -5.5 NaN 0 SILVER-mini -0.1 -0.2 0.1 NaN 0 SMI 0.2 0.0 0.4 5.0 5 SOFR -6.5 -7.9 -5.1 NaN 0 SOYBEAN 0.7 0.6 0.7 3.0 3 SOYMEAL 0.8 0.7 0.8 1.0 1 SOYOIL 0.8 0.7 0.8 0.0 0 SP400 -0.2 -0.3 -0.1 -1.0 -1 SP500_micro -3.8 -4.4 -3.2 -1.0 -1 SUGAR11 1.7 1.4 1.9 0.0 0 US10 -1.4 -1.5 -1.3 NaN 0 US10U -0.6 -0.7 -0.5 -3.0 -3 US2 -5.1 -5.4 -4.9 NaN 0 US20 -0.3 -0.4 -0.3 -1.0 -1 US30 -0.3 -0.4 -0.3 0.0 0 US5 -3.0 -3.2 -2.8 -9.0 -9 VIX -26.9 -28.2 -25.6 -17.0 -17 WHEAT -1.2 -1.3 -1.2 -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 2.1 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 -0.4 -0.4 -0.0 -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 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.3 -0.3 -0.1 -0.3 -0.0 0.1 BITCOIN -0.4 -0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.2 -0.1 0.1 -0.1 -0.1 -0.4 -0.3 -0.4 -0.3 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.3 -0.7 -0.5 -0.5 -0.1 -0.1 0.3 -0.1 0.3 BOBL -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.0 -1.2 -0.6 -1.2 -1.1 -0.0 -0.0 0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -3.0 -0.0 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.2 BTP -0.1 -0.1 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.0 0.0 -0.0 -0.0 0.3 0.5 0.3 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 2.6 0.1 0.1 0.1 0.4 -0.2 -0.3 0.0 0.1 BUND -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 0.4 0.5 0.4 0.4 -0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 2.8 0.0 0.1 0.0 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.0 0.0 0.1 0.1 0.1 -0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 1.0 -0.0 0.0 -0.1 0.1 -0.3 -0.3 -0.0 0.2 CAC -0.2 -0.1 -0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.3 0.0 0.5 -0.0 -0.0 -0.4 -0.0 -0.3 -0.2 -0.0 0.1 0.1 0.3 -0.0 -0.3 -0.0 0.2 0.1 0.0 0.2 -0.0 1.1 0.0 0.5 0.1 -0.0 0.3 -0.0 0.3 0.0 CAD -0.5 -0.4 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.4 -0.4 -0.5 -0.2 -0.2 -0.3 -0.3 -0.2 CANOLA -0.1 0.5 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.1 0.0 0.1 -0.4 0.7 0.1 0.5 0.1 0.1 0.1 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 1.0 0.1 0.3 0.4 0.5 -0.2 0.1 0.1 0.3 CHF -0.4 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.4 -0.1 0.0 -0.9 -0.8 -0.9 -0.8 0.0 0.1 -0.1 0.2 -0.1 -0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 -3.0 -0.2 0.1 0.4 0.0 -0.3 -0.3 -0.3 -0.3 COCOA -0.2 0.0 0.2 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 0.4 0.1 0.6 0.1 0.2 -0.5 -0.1 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 -0.7 0.1 0.2 0.2 0.1 0.3 0.0 -2.5 0.7 0.0 0.4 0.5 -0.1 -0.2 0.2 -0.0 COFFEE -0.2 -0.2 -0.4 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 -0.2 -0.1 -0.3 -0.1 -0.2 -0.2 0.2 -0.0 0.1 -0.2 -0.2 -0.0 -0.3 -0.1 -1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.3 -0.2 -0.5 -0.5 -0.4 -0.3 -0.3 -0.2 -0.2 COPPER -0.2 -0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.3 0.1 -0.1 0.2 -0.0 0.1 -0.3 0.2 -0.2 CORN -0.2 -0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.6 0.3 -0.4 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.3 -0.2 -0.2 -0.2 0.0 -0.0 0.1 0.0 0.2 COTTON2 -0.0 0.3 0.3 0.0 0.1 -0.0 0.0 -0.1 0.0 0.2 0.2 0.0 -0.3 0.1 0.1 0.3 0.4 0.4 0.3 0.1 0.0 0.1 -0.0 0.1 -1.1 0.0 0.1 0.1 0.0 0.0 0.0 -0.3 -0.1 0.1 0.2 0.3 -0.2 -0.2 0.2 0.1 CRUDE_W -0.2 0.5 0.3 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.3 -0.0 -0.2 0.1 0.1 0.5 0.5 0.5 0.4 0.2 0.1 0.1 0.2 0.1 -0.4 0.1 0.1 0.1 0.0 0.1 0.0 -2.8 -0.0 -0.4 -0.5 -0.2 0.2 0.2 0.3 0.1 DAX -0.3 -0.2 -0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.2 -0.0 0.5 -0.1 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 0.0 0.0 0.2 -0.1 0.9 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.5 -0.1 0.1 -0.1 -0.2 0.3 0.0 0.3 0.1 DOW -0.5 0.1 0.3 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.2 -0.0 0.3 -0.0 0.1 -0.7 -0.5 -0.6 -0.6 0.0 0.1 -0.0 0.2 -0.0 -0.5 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.8 -0.5 -0.0 0.4 0.4 -0.1 -0.1 -0.3 -0.1 EUR -0.4 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 0.0 -0.1 0.1 -0.1 0.8 -0.0 0.1 0.0 -0.0 0.0 -0.0 -1.2 -0.1 0.1 -0.1 -0.3 -0.0 -0.3 0.0 0.0 EURIBOR-ICE -0.0 0.2 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.5 -0.5 -0.5 -0.5 -0.0 -0.0 0.0 -0.2 0.0 0.9 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.7 0.0 0.1 0.2 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.2 -0.2 -0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.2 -0.0 0.4 -0.1 -0.1 -0.3 -0.0 -0.3 -0.2 -0.0 0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 0.0 0.0 0.2 -0.0 1.0 -0.2 0.2 -0.0 -0.0 0.3 0.0 0.3 0.1 FEEDCOW -0.0 0.1 0.4 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 0.4 0.1 0.6 0.2 0.2 0.0 -1.2 -1.1 -1.2 0.2 0.2 0.2 0.4 0.2 0.2 0.1 0.1 0.3 0.1 0.4 0.1 -3.2 0.7 0.5 0.5 0.5 0.1 -0.2 0.3 -0.1 GASOIL -0.0 0.5 0.5 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.1 -0.0 0.1 0.2 1.2 1.1 1.2 1.1 0.2 0.2 0.1 0.2 0.2 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.3 0.5 0.4 -0.2 0.0 -0.2 -0.1 GASOLINE -0.2 0.5 0.5 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 -0.1 -0.0 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 -0.0 0.4 0.1 -1.1 0.1 -0.0 0.2 -0.0 0.2 0.0 3.2 -0.7 -0.5 -0.3 0.4 0.2 0.2 0.2 0.1 GAS_US_mini -0.1 0.4 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.3 -0.1 -0.6 -0.1 0.0 -1.2 -1.1 -1.2 -1.2 -0.0 -0.1 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-0.1 -0.2 -0.5 -0.1 -0.3 -0.1 -0.3 LEANHOG -0.4 0.2 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.0 -0.2 -0.1 0.1 1.2 1.2 1.2 1.2 -0.0 -0.0 0.0 -0.2 -0.0 0.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 3.2 0.1 -0.4 -0.2 -0.3 -0.1 0.0 0.3 0.3 LIVECOW -0.3 -0.1 0.5 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.4 -0.0 0.6 0.0 0.2 -0.5 0.3 -0.0 0.5 0.1 0.2 0.0 0.4 0.0 0.2 0.1 -0.0 0.3 0.0 0.4 0.0 0.3 -0.5 -0.0 0.3 0.5 -0.3 -0.3 -0.3 -0.3 LUMBER-new 0.1 -0.3 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.4 -0.0 -0.4 -0.1 -0.1 -1.1 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.2 -0.1 NaN -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -3.4 -0.7 -0.1 -0.5 -0.1 -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 0.1 -0.1 0.1 -0.3 0.1 0.0 0.2 -1.2 -1.2 -1.2 0.0 -0.1 0.1 -0.3 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.3 0.2 0.3 -0.5 -0.3 -0.3 -0.2 -0.3 MXP 0.1 -0.3 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.2 0.4 0.1 0.6 0.1 0.1 1.0 1.0 1.0 1.0 0.2 0.2 0.2 0.4 0.1 -1.1 0.1 0.1 0.2 0.1 0.4 0.0 3.2 0.7 0.5 0.4 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.5 -0.5 0.3 -0.0 0.1 0.0 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0.2 0.0 3.2 0.0 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.3 0.2 -0.3 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 -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 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.5 0.1 -0.0 -0.3 -0.3 -0.0 0.1 0.0 PLAT 0.3 -0.0 -0.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 -0.2 0.1 -0.1 0.0 -0.1 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 0.2 -0.1 0.1 0.7 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.4 0.7 0.4 0.2 -0.3 0.0 -0.2 0.2 -0.2 REDWHEAT -0.5 -0.3 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.3 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.5 -0.6 -0.5 -0.4 -0.0 -0.3 -0.3 -0.1 -0.1 RICE 0.0 0.4 0.3 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 0.1 0.1 0.0 0.1 0.1 -0.8 1.1 0.5 1.2 0.1 0.1 0.2 0.1 0.2 -1.1 0.0 0.2 0.1 0.1 0.0 0.1 3.2 0.7 0.5 0.4 0.4 -0.1 -0.3 0.1 -0.2 ROBUSTA -0.3 -0.3 0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 0.2 0.2 -0.0 0.3 -0.0 0.0 1.2 1.2 1.2 1.2 0.0 0.1 0.1 0.4 -0.0 -0.7 0.0 0.1 0.1 0.0 0.2 -0.0 3.2 0.0 -0.2 -0.2 0.4 -0.0 -0.2 0.2 -0.1 RUSSELL -0.5 -0.1 0.4 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.5 -0.3 -0.4 -0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.0 0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.2 0.2 0.4 -0.1 -0.1 -0.3 -0.2 SHATZ 0.0 0.2 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -1.2 -0.4 -1.2 -0.8 -0.0 -0.1 -0.0 -0.3 -0.0 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.9 -0.2 0.1 0.2 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.1 -0.0 -0.2 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.0 0.1 0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 0.2 0.0 0.1 0.4 0.0 0.1 0.0 0.1 0.0 0.0 -0.6 0.7 0.3 0.4 -0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.2 -0.2 -0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.1 0.0 0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.0 0.1 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.0 -0.0 -0.0 1.5 -0.0 0.4 0.1 -0.3 -0.1 -0.1 -0.3 -0.2 SOFR -0.2 -0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.3 0.0 -0.0 -0.0 -0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.1 0.2 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.0 0.0 0.1 0.3 1.2 0.7 0.9 0.0 0.0 0.1 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 3.1 0.3 0.2 0.0 0.3 -0.1 0.1 -0.1 0.3 SOYMEAL 0.1 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 0.1 0.0 0.0 0.4 1.2 0.8 1.1 0.0 0.0 0.1 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 0.1 0.0 3.2 0.5 0.2 0.0 0.2 -0.2 -0.2 -0.1 -0.2 SOYOIL 0.0 0.4 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.2 0.0 -0.0 0.1 0.1 0.9 0.7 0.8 0.6 0.1 0.1 0.0 0.1 0.1 -1.1 0.0 -0.0 0.1 0.0 0.0 0.0 1.0 -0.3 0.2 0.1 0.5 0.0 0.1 0.2 0.3 SP400 -0.5 -0.1 0.4 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.1 -0.0 0.2 -0.1 0.0 -0.4 -0.3 -0.4 -0.3 -0.0 0.1 0.0 0.1 -0.1 -0.6 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 -0.1 0.2 0.4 0.0 -0.1 -0.2 -0.2 SP500_micro -0.5 -0.5 0.4 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.3 0.0 0.3 -0.0 0.1 -0.7 -0.5 -0.7 -0.7 0.0 0.1 0.1 0.2 -0.0 -0.9 0.0 0.1 0.1 0.0 0.1 -0.0 -1.2 0.2 -0.0 0.2 0.5 -0.1 -0.2 -0.2 -0.2 SUGAR11 0.2 -0.1 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 0.3 0.1 0.4 0.1 0.0 -0.2 0.7 -0.0 0.3 0.1 0.1 0.2 0.4 0.1 -1.1 0.0 0.2 0.1 0.1 0.4 0.1 0.5 0.7 0.5 0.1 -0.0 -0.3 -0.3 0.1 -0.0 US10 -0.2 -0.3 -0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.5 -0.0 -0.0 -0.0 -0.2 -0.3 -0.3 0.2 0.0 US10U -0.2 -0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -0.1 -0.2 -0.2 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -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 -0.0 -0.2 -0.1 -0.1 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 -0.0 -0.4 -0.1 0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.1 0.0 -0.0 -0.3 -0.3 -0.3 -0.3 -0.3 US20 -0.2 -0.3 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.2 -0.0 -0.1 -0.2 -0.2 -0.3 -0.3 0.3 0.3 US30 -0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.5 -0.2 -0.4 -0.3 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 -0.0 -0.1 -0.2 -0.1 -0.3 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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 -14.6 -15.0 -1.5 -0.9 1.9 1.5 -1.1 1.5 -2.6 10.5 -11.0 -6.2 -6.5 -12.4 -11.5 -3.1 -2.7 -2.9 -2.9 -12.7 -8.9 -3.0 -7.2 -11.9 2.9 -3.8 2.5 -2.5 -0.8 -1.9 -3.7 -0.6 2.2 -2.4 -12.9 -12.0 -5.1 -20.0 -1.2 5.8 BITCOIN -16.4 -14.5 0.7 -2.3 9.4 0.1 5.1 1.6 -0.9 5.0 11.0 -13.3 2.6 -17.2 -8.5 -7.1 -4.2 -6.9 -5.7 -10.6 1.2 -9.8 2.9 -17.4 -20.0 -5.1 3.2 -0.8 -4.4 1.0 -7.7 -1.8 -20.0 -19.1 -20.0 -3.3 -10.4 20.0 -8.8 20.0 BOBL -0.1 3.7 -2.7 -2.2 1.9 -2.2 0.6 -2.6 -1.2 1.9 -3.6 -0.2 -6.9 0.9 -4.5 -20.0 -9.9 -20.0 -18.5 -2.5 -4.5 0.8 -8.6 -0.6 9.5 -1.1 0.4 -1.6 0.7 -3.3 -0.1 -19.2 -1.0 3.3 4.9 2.2 -20.0 -20.0 -20.0 -15.5 BTP -4.7 -3.3 8.0 -3.4 3.0 -3.5 0.9 -4.1 -1.9 8.6 5.9 4.9 0.4 -1.0 -0.2 4.9 7.9 5.3 6.4 -0.9 1.0 3.6 -1.9 -0.4 -6.8 -0.5 3.6 1.2 2.5 0.2 -0.1 16.5 2.3 4.1 4.1 16.2 -16.7 -20.0 1.1 8.2 BUND -1.4 -0.4 2.1 -2.3 2.0 -2.3 0.6 -2.7 -1.3 4.8 -4.9 1.5 -7.5 -2.4 -4.9 6.3 8.7 6.4 7.0 -3.2 -4.4 1.8 -8.2 -1.1 5.9 -1.7 1.5 -1.8 1.3 -3.2 -0.5 17.5 0.8 2.8 1.4 3.5 -20.0 -20.0 -17.0 -1.2 BUXL -3.1 -3.5 3.3 -2.6 2.3 -2.7 0.7 -3.1 -1.4 6.7 -8.2 1.7 -9.4 -4.3 -5.8 0.4 1.0 0.9 1.3 -5.3 -6.4 1.5 -10.9 -2.9 0.7 -2.3 1.4 -2.2 0.8 -3.1 -1.3 6.3 -0.4 1.5 -3.6 3.9 -20.0 -20.0 -3.6 13.7 CAC -6.4 -4.5 -9.8 -2.5 9.0 1.1 1.4 2.7 -3.7 17.5 12.7 3.5 19.1 -2.7 -1.9 -6.5 -0.7 -5.3 -3.1 -1.8 6.3 8.1 16.8 -1.7 -5.0 -0.6 12.2 3.4 5.4 7.7 -0.5 6.7 1.5 19.9 2.8 -2.0 20.0 -0.5 20.0 3.3 CAD -20.0 -15.8 5.6 -1.5 3.2 2.5 -2.0 2.6 -4.5 12.2 2.1 -17.2 -10.5 -20.0 -13.1 -2.1 -2.0 -2.2 -2.2 -17.9 -5.5 -14.2 -5.3 -20.0 1.4 -5.7 1.5 -1.5 -4.6 -0.9 -8.0 0.6 -11.3 -16.3 -20.0 -6.7 -17.3 -20.0 -20.0 -17.4 CANOLA -3.1 20.0 20.0 1.5 3.8 -0.4 3.9 -2.1 2.5 7.1 6.8 10.1 -5.4 5.9 9.1 -6.1 11.9 1.8 8.2 14.4 10.2 8.3 0.6 10.7 -20.0 3.0 0.8 1.4 1.9 -1.0 2.4 6.2 3.4 10.2 16.8 18.3 -15.1 7.2 4.6 20.0 CHF -15.7 -1.6 3.6 -1.2 2.6 2.1 -1.6 2.1 -3.6 9.0 8.7 -9.8 13.7 -6.9 0.0 -14.9 -13.3 -14.5 -14.0 1.1 9.4 -5.1 11.1 -6.9 -8.8 1.1 2.1 4.5 -2.1 4.5 -2.5 -19.3 -6.9 4.6 16.1 1.5 -19.4 -20.0 -20.0 -20.0 COCOA -7.5 0.9 9.4 2.8 7.0 -0.8 7.1 -4.0 4.6 19.3 20.0 12.8 20.0 13.1 18.5 -8.4 -2.2 -5.0 -3.0 20.0 20.0 20.0 20.0 18.3 -12.5 7.5 14.5 10.8 8.6 10.9 5.4 -15.9 20.0 0.3 14.5 20.0 -8.5 -14.0 14.3 -2.6 COFFEE -8.6 -8.5 -17.6 2.7 6.6 -0.7 6.7 -3.7 4.3 16.0 -11.5 -9.4 -12.4 -12.9 -19.1 -3.0 2.6 -0.2 1.6 -20.0 -20.0 -2.6 -16.8 -13.8 -20.0 -5.7 4.0 -4.1 -0.6 -2.7 -4.7 -8.0 -6.3 -20.0 -20.0 -17.2 -20.0 -20.0 -13.9 -12.1 COPPER -7.5 -0.9 -2.9 -1.5 6.3 0.0 3.4 1.1 -0.6 13.2 -6.8 1.5 -3.5 -4.8 -2.7 -5.9 -2.3 -4.6 -3.4 -4.0 -4.4 5.8 -4.0 -1.0 -4.7 -0.8 6.3 -1.7 3.8 -2.0 0.5 1.8 3.0 -2.2 7.6 -1.9 5.4 -20.0 14.1 -17.7 CORN -9.3 -9.1 -0.1 1.0 2.5 -0.3 2.6 -1.4 1.6 -3.4 -6.2 -2.0 -6.2 -6.3 -6.9 -10.1 4.7 -6.3 -1.3 -6.6 -6.2 -2.8 -4.7 -5.4 -7.3 -1.3 -1.2 -1.6 -0.9 -2.1 -1.4 -8.3 -6.4 -7.3 -9.0 1.5 -3.3 6.6 1.1 13.3 COTTON2 -0.6 11.3 10.9 2.0 4.9 -0.5 5.0 -2.8 3.2 12.9 7.9 2.3 -9.8 6.9 8.4 4.7 6.7 6.4 5.6 7.9 5.7 8.2 -0.9 6.7 -20.0 4.1 6.2 3.3 4.5 1.7 3.6 -2.0 -2.2 4.7 10.0 13.0 -17.9 -15.6 12.4 9.5 CRUDE_W -7.4 20.0 12.5 6.6 1.7 4.4 2.5 2.0 5.0 19.7 14.4 -3.3 -7.5 14.7 17.3 8.9 8.4 7.9 7.5 20.0 17.1 8.2 8.5 13.5 -7.1 6.8 5.5 6.2 2.5 4.5 3.7 -18.0 -0.3 -16.9 -20.0 -6.9 16.7 12.8 19.2 8.0 DAX -11.4 -9.5 -6.5 -2.3 8.2 1.0 1.3 2.5 -3.4 14.0 7.7 -1.2 16.2 -11.5 -9.3 -8.7 -6.9 -8.5 -8.1 -7.1 2.7 2.4 11.8 -7.9 17.3 -3.7 7.5 0.4 1.6 4.1 -3.6 -3.3 -4.4 4.9 -2.8 -6.1 20.0 0.6 20.0 7.2 DOW -20.0 2.4 10.2 -2.1 7.4 0.9 1.2 2.3 -3.1 14.2 10.4 -4.4 12.1 -3.1 6.6 -11.3 -7.8 -10.9 -9.7 2.2 8.1 -0.4 7.5 -5.5 -9.9 1.2 5.5 4.0 -0.6 4.0 -2.3 -5.3 -14.0 -1.4 15.9 14.5 -9.7 -6.1 -20.0 -5.9 EUR -14.3 -9.1 0.2 -1.2 2.6 2.1 -1.6 2.1 -3.6 12.8 1.1 -8.4 10.5 -16.0 -7.7 -6.6 -6.8 -6.6 -6.6 -7.0 1.0 -4.5 2.8 -11.4 15.4 -2.8 5.6 0.9 -1.9 1.4 -4.9 -7.3 -3.6 3.6 -2.4 -10.6 -2.8 -19.9 2.8 1.4 EURIBOR-ICE -0.7 7.3 0.1 -2.1 1.9 -2.1 0.6 -2.5 -1.2 1.9 -3.8 1.0 -6.6 3.1 -2.7 -8.4 -7.8 -9.2 -9.0 -1.5 -3.8 1.5 -8.1 0.3 17.1 -0.6 0.8 -1.4 0.9 -3.2 0.2 -10.6 0.8 3.0 7.3 1.3 -20.0 -20.0 20.0 8.3 EUROSTX -9.6 -8.9 -7.9 -2.1 7.3 0.9 1.2 2.2 -3.0 12.9 9.5 -3.0 15.6 -9.2 -7.1 -4.6 -0.8 -4.5 -3.1 -3.6 4.2 2.1 11.9 -5.0 4.7 -2.4 7.1 1.8 1.7 5.8 -2.8 6.5 -5.5 9.9 -1.0 -1.8 20.0 2.9 20.0 9.6 FEEDCOW -1.3 5.6 16.6 3.2 7.9 -0.9 8.1 -4.5 5.2 18.5 20.0 17.6 20.0 19.0 20.0 0.7 -20.0 -18.1 -20.0 20.0 20.0 20.0 20.0 20.0 3.3 9.4 8.6 13.8 9.2 15.4 7.6 -20.0 20.0 20.0 19.7 20.0 5.2 -12.2 20.0 -4.2 GASOIL -1.5 20.0 20.0 5.3 1.4 3.5 2.0 1.6 4.0 -9.4 11.7 6.4 -0.6 17.7 18.7 20.0 18.7 20.0 18.8 20.0 20.0 8.0 11.7 20.0 12.0 6.4 -1.7 4.3 1.5 1.8 4.9 0.0 -3.7 11.7 19.9 17.6 -13.1 2.4 -16.8 -5.2 GASOLINE -8.7 20.0 18.6 6.4 1.6 4.3 2.4 2.0 4.9 -11.6 19.3 -14.1 -0.1 15.3 19.4 20.0 20.0 20.0 20.0 20.0 20.0 -0.9 20.0 13.1 -20.0 7.2 -0.5 7.9 -0.2 7.1 3.1 20.0 -20.0 -20.0 -10.4 14.6 15.6 14.9 18.5 4.3 GAS_US_mini -2.5 14.4 20.0 5.4 1.4 3.6 2.0 1.7 4.1 2.0 -16.1 -13.1 -20.0 -12.0 0.0 -20.0 -19.2 -20.0 -20.0 -3.7 -16.0 -5.3 -20.0 -5.3 20.0 0.5 1.6 -0.8 -2.7 -3.6 -2.1 -20.0 -20.0 -16.5 -20.0 -20.0 8.9 8.4 -2.5 0.1 GBP -11.3 -10.9 7.8 -1.3 2.8 2.2 -1.7 2.2 -3.9 4.3 10.5 -6.7 12.8 -15.2 -1.4 0.3 -0.8 0.1 -0.3 -0.8 8.9 -5.8 9.0 -8.0 -0.8 -0.1 2.9 4.6 -3.5 3.3 -4.3 3.2 -10.8 8.3 1.1 4.6 2.7 13.3 7.6 20.0 GOLD_micro -8.9 -10.4 -15.9 -2.4 9.9 0.1 5.4 1.7 -0.9 20.0 -8.4 5.2 6.3 -11.3 -19.1 -17.9 -13.1 -16.8 -15.2 -17.3 -10.5 14.1 1.9 -7.7 -11.4 -4.3 14.2 -1.8 6.7 1.7 -1.5 -17.6 9.2 -5.5 1.1 -19.3 -20.0 -20.0 -12.0 -20.0 HEATOIL -13.7 20.0 20.0 6.1 1.6 4.0 2.3 1.9 4.6 -10.6 11.9 2.9 -2.3 18.2 19.9 20.0 20.0 20.0 19.2 20.0 20.0 9.6 12.6 20.0 -20.0 7.4 -0.8 5.6 2.2 3.5 5.5 1.7 7.6 14.1 20.0 20.0 4.1 -0.2 -2.0 -2.6 JGB-SGX-mini -4.9 -20.0 -7.2 -2.3 2.0 -2.3 0.6 -2.7 -1.2 6.9 3.9 0.3 4.8 -6.3 -6.1 17.6 19.8 15.1 16.0 -5.4 -0.8 0.2 2.7 -4.5 0.2 -1.9 1.1 -0.6 0.1 0.1 -1.5 20.0 -3.6 1.5 -9.4 5.3 -20.0 -8.2 5.2 7.7 JPY -13.9 -7.9 -16.5 -0.7 1.5 1.2 -0.9 1.2 -2.1 -6.7 -11.0 -10.4 -10.2 -11.1 -11.4 -15.9 -13.8 -16.0 -15.3 -15.2 -15.7 -8.3 -15.8 -12.8 20.0 -4.0 -1.1 -3.9 -2.3 -3.8 -3.5 -20.0 -5.0 -5.3 -6.2 -20.0 -7.3 -20.0 -7.2 -20.0 LEANHOG -17.3 9.5 9.1 1.5 3.7 -0.4 3.8 -2.1 2.5 7.6 -2.9 -4.6 -5.6 -6.4 6.0 20.0 20.0 20.0 20.0 -2.3 -5.1 0.4 -9.9 -3.6 11.8 -2.8 4.6 -5.4 0.3 -7.8 -2.0 20.0 1.5 -16.4 -7.2 -10.5 -7.7 0.7 19.4 20.0 LIVECOW -13.4 -5.6 20.0 3.1 7.7 -0.8 7.9 -4.4 5.1 7.1 20.0 -2.1 20.0 1.6 18.9 -8.8 5.2 -0.5 8.1 17.9 20.0 3.2 20.0 4.4 4.4 7.1 -0.2 12.5 1.1 13.3 1.9 2.0 -14.6 -1.1 10.4 20.0 -20.0 -20.0 -20.0 -19.6 LUMBER-new 2.0 -12.4 3.4 2.9 7.1 -0.4 7.3 -2.8 4.7 -13.9 -19.1 -4.2 -20.0 -15.9 -15.2 -16.8 -13.2 -14.4 -13.5 -10.5 -10.0 -8.3 -9.4 -9.0 NaN -3.7 -5.2 -3.1 -3.7 -2.4 -3.4 -20.0 -20.0 -3.9 -20.0 -4.4 -20.0 -20.0 -12.6 -20.0 MILK 11.8 20.0 8.1 1.3 3.2 -0.4 3.3 -1.8 2.1 9.2 -4.9 8.4 -9.2 8.2 0.1 4.1 -20.0 -20.0 -20.0 1.5 -7.3 10.5 -12.4 7.6 -2.0 -0.2 3.9 -3.6 3.4 -5.2 2.3 -20.0 7.8 7.4 10.1 -19.7 -20.0 -20.0 -15.6 -20.0 MXP 2.7 -11.6 7.5 -1.3 2.7 2.1 -1.6 2.1 -3.7 17.2 19.8 17.7 20.0 14.5 17.5 16.5 17.7 17.4 17.5 18.0 20.0 17.3 20.0 14.9 -20.0 6.9 6.1 10.4 6.7 12.7 5.6 20.0 20.0 20.0 16.4 20.0 20.0 6.3 20.0 20.0 NASDAQ_micro -20.0 -20.0 13.7 -1.4 4.9 0.6 0.8 1.5 -2.0 9.5 9.7 3.5 7.8 -3.5 5.8 -9.5 -8.0 -10.1 -9.5 3.4 11.4 5.9 11.6 -0.5 -20.0 1.5 4.9 5.0 1.7 5.8 -0.4 -5.3 8.1 3.0 4.7 20.0 -7.0 -14.1 -18.1 -16.4 NIKKEI -13.1 -18.5 10.3 -2.2 7.7 0.9 1.2 2.3 -3.2 15.7 13.8 1.3 14.8 -8.6 7.6 15.9 12.7 15.2 13.9 3.4 16.8 3.6 20.0 -3.1 -6.5 2.0 4.9 8.1 1.4 9.6 -1.2 20.0 0.6 8.9 -6.5 20.0 4.8 2.9 -2.5 9.4 NZD -16.7 -14.8 -5.4 -0.9 1.8 1.5 -1.1 1.5 -2.6 8.4 -9.8 -8.0 -0.6 -12.5 -11.5 -0.3 0.4 0.1 0.3 -12.0 -7.7 -4.5 -5.6 -12.2 0.6 -3.8 2.0 -2.2 -1.4 -1.5 -4.0 4.8 0.3 -5.1 -11.3 -13.5 -1.9 -13.4 1.9 7.5 OAT -1.3 -1.3 3.4 -2.5 2.2 -2.6 0.7 -3.0 -1.4 6.0 -5.4 2.7 -7.9 -2.3 -4.5 5.3 8.6 6.2 7.3 -3.1 -4.1 2.8 -7.7 -0.8 8.0 -1.6 2.3 -1.7 1.9 -3.3 -0.3 17.9 2.2 4.0 1.5 5.2 -20.0 -20.0 0.1 4.4 OATIES 11.6 15.1 20.0 2.4 6.0 -0.7 6.1 -3.4 3.9 11.2 16.2 16.7 -6.7 16.6 18.0 -20.0 -4.1 -17.4 -12.2 20.0 20.0 20.0 13.9 20.0 -20.0 6.5 7.2 4.9 9.4 2.4 7.8 -20.0 20.0 20.0 20.0 20.0 2.5 19.6 16.5 20.0 OJ -4.6 9.4 5.7 2.2 5.5 -0.6 5.6 -3.1 3.6 12.6 17.1 12.8 17.5 15.2 16.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.3 4.9 6.8 5.0 7.9 5.8 20.0 0.5 20.0 20.0 20.0 13.3 5.2 20.0 16.9 PALLAD 10.0 9.4 -12.8 -1.2 4.8 0.0 2.6 0.8 -0.5 -5.3 -11.4 -3.4 -11.8 -4.6 -10.4 -2.2 -2.5 -2.7 -2.8 -7.8 -14.7 -2.5 -20.0 -3.2 -2.3 -2.6 -2.0 -4.1 -1.1 -4.9 -1.3 1.9 -13.6 4.4 -0.8 -11.1 -20.0 -2.6 5.1 1.1 PLAT 10.5 -0.5 -16.9 -1.4 5.8 0.0 3.2 1.0 -0.5 12.3 -9.4 11.0 -2.0 3.0 -8.8 -3.3 -2.2 -3.1 -2.7 -4.2 -7.5 20.0 -4.4 7.6 14.0 -0.6 9.8 -1.5 8.3 -0.8 3.4 2.4 20.0 15.6 8.7 -10.6 2.7 -16.4 17.2 -12.3 REDWHEAT -18.9 -10.7 -2.1 1.4 3.4 -0.4 3.4 -1.9 2.2 -8.6 -5.2 -9.6 -9.2 -10.2 -7.9 -4.7 1.9 -2.3 0.4 -9.6 -5.9 -10.3 -4.4 -11.8 -10.8 -2.5 -3.9 -1.5 -3.4 -0.8 -3.4 -9.3 -16.8 -19.5 -16.8 -1.6 -20.0 -19.8 -10.8 -7.6 RICE 1.5 16.5 11.1 2.6 6.3 -0.7 6.5 -3.6 4.2 17.7 5.2 15.4 1.6 16.3 16.5 -13.3 19.3 8.0 20.0 14.3 8.2 20.0 2.9 18.3 -20.0 5.3 15.3 3.2 11.3 1.1 7.1 20.0 20.0 18.0 16.9 16.7 -6.0 -20.0 7.3 -12.2 ROBUSTA -12.1 -10.0 2.4 1.9 4.7 -0.5 4.8 -2.7 3.1 13.4 10.9 -1.1 11.4 -3.7 1.9 20.0 20.0 20.0 20.0 2.2 12.3 5.9 17.7 -1.4 -13.5 1.0 9.0 5.9 3.1 8.3 -1.0 20.0 0.4 -8.3 -8.8 15.2 -3.7 -16.9 12.3 -7.4 RUSSELL -20.0 -2.2 16.0 -2.1 7.4 0.9 1.2 2.3 -3.1 13.8 2.5 -7.7 -0.9 -10.5 2.9 -7.7 -5.5 -7.3 -6.6 -2.5 4.4 -2.0 1.2 -10.6 -2.5 -0.7 5.6 2.0 -0.7 1.9 -3.5 -0.7 -4.2 -9.9 8.8 17.3 -6.4 -9.6 -20.0 -13.0 SHATZ 1.9 9.2 -11.4 -2.1 1.9 -2.2 0.6 -2.6 -1.2 -4.8 -5.7 -4.5 -7.3 1.0 -4.8 -20.0 -6.4 -19.5 -13.1 -3.2 -7.1 -1.9 -12.4 -1.2 10.9 -1.2 -2.1 -2.7 -0.9 -5.1 -0.4 -12.1 -5.7 3.0 7.5 -0.9 -20.0 -20.0 -20.0 -20.0 SILVER-mini 2.3 -1.1 -6.7 -1.6 6.7 0.0 3.7 1.1 -0.6 14.6 1.8 12.3 5.1 2.2 -3.5 -7.1 -5.7 -6.9 -6.4 0.6 0.3 20.0 2.2 8.9 7.5 1.4 9.6 1.2 8.6 1.1 4.2 -3.9 20.0 12.5 14.2 -1.8 -18.0 -20.0 -1.3 -20.0 SMI -6.5 -6.6 -9.1 -2.2 7.8 0.9 1.3 2.4 -3.2 15.3 2.9 2.5 5.0 -7.2 -10.6 -3.2 1.0 -3.0 -1.5 -8.1 -3.4 5.5 1.3 -5.1 4.8 -2.2 10.2 -1.4 4.8 -1.4 -0.5 9.5 -0.8 14.2 3.0 -10.6 -8.3 -11.3 -19.6 -16.1 SOFR -9.3 -11.6 -12.6 -2.4 2.2 -2.5 0.7 -2.9 -1.3 8.0 -5.5 -1.4 -3.4 -5.1 -7.1 -1.9 -0.9 -1.9 -1.4 -8.0 -6.5 2.0 -5.0 -5.4 -1.5 -2.6 3.7 -2.2 1.0 -1.5 -1.6 2.1 1.5 -1.1 -0.3 -5.6 -20.0 -20.0 -6.6 -3.5 SOYBEAN 3.8 7.5 20.0 1.3 3.2 -0.3 3.3 -1.8 2.1 5.3 5.0 6.7 -0.7 3.0 6.2 5.7 20.0 12.1 16.0 5.8 3.7 10.1 0.8 7.2 -20.0 2.1 2.2 1.4 3.1 0.4 2.3 19.5 9.7 6.6 1.1 11.5 -11.2 8.0 -7.8 20.0 SOYMEAL 4.0 4.4 -8.5 1.4 3.5 -0.4 3.6 -2.0 2.3 6.1 -3.2 6.9 2.4 4.0 0.4 6.0 19.4 13.2 18.1 2.1 0.1 11.0 1.9 6.6 -20.0 2.0 2.7 1.8 4.2 2.5 2.9 20.0 15.2 6.2 1.1 7.5 -13.9 -18.1 -10.7 -16.6 SOYOIL 1.1 16.9 20.0 1.6 3.8 -0.4 3.9 -2.2 2.5 -1.5 8.2 5.2 -1.1 6.8 10.5 16.0 11.1 13.2 10.9 13.3 10.8 3.9 4.0 8.5 -20.0 3.5 -0.4 2.9 0.9 1.1 2.1 6.3 -9.8 6.1 5.2 20.0 0.4 6.5 16.3 20.0 SP400 -20.0 -3.6 14.9 -2.1 7.2 0.9 1.2 2.2 -3.0 13.5 5.2 -5.7 6.9 -8.2 5.5 -6.6 -4.9 -6.1 -5.6 -0.6 6.7 1.3 5.8 -8.1 -12.1 -0.4 6.7 2.1 0.3 2.2 -2.9 0.7 -2.4 -5.2 8.5 15.7 0.4 -10.9 -14.0 -15.2 SP500_micro -20.0 -19.1 15.6 -1.9 6.8 0.8 1.1 2.1 -2.8 13.4 12.3 2.2 9.6 -5.4 7.1 -11.9 -9.1 -12.3 -11.1 3.7 12.2 7.0 11.7 -1.8 -16.7 1.5 6.9 5.1 1.8 5.2 -1.1 -7.5 7.5 -0.5 9.6 20.0 -5.1 -12.9 -18.5 -18.1 SUGAR11 8.5 -3.4 -9.9 2.6 6.3 -0.7 6.4 -3.6 4.1 15.5 12.8 14.9 15.0 12.4 3.0 -3.4 11.6 -0.8 4.8 7.5 13.9 20.0 20.0 15.6 -20.0 3.4 13.7 7.0 12.7 12.7 6.8 3.4 20.0 18.5 3.5 -1.8 -19.3 -19.5 9.2 -3.4 US10 -6.3 -10.8 -14.6 -2.2 2.0 -2.3 0.6 -2.7 -1.2 7.1 -6.8 -1.5 -7.3 -5.5 -7.5 -9.1 -7.0 -9.0 -8.7 -9.0 -9.0 0.6 -9.1 -5.7 0.8 -2.7 2.4 -2.6 0.4 -2.3 -1.6 -9.7 -0.4 -1.6 -2.0 -7.6 -20.0 -20.0 14.6 0.5 US10U -6.8 -11.7 -11.3 -2.9 2.6 -3.0 0.8 -3.5 -1.6 9.5 -8.8 -1.3 -9.4 -7.2 -9.7 -4.5 -1.7 -3.7 -3.0 -11.9 -11.2 0.8 -11.3 -7.8 -3.5 -3.6 3.0 -3.2 0.4 -2.6 -2.3 0.0 -0.8 -3.7 -4.9 -9.2 -20.0 -20.0 20.0 18.3 US2 1.6 -11.1 -20.0 -2.3 2.1 -2.4 0.6 -2.8 -1.3 6.5 -8.5 -3.4 -8.4 -6.7 -8.7 -20.0 -20.0 -20.0 -20.0 -12.2 -15.6 -1.0 -17.5 -6.6 8.5 -3.0 2.0 -3.6 -0.2 -4.1 -1.8 -20.0 -4.2 0.3 -0.5 -13.9 -20.0 -20.0 -20.0 -20.0 US20 -7.6 -13.7 -10.3 -2.2 2.0 -2.2 0.6 -2.6 -1.2 7.2 -6.3 -0.3 -6.0 -5.2 -6.9 -2.4 -1.5 -1.9 -1.9 -9.6 -8.6 0.2 -8.2 -6.6 -3.3 -2.6 1.7 -2.3 0.1 -1.8 -1.8 1.0 -0.9 -4.9 -6.5 -6.7 -20.0 -20.0 20.0 20.0 US30 -5.6 -12.4 -6.3 -2.6 2.3 -2.6 0.7 -3.1 -1.4 8.6 -8.1 1.0 -7.7 -6.0 -8.0 -7.8 -3.3 -6.6 -4.9 -10.5 -9.8 1.0 -10.4 -6.8 -3.0 -3.0 2.1 -2.6 0.4 -2.1 -1.9 -2.7 -0.3 -5.3 -8.6 -5.9 -20.0 -20.0 20.0 20.0 US5 -6.3 -10.1 -18.3 -2.3 2.1 -2.4 0.6 -2.8 -1.3 7.0 -7.3 -3.0 -7.7 -6.1 -8.0 -12.9 -9.4 -13.0 -12.0 -9.4 -9.9 -0.2 -10.6 -6.0 3.4 -2.8 2.6 -2.8 0.2 -2.8 -1.8 -14.5 -2.0 -1.2 -0.1 -8.5 -20.0 -20.0 2.3 -16.1 VIX 12.8 16.0 -20.0 -5.5 -9.0 -10.0 -5.1 -11.9 -2.5 -19.7 -20.0 -12.6 -20.0 -4.9 -20.0 -20.0 -20.0 -20.0 -20.0 -17.3 -20.0 -14.0 -20.0 -7.6 NaN -6.2 -10.5 -11.9 -5.9 -14.7 -2.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -19.5 -3.3 12.1 0.9 2.3 -0.2 2.3 -1.3 1.5 -5.1 -5.2 -6.5 -7.0 -6.9 -5.7 -12.1 -9.4 -11.0 -10.5 -5.9 -4.8 -7.3 -5.5 -7.8 -3.0 -1.4 -2.2 -1.2 -2.5 -1.5 -2.3 -20.0 -11.4 -11.9 -10.1 0.0 -20.0 -14.1 -14.1 -8.2 End of report for caleb_strategy_v3