******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230831_204317 produced at 2023-08-31 21:38:50.897171 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.52 0.0 0.00 0.00 0.00 0.00 -6.17 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 -0.09 -0.44 0.0 0.93 -0.93 -0.09 -0.09 -4.71 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 -5.16 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -5.38 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.18 0.0 0.38 -0.38 -0.13 -0.13 -25.74 56.0 -19 -19 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.17 0.0 0.65 -0.65 -0.25 -0.25 -3.35 13.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.17 0.0 0.10 -0.10 -0.10 -0.10 -27.13 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.16 0.0 0.52 -0.52 -0.12 -0.15 -5.15 17.0 -4 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.12 0.0 0.07 -0.07 -0.07 -0.07 -43.38 26.0 -26 -26 caleb_strategy_v3 CAD False False 0.03 0.00 -0.12 0.0 0.76 -0.76 0.00 0.00 -4.43 29.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.34 -0.11 0.0 0.94 -0.94 -0.34 -0.34 -2.99 25.0 -9 -9 caleb_strategy_v3 BOBL False False 0.04 -0.45 -0.09 0.0 0.85 -0.85 -0.45 -0.45 -1.98 19.0 -10 -10 caleb_strategy_v3 EUR False False 0.05 -0.19 -0.07 0.0 0.67 -0.67 -0.19 -0.14 -1.48 14.0 -4 -3 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.07 0.0 0.05 -0.05 -0.04 -0.04 -70.32 59.0 -43 -43 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.67 -0.67 0.00 0.00 -1.41 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.05 0.0 0.20 -0.20 -0.10 -0.10 -1.34 6.0 -3 -3 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.43 -0.43 0.00 0.00 -2.01 19.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.44 -0.44 0.02 0.02 -1.23 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 -3.63 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 -5.71 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.08 -0.03 0.0 0.41 -0.41 -0.08 -0.07 -5.58 66.0 -13 -12 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.45 2.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.12 -0.02 0.0 0.53 -0.53 -0.12 -0.12 -0.57 13.0 -3 -3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.02 0.0 0.23 -0.23 0.00 0.00 -6.95 68.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.25 -0.25 0.00 0.00 -1.66 23.0 0 0 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.02 0.0 0.19 -0.19 -0.09 -0.09 -0.17 2.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.07 -0.07 0.00 0.00 -1.74 5.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.87 12.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.98 8.0 -1 -1 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 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.27 9.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 -0.02 -0.01 0.0 0.36 -0.36 -0.02 -0.02 -1.23 58.0 -3 -3 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.39 -0.39 -0.04 -0.04 -0.31 9.0 -1 -1 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.27 -0.27 0.00 0.00 -0.33 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 0.00 -0.00 0.00 0.00 -0.06 0.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 0.00 0.0 0.21 -0.21 -0.05 -0.05 0.00 4.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.57 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.71 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 0.75 10.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.01 0.0 0.33 -0.33 0.01 0.01 0.53 26.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.01 0.0 0.17 -0.17 0.07 0.07 0.61 7.0 3 3 caleb_strategy_v3 SMI False False 0.04 0.22 0.01 0.0 0.40 -0.40 0.22 0.22 0.23 9.0 5 5 caleb_strategy_v3 PLAT False False 0.02 -0.02 0.01 0.0 0.17 -0.17 -0.02 -0.02 0.81 10.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 0.01 0.0 0.36 -0.36 0.00 0.05 0.21 8.0 0 1 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.57 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 0.91 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 2.15 23.0 2 2 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.51 -0.51 0.05 0.05 0.46 10.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.08 0.02 0.0 0.61 -0.61 0.08 0.08 0.78 22.0 3 3 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.18 -0.18 0.00 0.00 1.68 18.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.86 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.22 -0.22 0.00 0.00 6.07 51.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 1.96 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 2.05 17.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.05 0.0 0.14 -0.14 0.00 0.00 1.87 5.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.06 0.0 0.05 -0.05 0.00 0.00 4.93 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.07 0.0 0.13 -0.13 0.00 0.00 1.67 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.08 0.0 0.14 -0.14 0.07 0.07 8.05 13.0 7 7 caleb_strategy_v3 GASOIL False False 0.03 0.12 0.08 0.0 0.12 -0.12 0.12 0.12 2.46 4.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.27 0.08 0.0 0.45 -0.45 0.27 0.27 1.74 10.0 6 6 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.49 -0.49 0.00 0.00 1.77 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.67 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.38 0.0 0.28 -0.28 0.28 0.28 47.96 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.62 0.73 0.0 0.62 -0.62 0.62 0.62 70.68 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.53 1.49 0.0 0.57 -0.57 0.53 0.53 42.02 16.0 15 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.1 Shocked risk 54.9 Sum abs risk 65.8 Leverage 6.79 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2835282.52, 'annual_cash_vol_target': 708820.63, 'daily_cash_vol_target': 44301.289375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6482 0.6706 10.7302 BITCOIN 797.6254 26360.0000 3.0259 48.4143 BOBL 0.2823 116.1300 0.2430 3.8888 BTP 0.6379 115.8300 0.5507 8.8115 BUND 0.5970 133.1500 0.4484 7.1744 BUXL 1.3640 133.6800 1.0204 16.3257 CAC 56.6296 7316.0000 0.7741 12.3848 CAD 0.0027 0.7400 0.3602 5.7630 CANOLA 7.7990 814.5000 0.9575 15.3203 CHF 0.0051 1.1342 0.4465 7.1441 COCOA 40.0207 3640.0000 1.0995 17.5915 COFFEE 2.4330 154.4000 1.5758 25.2129 COPPER 0.0405 3.8295 1.0570 16.9113 CORN 8.4512 479.2500 1.7634 28.2146 COTTON2 1.1448 87.6500 1.3061 20.8978 CRUDE_W 0.9831 82.0200 1.1986 19.1784 DAX 113.9722 15964.0000 0.7139 11.4229 DOW 210.0330 34801.0000 0.6035 9.6564 EUR 0.0051 1.0854 0.4678 7.4844 EURIBOR-ICE 0.0578 97.1550 0.0595 0.9517 EUROSTX 39.9511 4299.0000 0.9293 14.8690 FEEDCOW 1.3495 256.6750 0.5258 8.4121 GASOIL 13.6811 869.5000 1.5734 25.1751 GASOLINE 0.0347 2.4800 1.3987 22.3793 GAS_US_mini 0.0906 3.1500 2.8750 46.0003 GBP 0.0066 1.2667 0.5229 8.3663 GOLD_micro 10.3012 1949.2000 0.5285 8.4558 HEATOIL 0.0441 2.9357 1.5023 24.0364 JGB-SGX-mini 0.2377 146.9500 0.1618 2.5880 JPY 0.0000 0.0069 0.6192 9.9076 LEANHOG 1.2465 74.5000 1.6732 26.7710 LIVECOW 1.0512 180.7500 0.5816 9.3056 LUMBER-new 9.2389 507.0000 1.8223 29.1562 MILK 0.2762 18.7600 1.4721 23.5536 MXP 0.0004 0.0587 0.7022 11.2352 NASDAQ_micro 159.5577 15575.2500 1.0244 16.3909 NIKKEI 292.6571 32470.0000 0.9013 14.4210 NZD 0.0041 0.5962 0.6826 10.9216 OAT 0.6025 127.8300 0.4713 7.5414 OATIES 7.5091 492.5000 1.5247 24.3952 OJ 5.5474 318.3500 1.7426 27.8810 PALLAD 22.2809 1223.0000 1.8218 29.1491 PLAT 13.1863 977.4000 1.3491 21.5859 REDWHEAT 13.3604 727.5000 1.8365 29.3836 RICE 0.1522 16.8400 0.9037 14.4593 ROBUSTA 33.7861 2496.0000 1.3536 21.6578 RUSSELL 16.7630 1905.0000 0.8799 14.0792 SHATZ 0.0893 105.1300 0.0849 1.3589 SILVER-mini 0.3418 25.3250 1.3495 21.5924 SMI 71.9645 11104.0000 0.6481 10.3695 SOFR 0.0721 96.4550 0.0748 1.1964 SOYBEAN 15.8753 1367.5000 1.1609 18.5743 SOYMEAL 5.5808 404.1000 1.3811 22.0968 SOYOIL 0.8517 62.5100 1.3625 21.7997 SP400 19.9025 2652.6000 0.7503 12.0048 SP500_micro 32.7566 4524.2500 0.7240 11.5844 SUGAR11 0.3173 25.4400 1.2474 19.9591 US10 0.4243 111.0312 0.3822 6.1146 US10U 0.5856 116.1094 0.5043 8.0693 US2 0.1039 101.5312 0.1023 1.6370 US20 0.8380 121.6875 0.6887 11.0189 US30 1.2500 129.5000 0.9653 15.4445 US5 0.2702 106.4141 0.2539 4.0631 VIX 0.4838 17.3000 2.7966 44.7460 WHEAT 13.5209 601.2500 2.2488 35.9807 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 648.15 0.67 434.67 1.00 434.67 44301.29 101.92 -6.07 -61.82 BITCOIN 26.36 3.03 79.76 1.00 79.76 44301.29 555.41 -10.53 -584.78 BOBL 1161.30 0.24 282.25 1.09 306.81 44301.29 144.39 -14.78 -213.45 BTP 1158.30 0.55 637.90 1.09 693.40 44301.29 63.89 8.71 55.66 BUND 1331.50 0.45 597.04 1.09 648.98 44301.29 68.26 7.31 49.88 BUXL 1336.80 1.02 1364.01 1.09 1482.68 44301.29 29.88 0.10 0.29 CAC 731.60 0.77 566.30 1.09 615.56 44301.29 71.97 3.66 26.32 CAD 739.95 0.36 266.52 1.00 266.52 44301.29 166.22 -8.19 -136.20 CANOLA 162.90 0.96 155.98 0.74 114.91 44301.29 385.53 7.51 289.53 CHF 1417.75 0.45 633.04 1.00 633.04 44301.29 69.98 -14.75 -103.20 COCOA 364.00 1.10 400.21 1.00 400.21 44301.29 110.70 2.60 28.77 COFFEE 579.00 1.58 912.39 1.00 912.39 44301.29 48.56 -13.73 -66.66 COPPER 957.38 1.06 1011.91 1.00 1011.91 44301.29 43.78 -2.55 -11.17 CORN 239.62 1.76 422.56 1.00 422.56 44301.29 104.84 -8.52 -89.34 COTTON2 438.25 1.31 572.40 1.00 572.40 44301.29 77.40 4.01 31.04 CRUDE_W 820.20 1.20 983.13 1.00 983.13 44301.29 45.06 3.39 15.25 DAX 159.64 0.71 113.97 1.09 123.89 44301.29 357.59 -1.05 -37.52 DOW 174.00 0.60 105.02 1.00 105.02 44301.29 421.85 -5.92 -249.84 EUR 1356.81 0.47 634.69 1.00 634.69 44301.29 69.80 -6.53 -45.56 EURIBOR-ICE 2428.88 0.06 144.48 1.09 157.05 44301.29 282.09 -5.35 -150.86 EUROSTX 429.90 0.93 399.51 1.09 434.27 44301.29 102.01 2.74 27.99 FEEDCOW 1283.38 0.53 674.74 1.00 674.74 44301.29 65.66 0.95 6.22 GASOIL 869.50 1.57 1368.11 1.00 1368.11 44301.29 32.38 15.50 50.20 GASOLINE 1041.60 1.40 1456.89 1.00 1456.89 44301.29 30.41 17.92 54.48 GAS_US_mini 78.75 2.88 226.41 1.00 226.41 44301.29 195.67 -18.10 -354.19 GBP 791.69 0.52 413.97 1.00 413.97 44301.29 107.02 2.24 23.96 GOLD_micro 194.92 0.53 103.01 1.00 103.01 44301.29 430.06 -15.80 -679.63 HEATOIL 1232.99 1.50 1852.30 1.00 1852.30 44301.29 23.92 14.22 34.01 JGB-SGX-mini 146950.00 0.16 23769.22 0.01 162.57 44301.29 272.50 11.80 321.55 JPY 861.75 0.62 533.62 1.00 533.62 44301.29 83.02 -19.08 -158.44 LEANHOG 298.00 1.67 498.61 1.00 498.61 44301.29 88.85 14.49 128.74 LIVECOW 723.00 0.58 420.50 1.00 420.50 44301.29 105.35 5.70 60.03 LUMBER-new 139.43 1.82 254.07 1.00 254.07 44301.29 174.37 -17.96 -313.14 MILK 375.20 1.47 552.33 1.00 552.33 44301.29 80.21 -11.79 -94.55 MXP 293.65 0.70 206.20 1.00 206.20 44301.29 214.84 20.00 429.69 NASDAQ_micro 311.50 1.02 319.12 1.00 319.12 44301.29 138.83 -5.34 -74.12 NIKKEI 32470.00 0.90 29265.71 0.01 200.17 44301.29 221.32 16.58 367.05 NZD 596.15 0.68 406.93 1.00 406.93 44301.29 108.87 -3.47 -37.73 OAT 1278.30 0.47 602.51 1.09 654.93 44301.29 67.64 8.41 56.89 OATIES 246.25 1.52 375.46 1.00 375.46 44301.29 117.99 -2.31 -27.24 OJ 477.52 1.74 832.12 1.00 832.12 44301.29 53.24 20.00 106.48 PALLAD 1223.00 1.82 2228.09 1.00 2228.09 44301.29 19.88 -5.92 -11.76 PLAT 488.70 1.35 659.31 1.00 659.31 44301.29 67.19 3.17 21.28 REDWHEAT 363.75 1.84 668.02 1.00 668.02 44301.29 66.32 -12.94 -85.84 RICE 336.80 0.90 304.37 1.00 304.37 44301.29 145.55 16.18 235.45 ROBUSTA 249.60 1.35 337.86 1.00 337.86 44301.29 131.12 16.32 213.96 RUSSELL 95.25 0.88 83.81 1.00 83.81 44301.29 528.56 -4.13 -218.18 SHATZ 1051.30 0.08 89.29 1.09 97.06 44301.29 456.45 -12.72 -580.59 SILVER-mini 633.12 1.35 854.42 1.00 854.42 44301.29 51.85 -0.30 -1.57 SMI 1110.40 0.65 719.64 1.14 818.78 44301.29 54.11 1.31 7.10 SOFR 2411.38 0.07 180.31 1.00 180.31 44301.29 245.70 -4.33 -106.27 SOYBEAN 683.75 1.16 793.76 1.00 793.76 44301.29 55.81 13.54 75.58 SOYMEAL 404.10 1.38 558.08 1.00 558.08 44301.29 79.38 11.18 88.73 SOYOIL 375.06 1.36 511.01 1.00 511.01 44301.29 86.69 10.74 93.14 SP400 2652.60 0.75 1990.25 1.00 1990.25 44301.29 22.26 -2.33 -5.18 SP500_micro 226.21 0.72 163.78 1.00 163.78 44301.29 270.49 -6.02 -162.73 SUGAR11 284.93 1.25 355.43 1.00 355.43 44301.29 124.64 7.38 91.93 US10 1110.31 0.38 424.32 1.00 424.32 44301.29 104.41 -11.14 -116.28 US10U 1161.09 0.50 585.57 1.00 585.57 44301.29 75.65 -6.20 -46.92 US2 2030.62 0.10 207.75 1.00 207.75 44301.29 213.24 -20.00 -426.48 US20 1216.88 0.69 838.04 1.00 838.04 44301.29 52.86 -4.91 -25.95 US30 1295.00 0.97 1250.04 1.00 1250.04 44301.29 35.44 -7.59 -26.90 US5 1064.14 0.25 270.23 1.00 270.23 44301.29 163.94 -15.09 -247.41 VIX 173.00 2.80 483.82 1.00 483.82 44301.29 91.57 -20.00 -183.13 WHEAT 300.62 2.25 676.04 1.00 676.04 44301.29 65.53 -16.96 -111.12 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -61.815 0.013 2.5 -2.009 BITCOIN -584.778 0.048 2.5 -70.320 BOBL -213.448 0.004 2.5 -1.979 BTP 55.662 0.012 2.5 1.736 BUND 49.882 0.004 2.5 0.463 BUXL 0.288 0.004 2.5 0.003 CAC 26.321 0.013 2.5 0.860 CAD -136.196 0.013 2.5 -4.427 CANOLA 289.531 0.008 2.5 6.065 CHF -103.201 0.013 2.5 -3.354 COCOA 28.767 0.007 2.5 0.531 COFFEE -66.659 0.004 2.5 -0.670 COPPER -11.166 0.048 2.5 -1.343 CORN -89.337 0.008 2.5 -1.871 COTTON2 31.041 0.007 2.5 0.573 CRUDE_W 15.254 0.049 2.5 1.868 DAX -37.524 0.013 2.5 -1.226 DOW -249.845 0.009 2.5 -5.579 EUR -45.558 0.013 2.5 -1.481 EURIBOR-ICE -150.864 0.012 2.5 -4.706 EUROSTX 27.994 0.013 2.5 0.914 FEEDCOW 6.222 0.014 2.5 0.212 GASOIL 50.204 0.020 2.5 2.461 GASOLINE 54.481 0.020 2.5 2.671 GAS_US_mini -354.188 0.049 2.5 -43.376 GBP 23.958 0.013 2.5 0.779 GOLD_micro -679.634 0.015 2.5 -25.742 HEATOIL 34.011 0.020 2.5 1.667 JGB-SGX-mini 321.547 0.052 2.5 42.016 JPY -158.437 0.013 2.5 -5.149 LEANHOG 128.736 0.025 2.5 8.047 LIVECOW 60.033 0.014 2.5 2.046 LUMBER-new -313.135 0.007 2.5 -5.709 MILK -94.548 0.007 2.5 -1.744 MXP 429.689 0.066 2.5 70.682 NASDAQ_micro -74.116 0.009 2.5 -1.655 NIKKEI 367.047 0.052 2.5 47.962 NZD -37.730 0.013 2.5 -1.226 OAT 56.888 0.012 2.5 1.774 OATIES -27.240 0.008 2.5 -0.571 OJ 106.478 0.007 2.5 1.964 PALLAD -11.764 0.015 2.5 -0.446 PLAT 21.280 0.015 2.5 0.806 REDWHEAT -85.835 0.005 2.5 -0.980 RICE 235.454 0.008 2.5 4.932 ROBUSTA 213.959 0.004 2.5 2.152 RUSSELL -218.182 0.013 2.5 -6.947 SHATZ -580.591 0.004 2.5 -5.384 SILVER-mini -1.566 0.015 2.5 -0.059 SMI 7.102 0.013 2.5 0.232 SOFR -106.267 0.023 2.5 -6.169 SOYBEAN 75.577 0.003 2.5 0.605 SOYMEAL 88.725 0.003 2.5 0.711 SOYOIL 93.144 0.003 2.5 0.747 SP400 -5.183 0.013 2.5 -0.165 SP500_micro -162.734 0.009 2.5 -3.634 SUGAR11 91.927 0.007 2.5 1.684 US10 -116.279 0.005 2.5 -1.407 US10U -46.918 0.005 2.5 -0.568 US2 -426.478 0.005 2.5 -5.162 US20 -25.952 0.005 2.5 -0.314 US30 -26.899 0.005 2.5 -0.326 US5 -247.406 0.005 2.5 -2.994 VIX -183.133 0.059 2.5 -27.134 WHEAT -111.123 0.005 2.5 -1.269 ===================== Position diags ===================== AUD 3.31 BITCOIN 66.79 BOBL 1.34 BTP 1.99 BUND 0.63 BUXL 0.28 CAC 2.35 CAD 5.40 CANOLA 8.08 CHF 2.27 COCOA 2.04 COFFEE 0.49 COPPER 5.26 CORN 2.20 COTTON2 1.43 CRUDE_W 5.52 DAX 11.68 DOW 9.42 EUR 2.27 EURIBOR-ICE 8.80 EUROSTX 3.33 FEEDCOW 2.24 GASOIL 1.59 GASOLINE 1.49 GAS_US_mini 23.96 GBP 3.48 GOLD_micro 16.29 HEATOIL 1.17 JGB-SGX-mini 35.61 JPY 2.70 LEANHOG 5.55 LIVECOW 3.59 LUMBER-new 3.18 MILK 1.48 MXP 35.34 NASDAQ_micro 3.10 NIKKEI 28.92 NZD 3.54 OAT 2.11 OATIES 2.47 OJ 0.98 PALLAD 0.75 PLAT 2.55 REDWHEAT 0.76 RICE 3.05 ROBUSTA 1.32 RUSSELL 16.83 SHATZ 4.23 SILVER-mini 1.96 SMI 1.77 SOFR 14.26 SOYBEAN 0.45 SOYMEAL 0.64 SOYOIL 0.69 SP400 0.71 SP500_micro 6.04 SUGAR11 2.28 US10 1.26 US10U 0.92 US2 2.58 US20 0.64 US30 0.43 US5 1.98 VIX 13.57 WHEAT 0.75 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.0 -2.3 -1.7 NaN 0 BITCOIN -70.3 -77.0 -63.6 -43.0 -43 BOBL -2.0 -2.1 -1.8 -10.0 -10 BTP 1.7 1.5 1.9 6.0 6 BUND 0.5 0.4 0.5 1.0 1 BUXL 0.0 -0.0 0.0 -1.0 -1 CAC 0.9 0.6 1.1 NaN 0 CAD -4.4 -5.0 -3.9 0.0 0 CANOLA 6.1 5.3 6.9 NaN 0 CHF -3.4 -3.6 -3.1 -5.0 -5 COCOA 0.5 0.3 0.7 1.0 1 COFFEE -0.7 -0.7 -0.6 NaN 0 COPPER -1.3 -1.9 -0.8 -3.0 -3 CORN -1.9 -2.1 -1.7 -2.0 -2 COTTON2 0.6 0.4 0.7 0.0 0 CRUDE_W 1.9 1.3 2.4 0.0 0 DAX -1.2 -2.4 -0.1 -3.0 -3 DOW -5.6 -6.5 -4.6 -13.0 -13 EUR -1.5 -1.7 -1.3 -4.0 -4 EURIBOR-ICE -4.7 -5.6 -3.8 -1.0 -1 EUROSTX 0.9 0.6 1.2 5.0 5 FEEDCOW 0.2 -0.0 0.4 0.0 0 GASOIL 2.5 2.3 2.6 4.0 4 GASOLINE 2.7 2.5 2.8 4.0 4 GAS_US_mini -43.4 -45.8 -41.0 -26.0 -26 GBP 0.8 0.4 1.1 3.0 3 GOLD_micro -25.7 -27.4 -24.1 -19.0 -19 HEATOIL 1.7 1.6 1.8 0.0 0 JGB-SGX-mini 42.0 38.5 45.6 15.0 15 JPY -5.1 -5.4 -4.9 -4.0 -4 LEANHOG 8.0 7.5 8.6 7.0 7 LIVECOW 2.0 1.7 2.4 2.0 2 LUMBER-new -5.7 -6.0 -5.4 NaN 0 MILK -1.7 -1.9 -1.6 NaN 0 MXP 70.7 67.1 74.2 60.0 60 NASDAQ_micro -1.7 -2.0 -1.3 0.0 0 NIKKEI 48.0 45.1 50.9 36.0 36 NZD -1.2 -1.6 -0.9 1.0 1 OAT 1.8 1.6 2.0 0.0 0 OATIES -0.6 -0.8 -0.3 NaN 0 OJ 2.0 1.9 2.1 NaN 0 PALLAD -0.4 -0.5 -0.4 NaN 0 PLAT 0.8 0.6 1.1 -1.0 -1 REDWHEAT -1.0 -1.1 -0.9 -1.0 -1 RICE 4.9 4.6 5.2 NaN 0 ROBUSTA 2.2 2.0 2.3 2.0 2 RUSSELL -6.9 -8.6 -5.3 0.0 0 SHATZ -5.4 -5.8 -5.0 NaN 0 SILVER-mini -0.1 -0.3 0.1 NaN 0 SMI 0.2 0.1 0.4 5.0 5 SOFR -6.2 -7.6 -4.7 NaN 0 SOYBEAN 0.6 0.6 0.6 3.0 3 SOYMEAL 0.7 0.6 0.8 1.0 1 SOYOIL 0.7 0.7 0.8 0.0 0 SP400 -0.2 -0.2 -0.1 -1.0 -1 SP500_micro -3.6 -4.2 -3.0 -1.0 -1 SUGAR11 1.7 1.5 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 -5.2 -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 -27.1 -28.5 -25.8 -17.0 -17 WHEAT -1.3 -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 -0.3 -0.4 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.0 -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 0.2 -0.0 -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 -0.2 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 0.1 -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 0.1 -0.0 0.0 -0.1 0.0 -3.1 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.2 BTP -0.1 -0.1 0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 0.0 0.0 0.0 0.3 0.5 0.3 0.4 -0.0 0.0 0.1 -0.0 0.0 -0.4 -0.0 0.1 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 0.1 -0.2 0.0 0.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 2.7 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.0 -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 0.1 0.1 -0.1 0.1 -0.3 -0.3 -0.1 0.2 CAC -0.1 -0.1 -0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 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 0.0 0.1 0.0 0.2 -0.0 1.0 -0.3 0.4 0.1 -0.1 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 -0.1 -0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.4 -0.5 -0.2 -0.2 -0.3 -0.3 -0.2 CANOLA 0.0 0.5 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 0.1 -0.2 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 -0.0 0.3 0.4 0.5 -0.2 0.1 0.1 0.3 CHF -0.4 -0.1 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 -0.5 0.0 0.4 0.0 -0.3 -0.3 -0.3 -0.3 COCOA -0.1 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 0.1 -2.5 0.7 0.2 0.4 0.5 -0.1 -0.2 0.2 -0.0 COFFEE -0.2 -0.2 -0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.3 -0.1 -0.4 -0.1 -0.2 -0.2 0.1 -0.0 0.1 -0.2 -0.2 -0.0 -0.4 -0.1 -1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.3 -0.0 -0.5 -0.5 -0.4 -0.3 -0.3 -0.2 -0.2 COPPER -0.1 -0.0 -0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.0 0.1 -0.1 -0.0 -0.3 -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 -0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -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 -0.3 -0.2 -0.2 0.0 -0.0 0.1 0.0 0.2 COTTON2 -0.0 0.3 0.3 0.0 0.0 -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 0.1 0.1 -0.0 0.1 -1.1 0.0 0.1 0.1 0.0 0.1 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 0.2 0.6 0.5 0.5 0.5 0.2 0.1 0.2 0.2 0.1 -0.4 0.1 0.1 0.1 0.0 0.1 0.0 -2.9 0.3 -0.3 -0.5 -0.2 0.2 0.2 0.3 0.1 DAX -0.2 -0.2 -0.1 -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 0.1 0.3 -0.0 0.9 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.5 -0.3 0.2 -0.0 -0.2 0.3 0.0 0.3 0.1 DOW -0.5 0.0 0.3 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 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 0.0 0.1 -0.0 0.1 -0.0 -0.8 -0.5 -0.1 0.4 0.4 -0.1 -0.1 -0.3 -0.1 EUR -0.3 -0.3 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 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 -0.0 0.0 -0.0 0.0 -0.0 -1.2 -0.2 0.0 -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 0.1 -0.1 0.0 -0.2 0.0 -0.0 -0.5 -0.5 -0.5 -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 0.2 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 0.1 0.2 -0.0 0.4 -0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.0 0.0 0.0 0.3 -0.0 0.3 -0.0 0.0 0.0 0.0 0.2 -0.0 1.0 -0.4 0.2 -0.0 -0.1 0.3 0.0 0.3 0.1 FEEDCOW 0.0 0.2 0.4 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 0.4 0.2 0.6 0.2 0.2 0.1 -1.2 -1.0 -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 0.0 -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 -0.4 0.1 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 0.3 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.3 -0.1 -0.6 -0.1 -0.0 -1.2 -1.1 -1.2 -1.2 -0.0 -0.1 -0.1 -0.4 -0.0 1.1 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -3.2 -0.7 -0.4 -0.5 -0.5 0.1 0.1 -0.0 0.0 GBP -0.3 -0.3 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.0 0.4 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.5 -0.5 0.2 0.0 0.1 0.0 0.2 0.1 0.3 GOLD_micro -0.1 -0.3 -0.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 -0.2 0.1 0.2 -0.1 -0.2 -1.1 -0.8 -1.0 -0.9 -0.1 -0.1 0.2 0.0 -0.0 -0.6 -0.0 0.1 -0.0 0.1 0.0 -0.0 -2.8 0.7 -0.1 0.1 -0.5 -0.3 -0.3 -0.2 -0.3 HEATOIL -0.4 0.5 0.5 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.2 0.0 -0.1 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.1 0.3 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.0 0.3 -0.1 0.2 0.5 0.5 0.1 -0.0 -0.0 -0.0 JGB-SGX-mini -0.1 -0.5 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.1 0.0 0.1 -0.0 -0.1 1.1 1.2 0.9 1.0 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 3.2 -0.1 0.1 -0.3 0.1 -0.3 -0.1 0.1 0.1 JPY -0.3 -0.2 -0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.3 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.1 -0.1 -0.1 -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 -0.0 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 0.0 -0.3 -0.2 -0.3 -0.1 0.0 0.3 0.3 LIVECOW -0.3 -0.2 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 -0.1 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 -0.1 -0.1 0.2 0.5 -0.3 -0.3 -0.3 -0.3 LUMBER-new 0.1 -0.4 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.3 -0.4 -0.1 -0.4 -0.2 -0.1 -1.1 -0.8 -0.9 -0.9 -0.1 -0.1 -0.2 -0.2 -0.1 NaN -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -3.4 -0.7 -0.2 -0.5 -0.2 -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 0.4 -1.2 -1.2 -1.2 0.0 -0.1 0.1 -0.3 0.1 -0.1 0.0 0.1 -0.1 0.0 -0.1 0.0 -3.2 0.4 0.2 0.3 -0.5 -0.3 -0.3 -0.2 -0.3 MXP 0.0 -0.4 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.4 0.1 0.6 0.1 0.1 1.0 1.0 1.0 1.0 0.1 0.2 0.1 0.4 0.1 -1.1 0.1 -0.0 0.2 0.0 0.4 0.0 3.2 0.5 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 0.0 0.0 -0.0 0.1 0.2 0.1 0.2 -0.0 0.1 -0.6 -0.5 -0.6 -0.6 0.0 0.1 0.1 0.2 0.0 -1.1 0.0 0.1 0.1 0.0 0.2 0.0 -0.8 0.4 0.1 0.1 0.5 -0.1 -0.2 -0.2 -0.2 NIKKEI -0.3 -0.5 0.3 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.3 0.0 0.4 -0.1 0.1 0.9 0.8 0.9 0.8 0.0 0.1 0.1 0.4 -0.0 -0.3 0.0 0.1 0.2 0.0 0.3 -0.0 3.2 -0.1 0.2 -0.2 0.5 0.1 0.0 -0.0 0.1 NZD -0.4 -0.4 -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 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.8 0.1 -0.1 -0.3 -0.3 -0.0 -0.2 0.0 0.1 OAT 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 0.3 0.5 0.4 0.4 -0.0 -0.0 0.1 -0.2 0.0 0.4 -0.0 0.1 -0.0 0.0 -0.1 0.0 2.8 0.2 0.1 0.1 0.1 -0.3 -0.3 0.0 0.1 OATIES 0.3 0.4 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.3 0.1 -0.2 0.1 0.1 -1.2 -0.2 -1.0 -0.7 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 -3.2 0.7 0.5 0.5 0.5 0.0 0.3 0.2 0.3 OJ -0.2 0.2 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.3 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 0.0 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 0.2 -0.3 -0.0 0.0 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 -0.1 -0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.5 0.0 -0.0 -0.3 -0.3 -0.0 0.1 0.0 PLAT 0.4 -0.0 -0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 -0.1 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 -0.1 -0.1 -0.1 -0.1 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.4 -0.5 -0.5 -0.4 -0.1 -0.3 -0.3 -0.1 -0.1 RICE 0.1 0.4 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.1 -0.8 1.1 0.4 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 0.4 0.5 0.4 -0.1 -0.3 0.1 -0.2 ROBUSTA -0.3 -0.2 0.1 0.0 0.0 -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 0.1 -0.2 -0.2 0.4 -0.0 -0.2 0.2 -0.1 RUSSELL -0.5 -0.1 0.3 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.1 -0.0 -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 -0.3 0.2 0.4 -0.1 -0.1 -0.3 -0.2 SHATZ 0.1 0.2 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.0 -1.2 -0.4 -1.2 -0.8 -0.0 -0.1 0.0 -0.2 0.0 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -2.0 -0.1 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 -0.1 -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 -0.1 0.3 0.1 -0.3 -0.1 -0.2 -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 0.1 -0.1 -0.0 -0.1 -0.0 0.1 -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 0.0 0.1 0.0 -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 3.0 0.1 0.1 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 0.0 -0.1 0.0 0.1 0.0 0.0 0.3 1.1 0.8 1.1 0.0 0.0 0.1 0.0 0.0 -1.1 0.0 -0.0 0.0 0.0 0.1 0.0 3.2 0.4 0.1 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 1.0 0.7 0.8 0.7 0.1 0.1 0.0 0.1 0.1 -1.1 0.0 -0.0 0.1 0.0 0.0 0.0 1.1 -0.6 0.1 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 0.1 0.1 -0.0 -0.6 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -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 0.3 0.0 0.2 0.5 -0.1 -0.2 -0.2 -0.2 SUGAR11 0.3 -0.1 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.3 0.1 0.4 0.1 0.0 -0.2 0.7 -0.1 0.3 0.1 0.1 0.2 0.4 0.1 -1.1 0.0 0.1 0.1 0.1 0.3 0.1 0.5 0.7 0.5 0.2 -0.1 -0.3 -0.3 0.1 -0.0 US10 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0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.2 -0.0 -0.1 -0.8 -0.6 -0.8 -0.7 -0.1 -0.1 0.0 -0.2 -0.0 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -2.3 -0.1 -0.0 -0.0 -0.2 -0.3 -0.3 0.0 -0.2 VIX 0.4 0.6 -0.8 -0.1 -0.2 -0.3 -0.1 -0.5 -0.0 -0.4 -0.6 -0.2 -0.8 -0.1 -0.3 -1.8 -1.8 -1.8 -1.8 -0.2 -0.3 -0.4 -0.6 -0.1 NaN -0.1 -0.2 -0.4 -0.1 -0.6 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT -0.5 -0.1 0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.7 -0.6 -0.7 -0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -3.2 -0.3 -0.3 -0.2 -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 -12.8 -15.8 -1.8 -0.9 0.8 1.5 -1.1 1.5 -2.5 10.6 -11.2 -5.1 -6.6 -12.2 -11.6 -3.1 -2.7 -2.9 -2.9 -12.7 -9.2 -2.0 -7.5 -11.0 3.0 -3.9 2.1 -2.6 -0.4 -2.0 -3.4 -0.6 6.3 -1.5 -12.1 -12.1 -5.2 -20.0 -1.4 5.6 BITCOIN -16.8 -15.2 0.4 -2.0 5.4 0.1 4.5 1.6 -0.5 -6.6 10.2 -15.2 2.6 -17.7 -9.5 -6.9 -4.2 -6.9 -5.7 -10.9 0.6 -12.1 2.6 -17.3 -20.0 -5.2 -1.8 -1.0 -5.2 0.8 -7.6 -1.7 -20.0 -20.0 -20.0 -3.6 -10.7 20.0 -9.1 20.0 BOBL 1.2 3.5 -2.3 -2.0 3.1 -2.2 1.4 -2.6 -0.7 6.1 -3.5 2.8 -6.8 2.4 -4.1 -20.0 -10.1 -20.0 -18.7 -1.8 -4.2 4.0 -8.4 0.9 9.5 -0.7 4.4 -1.5 2.5 -3.2 0.7 -19.7 2.1 3.3 5.5 2.3 -20.0 -20.0 -20.0 -15.6 BTP -3.5 -3.0 7.9 -3.2 4.9 -3.5 2.2 -4.2 -1.1 11.2 6.1 8.2 0.5 0.6 0.4 4.9 7.9 5.3 6.3 -0.2 1.3 6.4 -1.8 1.3 -6.8 -0.0 6.7 1.4 4.4 0.2 0.9 16.4 3.9 4.4 4.8 16.4 -16.3 -20.0 1.4 8.4 BUND 0.1 -0.9 2.4 -2.1 3.3 -2.3 1.5 -2.8 -0.8 7.2 -4.7 4.2 -7.5 -1.1 -4.3 6.3 8.7 6.4 7.0 -2.5 -4.1 4.5 -8.1 0.3 5.9 -1.3 4.9 -1.7 3.0 -3.2 0.4 17.4 3.5 3.4 2.1 3.6 -20.0 -20.0 -16.9 -1.2 BUXL -1.5 -4.4 3.6 -2.4 3.8 -2.7 1.7 -3.2 -0.9 8.6 -8.1 4.0 -9.5 -3.3 -5.3 0.4 1.0 0.9 1.3 -4.7 -6.3 3.9 -11.0 -1.5 0.7 -2.1 3.7 -2.2 2.0 -3.2 -0.7 6.2 1.6 2.3 -3.3 4.1 -20.0 -20.0 -3.8 14.0 CAC -5.9 -4.9 -7.6 -2.3 7.8 1.1 2.5 2.8 -2.8 9.6 12.6 2.7 19.1 -3.1 -1.9 -6.6 -0.8 -5.4 -3.2 -1.7 6.2 5.0 16.6 -1.7 -5.0 -0.6 4.0 3.3 3.5 7.7 -0.5 6.6 -9.8 17.0 3.6 -2.5 20.0 -0.5 20.0 3.5 CAD -19.3 -16.6 5.3 -1.6 1.4 2.5 -1.8 2.6 -4.3 18.3 1.7 -13.9 -10.7 -20.0 -13.5 -2.1 -2.0 -2.1 -2.2 -17.8 -5.9 -9.6 -5.5 -20.0 1.4 -5.7 3.0 -1.6 -2.9 -1.0 -7.3 0.6 -2.7 -14.3 -20.0 -6.7 -17.5 -20.0 -20.0 -17.4 CANOLA 0.4 18.6 20.0 1.7 2.3 -0.3 3.4 -2.2 2.6 6.5 7.2 10.7 -5.5 5.9 9.6 -6.2 11.8 1.5 7.9 15.2 10.9 7.6 0.9 10.9 -20.0 3.1 0.6 1.5 1.7 -1.0 2.4 6.1 -0.4 10.8 16.1 18.9 -14.9 6.9 4.8 20.0 CHF -15.4 -4.1 3.3 -1.3 1.1 2.0 -1.5 2.1 -3.5 -6.5 8.3 -12.4 13.6 -9.2 -0.5 -14.9 -13.3 -14.5 -14.0 0.4 8.8 -7.6 10.7 -7.6 -8.8 0.8 -2.5 4.4 -3.3 4.5 -3.0 -19.3 -13.9 0.6 15.2 1.3 -19.8 -20.0 -20.0 -20.0 COCOA -3.2 1.5 9.8 3.1 4.1 -0.6 6.1 -3.9 4.7 20.0 20.0 16.2 20.0 15.1 19.2 -7.9 -2.2 -4.9 -3.0 20.0 20.0 20.0 20.0 20.0 -12.7 7.7 12.9 10.6 9.6 10.6 6.4 -15.7 20.0 7.0 17.5 20.0 -8.1 -13.8 14.3 -2.4 COFFEE -7.8 -7.7 -17.9 2.9 3.9 -0.6 5.8 -3.7 4.4 13.7 -12.0 -8.1 -12.6 -12.2 -19.1 -3.3 2.5 -0.4 1.4 -20.0 -20.0 -1.4 -17.2 -12.6 -20.0 -5.7 3.1 -4.2 -0.1 -2.8 -4.2 -7.9 -0.6 -20.0 -20.0 -17.8 -20.0 -20.0 -14.1 -12.0 COPPER -5.9 -0.8 -2.7 -1.4 3.8 0.1 3.1 1.1 -0.3 12.1 -7.0 4.2 -3.5 -4.5 -2.5 -5.8 -2.3 -4.6 -3.5 -3.8 -4.5 5.8 -4.2 -0.4 -4.9 -0.6 4.5 -1.7 3.7 -2.0 0.9 1.7 3.1 -3.8 7.8 -0.7 5.7 -20.0 14.6 -17.8 CORN -8.9 -10.8 -1.2 1.1 1.5 -0.2 2.2 -1.4 1.7 -5.9 -6.3 -2.9 -6.3 -6.6 -7.1 -10.6 4.5 -6.6 -1.5 -6.9 -6.5 -3.7 -4.9 -5.8 -7.4 -1.4 -1.7 -1.7 -1.3 -2.2 -1.6 -8.4 -8.9 -7.4 -8.9 1.7 -3.4 6.4 1.1 13.1 COTTON2 -0.1 11.3 11.2 2.2 2.9 -0.4 4.4 -2.8 3.4 13.0 8.4 3.9 -9.9 7.5 9.0 4.4 6.7 6.2 5.5 8.6 6.1 8.8 -0.8 7.6 -20.0 4.3 5.2 3.5 4.7 1.8 4.0 -1.8 4.1 5.0 9.7 13.4 -17.7 -15.7 12.7 9.5 CRUDE_W -8.4 20.0 12.9 6.7 3.1 4.5 3.1 2.1 5.2 20.0 15.1 5.0 -7.3 16.6 18.2 9.4 8.5 8.1 7.6 20.0 17.6 16.7 8.9 17.0 -7.1 7.1 9.7 6.3 5.2 4.6 4.8 -18.3 8.8 -13.3 -20.0 -6.7 16.9 12.9 19.6 8.3 DAX -9.3 -9.7 -5.9 -2.1 7.1 1.0 2.3 2.6 -2.6 16.2 7.7 3.1 16.4 -10.5 -9.0 -8.8 -7.0 -8.6 -8.1 -6.6 2.7 5.0 12.0 -5.9 17.5 -3.4 7.6 0.4 3.0 4.2 -2.6 -3.3 -8.5 6.3 -1.0 -6.3 20.0 0.6 20.0 7.3 DOW -20.0 1.5 10.1 -1.9 6.4 0.9 2.1 2.3 -2.3 9.9 10.3 -3.0 12.0 -2.5 6.5 -11.3 -7.8 -10.9 -9.7 2.3 7.8 0.6 7.4 -4.2 -9.9 1.3 3.2 4.0 -0.2 4.0 -1.9 -5.3 -15.7 -3.8 14.4 14.5 -10.0 -6.2 -20.0 -6.1 EUR -13.7 -10.8 0.1 -1.3 1.1 2.0 -1.5 2.1 -3.4 1.3 0.6 -9.3 10.3 -15.8 -8.1 -6.6 -6.8 -6.6 -6.6 -6.9 0.6 -6.0 2.5 -10.8 15.1 -2.9 -0.0 0.7 -2.7 1.3 -4.9 -7.3 -7.4 1.2 -2.6 -10.3 -2.8 -19.9 3.0 1.3 EURIBOR-ICE 0.7 6.3 0.4 -1.9 3.0 -2.1 1.4 -2.6 -0.7 5.9 -3.7 3.8 -6.6 4.2 -2.3 -8.5 -7.8 -9.2 -9.0 -0.9 -3.5 4.5 -8.0 1.7 17.1 -0.3 3.7 -1.3 2.3 -3.2 0.9 -10.8 3.3 2.7 8.1 1.3 -20.0 -20.0 20.0 8.4 EUROSTX -8.7 -9.4 -7.1 -1.9 6.4 0.9 2.1 2.3 -2.3 7.7 9.3 -2.9 15.7 -9.2 -7.3 -4.7 -0.9 -4.5 -3.1 -3.6 4.1 1.0 12.0 -4.7 4.8 -2.4 2.8 1.8 1.0 6.0 -2.7 6.5 -12.0 8.4 -0.4 -2.3 20.0 2.9 20.0 9.8 FEEDCOW 0.1 6.3 16.1 3.5 4.6 -0.7 6.9 -4.4 5.3 20.0 20.0 19.8 20.0 20.0 20.0 1.3 -20.0 -17.2 -20.0 20.0 20.0 20.0 20.0 20.0 3.1 9.6 8.0 13.8 9.1 15.3 8.0 -20.0 20.0 19.0 20.0 20.0 5.3 -11.9 20.0 -3.9 GASOIL -1.6 20.0 20.0 5.3 2.4 3.5 2.4 1.7 4.1 -7.5 11.7 3.0 -0.4 16.6 18.1 20.0 18.8 20.0 19.1 20.0 20.0 4.9 11.7 20.0 11.8 6.2 -1.3 4.3 1.0 1.9 4.4 0.0 -11.2 5.5 18.3 16.7 -13.4 2.3 -17.1 -5.3 GASOLINE -9.6 20.0 19.3 6.5 3.0 4.4 3.0 2.1 5.0 -4.2 19.5 -13.4 0.1 15.2 19.4 20.0 20.0 20.0 20.0 20.0 20.0 1.0 20.0 13.1 -20.0 7.3 0.5 8.0 0.3 7.4 3.2 20.0 -20.0 -18.5 -11.9 14.1 15.8 14.8 18.8 4.4 GAS_US_mini -5.0 13.7 20.0 5.6 2.5 3.7 2.6 1.8 4.3 6.8 -16.2 -12.7 -20.0 -12.2 -0.2 -20.0 -19.2 -20.0 -20.0 -3.8 -16.3 -4.2 -20.0 -4.9 20.0 0.4 1.2 -0.8 -2.0 -3.6 -1.9 -20.0 -20.0 -15.4 -20.0 -20.0 9.3 8.2 -2.4 0.1 GBP -10.5 -12.0 7.7 -1.4 1.2 2.1 -1.6 2.2 -3.7 1.2 10.2 -5.4 12.8 -15.1 -1.6 0.2 -0.8 0.1 -0.3 -1.0 8.5 -5.1 8.9 -7.5 -0.8 -0.3 0.6 4.5 -3.1 3.3 -4.2 3.2 -14.5 7.7 0.6 4.6 2.7 13.4 7.7 20.0 GOLD_micro -5.7 -10.9 -14.8 -2.2 5.8 0.1 4.8 1.7 -0.5 20.0 -8.5 8.8 6.3 -9.5 -18.4 -18.0 -13.2 -16.9 -15.2 -16.1 -10.4 16.1 1.8 -4.7 -11.4 -3.8 11.7 -1.7 7.6 1.8 -0.2 -17.7 20.0 -2.0 2.1 -19.1 -20.0 -20.0 -12.3 -20.0 HEATOIL -14.0 20.0 20.0 6.0 2.7 4.0 2.8 1.9 4.6 -11.2 11.9 0.8 -2.0 17.1 19.2 20.0 20.0 20.0 19.7 20.0 20.0 7.1 12.7 20.0 -20.0 7.2 -0.5 5.6 1.7 3.6 5.1 1.9 -3.7 6.2 20.0 20.0 4.1 -0.3 -2.2 -2.8 JGB-SGX-mini -4.2 -20.0 -7.8 -2.1 3.3 -2.3 1.5 -2.8 -0.8 7.5 3.8 2.0 4.9 -5.9 -6.1 18.1 19.9 15.4 16.1 -5.1 -0.8 1.5 2.7 -3.7 0.2 -1.9 1.8 -0.6 0.6 0.1 -1.2 20.0 -4.1 2.3 -10.4 5.2 -20.0 -8.2 5.2 7.7 JPY -11.7 -8.1 -16.3 -0.8 0.7 1.2 -0.9 1.3 -2.1 -1.5 -11.2 -9.5 -10.3 -11.0 -11.5 -16.0 -13.9 -16.0 -15.3 -15.0 -15.7 -5.9 -15.9 -11.7 20.0 -4.1 0.3 -4.0 -1.7 -4.0 -3.3 -20.0 -2.4 -5.9 -6.0 -20.0 -7.1 -20.0 -7.0 -20.0 LEANHOG -14.5 9.1 8.0 1.6 2.2 -0.3 3.3 -2.1 2.5 8.6 -2.8 -3.1 -5.6 -5.7 6.2 20.0 20.0 20.0 20.0 -2.0 -5.1 2.1 -10.1 -2.5 12.0 -2.7 4.4 -5.6 1.2 -8.1 -1.5 20.0 1.1 -13.4 -7.0 -10.4 -7.8 0.6 19.4 20.0 LIVECOW -13.6 -7.2 20.0 3.4 4.5 -0.7 6.8 -4.3 5.2 9.5 20.0 -1.4 20.0 0.7 18.9 -9.1 5.1 -0.9 7.8 17.8 20.0 3.4 20.0 4.7 4.3 7.2 0.8 12.7 1.2 13.7 2.0 1.8 -2.6 -5.1 9.6 20.0 -20.0 -20.0 -20.0 -19.6 LUMBER-new 2.4 -13.6 3.5 3.1 4.1 -0.3 6.2 -2.8 4.7 -19.5 -19.4 -8.7 -20.0 -17.1 -16.0 -17.1 -13.2 -14.6 -13.7 -11.3 -10.5 -11.3 -9.7 -10.8 NaN -4.0 -6.9 -3.2 -5.2 -2.4 -4.2 -20.0 -20.0 -6.2 -20.0 -6.0 -20.0 -20.0 -12.2 -20.0 MILK 12.7 20.0 7.1 1.4 1.9 -0.3 2.9 -1.8 2.2 9.5 -4.7 9.2 -9.2 8.8 0.8 6.8 -20.0 -20.0 -20.0 2.3 -7.0 12.0 -12.6 8.9 -2.0 0.1 4.3 -3.5 3.8 -5.2 2.7 -20.0 12.1 9.4 12.7 -19.5 -20.0 -20.0 -15.4 -20.0 MXP 0.6 -15.5 3.2 -1.3 1.1 2.0 -1.5 2.1 -3.5 1.9 19.5 11.6 20.0 12.9 17.2 16.5 17.7 17.4 17.5 15.8 20.0 8.1 20.0 11.2 -20.0 6.7 -2.2 10.5 3.2 12.9 4.6 20.0 14.7 20.0 16.6 20.0 20.0 6.4 20.0 20.0 NASDAQ_micro -20.0 -20.0 13.2 -1.3 4.2 0.6 1.4 1.5 -1.5 10.2 9.7 6.3 7.8 -2.0 6.1 -9.4 -8.0 -10.1 -9.5 4.2 11.6 8.8 11.9 1.5 -20.0 1.7 5.1 5.1 2.6 5.9 0.2 -5.3 11.3 3.8 4.3 20.0 -6.7 -14.3 -17.7 -16.5 NIKKEI -11.6 -18.5 11.8 -2.0 6.7 1.0 2.2 2.4 -2.4 16.6 13.9 5.3 14.9 -7.4 7.6 15.9 12.7 15.2 13.9 3.8 17.1 5.8 20.0 -1.6 -6.6 2.2 5.5 8.3 2.2 9.9 -0.6 20.0 -4.3 9.7 -7.1 20.0 4.9 3.0 -2.6 9.5 NZD -15.4 -15.6 -5.5 -0.9 0.8 1.4 -1.1 1.5 -2.5 6.3 -10.0 -7.8 -0.7 -12.4 -11.7 -0.2 0.4 0.1 0.3 -12.1 -8.0 -4.1 -5.8 -11.7 0.6 -3.9 1.3 -2.3 -1.2 -1.6 -3.8 4.8 2.0 -5.0 -11.4 -13.9 -2.0 -13.5 1.7 7.5 OAT 0.3 -1.6 3.8 -2.3 3.6 -2.6 1.6 -3.1 -0.8 8.1 -5.2 5.4 -7.9 -0.9 -3.8 5.2 8.5 6.1 7.2 -2.4 -3.8 5.6 -7.6 0.8 8.1 -1.2 5.7 -1.5 3.6 -3.2 0.7 17.8 4.7 4.4 2.3 5.3 -20.0 -20.0 0.4 4.5 OATIES 11.6 16.4 20.0 2.5 3.4 -0.5 5.1 -3.3 3.9 4.7 15.7 13.5 -6.2 14.9 17.2 -20.0 -4.1 -17.3 -12.1 20.0 20.0 20.0 13.5 20.0 -20.0 6.3 2.7 4.8 7.1 2.4 7.2 -20.0 20.0 20.0 20.0 20.0 2.6 19.3 16.8 20.0 OJ -7.2 7.8 2.1 2.3 3.1 -0.5 4.7 -3.0 3.6 3.8 16.8 11.3 17.2 14.6 15.8 20.0 20.0 20.0 20.0 20.0 20.0 18.7 20.0 20.0 -20.0 6.2 2.2 6.8 4.1 7.8 5.5 20.0 0.8 20.0 20.0 20.0 12.6 5.2 20.0 17.0 PALLAD 9.5 7.5 -13.5 -1.1 2.8 0.1 2.3 0.8 -0.2 -8.8 -11.5 -5.4 -11.9 -5.6 -10.6 -2.3 -2.6 -2.7 -2.8 -8.1 -15.0 -4.4 -20.0 -4.1 -2.3 -2.7 -3.5 -4.1 -2.1 -5.0 -1.7 2.0 -13.7 1.5 -1.2 -11.8 -20.0 -2.8 5.1 1.0 PLAT 14.3 -0.2 -16.7 -1.3 3.4 0.1 2.8 1.0 -0.3 10.4 -9.3 11.3 -2.0 4.3 -8.2 -3.3 -2.2 -3.1 -2.7 -3.1 -7.2 19.3 -4.4 8.8 14.2 -0.2 6.7 -1.4 7.6 -0.8 3.8 2.4 20.0 17.5 9.9 -10.7 2.8 -16.4 17.6 -12.3 REDWHEAT -18.5 -12.0 -2.6 1.5 2.0 -0.3 3.0 -1.9 2.3 -9.6 -5.6 -10.3 -9.5 -10.6 -8.5 -4.6 1.9 -2.4 0.3 -10.4 -6.5 -11.2 -4.7 -12.7 -11.0 -2.7 -3.5 -1.6 -3.6 -0.8 -3.6 -9.2 -15.6 -19.0 -17.5 -2.5 -20.0 -19.9 -11.0 -7.7 RICE 2.6 16.7 11.6 2.8 3.7 -0.6 5.6 -3.6 4.3 17.5 6.0 17.0 2.0 17.3 17.2 -12.9 19.0 7.4 20.0 16.1 9.1 20.0 3.4 20.0 -20.0 5.6 12.1 3.3 11.1 1.2 7.6 20.0 20.0 16.1 20.0 17.4 -5.9 -19.9 7.6 -12.1 ROBUSTA -11.5 -9.2 2.8 2.1 2.8 -0.4 4.2 -2.7 3.2 13.8 11.1 1.3 11.6 -1.8 2.1 20.0 20.0 20.0 20.0 3.0 12.9 8.4 18.4 0.6 -13.9 1.3 6.9 6.2 4.0 8.6 0.1 20.0 4.1 -8.7 -6.6 15.4 -3.5 -16.7 12.7 -7.1 RUSSELL -20.0 -3.5 13.9 -1.9 6.4 0.9 2.1 2.3 -2.3 14.0 2.5 -5.6 -0.9 -9.8 2.9 -7.7 -5.6 -7.3 -6.6 -2.2 4.4 0.9 1.2 -8.6 -2.5 -0.6 4.9 2.0 0.3 1.9 -2.9 -0.7 -3.4 -11.6 7.8 17.5 -6.5 -9.7 -20.0 -13.2 SHATZ 2.7 8.8 -10.3 -2.0 3.1 -2.2 1.4 -2.6 -0.7 3.6 -5.6 -1.4 -7.3 2.1 -4.6 -20.0 -6.6 -19.7 -13.4 -2.6 -6.6 1.6 -11.9 0.2 10.9 -0.9 3.1 -2.6 1.3 -5.1 0.4 -12.5 -2.5 2.0 7.8 -0.8 -20.0 -20.0 -20.0 -20.0 SILVER-mini 2.3 -1.1 -6.7 -1.6 6.6 0.0 3.6 1.1 -0.7 14.6 1.8 12.3 5.1 2.2 -3.5 -7.3 -5.7 -6.9 -6.5 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 12.6 14.2 -1.8 -18.3 -20.0 -1.4 -20.0 SMI -5.0 -6.3 -8.7 -2.0 6.8 1.0 2.2 2.5 -2.5 15.7 2.9 5.5 5.1 -6.1 -10.4 -3.2 1.0 -3.0 -1.5 -7.6 -3.4 6.9 1.3 -3.6 4.9 -1.8 8.7 -1.3 5.5 -1.4 0.4 9.4 -2.8 12.6 3.9 -11.2 -8.3 -11.4 -19.8 -16.0 SOFR -8.0 -11.6 -12.8 -2.3 3.5 -2.5 1.6 -3.0 -0.8 8.3 -5.5 0.2 -3.5 -4.3 -6.9 -1.9 -0.9 -1.9 -1.4 -7.5 -6.5 4.3 -5.1 -3.8 -1.6 -2.5 4.2 -2.2 1.8 -1.6 -1.0 1.9 1.4 -0.4 0.2 -5.7 -20.0 -20.0 -6.8 -3.6 SOYBEAN 4.9 6.5 20.0 1.4 1.9 -0.3 2.8 -1.8 2.2 0.2 5.1 5.4 -0.6 2.6 6.3 4.7 19.9 11.6 15.6 5.7 3.7 6.6 0.9 6.4 -20.0 2.2 -0.1 1.4 2.0 0.5 2.1 19.3 3.9 5.9 0.5 11.7 -11.3 7.7 -7.9 20.0 SOYMEAL 5.0 3.7 -7.9 1.5 2.0 -0.3 3.1 -2.0 2.4 2.1 -3.1 5.5 2.4 3.8 0.5 5.7 19.3 12.9 17.8 2.2 0.2 7.2 2.0 5.8 -20.0 2.1 -0.2 1.8 2.8 2.6 2.6 20.0 12.7 4.3 0.7 7.3 -14.3 -18.2 -11.0 -16.7 SOYOIL 1.4 16.5 20.0 1.7 2.3 -0.3 3.4 -2.2 2.6 -3.4 8.5 4.5 -1.0 6.5 10.8 16.1 11.2 13.4 11.0 13.5 11.3 2.5 4.3 8.0 -20.0 3.6 -0.9 3.0 0.5 1.2 2.0 6.7 -16.7 5.7 4.8 20.0 0.4 6.5 16.6 20.0 SP400 -20.0 -4.7 14.2 -1.9 6.3 0.9 2.0 2.3 -2.3 15.1 5.2 -3.3 7.0 -7.2 5.7 -6.5 -4.9 -6.1 -5.6 -0.0 6.9 4.7 6.0 -5.8 -12.1 -0.2 6.2 2.1 1.4 2.3 -2.1 0.7 1.5 -5.4 7.4 16.1 0.4 -11.0 -14.3 -15.4 SP500_micro -20.0 -19.9 15.7 -1.7 5.8 0.8 1.9 2.1 -2.1 13.9 12.2 6.0 9.7 -3.7 7.3 -11.8 -9.1 -12.3 -11.0 4.5 12.4 9.8 11.9 0.5 -16.6 1.7 6.3 5.1 2.7 5.3 -0.4 -7.5 9.8 0.5 8.5 20.0 -5.0 -13.0 -18.5 -18.4 SUGAR11 10.6 -2.8 -10.4 2.8 3.7 -0.6 5.5 -3.5 4.2 13.4 13.1 14.7 15.1 12.9 4.0 -3.5 11.5 -0.9 4.7 8.7 14.5 20.0 20.0 16.7 -20.0 3.8 8.5 7.0 11.2 12.5 7.0 3.4 20.0 19.4 6.2 -2.5 -19.5 -19.6 9.1 -3.2 US10 -5.1 -10.6 -15.4 -2.1 3.2 -2.3 1.5 -2.7 -0.7 7.5 -6.8 -0.1 -7.3 -4.8 -7.3 -9.1 -7.0 -9.0 -8.7 -8.6 -9.0 2.4 -9.3 -4.5 0.8 -2.6 2.8 -2.6 1.0 -2.4 -1.2 -9.8 -1.7 -0.9 -1.9 -7.7 -20.0 -20.0 14.6 0.5 US10U -5.4 -11.6 -12.1 -2.7 4.2 -3.0 1.9 -3.6 -1.0 9.9 -8.8 0.7 -9.4 -6.5 -9.4 -3.8 -1.6 -3.5 -2.9 -11.4 -11.3 3.0 -11.5 -6.3 -3.5 -3.5 3.4 -3.3 1.2 -2.7 -1.8 0.0 -1.5 -2.2 -5.0 -9.4 -20.0 -20.0 20.0 18.2 US2 3.0 -9.6 -20.0 -2.1 3.3 -2.4 1.5 -2.8 -0.8 7.4 -8.4 -1.3 -8.3 -5.8 -8.5 -20.0 -20.0 -20.0 -20.0 -11.5 -15.4 1.9 -17.5 -4.9 8.5 -2.9 3.1 -3.6 0.8 -4.2 -1.3 -20.0 -6.6 -0.4 -0.4 -13.8 -20.0 -20.0 -20.0 -20.0 US20 -6.0 -13.7 -10.8 -2.0 3.2 -2.3 1.4 -2.7 -0.7 7.5 -6.3 1.1 -6.1 -4.7 -6.7 -2.6 -1.5 -2.1 -1.9 -9.3 -8.7 1.8 -8.4 -5.5 -3.3 -2.6 2.1 -2.3 0.6 -1.9 -1.5 0.8 -1.1 -3.0 -6.7 -6.7 -20.0 -20.0 20.0 20.0 US30 -3.9 -12.4 -7.0 -2.4 3.7 -2.6 1.7 -3.2 -0.9 8.8 -8.0 3.0 -7.8 -5.4 -7.7 -7.7 -3.3 -6.6 -4.9 -10.1 -9.8 2.6 -10.6 -5.5 -3.0 -3.0 2.4 -2.7 0.9 -2.2 -1.6 -2.9 -0.9 -3.0 -9.0 -5.9 -20.0 -20.0 20.0 20.0 US5 -5.4 -9.8 -18.9 -2.1 3.3 -2.4 1.5 -2.8 -0.8 7.7 -7.3 -1.6 -7.8 -5.4 -7.9 -12.9 -9.5 -13.0 -12.0 -9.0 -9.9 1.8 -10.8 -4.8 3.4 -2.7 3.0 -2.9 0.9 -2.9 -1.4 -14.7 -3.9 -1.4 -0.0 -8.6 -20.0 -20.0 2.1 -16.1 VIX 10.6 16.5 -20.0 -5.7 -9.9 -9.8 -6.7 -11.6 -3.6 -20.0 -20.0 -15.9 -20.0 -8.5 -20.0 -20.0 -20.0 -20.0 -20.0 -18.3 -20.0 -18.5 -20.0 -10.7 NaN -6.5 -11.5 -11.6 -7.7 -14.3 -4.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -19.6 -4.7 11.9 1.0 1.3 -0.2 2.0 -1.3 1.5 -5.9 -5.4 -6.8 -7.1 -7.0 -5.9 -12.4 -9.4 -11.2 -10.6 -6.3 -5.1 -7.6 -5.7 -8.2 -3.0 -1.5 -2.1 -1.3 -2.5 -1.5 -2.4 -20.0 -10.3 -11.7 -9.7 -0.2 -20.0 -14.1 -14.3 -8.2 End of report for caleb_strategy_v3