******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230906_204327 produced at 2023-09-06 21:39:33.580255 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.56 0.0 0.00 0.00 0.00 0.00 -6.62 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 -0.18 -0.50 0.0 0.91 -0.91 -0.18 -0.09 -5.44 10.0 -2 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -5.27 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 -6.16 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.20 0.0 0.38 -0.38 -0.15 -0.17 -29.07 56.0 -22 -25 caleb_strategy_v3 CHF False False 0.05 -0.20 -0.20 0.0 0.64 -0.64 -0.20 -0.25 -4.04 13.0 -4 -5 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.17 0.0 0.10 -0.10 -0.10 -0.10 -27.97 17.0 -17 -16 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.17 0.0 0.50 -0.50 -0.12 -0.27 -5.59 17.0 -4 -9 caleb_strategy_v3 CAD False False 0.03 0.00 -0.14 0.0 0.74 -0.74 0.00 0.00 -5.48 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.13 0.0 0.07 -0.07 -0.07 -0.07 -49.51 26.0 -26 -26 caleb_strategy_v3 US5 False False 0.04 -0.19 -0.12 0.0 0.93 -0.93 -0.19 -0.19 -3.13 25.0 -5 -5 caleb_strategy_v3 EUR False False 0.05 -0.23 -0.10 0.0 0.66 -0.66 -0.23 -0.23 -2.03 14.0 -5 -5 caleb_strategy_v3 BOBL False False 0.04 -0.44 -0.10 0.0 0.83 -0.83 -0.44 -0.44 -2.25 19.0 -10 -10 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.07 0.0 0.05 -0.05 -0.04 -0.04 -79.61 59.0 -43 -43 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.65 -0.65 0.00 0.00 -1.53 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.05 0.0 0.20 -0.20 -0.03 -0.03 -1.39 6.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.39 19.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.07 -0.04 0.0 0.40 -0.40 -0.07 -0.10 -6.37 66.0 -11 -16 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.03 0.0 0.37 -0.37 0.00 -0.01 -4.32 48.0 0 -1 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.43 -0.43 0.02 0.00 -1.65 21.0 1 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.03 0.0 0.01 -0.01 0.00 0.00 -6.56 3.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.38 -0.38 -0.08 -0.08 -0.38 9.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 -0.02 -0.02 0.0 0.34 -0.34 -0.02 -0.02 -3.61 58.0 -3 -3 caleb_strategy_v3 US10U False False 0.04 -0.12 -0.02 0.0 0.52 -0.52 -0.12 -0.12 -0.59 13.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.25 -0.25 0.00 0.00 -1.85 23.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.18 -0.18 0.00 0.00 -0.19 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.07 -0.07 0.00 0.00 -1.62 5.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -0.57 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.02 0.0 0.22 -0.22 0.00 0.00 -6.61 68.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.82 12.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -1.34 9.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.74 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.87 8.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.68 0.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.26 -0.26 0.00 0.00 -0.33 6.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.13 -0.01 0.0 0.39 -0.39 0.13 0.04 -0.33 9.0 3 1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.87 2.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.03 12.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.19 -0.19 -0.05 -0.05 -0.05 4.0 -1 -1 caleb_strategy_v3 EUROSTX False False 0.02 0.10 0.00 0.0 0.32 -0.32 0.10 0.10 0.24 20.0 6 6 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.23 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.05 0.00 0.0 0.60 -0.60 0.05 0.03 0.03 22.0 2 1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.60 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.91 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.01 0.0 0.17 -0.17 0.07 0.07 0.60 7.0 3 3 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.73 11.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.01 0.0 0.33 -0.33 0.01 0.01 0.74 26.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.05 0.05 0.01 0.0 0.36 -0.36 0.05 0.09 0.12 8.0 1 2 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.02 0.0 0.19 -0.19 0.01 0.02 1.77 18.0 1 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.20 -0.20 0.02 0.02 2.40 23.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.02 0.0 0.21 -0.21 0.00 0.00 5.87 51.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.49 -0.49 0.05 0.10 0.36 10.0 1 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 2.02 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.04 0.0 0.44 -0.44 0.03 0.03 1.50 17.0 1 1 caleb_strategy_v3 BTP False False 0.04 0.30 0.05 0.0 0.42 -0.42 0.30 0.30 1.16 10.0 7 7 caleb_strategy_v3 RICE False False 0.01 0.00 0.06 0.0 0.05 -0.05 0.00 0.00 4.73 4.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.47 -0.47 0.00 0.00 1.46 10.0 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 GASOIL False False 0.03 0.09 0.08 0.0 0.13 -0.13 0.09 0.09 2.49 4.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.10 0.0 0.14 -0.14 0.07 0.08 9.27 13.0 7 8 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.11 0.0 0.15 -0.15 0.03 0.06 3.57 5.0 1 2 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.93 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.49 0.0 0.28 -0.28 0.28 0.28 61.96 36.0 35 36 caleb_strategy_v3 MXP False False 0.01 0.60 0.49 0.0 0.60 -0.60 0.60 0.58 49.61 60.0 60 58 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.52 1.79 0.0 0.56 -0.56 0.52 0.56 51.16 16.0 15 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.6 Shocked risk 55.2 Sum abs risk 68.0 Leverage 7.25 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2858153.09, 'annual_cash_vol_target': 714538.2725, 'daily_cash_vol_target': 44658.64203125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6380 0.6912 11.0595 BITCOIN 761.5623 25680.0000 2.9656 47.4494 BOBL 0.2785 116.3600 0.2393 3.8291 BTP 0.6447 112.8500 0.5713 9.1411 BUND 0.5874 130.4800 0.4502 7.2029 BUXL 1.3560 128.6400 1.0541 16.8651 CAC 53.5670 7203.0000 0.7437 11.8988 CAD 0.0027 0.7326 0.3703 5.9253 CANOLA 7.4719 804.5000 0.9288 14.8601 CHF 0.0049 1.1230 0.4397 7.0359 COCOA 39.2843 3647.0000 1.0772 17.2347 COFFEE 2.3910 153.1500 1.5612 24.9798 COPPER 0.0401 3.7880 1.0597 16.9552 CORN 8.1008 486.0000 1.6668 26.6692 COTTON2 1.2225 87.0100 1.4050 22.4804 CRUDE_W 1.0164 85.9800 1.1822 18.9149 DAX 109.4091 15738.0000 0.6952 11.1230 DOW 206.9788 34454.0000 0.6007 9.6118 EUR 0.0052 1.0730 0.4804 7.6859 EURIBOR-ICE 0.0548 97.0250 0.0565 0.9038 EUROSTX 37.6958 4240.0000 0.8891 14.2248 FEEDCOW 1.3814 257.5750 0.5363 8.5810 GASOIL 13.6167 900.5000 1.5121 24.1941 GASOLINE 0.0347 2.4720 1.4044 22.4710 GAS_US_mini 0.0884 2.9500 2.9958 47.9325 GBP 0.0067 1.2503 0.5352 8.5636 GOLD_micro 10.1176 1923.6000 0.5260 8.4156 HEATOIL 0.0424 3.0208 1.4029 22.4463 JGB-SGX-mini 0.2199 146.7600 0.1499 2.3978 JPY 0.0000 0.0068 0.6120 9.7927 LEANHOG 1.1983 74.6500 1.6053 25.6842 LIVECOW 1.1165 186.4250 0.5989 9.5826 LUMBER-new 8.9476 502.0000 1.7824 28.5183 MILK 0.2666 18.7100 1.4249 22.7977 MXP 0.0004 0.0568 0.7756 12.4097 NASDAQ_micro 155.0819 15351.0000 1.0102 16.1638 NIKKEI 276.9105 33070.0000 0.8373 13.3975 NZD 0.0040 0.5868 0.6800 10.8797 OAT 0.5962 125.2500 0.4760 7.6162 OATIES 7.3368 498.7500 1.4710 23.5365 OJ 5.4444 321.4500 1.6937 27.0992 PALLAD 21.3471 1214.0000 1.7584 28.1346 PLAT 13.4388 915.5000 1.4679 23.4867 REDWHEAT 13.6005 747.7500 1.8189 29.1017 RICE 0.1539 16.7950 0.9162 14.6598 ROBUSTA 31.7262 2472.0000 1.2834 20.5347 RUSSELL 16.5932 1874.9000 0.8850 14.1603 SHATZ 0.0892 105.1600 0.0848 1.3571 SILVER-mini 0.3446 23.6000 1.4604 23.3659 SMI 70.0844 10927.0000 0.6414 10.2622 SOFR 0.0717 96.2350 0.0745 1.1914 SOYBEAN 15.2099 1375.0000 1.1062 17.6988 SOYMEAL 5.4143 398.8000 1.3577 21.7225 SOYOIL 0.8306 62.3500 1.3321 21.3141 SP400 19.5426 2601.7000 0.7511 12.0184 SP500_micro 32.1015 4465.5000 0.7189 11.5020 SUGAR11 0.3382 26.4100 1.2806 20.4890 US10 0.4155 109.6875 0.3788 6.0602 US10U 0.5831 114.2031 0.5106 8.1696 US2 0.1025 101.5391 0.1010 1.6157 US20 0.8280 119.1562 0.6949 11.1181 US30 1.2478 126.1875 0.9888 15.8210 US5 0.2670 106.0312 0.2518 4.0286 VIX 0.4732 17.2500 2.7433 43.8930 WHEAT 13.0913 609.5000 2.1479 34.3661 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 638.05 0.69 441.03 1.00 441.03 44658.64 101.26 -7.27 -73.59 BITCOIN 25.68 2.97 76.16 1.00 76.16 44658.64 586.41 -11.29 -662.01 BOBL 1163.60 0.24 278.47 1.07 299.33 44658.64 149.20 -16.25 -242.43 BTP 1128.50 0.57 644.74 1.07 693.03 44658.64 64.44 5.76 37.11 BUND 1304.80 0.45 587.39 1.07 631.39 44658.64 70.73 5.50 38.93 BUXL 1286.40 1.05 1355.96 1.07 1457.52 44658.64 30.64 -1.62 -4.95 CAC 720.30 0.74 535.67 1.07 575.79 44658.64 77.56 -0.12 -0.91 CAD 732.55 0.37 271.28 1.00 271.28 44658.64 164.62 -10.25 -168.73 CANOLA 160.90 0.93 149.44 0.73 109.38 44658.64 408.30 6.86 280.08 CHF 1403.75 0.44 617.29 1.00 617.29 44658.64 72.35 -17.18 -124.31 COCOA 364.70 1.08 392.84 1.00 392.84 44658.64 113.68 3.53 40.10 COFFEE 574.31 1.56 896.64 1.00 896.64 44658.64 49.81 -14.78 -73.59 COPPER 947.00 1.06 1003.53 1.00 1003.53 44658.64 44.50 -2.59 -11.52 CORN 243.00 1.67 405.04 1.00 405.04 44658.64 110.26 -7.88 -86.84 COTTON2 435.05 1.41 611.25 1.00 611.25 44658.64 73.06 5.38 39.31 CRUDE_W 859.80 1.18 1016.44 1.00 1016.44 44658.64 43.94 6.63 29.11 DAX 157.38 0.70 109.41 1.07 117.60 44658.64 379.74 -2.91 -110.62 DOW 172.27 0.60 103.49 1.00 103.49 44658.64 431.53 -6.61 -285.42 EUR 1341.31 0.48 644.32 1.00 644.32 44658.64 69.31 -8.99 -62.32 EURIBOR-ICE 2425.62 0.06 137.02 1.07 147.29 44658.64 303.21 -5.75 -174.36 EUROSTX 424.00 0.89 376.96 1.07 405.19 44658.64 110.22 0.67 7.34 FEEDCOW 1287.88 0.54 690.70 1.00 690.70 44658.64 64.66 0.55 3.57 GASOIL 900.50 1.51 1361.67 1.00 1361.67 44658.64 32.80 15.48 50.78 GASOLINE 1038.24 1.40 1458.15 1.00 1458.15 44658.64 30.63 19.49 59.69 GAS_US_mini 73.75 3.00 220.94 1.00 220.94 44658.64 202.13 -20.00 -404.26 GBP 781.44 0.54 418.24 1.00 418.24 44658.64 106.78 0.09 1.01 GOLD_micro 192.36 0.53 101.18 1.00 101.18 44658.64 441.39 -17.39 -767.62 HEATOIL 1268.74 1.40 1779.90 1.00 1779.90 44658.64 25.09 13.54 33.98 JGB-SGX-mini 146760.00 0.15 21993.73 0.01 149.60 44658.64 298.53 13.12 391.52 JPY 847.75 0.61 518.86 1.00 518.86 44658.64 86.07 -20.00 -172.14 LEANHOG 298.60 1.61 479.33 1.00 479.33 44658.64 93.17 15.92 148.29 LIVECOW 745.70 0.60 446.61 1.00 446.61 44658.64 99.99 4.39 43.92 LUMBER-new 138.05 1.78 246.06 1.00 246.06 44658.64 181.50 -19.80 -359.36 MILK 374.20 1.42 533.18 1.00 533.18 44658.64 83.76 -10.49 -87.83 MXP 283.80 0.78 220.12 1.00 220.12 44658.64 202.89 14.87 301.62 NASDAQ_micro 307.02 1.01 310.16 1.00 310.16 44658.64 143.98 -5.76 -82.91 NIKKEI 33070.00 0.84 27691.05 0.01 188.35 44658.64 237.11 20.00 474.21 NZD 586.80 0.68 399.01 1.00 399.01 44658.64 111.92 -4.52 -50.64 OAT 1252.50 0.48 596.21 1.07 640.86 44658.64 69.69 6.70 46.69 OATIES 249.38 1.47 366.84 1.00 366.84 44658.64 121.74 -3.41 -41.49 OJ 482.18 1.69 816.66 1.00 816.66 44658.64 54.68 20.00 109.37 PALLAD 1214.00 1.76 2134.71 1.00 2134.71 44658.64 20.92 -7.16 -14.98 PLAT 457.75 1.47 671.94 1.00 671.94 44658.64 66.46 0.90 5.97 REDWHEAT 373.88 1.82 680.02 1.00 680.02 44658.64 65.67 -11.64 -76.43 RICE 335.90 0.92 307.76 1.00 307.76 44658.64 145.11 15.57 225.93 ROBUSTA 247.20 1.28 317.26 1.00 317.26 44658.64 140.76 16.97 238.90 RUSSELL 93.74 0.89 82.97 1.00 82.97 44658.64 538.28 -3.86 -207.53 SHATZ 1051.60 0.08 89.20 1.07 95.88 44658.64 465.80 -14.26 -664.02 SILVER-mini 590.00 1.46 861.62 1.00 861.62 44658.64 51.83 -3.46 -17.95 SMI 1092.70 0.64 700.84 1.13 789.43 44658.64 56.57 -1.76 -9.97 SOFR 2405.88 0.07 179.14 1.00 179.14 44658.64 249.29 -4.58 -114.12 SOYBEAN 687.50 1.11 760.50 1.00 760.50 44658.64 58.72 12.81 75.25 SOYMEAL 398.80 1.36 541.43 1.00 541.43 44658.64 82.48 9.03 74.45 SOYOIL 374.10 1.33 498.35 1.00 498.35 44658.64 89.61 12.67 113.49 SP400 2601.70 0.75 1954.26 1.00 1954.26 44658.64 22.85 -2.64 -6.04 SP500_micro 223.28 0.72 160.51 1.00 160.51 44658.64 278.23 -6.95 -193.42 SUGAR11 295.79 1.28 378.78 1.00 378.78 44658.64 117.90 8.18 96.49 US10 1096.88 0.38 415.45 1.00 415.45 44658.64 107.49 -11.80 -126.80 US10U 1142.03 0.51 583.12 1.00 583.12 44658.64 76.59 -6.39 -48.96 US2 2030.78 0.10 205.07 1.00 205.07 44658.64 217.78 -20.00 -435.55 US20 1191.56 0.69 827.99 1.00 827.99 44658.64 53.94 -5.76 -31.06 US30 1261.88 0.99 1247.76 1.00 1247.76 44658.64 35.79 -7.69 -27.54 US5 1060.31 0.25 266.98 1.00 266.98 44658.64 167.28 -15.47 -258.81 VIX 172.50 2.74 473.22 1.00 473.22 44658.64 94.37 -20.00 -188.74 WHEAT 304.75 2.15 654.57 1.00 654.57 44658.64 68.23 -17.22 -117.47 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -73.595 0.013 2.5 -2.392 BITCOIN -662.011 0.048 2.5 -79.607 BOBL -242.428 0.004 2.5 -2.248 BTP 37.109 0.012 2.5 1.158 BUND 38.926 0.004 2.5 0.361 BUXL -4.950 0.004 2.5 -0.046 CAC -0.911 0.013 2.5 -0.030 CAD -168.727 0.013 2.5 -5.484 CANOLA 280.078 0.008 2.5 5.867 CHF -124.307 0.013 2.5 -4.040 COCOA 40.105 0.007 2.5 0.740 COFFEE -73.590 0.004 2.5 -0.740 COPPER -11.521 0.048 2.5 -1.385 CORN -86.835 0.008 2.5 -1.819 COTTON2 39.306 0.007 2.5 0.725 CRUDE_W 29.112 0.049 2.5 3.565 DAX -110.616 0.013 2.5 -3.613 DOW -285.424 0.009 2.5 -6.373 EUR -62.317 0.013 2.5 -2.025 EURIBOR-ICE -174.360 0.012 2.5 -5.439 EUROSTX 7.340 0.013 2.5 0.240 FEEDCOW 3.573 0.014 2.5 0.122 GASOIL 50.783 0.020 2.5 2.490 GASOLINE 59.689 0.020 2.5 2.926 GAS_US_mini -404.263 0.049 2.5 -49.508 GBP 1.013 0.013 2.5 0.033 GOLD_micro -767.617 0.015 2.5 -29.075 HEATOIL 33.983 0.020 2.5 1.666 JGB-SGX-mini 391.522 0.052 2.5 51.160 JPY -172.141 0.013 2.5 -5.595 LEANHOG 148.287 0.025 2.5 9.269 LIVECOW 43.924 0.014 2.5 1.497 LUMBER-new -359.361 0.007 2.5 -6.556 MILK -87.833 0.007 2.5 -1.620 MXP 301.615 0.066 2.5 49.614 NASDAQ_micro -82.913 0.009 2.5 -1.851 NIKKEI 474.212 0.052 2.5 61.965 NZD -50.642 0.013 2.5 -1.646 OAT 46.685 0.012 2.5 1.456 OATIES -41.494 0.008 2.5 -0.869 OJ 109.369 0.007 2.5 2.018 PALLAD -14.983 0.015 2.5 -0.568 PLAT 5.973 0.015 2.5 0.226 REDWHEAT -76.432 0.005 2.5 -0.873 RICE 225.930 0.008 2.5 4.733 ROBUSTA 238.895 0.004 2.5 2.403 RUSSELL -207.526 0.013 2.5 -6.608 SHATZ -664.025 0.004 2.5 -6.158 SILVER-mini -17.951 0.015 2.5 -0.680 SMI -9.971 0.013 2.5 -0.326 SOFR -114.124 0.023 2.5 -6.625 SOYBEAN 75.246 0.003 2.5 0.603 SOYMEAL 74.451 0.003 2.5 0.596 SOYOIL 113.495 0.003 2.5 0.910 SP400 -6.039 0.013 2.5 -0.192 SP500_micro -193.417 0.009 2.5 -4.319 SUGAR11 96.487 0.007 2.5 1.767 US10 -126.800 0.005 2.5 -1.535 US10U -48.957 0.005 2.5 -0.593 US2 -435.550 0.005 2.5 -5.272 US20 -31.060 0.005 2.5 -0.376 US30 -27.536 0.005 2.5 -0.333 US5 -258.815 0.005 2.5 -3.133 VIX -188.743 0.059 2.5 -27.965 WHEAT -117.473 0.005 2.5 -1.342 ===================== Position diags ===================== AUD 3.29 BITCOIN 70.52 BOBL 1.38 BTP 2.01 BUND 0.66 BUXL 0.28 CAC 2.53 CAD 5.35 CANOLA 8.55 CHF 2.35 COCOA 2.10 COFFEE 0.50 COPPER 5.35 CORN 2.31 COTTON2 1.35 CRUDE_W 5.38 DAX 12.40 DOW 9.64 EUR 2.25 EURIBOR-ICE 9.46 EUROSTX 3.60 FEEDCOW 2.20 GASOIL 1.61 GASOLINE 1.50 GAS_US_mini 24.75 GBP 3.47 GOLD_micro 16.72 HEATOIL 1.23 JGB-SGX-mini 39.01 JPY 2.80 LEANHOG 5.82 LIVECOW 3.41 LUMBER-new 3.31 MILK 1.55 MXP 33.37 NASDAQ_micro 3.22 NIKKEI 30.98 NZD 3.64 OAT 2.17 OATIES 2.55 OJ 1.01 PALLAD 0.79 PLAT 2.52 REDWHEAT 0.75 RICE 3.04 ROBUSTA 1.42 RUSSELL 17.14 SHATZ 4.32 SILVER-mini 1.96 SMI 1.85 SOFR 14.47 SOYBEAN 0.47 SOYMEAL 0.66 SOYOIL 0.72 SP400 0.73 SP500_micro 6.21 SUGAR11 2.16 US10 1.30 US10U 0.93 US2 2.64 US20 0.65 US30 0.43 US5 2.02 VIX 13.98 WHEAT 0.78 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.4 -2.7 -2.1 NaN 0 BITCOIN -79.6 -86.7 -72.6 -43.0 -43 BOBL -2.2 -2.4 -2.1 -10.0 -10 BTP 1.2 1.0 1.4 7.0 7 BUND 0.4 0.3 0.4 1.0 1 BUXL -0.0 -0.1 -0.0 -1.0 -1 CAC -0.0 -0.3 0.2 NaN 0 CAD -5.5 -6.0 -4.9 0.0 0 CANOLA 5.9 5.0 6.7 NaN 0 CHF -4.0 -4.3 -3.8 -4.0 -4 COCOA 0.7 0.5 0.9 1.0 1 COFFEE -0.7 -0.8 -0.7 NaN 0 COPPER -1.4 -1.9 -0.9 -1.0 -1 CORN -1.8 -2.1 -1.6 -2.0 -2 COTTON2 0.7 0.6 0.9 0.0 0 CRUDE_W 3.6 3.0 4.1 1.0 1 DAX -3.6 -4.9 -2.4 -3.0 -3 DOW -6.4 -7.3 -5.4 -11.0 -11 EUR -2.0 -2.3 -1.8 -5.0 -5 EURIBOR-ICE -5.4 -6.4 -4.5 -2.0 -2 EUROSTX 0.2 -0.1 0.6 6.0 6 FEEDCOW 0.1 -0.1 0.3 1.0 1 GASOIL 2.5 2.3 2.7 3.0 3 GASOLINE 2.9 2.8 3.1 4.0 4 GAS_US_mini -49.5 -52.0 -47.0 -26.0 -26 GBP 0.0 -0.3 0.4 2.0 2 GOLD_micro -29.1 -30.7 -27.4 -22.0 -22 HEATOIL 1.7 1.5 1.8 0.0 0 JGB-SGX-mini 51.2 47.3 55.1 15.0 15 JPY -5.6 -5.9 -5.3 -4.0 -4 LEANHOG 9.3 8.7 9.9 7.0 7 LIVECOW 1.5 1.2 1.8 1.0 1 LUMBER-new -6.6 -6.9 -6.2 NaN 0 MILK -1.6 -1.8 -1.5 NaN 0 MXP 49.6 46.3 53.0 60.0 60 NASDAQ_micro -1.9 -2.2 -1.5 0.0 0 NIKKEI 62.0 58.9 65.1 35.0 35 NZD -1.6 -2.0 -1.3 1.0 1 OAT 1.5 1.2 1.7 0.0 0 OATIES -0.9 -1.1 -0.6 NaN 0 OJ 2.0 1.9 2.1 NaN 0 PALLAD -0.6 -0.6 -0.5 NaN 0 PLAT 0.2 -0.0 0.5 0.0 0 REDWHEAT -0.9 -0.9 -0.8 -1.0 -1 RICE 4.7 4.4 5.0 NaN 0 ROBUSTA 2.4 2.3 2.5 2.0 2 RUSSELL -6.6 -8.3 -4.9 0.0 0 SHATZ -6.2 -6.6 -5.7 NaN 0 SILVER-mini -0.7 -0.9 -0.5 NaN 0 SMI -0.3 -0.5 -0.1 3.0 3 SOFR -6.6 -8.1 -5.2 NaN 0 SOYBEAN 0.6 0.6 0.6 3.0 3 SOYMEAL 0.6 0.5 0.7 0.0 0 SOYOIL 0.9 0.8 1.0 0.0 0 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro -4.3 -4.9 -3.7 0.0 0 SUGAR11 1.8 1.6 2.0 1.0 1 US10 -1.5 -1.7 -1.4 NaN 0 US10U -0.6 -0.7 -0.5 -3.0 -3 US2 -5.3 -5.5 -5.0 NaN 0 US20 -0.4 -0.4 -0.3 -2.0 -2 US30 -0.3 -0.4 -0.3 0.0 0 US5 -3.1 -3.3 -2.9 -5.0 -5 VIX -28.0 -29.4 -26.6 -17.0 -17 WHEAT -1.3 -1.4 -1.3 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.2 -0.4 -0.1 -0.0 -0.1 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 -0.1 -0.2 -0.1 0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.0 -0.2 -0.3 -0.1 -0.3 -0.0 0.1 BITCOIN -0.5 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 0.1 -0.2 0.1 -0.2 -0.1 -0.4 -0.3 -0.4 -0.3 -0.1 -0.0 -0.2 0.0 -0.2 -1.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.3 -0.2 -0.5 -0.5 -0.1 -0.2 0.3 -0.1 0.3 BOBL 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -1.2 -0.6 -1.2 -1.2 -0.0 -0.0 -0.0 -0.2 -0.0 0.5 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -3.2 -0.0 0.1 0.2 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 -0.0 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 2.5 -0.1 0.1 0.1 0.4 -0.2 -0.3 0.0 0.1 BUND 0.1 -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 -0.0 -0.2 -0.0 0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 2.6 -0.0 0.1 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL 0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 -0.1 0.0 -0.0 0.1 -0.3 -0.3 -0.1 0.2 CAC -0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.5 -0.1 -0.0 -0.4 -0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.4 -0.1 -0.3 -0.0 -0.2 0.1 -0.1 0.2 -0.0 1.0 -0.6 0.1 0.1 -0.1 0.3 -0.0 0.3 0.1 CAD -0.4 -0.5 0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.0 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 0.0 -0.2 -0.5 -0.2 -0.2 -0.3 -0.3 -0.2 CANOLA 0.1 0.3 0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.2 0.1 -0.2 0.0 0.1 -0.4 0.7 0.0 0.4 0.1 0.1 -0.0 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 1.0 0.2 0.4 0.3 0.5 -0.2 0.1 0.1 0.3 CHF -0.4 -0.2 0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.1 -0.1 0.4 -0.1 -0.0 -0.9 -0.8 -0.9 -0.8 -0.0 0.1 -0.2 0.2 -0.1 -0.5 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -3.1 -0.3 -0.1 0.3 0.0 -0.3 -0.3 -0.3 -0.3 COCOA 0.2 0.0 0.3 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 0.4 0.2 0.6 0.2 0.2 -0.5 -0.1 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 -0.7 0.1 0.1 0.2 0.1 0.3 0.1 -2.3 0.7 0.5 0.5 0.5 -0.1 -0.2 0.2 -0.0 COFFEE -0.1 -0.2 -0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -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 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -1.0 -0.1 -0.5 -0.5 -0.5 -0.3 -0.3 -0.2 -0.2 COPPER 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 0.1 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.3 0.1 0.0 0.2 0.1 0.1 -0.3 0.2 -0.2 CORN -0.1 -0.4 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.7 0.2 -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 -1.2 -0.0 -0.1 -0.2 0.1 -0.0 0.1 0.0 0.2 COTTON2 -0.0 0.2 0.3 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 0.2 0.0 -0.3 0.1 0.1 0.2 0.4 0.3 0.3 0.1 0.1 0.1 -0.0 0.1 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.7 0.4 0.4 0.4 -0.2 -0.2 0.2 0.1 CRUDE_W -0.0 0.5 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 -0.2 0.2 0.2 0.7 0.5 0.5 0.5 0.2 0.2 0.2 0.2 0.2 -0.4 0.1 0.2 0.1 0.1 0.1 0.1 -3.1 0.7 -0.1 -0.4 -0.1 0.2 0.2 0.3 0.1 DAX -0.2 -0.3 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.0 0.5 -0.1 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 0.0 -0.1 0.3 -0.1 1.0 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.5 -0.3 0.1 0.0 -0.2 0.3 0.0 0.3 0.1 DOW -0.5 -0.1 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.2 -0.0 0.3 -0.0 0.0 -0.7 -0.5 -0.6 -0.6 0.0 0.1 -0.1 0.2 -0.0 -0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.8 -0.1 -0.2 0.3 0.4 -0.2 -0.1 -0.3 -0.1 EUR -0.4 -0.4 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -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 -0.2 0.0 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.3 0.0 0.0 EURIBOR-ICE 0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -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 -1.8 0.1 0.1 0.2 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.2 -0.3 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.5 -0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.3 -0.1 0.3 -0.0 -0.1 0.0 -0.0 0.2 -0.0 1.0 -0.5 0.1 0.0 -0.1 0.3 0.0 0.3 0.1 FEEDCOW 0.0 0.1 0.4 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 0.4 0.2 0.6 0.2 0.2 0.1 -1.2 -0.9 -1.2 0.2 0.2 0.2 0.4 0.2 0.1 0.1 0.1 0.3 0.1 0.4 0.1 -3.2 0.7 0.5 0.4 0.5 0.1 -0.1 0.3 -0.0 GASOIL -0.1 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.3 0.1 0.0 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.3 0.2 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.7 -0.1 0.3 0.4 -0.2 0.0 -0.2 -0.1 GASOLINE -0.2 0.5 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.1 0.0 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.2 0.0 0.2 0.0 3.2 -0.7 -0.5 -0.4 0.3 0.2 0.2 0.3 0.1 GAS_US_mini -0.2 0.3 0.5 0.0 0.1 0.1 0.0 0.1 0.0 -0.2 -0.3 -0.2 -0.6 -0.1 -0.0 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 -0.2 -0.4 -0.1 1.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -3.2 -0.7 -0.5 -0.5 -0.5 0.1 0.1 -0.1 -0.0 GBP -0.3 -0.4 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.2 -0.1 0.3 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 0.2 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.5 -0.2 0.1 -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 0.0 0.2 -0.1 -0.1 -1.1 -0.8 -1.0 -0.9 -0.1 -0.1 -0.0 0.0 -0.1 -0.6 -0.0 0.0 -0.0 0.0 0.1 0.0 -2.8 0.7 0.1 0.1 -0.4 -0.3 -0.3 -0.2 -0.3 HEATOIL -0.2 0.5 0.5 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.1 -0.0 0.2 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.0 0.3 -0.7 -0.4 0.4 0.5 0.1 -0.0 -0.0 -0.0 JGB-SGX-mini -0.0 -0.5 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 1.2 1.2 1.0 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 0.3 0.2 -0.2 0.1 -0.3 -0.1 0.1 0.1 JPY -0.2 -0.3 -0.4 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -1.0 -0.8 -1.0 -0.9 -0.1 -0.1 -0.1 -0.4 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.1 -0.2 -0.2 -0.5 -0.1 -0.3 -0.1 -0.3 LEANHOG -0.1 0.1 0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 -0.0 0.1 1.2 1.2 1.2 1.2 -0.0 -0.0 0.1 -0.2 0.0 0.7 -0.0 0.0 -0.1 0.0 -0.3 -0.0 3.2 0.5 -0.2 -0.2 -0.2 -0.1 0.0 0.3 0.3 LIVECOW -0.3 -0.3 0.4 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 0.4 0.1 0.6 0.0 0.2 -1.0 0.2 -0.3 0.3 0.1 0.2 0.1 0.4 0.1 0.2 0.1 0.1 0.3 0.0 0.4 0.0 0.1 0.7 -0.1 0.0 0.5 -0.3 -0.3 -0.3 -0.3 LUMBER-new 0.1 -0.4 0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.3 -0.4 -0.2 -0.4 -0.2 -0.2 -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 -0.1 -0.1 -0.1 -3.4 -0.7 -0.0 -0.5 -0.2 -0.3 -0.3 -0.2 -0.3 MILK 0.4 0.5 0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.6 -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 0.7 0.3 0.4 -0.4 -0.3 -0.3 -0.2 -0.3 MXP -0.2 -0.4 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.2 0.3 -0.1 0.5 -0.0 0.1 0.9 1.0 1.0 1.0 0.1 0.2 -0.2 0.4 -0.0 -1.1 0.0 -0.2 0.2 -0.1 0.3 -0.0 3.2 -0.7 0.3 0.3 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.3 -0.5 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 0.1 0.2 -0.0 0.1 -0.5 -0.5 -0.6 -0.6 0.0 0.1 0.1 0.3 0.0 -1.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.8 -0.0 0.2 0.1 0.5 -0.1 -0.2 -0.2 -0.2 NIKKEI -0.1 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 0.3 0.1 0.4 0.0 0.1 1.0 0.8 0.9 0.8 0.1 0.2 0.2 0.4 0.1 -0.4 0.0 0.1 0.2 0.1 0.3 0.0 3.2 0.7 0.5 0.2 0.5 0.1 0.0 -0.0 0.1 NZD -0.2 -0.4 -0.2 -0.0 -0.1 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 -0.1 -0.1 -0.0 -0.0 -0.0 0.8 0.0 -0.1 -0.2 -0.4 -0.0 -0.2 0.0 0.1 OAT 0.1 -0.1 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 -0.0 -0.2 -0.0 0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 2.7 0.0 0.1 0.1 0.1 -0.3 -0.3 0.0 0.1 OATIES 0.3 0.3 0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.3 0.1 -0.1 0.1 0.1 -1.2 -0.3 -1.1 -0.8 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.0 0.1 0.0 0.1 0.1 -3.2 0.7 0.5 0.5 0.5 0.0 0.2 0.2 0.3 OJ -0.2 0.1 0.1 0.0 -0.1 -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 0.1 0.4 0.2 -1.1 0.1 0.0 0.1 0.0 0.2 0.0 3.2 0.6 0.5 0.5 0.5 0.1 0.1 0.3 0.2 PALLAD 0.0 0.2 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.4 -0.1 -0.1 -0.0 -0.1 -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 0.4 -0.0 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.2 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 -0.1 -0.1 0.0 0.8 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.4 0.5 0.5 0.3 -0.2 0.0 -0.2 0.2 -0.2 REDWHEAT -0.3 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.2 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 -1.2 -0.2 -0.3 -0.4 -0.2 -0.3 -0.3 -0.2 -0.1 RICE 0.2 0.4 0.3 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 0.2 0.1 0.1 0.2 0.2 -0.8 1.1 0.3 1.2 0.2 0.1 0.2 0.1 0.2 -1.1 0.1 -0.0 0.1 0.0 0.0 0.1 3.2 0.7 0.4 0.5 0.5 -0.1 -0.3 0.1 -0.1 ROBUSTA -0.2 -0.1 0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 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 -0.8 0.0 0.0 0.1 0.0 0.3 0.0 3.2 0.5 -0.3 -0.1 0.4 -0.0 -0.2 0.2 -0.1 RUSSELL -0.5 -0.2 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.5 -0.3 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.1 0.4 -0.1 0.1 0.5 -0.1 -0.1 -0.3 -0.2 SHATZ 0.1 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 -0.0 -1.2 -0.4 -1.2 -0.8 -0.0 -0.1 -0.0 -0.2 -0.0 0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -2.2 -0.1 0.0 0.2 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.3 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 0.0 0.0 0.1 -0.0 -0.0 -0.5 -0.3 -0.4 -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 -0.7 0.1 0.5 0.4 0.1 -0.3 -0.3 -0.0 -0.3 SMI -0.1 -0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.1 -0.0 0.2 -0.1 -0.1 -0.2 0.0 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 1.5 -0.4 0.1 0.2 -0.3 -0.1 -0.2 -0.3 -0.2 SOFR -0.1 -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 0.2 0.4 -0.0 0.0 -0.1 -0.3 -0.3 -0.1 -0.1 SOYBEAN 0.2 0.1 0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.1 0.0 -0.0 0.0 0.1 0.1 1.1 0.6 0.9 0.1 0.0 0.0 0.0 0.0 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 3.1 0.2 0.3 0.0 0.4 -0.2 0.1 -0.1 0.2 SOYMEAL 0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 0.0 0.0 0.3 1.1 0.7 1.0 0.0 0.0 -0.0 0.0 0.0 -1.1 0.0 -0.0 0.0 -0.0 0.1 0.0 3.2 0.0 0.1 -0.0 0.2 -0.2 -0.2 -0.2 -0.2 SOYOIL 0.0 0.3 0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.2 0.0 -0.0 0.0 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 1.4 0.1 0.3 0.1 0.5 0.0 0.1 0.2 0.3 SP400 -0.5 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.0 0.2 -0.1 0.0 -0.4 -0.3 -0.4 -0.3 -0.0 0.1 -0.1 0.1 -0.1 -0.6 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.6 0.0 0.1 0.5 0.0 -0.2 -0.2 -0.2 SP500_micro -0.4 -0.5 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.1 0.3 -0.0 0.1 -0.7 -0.5 -0.7 -0.7 0.0 0.1 0.0 0.2 0.0 -0.9 0.0 0.0 0.1 0.0 0.2 0.0 -1.1 0.0 0.1 0.2 0.5 -0.1 -0.2 -0.3 -0.3 SUGAR11 0.4 -0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 0.3 0.1 0.4 0.1 0.1 -0.2 0.7 -0.1 0.3 0.1 0.1 0.2 0.4 0.2 -1.1 0.0 0.0 0.1 0.1 0.3 0.1 0.7 0.7 0.5 0.4 -0.1 -0.3 -0.3 0.1 -0.0 US10 -0.0 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.6 -0.4 -0.6 -0.5 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.6 0.2 -0.0 -0.1 -0.2 -0.3 -0.3 0.2 0.0 US10U -0.0 -0.3 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 -0.0 -0.1 -0.2 -0.3 -0.3 0.3 0.2 US2 0.1 -0.2 -0.5 -0.0 -0.0 -0.1 -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 -0.1 -0.4 -0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 0.3 0.0 -0.0 -0.3 -0.3 -0.3 -0.3 -0.3 US20 -0.0 -0.4 -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 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 -0.0 -0.2 -0.2 -0.3 -0.3 0.3 0.3 US30 0.0 -0.3 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.5 0.3 0.1 -0.2 -0.1 -0.3 -0.3 0.3 0.3 US5 -0.0 -0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.8 -0.6 -0.8 -0.7 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.4 0.3 -0.0 -0.0 -0.2 -0.3 -0.3 0.0 -0.2 VIX 0.1 0.7 -0.7 -0.1 -0.1 -0.3 -0.1 -0.5 -0.1 -0.3 -0.6 -0.2 -0.8 -0.2 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.4 -0.6 -0.2 NaN -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT -0.4 -0.4 0.3 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.8 -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 -6.6 -17.5 -2.9 -1.7 -5.6 0.9 -4.3 1.3 -3.7 -11.0 -12.0 -10.2 -7.1 -13.2 -12.5 -3.1 -2.8 -3.0 -2.9 -12.9 -9.9 -9.1 -8.0 -11.8 3.1 -4.1 -4.6 -2.9 -3.3 -2.3 -4.0 -0.6 3.8 0.2 -8.2 -11.7 -6.2 -20.0 -2.8 5.1 BITCOIN -19.5 -17.8 -0.4 -2.0 -5.9 -0.1 -1.2 1.6 -1.4 -19.3 7.1 -20.0 2.6 -20.0 -13.8 -6.3 -4.3 -6.7 -5.7 -13.7 -1.9 -16.1 1.5 -19.4 -20.0 -5.7 -3.8 -1.8 -5.8 0.3 -7.4 -1.7 -5.4 -20.0 -20.0 -5.1 -12.4 20.0 -10.5 20.0 BOBL 3.5 3.0 -1.2 -2.1 -3.4 -2.3 -1.6 -2.8 -1.5 -6.3 -3.6 -1.5 -6.9 0.2 -4.0 -20.0 -10.7 -20.0 -19.4 -2.0 -4.1 -2.6 -8.4 -0.9 9.5 -0.9 -4.6 -1.6 -1.4 -3.3 -0.4 -20.0 -1.1 2.3 6.0 2.3 -20.0 -20.0 -20.0 -16.3 BTP -2.6 -5.6 6.8 -3.4 -5.3 -3.6 -2.6 -4.3 -2.3 -10.7 5.3 -3.5 0.6 -3.6 -1.0 5.0 7.8 5.3 6.3 -1.6 0.6 -6.7 -1.9 -3.2 -6.7 -0.9 -9.5 1.0 -4.4 0.1 -2.0 16.0 -3.8 2.8 5.7 15.7 -14.8 -20.0 2.2 9.0 BUND 3.2 -1.9 3.0 -2.3 -3.6 -2.4 -1.7 -2.9 -1.5 -6.9 -4.9 -1.1 -7.6 -2.6 -4.6 5.2 8.5 6.1 6.8 -2.9 -4.2 -3.2 -8.1 -1.9 5.9 -1.5 -5.0 -1.8 -1.9 -3.3 -1.0 16.7 -0.4 2.5 3.3 3.6 -20.0 -20.0 -17.1 -1.1 BUXL 1.2 -5.9 5.0 -2.6 -4.0 -2.8 -1.9 -3.3 -1.8 -8.1 -8.1 -2.7 -9.4 -5.1 -5.8 0.3 1.0 0.8 1.2 -5.4 -6.5 -5.7 -11.0 -4.5 0.7 -2.5 -5.1 -2.3 -2.8 -3.2 -2.2 5.8 -2.7 0.9 -1.9 4.1 -20.0 -20.0 -4.8 14.9 CAC -6.7 -7.6 -8.2 -2.3 -2.8 1.0 -0.4 3.0 -2.4 -16.4 11.7 -8.2 19.6 -9.0 -4.3 -6.8 -1.0 -5.7 -3.5 -3.6 5.5 -10.0 17.3 -6.5 -5.2 -1.6 -12.4 2.8 -6.0 7.8 -3.5 6.3 -17.3 5.5 3.8 -4.4 20.0 -0.2 20.0 4.2 CAD -15.1 -20.0 3.7 -2.9 -9.4 1.5 -7.2 2.2 -6.2 -20.0 -1.2 -20.0 -11.3 -20.0 -17.4 -2.2 -2.0 -2.2 -2.2 -20.0 -8.4 -20.0 -6.6 -20.0 1.7 -6.4 -7.4 -2.4 -7.2 -1.4 -8.2 0.6 1.3 -9.6 -19.3 -8.2 -19.0 -20.0 -20.0 -17.7 CANOLA 5.9 10.8 20.0 1.5 -5.4 -0.4 -1.9 -2.6 0.8 -11.8 8.5 8.6 -5.7 4.1 10.7 -7.0 11.2 0.4 7.1 16.0 12.6 -0.5 1.6 8.4 -20.0 3.7 1.1 1.9 2.0 -1.1 2.8 6.6 6.8 15.2 12.2 20.0 -14.1 6.0 6.1 20.0 CHF -17.0 -9.2 4.0 -2.3 -7.6 1.3 -5.9 1.8 -5.0 -17.3 6.8 -17.9 13.1 -15.5 -3.7 -15.1 -13.4 -14.7 -14.1 -4.0 6.6 -19.4 10.2 -14.3 -9.0 -1.1 -9.9 3.2 -8.3 4.0 -5.8 -19.4 -9.0 -4.0 10.0 1.3 -20.0 -20.0 -20.0 -20.0 COCOA 6.3 0.8 10.9 2.4 -8.8 -0.7 -3.0 -4.2 1.3 20.0 20.0 20.0 20.0 19.0 20.0 -8.3 -2.3 -5.3 -3.2 20.0 20.0 20.0 20.0 20.0 -13.4 8.2 4.9 10.8 7.9 10.7 7.1 -14.4 20.0 20.0 20.0 20.0 -6.7 -12.9 14.6 -1.6 COFFEE -3.2 -6.9 -19.3 2.3 -8.5 -0.7 -2.9 -4.0 1.2 -4.4 -13.5 -6.8 -13.3 -12.6 -19.5 -3.3 2.4 -0.6 1.3 -20.0 -20.0 -3.7 -18.3 -11.8 -20.0 -6.1 -4.5 -4.6 -4.0 -3.1 -5.2 -6.5 -2.1 -20.0 -20.0 -20.0 -20.0 -20.0 -15.0 -11.4 COPPER 2.1 -0.4 -1.7 -1.6 -4.8 -0.0 -1.0 1.3 -1.1 -8.2 -7.6 9.0 -3.5 -4.1 -1.9 -5.8 -2.4 -4.8 -3.6 -3.2 -4.6 1.4 -4.6 0.2 -5.5 -0.4 -2.6 -1.7 1.2 -2.2 1.0 1.7 4.1 0.6 10.0 3.5 6.8 -20.0 16.9 -18.2 CORN -3.2 -14.7 -2.2 0.9 -3.3 -0.3 -1.1 -1.6 0.5 -1.8 -6.9 -0.5 -6.8 -6.9 -7.6 -11.2 4.0 -7.3 -2.1 -7.2 -7.2 -1.7 -5.6 -5.2 -7.7 -1.5 -0.7 -1.9 -1.3 -2.4 -1.7 -7.6 -1.2 -4.4 -6.6 3.5 -3.6 5.6 1.3 12.1 COTTON2 -0.1 9.0 12.2 1.7 -6.5 -0.5 -2.2 -3.1 0.9 -2.8 9.6 5.5 -9.9 8.9 10.7 3.3 6.5 5.7 5.3 9.6 6.7 7.0 -0.2 9.2 -20.0 4.9 3.4 3.6 5.9 1.9 5.4 -0.5 20.0 15.1 15.2 14.4 -16.9 -16.1 13.5 10.0 CRUDE_W -0.6 20.0 15.1 7.2 7.0 4.9 6.5 2.4 6.6 20.0 17.0 20.0 -6.0 20.0 20.0 11.4 8.7 9.0 8.1 20.0 20.0 20.0 10.5 20.0 -7.2 7.9 16.6 6.3 13.7 4.4 8.8 -19.9 20.0 -2.5 -16.6 -4.4 17.9 13.5 20.0 9.2 DAX -6.3 -12.3 -7.7 -2.1 -2.6 0.9 -0.4 2.8 -2.2 -8.1 6.6 -3.3 16.7 -12.4 -10.7 -9.0 -7.1 -8.7 -8.2 -7.3 2.0 -5.3 12.1 -7.4 18.2 -3.8 -5.5 0.1 -2.6 4.3 -3.6 -3.2 -9.3 5.9 0.3 -7.9 20.0 0.4 20.0 7.3 DOW -19.6 -4.9 9.5 -1.8 -2.2 0.8 -0.4 2.4 -1.9 -2.2 9.8 -4.6 12.0 -4.9 5.6 -11.2 -7.9 -10.9 -9.8 1.1 7.1 -6.9 7.2 -5.4 -9.9 1.1 -2.7 4.0 -2.0 4.2 -2.0 -5.2 -2.3 -6.8 13.0 15.9 -11.6 -6.6 -20.0 -6.6 EUR -14.5 -15.1 -0.4 -2.1 -6.9 1.1 -5.4 1.6 -4.6 -15.4 -2.1 -15.6 9.1 -16.7 -11.0 -6.6 -6.8 -6.6 -6.6 -9.8 -1.6 -17.6 1.4 -15.6 13.9 -3.9 -8.1 -0.3 -7.5 0.7 -6.5 -7.3 -2.9 -7.2 -4.1 -8.8 -3.7 -19.9 2.8 0.5 EURIBOR-ICE 5.5 5.3 0.2 -2.1 -3.3 -2.2 -1.6 -2.7 -1.4 -3.9 -3.5 2.5 -6.6 3.6 -1.7 -8.4 -7.8 -9.1 -9.0 -0.5 -3.3 0.9 -8.1 1.4 17.1 -0.1 -1.3 -1.2 0.5 -3.2 0.8 -11.1 3.3 4.9 9.4 1.3 -20.0 -20.0 20.0 9.1 EUROSTX -8.0 -11.7 -8.2 -1.9 -2.4 0.9 -0.4 2.5 -2.0 -12.7 8.5 -9.3 16.3 -11.8 -9.7 -4.8 -1.0 -4.6 -3.3 -4.9 3.5 -7.1 12.7 -7.0 5.1 -3.1 -7.9 1.4 -4.5 6.1 -4.2 6.5 -14.1 3.4 0.2 -3.9 20.0 2.9 20.0 10.3 FEEDCOW 1.2 3.7 16.4 2.6 -9.9 -0.8 -3.4 -4.7 1.4 19.8 20.0 20.0 20.0 20.0 20.0 2.4 -20.0 -15.0 -20.0 20.0 20.0 20.0 20.0 20.0 2.6 9.9 8.0 13.8 9.1 15.3 8.5 -20.0 20.0 20.0 16.6 20.0 5.4 -11.2 20.0 -2.8 GASOIL -5.4 20.0 20.0 5.5 5.4 3.8 5.0 1.9 5.1 13.0 13.0 10.5 0.4 17.0 18.2 20.0 19.8 20.0 20.0 20.0 20.0 14.8 13.0 20.0 11.7 6.3 3.1 4.7 2.7 2.2 4.4 0.0 -20.0 -2.8 12.4 15.4 -14.8 2.3 -17.9 -5.1 GASOLINE -9.1 18.8 19.8 6.9 6.8 4.8 6.2 2.4 6.4 20.0 20.0 7.8 1.2 17.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.2 20.0 18.7 -20.0 7.6 6.3 8.3 4.6 7.7 4.7 20.0 -20.0 -19.9 -16.8 11.5 16.9 14.3 20.0 4.5 GAS_US_mini -9.8 10.7 20.0 6.0 5.9 4.1 5.4 2.0 5.5 -17.9 -16.7 -18.4 -20.0 -16.4 -3.5 -20.0 -20.0 -20.0 -20.0 -6.4 -17.3 -16.2 -20.0 -10.5 20.0 -0.2 -5.2 -1.1 -4.7 -3.7 -3.0 -20.0 -20.0 -20.0 -20.0 -20.0 6.9 7.6 -4.2 -0.1 GBP -10.5 -14.1 6.4 -2.4 -7.8 1.3 -6.1 1.9 -5.2 -17.1 8.5 -15.5 12.3 -17.8 -4.2 0.1 -0.8 0.1 -0.3 -4.2 6.1 -15.3 7.7 -12.0 -0.7 -2.0 -10.9 3.0 -8.5 2.7 -6.5 3.2 -7.4 3.3 -0.4 4.3 1.4 13.8 6.2 20.0 GOLD_micro 2.4 -12.1 -14.0 -2.3 -6.8 -0.1 -1.4 1.8 -1.6 -17.2 -9.2 5.2 6.3 -9.7 -17.3 -18.3 -13.4 -17.1 -15.4 -15.2 -10.7 -2.4 1.3 -6.4 -11.4 -3.2 0.4 -1.7 4.3 1.9 0.5 -17.9 20.0 3.8 3.0 -17.4 -20.0 -20.0 -13.0 -20.0 HEATOIL -9.9 20.0 20.0 6.3 6.1 4.3 5.6 2.1 5.8 10.5 13.1 10.4 -1.3 18.1 19.5 20.0 20.0 20.0 20.0 20.0 20.0 18.6 14.3 20.0 -20.0 7.0 -0.5 5.8 1.1 3.8 4.5 1.8 -20.0 -14.3 16.9 20.0 4.5 -0.6 -1.0 -3.4 JGB-SGX-mini -0.0 -20.0 -8.8 -2.5 -3.9 -2.7 -1.9 -3.2 -1.7 0.9 3.5 1.8 5.1 -6.0 -6.7 20.0 20.0 16.8 16.9 -5.3 -1.2 0.3 2.9 -3.1 0.0 -2.0 -0.1 -0.8 0.1 -0.0 -1.1 20.0 8.9 6.8 -6.2 5.0 -20.0 -8.6 5.8 7.9 JPY -7.3 -12.5 -17.0 -1.4 -4.7 0.8 -3.6 1.1 -3.1 -10.9 -11.9 -11.8 -11.0 -12.2 -12.3 -16.2 -14.0 -16.2 -15.4 -16.6 -17.4 -11.6 -17.5 -14.0 20.0 -4.4 -3.6 -4.2 -3.4 -4.2 -3.9 -20.0 -3.4 -6.7 -8.5 -20.0 -6.5 -20.0 -6.1 -20.0 LEANHOG -4.5 4.6 8.6 1.4 -5.1 -0.4 -1.7 -2.4 0.7 9.5 -2.6 6.6 -5.9 -3.8 7.1 20.0 20.0 20.0 20.0 -1.0 -5.2 4.8 -11.0 0.3 13.0 -2.6 1.7 -6.1 1.6 -9.1 -0.8 20.0 14.3 -7.5 -6.3 -9.9 -8.6 0.2 19.4 20.0 LIVECOW -12.3 -11.1 17.2 2.6 -9.7 -0.8 -3.3 -4.6 1.4 16.1 20.0 6.2 20.0 0.0 19.0 -17.7 3.8 -5.0 5.2 16.2 20.0 8.8 20.0 6.0 4.0 7.5 9.0 13.1 5.1 14.3 3.3 0.5 20.0 -3.9 1.8 20.0 -20.0 -20.0 -20.0 -19.7 LUMBER-new 2.2 -14.0 2.4 2.4 -9.0 -0.3 -3.1 -2.9 1.3 -20.0 -20.0 -18.2 -20.0 -20.0 -18.5 -17.4 -13.4 -15.0 -13.9 -13.6 -12.0 -14.9 -10.6 -14.6 NaN -4.8 -7.7 -3.6 -7.7 -2.6 -6.0 -20.0 -20.0 -1.7 -20.0 -7.9 -20.0 -20.0 -11.2 -20.0 MILK 14.6 20.0 7.5 1.1 -4.3 -0.3 -1.5 -2.0 0.6 8.8 -4.2 9.7 -9.5 10.1 3.0 10.6 -20.0 -20.0 -20.0 4.1 -6.3 10.8 -13.0 10.6 -1.6 0.5 2.7 -3.3 3.8 -5.4 3.2 -20.0 20.0 11.0 17.8 -17.3 -20.0 -20.0 -14.8 -20.0 MXP -7.4 -17.8 -3.7 -2.1 -7.0 1.2 -5.4 1.7 -4.6 -16.1 16.6 -11.6 18.2 -1.6 11.9 15.8 17.6 17.0 17.3 7.0 18.4 -20.0 20.0 -5.5 -20.0 3.0 -16.5 8.1 -9.7 11.0 -2.7 20.0 -20.0 11.8 13.9 20.0 20.0 6.7 20.0 20.0 NASDAQ_micro -11.0 -20.0 11.9 -1.2 -1.5 0.5 -0.2 1.6 -1.2 6.4 9.6 8.1 8.0 -0.1 6.2 -9.2 -8.0 -10.0 -9.5 5.0 11.7 5.7 12.1 3.2 -20.0 1.9 0.3 5.2 1.5 6.1 0.5 -5.1 -1.1 7.4 4.4 20.0 -5.7 -15.0 -16.1 -17.2 NIKKEI -2.3 -12.7 11.8 -2.0 -2.5 0.9 -0.4 2.7 -2.1 17.8 15.2 17.3 15.9 2.9 9.6 16.1 12.9 15.4 14.1 8.8 19.7 20.0 20.0 9.5 -7.3 4.0 8.9 9.0 7.8 10.6 3.7 20.0 20.0 20.0 6.1 20.0 5.7 3.3 -2.4 10.0 NZD -9.2 -17.7 -6.0 -1.7 -5.5 0.9 -4.3 1.3 -3.6 -11.3 -11.1 -11.5 -1.0 -13.4 -12.7 -0.2 0.4 0.1 0.2 -13.2 -9.3 -10.5 -6.7 -13.0 0.7 -4.2 -4.8 -2.7 -3.7 -1.8 -4.3 4.8 1.5 -3.6 -9.2 -14.2 -2.5 -13.9 1.2 7.4 OAT 3.5 -2.5 4.2 -2.5 -3.9 -2.7 -1.9 -3.2 -1.7 -7.6 -5.4 -0.7 -7.9 -2.4 -4.1 5.2 8.5 6.1 7.1 -2.7 -3.9 -3.1 -7.6 -1.6 8.1 -1.4 -5.4 -1.6 -1.8 -3.4 -0.8 17.3 0.1 3.5 3.8 5.3 -20.0 -20.0 0.9 4.8 OATIES 13.9 12.7 20.0 1.8 -6.8 -0.5 -2.3 -3.2 1.0 -4.3 14.7 8.9 -5.2 11.8 15.6 -20.0 -4.6 -17.9 -12.7 20.0 20.0 17.8 13.9 20.0 -20.0 6.0 1.9 4.7 4.7 2.4 6.2 -20.0 20.0 20.0 20.0 20.0 3.4 18.0 18.6 20.0 OJ -7.8 3.8 4.8 1.7 -6.5 -0.5 -2.2 -3.1 0.9 1.0 16.3 8.4 16.7 13.2 15.0 20.0 20.0 20.0 20.0 20.0 20.0 11.0 20.0 20.0 -20.0 6.1 2.4 6.7 3.7 7.7 5.2 20.0 16.9 20.0 20.0 20.0 10.1 5.4 20.0 17.3 PALLAD 0.7 6.4 -12.5 -1.1 -3.3 -0.0 -0.7 0.9 -0.8 -10.8 -12.1 -9.7 -12.4 -8.6 -11.5 -2.4 -2.6 -2.7 -2.8 -9.2 -16.0 -6.9 -20.0 -6.2 -1.9 -3.2 -4.4 -4.4 -3.9 -5.3 -2.7 2.1 -13.8 -2.3 -0.2 -13.3 -20.0 -3.4 6.1 0.7 PLAT 15.7 -0.5 -16.3 -1.4 -3.9 -0.0 -0.8 1.0 -0.9 -12.1 -9.3 1.1 -2.1 1.4 -8.0 -3.4 -2.2 -3.2 -2.8 -3.8 -6.9 -5.9 -4.4 1.2 14.3 0.1 -3.3 -1.3 2.3 -0.8 3.0 2.5 14.1 18.2 10.7 -9.7 1.7 -16.6 18.7 -12.5 REDWHEAT -11.3 -17.7 -3.2 1.2 -4.6 -0.4 -1.6 -2.2 0.7 -1.2 -7.0 -7.6 -10.5 -11.4 -9.9 -3.6 1.8 -2.2 0.3 -11.4 -7.6 -6.2 -5.4 -12.0 -11.8 -3.0 1.6 -1.9 -1.7 -1.0 -3.5 -7.6 -6.5 -12.5 -15.7 -6.5 -20.0 -20.0 -11.9 -8.1 RICE 8.2 14.8 12.9 2.2 -8.1 -0.6 -2.8 -3.9 1.2 11.3 8.1 16.7 3.2 18.5 18.5 -12.8 18.2 5.5 19.7 19.2 11.1 20.0 4.4 20.0 -20.0 6.0 -1.0 3.6 5.6 1.4 7.1 20.0 20.0 17.4 20.0 19.3 -6.1 -19.8 8.1 -11.4 ROBUSTA -6.5 -5.0 3.7 1.7 -6.4 -0.5 -2.2 -3.0 0.9 6.3 11.9 2.7 12.5 0.1 0.7 20.0 20.0 20.0 20.0 4.0 14.2 4.3 20.0 2.0 -15.3 1.8 0.4 7.1 1.4 10.3 0.5 20.0 15.6 -10.4 -4.3 14.2 -2.8 -15.9 14.2 -6.2 RUSSELL -19.3 -8.6 11.7 -1.9 -2.3 0.8 -0.4 2.4 -1.9 -3.6 2.2 -5.1 -0.8 -10.2 2.1 -7.8 -5.6 -7.4 -6.7 -2.5 3.8 -5.9 1.1 -8.0 -2.7 -0.1 4.5 2.2 2.8 2.1 -1.1 -0.6 13.4 -3.1 4.8 19.4 -7.3 -10.2 -20.0 -13.8 SHATZ 3.5 9.2 -7.8 -2.1 -3.3 -2.3 -1.6 -2.7 -1.5 -5.9 -5.7 -3.8 -7.3 -0.1 -4.5 -20.0 -7.2 -20.0 -14.2 -2.7 -6.4 -3.3 -11.7 -1.3 10.8 -1.0 -5.2 -2.6 -1.9 -5.1 -0.5 -14.1 -3.5 0.8 7.6 -0.7 -20.0 -20.0 -20.0 -20.0 SILVER-mini 10.7 -4.7 -5.9 -1.6 -4.5 -0.0 -0.9 1.2 -1.1 -14.0 1.9 0.9 5.3 -0.4 -2.7 -8.4 -5.9 -7.4 -6.7 -0.1 0.3 -7.6 2.1 1.0 7.6 1.8 -4.6 1.5 1.4 1.3 3.1 -4.1 2.7 18.0 15.1 2.6 -19.8 -20.0 -2.1 -20.0 SMI -3.7 -7.3 -9.7 -2.0 -2.5 0.9 -0.4 2.7 -2.1 -13.9 2.4 -1.1 5.4 -7.9 -11.5 -3.3 0.8 -3.1 -1.7 -8.2 -4.1 -6.5 0.9 -6.2 5.4 -2.3 -10.9 -1.5 -3.9 -1.6 -1.9 9.4 -11.0 3.8 8.5 -13.4 -8.3 -12.0 -20.0 -16.0 SOFR -2.2 -11.8 -13.2 -2.5 -4.0 -2.7 -1.9 -3.2 -1.7 -5.4 -5.9 -1.4 -3.8 -4.7 -6.9 -1.9 -0.9 -1.8 -1.4 -7.5 -6.8 -2.6 -5.5 -4.5 -1.6 -2.5 -1.4 -2.3 -0.1 -1.8 -1.2 1.6 11.8 -0.2 0.3 -5.6 -20.0 -20.0 -7.8 -3.9 SOYBEAN 9.4 2.7 20.0 1.1 -4.2 -0.3 -1.5 -2.0 0.6 -6.1 5.7 4.0 -0.3 2.1 6.9 1.2 19.1 9.6 14.4 6.1 4.3 3.2 1.2 5.4 -20.0 2.4 0.4 1.6 1.4 0.6 2.0 19.4 5.9 12.0 0.4 15.9 -12.0 6.4 -8.5 18.0 SOYMEAL 7.4 1.3 -5.6 1.2 -4.5 -0.3 -1.5 -2.1 0.7 -9.8 -3.3 0.8 2.4 1.7 0.1 4.9 18.9 11.9 17.1 1.4 0.1 -1.8 2.0 1.9 -20.0 1.9 -2.8 1.9 -0.3 2.8 1.5 20.0 1.3 4.7 -0.4 7.5 -15.8 -18.8 -12.6 -17.3 SOYOIL 0.7 11.6 20.0 1.4 -5.3 -0.4 -1.8 -2.5 0.8 -7.3 9.8 3.2 -0.6 5.6 12.0 16.6 11.4 13.8 11.4 14.1 12.6 0.6 5.3 7.1 -20.0 4.0 -0.2 3.4 0.7 1.4 2.1 8.8 2.9 12.6 5.7 20.0 0.8 6.4 18.5 20.0 SP400 -19.4 -10.4 13.1 -1.8 -2.2 0.8 -0.3 2.4 -1.9 -5.4 4.9 -4.9 7.1 -8.1 5.2 -7.5 -5.1 -6.5 -5.8 -0.6 6.3 -6.3 5.9 -6.5 -12.3 0.3 4.7 2.3 3.4 2.4 -0.3 0.6 18.3 0.8 3.6 18.7 0.4 -11.6 -15.2 -16.2 SP500_micro -14.4 -20.0 14.0 -1.6 -2.0 0.7 -0.3 2.2 -1.7 4.3 11.9 6.5 9.8 -2.5 7.2 -11.5 -9.2 -12.1 -11.0 4.8 12.1 2.7 11.9 1.2 -16.6 1.9 0.0 5.2 1.2 5.5 0.0 -7.3 1.0 4.6 7.3 20.0 -5.1 -13.4 -19.5 -19.3 SUGAR11 18.0 -1.9 -9.5 2.1 -7.9 -0.6 -2.7 -3.7 1.2 12.7 14.3 16.8 15.6 15.8 8.3 -3.4 11.1 -1.1 4.3 14.8 16.1 20.0 20.0 20.0 -20.0 4.6 3.6 6.9 9.0 11.7 7.7 4.4 20.0 20.0 15.2 -2.0 -20.0 -20.0 8.7 -2.6 US10 -1.4 -11.5 -16.3 -2.2 -3.5 -2.4 -1.7 -2.9 -1.5 -7.0 -7.1 -3.9 -7.5 -5.8 -7.5 -9.7 -7.1 -9.3 -8.8 -9.0 -9.5 -4.7 -9.8 -6.0 0.9 -2.7 -1.1 -2.8 -0.5 -2.6 -1.4 -10.4 7.4 -0.5 -2.2 -7.5 -20.0 -20.0 14.8 0.2 US10U -1.3 -12.5 -13.1 -2.9 -4.6 -3.2 -2.2 -3.8 -2.0 -9.6 -9.1 -5.0 -9.7 -7.8 -9.6 -2.1 -1.5 -2.9 -2.6 -11.7 -11.7 -6.9 -11.9 -8.4 -3.4 -3.5 -1.4 -3.4 -0.7 -2.9 -2.0 0.0 8.9 -0.2 -5.2 -9.0 -20.0 -20.0 20.0 18.3 US2 5.4 -6.6 -20.0 -2.3 -3.6 -2.5 -1.8 -3.0 -1.6 -5.2 -8.6 -4.2 -8.5 -6.3 -8.6 -20.0 -20.0 -20.0 -20.0 -11.3 -15.5 -4.8 -17.9 -5.9 8.7 -2.9 -0.8 -3.8 -0.2 -4.4 -1.2 -20.0 7.9 0.5 -0.6 -13.1 -20.0 -20.0 -20.0 -20.0 US20 -1.8 -15.5 -12.4 -2.2 -3.5 -2.4 -1.7 -2.8 -1.5 -6.9 -6.6 -2.6 -6.3 -5.7 -6.9 -4.0 -1.7 -2.6 -2.3 -9.7 -9.2 -5.4 -8.8 -7.2 -3.2 -2.6 -0.5 -2.4 -0.5 -2.0 -1.6 0.1 6.2 -0.4 -6.9 -6.5 -20.0 -20.0 20.0 20.0 US30 1.0 -13.6 -8.3 -2.6 -4.0 -2.8 -1.9 -3.3 -1.8 -7.4 -8.1 -1.5 -7.9 -6.2 -7.7 -7.3 -3.4 -6.6 -5.0 -10.2 -10.1 -5.0 -10.8 -7.1 -2.9 -2.9 -0.0 -2.8 0.0 -2.4 -1.5 -3.4 9.0 2.8 -8.1 -5.1 -20.0 -20.0 20.0 20.0 US5 -1.6 -9.7 -18.3 -2.4 -3.7 -2.5 -1.8 -3.0 -1.6 -6.3 -7.7 -4.6 -8.0 -6.2 -8.1 -13.6 -9.6 -13.2 -12.1 -9.2 -10.3 -4.8 -11.3 -6.0 3.5 -2.8 -1.4 -3.1 -0.6 -3.1 -1.5 -15.3 7.9 -1.1 -0.5 -8.5 -20.0 -20.0 1.5 -16.4 VIX 2.5 17.3 -19.0 -6.4 -4.0 -9.5 -6.3 -11.1 -5.3 -17.8 -20.0 -19.6 -20.0 -15.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.9 -20.0 -16.2 NaN -7.0 -6.8 -11.3 -8.5 -13.8 -5.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -15.7 -14.8 11.8 0.8 -2.9 -0.2 -1.0 -1.4 0.4 -2.7 -5.8 -5.9 -7.3 -7.2 -6.4 -12.9 -9.6 -11.5 -10.8 -7.1 -5.8 -5.5 -6.2 -8.2 -3.0 -1.7 -0.8 -1.4 -2.1 -1.5 -2.5 -20.0 -7.5 -10.8 -7.9 -0.9 -20.0 -13.9 -15.2 -8.5 End of report for caleb_strategy_v3