******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231130_204331 produced at 2023-11-30 21:39:42.768113 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.01 -0.10 -0.24 0.0 0.10 -0.10 -0.10 -0.10 -39.84 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.19 24.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.31 11.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.08 0.0 0.68 -0.68 -0.21 -0.21 -1.56 13.0 -4 -4 caleb_strategy_v3 US2 False True 0.07 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.09 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.08 0.0 0.78 -0.78 0.00 0.00 -2.87 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.07 0.0 0.07 -0.07 -0.05 -0.05 -26.71 26.0 -18 -18 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.11 -0.11 -0.05 -0.05 -7.04 12.0 -5 -5 caleb_strategy_v3 LIVECOW False False 0.03 -0.03 -0.07 0.0 0.43 -0.43 -0.03 -0.03 -2.72 17.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.81 5.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.36 11.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 0.00 -0.05 0.0 0.52 -0.52 0.00 0.00 -1.53 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.05 0.0 0.32 -0.32 -0.04 -0.04 -1.27 8.0 -1 -1 caleb_strategy_v3 DX False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.08 999999999.0 0 0 caleb_strategy_v3 SP400 False True 0.09 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.46 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.04 0.0 0.97 -0.97 -0.04 -0.04 -0.92 25.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.19 -0.19 -0.02 -0.02 -11.88 51.0 -6 -6 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -2.16 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.28 2.0 0 0 caleb_strategy_v3 RUSSELL False True 0.00 -0.00 -0.03 0.0 0.00 -0.00 -0.00 -0.00 -10.46 68.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.56 9.0 -3 -3 caleb_strategy_v3 SP500_micro False True 0.01 -0.02 -0.02 0.0 0.00 -0.02 -0.02 -0.02 -1.86 48.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.04 -0.07 -0.02 0.0 0.07 -0.07 -0.07 -0.07 -0.58 2.0 -2 -2 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.02 0.0 0.42 -0.42 -0.05 -0.05 -2.75 56.0 -7 -7 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.65 3.0 0 0 caleb_strategy_v3 DOW False True 0.01 -0.03 -0.01 0.0 0.00 -0.03 -0.03 -0.03 -1.32 66.0 -4 -4 caleb_strategy_v3 US10 False False 0.04 0.00 -0.01 0.0 0.68 -0.68 0.00 0.00 -0.34 17.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.16 6.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.10 7.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 -0.02 -0.00 0.0 0.14 -0.14 -0.02 -0.02 -0.08 9.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.02 -0.00 0.0 0.27 -0.27 0.02 0.02 -0.34 23.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.00 0.0 0.11 -0.11 -0.02 -0.02 -0.25 10.0 -2 -2 caleb_strategy_v3 SMI False True 0.05 -0.05 0.00 0.0 0.00 -0.05 -0.05 -0.05 0.07 9.0 -1 -1 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.00 0.0 0.14 -0.14 -0.01 -0.01 0.39 13.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.06 10.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.05 3.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.12 -0.00 0.0 0.54 -0.54 -0.12 -0.12 -0.05 13.0 -3 -3 caleb_strategy_v3 US20 False False 0.04 0.00 0.00 0.0 0.38 -0.38 0.00 0.00 0.02 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.13 0.00 0.0 0.27 -0.27 0.13 0.13 0.01 6.0 3 3 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.21 -0.21 0.00 0.00 0.02 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.00 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.60 10.0 1 1 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.89 -0.89 0.00 0.00 0.16 19.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.18 -0.18 0.00 0.00 0.71 18.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.41 23.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.10 0.01 0.0 0.46 -0.46 0.10 0.10 0.30 19.0 4 4 caleb_strategy_v3 EUR False False 0.05 0.05 0.01 0.0 0.69 -0.69 0.05 0.05 0.26 14.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.01 0.0 0.14 -0.14 0.03 0.03 0.31 4.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 0.89 0.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.68 4.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.60 4.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.32 0.03 0.0 0.35 -0.35 0.32 0.32 1.07 12.0 11 11 caleb_strategy_v3 NZD False True 0.02 0.02 0.03 0.0 0.02 0.00 0.02 0.02 1.27 21.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.06 -0.06 0.00 0.00 1.77 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.63 -0.63 0.00 0.00 1.36 22.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.06 0.05 0.0 0.41 -0.41 0.06 0.06 3.19 26.0 4 4 caleb_strategy_v3 BTP False False 0.05 0.09 0.05 0.0 0.46 -0.46 0.09 0.09 1.09 10.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.06 0.0 0.08 -0.08 0.05 0.05 45.21 59.0 36 36 caleb_strategy_v3 OAT False False 0.05 0.05 0.07 0.0 0.51 -0.51 0.05 0.05 1.47 10.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.07 0.0 0.14 -0.14 0.08 0.08 2.60 5.0 3 3 caleb_strategy_v3 EUROSTX False True 0.02 0.05 0.08 0.0 0.05 0.00 0.05 0.05 4.35 20.0 3 3 caleb_strategy_v3 DAX False True 0.01 0.00 0.11 0.0 0.00 0.00 0.00 0.00 17.55 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.27 0.16 0.0 0.30 -0.30 0.27 0.27 19.56 36.0 32 32 caleb_strategy_v3 MXP False False 0.01 0.40 0.27 0.0 0.63 -0.63 0.40 0.40 25.85 60.0 38 38 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.29 0.76 0.0 0.58 -0.58 0.29 0.29 20.94 16.0 8 8 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.68 0.77 0.0 0.98 -0.98 0.68 0.68 7.87 10.0 7 7 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 17.8 Shocked risk 44.1 Sum abs risk 51.2 Leverage 4.27 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2744209.96, 'annual_cash_vol_target': 686052.49, 'daily_cash_vol_target': 42878.280625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6621 0.6702 10.7227 BITCOIN 903.0527 38210.0000 2.3634 37.8143 BOBL 0.2799 117.0600 0.2391 3.8258 BTP 0.6328 114.8800 0.5509 8.8139 BUND 0.5546 132.6200 0.4182 6.6905 BUXL 1.2741 130.0600 0.9796 15.6737 CAC 51.0151 7329.0000 0.6961 11.1371 CAD 0.0029 0.7371 0.3970 6.3523 CANOLA 7.8141 704.2000 1.1096 17.7543 CHF 0.0048 1.1466 0.4187 6.6990 COCOA 42.0281 4277.0000 0.9827 15.7225 COFFEE 3.7742 185.8000 2.0313 32.5008 COPPER 0.0361 3.8550 0.9358 14.9729 CORN 4.7271 511.7500 0.9237 14.7795 COTTON2 1.0206 80.1100 1.2740 20.3833 CRUDE_W 1.1890 74.7900 1.5898 25.4373 DAX 106.8003 16268.0000 0.6565 10.5041 DOW 208.1078 35852.0000 0.5805 9.2874 DX 0.4699 103.0700 0.4559 7.2951 EUR 0.0056 1.0894 0.5133 8.2132 EURIBOR-ICE 0.0536 97.5350 0.0549 0.8788 EUROSTX 33.1575 4397.0000 0.7541 12.0655 FEEDCOW 2.6156 222.3500 1.1763 18.8213 GASOIL 13.1391 790.2500 1.6626 26.6024 GASOLINE 0.0419 2.2515 1.8593 29.7496 GAS_US_mini 0.0969 2.7650 3.5038 56.0601 GBP 0.0074 1.2620 0.5866 9.3849 GOLD_micro 13.2531 2055.0000 0.6449 10.3187 HEATOIL 0.0461 2.6781 1.7231 27.5695 JGB-SGX-mini 0.2983 145.5900 0.2049 3.2786 JPY 0.0000 0.0068 0.6265 10.0240 LEANHOG 1.2851 71.5250 1.7967 28.7468 LIVECOW 1.6772 171.8250 0.9761 15.6174 LUMBER-new 7.5338 542.0000 1.3900 22.2399 MILK 0.1910 16.6000 1.1507 18.4113 MXP 0.0004 0.0574 0.7432 11.8911 NASDAQ_micro 129.6516 15892.0000 0.8158 13.0533 NIKKEI 290.3678 33410.0000 0.8691 13.9057 NZD 0.0043 0.6156 0.6916 11.0654 OAT 0.5655 127.0300 0.4452 7.1231 OATIES 7.2832 373.2500 1.9513 31.2206 OJ 6.0950 387.3500 1.5735 25.1763 PALLAD 20.3713 1024.0000 1.9894 31.8301 PLAT 14.6773 935.9000 1.5683 25.0921 REDWHEAT 10.5457 644.0000 1.6375 26.2004 RICE 0.1544 17.5350 0.8807 14.0912 ROBUSTA 36.0875 2550.0000 1.4152 22.6431 RUSSELL 21.6632 1812.1000 1.1955 19.1276 SHATZ 0.0837 105.7800 0.0791 1.2659 SILVER-mini 0.3172 25.6500 1.2367 19.7872 SMI 69.7130 10880.0000 0.6407 10.2519 SOFR 0.0842 96.3900 0.0873 1.3973 SOYBEAN 10.8221 1292.2500 0.8375 13.3993 SOYMEAL 5.5891 413.7000 1.3510 21.6159 SOYOIL 0.7975 52.1200 1.5301 24.4814 SP400 24.1455 2565.9000 0.9410 15.0562 SP500_micro 29.3867 4556.0000 0.6450 10.3202 SUGAR11 0.3357 24.9700 1.3445 21.5118 US10 0.5056 109.7656 0.4606 7.3702 US10U 0.6913 113.4219 0.6095 9.7513 US2 0.1272 102.2305 0.1245 1.9915 US20 0.9971 116.2812 0.8575 13.7204 US30 1.4881 122.7188 1.2126 19.4023 US5 0.3260 106.8203 0.3052 4.8835 VIX 0.5268 16.5000 3.1926 51.0824 WHEAT 8.8950 654.7500 1.3585 21.7366 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.10 0.67 443.72 1.00 443.72 42878.28 96.63 1.21 11.68 BITCOIN 38.21 2.36 90.31 1.00 90.31 42878.28 474.81 8.79 417.53 BOBL 1170.60 0.24 279.90 1.10 307.75 42878.28 139.33 1.11 15.42 BTP 1148.80 0.55 632.83 1.10 695.80 42878.28 61.62 5.16 31.82 BUND 1326.20 0.42 554.56 1.10 609.73 42878.28 70.32 0.79 5.59 BUXL 1300.60 0.98 1274.07 1.10 1400.84 42878.28 30.61 0.60 1.85 CAC 732.90 0.70 510.15 1.10 560.91 42878.28 76.44 4.11 31.43 CAD 737.10 0.40 292.64 1.00 292.64 42878.28 146.52 -7.55 -110.62 CANOLA 140.84 1.11 156.28 0.74 115.28 42878.28 371.94 -13.13 -488.18 CHF 1433.25 0.42 600.08 1.00 600.08 42878.28 71.45 -8.42 -60.19 COCOA 427.70 0.98 420.28 1.00 420.28 42878.28 102.02 14.61 149.05 COFFEE 696.75 2.03 1415.31 1.00 1415.31 42878.28 30.30 -0.05 -0.16 COPPER 963.75 0.94 901.89 1.00 901.89 42878.28 47.54 -0.31 -1.45 CORN 255.88 0.92 236.36 1.00 236.36 42878.28 181.41 -15.95 -289.29 COTTON2 400.55 1.27 510.28 1.00 510.28 42878.28 84.03 -18.70 -157.10 CRUDE_W 747.90 1.59 1189.04 1.00 1189.04 42878.28 36.06 6.67 24.04 DAX 162.68 0.66 106.80 1.10 117.43 42878.28 365.15 14.09 514.59 DOW 179.26 0.58 104.05 1.00 104.05 42878.28 412.08 -1.38 -56.95 DX 1030.70 0.46 469.94 1.00 469.94 42878.28 91.24 -4.58 -41.76 EUR 1361.69 0.51 698.99 1.00 698.99 42878.28 61.34 1.64 10.08 EURIBOR-ICE 2438.38 0.05 133.94 1.10 147.26 42878.28 291.17 7.92 230.60 EUROSTX 439.70 0.75 331.58 1.10 364.57 42878.28 117.61 10.84 127.49 FEEDCOW 1111.75 1.18 1307.78 1.00 1307.78 42878.28 32.79 -11.71 -38.38 GASOIL 790.25 1.66 1313.91 1.00 1313.91 42878.28 32.63 4.80 15.68 GASOLINE 945.63 1.86 1758.25 1.00 1758.25 42878.28 24.39 2.93 7.15 GAS_US_mini 69.12 3.50 242.20 1.00 242.20 42878.28 177.04 -13.93 -246.61 GBP 788.75 0.59 462.65 1.00 462.65 42878.28 92.68 5.67 52.54 GOLD_micro 205.50 0.64 132.53 1.00 132.53 42878.28 323.53 -2.49 -80.56 HEATOIL 1124.80 1.72 1938.14 1.00 1938.14 42878.28 22.12 -0.56 -1.25 JGB-SGX-mini 145590.00 0.20 29833.64 0.01 202.57 42878.28 211.67 9.13 193.36 JPY 845.19 0.63 529.51 1.00 529.51 42878.28 80.98 -7.29 -59.00 LEANHOG 286.10 1.80 514.03 1.00 514.03 42878.28 83.42 0.78 6.48 LIVECOW 687.30 0.98 670.87 1.00 670.87 42878.28 63.91 -12.84 -82.05 LUMBER-new 149.05 1.39 207.18 1.00 207.18 42878.28 206.96 -8.28 -171.32 MILK 332.00 1.15 382.03 1.00 382.03 42878.28 112.24 -20.00 -224.47 MXP 286.85 0.74 213.19 1.00 213.19 42878.28 201.13 8.76 176.13 NASDAQ_micro 317.84 0.82 259.30 1.00 259.30 42878.28 165.36 -0.87 -14.45 NIKKEI 33410.00 0.87 29036.78 0.01 197.16 42878.28 217.48 8.31 180.63 NZD 615.65 0.69 425.78 1.00 425.78 42878.28 100.71 4.85 48.84 OAT 1270.30 0.45 565.53 1.10 621.80 42878.28 68.96 6.25 43.08 OATIES 186.62 1.95 364.16 1.00 364.16 42878.28 117.75 -14.94 -175.92 OJ 581.02 1.57 914.25 1.00 914.25 42878.28 46.90 17.62 82.64 PALLAD 1024.00 1.99 2037.13 1.00 2037.13 42878.28 21.05 -8.09 -17.02 PLAT 467.95 1.57 733.87 1.00 733.87 42878.28 58.43 2.99 17.49 REDWHEAT 322.00 1.64 527.28 1.00 527.28 42878.28 81.32 -20.00 -162.64 RICE 350.70 0.88 308.86 1.00 308.86 42878.28 138.83 4.72 65.59 ROBUSTA 255.00 1.42 360.87 1.00 360.87 42878.28 118.82 10.14 120.53 RUSSELL 90.60 1.20 108.32 1.00 108.32 42878.28 395.86 -7.97 -315.60 SHATZ 1057.80 0.08 83.69 1.10 92.02 42878.28 465.95 -6.74 -314.19 SILVER-mini 641.25 1.24 793.03 1.00 793.03 42878.28 54.07 4.85 26.21 SMI 1088.00 0.64 697.13 1.14 794.90 42878.28 53.94 0.38 2.05 SOFR 2409.75 0.09 210.44 1.00 210.44 42878.28 203.75 -1.05 -21.50 SOYBEAN 646.12 0.84 541.10 1.00 541.10 42878.28 79.24 1.39 10.99 SOYMEAL 413.70 1.35 558.91 1.00 558.91 42878.28 76.72 -1.14 -8.74 SOYOIL 312.72 1.53 478.49 1.00 478.49 42878.28 89.61 -3.00 -26.90 SP400 2565.90 0.94 2414.55 1.00 2414.55 42878.28 17.76 -7.76 -13.79 SP500_micro 227.80 0.65 146.93 1.00 146.93 42878.28 291.82 -2.75 -80.19 SUGAR11 279.66 1.34 376.01 1.00 376.01 42878.28 114.04 2.95 33.62 US10 1097.66 0.46 505.62 1.00 505.62 42878.28 84.80 -3.15 -26.70 US10U 1134.22 0.61 691.26 1.00 691.26 42878.28 62.03 -0.69 -4.29 US2 2044.61 0.12 254.49 1.00 254.49 42878.28 168.49 -5.11 -86.09 US20 1162.81 0.86 997.14 1.00 997.14 42878.28 43.00 0.40 1.71 US30 1227.19 1.21 1488.14 1.00 1488.14 42878.28 28.81 0.16 0.46 US5 1068.20 0.31 326.04 1.00 326.04 42878.28 131.51 -5.51 -72.50 VIX 165.00 3.19 526.79 1.00 526.79 42878.28 81.40 -19.83 -161.40 WHEAT 327.38 1.36 444.75 1.00 444.75 42878.28 96.41 -20.00 -192.82 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 11.680 0.010 2.5 0.303 BITCOIN 417.529 0.043 2.5 45.214 BOBL 15.419 0.004 2.5 0.156 BTP 31.821 0.014 2.5 1.085 BUND 5.588 0.004 2.5 0.057 BUXL 1.850 0.004 2.5 0.019 CAC 31.428 0.014 2.5 1.072 CAD -110.616 0.010 2.5 -2.870 CANOLA -488.181 0.010 2.5 -11.877 CHF -60.190 0.010 2.5 -1.562 COCOA 149.049 0.009 2.5 3.192 COFFEE -0.159 0.005 2.5 -0.002 COPPER -1.451 0.043 2.5 -0.157 CORN -289.293 0.010 2.5 -7.038 COTTON2 -157.099 0.009 2.5 -3.365 CRUDE_W 24.041 0.043 2.5 2.603 DAX 514.589 0.014 2.5 17.552 DOW -56.950 0.009 2.5 -1.324 DX -41.756 0.010 2.5 -1.083 EUR 10.085 0.010 2.5 0.262 EURIBOR-ICE 230.601 0.014 2.5 7.866 EUROSTX 127.488 0.014 2.5 4.349 FEEDCOW -38.383 0.013 2.5 -1.272 GASOIL 15.678 0.017 2.5 0.680 GASOLINE 7.148 0.017 2.5 0.310 GAS_US_mini -246.614 0.043 2.5 -26.706 GBP 52.539 0.010 2.5 1.363 GOLD_micro -80.564 0.014 2.5 -2.748 HEATOIL -1.248 0.017 2.5 -0.054 JGB-SGX-mini 193.355 0.043 2.5 20.938 JPY -59.001 0.010 2.5 -1.531 LEANHOG 6.477 0.024 2.5 0.394 LIVECOW -82.053 0.013 2.5 -2.719 LUMBER-new -171.323 0.009 2.5 -3.654 MILK -224.473 0.009 2.5 -4.808 MXP 176.131 0.059 2.5 25.852 NASDAQ_micro -14.453 0.009 2.5 -0.336 NIKKEI 180.631 0.043 2.5 19.561 NZD 48.844 0.010 2.5 1.267 OAT 43.084 0.014 2.5 1.470 OATIES -175.924 0.010 2.5 -4.280 OJ 82.644 0.009 2.5 1.770 PALLAD -17.018 0.014 2.5 -0.580 PLAT 17.487 0.014 2.5 0.596 REDWHEAT -162.639 0.005 2.5 -2.158 RICE 65.593 0.010 2.5 1.596 ROBUSTA 120.530 0.005 2.5 1.408 RUSSELL -315.597 0.013 2.5 -10.458 SHATZ -314.193 0.004 2.5 -3.186 SILVER-mini 26.215 0.014 2.5 0.894 SMI 2.051 0.014 2.5 0.070 SOFR -21.495 0.024 2.5 -1.306 SOYBEAN 10.991 0.004 2.5 0.102 SOYMEAL -8.735 0.004 2.5 -0.081 SOYOIL -26.903 0.004 2.5 -0.250 SP400 -13.787 0.013 2.5 -0.457 SP500_micro -80.193 0.009 2.5 -1.864 SUGAR11 33.616 0.009 2.5 0.715 US10 -26.705 0.005 2.5 -0.338 US10U -4.290 0.005 2.5 -0.054 US2 -86.086 0.005 2.5 -1.091 US20 1.706 0.005 2.5 0.022 US30 0.455 0.005 2.5 0.006 US5 -72.502 0.005 2.5 -0.919 VIX -161.399 0.099 2.5 -39.841 WHEAT -192.819 0.005 2.5 -2.558 ===================== Position diags ===================== AUD 2.51 BITCOIN 51.42 BOBL 1.41 BTP 2.10 BUND 0.71 BUXL 0.31 CAC 2.61 CAD 3.80 CANOLA 9.05 CHF 1.85 COCOA 2.19 COFFEE 0.35 COPPER 5.15 CORN 4.41 COTTON2 1.80 CRUDE_W 3.91 DAX 12.45 DOW 9.58 DX 2.37 EUR 1.59 EURIBOR-ICE 9.93 EUROSTX 4.01 FEEDCOW 1.09 GASOIL 1.41 GASOLINE 1.06 GAS_US_mini 19.17 GBP 2.40 GOLD_micro 11.04 HEATOIL 0.96 JGB-SGX-mini 22.92 JPY 2.10 LEANHOG 5.07 LIVECOW 2.12 LUMBER-new 4.41 MILK 2.40 MXP 29.52 NASDAQ_micro 3.84 NIKKEI 23.55 NZD 2.61 OAT 2.35 OATIES 2.86 OJ 1.00 PALLAD 0.72 PLAT 1.99 REDWHEAT 1.08 RICE 3.38 ROBUSTA 1.39 RUSSELL 13.12 SHATZ 4.73 SILVER-mini 1.84 SMI 1.84 SOFR 12.38 SOYBEAN 0.74 SOYMEAL 0.71 SOYOIL 0.83 SP400 0.59 SP500_micro 6.78 SUGAR11 2.43 US10 1.07 US10U 0.79 US2 2.14 US20 0.54 US30 0.37 US5 1.67 VIX 20.09 WHEAT 1.28 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.1 0.6 4.0 4 BITCOIN 45.2 40.1 50.4 36.0 36 BOBL 0.2 0.0 0.3 0.0 0 BTP 1.1 0.9 1.3 2.0 2 BUND 0.1 -0.0 0.1 0.0 0 BUXL 0.0 -0.0 0.0 0.0 0 CAC 1.1 0.8 1.3 11.0 11 CAD -2.9 -3.3 -2.5 0.0 0 CANOLA -11.9 -12.8 -11.0 -6.0 -6 CHF -1.6 -1.7 -1.4 -4.0 -4 COCOA 3.2 3.0 3.4 4.0 4 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER -0.2 -0.7 0.4 0.0 0 CORN -7.0 -7.5 -6.6 -5.0 -5 COTTON2 -3.4 -3.5 -3.2 -5.0 -5 CRUDE_W 2.6 2.2 3.0 3.0 3 DAX 17.6 16.3 18.8 0.0 0 DOW -1.3 -2.3 -0.4 -4.0 -4 DX -1.1 -1.3 -0.8 NaN 0 EUR 0.3 0.1 0.4 1.0 1 EURIBOR-ICE 7.9 6.9 8.9 7.0 7 EUROSTX 4.3 3.9 4.7 3.0 3 FEEDCOW -1.3 -1.4 -1.2 -1.0 -1 GASOIL 0.7 0.5 0.8 0.0 0 GASOLINE 0.3 0.2 0.4 1.0 1 GAS_US_mini -26.7 -28.6 -24.8 -18.0 -18 GBP 1.4 1.1 1.6 0.0 0 GOLD_micro -2.7 -3.9 -1.6 -7.0 -7 HEATOIL -0.1 -0.2 0.0 0.0 0 JGB-SGX-mini 20.9 18.6 23.2 8.0 8 JPY -1.5 -1.7 -1.3 0.0 0 LEANHOG 0.4 -0.1 0.9 -1.0 -1 LIVECOW -2.7 -2.9 -2.5 -1.0 -1 LUMBER-new -3.7 -4.1 -3.2 NaN 0 MILK -4.8 -5.0 -4.6 NaN 0 MXP 25.9 22.9 28.8 38.0 38 NASDAQ_micro -0.3 -0.7 0.0 2.0 2 NIKKEI 19.6 17.2 21.9 32.0 32 NZD 1.3 1.0 1.5 1.0 1 OAT 1.5 1.2 1.7 1.0 1 OATIES -4.3 -4.6 -4.0 NaN 0 OJ 1.8 1.7 1.9 NaN 0 PALLAD -0.6 -0.7 -0.5 -2.0 -2 PLAT 0.6 0.4 0.8 1.0 1 REDWHEAT -2.2 -2.3 -2.0 -3.0 -3 RICE 1.6 1.3 1.9 NaN 0 ROBUSTA 1.4 1.3 1.5 2.0 2 RUSSELL -10.5 -11.8 -9.1 -1.0 -1 SHATZ -3.2 -3.7 -2.7 NaN 0 SILVER-mini 0.9 0.7 1.1 NaN 0 SMI 0.1 -0.1 0.3 -1.0 -1 SOFR -1.3 -2.5 -0.1 NaN 0 SOYBEAN 0.1 0.0 0.2 0.0 0 SOYMEAL -0.1 -0.2 -0.0 -1.0 -1 SOYOIL -0.3 -0.3 -0.2 -2.0 -2 SP400 -0.5 -0.5 -0.4 0.0 0 SP500_micro -1.9 -2.5 -1.2 -2.0 -2 SUGAR11 0.7 0.5 1.0 0.0 0 US10 -0.3 -0.4 -0.2 NaN 0 US10U -0.1 -0.1 0.0 -3.0 -3 US2 -1.1 -1.3 -0.9 NaN 0 US20 0.0 -0.0 0.1 0.0 0 US30 0.0 -0.0 0.0 3.0 3 US5 -0.9 -1.1 -0.8 -1.0 -1 VIX -39.8 -41.9 -37.8 -16.0 -16 WHEAT -2.6 -2.7 -2.4 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.8 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.7 1.3 1.2 2.3 2.3 2.3 2.3 1.3 1.3 1.0 3.1 1.3 0.0 1.3 1.0 3.1 1.3 4.2 1.3 6.2 2.8 3.8 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.6 0.5 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.2 0.1 0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 -0.6 -0.1 0.2 BITCOIN -0.0 0.6 0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.2 0.0 0.1 0.1 -0.0 -0.2 0.5 0.6 0.6 -0.2 0.7 -0.0 0.7 BOBL 0.4 0.4 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.2 -0.0 0.1 0.0 0.0 -0.0 0.1 -0.2 0.1 1.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.1 0.1 0.2 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.6 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 -1.1 0.0 0.0 0.0 0.0 -0.0 0.1 0.8 0.1 0.3 0.4 0.3 -0.5 -0.7 0.1 0.2 BUND 0.5 0.5 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 0.8 0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.1 0.1 0.1 0.2 -0.7 -0.7 -0.7 -0.2 BUXL 0.6 0.5 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.1 0.2 0.2 0.0 -0.6 -0.7 -0.5 0.4 CAC 0.6 0.1 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.5 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.2 0.1 0.2 -0.9 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.1 -0.4 -0.3 0.1 0.2 0.2 0.4 0.3 CAD 0.5 -0.0 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.2 -0.4 0.2 -0.5 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.3 0.1 0.4 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 0.2 -0.4 -0.6 -0.5 -0.6 -0.7 -0.2 -0.5 CANOLA 0.5 -0.3 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.4 -0.4 -0.4 -0.2 0.0 0.2 CHF 0.6 0.4 -0.5 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.2 0.2 0.2 0.2 0.0 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.0 0.2 -1.1 0.0 0.1 -0.0 0.1 -0.0 0.1 -1.1 0.1 -0.0 0.4 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.5 0.6 0.3 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.2 -0.0 0.0 -0.0 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.0 0.5 0.6 0.6 0.6 0.4 -0.1 0.7 0.4 COFFEE 0.1 0.6 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.1 0.1 -0.4 0.2 0.1 0.3 0.1 0.1 0.1 0.1 0.0 0.2 -0.1 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.4 0.5 0.6 0.6 0.5 -0.7 -0.7 -0.7 -0.4 COPPER 0.6 0.4 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.3 0.2 -0.2 0.2 0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.0 0.2 -0.2 0.2 -0.9 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.2 0.5 0.1 -0.0 -0.1 -0.6 0.2 -0.5 CORN -0.0 0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.5 -0.1 -0.7 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -2.7 -0.0 0.1 -0.1 -0.0 -0.3 -0.0 -0.1 -0.0 -0.3 -0.1 0.0 -0.3 -0.2 0.1 0.1 COTTON2 -0.1 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.2 -0.0 -0.4 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.6 -0.6 -0.2 -0.6 -0.4 -0.0 0.1 CRUDE_W -0.4 -0.3 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.3 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.0 0.3 -0.1 -0.7 -0.0 0.0 0.1 0.0 0.3 -0.0 -1.1 0.3 0.2 0.3 0.2 0.7 0.4 0.7 0.4 DAX 0.6 0.3 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.4 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 -0.0 0.2 0.0 0.2 2.5 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.3 0.5 0.6 0.2 0.1 0.2 0.1 0.4 0.4 DOW 0.6 0.5 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.2 0.3 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.0 0.2 0.0 0.2 -1.4 0.0 0.0 0.0 0.1 0.0 0.1 -0.4 0.2 0.3 0.3 0.1 -0.6 -0.2 -0.7 -0.2 DX -0.6 -0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.2 -0.1 -0.1 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.1 0.0 -0.1 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.8 -0.5 -0.6 -0.6 0.6 0.3 0.2 0.5 0.6 EUR 0.6 0.6 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 0.1 0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 1.4 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.4 -0.1 0.1 0.3 -0.2 -0.5 -0.5 -0.4 -0.2 EURIBOR-ICE 0.3 0.6 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 0.1 0.0 0.3 0.5 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.3 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.2 0.5 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.0 0.2 0.2 0.2 0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.1 -0.0 0.2 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.3 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.2 -0.1 -0.1 0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.0 -0.6 -0.6 -0.3 0.5 0.0 0.7 0.3 GASOIL -0.4 -0.6 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.0 0.3 -0.1 -0.1 0.2 0.4 0.4 0.4 -0.0 0.1 -0.0 0.3 -0.1 1.1 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 0.1 0.0 0.3 -0.2 -0.0 -0.4 -0.2 GASOLINE -0.0 -0.4 -0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.1 0.2 -0.1 -0.1 -0.1 0.4 0.2 0.4 -0.1 -0.0 0.0 0.2 -0.0 -2.7 -0.0 0.1 0.0 0.0 0.2 -0.0 0.5 0.4 0.5 0.3 -0.4 0.7 0.4 0.7 0.3 GAS_US_mini -0.6 -0.3 0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -1.1 -0.5 -0.6 -0.0 -0.5 -0.5 0.2 -0.7 0.1 GBP 0.6 0.4 -0.4 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.1 0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.2 0.2 0.2 -0.2 -0.3 0.1 -0.2 0.7 GOLD_micro 0.3 0.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 0.2 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.0 0.2 -1.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.9 0.4 0.1 0.6 0.2 -0.4 -0.7 -0.4 -0.7 HEATOIL -0.3 -0.6 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.0 0.2 -0.0 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 0.1 -0.0 0.3 -0.1 -2.5 -0.0 0.0 0.1 0.0 0.2 -0.0 0.2 0.2 0.1 0.1 0.0 0.4 -0.0 0.2 -0.2 JGB-SGX-mini 0.6 0.3 -0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 0.1 0.1 0.0 0.3 0.4 0.3 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.2 0.3 -0.0 0.0 0.1 -0.7 0.5 0.6 JPY 0.5 0.5 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.3 0.1 -0.4 0.0 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 2.7 -0.0 0.0 -0.2 0.0 -0.3 0.0 -1.1 0.1 -0.5 -0.5 -0.5 -0.2 -0.7 0.0 -0.7 LEANHOG -0.2 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.4 0.3 0.1 0.4 -0.1 -0.1 -0.1 -0.3 -0.1 1.6 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.2 -0.3 -0.2 -0.1 -0.4 -0.2 0.2 0.5 LIVECOW -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.4 0.0 -0.6 -0.6 -0.3 -0.0 -0.5 0.1 -0.2 LUMBER-new 0.6 0.5 -0.1 -0.0 0.0 -0.2 0.0 -0.3 0.0 -0.2 -0.4 0.1 -0.7 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.1 0.0 -0.4 0.2 NaN 0.1 -0.1 -0.0 -0.0 -0.1 0.1 -1.2 -0.4 0.7 0.7 0.4 -0.6 -0.8 -0.3 -0.7 MILK -0.5 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.3 -0.2 -0.5 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 0.9 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.2 -0.7 -0.7 -0.7 -0.7 MXP 0.6 0.3 -0.6 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.3 0.1 0.5 0.2 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.4 0.2 -2.7 0.0 -0.0 0.1 0.0 0.2 0.1 1.1 -0.4 -0.1 0.1 0.1 0.3 0.4 0.6 0.7 NASDAQ_micro 0.6 0.2 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.1 0.3 0.2 -2.7 0.0 -0.0 0.1 0.0 0.1 0.1 -0.3 -0.2 0.3 0.3 0.3 0.2 -0.3 0.2 -0.4 NIKKEI 0.6 0.3 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.4 0.1 0.6 0.2 0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.1 0.5 0.2 -1.5 0.0 0.0 0.1 0.0 0.2 0.1 1.1 -0.3 -0.3 0.1 0.6 -0.3 0.0 -0.2 0.2 NZD 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.3 0.2 -0.0 0.0 -0.1 -0.5 0.1 0.2 OAT 0.6 0.5 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.1 -0.2 0.1 1.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.7 0.1 0.1 0.2 0.2 -0.7 -0.7 -0.3 0.3 OATIES 0.2 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.0 -0.6 -0.6 -0.4 0.2 0.4 0.7 0.7 OJ 0.5 -0.6 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.3 0.3 0.7 0.7 PALLAD 0.0 -0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.3 -0.0 -0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 0.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.4 -0.6 -0.6 -0.5 -0.1 -0.3 0.3 -0.1 PLAT 0.3 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 1.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.0 -0.2 -0.1 0.1 -0.1 -0.4 0.4 -0.3 REDWHEAT 0.1 -0.2 -0.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.5 -0.0 -0.7 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.0 -0.5 -0.2 -2.2 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.2 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.6 0.3 0.2 -0.0 0.0 -0.1 0.0 -0.3 0.0 -0.0 0.4 0.2 0.4 0.2 0.2 -0.3 0.1 -0.3 -0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.2 0.0 0.6 0.6 0.6 -0.0 -0.6 0.5 -0.2 ROBUSTA 0.5 0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.4 0.2 -2.5 0.0 0.1 0.1 0.1 0.2 0.1 1.1 0.3 0.6 0.6 0.4 -0.3 -0.4 0.3 0.0 RUSSELL 0.6 0.2 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.2 -0.2 -0.3 -0.3 -0.5 -0.5 -0.7 -0.7 SHATZ 0.2 0.4 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 0.0 -0.0 0.1 -0.3 0.0 1.3 0.0 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.1 -0.3 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.6 0.5 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 1.1 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 0.5 0.3 0.2 -0.6 -0.7 -0.1 -0.7 SMI 0.6 -0.2 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.2 0.2 -0.0 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 1.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.8 0.1 -0.6 -0.6 0.0 -0.2 -0.3 -0.0 -0.2 SOFR 0.6 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.1 0.2 0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 0.2 -0.0 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 -0.0 0.1 0.0 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 1.1 0.3 0.6 0.6 0.5 -0.7 -0.5 -0.7 -0.3 SOYMEAL -0.1 0.6 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 0.1 0.1 0.4 0.4 0.4 0.3 0.1 0.1 -0.1 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.3 0.2 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.1 0.2 0.1 0.2 -0.1 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 0.0 1.0 0.5 0.4 -0.3 -0.3 -0.3 0.1 0.3 0.5 SP400 0.6 0.1 -0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 -1.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.1 -0.2 -0.2 -0.4 -0.4 -0.5 -0.7 SP500_micro 0.6 0.3 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.2 0.3 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.2 0.2 -2.5 0.0 0.0 0.0 0.0 0.1 0.1 -0.4 -0.1 0.3 0.2 0.1 0.0 -0.3 0.1 -0.4 SUGAR11 -0.4 -0.2 0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.5 -0.2 0.7 0.0 0.2 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.1 0.3 -0.1 0.6 -0.0 1.1 -0.3 -0.5 0.3 0.6 -0.4 -0.5 0.4 0.2 US10 0.6 0.5 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.1 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.6 0.1 0.1 -0.0 -0.0 -0.7 -0.7 -0.2 0.1 US10U 0.6 0.5 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.3 0.1 -0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.7 -0.7 0.1 0.5 US2 0.4 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.3 0.1 1.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.0 0.0 0.1 -0.5 -0.7 -0.2 -0.7 US20 0.6 0.5 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.4 -0.7 0.4 0.7 US30 0.6 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.1 0.1 -0.1 -0.1 -0.2 -0.7 0.7 0.7 US5 0.6 0.6 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.1 -0.2 0.1 0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.9 0.1 0.1 0.0 0.0 -0.7 -0.7 -0.5 -0.5 VIX -1.0 -0.4 0.6 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.6 -0.2 -0.9 -0.3 -0.2 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.0 -0.2 -0.1 -0.4 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 0.1 -0.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.5 -0.1 -0.7 -0.1 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 -0.6 -0.1 0.1 -0.2 0.0 -0.3 -0.0 -1.0 0.4 -0.5 -0.3 -0.6 -0.7 -0.7 -0.7 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 17.6 13.9 -0.3 2.3 4.7 0.6 5.8 0.6 5.1 9.8 -7.7 13.1 -9.6 12.6 3.4 -2.7 -3.0 -3.0 -3.0 5.8 -3.0 15.5 -7.7 13.8 3.3 2.6 4.7 -0.9 6.5 -2.5 5.8 -1.1 -0.2 -1.8 1.0 -1.1 -10.1 -17.2 -2.6 5.9 BITCOIN -0.2 20.0 11.0 3.2 3.9 -0.1 7.3 -0.3 7.0 11.4 20.0 19.1 16.7 20.0 20.0 -10.1 -5.7 -8.5 -7.3 20.0 20.0 13.5 12.6 20.0 -20.0 7.9 1.1 5.6 3.0 2.9 6.5 -0.9 -7.4 14.3 20.0 20.0 -4.6 20.0 -0.6 20.0 BOBL 10.8 13.5 7.3 0.4 2.0 -1.5 2.4 -2.6 2.1 6.1 -3.1 6.2 -7.0 7.2 4.0 11.4 -1.6 6.4 0.4 3.5 -1.1 9.6 -6.6 7.0 8.5 1.6 5.6 -0.3 4.6 -2.2 3.3 -0.0 5.0 -2.5 3.1 6.4 -17.3 -20.0 -12.1 -18.2 BTP 20.0 18.2 -4.4 0.7 3.1 -2.4 3.7 -4.0 3.3 6.6 0.2 11.7 1.2 12.8 6.6 7.2 7.6 7.1 6.9 9.5 0.9 14.9 -4.0 16.5 -7.9 2.8 3.1 0.4 4.5 -0.7 4.9 14.7 3.9 9.4 11.2 7.8 -13.5 -20.0 1.7 6.4 BUND 16.6 14.2 2.3 0.5 2.1 -1.7 2.6 -2.8 2.3 6.2 -3.3 7.8 -7.7 8.5 3.3 -3.9 3.9 -2.1 0.4 4.1 -1.9 10.3 -7.9 8.7 5.9 1.7 4.3 -0.5 4.3 -2.1 3.6 6.1 5.2 1.6 4.5 5.5 -20.0 -20.0 -20.0 -5.1 BUXL 20.0 14.7 -2.4 0.5 2.4 -1.9 2.9 -3.2 2.6 7.2 -5.0 9.8 -9.4 9.9 0.9 0.1 0.7 0.4 0.7 3.4 -5.3 11.2 -12.6 10.4 1.4 1.3 3.3 -1.4 3.9 -3.0 3.7 3.6 5.9 6.8 5.0 1.4 -19.1 -20.0 -13.6 13.2 CAC 20.0 4.1 -15.7 2.6 3.5 -0.6 5.9 -0.4 6.5 17.4 -3.0 20.0 14.9 20.0 2.4 -7.0 -3.3 -6.3 -5.3 6.8 -2.6 20.0 4.6 20.0 -6.8 2.6 5.8 -0.8 7.4 0.9 7.4 2.9 3.5 -11.7 -8.1 4.2 6.6 5.0 13.5 10.3 CAD 14.2 -0.5 -7.8 3.7 2.4 1.1 6.9 0.9 7.3 18.6 -13.5 19.6 -15.0 10.9 -7.0 -2.5 -2.3 -2.5 -2.4 -3.3 -10.1 17.9 -11.1 9.6 2.9 -1.7 8.6 -5.1 9.2 -5.1 5.0 0.0 8.4 -11.7 -20.0 -16.0 -17.1 -20.0 -6.8 -16.4 CANOLA 15.4 -8.0 -19.2 -0.7 0.7 -2.3 0.9 -3.2 0.9 -5.1 -2.8 0.0 -3.8 -0.6 -7.3 -8.4 2.1 -9.8 -5.0 -7.1 -7.9 -1.8 -6.4 -2.9 -20.0 -2.9 -0.9 -3.2 -0.9 -2.9 -1.6 -0.0 -4.7 -0.6 -11.3 -13.6 -13.0 -7.4 1.1 4.8 CHF 20.0 12.5 -15.3 3.3 6.6 0.9 8.2 0.8 7.2 18.1 -6.6 20.0 5.6 19.2 0.6 -15.9 -15.0 -16.4 -15.8 7.0 -2.0 20.0 -0.3 20.0 -8.6 2.2 9.3 -0.9 9.1 -0.4 7.1 -20.0 5.1 -0.1 11.9 -12.6 -20.0 -20.0 -20.0 -20.0 COCOA 14.8 20.0 8.8 -1.6 1.8 -5.6 2.1 -7.6 2.1 20.0 20.0 20.0 20.0 20.0 20.0 9.4 -1.4 1.4 -0.7 20.0 20.0 20.0 20.0 20.0 -20.0 9.1 7.2 8.3 9.1 8.2 10.0 -0.2 20.0 20.0 20.0 20.0 12.6 -2.5 20.0 12.5 COFFEE 3.4 20.0 15.8 -1.2 1.3 -4.1 1.5 -5.7 1.5 14.7 -5.2 12.4 -10.5 14.7 13.5 14.1 3.3 6.7 4.1 11.3 3.3 17.8 -4.1 14.3 -20.0 5.2 11.3 2.3 7.5 0.0 6.5 7.7 20.0 20.0 20.0 16.3 -20.0 -20.0 -20.0 -12.4 COPPER 19.5 12.9 -4.1 2.7 3.3 -0.1 6.1 -0.3 5.9 17.8 -11.2 19.4 -5.8 17.9 2.6 -7.5 -4.6 -7.6 -6.3 7.8 -4.2 20.0 -8.8 19.6 -6.9 3.7 4.9 -0.8 7.9 -2.5 8.1 0.9 9.0 14.7 2.3 -0.1 -3.3 -17.1 4.9 -15.2 CORN -0.4 4.7 -11.8 -1.4 1.6 -5.0 1.9 -6.8 1.9 1.6 -20.0 -9.1 -20.0 -12.4 -13.8 -7.5 0.0 -6.6 -4.7 -8.2 -17.0 -5.3 -20.0 -6.0 -20.0 -2.5 5.6 -5.3 -0.4 -9.2 -2.0 -2.3 -0.1 -7.9 -2.6 0.1 -7.9 -5.2 3.1 3.5 COTTON2 -2.8 -20.0 -7.8 -1.2 1.3 -4.1 1.5 -5.7 1.5 -6.5 -5.8 -2.0 -9.9 -11.9 -12.3 -7.5 1.0 -6.1 -3.0 -18.1 -10.7 -8.4 -5.8 -15.9 -20.0 -5.4 -0.6 -2.8 -2.8 -0.5 -5.2 0.0 -6.1 -20.0 -20.0 -6.3 -16.7 -12.8 -0.9 3.9 CRUDE_W -10.9 -10.1 7.2 -2.7 1.5 1.1 -1.2 3.2 -3.7 11.7 9.5 -1.3 7.9 -7.4 -1.2 7.2 10.8 10.5 11.0 -1.1 8.2 -1.2 11.4 -5.7 -5.0 -0.3 4.3 4.7 1.2 7.2 -2.0 -20.0 11.0 7.0 9.1 7.5 20.0 11.2 20.0 11.6 DAX 20.0 10.7 -14.8 2.4 3.3 -0.6 5.5 -0.4 6.0 18.8 -4.0 20.0 12.0 19.9 7.0 -10.2 -8.4 -10.0 -9.4 14.4 -1.3 20.0 0.9 20.0 18.5 3.5 7.4 -0.4 8.7 -0.3 8.2 -5.1 18.8 17.4 7.1 3.7 5.6 3.8 13.5 12.9 DOW 20.0 14.1 -9.2 1.9 2.6 -0.5 4.3 -0.3 4.7 15.2 2.7 17.0 8.9 16.5 7.5 -10.2 -9.1 -10.5 -10.3 14.8 3.3 20.0 1.4 20.0 -10.5 3.0 5.3 0.6 6.9 0.8 6.6 -6.6 7.7 8.9 7.8 2.1 -17.1 -5.8 -20.0 -7.3 DX -20.0 -20.0 9.6 2.3 1.5 0.7 4.3 0.6 4.6 -1.3 6.9 -11.0 -3.0 -11.6 -0.7 7.2 6.1 7.2 6.7 -6.0 2.5 -13.1 4.9 -14.2 -20.0 -2.1 -1.3 1.0 -4.4 2.0 -4.9 15.0 -20.0 -20.0 -20.0 18.1 10.3 6.4 14.0 17.7 EUR 20.0 18.3 -8.1 2.5 1.7 0.7 4.7 0.6 5.0 -5.5 -5.0 10.7 4.2 12.7 4.0 -5.7 -6.7 -6.2 -6.4 7.7 -0.3 9.5 -2.7 13.9 10.5 2.8 -0.8 -0.1 3.4 -0.9 5.0 -7.2 -6.2 4.3 8.5 -4.8 -14.9 -14.9 -13.4 -5.5 EURIBOR-ICE 8.5 20.0 16.4 0.4 1.9 -1.5 2.2 -2.5 2.0 6.3 1.8 6.7 -4.7 7.6 7.3 -3.9 -6.9 -5.1 -6.4 8.7 3.8 11.1 -3.4 10.4 16.6 2.5 3.7 1.2 3.2 -0.7 3.0 -9.6 6.1 1.2 10.3 13.9 -20.0 -20.0 3.8 20.0 EUROSTX 20.0 10.5 -10.9 2.5 3.3 -0.6 5.6 -0.4 6.2 18.1 -1.1 20.0 14.4 20.0 7.4 -6.2 -3.0 -5.8 -5.0 14.2 2.5 20.0 6.2 20.0 4.2 4.4 4.6 0.8 7.0 1.1 8.0 3.4 3.1 -0.6 6.1 10.1 2.8 6.2 7.7 14.9 FEEDCOW -8.9 -20.0 -20.0 -0.7 0.8 -2.4 0.9 -3.2 0.9 -1.6 -4.4 -6.1 3.1 -8.4 -9.0 -11.9 -20.0 -12.6 -19.5 -16.7 -7.8 -12.9 1.6 -17.8 -1.4 -3.0 -0.0 -1.0 -1.2 1.3 -2.8 -20.0 -1.6 -20.0 -20.0 -10.2 13.9 0.4 20.0 8.6 GASOIL -10.9 -17.4 4.9 -2.5 0.0 0.9 -1.2 2.8 -3.2 0.8 8.7 -2.7 7.6 -10.0 -6.7 11.9 20.0 20.0 20.0 -4.4 6.7 -2.4 12.9 -7.4 8.6 -1.3 -1.0 3.3 -0.8 5.4 -2.6 0.0 2.2 2.4 1.4 7.8 -7.4 -0.9 -12.6 -6.3 GASOLINE -1.5 -12.8 -13.7 -2.6 1.5 1.1 -1.1 3.0 -3.6 13.6 4.2 6.5 5.4 -5.6 -10.5 -3.4 20.0 12.3 20.0 -6.6 -0.2 3.2 7.8 -4.3 -20.0 -2.7 6.3 0.3 4.0 4.9 -0.6 9.3 18.0 14.8 8.0 -13.8 20.0 11.1 20.0 7.7 GAS_US_mini -20.0 -9.5 11.8 -2.5 0.0 0.9 -1.2 2.9 -3.3 -14.2 -14.5 -16.4 -17.4 -16.5 -15.7 -20.0 -20.0 -20.0 -20.0 -19.9 -15.7 -20.0 -20.0 -20.0 20.0 -4.9 -4.2 -2.4 -7.3 -1.8 -7.5 -20.0 -20.0 -20.0 -0.6 -16.2 -14.0 6.5 -20.0 2.4 GBP 20.0 12.7 -12.7 2.5 1.6 0.7 4.7 0.6 4.9 7.5 -5.2 13.0 6.2 13.0 1.9 -0.7 -0.8 -0.6 -0.6 6.5 -0.3 15.7 -0.8 15.3 0.8 2.4 2.6 -0.3 5.6 -0.8 5.6 2.9 6.6 6.4 6.1 -5.9 -9.9 3.3 -5.9 20.0 GOLD_micro 8.3 20.0 -0.3 2.4 3.0 -0.1 5.6 -0.2 5.4 13.7 -0.3 16.5 4.4 17.1 14.5 -15.2 -14.9 -16.2 -16.1 15.1 5.1 20.0 1.2 20.0 -7.3 4.1 5.0 1.5 7.2 0.7 6.5 -16.5 15.3 2.0 20.0 7.2 -12.8 -20.0 -12.2 -20.0 HEATOIL -8.4 -18.5 0.8 -2.5 0.0 0.9 -1.2 2.8 -3.2 -2.8 7.3 -3.3 6.1 -8.3 -7.0 18.0 20.0 20.0 20.0 -4.7 4.7 -2.7 10.2 -7.0 -19.0 -1.6 0.1 2.7 0.3 5.9 -2.1 3.2 9.2 2.6 3.2 1.0 10.9 -1.5 6.0 -7.0 JGB-SGX-mini 20.0 10.0 -11.8 0.4 1.8 -1.4 2.2 -2.4 2.0 3.6 -2.4 6.1 1.6 5.9 2.4 16.5 19.4 16.7 16.8 2.6 -1.2 9.3 -1.0 7.8 -2.0 0.5 3.0 -0.9 3.3 -1.0 2.6 20.0 7.7 10.5 -1.0 1.1 4.1 -20.0 15.8 17.7 JPY 14.5 16.8 -4.5 2.1 1.4 0.6 3.9 0.5 4.1 3.6 -12.0 7.9 -12.3 3.8 -8.4 -17.3 -16.1 -18.2 -17.6 -5.8 -14.1 6.8 -19.0 2.4 20.0 -3.0 2.4 -6.3 3.2 -7.8 0.9 -20.0 4.8 -14.6 -15.6 -16.0 -5.0 -20.0 1.4 -20.0 LEANHOG -6.5 -4.2 2.2 -0.8 0.9 -2.8 1.0 -3.8 1.0 -0.9 -1.0 -5.1 -6.3 -5.3 -6.5 -19.6 16.0 2.8 17.8 -7.7 -7.2 -10.1 -9.3 -10.4 12.2 -2.6 2.8 -4.1 -2.0 -6.8 -2.8 20.0 -8.5 -10.6 -7.0 -4.4 -11.3 -5.1 7.2 14.3 LIVECOW -17.5 -20.0 -20.0 -0.7 0.9 -2.7 1.0 -3.7 1.0 -1.8 -2.0 -7.9 5.2 -9.7 -9.6 -6.5 -5.0 -11.8 -8.4 -15.5 -6.0 -12.4 3.0 -17.6 0.0 -3.3 0.2 -0.8 -1.1 2.0 -3.1 -7.9 1.8 -20.0 -20.0 -9.0 -1.4 -14.0 3.5 -6.2 LUMBER-new 15.7 14.4 -1.7 -1.7 1.9 -5.7 2.2 -6.7 2.2 -20.0 -12.9 5.5 -20.0 19.7 9.6 -13.0 -14.6 -14.9 -14.9 10.6 -4.6 1.8 -13.2 15.9 NaN 4.0 -9.2 -0.7 -2.6 -3.0 4.5 -20.0 -14.5 19.6 17.8 9.4 -15.3 -20.0 -8.9 -17.3 MILK -14.4 -7.3 -8.3 -1.1 1.2 -3.7 1.4 -5.1 1.4 -15.0 -11.7 -16.6 -13.8 -16.6 -14.5 -20.0 -20.0 -20.0 -20.0 -20.0 -19.3 -20.0 -20.0 -20.0 6.5 -5.6 -5.8 -5.3 -8.2 -6.9 -7.7 -20.0 -20.0 -20.0 -18.4 -6.1 -20.0 -20.0 -20.0 -20.0 MXP 19.2 8.5 -17.1 2.9 1.9 0.8 5.4 0.7 5.7 -10.7 9.8 10.9 14.0 14.0 7.8 13.3 16.1 13.8 14.8 10.9 8.2 6.6 14.9 15.0 -20.0 3.5 -3.2 2.7 1.9 5.1 4.7 20.0 -15.6 -4.5 2.4 4.4 9.0 13.4 17.9 20.0 NASDAQ_micro 20.0 7.5 -4.6 1.6 2.1 -0.4 3.5 -0.3 3.9 -4.6 9.1 11.1 10.1 12.7 8.7 -9.9 -8.9 -9.9 -9.7 14.0 10.3 11.7 11.9 19.1 -20.0 3.2 -0.2 2.5 3.2 3.7 4.8 -5.8 -7.4 8.1 8.2 9.2 6.9 -9.9 7.1 -12.5 NIKKEI 20.0 8.1 -6.8 2.1 2.8 -0.5 4.8 -0.4 5.3 -3.2 15.3 11.9 15.3 15.8 13.5 7.3 9.8 6.7 8.2 15.3 13.4 9.3 17.2 17.7 -11.5 4.4 0.2 4.3 2.8 6.3 5.3 20.0 -12.8 -10.3 3.8 17.2 -7.6 1.1 -4.7 7.4 NZD 20.0 10.6 0.8 2.1 1.4 0.6 4.0 0.5 4.2 11.2 -5.9 12.3 -1.9 11.2 4.1 0.1 0.2 0.0 0.1 5.9 -1.3 16.2 -5.0 13.3 1.0 2.6 5.2 -0.1 6.2 -1.4 5.3 4.3 10.4 4.6 -0.8 0.9 -2.7 -13.8 1.7 7.3 OAT 19.5 15.6 1.4 0.5 2.3 -1.8 2.8 -3.0 2.5 6.1 -2.5 8.6 -7.7 9.2 4.0 5.1 7.4 5.6 6.2 5.3 -1.4 11.1 -7.4 10.4 8.3 2.0 3.7 -0.2 4.1 -1.9 3.8 14.0 4.4 4.2 6.1 6.6 -20.0 -20.0 -8.1 9.3 OATIES 4.9 -20.0 -20.0 -0.6 0.7 -2.1 0.8 -2.9 0.8 -2.7 -4.0 -2.3 -3.4 -6.4 -8.3 -14.5 -9.9 -17.1 -15.7 -12.9 -8.2 -3.9 -1.9 -9.1 -20.0 -2.9 -0.1 -1.7 -1.0 -0.5 -2.2 -20.0 1.3 -19.8 -20.0 -11.2 5.9 11.0 20.0 20.0 OJ 15.0 -19.0 14.4 -1.3 1.4 -4.5 1.7 -6.2 1.7 -11.6 19.4 12.9 20.0 14.4 17.7 20.0 20.0 20.0 20.0 20.0 20.0 16.8 20.0 20.0 -20.0 7.5 -0.0 8.8 3.8 9.7 6.1 20.0 20.0 20.0 20.0 20.0 7.5 9.7 20.0 20.0 PALLAD 0.9 -5.2 -1.2 1.4 1.7 -0.1 3.1 -0.1 3.0 -8.4 -10.0 -0.6 -11.1 -3.5 -6.9 -2.2 -2.6 -2.4 -2.6 -12.0 -15.5 -6.2 -20.0 -8.0 5.2 -3.6 -2.9 -3.4 -2.5 -3.2 -3.1 5.6 -15.5 -20.0 -20.0 -14.0 -2.6 -7.9 8.7 -2.1 PLAT 7.9 10.4 -2.6 1.5 1.9 -0.1 3.5 -0.1 3.4 5.4 -8.2 9.4 -5.4 8.1 -0.8 -3.2 -2.8 -3.5 -3.3 1.0 -3.7 7.6 -4.8 6.1 12.2 0.8 1.4 -0.6 3.3 -0.9 2.7 4.9 1.1 -7.3 -3.2 4.1 -3.6 -13.4 10.5 -8.6 REDWHEAT 2.2 -6.1 -20.0 -1.2 1.4 -4.4 1.6 -6.0 1.6 14.3 -19.5 -2.3 -19.5 -12.1 -18.1 -5.4 -1.2 -5.4 -3.6 -20.0 -20.0 -3.0 -20.0 -16.8 -16.4 -6.9 6.4 -7.0 0.5 -5.2 -4.3 -2.0 8.0 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -14.1 RICE 20.0 10.1 6.2 -1.4 1.6 -5.1 1.9 -7.0 1.9 -2.3 15.9 18.5 10.4 19.0 15.1 -15.3 3.5 -14.7 -4.7 20.0 14.9 20.0 9.2 20.0 -20.0 5.9 -0.6 3.4 4.0 1.9 7.3 3.6 1.0 20.0 20.0 20.0 -0.8 -16.8 15.8 -5.3 ROBUSTA 16.9 7.4 -9.0 -0.9 1.1 -3.4 1.3 -4.6 1.3 11.8 11.5 13.3 12.3 12.8 10.3 20.0 20.0 20.0 20.0 11.7 10.2 16.1 13.2 15.3 -18.8 4.3 6.3 3.7 5.5 4.6 5.4 20.0 12.3 20.0 19.8 13.0 -7.9 -12.9 7.8 0.8 RUSSELL 20.0 5.3 -14.7 1.2 1.6 -0.3 2.8 -0.2 3.1 8.0 -5.4 10.1 -5.4 9.2 -3.0 -5.8 -6.3 -6.7 -6.8 -0.3 -5.1 7.1 -5.1 6.8 -1.6 -0.1 1.0 -1.5 2.3 -1.0 2.3 -1.1 -6.7 -4.7 -8.0 -7.9 -15.4 -13.5 -20.0 -20.0 SHATZ 5.1 11.1 7.5 0.4 1.9 -1.5 2.3 -2.6 2.1 6.8 -6.3 5.0 -8.1 4.2 -0.6 -20.0 -16.7 -20.0 -20.0 0.4 -4.1 8.7 -10.5 4.0 9.9 0.4 8.2 -1.6 5.2 -4.1 2.3 -20.0 5.4 -9.3 -2.0 4.2 -11.4 -20.0 -5.1 -20.0 SILVER-mini 20.0 14.2 -5.6 2.4 3.0 -0.1 5.5 -0.2 5.3 16.9 -2.7 18.6 3.1 17.9 7.4 -7.2 -6.6 -7.3 -7.1 12.1 1.1 20.0 -1.2 20.0 8.0 4.0 8.2 1.3 10.0 0.7 8.1 -1.6 7.1 15.3 9.7 6.7 -18.2 -20.0 -2.0 -20.0 SMI 20.0 -5.5 -12.6 2.2 2.9 -0.5 5.0 -0.4 5.4 11.5 -8.7 14.6 -0.2 5.1 -3.6 5.3 2.5 4.1 2.7 -3.2 -10.2 12.3 -7.6 9.1 7.4 -0.7 3.7 -3.1 4.8 -3.0 3.7 14.3 3.9 -18.5 -20.0 0.2 -6.7 -8.7 -1.5 -5.3 SOFR 20.0 16.3 -1.4 0.4 1.8 -1.4 2.1 -2.3 1.9 3.8 -3.8 6.6 -4.3 7.1 2.1 0.7 -0.6 0.0 -0.4 3.0 -2.4 8.3 -4.8 7.9 -1.4 1.1 1.9 -0.9 3.4 -1.6 3.2 1.3 6.0 4.6 1.1 1.9 -20.0 -20.0 -6.0 -8.8 SOYBEAN 3.3 6.3 0.5 -1.2 1.4 -4.4 1.6 -6.0 1.6 -4.4 8.9 -3.7 6.2 8.4 -1.8 18.4 18.1 16.4 15.8 5.4 4.1 -0.5 2.2 4.0 -20.0 5.4 3.6 3.2 5.8 1.8 6.9 20.0 14.3 17.2 17.3 14.7 -20.0 -14.9 -20.0 -9.1 SOYMEAL -1.6 20.0 4.8 -0.8 0.9 -2.7 1.0 -3.7 1.0 -10.6 4.2 -6.1 3.9 5.9 6.8 20.0 18.2 17.7 17.2 8.8 6.4 -6.1 4.1 3.6 -20.0 3.2 -2.1 2.6 -0.8 2.2 1.9 20.0 -14.2 6.6 20.0 16.2 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 -13.8 -20.0 -0.7 0.8 -2.5 0.9 -3.5 0.9 3.3 -2.2 5.7 -3.4 -1.6 -8.1 3.8 10.2 7.3 8.9 -7.8 -8.0 4.5 -4.3 -0.5 -20.0 -1.3 2.8 -2.0 4.0 -1.2 1.9 18.1 20.0 11.9 -9.5 -10.1 -7.6 2.0 7.8 15.1 SP400 20.0 4.2 -17.4 1.4 1.9 -0.3 3.2 -0.2 3.5 8.6 -4.3 11.3 -1.3 10.8 -1.5 -5.6 -5.2 -5.5 -5.4 1.5 -4.3 9.9 -3.6 10.1 -8.8 0.5 1.5 -1.1 3.1 -0.6 3.2 1.1 -5.5 -3.3 -5.7 -5.6 -10.8 -11.9 -16.1 -20.0 SP500_micro 20.0 9.2 -10.4 1.9 2.5 -0.5 4.3 -0.3 4.7 8.5 4.6 15.8 8.7 15.9 8.6 -10.6 -10.0 -10.9 -10.9 13.8 5.5 17.9 6.0 20.0 -19.0 3.0 1.0 1.3 4.4 2.1 5.7 -7.8 -6.1 9.0 7.1 3.1 0.9 -9.3 3.0 -13.2 SUGAR11 -11.3 -5.7 2.5 -1.3 1.5 -4.6 1.7 -6.3 1.7 -17.6 18.0 -15.7 19.3 1.0 15.1 20.0 20.0 20.0 20.0 7.2 17.4 -13.7 20.0 -3.8 -20.0 3.9 -15.0 9.8 -7.7 17.2 -1.7 20.0 -10.8 -14.1 8.0 20.0 -11.4 -16.5 11.2 4.5 US10 20.0 16.6 1.1 0.4 1.7 -1.3 2.0 -2.2 1.8 3.1 -5.1 6.1 -6.1 6.4 -0.2 -6.8 -7.0 -6.8 -7.3 0.9 -4.9 6.5 -8.0 5.9 1.1 0.4 1.6 -1.7 3.0 -2.6 2.6 -10.5 4.3 3.6 -1.0 -1.1 -20.0 -20.0 -4.5 2.4 US10U 20.0 15.1 -2.3 0.5 2.2 -1.7 2.6 -2.8 2.3 3.2 -6.5 7.7 -7.9 8.2 -1.0 1.9 -0.3 0.7 -0.0 0.5 -6.9 8.1 -10.6 7.3 -1.9 0.2 1.8 -2.5 3.6 -3.4 3.1 1.8 5.4 4.3 -2.1 -3.1 -20.0 -20.0 3.3 14.8 US2 13.3 20.0 18.1 0.4 1.7 -1.4 2.1 -2.3 1.9 4.3 -6.7 5.5 -7.4 5.6 0.1 -20.0 -20.0 -20.0 -20.0 0.7 -5.2 7.4 -10.7 5.1 7.7 1.2 3.6 -1.5 4.5 -3.9 3.5 -20.0 6.1 0.5 0.4 4.1 -15.3 -20.0 -7.0 -20.0 US20 20.0 14.3 -5.0 0.4 1.6 -1.3 1.9 -2.1 1.7 2.0 -4.6 5.7 -5.6 6.1 -0.9 -0.7 -1.5 -1.0 -1.4 0.1 -5.9 5.6 -8.5 5.6 -1.7 -0.0 1.0 -2.0 2.3 -2.6 2.1 -0.4 4.1 4.2 -1.4 -4.4 -11.5 -20.0 12.8 20.0 US30 20.0 13.3 -3.2 0.4 1.7 -1.3 2.1 -2.3 1.9 2.3 -5.1 6.2 -6.2 6.4 -1.2 -4.2 -4.1 -4.8 -4.8 -0.1 -6.1 6.3 -9.0 5.7 -1.3 -0.1 1.3 -2.2 2.7 -2.8 2.3 -5.4 5.0 3.5 -2.4 -3.7 -6.4 -20.0 19.8 20.0 US5 18.4 17.6 6.0 0.4 1.7 -1.4 2.1 -2.3 1.9 3.4 -5.5 6.1 -6.4 6.5 0.3 -9.6 -10.4 -10.7 -11.3 1.4 -4.2 7.0 -7.8 6.0 3.0 0.9 2.0 -1.4 3.5 -2.6 3.0 -16.8 4.4 2.6 0.0 1.4 -20.0 -20.0 -15.5 -16.1 VIX -19.8 -8.3 11.6 -3.7 -0.4 -4.1 -2.5 -6.0 -4.1 -8.2 -14.9 -14.1 -15.4 -15.3 -13.2 -20.0 -20.0 -20.0 -20.0 -16.5 -16.0 -14.0 -20.0 -19.4 NaN -4.3 -0.8 -4.5 -3.6 -6.9 -5.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -2.0 3.4 -17.0 -1.3 1.5 -4.6 1.7 -6.3 1.7 15.3 -19.8 -4.7 -20.0 -8.2 -18.2 -13.6 -10.9 -12.9 -12.1 -16.1 -20.0 -1.7 -20.0 -10.7 -4.2 -6.2 10.8 -7.6 1.7 -8.4 -3.9 -18.0 15.3 -14.0 -9.9 -17.7 -20.0 -20.0 -20.0 -17.8 End of report for caleb_strategy_v3