******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231214_204006 produced at 2023-12-14 21:36:52.786756 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.09 -0.27 0.0 0.09 -0.09 -0.09 -0.09 -48.44 17.0 -17 -17 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.08 0.0 0.66 -0.66 -0.15 -0.15 -1.48 13.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.17 -0.17 -0.02 -0.02 -16.11 51.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.05 -0.05 -0.05 -0.05 -30.46 26.0 -25 -25 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.11 -0.11 -0.04 -0.04 -7.27 12.0 -5 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.93 5.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 -0.05 -0.05 0.0 0.40 -0.40 -0.05 -0.02 -2.21 17.0 -2 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.76 13.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.34 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.31 -0.31 -0.04 -0.04 -1.05 8.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.96 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.03 0.0 0.40 -0.40 -0.15 -0.14 -4.78 56.0 -21 -20 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.15 -0.15 -0.06 -0.06 -2.32 11.0 -4 -4 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -2.99 3.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.45 8.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -0.43 3.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.02 0.0 0.94 -0.94 -0.04 -0.04 -0.59 25.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.20 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.73 9.0 -4 -4 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.75 -0.75 0.00 0.00 -0.93 29.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.01 0.0 0.67 -0.67 0.00 0.00 -0.20 14.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.65 18.0 -1 -1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.08 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -0.58 10.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.01 -0.60 9.0 -2 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.66 0.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -1.82 68.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.55 4.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.39 -0.00 0.0 0.66 -0.66 -0.39 -0.39 -0.11 17.0 -10 -10 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.21 7.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.45 13.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.00 0.0 0.08 -0.08 -0.08 -0.04 -0.05 2.0 -2 -1 caleb_strategy_v3 GASOIL False False 0.03 0.00 -0.00 0.0 0.10 -0.10 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.10 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.07 6.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.09 0.01 0.0 0.44 -0.44 0.09 0.12 0.54 19.0 4 5 caleb_strategy_v3 US30 False False 0.05 0.18 0.01 0.0 0.28 -0.28 0.18 0.23 0.13 6.0 4 5 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.20 9.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 0.01 0.0 0.85 -0.85 0.00 0.00 0.17 19.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.10 0.01 0.0 0.27 -0.27 0.10 0.12 0.63 23.0 9 10 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.19 13.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 0.01 0.0 0.40 -0.40 -0.02 -0.01 0.66 48.0 -3 -1 caleb_strategy_v3 BUXL False False 0.05 0.11 0.01 0.0 0.21 -0.21 0.11 0.05 0.17 4.0 2 1 caleb_strategy_v3 JPY False False 0.03 -0.03 0.01 0.0 0.53 -0.53 -0.03 0.03 0.20 17.0 -1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.04 0.02 0.0 0.22 -0.22 0.04 0.04 1.65 23.0 4 4 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 0.81 3.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.05 0.02 0.0 0.17 -0.17 0.05 0.03 1.11 10.0 3 2 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.51 -0.51 0.00 0.00 0.41 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.06 0.03 0.0 0.43 -0.43 0.06 0.05 4.26 66.0 9 8 caleb_strategy_v3 NIKKEI False False 0.01 0.20 0.03 0.0 0.29 -0.29 0.20 0.14 3.71 36.0 25 17 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.03 0.0 0.12 -0.12 0.05 0.07 1.35 5.0 2 3 caleb_strategy_v3 COCOA False False 0.01 0.07 0.04 0.0 0.38 -0.38 0.07 0.07 2.89 26.0 5 5 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.61 -0.61 0.00 0.00 1.31 22.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.09 0.04 0.0 0.45 -0.45 0.09 0.09 1.66 21.0 4 4 caleb_strategy_v3 SOFR False True 0.08 0.00 0.05 0.0 0.00 0.00 0.00 0.00 0.63 11.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.06 0.0 0.09 -0.09 0.07 0.07 39.98 59.0 49 49 caleb_strategy_v3 BTP False False 0.04 0.18 0.08 0.0 0.45 -0.45 0.18 0.18 1.72 10.0 4 4 caleb_strategy_v3 SMI False False 0.04 0.36 0.09 0.0 0.40 -0.40 0.36 0.36 1.95 9.0 8 8 caleb_strategy_v3 CAC False True 0.03 0.00 0.10 0.0 0.00 0.00 0.00 0.00 3.35 12.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.12 0.0 0.49 -0.49 0.00 0.00 2.53 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.23 0.13 0.0 0.35 -0.35 0.23 0.24 7.62 20.0 13 14 caleb_strategy_v3 DAX False False 0.01 0.01 0.17 0.0 0.37 -0.37 0.01 0.00 26.59 58.0 1 0 caleb_strategy_v3 MXP False False 0.01 0.34 0.25 0.0 0.60 -0.60 0.34 0.37 25.57 60.0 34 37 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.43 0.54 0.0 0.57 -0.57 0.43 0.43 15.05 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.65 1.11 0.0 0.92 -0.92 0.65 0.74 12.05 10.0 7 8 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.2 Shocked risk 54.9 Sum abs risk 48.7 Leverage 4.13 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2878667.93, 'annual_cash_vol_target': 719666.9825, 'daily_cash_vol_target': 44979.18640625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6716 0.7082 11.3317 BITCOIN 1230.1984 43295.0000 2.8414 45.4629 BOBL 0.2750 118.4800 0.2321 3.7139 BTP 0.6522 118.2300 0.5516 8.8262 BUND 0.5486 136.0700 0.4031 6.4503 BUXL 1.3282 139.6200 0.9513 15.2202 CAC 48.8166 7600.0000 0.6423 10.2772 CAD 0.0031 0.7468 0.4090 6.5436 CANOLA 8.5089 664.2000 1.2811 20.4971 CHF 0.0048 1.1658 0.4135 6.6155 COCOA 45.2166 4225.0000 1.0702 17.1234 COFFEE 3.6839 187.1000 1.9689 31.5029 COPPER 0.0437 3.8775 1.1275 18.0396 CORN 4.4619 508.5000 0.8775 14.0393 COTTON2 1.1087 80.8100 1.3720 21.9521 CRUDE_W 1.2432 71.6900 1.7341 27.7456 DAX 103.2822 16936.0000 0.6098 9.7574 DOW 210.4566 37576.0000 0.5601 8.9613 DX 0.4881 101.5900 0.4804 7.6871 EUR 0.0056 1.1034 0.5041 8.0652 EURIBOR-ICE 0.0528 97.8500 0.0540 0.8640 EUROSTX 31.1938 4578.0000 0.6814 10.9021 FEEDCOW 2.7154 219.7500 1.2357 19.7710 GASOIL 13.6805 742.0000 1.8437 29.4997 GASOLINE 0.0445 2.1426 2.0782 33.2514 GAS_US_mini 0.0940 2.3400 4.0176 64.2822 GBP 0.0071 1.2765 0.5562 8.9000 GOLD_micro 17.9696 2048.8000 0.8771 14.0333 HEATOIL 0.0462 2.5316 1.8250 29.1995 JGB-SGX-mini 0.3375 145.7600 0.2316 3.7049 JPY 0.0001 0.0072 0.7368 11.7880 LEANHOG 1.3217 77.0250 1.7159 27.4542 LIVECOW 1.8167 167.7500 1.0830 17.3277 LUMBER-new 7.1523 556.0000 1.2864 20.5822 MILK 0.1952 16.3300 1.1956 19.1296 MXP 0.0004 0.0572 0.7576 12.1211 NASDAQ_micro 123.7351 16733.7500 0.7394 11.8309 NIKKEI 298.3981 32580.0000 0.9159 14.6543 NZD 0.0042 0.6208 0.6798 10.8768 OAT 0.5637 130.4500 0.4321 6.9138 OATIES 8.2983 370.7500 2.2382 35.8119 OJ 6.3176 365.1000 1.7304 27.6859 PALLAD 32.1716 1113.0000 2.8905 46.2485 PLAT 15.3972 966.9000 1.5924 25.4788 REDWHEAT 12.5109 642.5000 1.9472 31.1555 RICE 0.1569 17.3350 0.9051 14.4812 ROBUSTA 37.9096 2799.0000 1.3544 21.6703 RUSSELL 24.5022 2020.7000 1.2126 19.4010 SHATZ 0.0959 106.2150 0.0903 1.4444 SILVER-mini 0.4179 24.3750 1.7143 27.4286 SMI 65.3715 11176.0000 0.5849 9.3588 SOFR 0.0824 96.7500 0.0852 1.3624 SOYBEAN 10.8851 1282.2500 0.8489 13.5825 SOYMEAL 5.4348 394.5000 1.3776 22.0424 SOYOIL 0.8088 50.1500 1.6128 25.8052 SP400 27.7857 2801.5000 0.9918 15.8690 SP500_micro 28.3728 4767.5000 0.5951 9.5221 SUGAR11 0.4401 21.4500 2.0517 32.8275 US10 0.5292 112.5156 0.4703 7.5247 US10U 0.7051 117.4219 0.6005 9.6079 US2 0.1586 102.8242 0.1543 2.4683 US20 1.0446 123.5312 0.8456 13.5293 US30 1.5256 132.8438 1.1484 18.3743 US5 0.3569 108.4688 0.3290 5.2644 VIX 0.4584 15.8500 2.8921 46.2737 WHEAT 9.9433 652.0000 1.5250 24.4007 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.55 0.71 475.61 1.00 475.61 44979.19 94.57 2.21 20.93 BITCOIN 43.30 2.84 123.02 1.00 123.02 44979.19 365.63 10.10 369.16 BOBL 1184.80 0.23 275.02 1.08 296.56 44979.19 151.67 1.08 16.36 BTP 1182.30 0.55 652.20 1.08 703.30 44979.19 63.95 7.88 50.41 BUND 1360.70 0.40 548.56 1.08 591.54 44979.19 76.04 5.38 40.92 BUXL 1396.20 0.95 1328.16 1.08 1432.22 44979.19 31.41 5.39 16.91 CAC 760.00 0.64 488.17 1.08 526.41 44979.19 85.44 11.48 98.12 CAD 746.75 0.41 305.40 1.00 305.40 44979.19 147.28 -2.45 -36.01 CANOLA 132.84 1.28 170.18 0.74 125.22 44979.19 359.21 -18.44 -662.31 CHF 1457.31 0.41 602.55 1.00 602.55 44979.19 74.65 -7.66 -57.18 COCOA 422.50 1.07 452.17 1.00 452.17 44979.19 99.48 13.55 134.84 COFFEE 701.62 1.97 1381.45 1.00 1381.45 44979.19 32.56 1.89 6.16 COPPER 969.38 1.13 1092.95 1.00 1092.95 44979.19 41.15 -0.23 -0.93 CORN 254.25 0.88 223.09 1.00 223.09 44979.19 201.62 -14.82 -298.88 COTTON2 404.05 1.37 554.36 1.00 554.36 44979.19 81.14 -13.37 -108.51 CRUDE_W 716.90 1.73 1243.18 1.00 1243.18 44979.19 36.18 3.44 12.44 DAX 169.36 0.61 103.28 1.08 111.37 44979.19 403.86 19.30 779.58 DOW 187.88 0.56 105.23 1.00 105.23 44979.19 427.44 4.29 183.27 DX 1015.90 0.48 488.08 1.00 488.08 44979.19 92.15 -5.60 -51.57 EUR 1379.19 0.50 695.22 1.00 695.22 44979.19 64.70 -1.19 -7.69 EURIBOR-ICE 2446.25 0.05 132.10 1.08 142.45 44979.19 315.76 11.19 353.21 EUROSTX 457.80 0.68 311.94 1.08 336.38 44979.19 133.72 16.70 223.33 FEEDCOW 1098.75 1.24 1357.71 1.00 1357.71 44979.19 33.13 -9.54 -31.61 GASOIL 742.00 1.84 1368.05 1.00 1368.05 44979.19 32.88 -0.50 -1.65 GASOLINE 899.89 2.08 1870.17 1.00 1870.17 44979.19 24.05 -1.12 -2.70 GAS_US_mini 58.50 4.02 235.03 1.00 235.03 44979.19 191.37 -14.70 -281.25 GBP 797.81 0.56 443.78 1.00 443.78 44979.19 101.35 4.99 50.55 GOLD_micro 204.88 0.88 179.70 1.00 179.70 44979.19 250.31 -5.60 -140.11 HEATOIL 1063.27 1.82 1940.44 1.00 1940.44 44979.19 23.18 -4.31 -9.98 JGB-SGX-mini 145760.00 0.23 33751.60 0.01 232.30 44979.19 193.62 7.18 138.98 JPY 894.19 0.74 658.79 1.00 658.79 44979.19 68.28 1.11 7.61 LEANHOG 308.10 1.72 528.66 1.00 528.66 44979.19 85.08 -0.87 -7.36 LIVECOW 671.00 1.08 726.68 1.00 726.68 44979.19 61.90 -10.79 -66.78 LUMBER-new 152.90 1.29 196.69 1.00 196.69 44979.19 228.68 -6.13 -140.20 MILK 326.60 1.20 390.48 1.00 390.48 44979.19 115.19 -20.00 -230.38 MXP 286.15 0.76 216.78 1.00 216.78 44979.19 207.49 8.40 174.23 NASDAQ_micro 334.68 0.74 247.47 1.00 247.47 44979.19 181.76 1.49 27.09 NIKKEI 32580.00 0.92 29839.81 0.01 204.69 44979.19 219.75 1.56 34.22 NZD 620.80 0.68 422.02 1.00 422.02 44979.19 106.58 6.00 63.90 OAT 1304.50 0.43 563.69 1.08 607.86 44979.19 74.00 10.03 74.20 OATIES 185.38 2.24 414.91 1.00 414.91 44979.19 108.41 -12.14 -131.64 OJ 547.65 1.73 947.64 1.00 947.64 44979.19 47.46 7.96 37.77 PALLAD 1113.00 2.89 3217.16 1.00 3217.16 44979.19 13.98 -1.02 -1.43 PLAT 483.45 1.59 769.86 1.00 769.86 44979.19 58.43 5.57 32.56 REDWHEAT 321.25 1.95 625.54 1.00 625.54 44979.19 71.90 -15.15 -108.93 RICE 346.70 0.91 313.79 1.00 313.79 44979.19 143.34 -1.57 -22.57 ROBUSTA 279.90 1.35 379.10 1.00 379.10 44979.19 118.65 11.90 141.13 RUSSELL 101.04 1.21 122.51 1.00 122.51 44979.19 367.14 -1.49 -54.77 SHATZ 1062.15 0.09 95.88 1.08 103.40 44979.19 435.01 -2.17 -94.21 SILVER-mini 609.38 1.71 1044.64 1.00 1044.64 44979.19 43.06 -4.52 -19.46 SMI 1117.60 0.58 653.72 1.14 745.79 44979.19 60.31 9.48 57.19 SOFR 2418.75 0.09 205.96 1.00 205.96 44979.19 218.39 0.47 10.35 SOYBEAN 641.12 0.85 544.26 1.00 544.26 44979.19 82.64 -2.70 -22.34 SOYMEAL 394.50 1.38 543.48 1.00 543.48 44979.19 82.76 -7.82 -64.76 SOYOIL 300.90 1.61 485.30 1.00 485.30 44979.19 92.68 -6.78 -62.81 SP400 2801.50 0.99 2778.57 1.00 2778.57 44979.19 16.19 -1.48 -2.39 SP500_micro 238.38 0.60 141.86 1.00 141.86 44979.19 317.06 0.89 28.31 SUGAR11 240.24 2.05 492.90 1.00 492.90 44979.19 91.25 -8.50 -77.55 US10 1125.16 0.47 529.15 1.00 529.15 44979.19 85.00 -1.02 -8.64 US10U 1174.22 0.60 705.11 1.00 705.11 44979.19 63.79 2.35 15.02 US2 2056.48 0.15 317.25 1.00 317.25 44979.19 141.78 -4.25 -60.25 US20 1235.31 0.85 1044.56 1.00 1044.56 44979.19 43.06 3.61 15.56 US30 1328.44 1.15 1525.57 1.00 1525.57 44979.19 29.48 3.39 10.00 US5 1084.69 0.33 356.89 1.00 356.89 44979.19 126.03 -3.69 -46.45 VIX 158.50 2.89 458.40 1.00 458.40 44979.19 98.12 -20.00 -196.24 WHEAT 326.00 1.53 497.16 1.00 497.16 44979.19 90.47 -14.41 -130.35 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 20.925 0.010 2.5 0.543 BITCOIN 369.164 0.043 2.5 39.977 BOBL 16.363 0.004 2.5 0.166 BTP 50.408 0.014 2.5 1.719 BUND 40.915 0.004 2.5 0.415 BUXL 16.912 0.004 2.5 0.171 CAC 98.125 0.014 2.5 3.347 CAD -36.014 0.010 2.5 -0.934 CANOLA -662.307 0.010 2.5 -16.113 CHF -57.177 0.010 2.5 -1.484 COCOA 134.836 0.009 2.5 2.888 COFFEE 6.156 0.005 2.5 0.072 COPPER -0.928 0.043 2.5 -0.101 CORN -298.879 0.010 2.5 -7.271 COTTON2 -108.509 0.009 2.5 -2.324 CRUDE_W 12.439 0.043 2.5 1.347 DAX 779.579 0.014 2.5 26.591 DOW 183.272 0.009 2.5 4.259 DX -51.566 0.010 2.5 -1.338 EUR -7.694 0.010 2.5 -0.200 EURIBOR-ICE 353.213 0.014 2.5 12.048 EUROSTX 223.333 0.014 2.5 7.618 FEEDCOW -31.608 0.013 2.5 -1.047 GASOIL -1.654 0.017 2.5 -0.072 GASOLINE -2.702 0.017 2.5 -0.117 GAS_US_mini -281.252 0.043 2.5 -30.457 GBP 50.553 0.010 2.5 1.312 GOLD_micro -140.111 0.014 2.5 -4.779 HEATOIL -9.983 0.017 2.5 -0.433 JGB-SGX-mini 138.979 0.043 2.5 15.050 JPY 7.613 0.010 2.5 0.198 LEANHOG -7.362 0.024 2.5 -0.447 LIVECOW -66.784 0.013 2.5 -2.213 LUMBER-new -140.202 0.009 2.5 -2.992 MILK -230.378 0.009 2.5 -4.934 MXP 174.233 0.059 2.5 25.573 NASDAQ_micro 27.091 0.009 2.5 0.630 NIKKEI 34.218 0.043 2.5 3.705 NZD 63.904 0.010 2.5 1.658 OAT 74.202 0.014 2.5 2.531 OATIES -131.644 0.010 2.5 -3.203 OJ 37.765 0.009 2.5 0.809 PALLAD -1.425 0.014 2.5 -0.049 PLAT 32.562 0.014 2.5 1.111 REDWHEAT -108.932 0.005 2.5 -1.445 RICE -22.570 0.010 2.5 -0.549 ROBUSTA 141.134 0.005 2.5 1.648 RUSSELL -54.774 0.013 2.5 -1.815 SHATZ -94.208 0.004 2.5 -0.955 SILVER-mini -19.457 0.014 2.5 -0.664 SMI 57.190 0.014 2.5 1.951 SOFR 10.353 0.024 2.5 0.629 SOYBEAN -22.338 0.004 2.5 -0.208 SOYMEAL -64.759 0.004 2.5 -0.602 SOYOIL -62.811 0.004 2.5 -0.585 SP400 -2.391 0.013 2.5 -0.079 SP500_micro 28.313 0.009 2.5 0.658 SUGAR11 -77.548 0.009 2.5 -1.649 US10 -8.638 0.005 2.5 -0.109 US10U 15.016 0.005 2.5 0.190 US2 -60.248 0.005 2.5 -0.763 US20 15.558 0.005 2.5 0.197 US30 10.004 0.005 2.5 0.127 US5 -46.450 0.005 2.5 -0.589 VIX -196.245 0.099 2.5 -48.442 WHEAT -130.346 0.005 2.5 -1.729 ===================== Position diags ===================== AUD 2.45 BITCOIN 39.59 BOBL 1.54 BTP 2.18 BUND 0.77 BUXL 0.32 CAC 2.91 CAD 3.82 CANOLA 8.74 CHF 1.94 COCOA 2.13 COFFEE 0.38 COPPER 4.46 CORN 4.91 COTTON2 1.74 CRUDE_W 3.92 DAX 13.78 DOW 9.93 DX 2.39 EUR 1.68 EURIBOR-ICE 10.77 EUROSTX 4.56 FEEDCOW 1.10 GASOIL 1.43 GASOLINE 1.04 GAS_US_mini 20.72 GBP 2.63 GOLD_micro 8.54 HEATOIL 1.00 JGB-SGX-mini 20.97 JPY 1.77 LEANHOG 5.17 LIVECOW 2.05 LUMBER-new 4.88 MILK 2.47 MXP 30.45 NASDAQ_micro 4.22 NIKKEI 23.80 NZD 2.77 OAT 2.52 OATIES 2.64 OJ 1.02 PALLAD 0.48 PLAT 1.99 REDWHEAT 0.95 RICE 3.49 ROBUSTA 1.39 RUSSELL 12.17 SHATZ 4.41 SILVER-mini 1.47 SMI 2.06 SOFR 13.27 SOYBEAN 0.77 SOYMEAL 0.77 SOYOIL 0.86 SP400 0.54 SP500_micro 7.37 SUGAR11 1.94 US10 1.08 US10U 0.81 US2 1.80 US20 0.55 US30 0.37 US5 1.60 VIX 24.22 WHEAT 1.20 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.3 0.8 4.0 4 BITCOIN 40.0 36.0 43.9 49.0 49 BOBL 0.2 0.0 0.3 0.0 0 BTP 1.7 1.5 1.9 4.0 4 BUND 0.4 0.3 0.5 0.0 0 BUXL 0.2 0.1 0.2 2.0 2 CAC 3.3 3.1 3.6 0.0 0 CAD -0.9 -1.3 -0.6 0.0 0 CANOLA -16.1 -17.0 -15.2 -6.0 -6 CHF -1.5 -1.7 -1.3 -3.0 -3 COCOA 2.9 2.7 3.1 5.0 5 COFFEE 0.1 0.0 0.1 0.0 0 COPPER -0.1 -0.5 0.3 0.0 0 CORN -7.3 -7.8 -6.8 -5.0 -5 COTTON2 -2.3 -2.5 -2.2 -4.0 -4 CRUDE_W 1.3 1.0 1.7 2.0 2 DAX 26.6 25.2 28.0 1.0 1 DOW 4.3 3.3 5.3 9.0 9 DX -1.3 -1.6 -1.1 NaN 0 EUR -0.2 -0.4 -0.0 0.0 0 EURIBOR-ICE 12.0 11.0 13.1 7.0 7 EUROSTX 7.6 7.2 8.1 13.0 13 FEEDCOW -1.0 -1.2 -0.9 -1.0 -1 GASOIL -0.1 -0.2 0.1 0.0 0 GASOLINE -0.1 -0.2 -0.0 0.0 0 GAS_US_mini -30.5 -32.5 -28.4 -25.0 -25 GBP 1.3 1.0 1.6 0.0 0 GOLD_micro -4.8 -5.6 -3.9 -21.0 -21 HEATOIL -0.4 -0.5 -0.3 -1.0 -1 JGB-SGX-mini 15.0 13.0 17.1 12.0 12 JPY 0.2 0.0 0.4 -1.0 -1 LEANHOG -0.4 -1.0 0.1 0.0 0 LIVECOW -2.2 -2.4 -2.0 -2.0 -2 LUMBER-new -3.0 -3.5 -2.5 NaN 0 MILK -4.9 -5.2 -4.7 NaN 0 MXP 25.6 22.5 28.6 34.0 34 NASDAQ_micro 0.6 0.2 1.1 9.0 9 NIKKEI 3.7 1.3 6.1 25.0 25 NZD 1.7 1.4 1.9 4.0 4 OAT 2.5 2.3 2.8 0.0 0 OATIES -3.2 -3.5 -2.9 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD -0.0 -0.1 -0.0 -2.0 -2 PLAT 1.1 0.9 1.3 3.0 3 REDWHEAT -1.4 -1.5 -1.3 -3.0 -3 RICE -0.5 -0.9 -0.2 NaN 0 ROBUSTA 1.6 1.5 1.8 4.0 4 RUSSELL -1.8 -3.0 -0.6 0.0 0 SHATZ -1.0 -1.4 -0.5 NaN 0 SILVER-mini -0.7 -0.8 -0.5 NaN 0 SMI 2.0 1.7 2.2 8.0 8 SOFR 0.6 -0.7 2.0 NaN 0 SOYBEAN -0.2 -0.3 -0.1 0.0 0 SOYMEAL -0.6 -0.7 -0.5 -2.0 -2 SOYOIL -0.6 -0.7 -0.5 -3.0 -3 SP400 -0.1 -0.1 -0.0 0.0 0 SP500_micro 0.7 -0.1 1.4 -3.0 -3 SUGAR11 -1.6 -1.8 -1.5 -1.0 -1 US10 -0.1 -0.2 -0.0 -10.0 -10 US10U 0.2 0.1 0.3 0.0 0 US2 -0.8 -0.9 -0.6 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.1 0.1 0.2 4.0 4 US5 -0.6 -0.7 -0.4 -1.0 -1 VIX -48.4 -50.9 -46.0 -17.0 -17 WHEAT -1.7 -1.8 -1.6 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.8 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 0.3 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 0.0 -0.4 -0.5 -0.1 0.2 BITCOIN 0.0 0.6 0.5 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.5 0.1 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.2 0.0 0.1 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.6 -0.0 0.7 BOBL 0.6 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 -0.4 -0.1 -0.2 -0.1 0.1 0.0 0.1 -0.1 0.1 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.1 0.2 0.1 0.2 -0.6 -0.7 -0.3 -0.6 BTP 0.6 0.6 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 -0.0 0.2 -1.1 0.0 0.0 0.0 0.1 0.0 0.1 0.8 0.2 0.2 0.4 0.3 -0.5 -0.7 0.1 0.2 BUND 0.6 0.6 0.3 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 0.0 0.0 0.1 0.0 0.1 -0.1 0.2 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.2 0.3 0.1 0.2 -0.7 -0.7 -0.5 -0.2 BUXL 0.6 0.6 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.3 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.0 0.2 -0.3 0.2 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.4 0.4 0.2 0.2 -0.7 -0.7 -0.4 0.4 CAC 0.6 0.6 -0.3 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.2 0.2 -1.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.1 0.1 0.3 0.2 0.5 0.4 CAD 0.5 0.4 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.3 0.2 -0.5 0.2 0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 0.2 -0.3 0.2 0.3 0.0 0.2 -0.1 0.1 -0.2 0.1 0.0 0.2 0.1 -0.5 -0.4 -0.6 -0.7 -0.1 -0.5 CANOLA -0.3 -0.1 -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 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.4 -0.5 -0.5 -0.5 -0.3 -0.1 0.1 CHF 0.5 0.6 -0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.1 0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.0 0.2 0.1 0.2 -1.3 0.1 0.1 0.0 0.1 0.0 0.1 -1.1 0.1 0.2 0.1 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.0 0.5 0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.0 0.1 0.0 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 0.2 0.3 0.6 0.6 0.6 0.5 -0.0 0.7 0.5 COFFEE 0.2 0.6 0.6 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.0 0.1 -0.2 0.1 0.1 0.3 0.1 0.2 0.1 0.1 0.1 0.1 -0.0 0.2 -2.6 0.1 0.0 0.1 0.0 0.0 0.1 0.5 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 COPPER 0.2 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 -0.8 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 0.2 0.4 0.4 0.1 -0.2 -0.5 0.1 -0.4 CORN -0.0 0.1 -0.3 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.2 -0.5 -0.0 -0.7 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.4 -0.0 -0.2 0.2 0.2 -0.1 0.2 -0.2 -0.2 0.2 0.1 COTTON2 0.3 -0.5 -0.3 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.2 0.0 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.4 0.3 -0.6 -0.2 -0.5 -0.4 -0.1 0.1 CRUDE_W -0.4 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.0 0.2 -0.1 0.2 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.1 0.2 -0.1 -0.5 -0.0 0.0 0.0 -0.0 0.2 -0.1 -1.0 0.2 0.4 0.4 0.4 0.7 0.4 0.7 0.4 DAX 0.6 0.6 -0.2 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.2 0.2 2.6 0.1 0.0 0.1 0.1 0.0 0.1 -0.3 0.3 0.6 0.6 0.3 0.2 0.1 0.5 0.5 DOW 0.6 0.6 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.3 0.2 0.4 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.2 0.2 -1.6 0.1 0.1 0.1 0.1 0.1 0.1 -0.4 0.4 0.6 0.5 0.2 -0.4 -0.2 -0.5 -0.2 DX -0.3 -0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.8 -0.4 -0.6 -0.6 0.2 0.4 0.2 0.5 0.5 EUR -0.0 0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.1 1.5 0.0 0.1 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.4 0.0 -0.3 -0.5 -0.5 -0.5 -0.2 EURIBOR-ICE 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.1 -0.0 0.2 2.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.2 0.3 0.5 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.6 -0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 0.6 0.2 0.2 0.0 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.4 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.1 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.4 -0.2 -0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.0 -0.1 -0.6 -0.4 0.4 0.0 0.7 0.3 GASOIL -0.4 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.2 -0.1 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 0.0 -0.1 0.2 -0.2 1.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 -0.3 -0.1 -0.5 -0.2 GASOLINE -0.2 -0.5 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.4 0.1 0.4 -0.1 -0.0 -0.0 0.1 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.3 0.1 0.4 0.4 -0.2 0.7 0.4 0.7 0.3 GAS_US_mini -0.6 -0.6 0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.0 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.3 -0.6 -0.4 -0.4 -0.6 0.2 -0.7 0.1 GBP 0.4 0.6 -0.3 0.0 0.1 0.1 0.0 0.0 0.0 0.1 -0.1 0.1 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.0 0.1 0.0 0.0 -0.0 0.0 0.2 -0.1 -0.0 0.2 -0.3 -0.4 0.1 -0.3 0.6 GOLD_micro 0.1 0.4 0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.0 0.0 0.1 -0.7 0.0 0.0 0.0 0.0 0.0 0.0 -0.8 0.0 0.3 0.4 0.3 -0.5 -0.7 -0.5 -0.7 HEATOIL -0.4 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.2 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.0 -0.1 0.2 -0.2 -2.4 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 -0.1 0.2 0.1 -0.1 0.4 -0.0 0.3 -0.2 JGB-SGX-mini 0.4 0.6 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 0.1 0.0 0.0 0.2 0.4 0.3 0.3 0.0 0.0 0.0 -0.0 0.0 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 -0.2 0.0 -0.2 -0.0 0.1 -0.7 0.5 0.7 JPY 0.6 0.6 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 2.7 0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.4 -0.2 -0.3 -0.2 -0.7 -0.0 -0.7 LEANHOG -0.4 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.4 0.2 -0.3 0.1 -0.1 -0.1 -0.0 -0.3 -0.1 1.7 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 1.0 0.0 -0.3 -0.1 -0.1 -0.4 -0.2 0.2 0.4 LIVECOW -0.3 -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 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.2 -0.2 -0.6 -0.3 0.1 -0.4 0.2 -0.1 LUMBER-new 0.0 0.7 0.1 -0.1 0.0 -0.2 -0.0 -0.3 -0.1 0.2 -0.3 0.1 -0.8 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.1 -0.4 0.2 NaN 0.1 0.1 0.0 0.1 -0.1 0.1 -1.2 0.6 0.4 0.7 0.4 -0.7 -0.8 -0.4 -0.7 MILK -0.3 -0.5 -0.4 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.0 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -1.1 -0.0 -0.6 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 MXP 0.0 0.5 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.3 0.1 0.5 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.1 -0.4 0.1 -0.1 0.3 0.5 0.7 0.7 NASDAQ_micro 0.5 0.6 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 0.1 0.4 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.0 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 -0.1 0.0 0.2 0.3 -0.3 0.3 -0.3 NIKKEI -0.2 0.4 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.4 -0.1 0.6 0.1 0.1 0.3 0.2 0.2 0.2 0.1 0.1 -0.0 0.4 0.0 -1.6 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.5 -0.6 -0.5 0.1 -0.3 0.0 -0.2 0.2 NZD 0.5 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 0.1 0.1 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 0.0 -0.0 0.0 0.2 -0.0 0.2 0.1 0.2 -0.2 -0.4 -0.0 0.2 OAT 0.6 0.6 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.7 0.2 0.3 0.2 0.3 -0.7 -0.7 -0.1 0.3 OATIES 0.3 -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 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.9 -0.0 -0.0 -0.4 -0.4 0.1 0.3 0.5 0.7 OJ -0.6 -0.6 0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.4 -0.1 0.6 -0.0 0.1 0.3 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 -0.0 -2.7 0.1 -0.0 0.2 -0.0 0.4 0.0 1.1 -0.5 0.2 0.6 0.6 0.3 0.3 0.7 0.7 PALLAD 0.2 0.3 0.5 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 0.3 -0.2 -0.6 -0.5 -0.0 -0.2 0.3 -0.0 PLAT 0.2 0.3 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 1.6 0.0 0.1 -0.0 0.1 -0.0 0.0 0.3 0.3 0.3 0.0 0.1 -0.2 -0.4 0.4 -0.2 REDWHEAT 0.6 0.3 -0.5 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 0.1 -0.5 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.4 -0.0 -1.7 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.2 0.3 -0.3 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.1 0.3 0.2 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.4 -0.1 0.4 0.1 0.1 -0.3 0.0 -0.3 -0.1 0.2 0.2 -0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.4 0.3 0.6 0.6 -0.0 -0.5 0.5 -0.2 ROBUSTA 0.6 0.5 -0.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.4 0.2 0.5 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.3 -0.5 0.1 0.0 RUSSELL 0.6 0.6 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 -0.2 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.5 0.2 -0.0 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.2 0.1 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.2 -0.0 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.1 0.3 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 0.7 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.5 -0.2 -0.1 0.1 -0.6 -0.7 0.0 -0.7 SMI 0.6 0.5 -0.3 0.1 0.1 0.0 0.1 0.0 0.1 0.2 -0.1 0.2 0.0 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.2 0.2 1.2 0.0 0.1 0.0 0.1 -0.1 0.1 0.8 0.3 0.3 -0.5 -0.1 -0.1 -0.2 0.1 -0.2 SOFR 0.6 0.6 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN -0.3 0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.2 -0.1 0.2 -0.0 -0.1 0.3 0.4 0.3 0.3 0.0 0.0 -0.0 0.0 -0.0 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 1.1 0.0 0.3 0.6 0.5 -0.7 -0.7 -0.7 -0.5 SOYMEAL -0.6 0.2 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.3 0.4 0.3 0.3 -0.0 0.0 -0.1 0.1 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.3 -0.6 0.4 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.1 -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 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.8 -0.1 0.3 -0.1 -0.3 -0.4 0.0 0.2 0.4 SP400 0.6 0.6 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 -1.2 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.5 0.2 -0.0 -0.1 -0.4 -0.3 -0.6 -0.7 SP500_micro 0.6 0.6 -0.2 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.3 0.2 0.4 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.4 0.2 0.0 0.1 0.1 0.1 -0.2 0.2 -0.4 SUGAR11 -0.6 -0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.1 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.6 0.2 -0.1 -0.4 0.5 0.2 US10 0.6 0.6 0.4 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 0.1 -0.0 0.1 -0.2 0.1 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 0.0 0.1 -0.0 -0.0 -0.7 -0.7 -0.2 0.1 US10U 0.6 0.6 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.0 -0.0 -0.7 -0.7 0.1 0.5 US2 0.5 0.6 0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.2 0.1 1.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.0 0.1 -0.0 0.1 -0.5 -0.7 -0.3 -0.7 US20 0.6 0.6 0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.2 0.2 0.0 -0.1 -0.5 -0.7 0.5 0.7 US30 0.6 0.6 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 0.2 0.0 -0.1 -0.3 -0.7 0.7 0.7 US5 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 -0.0 0.1 -0.2 0.1 0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.9 -0.0 0.1 -0.0 0.1 -0.7 -0.7 -0.6 -0.5 VIX -0.7 -1.0 0.4 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -0.2 -0.8 -0.3 -1.1 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.3 -0.9 -0.3 NaN -0.1 -0.1 -0.3 -0.1 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.4 0.4 -0.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 0.1 -0.6 0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 -0.5 -0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 -0.9 0.3 0.4 -0.0 -0.2 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 9.6 20.0 7.2 3.1 4.8 1.6 3.5 1.0 3.8 9.5 -4.6 8.1 -8.4 10.0 7.6 -2.5 -2.9 -2.9 -3.0 7.0 0.2 9.3 -5.4 9.3 2.8 3.3 6.6 0.4 4.2 -1.8 4.2 -1.0 0.4 0.1 1.6 1.4 -12.5 -14.2 -3.8 6.4 BITCOIN 1.4 17.1 14.9 0.5 7.0 -0.3 -0.5 -0.1 -0.5 7.7 19.6 12.3 16.8 19.1 20.0 -9.5 -6.0 -8.7 -7.5 20.0 20.0 18.5 12.5 20.0 -20.0 7.7 1.7 5.8 4.2 3.3 6.9 -1.6 20.0 20.0 20.0 20.0 -5.8 18.6 -0.9 20.0 BOBL 20.0 20.0 14.5 1.6 2.6 -0.2 2.7 -1.5 2.7 6.7 0.3 7.3 -5.0 7.8 6.7 -20.0 -5.3 -8.2 -6.7 9.7 3.0 11.8 -4.3 13.3 8.1 2.4 2.4 0.9 3.0 -0.7 3.4 -8.2 2.5 4.7 2.0 6.3 -17.6 -20.0 -9.0 -17.7 BTP 19.9 20.0 3.0 2.6 4.3 -0.4 4.4 -2.4 4.5 11.8 5.6 12.4 4.1 13.6 11.4 5.8 7.4 6.6 6.6 17.2 7.0 20.0 -0.9 20.0 -7.9 4.0 5.0 1.7 4.8 0.1 5.3 14.4 7.3 6.8 10.9 8.2 -13.9 -20.0 4.2 6.2 BUND 20.0 20.0 10.5 1.8 3.0 -0.3 3.1 -1.7 3.1 8.4 1.1 9.0 -5.8 9.4 7.5 2.6 4.1 0.4 1.4 12.1 3.3 16.4 -5.4 17.5 5.8 2.8 3.0 0.9 3.8 -0.7 4.0 7.0 7.4 7.8 4.4 6.9 -20.0 -20.0 -14.0 -5.7 BUXL 20.0 20.0 8.4 2.2 3.6 -0.3 3.6 -2.0 3.7 10.2 0.1 11.0 -8.2 11.5 7.7 0.3 0.7 0.4 0.6 14.4 1.7 20.0 -9.3 20.0 1.2 3.1 3.5 0.6 4.7 -1.2 4.8 3.6 15.7 13.7 7.0 4.7 -20.0 -20.0 -11.0 11.1 CAC 20.0 20.0 -9.0 5.4 7.4 1.6 8.2 0.5 8.2 20.0 6.0 20.0 17.8 20.0 16.9 -7.0 -3.6 -6.6 -5.6 20.0 8.4 20.0 9.1 20.0 -7.6 6.4 7.9 2.2 10.7 1.7 10.5 2.0 14.9 10.9 3.1 1.8 7.9 5.9 16.2 11.0 CAD 17.0 11.7 -2.8 5.1 7.9 2.6 5.7 1.7 6.3 14.9 -11.0 15.9 -13.9 16.3 4.8 -2.4 -2.3 -2.5 -2.4 4.5 -5.4 20.0 -9.7 14.6 2.5 2.4 16.7 -2.6 10.6 -4.3 7.6 0.0 9.7 2.9 -16.6 -12.3 -16.9 -20.0 -3.0 -14.9 CANOLA -10.5 -2.5 -20.0 -1.7 0.6 -2.3 -1.1 -2.9 -1.6 -5.2 -4.1 -6.7 -4.2 -6.3 -8.0 -8.8 1.1 -9.4 -5.5 -9.7 -8.4 -9.2 -6.4 -9.7 -20.0 -3.1 -1.9 -2.9 -2.6 -2.5 -3.0 -1.6 -15.4 -13.4 -14.8 -16.3 -14.4 -9.6 -2.7 2.7 CHF 15.6 17.4 -9.5 4.8 7.4 2.5 5.4 1.6 5.9 13.9 -2.8 13.0 7.4 17.1 11.9 -16.4 -15.3 -16.6 -16.1 14.1 4.2 17.6 2.2 19.6 -9.6 4.6 8.5 1.2 6.1 0.4 6.7 -20.0 2.4 7.0 2.4 -12.6 -20.0 -20.0 -20.0 -20.0 COCOA 1.3 16.9 3.8 -4.5 1.7 -6.1 -2.7 -7.5 -4.1 18.4 20.0 18.3 20.0 20.0 20.0 14.1 0.2 6.1 2.3 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 3.7 9.1 4.1 9.1 6.6 3.4 11.9 20.0 20.0 20.0 14.3 -1.4 20.0 15.5 COFFEE 7.5 20.0 18.7 -2.9 1.1 -3.9 -1.8 -4.8 -2.6 13.6 1.6 13.2 -6.8 13.7 13.2 12.8 4.1 8.5 5.5 13.9 6.7 16.2 -1.1 16.0 -19.5 5.0 4.6 2.9 4.6 0.8 5.2 9.5 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -12.1 COPPER 6.3 17.4 -0.1 0.4 5.4 -0.2 -0.4 -0.1 -0.4 5.6 -5.6 3.5 -4.0 8.7 5.8 -4.9 -4.4 -6.2 -5.7 5.7 -0.5 6.9 -4.7 7.6 -6.3 3.3 6.1 0.4 3.3 -1.6 3.9 1.3 10.2 11.1 10.8 1.9 -5.1 -13.6 4.1 -11.6 CORN -0.5 4.3 -8.3 -4.5 1.7 -6.1 -2.7 -7.5 -4.1 -18.0 -20.0 -3.2 -20.0 -10.6 -10.8 -7.9 -0.7 -7.0 -5.2 -6.9 -17.1 -4.8 -20.0 -3.7 -20.0 -1.2 -7.6 -5.1 -3.5 -10.5 -0.7 -3.4 8.3 6.9 -3.0 7.4 -7.2 -7.1 4.7 3.4 COTTON2 8.0 -15.4 -10.2 -3.3 1.2 -4.4 -2.0 -5.5 -3.0 2.5 -7.7 4.3 -8.9 -5.9 -10.9 -6.3 0.4 -5.9 -3.4 -10.7 -9.3 2.5 -6.0 -3.6 -20.0 -4.1 0.4 -3.3 1.4 -1.1 -1.2 -0.8 18.5 9.8 -20.0 -5.2 -15.3 -13.0 -1.7 2.9 CRUDE_W -11.4 -19.8 -4.0 -4.3 -0.2 -0.8 -4.0 1.7 -5.5 3.4 6.2 -9.1 6.9 -13.7 -9.7 5.3 10.0 8.5 9.6 -8.3 2.3 -7.7 8.3 -12.8 -4.1 -3.4 2.0 1.7 -3.1 5.3 -5.3 -18.3 6.7 11.4 11.3 13.6 20.0 12.1 20.0 13.1 DAX 20.0 20.0 -5.6 5.1 7.1 1.5 7.8 0.5 7.8 14.8 6.7 20.0 15.6 20.0 18.6 -12.4 -8.6 -10.9 -9.9 20.0 14.2 20.0 7.5 20.0 19.2 6.4 2.8 2.3 7.2 0.8 9.1 -6.0 10.6 20.0 20.0 8.8 5.7 4.5 14.5 14.9 DOW 20.0 20.0 -0.6 4.1 5.7 1.2 6.3 0.4 6.3 17.0 10.0 18.6 12.3 19.3 15.8 -10.2 -9.0 -10.3 -10.1 20.0 14.7 20.0 6.5 20.0 -11.8 5.4 8.3 2.5 7.9 1.5 7.6 -6.6 18.5 18.7 14.2 5.0 -13.0 -4.7 -16.4 -6.6 DX -9.3 -20.0 2.0 2.7 4.2 1.4 3.0 0.9 3.3 -9.0 4.4 -5.3 -3.2 -8.4 -5.3 5.8 6.1 6.6 6.5 -5.9 0.1 -10.2 3.2 -8.7 -20.0 -2.3 -6.6 0.1 -3.6 1.6 -3.3 14.9 -17.2 -20.0 -20.0 5.2 11.5 5.3 15.3 15.0 EUR -0.1 18.8 -3.5 3.5 5.4 1.8 3.9 1.1 4.3 10.8 -4.6 0.5 4.8 6.5 5.4 -5.8 -6.8 -6.2 -6.4 4.6 0.1 7.1 -2.4 5.0 11.3 2.1 9.5 0.1 3.3 -1.0 2.3 -7.3 -5.7 -13.3 1.0 -7.9 -15.8 -13.6 -14.4 -5.7 EURIBOR-ICE 19.8 20.0 20.0 1.5 2.5 -0.2 2.6 -1.4 2.6 6.5 4.4 7.1 -2.0 7.8 7.8 -2.0 -6.4 -3.9 -5.5 14.5 8.0 13.5 -0.7 16.4 17.0 2.7 2.0 1.5 2.5 0.0 3.1 -8.4 5.6 7.6 10.5 14.7 -20.0 -20.0 4.5 20.0 EUROSTX 20.0 20.0 -3.8 5.1 7.1 1.5 7.9 0.5 7.9 18.8 8.2 20.0 17.5 20.0 18.8 0.4 -2.6 -3.3 -3.8 20.0 14.2 20.0 11.7 20.0 3.6 6.9 4.8 3.0 8.2 1.9 9.4 4.2 8.2 10.7 13.5 9.7 2.9 7.0 8.5 15.5 FEEDCOW -3.4 -20.0 -20.0 -1.7 0.6 -2.2 -1.0 -2.8 -1.5 5.9 -5.5 -3.1 0.6 -6.6 -7.8 -7.2 -20.0 -10.2 -16.6 -14.6 -9.3 -2.7 -1.1 -11.2 -1.1 -2.7 0.7 -1.5 -0.2 0.6 -1.8 -20.0 -0.8 -3.6 -20.0 -11.3 12.2 1.5 20.0 9.1 GASOIL -12.8 -20.0 -6.6 -3.6 -0.1 -0.7 -3.4 1.4 -4.6 -3.4 5.7 -11.0 6.1 -13.8 -12.2 9.7 20.0 16.8 19.8 -11.8 0.4 -13.9 8.9 -17.0 8.1 -3.6 -1.2 0.5 -4.7 3.1 -5.5 0.6 -4.3 -0.1 0.9 3.4 -8.0 -1.9 -14.3 -7.3 GASOLINE -5.5 -15.4 -20.0 -3.7 -0.1 -0.7 -3.4 1.4 -4.7 4.7 0.9 -6.8 3.7 -10.5 -12.4 -6.4 20.0 6.0 19.1 -9.8 -3.6 -5.3 4.2 -10.1 -20.0 -3.9 3.0 -1.0 -1.7 3.4 -3.6 5.6 6.0 13.7 13.3 -7.7 20.0 11.5 20.0 8.8 GAS_US_mini -20.0 -20.0 8.3 -3.1 -0.1 -0.6 -2.9 1.2 -4.0 -7.6 -12.7 -11.6 -14.1 -13.2 -13.4 -2.3 -20.0 -20.0 -20.0 -20.0 -18.6 -20.0 -20.0 -20.0 17.3 -4.4 -2.5 -2.6 -4.4 -1.6 -5.3 -20.0 -11.8 -20.0 -11.2 -12.1 -16.7 5.9 -20.0 1.8 GBP 11.8 20.0 -8.0 3.6 5.6 1.9 4.1 1.2 4.5 8.1 -3.5 8.4 7.7 12.2 7.7 -0.5 -0.8 -0.6 -0.6 8.9 2.6 9.8 0.4 11.5 1.3 3.4 6.5 0.8 3.8 -0.4 4.4 2.9 -2.8 -0.3 5.2 -8.9 -11.0 2.4 -7.6 18.2 GOLD_micro 2.2 11.0 3.6 0.3 4.4 -0.2 -0.3 -0.1 -0.3 -0.5 1.7 -1.7 4.2 3.3 9.0 -12.8 -13.9 -14.4 -14.7 6.9 4.0 1.6 1.7 4.8 -5.0 2.9 2.8 1.8 0.6 1.0 2.0 -14.9 1.5 8.9 11.5 9.3 -14.4 -20.0 -14.0 -20.0 HEATOIL -13.7 -20.0 -9.6 -3.8 -0.1 -0.7 -3.5 1.5 -4.8 -2.8 4.3 -11.7 4.8 -13.9 -12.9 16.3 20.0 20.0 20.0 -12.6 -1.2 -12.9 7.2 -16.9 -17.7 -3.9 -1.0 0.3 -3.9 4.0 -5.2 3.8 -4.6 6.0 3.3 -1.8 12.6 -1.1 8.1 -6.8 JGB-SGX-mini 13.5 19.5 -7.2 1.3 1.6 -0.3 2.0 -1.4 2.3 0.9 -0.9 1.1 1.9 4.3 3.5 10.2 19.2 14.8 16.0 3.2 0.5 1.8 -0.2 4.1 -1.8 1.0 0.8 -0.2 0.7 -0.7 1.6 20.0 -9.9 0.0 -7.3 -0.2 4.0 -20.0 15.2 19.7 JPY 20.0 20.0 13.0 2.2 3.4 1.1 2.5 0.7 2.7 8.3 -8.2 8.5 -9.5 7.9 0.2 -15.5 -16.3 -17.5 -17.4 2.2 -5.8 13.9 -11.1 9.4 20.0 0.8 7.0 -2.4 6.0 -4.3 4.1 -20.0 20.0 11.8 -4.9 -9.5 -7.2 -20.0 -0.2 -20.0 LEANHOG -12.0 -2.4 -0.7 -2.5 0.9 -3.4 -1.5 -4.2 -2.3 2.6 -2.9 -6.6 -7.6 -7.8 -9.1 -20.0 10.1 -12.9 6.6 -9.9 -9.3 -4.4 -10.5 -9.2 12.8 -3.6 2.6 -5.0 -1.3 -7.8 -3.0 19.2 1.2 -8.2 -3.5 -1.6 -10.9 -6.3 7.1 12.4 LIVECOW -10.1 -20.0 -20.0 -1.9 0.7 -2.5 -1.1 -3.1 -1.7 3.9 -4.6 -3.7 1.9 -7.5 -8.4 -3.7 -4.6 -8.7 -7.2 -14.8 -8.3 -5.7 -0.2 -13.2 0.2 -3.1 0.2 -1.4 -0.9 1.0 -2.5 -7.1 -7.5 -6.2 -20.0 -9.7 2.2 -10.6 6.8 -3.7 LUMBER-new 1.0 19.8 2.8 -5.0 1.9 -6.6 -3.0 -6.9 -4.5 18.4 -10.0 6.8 -20.0 19.1 14.9 -14.0 -14.7 -15.0 -14.9 10.3 -1.6 10.6 -11.6 12.4 NaN 4.1 6.7 0.0 5.1 -3.0 4.8 -20.0 20.0 10.8 20.0 10.1 -17.7 -20.0 -10.9 -17.6 MILK -10.3 -14.7 -10.9 -3.2 1.2 -4.2 -1.9 -5.2 -2.8 -14.4 -14.0 -15.4 -14.7 -16.1 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.5 -20.0 -19.7 7.8 -5.8 -5.5 -5.8 -4.8 -7.0 -5.5 -20.0 -1.9 -20.0 -20.0 -10.6 -20.0 -20.0 -20.0 -20.0 MXP 1.0 15.0 -13.9 3.4 5.2 1.7 3.8 1.1 4.2 12.3 9.8 6.3 13.2 12.2 8.8 13.2 16.4 13.9 14.9 8.3 8.0 6.0 13.5 7.8 -20.0 3.1 3.4 3.2 2.2 5.7 2.8 20.0 -2.6 -12.3 4.1 -2.4 9.1 14.8 20.0 20.0 NASDAQ_micro 14.2 20.0 -0.3 3.2 4.5 1.0 4.9 0.3 4.9 12.7 12.0 13.8 11.9 14.7 13.0 -10.6 -8.8 -10.0 -9.6 19.3 15.2 20.0 15.1 20.0 -20.0 4.3 6.2 3.4 5.8 4.0 5.4 -6.0 0.8 -4.0 1.5 7.4 9.0 -7.9 9.2 -10.2 NIKKEI -5.1 11.9 -8.5 4.1 5.6 1.2 6.2 0.4 6.2 -7.3 14.8 -7.6 15.6 9.8 11.4 13.7 10.4 9.8 9.6 8.4 11.7 -5.5 16.3 2.2 -11.9 2.8 -4.4 4.8 -3.0 7.6 0.2 20.0 -20.0 -20.0 -16.7 3.9 -9.5 0.4 -6.8 5.4 NZD 16.5 20.0 8.7 3.0 4.6 1.6 3.4 1.0 3.7 8.6 -2.7 10.1 -0.8 11.4 8.8 0.0 0.2 -0.0 0.1 9.9 2.3 10.3 -3.5 12.8 0.8 3.7 3.8 1.2 3.6 -0.7 4.5 4.3 -1.0 5.0 2.4 5.1 -4.9 -12.8 -1.3 6.8 OAT 20.0 20.0 9.5 2.0 3.2 -0.3 3.3 -1.8 3.4 9.0 2.5 9.5 -5.6 10.1 8.2 4.9 7.2 5.4 6.0 13.8 4.2 18.3 -4.6 19.5 8.2 3.0 3.3 1.1 4.0 -0.6 4.2 13.7 9.7 9.2 6.9 8.2 -20.0 -20.0 -4.4 7.7 OATIES 8.8 -17.1 -20.0 -1.5 0.6 -2.1 -0.9 -2.6 -1.4 -1.8 -4.7 -3.7 -3.6 -5.6 -7.3 -3.2 -8.3 -10.5 -12.0 -9.2 -7.0 -5.2 -2.5 -7.3 -20.0 -2.5 0.2 -1.9 -1.3 -0.7 -1.9 -16.7 -0.6 -1.4 -12.2 -13.2 3.5 9.3 15.5 20.0 OJ -20.0 -20.0 2.9 -3.2 1.2 -4.4 -2.0 -5.4 -2.9 -5.9 14.7 -10.9 16.6 -0.5 9.5 13.8 20.0 20.0 20.0 16.5 20.0 -11.3 20.0 -2.1 -20.0 4.9 -1.1 8.6 -1.7 10.8 0.6 20.0 -20.0 6.3 20.0 20.0 8.6 10.4 20.0 20.0 PALLAD 6.5 8.0 14.5 0.2 2.8 -0.1 -0.2 -0.0 -0.2 6.1 -8.5 0.1 -9.3 -3.7 -6.5 -1.9 -2.3 -2.1 -2.3 -7.1 -8.8 3.6 -11.2 -3.7 5.4 -2.9 5.3 -2.9 1.1 -2.7 -1.7 5.9 11.8 -5.7 -19.2 -14.9 -1.0 -7.4 9.0 -1.0 PLAT 7.4 9.1 0.4 0.3 3.8 -0.1 -0.3 -0.0 -0.3 10.4 -7.5 7.7 -5.8 8.1 0.8 -3.2 -2.8 -3.3 -3.2 1.7 -2.4 8.8 -4.2 4.9 12.2 1.0 9.6 -0.3 4.9 -0.8 2.4 4.8 14.0 8.2 0.5 3.9 -5.4 -11.8 11.3 -6.3 REDWHEAT 20.0 8.9 -14.4 -3.0 1.1 -4.0 -1.8 -4.9 -2.7 -8.9 -14.0 5.3 -14.9 0.9 -9.3 -3.0 -1.2 -4.1 -3.2 -10.1 -16.4 -1.7 -16.6 -2.4 -12.4 -3.7 -3.2 -5.9 -0.7 -5.3 -0.5 -1.8 8.0 8.2 -9.3 -16.4 -20.0 -20.0 -20.0 -14.4 RICE -3.3 9.6 7.0 -4.3 -2.0 -5.6 -4.3 -6.8 -4.3 -11.8 15.6 -9.4 11.5 10.5 11.6 -14.4 2.1 -14.5 -6.1 15.3 14.1 -4.9 9.8 7.5 -20.0 3.9 -4.0 3.8 -3.1 2.6 0.9 0.8 -16.5 10.6 18.2 20.0 -0.7 -15.1 15.2 -4.5 ROBUSTA 19.3 14.6 -6.0 -2.9 1.1 -3.9 -1.8 -4.8 -2.6 13.7 13.5 14.7 13.5 15.1 13.8 20.0 20.0 20.0 20.0 20.0 14.9 20.0 14.9 20.0 -20.0 4.9 9.8 3.6 8.6 3.5 6.8 20.0 20.0 20.0 20.0 20.0 -10.0 -14.5 3.8 0.7 RUSSELL 20.0 20.0 -6.8 2.6 3.6 0.8 4.0 0.2 4.0 10.7 -1.9 11.7 -3.9 11.9 4.6 -5.7 -6.0 -6.2 -6.4 8.6 0.2 20.0 -3.0 17.3 -1.7 2.4 8.1 0.2 6.1 -0.4 4.8 -0.9 19.3 4.7 -1.5 -6.5 -15.8 -14.3 -20.0 -19.8 SHATZ 20.0 20.0 20.0 1.5 2.5 -0.2 2.5 -1.4 2.6 4.9 -3.4 6.0 -6.6 6.3 4.3 -20.0 -19.4 -20.0 -20.0 6.5 0.4 8.7 -6.5 10.0 9.2 2.0 1.9 0.4 2.6 -1.3 3.0 -20.0 2.5 4.8 -1.2 3.9 -11.7 -20.0 -5.4 -20.0 SILVER-mini 2.6 10.4 -2.2 0.3 4.5 -0.2 -0.3 -0.1 -0.3 -2.7 -1.5 -4.9 2.5 -0.4 4.0 -6.6 -6.3 -6.9 -6.8 2.6 0.7 -3.7 -0.3 -0.1 5.6 0.0 2.1 0.4 -2.9 0.5 -1.9 -1.3 -19.4 -7.5 -1.9 1.8 -17.5 -20.0 0.9 -20.0 SMI 20.0 16.1 -8.0 4.8 6.6 1.4 7.3 0.4 7.3 19.9 -5.1 20.0 1.4 19.7 8.5 7.4 3.0 5.3 3.5 13.1 -2.9 20.0 -6.1 20.0 8.8 4.3 10.3 0.0 11.3 -1.6 9.3 15.0 13.6 8.1 -15.9 -3.8 -2.8 -7.2 1.7 -5.2 SOFR 19.5 20.0 7.4 1.5 2.5 -0.2 2.6 -1.4 2.6 6.3 -1.8 6.6 -3.2 7.6 5.8 1.0 -0.4 0.4 -0.2 6.9 0.7 9.6 -3.5 10.0 -1.2 2.0 3.2 0.2 2.6 -0.9 2.9 1.7 -1.7 2.6 1.5 3.1 -20.0 -20.0 -6.6 -8.8 SOYBEAN -8.7 4.2 -1.0 -3.8 1.4 -5.2 -2.3 -6.4 -3.5 7.2 8.6 -6.9 6.8 -3.1 -5.1 16.0 17.5 15.8 15.4 0.5 2.3 -1.8 1.8 -2.4 -20.0 4.8 2.1 4.2 1.3 2.7 3.0 20.0 1.2 8.5 19.0 15.5 -20.0 -20.0 -20.0 -13.8 SOYMEAL -20.0 6.3 3.6 -2.4 0.9 -3.2 -1.4 -4.0 -2.1 -9.4 2.0 -11.5 3.6 -6.8 1.2 16.9 17.6 16.8 16.6 -0.3 3.2 -11.5 3.6 -8.5 -20.0 1.0 -2.7 2.3 -3.3 2.7 -1.9 20.0 -12.5 -17.6 12.3 14.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 4.5 -3.2 -20.0 -1.9 0.7 -2.6 -1.2 -3.2 -1.7 -2.7 -2.8 -4.9 -3.7 -4.1 -8.2 1.4 9.2 5.1 7.3 -7.2 -7.4 -3.8 -4.6 -4.3 -20.0 -1.2 -1.2 -2.0 -0.5 -1.5 0.0 15.9 -6.2 9.7 -2.0 -10.1 -10.7 0.6 4.8 12.3 SP400 20.0 20.0 -9.2 2.9 4.0 0.9 4.4 0.3 4.4 11.7 0.0 12.5 0.3 12.9 6.3 -5.3 -5.1 -5.4 -5.3 10.6 1.6 20.0 -1.2 19.6 -9.2 3.0 8.8 0.7 6.6 0.1 5.3 0.9 19.8 5.8 -0.9 -3.7 -12.3 -10.2 -17.4 -20.0 SP500_micro 20.0 20.0 -4.8 4.1 5.7 1.2 6.3 0.4 6.3 17.0 10.0 18.6 11.8 19.2 16.3 -11.5 -9.9 -11.0 -10.8 20.0 13.6 20.0 10.2 20.0 -20.0 5.1 8.9 2.9 7.7 2.7 7.1 -7.9 6.6 0.6 3.4 2.8 2.3 -7.4 4.6 -10.8 SUGAR11 -20.0 -20.0 -16.8 -2.2 0.8 -3.0 -1.3 -3.7 -2.0 -9.4 3.8 -11.1 9.6 -10.1 -3.3 20.0 20.0 20.0 20.0 -11.5 0.2 -20.0 8.1 -20.0 -20.0 -2.8 -4.0 -0.0 -5.8 2.2 -5.2 20.0 -20.0 -20.0 -20.0 7.3 -4.3 -13.3 13.5 5.6 US10 20.0 20.0 12.9 1.4 2.4 -0.2 2.4 -1.3 2.5 6.0 -3.5 6.2 -5.1 7.0 4.4 -6.7 -7.0 -6.8 -7.2 4.8 -1.6 9.8 -6.3 8.8 1.3 1.6 3.8 -0.4 3.0 -1.7 2.8 -10.2 1.6 2.8 -0.2 -0.1 -20.0 -20.0 -6.9 3.2 US10U 20.0 20.0 8.9 1.9 3.2 -0.3 3.2 -1.8 3.3 8.3 -4.5 8.5 -6.8 9.5 5.0 3.0 0.1 1.6 0.6 6.4 -2.8 13.7 -9.0 12.4 -1.9 2.0 5.0 -0.7 4.0 -2.3 3.8 2.7 3.1 4.3 -0.6 -1.5 -20.0 -20.0 2.9 14.5 US2 16.0 20.0 20.0 1.4 2.3 -0.2 2.4 -1.3 2.4 5.3 -5.2 4.8 -6.4 5.5 3.7 -20.0 -20.0 -20.0 -20.0 3.5 -1.7 7.4 -6.9 6.2 8.0 1.9 4.0 -0.1 2.8 -2.0 2.7 -20.0 -1.9 1.6 -1.3 4.1 -15.4 -20.0 -8.4 -20.0 US20 20.0 20.0 7.1 1.4 2.4 -0.2 2.4 -1.3 2.4 6.3 -2.9 6.5 -4.7 7.1 3.8 -0.6 -1.3 -0.8 -1.2 5.4 -2.2 11.9 -6.9 10.6 -1.8 1.5 3.7 -0.6 3.1 -1.7 2.9 -0.4 6.5 5.5 1.5 -2.1 -13.5 -20.0 14.1 20.0 US30 20.0 20.0 8.4 1.6 2.7 -0.2 2.7 -1.5 2.8 7.1 -3.3 7.4 -5.7 8.0 4.1 -4.7 -4.1 -4.8 -4.8 6.0 -2.4 12.9 -8.0 11.8 -1.5 1.7 4.0 -0.7 3.5 -1.9 3.3 -5.4 6.2 6.2 0.2 -1.8 -7.6 -20.0 20.0 20.0 US5 17.8 20.0 18.1 1.4 2.4 -0.2 2.4 -1.3 2.5 5.6 -3.9 5.9 -5.3 6.8 4.7 -9.1 -10.3 -10.2 -10.9 4.7 -1.0 8.8 -5.7 7.9 3.3 1.8 3.9 -0.1 2.9 -1.5 2.8 -16.3 -0.1 1.9 -0.3 2.0 -20.0 -20.0 -19.3 -14.4 VIX -13.6 -20.0 6.8 -5.2 -6.2 -5.3 -6.0 -6.9 -5.7 -16.7 -19.0 -18.6 -19.0 -19.3 -18.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -6.1 -6.6 -6.0 -6.4 -8.0 -6.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 12.8 11.1 -6.0 -3.5 1.3 -4.7 -2.1 -5.7 -3.1 -10.1 -16.0 6.4 -17.9 6.0 -8.1 -10.5 -10.4 -11.5 -11.2 -6.0 -14.8 -1.3 -20.0 -0.0 -3.5 -1.5 -4.8 -5.3 -0.7 -7.6 1.2 -17.0 11.0 13.4 -0.5 -6.0 -20.0 -20.0 -20.0 -19.8 End of report for caleb_strategy_v3