******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231218_204013 produced at 2023-12-18 21:37:23.416353 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.27 0.0 0.10 -0.10 -0.10 -0.10 -46.90 17.0 -17 -17 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.08 0.0 0.67 -0.67 -0.21 -0.21 -1.60 13.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.07 0.0 0.11 -0.11 -0.04 -0.04 -7.66 12.0 -5 -5 caleb_strategy_v3 US2 False True 0.07 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.80 13.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -16.48 51.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.06 -0.06 -0.05 -0.05 -28.84 26.0 -25 -25 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 -0.05 0.0 0.41 -0.41 -0.02 -0.02 -1.95 17.0 -1 -1 caleb_strategy_v3 MILK False True 0.01 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -4.88 5.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.31 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.90 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.04 0.0 0.40 -0.40 -0.14 -0.14 -5.08 56.0 -19 -20 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.15 -0.15 -0.06 -0.06 -2.76 11.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.32 -0.32 -0.04 -0.04 -0.88 8.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.02 0.0 0.96 -0.96 -0.04 -0.04 -0.56 25.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.47 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.16 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 -1.67 9.0 -4 -4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.63 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.01 0.0 0.13 -0.13 -0.03 -0.03 -0.64 9.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.18 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.02 -1.79 18.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.27 3.0 -1 -1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.08 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.58 10.0 -3 -3 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.24 -0.24 -0.01 -0.00 -1.50 68.0 -2 -1 caleb_strategy_v3 EUR False False 0.05 0.00 -0.01 0.0 0.68 -0.68 0.00 0.00 -0.22 14.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.03 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 0.10 6.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.07 0.00 0.0 0.20 -0.20 0.07 0.07 0.04 6.0 2 2 caleb_strategy_v3 US10 False False 0.04 -0.40 -0.00 0.0 0.67 -0.67 -0.40 -0.40 -0.11 17.0 -10 -10 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.00 0.0 0.16 -0.16 -0.02 -0.02 -0.18 7.0 -1 -1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.00 0.0 0.14 -0.14 0.01 0.01 0.37 13.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.00 0.00 0.0 0.76 -0.76 0.00 0.00 0.14 29.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.00 0.0 0.11 -0.11 0.00 0.00 0.14 4.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.18 4.0 2 2 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.12 2.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.53 -0.53 0.03 0.03 0.22 17.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.59 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.22 13.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.87 -0.87 0.00 0.00 0.22 19.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.22 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.28 0.01 0.0 0.28 -0.28 0.28 0.28 0.14 6.0 6 6 caleb_strategy_v3 ROBUSTA False False 0.01 0.04 0.02 0.0 0.23 -0.23 0.04 0.04 1.72 23.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.41 -0.41 0.00 0.00 2.02 48.0 0 0 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 AUD False False 0.02 0.07 0.02 0.0 0.45 -0.45 0.07 0.07 0.78 19.0 3 3 caleb_strategy_v3 PLAT False False 0.02 0.03 0.02 0.0 0.17 -0.17 0.03 0.02 1.13 10.0 2 1 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.53 -0.53 0.00 0.00 0.44 10.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.13 0.02 0.0 0.28 -0.28 0.13 0.13 1.59 23.0 11 11 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.02 0.0 0.29 -0.29 0.12 0.08 2.28 36.0 15 10 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.61 -0.61 0.00 0.00 1.00 22.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.04 0.0 0.13 -0.13 0.05 0.05 1.65 5.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.02 0.04 0.0 0.44 -0.44 0.02 0.02 5.30 66.0 3 3 caleb_strategy_v3 NZD False False 0.02 0.09 0.04 0.0 0.46 -0.46 0.09 0.09 1.84 21.0 4 4 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.39 -0.39 0.09 0.09 3.27 26.0 6 6 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.05 0.0 0.09 -0.09 0.07 0.07 35.49 59.0 49 49 caleb_strategy_v3 SOFR False True 0.09 0.00 0.07 0.0 0.00 0.00 0.00 0.00 0.81 11.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.14 0.08 0.0 0.46 -0.46 0.14 0.14 1.80 10.0 3 3 caleb_strategy_v3 SMI False False 0.05 0.41 0.09 0.0 0.41 -0.41 0.41 0.41 2.02 9.0 9 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.10 0.0 0.00 0.00 0.00 0.00 3.50 12.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.13 0.0 0.51 -0.51 0.00 0.00 2.53 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.13 0.0 0.35 -0.35 0.25 0.26 7.34 20.0 14 15 caleb_strategy_v3 DAX False False 0.01 0.00 0.16 0.0 0.38 -0.38 0.00 0.00 25.05 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.37 0.29 0.0 0.61 -0.61 0.37 0.37 28.41 60.0 37 37 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.36 0.46 0.0 0.58 -0.58 0.36 0.36 12.79 16.0 10 10 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.38 1.10 0.0 0.94 -0.94 0.38 0.38 11.64 10.0 4 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.9 Shocked risk 57.4 Sum abs risk 48.8 Leverage 4.17 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2834320.69, 'annual_cash_vol_target': 708580.1725, 'daily_cash_vol_target': 44286.26078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6719 0.6848 10.9569 BITCOIN 1202.2698 41930.0000 2.8673 45.8772 BOBL 0.2835 118.8100 0.2386 3.8183 BTP 0.6452 118.7500 0.5433 8.6926 BUND 0.5769 136.7400 0.4219 6.7505 BUXL 1.4357 141.2000 1.0168 16.2691 CAC 47.7542 7601.0000 0.6283 10.0522 CAD 0.0030 0.7476 0.3985 6.3763 CANOLA 8.2717 663.9000 1.2459 19.9349 CHF 0.0047 1.1625 0.4017 6.4264 COCOA 43.9699 4241.0000 1.0368 16.5885 COFFEE 3.5778 190.5500 1.8776 30.0420 COPPER 0.0425 3.8475 1.1050 17.6808 CORN 4.4112 508.2500 0.8679 13.8868 COTTON2 1.0886 79.1900 1.3747 21.9955 CRUDE_W 1.2016 72.4800 1.6578 26.5248 DAX 102.6913 16872.0000 0.6086 9.7384 DOW 203.2891 37696.0000 0.5393 8.6286 DX 0.4904 102.2050 0.4798 7.6771 EUR 0.0058 1.0958 0.5277 8.4426 EURIBOR-ICE 0.0552 97.9450 0.0563 0.9011 EUROSTX 31.0812 4567.0000 0.6806 10.8890 FEEDCOW 2.6486 224.1250 1.1817 18.9078 GASOIL 13.6100 766.0000 1.7768 28.4282 GASOLINE 0.0434 2.1912 1.9789 31.6619 GAS_US_mini 0.0936 2.4250 3.8584 61.7340 GBP 0.0073 1.2646 0.5736 9.1777 GOLD_micro 17.5448 2039.7000 0.8602 13.7627 HEATOIL 0.0462 2.6207 1.7630 28.2084 JGB-SGX-mini 0.3494 145.8200 0.2396 3.8335 JPY 0.0001 0.0071 0.7332 11.7308 LEANHOG 1.2958 78.5750 1.6491 26.3852 LIVECOW 1.7695 169.5750 1.0435 16.6959 LUMBER-new 7.0153 563.5000 1.2450 19.9193 MILK 0.1942 15.8800 1.2231 19.5690 MXP 0.0004 0.0574 0.7313 11.7000 NASDAQ_micro 119.7547 16960.5000 0.7061 11.2973 NIKKEI 282.6031 32695.0000 0.8644 13.8298 NZD 0.0041 0.6208 0.6581 10.5291 OAT 0.5835 131.1200 0.4450 7.1208 OATIES 8.0395 380.0000 2.1156 33.8504 OJ 6.0718 365.8000 1.6599 26.5577 PALLAD 33.3277 1195.5000 2.7878 44.6041 PLAT 15.3338 952.4000 1.6100 25.7602 REDWHEAT 12.3330 633.5000 1.9468 31.1489 RICE 0.1609 17.8650 0.9005 14.4080 ROBUSTA 37.4638 2791.0000 1.3423 21.4769 RUSSELL 23.6051 2007.7000 1.1757 18.8117 SHATZ 0.0992 106.3050 0.0933 1.4934 SILVER-mini 0.4063 24.0875 1.6868 26.9880 SMI 64.6786 11132.0000 0.5810 9.2962 SOFR 0.0801 96.7200 0.0828 1.3251 SOYBEAN 10.6020 1284.5000 0.8254 13.2060 SOYMEAL 5.2759 397.0000 1.3289 21.2631 SOYOIL 0.7814 50.9500 1.5337 24.5386 SP400 27.1210 2783.2000 0.9745 15.5912 SP500_micro 27.5342 4798.0000 0.5739 9.1819 SUGAR11 0.4225 20.7300 2.0380 32.6086 US10 0.5146 112.2656 0.4584 7.3337 US10U 0.6863 117.2031 0.5856 9.3691 US2 0.1539 102.6836 0.1499 2.3986 US20 1.0243 123.3125 0.8307 13.2907 US30 1.5176 132.4375 1.1459 18.3343 US5 0.3454 108.2812 0.3190 5.1040 VIX 0.4662 16.3500 2.8512 45.6197 WHEAT 9.9004 655.2500 1.5109 24.1749 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.90 0.68 460.12 1.00 460.12 44286.26 96.25 3.11 29.98 BITCOIN 41.93 2.87 120.23 1.00 120.23 44286.26 368.36 8.90 327.73 BOBL 1188.10 0.24 283.53 1.10 311.52 44286.26 142.16 1.52 21.59 BTP 1187.50 0.54 645.15 1.10 708.83 44286.26 62.48 8.43 52.64 BUND 1367.40 0.42 576.91 1.10 633.86 44286.26 69.87 6.23 43.51 BUXL 1412.00 1.02 1435.74 1.10 1577.45 44286.26 28.07 6.21 17.44 CAC 760.10 0.63 477.54 1.10 524.68 44286.26 84.41 12.16 102.64 CAD 747.60 0.40 297.93 1.00 297.93 44286.26 148.64 0.36 5.40 CANOLA 132.78 1.25 165.43 0.75 123.57 44286.26 358.39 -18.90 -677.28 CHF 1453.12 0.40 583.65 1.00 583.65 44286.26 75.88 -8.14 -61.80 COCOA 424.10 1.04 439.70 1.00 439.70 44286.26 100.72 15.14 152.49 COFFEE 714.56 1.88 1341.68 1.00 1341.68 44286.26 33.01 2.66 8.77 COPPER 961.88 1.11 1062.92 1.00 1062.92 44286.26 41.66 0.08 0.34 CORN 254.12 0.87 220.56 1.00 220.56 44286.26 200.79 -15.68 -314.80 COTTON2 395.95 1.37 544.32 1.00 544.32 44286.26 81.36 -15.81 -128.66 CRUDE_W 724.80 1.66 1201.57 1.00 1201.57 44286.26 36.86 4.14 15.26 DAX 168.72 0.61 102.69 1.10 112.83 44286.26 392.51 18.71 734.36 DOW 188.48 0.54 101.64 1.00 101.64 44286.26 435.70 5.23 227.92 DX 1022.05 0.48 490.40 1.00 490.40 44286.26 90.31 -5.60 -50.56 EUR 1369.69 0.53 722.73 1.00 722.73 44286.26 61.28 -1.36 -8.32 EURIBOR-ICE 2448.62 0.06 137.90 1.10 151.51 44286.26 292.30 11.68 341.38 EUROSTX 456.70 0.68 310.81 1.10 341.49 44286.26 129.69 16.60 215.27 FEEDCOW 1120.62 1.18 1324.29 1.00 1324.29 44286.26 33.44 -7.97 -26.65 GASOIL 766.00 1.78 1361.00 1.00 1361.00 44286.26 32.54 0.97 3.14 GASOLINE 920.30 1.98 1821.16 1.00 1821.16 44286.26 24.32 0.28 0.67 GAS_US_mini 60.62 3.86 233.91 1.00 233.91 44286.26 189.33 -14.07 -266.34 GBP 790.38 0.57 453.37 1.00 453.37 44286.26 97.68 3.97 38.73 GOLD_micro 203.97 0.86 175.45 1.00 175.45 44286.26 252.42 -5.90 -149.03 HEATOIL 1100.69 1.76 1940.55 1.00 1940.55 44286.26 22.82 -2.69 -6.13 JGB-SGX-mini 145820.00 0.24 34937.98 0.01 246.11 44286.26 179.95 6.56 118.07 JPY 887.50 0.73 650.69 1.00 650.69 44286.26 68.06 1.23 8.38 LEANHOG 314.30 1.65 518.30 1.00 518.30 44286.26 85.44 0.71 6.07 LIVECOW 678.30 1.04 707.80 1.00 707.80 44286.26 62.57 -9.42 -58.92 LUMBER-new 154.96 1.24 192.92 1.00 192.92 44286.26 229.56 -4.45 -102.05 MILK 317.60 1.22 388.44 1.00 388.44 44286.26 114.01 -20.00 -228.02 MXP 287.05 0.73 209.91 1.00 209.91 44286.26 210.98 9.17 193.54 NASDAQ_micro 339.21 0.71 239.51 1.00 239.51 44286.26 184.90 3.71 68.51 NIKKEI 32695.00 0.86 28260.31 0.01 199.07 44286.26 222.46 0.95 21.10 NZD 620.85 0.66 408.56 1.00 408.56 44286.26 108.40 6.56 71.06 OAT 1311.20 0.45 583.55 1.10 641.14 44286.26 69.07 10.74 74.15 OATIES 190.00 2.12 401.97 1.00 401.97 44286.26 110.17 -11.78 -129.81 OJ 548.70 1.66 910.76 1.00 910.76 44286.26 48.63 7.77 37.77 PALLAD 1195.50 2.79 3332.77 1.00 3332.77 44286.26 13.29 2.68 3.57 PLAT 476.20 1.61 766.69 1.00 766.69 44286.26 57.76 5.72 33.03 REDWHEAT 316.75 1.95 616.65 1.00 616.65 44286.26 71.82 -15.47 -111.07 RICE 357.30 0.90 321.75 1.00 321.75 44286.26 137.64 1.77 24.42 ROBUSTA 279.10 1.34 374.64 1.00 374.64 44286.26 118.21 12.47 147.40 RUSSELL 100.38 1.18 118.03 1.00 118.03 44286.26 375.23 -1.21 -45.31 SHATZ 1063.05 0.09 99.22 1.10 109.02 44286.26 406.24 -2.17 -88.26 SILVER-mini 602.19 1.69 1015.74 1.00 1015.74 44286.26 43.60 -4.22 -18.39 SMI 1113.20 0.58 646.79 1.15 745.84 44286.26 59.38 9.98 59.26 SOFR 2418.00 0.08 200.26 1.00 200.26 44286.26 221.14 0.60 13.31 SOYBEAN 642.25 0.83 530.10 1.00 530.10 44286.26 83.54 -2.34 -19.51 SOYMEAL 397.00 1.33 527.59 1.00 527.59 44286.26 83.94 -8.20 -68.82 SOYOIL 305.70 1.53 468.84 1.00 468.84 44286.26 94.46 -6.54 -61.81 SP400 2783.20 0.97 2712.10 1.00 2712.10 44286.26 16.33 -1.42 -2.31 SP500_micro 239.90 0.57 137.67 1.00 137.67 44286.26 321.68 2.70 86.72 SUGAR11 232.18 2.04 473.18 1.00 473.18 44286.26 93.59 -8.98 -84.04 US10 1122.66 0.46 514.57 1.00 514.57 44286.26 86.06 -0.99 -8.48 US10U 1172.03 0.59 686.30 1.00 686.30 44286.26 64.53 2.66 17.15 US2 2053.67 0.15 307.87 1.00 307.87 44286.26 143.85 -4.39 -63.19 US20 1233.12 0.83 1024.32 1.00 1024.32 44286.26 43.23 3.96 17.12 US30 1324.38 1.15 1517.59 1.00 1517.59 44286.26 29.18 3.76 10.97 US5 1082.81 0.32 345.42 1.00 345.42 44286.26 128.21 -3.45 -44.21 VIX 163.50 2.85 466.18 1.00 466.18 44286.26 95.00 -20.00 -190.00 WHEAT 327.62 1.51 495.02 1.00 495.02 44286.26 89.46 -14.07 -125.91 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 29.981 0.010 2.5 0.778 BITCOIN 327.730 0.043 2.5 35.490 BOBL 21.594 0.004 2.5 0.219 BTP 52.641 0.014 2.5 1.796 BUND 43.511 0.004 2.5 0.441 BUXL 17.437 0.004 2.5 0.177 CAC 102.645 0.014 2.5 3.501 CAD 5.396 0.010 2.5 0.140 CANOLA -677.275 0.010 2.5 -16.478 CHF -61.800 0.010 2.5 -1.603 COCOA 152.488 0.009 2.5 3.266 COFFEE 8.772 0.005 2.5 0.102 COPPER 0.341 0.043 2.5 0.037 CORN -314.795 0.010 2.5 -7.659 COTTON2 -128.662 0.009 2.5 -2.756 CRUDE_W 15.257 0.043 2.5 1.652 DAX 734.364 0.014 2.5 25.048 DOW 227.922 0.009 2.5 5.297 DX -50.558 0.010 2.5 -1.312 EUR -8.321 0.010 2.5 -0.216 EURIBOR-ICE 341.378 0.014 2.5 11.644 EUROSTX 215.271 0.014 2.5 7.343 FEEDCOW -26.648 0.013 2.5 -0.883 GASOIL 3.142 0.017 2.5 0.136 GASOLINE 0.671 0.017 2.5 0.029 GAS_US_mini -266.344 0.043 2.5 -28.842 GBP 38.733 0.010 2.5 1.005 GOLD_micro -149.034 0.014 2.5 -5.083 HEATOIL -6.130 0.017 2.5 -0.266 JGB-SGX-mini 118.065 0.043 2.5 12.785 JPY 8.383 0.010 2.5 0.218 LEANHOG 6.066 0.024 2.5 0.369 LIVECOW -58.921 0.013 2.5 -1.953 LUMBER-new -102.050 0.009 2.5 -2.178 MILK -228.018 0.009 2.5 -4.884 MXP 193.536 0.059 2.5 28.406 NASDAQ_micro 68.515 0.009 2.5 1.592 NIKKEI 21.096 0.043 2.5 2.284 NZD 71.057 0.010 2.5 1.844 OAT 74.153 0.014 2.5 2.529 OATIES -129.805 0.010 2.5 -3.158 OJ 37.773 0.009 2.5 0.809 PALLAD 3.566 0.014 2.5 0.122 PLAT 33.033 0.014 2.5 1.127 REDWHEAT -111.074 0.005 2.5 -1.473 RICE 24.421 0.010 2.5 0.594 ROBUSTA 147.400 0.005 2.5 1.721 RUSSELL -45.306 0.013 2.5 -1.501 SHATZ -88.260 0.004 2.5 -0.895 SILVER-mini -18.394 0.014 2.5 -0.627 SMI 59.258 0.014 2.5 2.021 SOFR 13.313 0.024 2.5 0.809 SOYBEAN -19.512 0.004 2.5 -0.181 SOYMEAL -68.818 0.004 2.5 -0.640 SOYOIL -61.812 0.004 2.5 -0.575 SP400 -2.314 0.013 2.5 -0.077 SP500_micro 86.723 0.009 2.5 2.015 SUGAR11 -84.035 0.009 2.5 -1.787 US10 -8.483 0.005 2.5 -0.107 US10U 17.152 0.005 2.5 0.217 US2 -63.195 0.005 2.5 -0.801 US20 17.121 0.005 2.5 0.217 US30 10.967 0.005 2.5 0.139 US5 -44.213 0.005 2.5 -0.560 VIX -189.998 0.099 2.5 -46.900 WHEAT -125.914 0.005 2.5 -1.670 ===================== Position diags ===================== AUD 2.50 BITCOIN 39.89 BOBL 1.44 BTP 2.13 BUND 0.71 BUXL 0.28 CAC 2.88 CAD 3.86 CANOLA 8.72 CHF 1.97 COCOA 2.16 COFFEE 0.39 COPPER 4.51 CORN 4.89 COTTON2 1.74 CRUDE_W 3.99 DAX 13.39 DOW 10.13 DX 2.34 EUR 1.59 EURIBOR-ICE 9.97 EUROSTX 4.42 FEEDCOW 1.11 GASOIL 1.41 GASOLINE 1.05 GAS_US_mini 20.50 GBP 2.53 GOLD_micro 8.61 HEATOIL 0.99 JGB-SGX-mini 19.49 JPY 1.77 LEANHOG 5.19 LIVECOW 2.07 LUMBER-new 4.90 MILK 2.44 MXP 30.97 NASDAQ_micro 4.30 NIKKEI 24.09 NZD 2.81 OAT 2.36 OATIES 2.68 OJ 1.04 PALLAD 0.45 PLAT 1.97 REDWHEAT 0.95 RICE 3.35 ROBUSTA 1.38 RUSSELL 12.43 SHATZ 4.12 SILVER-mini 1.49 SMI 2.03 SOFR 13.44 SOYBEAN 0.78 SOYMEAL 0.78 SOYOIL 0.88 SP400 0.54 SP500_micro 7.48 SUGAR11 1.99 US10 1.09 US10U 0.82 US2 1.82 US20 0.55 US30 0.37 US5 1.62 VIX 23.45 WHEAT 1.19 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.5 1.0 3.0 3 BITCOIN 35.5 31.5 39.5 49.0 49 BOBL 0.2 0.1 0.4 0.0 0 BTP 1.8 1.6 2.0 3.0 3 BUND 0.4 0.4 0.5 0.0 0 BUXL 0.2 0.1 0.2 2.0 2 CAC 3.5 3.2 3.8 0.0 0 CAD 0.1 -0.2 0.5 0.0 0 CANOLA -16.5 -17.3 -15.6 -6.0 -6 CHF -1.6 -1.8 -1.4 -4.0 -4 COCOA 3.3 3.1 3.5 6.0 6 COFFEE 0.1 0.1 0.1 0.0 0 COPPER 0.0 -0.4 0.5 2.0 2 CORN -7.7 -8.1 -7.2 -5.0 -5 COTTON2 -2.8 -2.9 -2.6 -4.0 -4 CRUDE_W 1.7 1.3 2.1 2.0 2 DAX 25.0 23.7 26.4 0.0 0 DOW 5.3 4.3 6.3 3.0 3 DX -1.3 -1.5 -1.1 NaN 0 EUR -0.2 -0.4 -0.1 0.0 0 EURIBOR-ICE 11.6 10.6 12.6 4.0 4 EUROSTX 7.3 6.9 7.8 14.0 14 FEEDCOW -0.9 -1.0 -0.8 -1.0 -1 GASOIL 0.1 -0.0 0.3 0.0 0 GASOLINE 0.0 -0.1 0.1 0.0 0 GAS_US_mini -28.8 -30.9 -26.8 -25.0 -25 GBP 1.0 0.8 1.3 0.0 0 GOLD_micro -5.1 -5.9 -4.2 -19.0 -19 HEATOIL -0.3 -0.4 -0.2 -1.0 -1 JGB-SGX-mini 12.8 10.8 14.7 10.0 10 JPY 0.2 0.0 0.4 1.0 1 LEANHOG 0.4 -0.2 0.9 1.0 1 LIVECOW -2.0 -2.2 -1.7 -1.0 -1 LUMBER-new -2.2 -2.7 -1.7 NaN 0 MILK -4.9 -5.1 -4.6 NaN 0 MXP 28.4 25.3 31.5 37.0 37 NASDAQ_micro 1.6 1.2 2.0 11.0 11 NIKKEI 2.3 -0.1 4.7 15.0 15 NZD 1.8 1.6 2.1 4.0 4 OAT 2.5 2.3 2.8 0.0 0 OATIES -3.2 -3.4 -2.9 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD 0.1 0.1 0.2 0.0 0 PLAT 1.1 0.9 1.3 2.0 2 REDWHEAT -1.5 -1.6 -1.4 -3.0 -3 RICE 0.6 0.3 0.9 NaN 0 ROBUSTA 1.7 1.6 1.9 4.0 4 RUSSELL -1.5 -2.7 -0.3 -2.0 -2 SHATZ -0.9 -1.3 -0.5 NaN 0 SILVER-mini -0.6 -0.8 -0.5 NaN 0 SMI 2.0 1.8 2.2 9.0 9 SOFR 0.8 -0.5 2.2 NaN 0 SOYBEAN -0.2 -0.3 -0.1 -1.0 -1 SOYMEAL -0.6 -0.7 -0.6 -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 2.0 1.3 2.8 0.0 0 SUGAR11 -1.8 -2.0 -1.6 -2.0 -2 US10 -0.1 -0.2 0.0 -10.0 -10 US10U 0.2 0.1 0.3 0.0 0 US2 -0.8 -1.0 -0.6 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.2 6.0 6 US5 -0.6 -0.7 -0.4 -1.0 -1 VIX -46.9 -49.2 -44.6 -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 3.7 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 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.1 0.1 -0.4 -0.5 -0.1 0.2 BITCOIN -0.0 0.5 0.5 0.0 0.0 -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 0.1 0.4 0.2 -2.7 0.1 -0.0 0.2 0.0 0.1 0.1 -0.1 0.4 0.6 0.6 0.6 -0.2 0.6 -0.0 0.7 BOBL 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 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 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 0.0 0.2 0.1 0.2 -0.6 -0.7 -0.3 -0.6 BTP 0.6 0.6 0.2 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 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 0.1 0.1 0.0 0.1 0.8 0.2 0.2 0.3 0.3 -0.5 -0.7 0.2 0.2 BUND 0.6 0.6 0.5 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 0.0 0.0 0.1 0.0 0.2 -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 -0.4 -0.2 BUXL 0.6 0.6 0.4 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 -0.2 0.2 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.4 0.5 0.2 0.2 -0.7 -0.7 -0.3 0.4 CAC 0.6 0.6 -0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.2 0.2 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.3 0.2 -1.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.4 0.1 0.0 0.3 0.2 0.6 0.4 CAD 0.6 0.4 -0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.2 -0.3 0.2 -0.5 0.2 0.1 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.2 -0.2 0.2 0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.4 0.5 -0.4 -0.3 -0.6 -0.7 -0.1 -0.5 CANOLA -0.4 -0.0 -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 -0.5 -0.5 -0.6 -0.5 -0.3 -0.1 0.1 CHF 0.5 0.6 -0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 0.3 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.1 0.2 -1.3 0.1 0.0 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 0.1 0.6 0.4 -0.0 0.1 -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 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.0 0.3 0.1 0.2 0.4 0.6 0.6 0.6 0.5 -0.0 0.7 0.5 COFFEE 0.4 0.6 0.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.1 0.1 0.2 -0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.2 -0.0 0.2 -2.7 0.1 0.0 0.1 0.1 0.0 0.1 0.5 0.4 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 -0.1 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 -0.9 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.1 0.3 0.5 0.1 -0.2 -0.4 0.2 -0.4 CORN -0.0 0.2 -0.2 -0.0 0.1 -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 -0.0 -0.1 -0.0 -0.4 -0.0 -0.2 -0.4 0.2 -0.2 0.3 -0.2 -0.3 0.2 0.1 COTTON2 0.2 -0.4 -0.4 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -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 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.6 -0.2 -0.5 -0.4 -0.1 0.1 CRUDE_W -0.3 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.3 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 0.0 0.2 -0.1 -0.6 -0.0 0.0 0.0 0.0 0.2 -0.0 -1.0 0.1 0.2 0.4 0.5 0.7 0.4 0.7 0.4 DAX 0.6 0.6 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.2 0.6 0.2 0.2 -0.3 -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 -0.1 0.6 0.6 0.3 0.2 0.2 0.5 0.5 DOW 0.6 0.6 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.3 0.2 0.5 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 0.0 0.0 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 -0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.8 -0.3 -0.6 -0.6 0.1 0.4 0.2 0.5 0.5 EUR -0.1 0.6 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 1.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.0 -0.5 -0.0 -0.2 -0.5 -0.4 -0.5 -0.2 EURIBOR-ICE 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.2 -0.0 0.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.3 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.6 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.2 0.7 0.2 0.2 0.0 -0.0 -0.0 -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 0.3 0.1 0.2 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 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.4 -0.2 -0.3 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -1.1 0.2 -0.1 -0.6 -0.4 0.4 0.1 0.7 0.3 GASOIL -0.4 -0.6 -0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 0.0 -0.0 0.2 -0.1 1.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.1 -0.3 -0.1 -0.5 -0.2 GASOLINE -0.1 -0.5 -0.6 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 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 0.1 -0.0 0.0 0.1 -0.0 0.3 0.2 0.4 0.4 -0.2 0.7 0.4 0.7 0.3 GAS_US_mini -0.6 -0.6 0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.1 -0.5 -0.1 -0.1 0.0 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.6 -0.3 -0.4 -0.6 0.2 -0.7 0.1 GBP 0.3 0.6 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -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 0.0 0.0 0.0 -0.0 0.0 0.2 -0.2 -0.0 0.1 -0.3 -0.4 0.1 -0.3 0.6 GOLD_micro 0.0 0.3 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 -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 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.8 -0.1 0.4 0.3 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 -0.0 0.1 0.1 -0.1 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.0 -0.0 0.2 -0.1 -2.4 -0.0 0.0 0.0 -0.0 0.2 -0.0 0.2 0.1 0.2 0.1 -0.1 0.4 -0.0 0.3 -0.2 JGB-SGX-mini 0.3 0.6 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.1 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 -0.3 -0.2 -0.3 -0.0 0.1 -0.7 0.5 0.7 JPY 0.6 0.6 0.5 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 0.0 -0.0 0.1 -0.1 0.0 -1.1 0.4 0.4 -0.1 -0.3 -0.3 -0.7 -0.0 -0.7 LEANHOG -0.2 -0.1 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.1 -0.1 0.0 -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 0.1 -0.1 0.0 -0.3 -0.0 0.9 0.0 -0.1 0.0 -0.0 -0.4 -0.2 0.2 0.4 LIVECOW -0.2 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.0 -0.2 -0.6 -0.3 0.1 -0.3 0.2 -0.1 LUMBER-new 0.0 0.7 0.1 -0.1 0.1 -0.2 0.0 -0.3 -0.0 0.2 -0.3 0.2 -0.8 0.3 0.2 -0.3 -0.3 -0.3 -0.3 0.2 -0.0 0.2 -0.3 0.2 NaN 0.1 0.1 0.0 0.1 -0.1 0.1 -1.2 0.6 0.3 0.7 0.5 -0.7 -0.8 -0.4 -0.7 MILK -0.5 -0.5 -0.4 -0.0 0.1 -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 -0.2 -0.5 -0.2 1.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 MXP -0.0 0.5 -0.4 0.0 0.0 0.1 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 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.3 0.2 0.4 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.1 0.1 -0.3 0.5 -0.0 0.1 0.3 0.3 -0.3 0.3 -0.3 NIKKEI -0.3 0.4 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.4 -0.1 0.6 0.1 0.1 0.3 0.2 0.2 0.2 0.1 0.1 -0.1 0.5 0.0 -1.6 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 -0.5 -0.6 -0.6 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 0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 0.2 -0.0 0.2 0.1 0.2 -0.2 -0.4 -0.1 0.2 OAT 0.6 0.6 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 0.1 0.1 0.1 0.2 0.1 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 0.2 OATIES 0.3 -0.5 -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 -0.1 -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 -0.2 0.1 -0.4 -0.5 0.1 0.3 0.5 0.7 OJ -0.6 -0.3 0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.0 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 -0.4 -0.4 0.5 0.6 0.3 0.4 0.7 0.7 PALLAD 0.4 0.4 0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.0 0.7 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.3 0.5 0.1 -0.4 -0.4 -0.1 -0.3 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 0.0 -0.0 0.0 -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 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.4 0.0 -0.5 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.4 -0.0 -1.5 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 -0.4 0.3 -0.3 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.4 0.2 -0.0 0.1 -0.2 0.0 -0.3 -0.0 0.2 0.4 0.0 0.4 0.1 0.1 -0.3 0.0 -0.3 -0.1 0.2 0.2 0.1 0.3 0.1 -2.7 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.3 -0.1 0.6 0.6 -0.0 -0.5 0.5 -0.1 ROBUSTA 0.6 0.6 -0.2 -0.0 0.1 -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 0.2 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 -0.0 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 -0.2 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.3 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 -0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -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 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.0 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.0 0.0 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.2 -0.1 0.0 -0.6 -0.7 0.1 -0.7 SMI 0.6 0.6 -0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.2 -0.0 0.2 -0.1 0.2 1.2 0.1 0.0 0.0 0.1 -0.0 0.1 0.8 0.2 0.3 -0.4 -0.1 -0.1 -0.2 0.1 -0.2 SOFR 0.6 0.6 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 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 -0.1 0.0 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN -0.2 0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.1 0.2 -0.1 0.3 -0.0 -0.1 0.3 0.4 0.3 0.3 0.0 0.0 0.0 0.1 -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 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.0 0.3 0.3 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 -0.2 -0.6 0.3 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 -0.1 -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 0.0 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 -0.2 0.3 -0.0 -0.3 -0.4 0.0 0.1 0.4 SP400 0.6 0.6 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 -1.2 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.2 0.3 0.0 -0.1 -0.4 -0.3 -0.6 -0.7 SP500_micro 0.6 0.6 -0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.3 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.4 0.5 0.2 0.2 0.1 0.1 -0.2 0.2 -0.3 SUGAR11 -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 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 0.1 -0.1 -0.4 0.4 0.2 US10 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -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 -0.6 -0.0 0.0 -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 0.2 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 -0.0 -0.7 -0.7 0.1 0.5 US2 0.6 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 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 -0.1 0.0 -0.1 0.1 -0.5 -0.7 -0.3 -0.7 US20 0.6 0.6 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.0 -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 0.1 0.2 0.1 -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 -0.0 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 0.1 -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 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 -0.0 0.1 -0.1 0.1 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.9 -0.1 0.0 -0.0 0.1 -0.7 -0.7 -0.7 -0.5 VIX -0.7 -1.0 0.5 -0.1 -0.0 -0.2 -0.1 -0.4 -0.1 -0.1 -0.8 -0.2 -1.1 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.0 -0.3 -0.1 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.4 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.4 0.1 -0.6 0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 -0.5 0.0 -0.4 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -0.9 -0.3 0.6 -0.1 -0.1 -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 9.4 20.0 8.4 3.3 3.3 1.8 3.7 1.1 4.1 12.3 -3.8 11.6 -8.2 11.7 9.1 -2.4 -2.9 -2.8 -2.9 8.5 1.1 12.4 -5.2 11.7 2.9 3.6 5.3 0.7 5.1 -1.6 4.9 -1.0 2.2 1.8 2.4 1.9 -13.0 -13.7 -4.0 6.4 BITCOIN -0.1 15.3 16.1 0.7 3.1 -0.2 0.6 -0.1 0.2 -9.6 19.0 8.3 16.6 16.3 19.8 -9.5 -6.1 -8.8 -7.6 20.0 20.0 10.3 13.1 20.0 -20.0 7.5 -0.7 6.0 2.5 3.4 6.0 -1.7 15.9 20.0 20.0 20.0 -5.7 17.7 -0.2 20.0 BOBL 20.0 20.0 17.4 1.8 2.3 0.0 3.0 -1.2 2.9 5.4 1.1 7.5 -4.6 7.9 7.0 -20.0 -5.5 -9.1 -7.2 10.8 3.9 14.4 -3.6 14.8 8.1 2.5 2.7 1.0 3.4 -0.5 3.5 -8.9 0.8 6.3 1.7 6.3 -17.6 -20.0 -8.0 -17.8 BTP 20.0 20.0 5.2 2.9 3.8 0.0 4.9 -2.0 4.8 11.3 6.5 13.0 4.7 13.9 12.1 5.4 7.4 6.4 6.5 19.8 8.7 20.0 -0.1 20.0 -8.0 4.2 4.9 1.9 5.4 0.3 5.5 14.2 8.2 7.0 10.7 8.2 -13.9 -20.0 4.9 5.7 BUND 20.0 20.0 14.0 2.0 2.6 0.0 3.4 -1.4 3.3 6.1 2.0 8.8 -5.3 9.4 7.9 3.2 4.1 0.8 1.5 13.3 4.3 18.4 -4.5 18.8 5.7 2.9 3.2 1.1 4.0 -0.5 4.1 7.1 7.3 9.4 4.5 7.0 -20.0 -20.0 -12.4 -5.8 BUXL 20.0 20.0 13.2 2.4 3.1 0.0 4.0 -1.7 4.0 6.7 1.2 10.5 -7.8 11.4 8.5 0.3 0.7 0.4 0.6 15.5 3.1 20.0 -7.8 20.0 1.2 3.2 3.6 0.8 4.8 -0.9 4.9 3.6 16.3 14.7 7.5 5.1 -20.0 -20.0 -9.9 10.9 CAC 20.0 20.0 -6.7 5.8 5.2 2.0 7.6 0.7 8.3 19.6 8.1 20.0 18.5 20.0 18.8 -7.7 -3.7 -6.8 -5.7 20.0 11.0 20.0 10.4 20.0 -7.8 6.9 5.5 2.6 9.3 1.8 10.3 1.8 18.8 11.4 3.4 1.3 8.3 6.1 16.9 11.4 CAD 18.5 12.8 -2.2 5.4 5.4 2.9 6.1 1.8 6.7 18.4 -9.5 19.4 -13.0 18.8 8.3 -2.5 -2.3 -2.5 -2.4 8.2 -3.6 20.0 -9.2 20.0 2.5 3.6 13.9 -1.4 12.7 -3.4 9.3 0.0 16.2 15.2 -13.4 -10.2 -17.1 -20.0 -2.3 -14.7 CANOLA -11.7 -1.2 -20.0 -1.5 3.9 -2.3 1.2 -3.0 -0.6 -5.3 -4.5 -7.7 -4.4 -7.2 -8.4 -10.2 0.8 -9.9 -5.9 -10.5 -9.0 -9.2 -6.9 -10.4 -20.0 -3.2 -1.5 -2.9 -2.5 -2.5 -3.0 -1.8 -15.0 -14.9 -14.6 -17.5 -14.7 -10.0 -3.4 2.3 CHF 14.3 19.7 -8.1 5.2 5.1 2.8 5.8 1.7 6.4 15.0 -2.1 15.6 7.8 18.8 14.0 -17.2 -15.4 -16.9 -16.2 15.7 5.4 17.0 2.8 20.0 -9.8 5.1 5.0 1.6 5.8 0.6 6.9 -20.0 -5.8 6.2 -3.1 -12.7 -20.0 -20.0 -20.0 -20.0 COCOA 2.0 17.6 12.4 -3.8 10.2 -6.1 3.1 -7.8 -1.5 20.0 20.0 20.0 20.0 20.0 20.0 13.6 0.4 6.5 2.6 20.0 20.0 20.0 20.0 20.0 -20.0 8.8 3.6 9.4 4.2 9.4 6.6 4.1 15.5 20.0 20.0 20.0 14.8 -1.1 20.0 16.2 COFFEE 11.2 20.0 20.0 -2.6 6.8 -4.1 2.1 -5.2 -1.0 14.3 3.2 15.0 -6.6 15.1 14.5 12.0 4.1 8.5 5.6 16.5 8.3 19.8 -0.5 19.4 -20.0 5.4 4.9 3.2 5.1 1.0 5.7 10.0 14.9 20.0 20.0 20.0 -20.0 -20.0 -20.0 -12.0 COPPER 5.6 17.8 0.5 0.5 2.5 -0.2 0.5 -0.1 0.1 10.3 -4.8 5.2 -3.9 9.7 7.1 -4.9 -4.4 -6.2 -5.7 6.6 0.1 7.7 -4.6 8.8 -6.6 3.7 3.0 0.7 3.6 -1.5 4.3 1.3 6.2 9.8 13.9 2.4 -5.4 -13.0 4.7 -10.9 CORN -0.2 4.8 -7.2 -3.8 10.2 -6.1 3.1 -7.8 -1.5 -17.2 -20.0 -2.8 -20.0 -9.6 -11.1 -8.4 -0.9 -7.2 -5.4 -7.0 -17.2 -4.2 -20.0 -3.9 -20.0 -1.5 -5.3 -5.2 -3.2 -10.7 -1.2 -3.4 -17.5 6.3 -4.8 7.9 -6.1 -7.6 5.8 3.4 COTTON2 6.7 -13.9 -11.2 -2.8 7.3 -4.4 2.2 -5.6 -1.1 -11.4 -8.3 -3.8 -8.7 -7.4 -11.5 -6.4 0.3 -6.0 -3.5 -11.2 -9.7 -5.0 -6.4 -6.1 -20.0 -4.3 -4.6 -3.5 -1.6 -1.2 -2.2 -0.7 1.0 1.5 -20.0 -6.0 -15.5 -13.2 -2.2 2.7 CRUDE_W -9.6 -19.4 -6.0 -4.3 3.6 -1.0 -1.0 1.7 -4.4 14.1 6.1 -3.2 7.0 -11.2 -9.9 5.3 9.9 8.3 9.5 -7.7 2.1 0.1 8.5 -9.2 -4.2 -3.2 5.5 1.7 0.4 5.6 -3.8 -18.1 2.9 7.5 11.5 15.0 20.0 12.3 20.0 13.1 DAX 20.0 20.0 -3.3 5.5 4.9 1.9 7.2 0.6 7.9 4.9 8.4 19.9 16.3 20.0 19.7 -12.9 -8.7 -11.1 -10.0 20.0 16.5 20.0 8.7 20.0 19.3 6.7 0.3 2.7 5.2 1.0 8.4 -6.2 -4.8 20.0 20.0 8.5 5.9 4.5 14.9 15.2 DOW 20.0 20.0 1.6 4.4 4.0 1.5 5.8 0.5 6.4 17.5 11.4 19.4 13.1 20.0 17.1 -10.5 -9.0 -10.4 -10.1 20.0 18.3 20.0 8.3 20.0 -12.2 5.8 6.3 2.8 7.7 1.6 7.8 -6.7 18.2 20.0 16.9 6.9 -12.3 -4.6 -15.3 -6.6 DX -7.8 -20.0 0.2 2.7 2.7 1.4 3.0 0.9 3.3 -4.7 3.7 -4.8 -3.2 -8.2 -5.7 5.6 6.1 6.5 6.5 -6.2 -0.5 -9.1 2.7 -8.9 -20.0 -2.4 -3.1 -0.1 -3.3 1.4 -3.4 14.9 -12.8 -20.0 -20.0 2.0 11.8 5.1 15.7 14.6 EUR -2.3 19.3 -2.3 3.5 3.5 1.9 3.9 1.2 4.3 4.2 -3.9 2.0 4.7 7.0 6.0 -5.7 -6.8 -6.2 -6.4 4.7 0.5 6.3 -1.9 5.5 10.6 2.3 4.1 0.3 3.2 -0.8 2.8 -7.3 1.1 -14.2 -1.5 -7.3 -16.0 -13.3 -14.5 -5.5 EURIBOR-ICE 20.0 20.0 20.0 1.7 2.2 0.0 2.8 -1.2 2.8 5.7 4.8 7.4 -1.5 7.9 7.9 -1.9 -6.3 -3.7 -5.4 15.3 8.7 16.9 -0.1 18.0 16.8 2.7 2.5 1.6 3.0 0.1 3.2 -8.3 4.8 9.7 10.7 15.0 -20.0 -20.0 4.9 20.0 EUROSTX 20.0 20.0 -2.0 5.5 5.0 1.9 7.3 0.7 7.9 14.1 9.9 20.0 18.1 20.0 20.0 2.4 -2.3 -2.3 -3.3 20.0 16.3 20.0 12.8 20.0 3.6 7.1 2.3 3.4 6.6 2.1 8.9 4.8 4.4 7.3 11.5 9.3 3.0 7.0 8.8 15.5 FEEDCOW 2.5 -20.0 -20.0 -1.4 3.8 -2.3 1.2 -2.9 -0.6 7.9 -5.6 -0.3 0.3 -5.3 -7.5 -6.7 -20.0 -9.8 -16.2 -13.8 -9.6 2.3 -1.4 -8.1 -1.1 -2.6 1.8 -1.6 0.7 0.6 -1.3 -20.0 9.4 -1.7 -20.0 -11.8 12.1 1.7 20.0 9.3 GASOIL -10.9 -20.0 -9.2 -3.6 3.0 -0.8 -0.8 1.4 -3.6 10.8 5.5 -4.5 6.0 -11.0 -11.7 9.8 20.0 16.4 19.5 -10.8 0.1 -2.2 8.7 -12.1 8.1 -3.4 4.5 0.5 -0.8 3.1 -4.1 0.6 0.6 2.4 0.4 2.7 -7.9 -1.9 -14.9 -7.3 GASOLINE -2.6 -14.0 -20.0 -3.6 3.0 -0.8 -0.8 1.4 -3.7 13.2 0.7 0.2 3.8 -6.7 -11.7 -6.4 20.0 5.2 18.2 -8.5 -3.5 4.1 4.3 -5.6 -20.0 -3.4 7.2 -1.0 2.3 3.6 -1.8 4.8 7.0 12.9 13.8 -6.7 20.0 11.6 20.0 8.9 GAS_US_mini -20.0 -20.0 7.2 -3.0 2.5 -0.7 -0.7 1.2 -3.0 -1.7 -12.4 -8.7 -13.9 -12.2 -12.8 1.2 -20.0 -20.0 -20.0 -20.0 -19.0 -14.3 -20.0 -20.0 17.2 -4.3 -0.3 -2.7 -2.8 -1.7 -4.6 -20.0 -13.9 -19.6 -9.6 -11.8 -16.7 5.8 -20.0 1.5 GBP 8.6 20.0 -6.9 3.7 3.7 2.0 4.2 1.2 4.6 -0.3 -2.9 5.1 7.6 11.5 8.2 -0.5 -0.8 -0.6 -0.6 8.6 3.0 7.0 0.7 10.4 1.3 3.4 1.7 1.0 3.0 -0.3 4.2 3.0 -6.3 -1.1 3.1 -8.4 -11.4 2.1 -8.0 17.5 GOLD_micro 1.1 10.1 4.2 0.4 1.9 -0.1 0.4 -0.0 0.1 6.0 2.1 -1.6 4.2 2.9 8.5 -12.6 -13.9 -14.2 -14.6 6.7 4.1 2.1 1.8 4.7 -4.8 2.8 1.3 1.8 0.9 1.1 2.0 -14.8 -3.2 11.2 7.8 9.2 -15.0 -20.0 -14.1 -20.0 HEATOIL -11.4 -20.0 -10.4 -3.8 3.2 -0.8 -0.9 1.5 -3.9 11.5 4.1 -6.4 4.7 -11.3 -12.6 16.6 20.0 20.0 20.0 -11.7 -1.5 -1.9 7.0 -12.2 -18.2 -3.7 5.0 0.3 -0.2 4.2 -3.8 4.0 3.7 5.0 3.4 -2.6 13.1 -0.9 8.7 -6.6 JGB-SGX-mini 9.6 20.0 -5.5 1.5 2.0 0.0 2.5 -1.1 2.5 2.2 -0.4 2.4 2.0 4.8 4.1 10.2 19.2 14.8 16.0 3.5 0.9 3.0 0.0 4.5 -1.8 1.2 0.6 -0.0 1.1 -0.6 1.7 20.0 -14.0 -6.0 -7.7 -0.9 3.6 -20.0 14.6 20.0 JPY 20.0 20.0 15.2 2.2 2.2 1.2 2.5 0.7 2.8 5.8 -7.3 7.8 -8.9 7.8 1.8 -15.0 -16.3 -17.2 -17.3 3.4 -4.8 12.3 -10.4 10.2 20.0 1.2 3.2 -1.8 4.8 -3.7 4.0 -20.0 15.8 11.1 -3.9 -8.3 -7.6 -20.0 -0.9 -20.0 LEANHOG -6.1 -3.4 -1.7 -2.2 5.8 -3.5 1.8 -4.4 -0.9 11.2 -2.8 1.6 -7.8 -5.6 -8.6 -20.0 9.0 -15.7 4.5 -8.7 -9.3 3.8 -11.0 -5.1 13.1 -2.8 7.9 -4.8 3.3 -8.0 -0.7 17.0 1.0 -3.8 0.1 -0.4 -10.8 -6.5 7.0 12.1 LIVECOW -5.9 -20.0 -20.0 -1.6 4.3 -2.6 1.3 -3.3 -0.6 8.5 -4.9 -1.5 1.6 -6.6 -8.1 -4.0 -4.6 -8.5 -7.2 -14.4 -8.8 -1.5 -0.5 -10.7 0.2 -3.0 1.2 -1.5 -0.1 1.0 -2.1 -6.8 -0.5 -4.9 -20.0 -10.0 2.8 -9.9 7.4 -3.3 LUMBER-new 1.3 20.0 3.9 -4.2 11.3 -6.5 3.4 -7.2 -1.7 20.0 -9.1 17.2 -20.0 20.0 17.4 -13.5 -14.6 -14.8 -14.8 12.3 -0.3 17.4 -11.1 16.1 NaN 5.0 11.7 0.6 8.7 -2.7 6.8 -20.0 20.0 8.4 20.0 13.0 -18.0 -20.0 -11.3 -17.8 MILK -14.1 -15.8 -12.6 -2.6 6.9 -4.1 2.1 -5.3 -1.0 -14.6 -14.2 -15.8 -14.6 -16.2 -16.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 8.0 -5.8 -8.2 -5.4 -6.7 -6.2 -6.1 -20.0 -20.0 -20.0 -20.0 -13.1 -20.0 -20.0 -20.0 -20.0 MXP -0.6 15.1 -13.8 3.7 3.7 2.0 4.2 1.2 4.6 13.6 10.5 10.8 13.8 13.8 10.0 13.3 16.3 14.0 14.9 9.4 8.9 8.1 14.5 9.4 -20.0 3.5 3.6 3.5 3.0 6.0 3.4 20.0 6.0 -12.9 3.8 -4.3 9.3 15.2 20.0 20.0 NASDAQ_micro 17.8 20.0 0.9 3.5 3.1 1.2 4.6 0.4 5.0 13.7 12.8 14.9 12.5 15.4 14.0 -10.9 -8.8 -10.2 -9.7 20.0 17.6 20.0 16.7 20.0 -20.0 4.6 6.5 3.6 6.4 3.9 5.9 -6.1 20.0 -0.3 2.8 8.1 9.6 -7.6 9.8 -9.8 NIKKEI -9.2 12.0 -8.3 4.4 4.0 1.5 5.8 0.5 6.4 -2.8 15.0 -9.1 16.0 9.4 11.2 14.6 10.5 10.4 10.0 8.0 12.3 -5.9 17.5 1.1 -12.3 2.5 -3.2 5.0 -3.1 8.2 -0.3 20.0 -20.0 -20.0 -20.0 1.6 -9.8 0.3 -7.4 5.2 NZD 15.6 20.0 9.8 3.3 3.2 1.8 3.7 1.1 4.0 12.0 -1.9 12.3 -0.5 12.7 10.2 0.1 0.2 0.0 0.1 11.3 3.2 11.1 -3.3 13.9 0.8 3.9 2.8 1.4 3.7 -0.6 4.7 4.3 -1.6 6.3 3.7 5.7 -5.4 -12.7 -1.8 6.9 OAT 20.0 20.0 12.7 2.2 2.8 0.0 3.6 -1.5 3.6 7.0 3.3 9.5 -5.0 10.2 8.6 4.9 7.2 5.4 5.9 15.3 5.4 20.0 -3.8 20.0 8.2 3.1 3.4 1.2 4.2 -0.4 4.3 13.6 9.8 10.7 7.2 8.4 -20.0 -20.0 -3.4 7.5 OATIES 8.4 -15.2 -20.0 -1.3 3.4 -2.1 1.0 -2.6 -0.5 1.9 -4.8 -0.4 -3.7 -4.4 -7.1 -2.7 -8.2 -9.8 -11.6 -8.6 -7.1 0.2 -2.7 -5.0 -20.0 -2.4 1.7 -2.0 0.0 -0.8 -1.4 -16.0 -10.3 2.1 -11.5 -14.5 3.1 8.9 14.6 20.0 OJ -20.0 -8.7 2.5 -2.7 7.3 -4.4 2.2 -5.6 -1.1 2.7 14.6 -10.5 16.7 -0.8 9.0 12.8 20.0 19.3 20.0 15.7 20.0 -7.6 20.0 -2.0 -20.0 4.9 -0.1 9.0 -1.1 11.5 0.6 20.0 -18.3 -11.1 14.8 20.0 8.8 10.5 20.0 20.0 PALLAD 13.8 12.9 17.4 0.3 1.2 -0.1 0.2 -0.0 0.1 7.6 -7.6 4.9 -8.8 0.7 -4.2 -1.8 -2.3 -2.1 -2.3 -3.8 -7.2 13.5 -10.0 2.8 5.3 -1.9 7.1 -2.5 4.1 -2.4 0.4 5.9 20.0 3.6 -12.7 -12.7 -2.0 -7.5 7.6 -1.1 PLAT 7.3 9.3 1.0 0.4 1.7 -0.1 0.3 -0.0 0.1 7.0 -7.2 7.4 -5.7 8.6 1.6 -3.3 -2.8 -3.4 -3.2 2.5 -1.9 8.1 -4.0 5.8 12.2 1.5 4.8 -0.0 4.6 -0.7 3.0 4.8 12.9 9.1 1.5 3.3 -5.6 -11.5 12.3 -5.8 REDWHEAT 20.0 9.8 -14.0 -2.3 6.1 -3.7 1.9 -4.7 -0.9 -10.7 -13.0 3.0 -13.9 0.6 -8.5 -3.2 -1.2 -4.1 -3.2 -9.5 -15.4 -3.8 -15.7 -3.4 -11.5 -3.6 -3.9 -5.7 -1.7 -5.2 -1.1 -1.5 -15.7 10.3 -9.8 -14.8 -20.0 -20.0 -20.0 -14.3 RICE -6.3 11.9 6.9 -3.6 9.5 -5.7 2.9 -7.3 -1.4 18.3 16.4 3.6 12.2 13.6 13.2 -12.7 1.8 -13.9 -6.2 16.0 14.6 12.3 10.2 12.2 -20.0 4.5 10.4 4.2 4.2 2.8 3.2 0.7 13.7 -2.7 19.1 20.0 -0.6 -14.8 15.0 -4.4 ROBUSTA 20.0 19.0 -5.3 -2.5 6.6 -4.0 2.0 -5.1 -1.0 12.1 14.0 14.6 13.9 15.4 14.5 18.5 20.0 20.0 20.0 20.0 17.2 20.0 16.2 20.0 -20.0 5.1 6.0 3.6 7.7 3.4 6.9 20.0 20.0 20.0 20.0 20.0 -10.3 -14.7 3.0 0.6 RUSSELL 20.0 20.0 -5.0 2.8 2.5 1.0 3.7 0.3 4.0 9.6 -0.7 11.4 -3.3 12.0 6.1 -5.8 -6.0 -6.3 -6.4 11.3 1.7 20.0 -2.5 20.0 -1.7 2.8 5.1 0.5 5.7 -0.2 5.0 -1.0 10.6 7.4 0.1 -5.5 -16.0 -14.6 -20.0 -19.6 SHATZ 20.0 20.0 20.0 1.7 2.2 0.0 2.8 -1.2 2.8 4.8 -2.7 6.7 -6.3 6.7 4.9 -20.0 -19.9 -20.0 -20.0 7.5 1.2 11.5 -5.8 11.4 9.1 2.1 2.3 0.6 3.0 -1.0 3.2 -20.0 -5.0 6.7 -1.7 3.9 -11.9 -20.0 -5.5 -20.0 SILVER-mini 0.1 10.6 -1.8 0.4 1.9 -0.1 0.4 -0.0 0.1 3.7 -1.2 -3.9 2.4 -0.6 3.7 -6.4 -6.3 -6.8 -6.7 2.4 0.8 -1.5 -0.3 0.3 5.3 -0.0 0.7 0.3 -1.6 0.5 -1.4 -1.3 -14.4 -4.9 -3.2 0.6 -17.8 -20.0 1.7 -20.0 SMI 20.0 17.7 -7.0 5.2 4.7 1.8 6.8 0.6 7.4 15.4 -4.0 20.0 1.9 20.0 11.2 8.8 3.2 5.9 3.9 16.1 -1.0 20.0 -5.5 20.0 9.1 4.9 4.6 0.5 9.1 -1.3 9.1 15.5 7.1 8.3 -13.1 -4.6 -2.1 -7.1 2.3 -5.3 SOFR 20.0 20.0 9.0 1.7 2.2 0.0 2.9 -1.2 2.8 5.8 -1.3 7.1 -2.9 7.8 6.4 1.0 -0.4 0.4 -0.1 8.0 1.4 10.4 -3.3 11.2 -1.3 2.2 2.1 0.4 2.6 -0.8 3.0 1.7 -3.4 0.8 0.9 3.0 -20.0 -20.0 -6.5 -8.6 SOYBEAN -7.3 3.8 -0.8 -3.3 8.8 -5.2 2.7 -6.7 -1.3 11.3 8.8 -5.3 7.0 -3.2 -4.9 15.9 17.5 15.8 15.4 0.5 2.3 0.1 1.9 -1.5 -20.0 5.0 3.2 4.5 2.0 3.0 3.3 20.0 -2.0 8.9 18.3 14.7 -20.0 -20.0 -20.0 -14.8 SOYMEAL -20.0 3.7 3.7 -2.1 5.5 -3.3 1.7 -4.3 -0.8 -6.2 1.6 -11.8 3.6 -8.9 0.4 15.2 17.4 16.2 16.3 -1.4 2.8 -10.0 3.7 -9.1 -20.0 0.7 -1.1 2.3 -2.9 2.9 -2.1 20.0 -9.7 -18.1 8.3 13.5 -20.0 -20.0 -20.0 -20.0 SOYOIL 5.2 -1.8 -20.0 -1.7 4.5 -2.7 1.4 -3.4 -0.7 5.0 -3.1 -3.7 -3.9 -3.4 -8.6 0.5 9.0 4.5 6.9 -7.3 -7.9 -1.3 -5.0 -3.6 -20.0 -1.2 1.1 -2.2 0.3 -1.6 0.2 15.8 -6.5 8.8 -0.3 -10.6 -11.4 0.3 3.6 11.9 SP400 20.0 20.0 -7.5 3.0 2.7 1.0 4.0 0.4 4.3 9.6 1.3 11.8 0.8 12.8 7.5 -5.1 -5.0 -5.3 -5.3 13.2 3.2 20.0 -0.6 20.0 -9.2 3.3 5.4 1.0 6.1 0.3 5.4 1.0 8.9 8.7 0.7 -2.7 -12.8 -9.9 -18.0 -20.0 SP500_micro 20.0 20.0 -3.5 4.5 4.0 1.6 5.9 0.5 6.5 17.6 11.4 19.4 12.7 20.0 17.6 -11.7 -9.9 -11.2 -10.8 20.0 16.6 20.0 11.8 20.0 -20.0 5.6 7.8 3.3 8.1 2.8 7.6 -8.0 20.0 4.7 5.6 3.7 2.7 -7.1 5.1 -10.4 SUGAR11 -20.0 -20.0 -19.6 -1.7 4.6 -2.8 1.4 -3.6 -0.7 -9.7 2.1 -10.8 8.6 -10.2 -4.7 20.0 20.0 20.0 20.0 -13.6 -1.4 -20.0 7.2 -20.0 -20.0 -2.8 -3.4 -0.3 -4.8 1.8 -4.7 20.0 -20.0 -20.0 -20.0 3.9 -3.3 -12.6 13.4 5.7 US10 20.0 20.0 14.5 1.6 2.1 0.0 2.7 -1.1 2.6 5.6 -3.1 6.6 -4.8 7.2 5.1 -7.3 -7.0 -7.0 -7.3 6.0 -0.9 10.4 -6.1 10.1 1.3 1.8 2.3 -0.2 2.8 -1.5 2.9 -10.4 -0.5 1.5 -0.5 -0.1 -20.0 -20.0 -7.5 3.4 US10U 20.0 20.0 10.6 2.2 2.8 0.0 3.6 -1.5 3.6 7.8 -3.9 9.1 -6.5 9.8 6.1 3.1 0.2 1.7 0.7 8.2 -1.8 15.2 -8.8 14.5 -1.9 2.3 3.3 -0.4 4.0 -2.0 4.0 2.7 1.4 2.8 -0.6 -1.5 -20.0 -20.0 3.0 14.5 US2 18.7 20.0 20.0 1.6 2.0 0.0 2.6 -1.1 2.5 4.1 -4.9 5.1 -6.1 5.7 4.2 -19.7 -20.0 -20.0 -20.0 4.1 -1.2 7.1 -6.8 6.8 7.8 2.0 2.1 0.1 2.5 -1.8 2.7 -20.0 -5.7 0.9 -2.9 4.2 -15.7 -20.0 -9.0 -20.0 US20 20.0 20.0 9.0 1.6 2.1 0.0 2.7 -1.1 2.6 5.6 -2.4 6.8 -4.4 7.3 4.6 -0.5 -1.3 -0.7 -1.2 6.9 -1.3 13.3 -6.6 12.4 -1.9 1.7 2.6 -0.3 3.1 -1.5 3.0 -0.4 5.3 5.0 2.0 -1.9 -14.2 -20.0 14.7 20.0 US30 20.0 20.0 10.6 1.8 2.3 0.0 3.0 -1.3 3.0 5.9 -2.7 7.6 -5.4 8.2 5.0 -4.5 -4.1 -4.7 -4.7 7.5 -1.4 14.2 -7.6 13.6 -1.5 1.9 2.8 -0.3 3.5 -1.7 3.4 -5.4 5.4 5.4 0.8 -1.7 -8.2 -20.0 20.0 20.0 US5 20.0 20.0 19.6 1.6 2.1 0.0 2.6 -1.1 2.6 5.4 -3.4 6.4 -5.0 7.0 5.2 -8.7 -10.2 -10.0 -10.8 5.7 -0.4 9.4 -5.5 9.0 3.3 1.9 2.3 0.1 2.8 -1.3 2.8 -16.2 -2.5 0.9 -1.0 2.1 -20.0 -20.0 -20.0 -14.1 VIX -12.6 -20.0 8.8 -5.4 -1.2 -5.6 -4.1 -7.2 -5.5 -5.7 -19.6 -13.4 -19.6 -19.1 -19.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.4 -20.0 -20.0 NaN -6.3 -1.2 -6.4 -4.3 -8.4 -6.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 14.4 12.6 -4.3 -2.8 7.5 -4.5 2.3 -5.7 -1.1 -4.4 -15.2 7.4 -17.3 6.6 -6.2 -10.0 -10.4 -11.2 -11.1 -5.2 -13.8 0.6 -20.0 0.5 -3.3 -1.3 -0.9 -5.1 0.5 -7.6 1.3 -16.5 -12.9 17.8 -1.9 -4.2 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3