******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231220_204013 produced at 2023-12-20 21:37:21.134997 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -44.73 17.0 -17 -17 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.08 0.0 0.10 -0.10 -0.05 -0.05 -9.15 12.0 -6 -6 caleb_strategy_v3 CHF False False 0.05 -0.20 -0.07 0.0 0.66 -0.66 -0.20 -0.20 -1.30 13.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -17.16 51.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.78 13.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.05 -0.05 -0.05 -0.05 -30.42 26.0 -25 -25 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.16 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 -1.54 999999999.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.16 -0.04 0.0 0.40 -0.40 -0.16 -0.15 -5.61 56.0 -22 -21 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.15 -0.15 -0.06 -0.06 -3.13 11.0 -4 -4 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 -0.04 0.0 0.40 -0.40 -0.02 -0.02 -1.84 17.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.31 -0.31 -0.04 -0.04 -0.86 8.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.76 24.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.48 8.0 -3 -3 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.14 -0.14 -0.02 -0.02 -1.94 18.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.02 0.0 0.94 -0.94 -0.04 -0.04 -0.54 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 -3.23 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 -1.80 9.0 -4 -4 caleb_strategy_v3 EUR False False 0.05 0.00 -0.01 0.0 0.67 -0.67 0.00 0.00 -0.16 14.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.57 0.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.02 -0.43 7.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.84 9.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.18 3.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.61 10.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.15 3.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.06 0.00 0.0 0.52 -0.52 0.06 0.06 0.03 17.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.00 0.0 0.24 -0.24 -0.00 -0.00 0.30 68.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 -0.39 -0.00 0.0 0.67 -0.67 -0.39 -0.39 -0.09 17.0 -10 -10 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 LEANHOG False False 0.01 0.01 0.00 0.0 0.14 -0.14 0.01 0.01 0.22 13.0 1 1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.01 2.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.62 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.04 0.01 0.0 0.23 -0.23 0.04 0.04 1.45 23.0 4 4 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.60 3.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.26 13.0 0 0 caleb_strategy_v3 GASOLINE False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.17 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.23 4.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.86 -0.86 0.00 0.00 0.30 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 0.23 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 BUXL False False 0.06 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.20 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 0.22 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.40 -0.40 0.00 0.00 2.18 48.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.07 0.02 0.0 0.45 -0.45 0.07 0.07 1.05 19.0 3 3 caleb_strategy_v3 CAD False False 0.03 0.03 0.02 0.0 0.76 -0.76 0.03 0.03 0.75 29.0 1 1 caleb_strategy_v3 COPPER False False 0.03 0.10 0.02 0.0 0.20 -0.20 0.10 0.10 0.67 6.0 3 3 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.60 -0.60 0.00 0.00 0.77 22.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.02 0.0 0.17 -0.17 0.02 0.02 1.40 10.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.13 0.02 0.0 0.27 -0.27 0.13 0.14 1.69 23.0 11 12 caleb_strategy_v3 BUND False False 0.05 0.00 0.03 0.0 0.52 -0.52 0.00 0.00 0.52 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.03 0.0 0.29 -0.29 0.06 0.06 3.99 36.0 8 8 caleb_strategy_v3 DOW False False 0.01 0.02 0.04 0.0 0.43 -0.43 0.02 0.03 5.56 66.0 3 5 caleb_strategy_v3 NZD False False 0.02 0.09 0.05 0.0 0.46 -0.46 0.09 0.09 2.17 21.0 4 4 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.38 -0.38 0.09 0.09 3.60 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 34.00 59.0 49 49 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.06 0.0 0.13 -0.13 0.05 0.05 2.20 5.0 2 2 caleb_strategy_v3 SMI False False 0.04 0.40 0.08 0.0 0.40 -0.40 0.40 0.40 1.76 9.0 9 9 caleb_strategy_v3 BTP False False 0.05 0.14 0.09 0.0 0.46 -0.46 0.14 0.14 2.04 10.0 3 3 caleb_strategy_v3 CAC False True 0.03 0.00 0.10 0.0 0.00 0.00 0.00 0.00 3.32 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.11 0.0 0.35 -0.35 0.28 0.28 6.34 20.0 16 16 caleb_strategy_v3 SOFR False True 0.08 0.00 0.11 0.0 0.00 0.00 0.00 0.00 1.34 11.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.14 0.0 0.50 -0.50 0.00 0.00 2.77 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.14 0.0 0.37 -0.37 0.00 0.00 21.91 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.37 0.29 0.0 0.60 -0.60 0.37 0.37 28.60 60.0 37 37 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.35 0.46 0.0 0.57 -0.57 0.35 0.35 12.93 16.0 10 10 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.28 1.19 0.0 0.93 -0.93 0.28 0.28 12.78 10.0 3 3 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.1 Shocked risk 57.7 Sum abs risk 49.3 Leverage 4.32 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2880252.53, 'annual_cash_vol_target': 720063.1325, 'daily_cash_vol_target': 45003.94578125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6760 0.6765 10.8237 BITCOIN 1163.3704 43780.0000 2.6573 42.5170 BOBL 0.2760 119.3800 0.2312 3.6987 BTP 0.6511 120.4800 0.5405 8.6474 BUND 0.5649 138.0000 0.4094 6.5497 BUXL 1.4145 145.0800 0.9750 15.5997 CAC 46.7293 7587.5000 0.6159 9.8540 CAD 0.0030 0.7500 0.3978 6.3653 CANOLA 8.2408 664.3000 1.2405 19.8483 CHF 0.0048 1.1696 0.4119 6.5904 COCOA 41.9349 4264.0000 0.9835 15.7354 COFFEE 4.4457 188.9000 2.3535 37.6552 COPPER 0.0425 3.8920 1.0911 17.4583 CORN 4.3957 502.0000 0.8756 14.0102 COTTON2 1.0571 79.3300 1.3325 21.3203 CRUDE_W 1.1784 72.8300 1.6180 25.8884 DAX 107.3140 16809.0000 0.6384 10.2149 DOW 213.7947 37608.0000 0.5685 9.0957 DX 0.4796 102.0850 0.4698 7.5175 EUR 0.0057 1.0982 0.5231 8.3700 EURIBOR-ICE 0.0537 98.0550 0.0548 0.8763 EUROSTX 31.9905 4539.0000 0.7048 11.2767 FEEDCOW 2.5588 225.9000 1.1327 18.1237 GASOIL 13.6966 768.2500 1.7828 28.5254 GASOLINE 0.0420 2.2075 1.9044 30.4705 GAS_US_mini 0.0920 2.1950 4.1920 67.0712 GBP 0.0074 1.2639 0.5893 9.4291 GOLD_micro 17.0464 2043.7000 0.8341 13.3456 HEATOIL 0.0450 2.6295 1.7123 27.3969 JGB-SGX-mini 0.3670 146.6300 0.2503 4.0048 JPY 0.0001 0.0071 0.7262 11.6195 LEANHOG 1.2664 76.9750 1.6453 26.3242 LIVECOW 1.7202 170.3500 1.0098 16.1565 LUMBER-new 7.0141 576.5000 1.2167 19.4668 MILK 0.1867 16.4400 1.1355 18.1681 MXP 0.0004 0.0575 0.7169 11.4698 NASDAQ_micro 122.8298 16834.0000 0.7297 11.6744 NIKKEI 285.8448 33130.0000 0.8628 13.8048 NZD 0.0041 0.6266 0.6488 10.3814 OAT 0.5817 132.6700 0.4385 7.0154 OATIES 7.7510 377.0000 2.0560 32.8956 OJ 6.0594 351.3500 1.7246 27.5937 PALLAD 33.1074 1213.0000 2.7294 43.6701 PLAT 14.8394 967.2000 1.5343 24.5483 REDWHEAT 12.2497 631.5000 1.9398 31.0366 RICE 0.1588 17.6750 0.8983 14.3735 ROBUSTA 42.7831 2883.0000 1.4840 23.7437 RUSSELL 23.8250 2025.0000 1.1765 18.8247 SHATZ 0.0970 106.4900 0.0911 1.4571 SILVER-mini 0.3933 24.4500 1.6084 25.7345 SMI 64.2659 11063.0000 0.5809 9.2945 SOFR 0.0770 96.8150 0.0796 1.2734 SOYBEAN 10.7142 1263.5000 0.8480 13.5677 SOYMEAL 5.2705 385.4000 1.3675 21.8807 SOYOIL 0.7488 51.0900 1.4656 23.4500 SP400 27.3103 2785.6000 0.9804 15.6866 SP500_micro 29.0093 4768.2500 0.6084 9.7342 SUGAR11 0.4148 20.4400 2.0294 32.4703 US10 0.4944 112.8438 0.4381 7.0096 US10U 0.6612 118.0156 0.5603 8.9645 US2 0.1483 102.8594 0.1442 2.3065 US20 0.9855 124.5312 0.7914 12.6621 US30 1.4518 133.9062 1.0842 17.3465 US5 0.3330 108.6328 0.3066 4.9051 VIX 0.4909 17.5000 2.8052 44.8836 WHEAT 9.6383 652.2500 1.4777 23.6432 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 676.05 0.68 457.33 1.00 457.33 45003.95 98.41 4.12 40.50 BITCOIN 43.78 2.66 116.34 1.00 116.34 45003.95 386.84 8.12 313.96 BOBL 1193.80 0.23 275.97 1.09 301.51 45003.95 149.26 1.99 29.63 BTP 1204.80 0.54 651.15 1.09 711.41 45003.95 63.26 9.46 59.85 BUND 1380.00 0.41 564.91 1.09 617.19 45003.95 72.92 7.01 51.12 BUXL 1450.80 0.97 1414.50 1.09 1545.41 45003.95 29.12 6.83 19.88 CAC 758.75 0.62 467.29 1.09 510.54 45003.95 88.15 11.06 97.47 CAD 750.00 0.40 298.37 1.00 298.37 45003.95 150.83 1.91 28.80 CANOLA 132.86 1.24 164.82 0.75 123.01 45003.95 365.87 -19.28 -705.30 CHF 1462.00 0.41 602.20 1.00 602.20 45003.95 74.73 -6.69 -50.02 COCOA 426.40 0.98 419.35 1.00 419.35 45003.95 107.32 15.67 168.15 COFFEE 708.38 2.35 1667.13 1.00 1667.13 45003.95 26.99 2.22 6.01 COPPER 973.00 1.09 1061.68 1.00 1061.68 45003.95 42.39 1.47 6.21 CORN 251.00 0.88 219.78 1.00 219.78 45003.95 204.76 -18.37 -376.13 COTTON2 396.65 1.33 528.54 1.00 528.54 45003.95 85.15 -17.17 -146.16 CRUDE_W 728.30 1.62 1178.41 1.00 1178.41 45003.95 38.19 5.31 20.29 DAX 168.09 0.64 107.31 1.09 117.25 45003.95 383.84 16.74 642.41 DOW 188.04 0.57 106.90 1.00 106.90 45003.95 421.00 5.68 239.24 DX 1020.85 0.47 479.64 1.00 479.64 45003.95 93.83 -6.31 -59.23 EUR 1372.69 0.52 718.08 1.00 718.08 45003.95 62.67 -0.98 -6.15 EURIBOR-ICE 2451.38 0.05 134.25 1.09 146.68 45003.95 306.82 12.22 374.80 EUROSTX 453.90 0.70 319.90 1.09 349.51 45003.95 128.76 14.44 185.95 FEEDCOW 1129.50 1.13 1279.42 1.00 1279.42 45003.95 35.18 -7.39 -25.99 GASOIL 768.25 1.78 1369.66 1.00 1369.66 45003.95 32.86 1.60 5.27 GASOLINE 927.15 1.90 1765.67 1.00 1765.67 45003.95 25.49 1.52 3.87 GAS_US_mini 54.88 4.19 230.03 1.00 230.03 45003.95 195.64 -14.36 -280.88 GBP 789.94 0.59 465.53 1.00 465.53 45003.95 96.67 3.09 29.85 GOLD_micro 204.37 0.83 170.46 1.00 170.46 45003.95 264.01 -6.23 -164.43 HEATOIL 1104.39 1.71 1891.05 1.00 1891.05 45003.95 23.80 -1.73 -4.12 JGB-SGX-mini 146630.00 0.25 36701.67 0.01 258.02 45003.95 174.42 6.85 119.44 JPY 881.50 0.73 640.16 1.00 640.16 45003.95 70.30 0.14 0.99 LEANHOG 307.90 1.65 506.58 1.00 506.58 45003.95 88.84 0.41 3.63 LIVECOW 681.40 1.01 688.07 1.00 688.07 45003.95 65.41 -8.51 -55.63 LUMBER-new 158.54 1.22 192.89 1.00 192.89 45003.95 233.32 -2.32 -54.03 MILK 328.80 1.14 373.35 1.00 373.35 45003.95 120.54 -20.00 -241.08 MXP 287.70 0.72 206.24 1.00 206.24 45003.95 218.21 8.93 194.86 NASDAQ_micro 336.68 0.73 245.66 1.00 245.66 45003.95 183.20 3.98 72.82 NIKKEI 33130.00 0.86 28584.48 0.01 200.95 45003.95 223.95 1.64 36.81 NZD 626.65 0.65 406.59 1.00 406.59 45003.95 110.69 7.54 83.51 OAT 1326.70 0.44 581.71 1.09 635.54 45003.95 70.81 11.46 81.12 OATIES 188.50 2.06 387.55 1.00 387.55 45003.95 116.12 -11.44 -132.82 OJ 527.02 1.72 908.91 1.00 908.91 45003.95 49.51 5.66 28.03 PALLAD 1213.00 2.73 3310.74 1.00 3310.74 45003.95 13.59 4.74 6.44 PLAT 483.60 1.53 741.97 1.00 741.97 45003.95 60.65 6.76 41.00 REDWHEAT 315.75 1.94 612.49 1.00 612.49 45003.95 73.48 -15.17 -111.48 RICE 353.50 0.90 317.57 1.00 317.57 45003.95 141.72 1.80 25.52 ROBUSTA 288.30 1.48 427.83 1.00 427.83 45003.95 105.19 11.84 124.50 RUSSELL 101.25 1.18 119.12 1.00 119.12 45003.95 377.79 0.24 9.14 SHATZ 1064.90 0.09 96.98 1.09 105.95 45003.95 424.76 -1.76 -74.57 SILVER-mini 611.25 1.61 983.14 1.00 983.14 45003.95 45.78 -3.68 -16.82 SMI 1106.30 0.58 642.66 1.15 741.66 45003.95 60.68 8.48 51.46 SOFR 2420.38 0.08 192.62 1.00 192.62 45003.95 233.64 0.94 22.07 SOYBEAN 631.75 0.85 535.71 1.00 535.71 45003.95 84.01 -5.54 -46.52 SOYMEAL 385.40 1.37 527.05 1.00 527.05 45003.95 85.39 -10.53 -89.91 SOYOIL 306.54 1.47 449.27 1.00 449.27 45003.95 100.17 -6.52 -65.33 SP400 2785.60 0.98 2731.03 1.00 2731.03 45003.95 16.48 -0.25 -0.42 SP500_micro 238.41 0.61 145.05 1.00 145.05 45003.95 310.27 3.02 93.75 SUGAR11 228.93 2.03 464.58 1.00 464.58 45003.95 96.87 -9.40 -91.09 US10 1128.44 0.44 494.37 1.00 494.37 45003.95 91.03 -0.74 -6.75 US10U 1180.16 0.56 661.22 1.00 661.22 45003.95 68.06 3.02 20.53 US2 2057.19 0.14 296.56 1.00 296.56 45003.95 151.75 -4.08 -61.92 US20 1245.31 0.79 985.52 1.00 985.52 45003.95 45.67 4.03 18.39 US30 1339.06 1.08 1451.75 1.00 1451.75 45003.95 31.00 3.66 11.35 US5 1086.33 0.31 333.03 1.00 333.03 45003.95 135.13 -3.15 -42.59 VIX 175.00 2.81 490.91 1.00 490.91 45003.95 91.67 -19.77 -181.22 WHEAT 326.12 1.48 481.92 1.00 481.92 45003.95 93.39 -14.56 -135.98 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 40.503 0.010 2.5 1.051 BITCOIN 313.958 0.043 2.5 33.998 BOBL 29.632 0.004 2.5 0.300 BTP 59.854 0.014 2.5 2.042 BUND 51.121 0.004 2.5 0.518 BUXL 19.880 0.004 2.5 0.202 CAC 97.475 0.014 2.5 3.325 CAD 28.796 0.010 2.5 0.747 CANOLA -705.297 0.010 2.5 -17.159 CHF -50.017 0.010 2.5 -1.298 COCOA 168.154 0.009 2.5 3.601 COFFEE 6.005 0.005 2.5 0.070 COPPER 6.214 0.043 2.5 0.673 CORN -376.131 0.010 2.5 -9.151 COTTON2 -146.162 0.009 2.5 -3.130 CRUDE_W 20.295 0.043 2.5 2.198 DAX 642.406 0.014 2.5 21.912 DOW 239.240 0.009 2.5 5.560 DX -59.230 0.010 2.5 -1.537 EUR -6.152 0.010 2.5 -0.160 EURIBOR-ICE 374.795 0.014 2.5 12.784 EUROSTX 185.948 0.014 2.5 6.342 FEEDCOW -25.993 0.013 2.5 -0.861 GASOIL 5.267 0.017 2.5 0.228 GASOLINE 3.866 0.017 2.5 0.168 GAS_US_mini -280.876 0.043 2.5 -30.416 GBP 29.851 0.010 2.5 0.775 GOLD_micro -164.432 0.014 2.5 -5.609 HEATOIL -4.118 0.017 2.5 -0.179 JGB-SGX-mini 119.443 0.043 2.5 12.934 JPY 0.995 0.010 2.5 0.026 LEANHOG 3.627 0.024 2.5 0.220 LIVECOW -55.631 0.013 2.5 -1.844 LUMBER-new -54.026 0.009 2.5 -1.153 MILK -241.080 0.009 2.5 -5.163 MXP 194.856 0.059 2.5 28.600 NASDAQ_micro 72.823 0.009 2.5 1.692 NIKKEI 36.805 0.043 2.5 3.986 NZD 83.508 0.010 2.5 2.167 OAT 81.119 0.014 2.5 2.767 OATIES -132.820 0.010 2.5 -3.231 OJ 28.035 0.009 2.5 0.600 PALLAD 6.440 0.014 2.5 0.220 PLAT 41.001 0.014 2.5 1.398 REDWHEAT -111.477 0.005 2.5 -1.479 RICE 25.524 0.010 2.5 0.621 ROBUSTA 124.499 0.005 2.5 1.454 RUSSELL 9.140 0.013 2.5 0.303 SHATZ -74.570 0.004 2.5 -0.756 SILVER-mini -16.824 0.014 2.5 -0.574 SMI 51.456 0.014 2.5 1.755 SOFR 22.067 0.024 2.5 1.341 SOYBEAN -46.520 0.004 2.5 -0.433 SOYMEAL -89.909 0.004 2.5 -0.836 SOYOIL -65.330 0.004 2.5 -0.608 SP400 -0.420 0.013 2.5 -0.014 SP500_micro 93.754 0.009 2.5 2.179 SUGAR11 -91.092 0.009 2.5 -1.937 US10 -6.749 0.005 2.5 -0.086 US10U 20.533 0.005 2.5 0.260 US2 -61.918 0.005 2.5 -0.785 US20 18.394 0.005 2.5 0.233 US30 11.354 0.005 2.5 0.144 US5 -42.586 0.005 2.5 -0.540 VIX -181.224 0.099 2.5 -44.735 WHEAT -135.975 0.005 2.5 -1.804 ===================== Position diags ===================== AUD 2.55 BITCOIN 41.89 BOBL 1.51 BTP 2.16 BUND 0.74 BUXL 0.30 CAC 3.01 CAD 3.91 CANOLA 8.90 CHF 1.94 COCOA 2.30 COFFEE 0.32 COPPER 4.59 CORN 4.98 COTTON2 1.82 CRUDE_W 4.14 DAX 13.09 DOW 9.78 DX 2.43 EUR 1.63 EURIBOR-ICE 10.47 EUROSTX 4.39 FEEDCOW 1.17 GASOIL 1.42 GASOLINE 1.10 GAS_US_mini 21.19 GBP 2.51 GOLD_micro 9.01 HEATOIL 1.03 JGB-SGX-mini 18.89 JPY 1.82 LEANHOG 5.40 LIVECOW 2.17 LUMBER-new 4.98 MILK 2.58 MXP 32.03 NASDAQ_micro 4.26 NIKKEI 24.25 NZD 2.87 OAT 2.42 OATIES 2.83 OJ 1.06 PALLAD 0.46 PLAT 2.07 REDWHEAT 0.97 RICE 3.45 ROBUSTA 1.23 RUSSELL 12.52 SHATZ 4.31 SILVER-mini 1.56 SMI 2.07 SOFR 14.20 SOYBEAN 0.78 SOYMEAL 0.79 SOYOIL 0.93 SP400 0.55 SP500_micro 7.21 SUGAR11 2.06 US10 1.15 US10U 0.86 US2 1.92 US20 0.58 US30 0.39 US5 1.71 VIX 22.63 WHEAT 1.24 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.1 0.8 1.3 3.0 3 BITCOIN 34.0 29.8 38.2 49.0 49 BOBL 0.3 0.1 0.5 0.0 0 BTP 2.0 1.8 2.3 3.0 3 BUND 0.5 0.4 0.6 0.0 0 BUXL 0.2 0.2 0.2 2.0 2 CAC 3.3 3.0 3.6 0.0 0 CAD 0.7 0.4 1.1 1.0 1 CANOLA -17.2 -18.0 -16.3 -6.0 -6 CHF -1.3 -1.5 -1.1 -4.0 -4 COCOA 3.6 3.4 3.8 6.0 6 COFFEE 0.1 0.0 0.1 0.0 0 COPPER 0.7 0.2 1.1 3.0 3 CORN -9.2 -9.6 -8.7 -6.0 -6 COTTON2 -3.1 -3.3 -2.9 -4.0 -4 CRUDE_W 2.2 1.8 2.6 2.0 2 DAX 21.9 20.6 23.2 0.0 0 DOW 5.6 4.6 6.5 3.0 3 DX -1.5 -1.8 -1.3 NaN 0 EUR -0.2 -0.3 0.0 0.0 0 EURIBOR-ICE 12.8 11.7 13.8 3.0 3 EUROSTX 6.3 5.9 6.8 16.0 16 FEEDCOW -0.9 -1.0 -0.7 -1.0 -1 GASOIL 0.2 0.1 0.4 0.0 0 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -30.4 -32.5 -28.3 -25.0 -25 GBP 0.8 0.5 1.0 0.0 0 GOLD_micro -5.6 -6.5 -4.7 -22.0 -22 HEATOIL -0.2 -0.3 -0.1 -1.0 -1 JGB-SGX-mini 12.9 11.0 14.8 10.0 10 JPY 0.0 -0.2 0.2 2.0 2 LEANHOG 0.2 -0.3 0.8 1.0 1 LIVECOW -1.8 -2.1 -1.6 -1.0 -1 LUMBER-new -1.2 -1.7 -0.7 NaN 0 MILK -5.2 -5.4 -4.9 NaN 0 MXP 28.6 25.4 31.8 37.0 37 NASDAQ_micro 1.7 1.3 2.1 11.0 11 NIKKEI 4.0 1.6 6.4 8.0 8 NZD 2.2 1.9 2.5 4.0 4 OAT 2.8 2.5 3.0 0.0 0 OATIES -3.2 -3.5 -2.9 NaN 0 OJ 0.6 0.5 0.7 NaN 0 PALLAD 0.2 0.2 0.3 0.0 0 PLAT 1.4 1.2 1.6 1.0 1 REDWHEAT -1.5 -1.6 -1.4 -3.0 -3 RICE 0.6 0.3 1.0 NaN 0 ROBUSTA 1.5 1.3 1.6 4.0 4 RUSSELL 0.3 -0.9 1.6 -1.0 -1 SHATZ -0.8 -1.2 -0.3 NaN 0 SILVER-mini -0.6 -0.7 -0.4 NaN 0 SMI 1.8 1.5 2.0 9.0 9 SOFR 1.3 -0.1 2.8 NaN 0 SOYBEAN -0.4 -0.5 -0.4 -1.0 -1 SOYMEAL -0.8 -0.9 -0.8 -2.0 -2 SOYOIL -0.6 -0.7 -0.5 -3.0 -3 SP400 -0.0 -0.1 0.0 0.0 0 SP500_micro 2.2 1.5 2.9 0.0 0 SUGAR11 -1.9 -2.1 -1.7 -2.0 -2 US10 -0.1 -0.2 0.0 -10.0 -10 US10U 0.3 0.2 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 -0.5 -0.7 -0.4 -1.0 -1 VIX -44.7 -47.0 -42.5 -17.0 -17 WHEAT -1.8 -1.9 -1.7 -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 0.1 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 0.2 0.4 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.2 0.1 0.1 0.1 -0.4 -0.4 -0.1 0.2 BITCOIN 0.1 0.5 0.6 0.0 0.1 0.0 0.1 0.0 0.0 0.0 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 -0.5 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 0.1 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.1 -0.2 -0.2 0.1 0.1 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 -0.2 -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 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.0 0.2 -1.1 0.0 0.1 0.1 0.1 0.0 0.1 0.7 0.3 0.3 0.4 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 -0.0 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 0.1 0.1 0.0 0.0 0.2 0.1 0.2 -0.1 0.2 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.1 0.3 0.2 0.2 -0.7 -0.7 -0.4 -0.2 BUXL 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.2 0.2 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.2 0.5 0.3 0.2 -0.7 -0.7 -0.3 0.4 CAC 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 -0.2 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.3 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.3 0.0 0.0 0.3 0.2 0.6 0.4 CAD 0.6 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.2 0.2 -0.4 0.2 0.1 -0.0 -0.0 -0.0 -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 0.5 0.6 -0.3 -0.3 -0.6 -0.7 -0.1 -0.5 CANOLA -0.4 -0.2 -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 -0.1 -0.5 -0.5 -0.6 -0.5 -0.3 -0.1 0.1 CHF 0.4 0.6 -0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 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 0.1 0.1 0.1 0.0 0.1 -1.1 0.0 0.3 -0.1 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.1 0.6 0.5 -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 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.0 0.4 0.1 0.3 0.5 0.6 0.6 0.6 0.5 -0.0 0.7 0.6 COFFEE 0.3 0.6 0.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.1 0.1 -0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.1 0.0 0.2 -2.6 0.1 0.0 0.1 0.1 0.0 0.1 0.6 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 COPPER 0.2 0.6 0.1 0.0 0.1 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 0.1 -0.0 0.1 0.1 0.3 0.3 0.5 0.1 -0.2 -0.4 0.2 -0.3 CORN -0.0 0.1 -0.2 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.2 -0.2 -0.1 -0.4 -0.1 -0.2 -0.5 -0.0 -0.2 0.3 -0.2 -0.3 0.2 0.1 COTTON2 0.2 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 -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 -0.0 -0.2 0.0 -0.6 -0.2 -0.5 -0.4 -0.1 0.1 CRUDE_W -0.2 -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 0.1 0.2 -0.1 -0.6 -0.0 0.1 0.1 0.0 0.2 -0.0 -1.0 0.2 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 -0.1 0.3 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 0.0 0.0 0.1 -0.4 -0.5 0.4 0.6 0.3 0.2 0.2 0.5 0.5 DOW 0.6 0.6 0.1 0.1 0.0 0.0 0.1 0.0 0.1 0.1 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 -1.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.4 0.5 0.6 0.6 0.3 -0.4 -0.1 -0.5 -0.2 DX -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 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.8 -0.5 -0.6 -0.6 0.0 0.4 0.2 0.5 0.5 EUR -0.1 0.6 -0.0 0.0 0.0 0.1 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 -0.0 0.1 1.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.1 -0.4 -0.1 -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 -0.0 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 0.4 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.6 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 0.3 0.2 0.7 0.2 0.2 0.1 -0.0 -0.0 -0.1 0.2 0.2 0.2 0.4 0.2 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 0.3 -0.5 0.0 0.2 0.3 0.1 0.2 0.3 0.5 FEEDCOW 0.0 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 0.0 -0.0 -0.1 -0.1 -0.4 -0.2 -0.3 -0.1 -0.1 0.0 -0.0 -0.1 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 -1.1 0.3 0.0 -0.6 -0.4 0.4 0.1 0.7 0.3 GASOIL -0.3 -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 0.1 -0.0 0.0 0.1 -0.3 -0.1 -0.5 -0.2 GASOLINE -0.0 -0.4 -0.6 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 0.4 0.1 0.3 -0.1 -0.0 0.1 0.1 -0.0 -2.7 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 0.3 0.4 0.5 -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 0.1 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.4 -0.4 -0.6 0.2 -0.7 0.0 GBP 0.2 0.6 -0.2 0.0 0.0 0.1 0.1 0.0 0.1 -0.0 -0.1 0.0 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 -0.1 0.0 -0.3 -0.4 0.1 -0.3 0.6 GOLD_micro -0.1 0.3 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.2 0.0 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.0 0.1 0.1 -0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.8 -0.2 0.3 0.2 0.3 -0.5 -0.7 -0.5 -0.7 HEATOIL -0.3 -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 0.3 0.4 0.4 0.4 -0.1 -0.0 0.0 0.2 -0.1 -2.5 -0.0 0.1 0.0 0.0 0.2 -0.0 0.2 0.1 0.1 0.1 -0.1 0.5 -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 0.1 0.4 0.3 0.3 0.0 0.0 0.0 0.0 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 -0.3 -0.2 -0.2 -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 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 0.1 -0.3 0.1 2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.2 -0.2 -0.3 -0.3 -0.7 -0.1 -0.7 LEANHOG -0.0 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.3 -0.1 -0.1 -0.4 0.2 -0.4 0.0 -0.1 -0.1 0.0 -0.3 -0.0 1.8 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.8 -0.0 0.1 0.1 0.0 -0.4 -0.2 0.2 0.4 LIVECOW -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 -0.1 -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 -0.3 0.2 -0.1 -0.6 -0.3 0.1 -0.3 0.3 -0.1 LUMBER-new 0.1 0.7 0.2 -0.0 0.0 -0.2 0.0 -0.3 -0.0 0.2 -0.2 0.3 -0.8 0.3 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.0 0.2 -0.3 0.3 NaN 0.1 0.2 0.0 0.2 -0.1 0.1 -1.2 0.6 0.7 0.7 0.6 -0.7 -0.8 -0.4 -0.7 MILK -0.5 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 1.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 MXP -0.0 0.5 -0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.5 0.2 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.2 -0.4 0.1 -0.2 0.3 0.5 0.7 0.7 NASDAQ_micro 0.5 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.4 0.1 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.3 0.5 0.0 0.1 0.3 0.3 -0.2 0.3 -0.3 NIKKEI -0.3 0.4 -0.3 0.0 0.0 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 0.5 0.0 -1.7 0.0 0.0 0.1 -0.0 0.3 0.0 1.1 -0.5 -0.6 -0.6 0.0 -0.3 0.0 -0.2 0.2 NZD 0.5 0.6 0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 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 0.1 -0.0 0.1 0.2 0.0 0.2 0.2 0.2 -0.2 -0.4 -0.1 0.2 OAT 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 0.2 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 0.4 0.3 0.3 -0.7 -0.7 -0.1 0.2 OATIES 0.3 -0.4 -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 -0.2 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.8 -0.2 0.0 -0.4 -0.5 0.1 0.3 0.5 0.7 OJ -0.6 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.4 -0.1 0.6 -0.0 0.1 0.2 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 1.1 -0.3 -0.6 0.2 0.6 0.3 0.4 0.7 0.7 PALLAD 0.6 0.5 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 0.1 0.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.5 0.3 -0.3 -0.4 -0.1 -0.3 0.2 -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 1.7 0.0 0.1 0.0 0.1 -0.0 0.0 0.3 0.4 0.3 0.1 0.1 -0.2 -0.4 0.4 -0.2 REDWHEAT 0.6 0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.3 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 -0.5 0.3 -0.3 -0.4 -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 0.1 0.4 0.0 0.4 0.2 0.1 -0.3 0.0 -0.3 -0.1 0.2 0.2 0.1 0.3 0.1 -2.7 0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.4 -0.2 0.6 0.6 -0.0 -0.5 0.5 -0.1 ROBUSTA 0.6 0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.4 0.1 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 -0.4 -0.5 0.1 0.0 RUSSELL 0.6 0.6 -0.1 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 0.5 0.4 0.1 -0.1 -0.5 -0.5 -0.7 -0.6 SHATZ 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 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.1 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.3 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini -0.2 0.3 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -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 -0.1 -0.1 -0.0 -0.6 -0.7 0.1 -0.6 SMI 0.6 0.6 -0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.2 0.0 0.2 -0.1 0.2 1.3 0.1 -0.0 0.0 0.1 -0.0 0.1 0.8 -0.3 -0.0 -0.4 -0.2 -0.0 -0.2 0.1 -0.2 SOFR 0.6 0.6 0.4 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 -0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.0 0.0 -0.1 0.0 -0.1 -2.7 0.0 -0.1 0.1 -0.0 0.1 0.0 1.1 -0.3 0.1 0.5 0.4 -0.7 -0.7 -0.7 -0.5 SOYMEAL -0.6 -0.0 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 -0.5 -0.6 0.1 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.0 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 0.2 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.8 0.1 0.2 0.1 -0.4 -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 0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.0 0.2 0.0 0.2 -1.2 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.4 0.4 0.1 -0.1 -0.4 -0.3 -0.6 -0.7 SP500_micro 0.6 0.6 -0.0 0.1 0.0 0.0 0.1 0.0 0.1 0.1 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 0.0 0.1 0.1 0.1 0.1 -0.4 0.5 0.2 0.3 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 0.0 -0.1 0.3 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.2 -0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.1 -0.5 -0.6 -0.6 0.0 -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 -0.0 0.0 -0.6 -0.0 0.0 -0.0 -0.0 -0.7 -0.7 -0.3 0.1 US10U 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 0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.2 0.2 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.0 0.1 -0.0 -0.1 -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 0.1 -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 1.0 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 0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.2 0.2 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 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 0.2 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.2 0.0 -0.1 -0.3 -0.6 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 -0.1 0.1 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.9 -0.0 0.0 -0.0 0.1 -0.7 -0.7 -0.7 -0.5 VIX -0.2 -1.0 0.4 -0.1 0.1 -0.3 0.0 -0.5 -0.1 0.2 -0.9 0.0 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.3 NaN -0.1 0.1 -0.3 0.0 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.4 -0.1 -0.0 0.0 -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 -0.1 -0.0 -0.5 -0.0 -0.4 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 -0.9 -0.5 0.5 -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 8.7 20.0 9.9 3.6 3.8 2.0 4.4 1.2 4.6 11.4 -2.8 12.6 -8.0 12.9 10.4 -2.3 -2.9 -2.7 -2.9 10.4 2.1 15.9 -4.8 14.6 2.9 4.0 5.4 1.1 5.9 -1.3 5.5 -1.0 8.8 2.7 2.2 2.2 -13.3 -13.3 -4.1 6.3 BITCOIN 1.8 14.7 17.7 1.5 8.1 0.2 4.9 0.1 2.5 2.7 19.3 11.3 17.0 16.6 20.0 -9.6 -6.1 -8.9 -7.7 20.0 20.0 14.1 14.3 20.0 -20.0 7.7 1.8 6.2 3.0 3.7 5.9 -1.8 -20.0 20.0 20.0 20.0 -5.6 16.9 0.5 20.0 BOBL 20.0 20.0 19.8 1.9 2.7 0.2 3.1 -1.1 3.0 7.4 1.9 8.1 -4.1 8.3 7.5 -20.0 -6.1 -11.1 -8.2 12.5 5.0 16.6 -3.2 16.8 8.1 2.6 3.1 1.1 3.5 -0.3 3.5 -10.2 1.7 7.1 1.6 6.6 -17.5 -20.0 -7.0 -17.9 BTP 20.0 20.0 7.5 3.2 4.4 0.3 5.0 -1.7 4.9 12.4 7.4 13.5 5.2 14.1 12.7 5.2 7.3 6.2 6.4 20.0 10.4 20.0 0.9 20.0 -8.0 4.3 5.9 2.0 6.0 0.4 5.8 14.0 12.2 9.7 12.0 8.8 -13.8 -20.0 5.5 5.4 BUND 20.0 20.0 16.6 2.2 3.1 0.2 3.5 -1.2 3.4 8.5 2.8 9.4 -4.7 9.7 8.4 3.6 4.1 1.1 1.7 15.3 5.6 20.0 -3.9 20.0 5.7 3.0 3.5 1.2 4.1 -0.3 4.1 7.1 5.7 10.2 4.9 7.3 -20.0 -20.0 -10.8 -5.9 BUXL 20.0 20.0 16.2 2.6 3.7 0.3 4.2 -1.5 4.1 10.1 2.3 11.3 -7.3 11.8 9.3 0.2 0.7 0.3 0.6 18.2 4.8 20.0 -7.1 20.0 1.1 3.4 4.3 1.1 4.9 -0.7 5.0 3.5 10.0 15.7 9.0 5.8 -20.0 -20.0 -8.8 10.7 CAC 20.0 20.0 -4.1 6.0 2.9 2.3 6.5 0.9 8.1 14.9 9.8 20.0 19.1 20.0 20.0 -8.2 -3.8 -7.1 -5.9 20.0 13.2 20.0 11.5 20.0 -8.0 7.1 2.5 3.0 7.1 2.0 9.6 1.5 0.1 8.9 0.8 0.8 8.8 6.4 17.6 11.8 CAD 19.3 14.2 -1.1 5.7 6.1 3.2 7.0 1.9 7.2 18.7 -7.8 20.0 -12.0 20.0 11.2 -2.2 -2.3 -2.4 -2.4 11.7 -1.6 20.0 -8.3 20.0 2.5 4.6 11.1 -0.5 12.4 -2.7 9.9 0.0 18.9 18.2 -10.7 -8.8 -17.4 -20.0 -1.7 -14.6 CANOLA -13.1 -4.9 -20.0 -1.3 0.8 -2.4 0.9 -3.2 -0.3 -4.2 -4.8 -7.7 -4.6 -7.7 -8.7 -11.4 0.5 -10.4 -6.3 -10.8 -9.4 -8.0 -7.2 -10.3 -20.0 -3.3 -0.8 -3.0 -2.1 -2.6 -2.9 -2.2 -6.0 -16.4 -14.3 -18.4 -14.9 -10.3 -4.0 1.9 CHF 13.8 20.0 -6.0 5.5 5.8 3.0 6.7 1.8 6.9 16.7 -0.8 18.4 8.3 20.0 15.8 -17.0 -15.4 -16.9 -16.3 18.1 7.0 20.0 3.5 20.0 -9.8 5.6 8.2 2.0 8.3 0.8 8.0 -20.0 1.4 9.4 -4.3 -12.0 -20.0 -20.0 -20.0 -20.0 COCOA 1.6 17.6 15.6 -3.6 2.2 -6.3 2.5 -8.3 -0.7 20.0 20.0 20.0 20.0 20.0 20.0 13.3 0.6 6.8 2.9 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 4.1 9.8 4.6 9.8 6.7 4.8 20.0 20.0 20.0 20.0 15.5 -0.8 20.0 17.0 COFFEE 7.9 18.3 20.0 -2.2 1.3 -3.9 1.5 -5.2 -0.4 5.6 4.0 11.6 -5.7 13.5 13.7 11.2 4.2 8.5 5.6 13.9 7.3 16.1 0.1 16.5 -19.5 5.1 3.6 3.2 5.0 1.0 5.5 10.4 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -12.0 COPPER 4.9 18.0 1.6 1.2 6.5 0.1 3.9 0.0 2.0 12.8 -3.8 10.1 -3.7 12.0 9.0 -4.5 -4.4 -6.0 -5.6 7.9 0.9 11.2 -4.2 10.9 -6.8 4.2 5.4 1.1 5.3 -1.3 5.2 1.4 11.4 9.2 15.2 2.8 -5.8 -12.4 5.1 -10.3 CORN -0.2 3.0 -6.6 -3.5 2.1 -6.2 2.4 -8.2 -0.7 -20.0 -20.0 -14.9 -20.0 -14.9 -14.0 -8.8 -1.0 -7.5 -5.6 -8.8 -17.7 -13.6 -20.0 -8.5 -20.0 -3.6 -20.0 -6.0 -13.4 -11.1 -6.4 -3.4 -20.0 -1.1 -6.9 8.1 -5.2 -8.0 6.6 3.3 COTTON2 6.5 -12.6 -12.1 -2.6 1.6 -4.5 1.8 -6.0 -0.5 -13.3 -9.1 -8.2 -8.7 -8.7 -12.3 -6.7 0.1 -6.1 -3.7 -12.0 -10.4 -7.1 -7.0 -7.7 -20.0 -4.6 -3.5 -3.8 -2.5 -1.4 -2.8 -0.7 -9.1 0.1 -20.0 -6.9 -15.7 -13.3 -2.6 2.5 CRUDE_W -6.7 -18.8 -6.7 -4.1 3.6 -1.1 0.7 1.8 -3.3 13.7 6.2 2.9 7.1 -8.2 -9.8 5.8 9.9 8.3 9.4 -6.5 2.3 5.8 8.8 -5.1 -4.3 -2.7 6.2 1.9 3.1 6.0 -1.9 -17.8 6.9 7.0 11.1 15.8 20.0 12.6 20.0 13.3 DAX 20.0 20.0 -1.5 5.7 2.7 2.2 6.1 0.8 7.6 -13.5 9.7 16.7 16.7 20.0 20.0 -13.7 -8.9 -11.6 -10.3 20.0 17.0 18.2 9.2 20.0 19.2 6.6 -1.3 3.0 3.2 1.2 7.3 -6.6 -20.0 12.4 17.4 7.8 6.2 4.6 15.4 15.3 DOW 20.0 20.0 3.6 4.7 2.2 1.8 5.0 0.7 6.2 12.5 12.3 17.8 13.6 19.9 17.8 -10.8 -9.1 -10.5 -10.2 20.0 19.8 20.0 9.1 20.0 -12.4 6.0 3.5 3.1 6.5 1.8 7.6 -6.9 20.0 20.0 18.4 8.3 -11.6 -4.5 -14.2 -6.5 DX -6.2 -20.0 -1.4 2.8 2.9 1.5 3.4 0.9 3.5 -5.7 3.0 -6.2 -3.3 -8.7 -6.5 5.4 6.1 6.4 6.4 -7.0 -1.2 -9.1 2.3 -9.7 -20.0 -2.5 -2.2 -0.3 -3.1 1.2 -3.5 14.8 -20.0 -20.0 -20.0 0.2 12.1 4.9 16.1 14.1 EUR -3.7 17.9 -0.9 3.6 3.8 2.0 4.4 1.2 4.5 7.5 -3.2 6.1 4.7 8.6 7.2 -5.6 -6.7 -6.1 -6.4 5.5 1.1 8.2 -1.6 7.2 10.2 2.6 3.7 0.6 3.9 -0.7 3.5 -7.2 3.4 -13.1 -2.7 -7.3 -16.2 -13.1 -14.6 -5.5 EURIBOR-ICE 20.0 20.0 20.0 1.8 2.6 0.2 2.9 -1.0 2.9 7.1 5.2 7.8 -1.0 8.1 8.1 -1.7 -6.2 -3.5 -5.2 17.0 9.9 18.7 0.5 19.8 16.8 2.8 2.6 1.6 3.0 0.2 3.2 -8.1 5.2 11.0 10.4 15.3 -20.0 -20.0 5.5 20.0 EUROSTX 20.0 20.0 -0.3 5.7 2.7 2.2 6.2 0.8 7.7 -0.8 11.1 17.7 18.5 20.0 20.0 4.0 -2.1 -1.4 -2.8 20.0 16.9 18.1 13.1 20.0 3.5 7.2 -1.1 3.7 4.0 2.3 7.9 5.3 -20.0 1.0 7.2 8.5 3.2 7.0 9.2 15.3 FEEDCOW 1.4 -20.0 -20.0 -1.3 0.8 -2.4 0.9 -3.2 -0.3 8.2 -5.8 3.7 0.1 -4.2 -7.4 -6.6 -20.0 -9.6 -15.8 -13.1 -10.0 5.2 -1.7 -5.5 -1.2 -2.5 2.0 -1.7 1.2 0.7 -0.8 -20.0 13.4 1.4 -18.9 -12.4 12.0 1.9 20.0 9.5 GASOIL -9.0 -20.0 -9.9 -3.4 2.9 -0.9 0.6 1.4 -2.7 11.1 5.4 -0.3 6.0 -8.3 -11.2 10.3 20.0 16.2 19.3 -9.5 -0.0 3.6 8.5 -8.0 8.1 -3.2 5.0 0.5 1.4 3.2 -2.8 0.6 3.7 -0.0 1.3 3.0 -8.0 -1.8 -15.8 -7.3 GASOLINE -0.0 -12.3 -20.0 -3.5 3.0 -0.9 0.6 1.5 -2.8 13.4 0.7 6.1 3.9 -2.7 -10.9 -6.6 20.0 4.4 17.4 -6.9 -3.3 9.8 4.5 -1.2 -20.0 -2.6 7.2 -0.8 4.8 3.8 0.1 3.9 10.6 13.4 15.0 -5.7 20.0 11.7 20.0 9.0 GAS_US_mini -20.0 -20.0 5.8 -2.7 2.3 -0.7 0.5 1.1 -2.1 -1.9 -11.9 -8.3 -13.3 -11.4 -12.1 6.1 -20.0 -20.0 -20.0 -20.0 -19.1 -12.5 -20.0 -20.0 16.7 -4.2 -1.3 -2.8 -2.4 -1.7 -4.1 -20.0 -20.0 -18.6 -11.6 -11.7 -16.7 5.5 -20.0 1.2 GBP 4.7 19.1 -5.6 3.8 4.0 2.1 4.7 1.2 4.8 -0.1 -2.3 4.0 7.4 11.4 8.8 -0.4 -0.7 -0.5 -0.6 8.4 3.3 5.7 0.9 9.6 1.3 3.5 0.5 1.2 2.5 -0.2 4.1 2.9 -9.8 -4.2 1.5 -8.5 -11.6 1.9 -8.3 16.8 GOLD_micro -1.9 9.6 5.0 0.9 4.9 0.1 3.0 0.0 1.5 8.9 2.7 0.0 4.4 3.5 8.7 -12.4 -13.9 -14.1 -14.5 7.1 4.5 3.9 2.0 5.6 -4.7 3.0 1.6 2.0 1.6 1.2 2.3 -14.7 -10.1 10.2 5.7 8.9 -15.5 -20.0 -14.3 -20.0 HEATOIL -8.5 -20.0 -10.8 -3.7 3.2 -1.0 0.7 1.6 -2.9 12.3 4.2 0.7 4.8 -8.3 -12.1 17.1 20.0 20.0 20.0 -10.5 -1.5 5.4 7.2 -7.6 -18.9 -3.4 5.6 0.3 2.4 4.5 -2.2 4.2 5.4 3.1 4.5 -2.4 13.6 -0.7 9.3 -6.4 JGB-SGX-mini 10.2 20.0 -4.9 1.6 2.0 0.1 2.5 -1.0 2.5 5.0 -0.2 3.9 2.1 5.2 4.4 6.9 18.8 13.5 15.3 3.8 1.1 5.5 0.1 5.3 -1.8 1.3 2.6 0.1 1.9 -0.5 2.0 20.0 -10.5 -6.5 -7.3 -0.9 3.5 -20.0 14.4 20.0 JPY 20.0 20.0 16.1 2.3 2.4 1.3 2.8 0.8 2.9 0.9 -6.8 5.5 -8.5 6.8 2.4 -14.6 -16.2 -16.9 -17.1 3.7 -4.2 7.1 -10.0 8.7 20.0 1.4 0.2 -1.6 2.9 -3.5 3.5 -20.0 4.9 7.7 -5.0 -7.8 -8.0 -20.0 -1.5 -20.0 LEANHOG -0.5 -3.9 -5.6 -2.0 1.2 -3.6 1.4 -4.7 -0.4 4.5 -3.0 4.3 -8.1 -5.3 -8.7 -20.0 7.9 -18.3 2.4 -8.5 -9.6 1.9 -11.5 -4.3 13.4 -2.5 1.3 -4.8 2.0 -8.1 -0.4 14.7 -1.5 3.2 1.5 0.0 -10.7 -6.7 7.0 11.8 LIVECOW -3.9 -20.0 -20.0 -1.5 0.9 -2.7 1.1 -3.6 -0.3 8.9 -5.2 0.8 1.4 -6.0 -8.1 -3.5 -4.6 -8.0 -7.0 -14.3 -9.4 0.4 -0.9 -9.1 0.2 -3.1 1.3 -1.7 0.3 1.0 -1.7 -6.4 6.7 -2.7 -20.0 -10.2 3.3 -9.3 8.0 -2.8 LUMBER-new 3.4 19.1 6.0 -3.9 2.4 -6.6 2.7 -7.5 -0.8 20.0 -7.6 20.0 -20.0 20.0 19.5 -12.3 -14.5 -14.3 -14.6 15.8 1.7 20.0 -10.1 20.0 NaN 6.1 17.7 1.4 13.4 -1.9 9.3 -20.0 20.0 18.1 20.0 16.7 -18.1 -20.0 -11.3 -18.0 MILK -15.0 -18.4 -15.2 -2.4 1.5 -4.3 1.7 -5.7 -0.5 -15.2 -15.0 -16.7 -15.3 -17.1 -16.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 8.6 -6.0 -7.5 -5.4 -7.3 -5.9 -6.7 -20.0 -20.0 -20.0 -20.0 -16.7 -20.0 -20.0 -20.0 -20.0 MXP -1.4 14.7 -12.8 4.1 4.3 2.2 5.0 1.3 5.1 12.0 11.6 12.6 14.5 15.0 11.6 13.5 16.3 14.0 14.9 10.7 9.9 10.6 15.5 11.4 -20.0 3.9 3.9 3.8 4.1 6.3 4.2 20.0 -6.6 -13.8 3.3 -5.9 9.7 15.6 20.0 20.0 NASDAQ_micro 15.9 20.0 3.4 3.7 1.7 1.4 4.0 0.5 4.9 9.5 13.3 13.4 12.9 15.4 14.4 -11.2 -8.9 -10.3 -9.8 20.0 18.6 20.0 17.1 20.0 -20.0 4.8 3.2 3.7 5.4 3.9 5.8 -6.3 20.0 0.7 4.5 8.3 10.3 -7.2 10.5 -9.4 NIKKEI -9.6 11.5 -9.0 4.6 4.9 1.7 6.0 0.6 6.5 11.3 15.2 -5.2 16.2 10.3 11.6 14.9 10.6 10.6 10.1 8.2 12.3 -0.2 17.5 2.7 -12.5 2.8 3.5 5.2 -0.3 8.4 0.5 20.0 -20.0 -20.0 -20.0 1.0 -9.8 0.2 -7.5 5.0 NZD 14.5 20.0 11.6 3.6 3.8 2.0 4.4 1.2 4.5 12.9 -0.9 13.8 -0.1 13.8 11.4 0.1 0.2 0.0 0.1 13.0 4.3 15.5 -2.8 16.5 0.8 4.3 4.7 1.7 4.9 -0.4 5.2 4.3 1.7 7.6 4.8 6.3 -5.7 -12.6 -2.3 6.8 OAT 20.0 20.0 15.3 2.4 3.3 0.2 3.7 -1.3 3.7 9.1 4.0 10.0 -4.4 10.4 9.1 4.7 7.1 5.3 5.9 17.4 6.9 20.0 -3.0 20.0 8.2 3.2 4.0 1.4 4.4 -0.2 4.4 13.5 8.6 12.2 8.0 8.8 -20.0 -20.0 -2.4 7.2 OATIES 8.7 -12.6 -20.0 -1.2 0.7 -2.1 0.8 -2.8 -0.2 5.4 -5.1 1.3 -3.9 -3.5 -7.0 -1.5 -8.0 -8.9 -11.1 -8.2 -7.3 2.0 -3.0 -3.4 -20.0 -2.4 1.1 -2.1 0.5 -0.9 -1.0 -15.1 -6.8 0.3 -11.8 -16.1 2.8 8.6 13.9 20.0 OJ -20.0 -8.7 -0.8 -2.5 1.5 -4.5 1.7 -5.9 -0.5 -11.2 14.3 -13.4 16.5 -2.6 8.1 11.6 20.0 18.4 20.0 12.9 20.0 -13.8 20.0 -5.4 -20.0 4.5 -3.9 9.1 -2.7 12.1 -0.3 20.0 -13.2 -20.0 7.6 20.0 8.9 10.7 20.0 20.0 PALLAD 20.0 16.5 19.4 0.6 3.1 0.1 1.9 0.0 0.9 6.7 -6.9 6.4 -8.5 3.1 -2.2 -1.8 -2.3 -2.0 -2.2 -1.4 -6.1 16.2 -9.6 6.8 5.4 -1.0 5.1 -2.1 4.6 -2.2 1.5 5.9 20.0 8.4 -9.1 -11.0 -2.7 -7.5 6.3 -1.2 PLAT 7.5 9.1 1.4 0.9 4.6 0.1 2.8 0.0 1.4 10.8 -6.9 10.3 -5.8 10.3 3.1 -3.5 -2.8 -3.4 -3.2 3.9 -1.3 10.6 -3.9 8.1 12.6 2.2 6.1 0.3 5.8 -0.6 4.1 4.7 15.3 8.4 2.6 2.9 -5.6 -11.2 13.0 -5.3 REDWHEAT 19.3 11.2 -13.5 -2.0 1.2 -3.6 1.4 -4.7 -0.4 -10.7 -12.3 1.5 -13.2 0.6 -8.1 -3.2 -1.3 -4.1 -3.2 -9.0 -14.6 -4.6 -15.1 -4.0 -10.9 -3.6 -3.5 -5.6 -2.2 -5.2 -1.5 -1.3 -20.0 10.7 -9.3 -13.0 -20.0 -20.0 -20.0 -14.1 RICE -4.7 13.0 7.2 -3.2 8.1 -5.7 3.9 -7.4 -0.5 12.4 16.6 4.3 12.4 14.1 13.5 -12.5 1.7 -13.8 -6.3 16.3 14.9 11.5 10.5 12.6 -20.0 4.7 6.4 4.3 4.0 3.0 3.5 0.7 18.3 -7.1 18.1 20.0 -0.7 -14.5 14.7 -4.1 ROBUSTA 20.0 18.8 -6.3 -2.2 1.3 -3.9 1.5 -5.1 -0.4 11.3 13.8 13.8 13.6 14.9 14.3 17.7 20.0 20.0 20.0 20.0 16.5 20.0 14.5 20.0 -20.0 5.0 6.0 3.4 7.3 3.0 6.7 20.0 20.0 20.0 20.0 20.0 -11.0 -14.9 2.0 0.4 RUSSELL 20.0 20.0 -2.5 2.9 1.4 1.1 3.1 0.4 3.9 9.1 0.5 11.3 -2.6 12.1 7.3 -5.9 -6.1 -6.3 -6.4 13.5 3.2 20.0 -1.9 20.0 -1.8 3.1 3.9 0.8 5.3 -0.0 5.0 -1.0 20.0 11.8 2.7 -4.5 -16.2 -14.9 -20.0 -19.4 SHATZ 20.0 20.0 20.0 1.8 2.5 0.2 2.9 -1.0 2.8 6.6 -2.1 7.3 -6.1 7.1 5.5 -20.0 -20.0 -20.0 -20.0 8.8 2.1 13.0 -5.5 12.8 9.1 2.3 2.7 0.7 3.1 -0.9 3.2 -20.0 -3.8 7.9 -2.2 4.2 -12.1 -20.0 -5.6 -20.0 SILVER-mini -4.8 10.3 -1.5 0.9 5.0 0.1 3.0 0.0 1.5 11.2 -0.7 -2.1 2.5 0.1 4.0 -6.5 -6.3 -6.8 -6.7 2.9 1.0 2.1 -0.2 1.8 5.3 0.1 3.0 0.4 0.3 0.5 -0.6 -1.4 -11.7 -3.9 -3.1 -0.6 -18.0 -20.0 2.4 -19.2 SMI 20.0 19.9 -6.3 5.5 2.6 2.1 5.8 0.8 7.3 4.9 -3.2 16.7 2.2 20.0 12.7 9.5 3.4 6.4 4.2 16.9 0.3 19.1 -4.9 20.0 9.4 5.2 -1.0 0.9 5.4 -1.2 8.1 15.9 -10.7 -0.2 -13.7 -5.8 -1.5 -7.0 2.8 -5.3 SOFR 20.0 20.0 10.9 1.9 2.7 0.2 3.0 -1.1 3.0 7.2 -0.8 7.8 -2.6 8.3 7.0 1.0 -0.4 0.5 -0.1 9.4 2.3 11.2 -3.1 12.5 -1.3 2.3 2.2 0.6 2.7 -0.7 3.1 1.7 -3.5 -0.2 0.9 2.8 -20.0 -20.0 -6.5 -8.4 SOYBEAN -8.1 1.4 -0.8 -3.0 1.8 -5.3 2.1 -7.0 -0.6 -12.7 8.6 -11.1 7.0 -7.1 -5.5 15.4 17.4 15.6 15.3 -0.9 1.7 -8.0 1.7 -4.7 -20.0 4.2 -8.8 4.4 -3.7 3.1 0.9 20.0 -10.7 1.6 15.5 13.5 -20.0 -20.0 -20.0 -15.8 SOYMEAL -20.0 -0.4 3.4 -1.9 1.2 -3.4 1.3 -4.5 -0.4 -11.3 0.9 -12.6 3.4 -10.6 -0.9 13.7 17.2 15.5 15.9 -3.2 1.9 -14.0 3.3 -11.4 -20.0 -0.0 -4.8 2.0 -4.4 2.8 -3.0 20.0 -19.6 -20.0 2.5 12.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 2.4 -1.0 -20.0 -1.6 1.0 -2.9 1.1 -3.8 -0.3 7.9 -3.3 -1.9 -4.3 -2.4 -9.0 -0.1 8.8 4.0 6.6 -7.4 -8.5 0.6 -5.7 -2.8 -20.0 -1.1 1.6 -2.2 1.0 -1.8 0.6 15.6 2.3 7.2 1.6 -11.0 -11.9 0.1 2.2 11.4 SP400 20.0 20.0 -4.9 3.2 1.5 1.2 3.4 0.4 4.2 9.0 2.5 11.5 1.4 12.8 8.6 -4.9 -5.0 -5.2 -5.2 14.9 4.5 20.0 0.0 20.0 -9.3 3.5 3.5 1.2 5.3 0.4 5.3 1.0 17.8 10.8 3.1 -1.9 -13.3 -9.7 -18.5 -20.0 SP500_micro 20.0 20.0 -0.7 4.7 2.2 1.8 5.1 0.7 6.3 11.3 12.4 16.7 13.2 19.9 18.2 -11.9 -10.0 -11.3 -10.9 20.0 17.7 20.0 12.2 20.0 -20.0 5.8 3.6 3.5 6.7 2.9 7.5 -8.1 20.0 4.7 7.7 4.1 3.2 -6.9 5.5 -10.0 SUGAR11 -20.0 -20.0 -20.0 -1.5 0.9 -2.7 1.1 -3.6 -0.3 -8.9 0.7 -10.3 7.9 -10.1 -5.7 20.0 20.0 20.0 20.0 -15.0 -2.8 -20.0 6.3 -20.0 -20.0 -2.8 -2.7 -0.6 -4.0 1.5 -4.3 20.0 -20.0 -20.0 -20.0 1.0 -2.3 -11.9 13.3 5.7 US10 20.0 20.0 15.9 1.8 2.4 0.2 2.8 -1.0 2.7 6.6 -2.7 7.2 -4.6 7.5 5.7 -7.4 -7.1 -7.1 -7.4 7.2 -0.2 10.9 -6.0 11.3 1.3 1.9 2.2 0.0 2.7 -1.3 2.9 -10.5 -0.6 0.8 -0.3 -0.2 -20.0 -20.0 -8.1 3.7 US10U 20.0 20.0 11.6 2.4 3.3 0.3 3.8 -1.3 3.7 9.1 -3.4 9.9 -6.2 10.3 7.1 3.1 0.2 1.8 0.8 10.0 -0.7 16.1 -8.7 16.3 -1.9 2.5 3.1 -0.1 3.9 -1.8 4.0 2.8 0.2 2.2 -0.3 -1.6 -20.0 -20.0 3.0 14.6 US2 18.8 20.0 20.0 1.7 2.3 0.2 2.7 -0.9 2.6 5.8 -4.5 6.0 -5.9 6.1 4.8 -19.5 -20.0 -20.0 -20.0 4.9 -0.7 7.7 -6.7 7.6 7.8 2.0 2.1 0.3 2.5 -1.6 2.7 -20.0 -2.6 0.6 -3.2 4.0 -15.8 -20.0 -9.4 -20.0 US20 20.0 20.0 8.5 1.8 2.5 0.2 2.8 -1.0 2.7 6.6 -1.9 7.3 -4.2 7.7 5.3 -0.4 -1.3 -0.7 -1.1 8.5 -0.4 13.8 -6.5 13.9 -1.9 1.9 2.3 -0.1 2.9 -1.3 3.0 -0.4 2.3 4.4 2.3 -1.8 -14.8 -20.0 15.2 20.0 US30 20.0 20.0 9.2 2.0 2.8 0.2 3.2 -1.1 3.1 7.5 -2.1 8.3 -5.2 8.7 5.9 -4.5 -4.1 -4.7 -4.8 9.3 -0.5 14.7 -7.6 15.3 -1.5 2.1 2.4 -0.1 3.2 -1.5 3.5 -5.5 0.7 4.7 1.0 -1.7 -8.6 -19.5 20.0 20.0 US5 20.0 20.0 20.0 1.7 2.4 0.2 2.7 -0.9 2.7 6.4 -3.0 6.9 -4.8 7.2 5.7 -8.3 -10.2 -9.7 -10.6 6.6 0.2 9.6 -5.4 9.9 3.3 2.0 2.1 0.3 2.6 -1.2 2.8 -16.1 -1.6 0.2 -1.0 1.9 -20.0 -20.0 -20.0 -13.8 VIX -4.2 -20.0 8.6 -5.2 6.9 -5.9 0.7 -7.9 -3.7 13.4 -20.0 1.1 -20.0 -17.4 -18.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 0.2 -20.0 -15.8 NaN -6.1 7.7 -6.8 0.9 -9.1 -4.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 14.3 12.3 -3.6 -2.5 1.6 -4.5 1.8 -5.9 -0.5 -7.1 -15.0 6.6 -17.1 6.3 -5.0 -9.7 -10.4 -11.0 -11.0 -5.0 -13.7 -0.7 -20.0 -0.1 -3.3 -1.3 -2.6 -5.1 -0.4 -7.6 0.8 -16.2 -20.0 16.9 -2.3 -2.5 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3