******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231227_204005 produced at 2023-12-27 21:36:51.483082 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.26 0.0 0.10 -0.10 -0.09 -0.09 -46.13 17.0 -16 -16 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.08 0.0 0.11 -0.11 -0.05 -0.05 -9.44 12.0 -6 -6 caleb_strategy_v3 DX False False 0.04 0.00 -0.07 0.0 999.00 -999.00 0.00 0.00 -2.12 999999999.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -0.93 13.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.31 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -18.25 51.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.05 0.0 0.05 -0.05 -0.05 -0.05 -22.79 26.0 -23 -23 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -2.02 17.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.15 -0.15 -0.06 -0.06 -3.08 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 -0.84 8.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.09 -0.03 0.0 0.41 -0.41 -0.09 -0.12 -3.78 56.0 -12 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.66 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 -1.62 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 -3.28 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.15 -0.15 -0.04 -0.04 -0.71 7.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.14 -0.14 -0.01 -0.01 -1.97 18.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 0.00 -0.02 0.0 0.95 -0.95 0.00 0.00 -0.61 25.0 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 CHF False False 0.05 -0.21 -0.02 0.0 0.68 -0.68 -0.21 -0.21 -0.41 13.0 -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 -0.38 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.01 -0.93 9.0 -2 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -0.93 10.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.11 -0.11 -0.04 0.00 -0.16 3.0 -1 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.00 0.0 0.05 -0.05 0.00 0.00 0.05 3.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.10 0.00 0.0 0.20 -0.20 0.10 0.20 0.04 2.0 1 2 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.64 3.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.00 0.0 0.53 -0.53 0.03 0.00 0.05 17.0 1 0 caleb_strategy_v3 US10 False False 0.04 -0.36 -0.00 0.0 0.67 -0.67 -0.36 -0.36 -0.11 17.0 -9 -9 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.08 13.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.10 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.15 -0.15 0.00 0.03 0.07 6.0 0 1 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.24 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.27 13.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.23 -0.23 0.03 0.01 1.03 23.0 3 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.25 -0.25 0.00 0.00 2.48 68.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.49 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.25 2.0 0 0 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 US30 False False 0.05 0.24 0.01 0.0 0.28 -0.28 0.24 0.24 0.14 6.0 5 5 caleb_strategy_v3 EUR False False 0.05 0.00 0.01 0.0 0.68 -0.68 0.00 0.15 0.20 14.0 0 3 caleb_strategy_v3 GBP False False 0.03 0.03 0.02 0.0 0.61 -0.61 0.03 0.03 0.86 22.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.07 0.02 0.0 0.27 -0.27 0.07 0.06 1.99 23.0 6 5 caleb_strategy_v3 BOBL False False 0.05 0.00 0.02 0.0 0.88 -0.88 0.00 0.00 0.35 19.0 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 2.32 48.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.34 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.03 0.0 0.53 -0.53 0.00 0.00 0.57 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.07 0.03 0.0 0.45 -0.45 0.07 0.05 1.33 19.0 3 2 caleb_strategy_v3 PLAT False False 0.02 0.02 0.04 0.0 0.18 -0.18 0.02 0.02 2.06 10.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.01 0.04 0.0 0.44 -0.44 0.01 0.00 5.70 66.0 1 0 caleb_strategy_v3 COPPER False False 0.03 0.14 0.04 0.0 0.21 -0.21 0.14 0.14 1.23 6.0 4 4 caleb_strategy_v3 CAD False False 0.03 0.05 0.05 0.0 0.77 -0.77 0.05 0.05 1.79 29.0 2 2 caleb_strategy_v3 NZD False False 0.02 0.07 0.05 0.0 0.46 -0.46 0.07 0.07 2.49 21.0 3 3 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.06 0.0 0.09 -0.09 0.07 0.07 39.73 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 2.41 5.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.09 0.06 0.0 0.38 -0.38 0.09 0.09 3.89 26.0 6 6 caleb_strategy_v3 SMI False False 0.05 0.41 0.07 0.0 0.41 -0.41 0.41 0.41 1.61 9.0 9 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.00 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.09 0.0 0.29 -0.29 0.06 0.11 10.65 36.0 7 14 caleb_strategy_v3 BTP False False 0.05 0.14 0.11 0.0 0.47 -0.47 0.14 0.14 2.27 10.0 3 3 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.11 0.0 0.35 -0.35 0.28 0.28 6.46 20.0 16 16 caleb_strategy_v3 SOFR False True 0.08 0.00 0.14 0.0 0.00 0.00 0.00 0.00 1.61 11.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.15 0.0 0.51 -0.51 0.00 0.00 2.93 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.38 -0.38 0.00 0.00 23.44 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.40 0.41 0.0 0.61 -0.61 0.40 0.42 40.00 60.0 39 41 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.32 0.52 0.0 0.57 -0.57 0.32 0.32 14.60 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.28 1.30 0.0 0.94 -0.94 0.28 0.75 13.83 10.0 3 8 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 23.3 Shocked risk 63.3 Sum abs risk 51.3 Leverage 4.81 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2872516.87, 'annual_cash_vol_target': 718129.2175, 'daily_cash_vol_target': 44883.07609375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6860 0.6589 10.5421 BITCOIN 1103.2296 43890.0000 2.5136 40.2180 BOBL 0.2636 119.8000 0.2200 3.5200 BTP 0.6232 121.2900 0.5138 8.2205 BUND 0.5442 138.7900 0.3921 6.2731 BUXL 1.3839 146.0000 0.9479 15.1659 CAC 45.4532 7595.0000 0.5985 9.5754 CAD 0.0030 0.7578 0.3984 6.3747 CANOLA 7.8459 669.3000 1.1723 18.7562 CHF 0.0054 1.1962 0.4541 7.2661 COCOA 39.7573 4248.0000 0.9359 14.9745 COFFEE 4.2445 194.6000 2.1811 34.8980 COPPER 0.0425 3.9540 1.0739 17.1828 CORN 4.2736 506.5000 0.8437 13.4999 COTTON2 1.0224 80.6300 1.2680 20.2873 CRUDE_W 1.1268 72.6500 1.5509 24.8152 DAX 101.0165 16928.0000 0.5967 9.5479 DOW 213.9789 37945.0000 0.5639 9.0227 DX 0.4635 100.6400 0.4605 7.3683 EUR 0.0056 1.1141 0.5064 8.1022 EURIBOR-ICE 0.0513 98.1600 0.0523 0.8361 EUROSTX 30.1698 4567.0000 0.6606 10.5697 FEEDCOW 2.4200 230.9500 1.0478 16.7653 GASOIL 13.3497 755.2500 1.7676 28.2813 GASOLINE 0.0410 2.3730 1.7283 27.6532 GAS_US_mini 0.0914 2.2800 4.0080 64.1280 GBP 0.0072 1.2801 0.5617 8.9874 GOLD_micro 16.1518 2089.4000 0.7730 12.3686 HEATOIL 0.0435 2.5261 1.7205 27.5280 JGB-SGX-mini 0.3384 146.7900 0.2305 3.6886 JPY 0.0000 0.0071 0.6988 11.1803 LEANHOG 1.1957 76.0750 1.5718 25.1481 LIVECOW 1.6227 172.9250 0.9384 15.0140 LUMBER-new 7.3326 571.5000 1.2831 20.5289 MILK 0.1811 16.4500 1.1009 17.6149 MXP 0.0004 0.0583 0.6711 10.7379 NASDAQ_micro 119.8027 17085.2500 0.7012 11.2193 NIKKEI 274.1685 33405.0000 0.8207 13.1319 NZD 0.0039 0.6340 0.6098 9.7568 OAT 0.5566 133.2000 0.4179 6.6861 OATIES 7.7475 373.0000 2.0771 33.2334 OJ 6.2842 319.9000 1.9644 31.4311 PALLAD 31.9409 1160.5000 2.7523 44.0375 PLAT 14.3797 1015.6000 1.4159 22.6541 REDWHEAT 11.5859 639.0000 1.8131 29.0101 RICE 0.1498 17.6800 0.8472 13.5552 ROBUSTA 50.1710 2864.0000 1.7518 28.0285 RUSSELL 23.1137 2087.3000 1.1074 17.7176 SHATZ 0.0924 106.5800 0.0867 1.3868 SILVER-mini 0.3705 24.7500 1.4968 23.9484 SMI 61.8269 11070.0000 0.5585 8.9361 SOFR 0.0752 96.9150 0.0776 1.2412 SOYBEAN 10.4166 1265.0000 0.8234 13.1752 SOYMEAL 5.0541 392.1000 1.2890 20.6236 SOYOIL 0.7491 49.2300 1.5215 24.3446 SP400 26.3922 2836.4000 0.9305 14.8877 SP500_micro 29.0852 4826.5000 0.6026 9.6418 SUGAR11 0.4079 20.4100 1.9988 31.9801 US10 0.4842 113.3125 0.4273 6.8375 US10U 0.6554 118.6562 0.5523 8.8370 US2 0.1410 102.9805 0.1370 2.1914 US20 0.9873 125.7812 0.7850 12.5594 US30 1.4560 135.1250 1.0775 17.2402 US5 0.3217 108.9375 0.2953 4.7244 VIX 0.4804 16.3500 2.9381 47.0101 WHEAT 9.5572 662.7500 1.4421 23.0728 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 686.00 0.66 451.99 1.00 451.99 44883.08 99.30 5.17 51.37 BITCOIN 43.89 2.51 110.32 1.00 110.32 44883.08 406.83 9.02 366.88 BOBL 1198.00 0.22 263.56 1.10 290.51 44883.08 154.50 2.25 34.79 BTP 1212.90 0.51 623.17 1.10 686.88 44883.08 65.34 10.20 66.68 BUND 1387.90 0.39 544.15 1.10 599.79 44883.08 74.83 7.52 56.28 BUXL 1460.00 0.95 1383.89 1.10 1525.39 44883.08 29.42 6.55 19.27 CAC 759.50 0.60 454.53 1.10 501.01 44883.08 89.59 9.81 87.92 CAD 757.80 0.40 301.92 1.00 301.92 44883.08 148.66 4.64 68.94 CANOLA 133.86 1.17 156.92 0.75 118.45 44883.08 378.91 -19.80 -750.30 CHF 1495.19 0.45 679.01 1.00 679.01 44883.08 66.10 -2.39 -15.78 COCOA 424.80 0.94 397.57 1.00 397.57 44883.08 112.89 16.07 181.40 COFFEE 729.75 2.18 1591.68 1.00 1591.68 44883.08 28.20 2.04 5.76 COPPER 988.50 1.07 1061.58 1.00 1061.58 44883.08 42.28 2.68 11.35 CORN 253.25 0.84 213.68 1.00 213.68 44883.08 210.05 -18.48 -388.21 COTTON2 403.15 1.27 511.18 1.00 511.18 44883.08 87.80 -16.36 -143.65 CRUDE_W 726.50 1.55 1126.76 1.00 1126.76 44883.08 39.83 5.59 22.28 DAX 169.28 0.60 101.02 1.10 111.35 44883.08 403.10 17.04 687.08 DOW 189.72 0.56 106.99 1.00 106.99 44883.08 419.51 5.85 245.29 DX 1006.40 0.46 463.46 1.00 463.46 44883.08 96.84 -8.44 -81.75 EUR 1392.62 0.51 705.21 1.00 705.21 44883.08 63.65 1.20 7.65 EURIBOR-ICE 2454.00 0.05 128.24 1.10 141.35 44883.08 317.54 12.77 405.41 EUROSTX 456.70 0.66 301.70 1.10 332.55 44883.08 134.97 14.02 189.29 FEEDCOW 1154.75 1.05 1209.98 1.00 1209.98 44883.08 37.09 -6.81 -25.26 GASOIL 755.25 1.77 1334.97 1.00 1334.97 44883.08 33.62 3.37 11.34 GASOLINE 996.66 1.73 1722.55 1.00 1722.55 44883.08 26.06 -0.85 -2.22 GAS_US_mini 57.00 4.01 228.46 1.00 228.46 44883.08 196.46 -10.71 -210.49 GBP 800.06 0.56 449.41 1.00 449.41 44883.08 99.87 3.34 33.33 GOLD_micro 208.94 0.77 161.52 1.00 161.52 44883.08 277.88 -3.99 -110.88 HEATOIL 1060.96 1.72 1825.39 1.00 1825.39 44883.08 24.59 -1.54 -3.79 JGB-SGX-mini 146790.00 0.23 33840.46 0.01 237.83 44883.08 188.72 7.14 134.83 JPY 893.06 0.70 624.05 1.00 624.05 44883.08 71.92 0.25 1.77 LEANHOG 304.30 1.57 478.29 1.00 478.29 44883.08 93.84 -0.15 -1.36 LIVECOW 691.70 0.94 649.08 1.00 649.08 44883.08 69.15 -8.80 -60.84 LUMBER-new 157.16 1.28 201.65 1.00 201.65 44883.08 222.58 -1.35 -30.11 MILK 329.00 1.10 362.21 1.00 362.21 44883.08 123.92 -20.00 -247.83 MXP 291.65 0.67 195.73 1.00 195.73 44883.08 229.31 11.88 272.51 NASDAQ_micro 341.70 0.70 239.61 1.00 239.61 44883.08 187.32 4.57 85.63 NIKKEI 33405.00 0.82 27416.85 0.01 192.69 44883.08 232.93 4.22 98.30 NZD 633.95 0.61 386.58 1.00 386.58 44883.08 116.10 8.26 95.88 OAT 1332.00 0.42 556.62 1.10 613.53 44883.08 73.16 11.75 85.92 OATIES 186.50 2.08 387.38 1.00 387.38 44883.08 115.86 -11.62 -134.65 OJ 479.85 1.96 942.64 1.00 942.64 44883.08 47.61 0.45 2.16 PALLAD 1160.50 2.75 3194.09 1.00 3194.09 44883.08 14.05 5.18 7.28 PLAT 507.80 1.42 718.98 1.00 718.98 44883.08 62.43 9.68 60.46 REDWHEAT 319.50 1.81 579.30 1.00 579.30 44883.08 77.48 -15.78 -122.27 RICE 353.60 0.85 299.57 1.00 299.57 44883.08 149.82 3.66 54.87 ROBUSTA 286.40 1.75 501.71 1.00 501.71 44883.08 89.46 9.82 87.87 RUSSELL 104.36 1.11 115.57 1.00 115.57 44883.08 388.37 1.93 74.87 SHATZ 1065.80 0.09 92.38 1.10 101.83 44883.08 440.79 -1.48 -65.12 SILVER-mini 618.75 1.50 926.13 1.00 926.13 44883.08 48.46 -2.27 -11.01 SMI 1107.00 0.56 618.27 1.17 723.19 44883.08 62.06 7.62 47.32 SOFR 2422.88 0.08 187.95 1.00 187.95 44883.08 238.80 1.11 26.47 SOYBEAN 632.50 0.82 520.83 1.00 520.83 44883.08 86.18 -8.82 -75.97 SOYMEAL 392.10 1.29 505.41 1.00 505.41 44883.08 88.81 -11.26 -100.03 SOYOIL 295.38 1.52 449.43 1.00 449.43 44883.08 99.87 -9.98 -99.70 SP400 2836.40 0.93 2639.22 1.00 2639.22 44883.08 17.01 0.63 1.08 SP500_micro 241.32 0.60 145.43 1.00 145.43 44883.08 308.63 3.24 99.86 SUGAR11 228.59 2.00 456.90 1.00 456.90 44883.08 98.23 -9.41 -92.44 US10 1133.12 0.43 484.23 1.00 484.23 44883.08 92.69 -0.91 -8.40 US10U 1186.56 0.55 655.35 1.00 655.35 44883.08 68.49 3.12 21.34 US2 2059.61 0.14 282.09 1.00 282.09 44883.08 159.11 -4.61 -73.43 US20 1257.81 0.78 987.33 1.00 987.33 44883.08 45.46 4.21 19.12 US30 1351.25 1.08 1455.99 1.00 1455.99 44883.08 30.83 3.53 10.88 US5 1089.38 0.30 321.66 1.00 321.66 44883.08 139.53 -3.46 -48.27 VIX 163.50 2.94 480.38 1.00 480.38 44883.08 93.43 -20.00 -186.86 WHEAT 331.38 1.44 477.86 1.00 477.86 44883.08 93.93 -13.40 -125.89 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 51.367 0.010 2.5 1.333 BITCOIN 366.878 0.043 2.5 39.729 BOBL 34.789 0.004 2.5 0.353 BTP 66.677 0.014 2.5 2.274 BUND 56.279 0.004 2.5 0.571 BUXL 19.275 0.004 2.5 0.195 CAC 87.920 0.014 2.5 2.999 CAD 68.943 0.010 2.5 1.789 CANOLA -750.300 0.010 2.5 -18.254 CHF -15.784 0.010 2.5 -0.410 COCOA 181.397 0.009 2.5 3.885 COFFEE 5.763 0.005 2.5 0.067 COPPER 11.352 0.043 2.5 1.229 CORN -388.209 0.010 2.5 -9.445 COTTON2 -143.645 0.009 2.5 -3.077 CRUDE_W 22.283 0.043 2.5 2.413 DAX 687.076 0.014 2.5 23.435 DOW 245.285 0.009 2.5 5.701 DX -81.754 0.010 2.5 -2.121 EUR 7.647 0.010 2.5 0.198 EURIBOR-ICE 405.410 0.014 2.5 13.828 EUROSTX 189.289 0.014 2.5 6.456 FEEDCOW -25.264 0.013 2.5 -0.837 GASOIL 11.342 0.017 2.5 0.492 GASOLINE -2.223 0.017 2.5 -0.096 GAS_US_mini -210.490 0.043 2.5 -22.794 GBP 33.328 0.010 2.5 0.865 GOLD_micro -110.876 0.014 2.5 -3.782 HEATOIL -3.789 0.017 2.5 -0.164 JGB-SGX-mini 134.835 0.043 2.5 14.601 JPY 1.765 0.010 2.5 0.046 LEANHOG -1.362 0.024 2.5 -0.083 LIVECOW -60.845 0.013 2.5 -2.016 LUMBER-new -30.111 0.009 2.5 -0.643 MILK -247.832 0.009 2.5 -5.308 MXP 272.510 0.059 2.5 39.998 NASDAQ_micro 85.627 0.009 2.5 1.990 NIKKEI 98.304 0.043 2.5 10.645 NZD 95.884 0.010 2.5 2.488 OAT 85.922 0.014 2.5 2.931 OATIES -134.650 0.010 2.5 -3.276 OJ 2.163 0.009 2.5 0.046 PALLAD 7.282 0.014 2.5 0.248 PLAT 60.459 0.014 2.5 2.062 REDWHEAT -122.269 0.005 2.5 -1.622 RICE 54.874 0.010 2.5 1.335 ROBUSTA 87.870 0.005 2.5 1.026 RUSSELL 74.872 0.013 2.5 2.481 SHATZ -65.124 0.004 2.5 -0.660 SILVER-mini -11.014 0.014 2.5 -0.376 SMI 47.321 0.014 2.5 1.614 SOFR 26.466 0.024 2.5 1.609 SOYBEAN -75.972 0.004 2.5 -0.707 SOYMEAL -100.029 0.004 2.5 -0.930 SOYOIL -99.701 0.004 2.5 -0.928 SP400 1.078 0.013 2.5 0.036 SP500_micro 99.864 0.009 2.5 2.321 SUGAR11 -92.438 0.009 2.5 -1.966 US10 -8.402 0.005 2.5 -0.106 US10U 21.344 0.005 2.5 0.270 US2 -73.426 0.005 2.5 -0.930 US20 19.116 0.005 2.5 0.242 US30 10.883 0.005 2.5 0.138 US5 -48.267 0.005 2.5 -0.612 VIX -186.863 0.099 2.5 -46.126 WHEAT -125.889 0.005 2.5 -1.670 ===================== Position diags ===================== AUD 2.58 BITCOIN 44.06 BOBL 1.57 BTP 2.23 BUND 0.76 BUXL 0.30 CAC 3.06 CAD 3.86 CANOLA 9.22 CHF 1.72 COCOA 2.42 COFFEE 0.33 COPPER 4.58 CORN 5.11 COTTON2 1.88 CRUDE_W 4.31 DAX 13.75 DOW 9.75 DX 2.51 EUR 1.65 EURIBOR-ICE 10.83 EUROSTX 4.60 FEEDCOW 1.23 GASOIL 1.46 GASOLINE 1.13 GAS_US_mini 21.27 GBP 2.59 GOLD_micro 9.48 HEATOIL 1.07 JGB-SGX-mini 20.44 JPY 1.87 LEANHOG 5.70 LIVECOW 2.29 LUMBER-new 4.75 MILK 2.65 MXP 33.66 NASDAQ_micro 4.35 NIKKEI 25.22 NZD 3.01 OAT 2.50 OATIES 2.82 OJ 1.02 PALLAD 0.48 PLAT 2.13 REDWHEAT 1.03 RICE 3.65 ROBUSTA 1.04 RUSSELL 12.87 SHATZ 4.47 SILVER-mini 1.65 SMI 2.12 SOFR 14.51 SOYBEAN 0.80 SOYMEAL 0.83 SOYOIL 0.93 SP400 0.56 SP500_micro 7.17 SUGAR11 2.09 US10 1.17 US10U 0.87 US2 2.02 US20 0.58 US30 0.39 US5 1.77 VIX 23.06 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.3 1.1 1.6 3.0 3 BITCOIN 39.7 35.3 44.1 49.0 49 BOBL 0.4 0.2 0.5 0.0 0 BTP 2.3 2.1 2.5 3.0 3 BUND 0.6 0.5 0.6 0.0 0 BUXL 0.2 0.2 0.2 2.0 2 CAC 3.0 2.7 3.3 0.0 0 CAD 1.8 1.4 2.2 2.0 2 CANOLA -18.3 -19.2 -17.3 -6.0 -6 CHF -0.4 -0.6 -0.2 -4.0 -4 COCOA 3.9 3.6 4.1 6.0 6 COFFEE 0.1 0.0 0.1 0.0 0 COPPER 1.2 0.8 1.7 4.0 4 CORN -9.4 -10.0 -8.9 -6.0 -6 COTTON2 -3.1 -3.3 -2.9 -4.0 -4 CRUDE_W 2.4 2.0 2.8 2.0 2 DAX 23.4 22.1 24.8 0.0 0 DOW 5.7 4.7 6.7 1.0 1 DX -2.1 -2.4 -1.9 NaN 0 EUR 0.2 0.0 0.4 0.0 0 EURIBOR-ICE 13.8 12.7 14.9 3.0 3 EUROSTX 6.5 6.0 6.9 16.0 16 FEEDCOW -0.8 -1.0 -0.7 -1.0 -1 GASOIL 0.5 0.3 0.6 0.0 0 GASOLINE -0.1 -0.2 0.0 0.0 0 GAS_US_mini -22.8 -24.9 -20.7 -23.0 -23 GBP 0.9 0.6 1.1 1.0 1 GOLD_micro -3.8 -4.7 -2.8 -12.0 -12 HEATOIL -0.2 -0.3 -0.1 -1.0 -1 JGB-SGX-mini 14.6 12.6 16.6 9.0 9 JPY 0.0 -0.1 0.2 1.0 1 LEANHOG -0.1 -0.7 0.5 0.0 0 LIVECOW -2.0 -2.2 -1.8 0.0 0 LUMBER-new -0.6 -1.1 -0.2 NaN 0 MILK -5.3 -5.6 -5.0 NaN 0 MXP 40.0 36.6 43.4 39.0 39 NASDAQ_micro 2.0 1.6 2.4 6.0 6 NIKKEI 10.6 8.1 13.2 7.0 7 NZD 2.5 2.2 2.8 3.0 3 OAT 2.9 2.7 3.2 0.0 0 OATIES -3.3 -3.6 -3.0 NaN 0 OJ 0.0 -0.1 0.1 NaN 0 PALLAD 0.2 0.2 0.3 0.0 0 PLAT 2.1 1.8 2.3 1.0 1 REDWHEAT -1.6 -1.7 -1.5 -3.0 -3 RICE 1.3 1.0 1.7 NaN 0 ROBUSTA 1.0 0.9 1.1 3.0 3 RUSSELL 2.5 1.2 3.8 0.0 0 SHATZ -0.7 -1.1 -0.2 NaN 0 SILVER-mini -0.4 -0.5 -0.2 NaN 0 SMI 1.6 1.4 1.8 9.0 9 SOFR 1.6 0.2 3.1 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -2.0 -2 SOYMEAL -0.9 -1.0 -0.8 -2.0 -2 SOYOIL -0.9 -1.0 -0.8 -3.0 -3 SP400 0.0 -0.0 0.1 1.0 1 SP500_micro 2.3 1.6 3.0 0.0 0 SUGAR11 -2.0 -2.2 -1.8 -1.0 -1 US10 -0.1 -0.2 0.0 -9.0 -9 US10U 0.3 0.2 0.4 0.0 0 US2 -0.9 -1.1 -0.7 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.2 5.0 5 US5 -0.6 -0.8 -0.4 0.0 0 VIX -46.1 -48.4 -43.8 -16.0 -16 WHEAT -1.7 -1.8 -1.5 -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 0.4 0.6 0.4 0.0 0.0 0.1 0.0 0.0 0.1 0.1 -0.0 0.2 -0.3 0.2 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.2 -0.1 0.2 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 0.1 -0.5 -0.4 -0.2 0.2 BITCOIN 0.0 0.4 0.6 0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.1 -0.2 0.6 0.6 0.6 -0.2 0.5 0.1 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 -0.3 -0.2 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 0.0 0.2 0.0 0.2 -0.6 -0.7 -0.2 -0.6 BTP 0.6 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.2 -1.1 0.0 0.0 0.1 0.1 0.0 0.1 0.7 0.2 0.3 0.4 0.3 -0.4 -0.7 0.2 0.2 BUND 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 0.1 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 -0.0 0.2 0.2 0.3 -0.6 -0.7 -0.2 -0.2 BUXL 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 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.2 0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 0.2 -0.1 0.3 0.4 0.2 -0.7 -0.7 -0.2 0.3 CAC 0.6 0.6 -0.0 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 -0.2 -0.1 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 0.0 -0.3 0.1 -0.1 0.0 0.3 0.2 0.7 0.4 CAD 0.6 0.6 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.2 -0.1 0.2 -0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.0 0.2 -0.2 0.2 0.3 0.1 0.1 0.0 0.1 -0.1 0.1 0.0 0.4 0.6 -0.0 -0.2 -0.6 -0.6 -0.0 -0.5 CANOLA -0.3 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.5 -0.4 -0.6 -0.5 -0.4 -0.2 0.0 CHF 0.4 0.6 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 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 0.1 0.1 0.2 0.0 0.1 -1.1 0.5 0.6 0.2 -0.2 -0.7 -0.7 -0.7 -0.7 COCOA 0.1 0.5 0.6 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.2 0.0 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.1 0.4 0.1 0.3 0.5 0.6 0.6 0.6 0.6 -0.0 0.7 0.6 COFFEE 0.2 0.5 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 0.1 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.1 0.0 0.2 -2.3 0.1 0.0 0.1 0.0 0.0 0.1 0.6 0.3 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 0.1 0.0 0.0 0.1 -0.0 0.2 -0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.2 -1.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.4 0.5 0.1 -0.2 -0.4 0.2 -0.3 CORN -0.1 0.0 -0.2 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 -0.5 -0.1 -0.7 -0.1 -0.2 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 -0.2 -0.2 -0.2 -0.4 -0.1 -0.2 -0.5 -0.0 -0.2 0.3 -0.2 -0.3 0.2 0.1 COTTON2 0.3 -0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 0.3 -0.6 -0.3 -0.6 -0.5 -0.1 0.1 CRUDE_W -0.0 -0.5 -0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 0.2 0.1 0.3 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 0.0 0.3 -0.0 -0.6 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.6 -0.0 0.2 0.3 0.5 0.7 0.4 0.7 0.5 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 0.3 0.2 2.6 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 -0.5 0.1 0.5 0.2 0.2 0.2 0.6 0.5 DOW 0.6 0.6 0.3 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.4 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 -1.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 0.1 0.6 0.6 0.3 -0.3 -0.1 -0.4 -0.2 DX -0.3 -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 -0.1 0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.8 -0.5 -0.6 -0.6 -0.2 0.4 0.2 0.6 0.4 EUR 0.1 0.6 0.1 0.0 0.0 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 1.3 0.0 0.1 0.0 0.1 -0.0 0.1 -0.4 0.1 -0.4 -0.1 -0.2 -0.6 -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 0.2 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 0.2 0.3 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.5 0.6 0.1 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.4 0.2 0.7 0.2 0.2 0.1 -0.0 0.0 -0.0 0.2 0.2 0.1 0.4 0.2 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 0.3 -0.5 -0.2 0.0 0.3 0.1 0.2 0.3 0.5 FEEDCOW 0.4 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.0 -0.0 -0.1 -0.3 -0.4 -0.2 -0.3 -0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 -1.1 0.3 0.2 -0.5 -0.5 0.4 0.1 0.7 0.3 GASOIL -0.0 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.2 -0.0 -0.1 0.2 0.4 0.3 0.4 -0.1 -0.0 0.0 0.2 -0.0 1.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.3 0.3 0.1 0.1 0.2 -0.3 -0.1 -0.6 -0.2 GASOLINE 0.1 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.2 0.0 -0.1 -0.4 0.4 -0.2 0.2 -0.1 -0.0 0.1 0.1 0.0 -2.7 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.1 0.1 0.2 0.5 -0.1 0.7 0.4 0.7 0.3 GAS_US_mini -0.3 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.3 -0.1 -0.5 -0.1 -0.1 0.3 -0.4 -0.3 -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 0.1 -0.2 -0.5 -0.3 -0.6 0.2 -0.7 0.0 GBP 0.1 0.6 -0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.1 -0.0 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 0.1 0.2 -0.2 -0.4 -0.1 -0.3 -0.4 0.0 -0.3 0.5 GOLD_micro 0.0 0.4 0.3 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.1 0.1 0.1 0.1 -0.7 0.0 0.0 0.1 0.1 0.1 0.0 -0.8 0.0 0.2 0.1 0.3 -0.6 -0.7 -0.5 -0.7 HEATOIL -0.1 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.1 0.0 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.0 0.2 -0.1 -2.6 -0.0 -0.0 0.0 -0.0 0.2 -0.0 0.5 0.1 0.0 0.2 0.0 0.5 -0.0 0.4 -0.2 JGB-SGX-mini 0.2 0.6 -0.0 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 0.4 0.3 0.3 0.1 0.0 0.1 0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 -0.2 -0.3 -0.1 -0.1 0.1 -0.7 0.4 0.6 JPY 0.6 0.6 0.6 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 0.1 -0.0 0.1 -0.3 0.1 2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.2 0.2 -0.2 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -0.1 -0.4 0.1 -0.4 -0.0 -0.1 -0.1 -0.0 -0.4 -0.1 1.9 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.6 0.3 0.3 -0.0 0.0 -0.3 -0.2 0.3 0.4 LIVECOW 0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 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 -0.1 -0.0 0.0 -0.0 -0.3 0.0 -0.2 -0.6 -0.4 0.2 -0.3 0.3 -0.1 LUMBER-new 0.4 0.7 0.3 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 -0.1 0.2 -0.8 0.3 0.2 -0.2 -0.3 -0.3 -0.3 0.3 0.1 0.2 -0.2 0.3 NaN 0.1 0.1 0.1 0.2 -0.0 0.1 -1.2 0.6 0.8 0.7 0.7 -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 -0.5 -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 1.3 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.5 -0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.6 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.1 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 1.1 -0.2 -0.3 -0.1 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.4 0.2 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 0.0 0.1 0.1 -0.3 0.1 0.0 0.2 0.3 0.4 -0.2 0.4 -0.3 NIKKEI -0.1 0.3 -0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.4 0.1 0.6 0.1 0.2 0.3 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -1.8 0.0 0.0 0.2 0.1 0.3 0.0 1.1 -0.0 -0.6 -0.6 -0.1 -0.4 -0.0 -0.3 0.1 NZD 0.5 0.6 0.5 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.0 0.2 0.2 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.0 0.2 0.1 0.1 0.0 0.1 0.1 -0.0 0.1 0.2 -0.1 0.1 0.2 0.2 -0.2 -0.4 -0.1 0.2 OAT 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 0.1 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 0.0 0.3 0.3 0.3 -0.6 -0.7 -0.0 0.2 OATIES 0.1 -0.2 -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 -0.7 0.1 -0.1 -0.4 -0.6 0.1 0.3 0.4 0.7 OJ -0.6 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.3 -0.2 0.5 -0.1 0.0 0.2 0.4 0.3 0.4 0.0 0.2 -0.2 0.5 -0.2 -2.7 0.0 -0.1 0.2 -0.1 0.4 -0.0 1.1 -0.5 -0.6 -0.4 0.6 0.3 0.4 0.7 0.7 PALLAD 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 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.8 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.5 0.4 -0.2 -0.3 -0.1 -0.2 0.1 -0.0 PLAT 0.4 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 0.2 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 1.9 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.2 0.4 0.1 0.1 -0.2 -0.3 0.5 -0.1 REDWHEAT 0.3 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -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 -1.4 -0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.3 0.2 -0.3 -0.4 -0.7 -0.7 -0.7 -0.5 RICE -0.0 0.5 0.3 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 0.5 0.2 0.5 0.2 0.2 -0.2 0.0 -0.3 -0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.5 0.2 0.6 0.6 -0.1 -0.4 0.4 -0.1 ROBUSTA 0.5 0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.2 0.3 0.2 -2.4 0.0 0.0 0.1 0.1 0.1 0.1 1.1 0.4 0.6 0.6 0.6 -0.4 -0.5 0.0 0.0 RUSSELL 0.6 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 -0.0 0.2 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.4 0.6 0.2 -0.1 -0.6 -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 -0.0 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.2 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.0 0.2 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini -0.3 0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 0.0 0.8 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.6 -0.7 0.1 -0.6 SMI 0.6 0.6 -0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 -0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.0 0.1 -0.1 0.2 1.4 0.1 0.0 0.0 0.0 -0.0 0.1 0.9 -0.5 -0.1 -0.6 -0.2 -0.0 -0.2 0.1 -0.2 SOFR 0.6 0.6 0.5 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 0.2 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 -0.2 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN -0.3 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.0 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 -0.1 0.1 -0.0 1.1 -0.5 -0.3 0.3 0.4 -0.7 -0.7 -0.7 -0.6 SOYMEAL -0.6 -0.3 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 0.2 0.3 0.3 0.3 -0.1 0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.3 -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 -0.1 -0.2 -0.1 -0.1 -0.0 0.2 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 0.8 -0.1 -0.2 0.1 -0.4 -0.4 -0.0 -0.0 0.3 SP400 0.6 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 0.2 0.1 0.2 0.0 0.2 -1.3 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.3 0.5 0.2 -0.1 -0.5 -0.3 -0.7 -0.7 SP500_micro 0.6 0.6 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.4 0.1 0.2 0.3 0.1 0.2 -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 -0.0 -0.0 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.2 -0.1 -0.1 0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.3 -0.6 -0.6 -0.1 -0.0 -0.3 0.4 0.2 US10 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.0 0.1 -0.1 0.1 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 -0.1 -0.1 0.0 -0.0 -0.7 -0.7 -0.3 0.1 US10U 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 0.0 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 -0.1 -0.1 0.0 -0.1 -0.7 -0.7 0.1 0.5 US2 0.4 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 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 -0.0 0.0 -1.1 -0.1 -0.1 -0.1 0.1 -0.5 -0.7 -0.3 -0.7 US20 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 -0.2 0.2 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.1 -0.6 -0.7 0.6 0.7 US30 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.2 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 -0.1 -0.1 0.1 -0.1 -0.3 -0.6 0.7 0.7 US5 0.5 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 -0.8 -0.1 -0.1 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.1 -0.9 0.1 -0.1 -0.0 -0.3 0.0 -0.5 -0.0 -0.0 -0.9 0.0 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.2 NaN -0.1 -0.0 -0.3 -0.0 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.3 0.4 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.4 0.1 -0.6 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.1 -0.5 0.0 -0.4 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.8 -0.1 0.5 -0.0 0.0 -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 12.8 20.0 11.7 4.1 3.2 2.4 4.4 1.4 5.0 13.8 -0.4 15.0 -7.2 14.9 12.7 -2.2 -2.9 -2.6 -2.8 14.8 4.8 20.0 -3.7 20.0 2.9 4.6 5.6 1.6 7.0 -0.9 6.5 -1.0 4.8 2.5 1.0 2.9 -14.5 -12.4 -5.3 5.7 BITCOIN 1.1 11.3 20.0 3.4 9.4 1.1 8.1 0.4 5.7 0.0 20.0 10.2 18.2 15.9 20.0 -9.6 -6.3 -9.0 -7.8 20.0 20.0 7.4 16.9 20.0 -20.0 8.2 4.0 6.9 4.5 4.2 6.4 -2.0 -9.0 20.0 20.0 20.0 -5.5 14.9 1.8 20.0 BOBL 20.0 20.0 20.0 2.3 2.3 0.6 2.7 -0.8 3.0 8.2 3.2 9.0 -3.6 9.2 8.5 -20.0 -7.1 -14.3 -10.0 16.3 7.2 20.0 -2.6 20.0 8.4 2.9 2.7 1.3 3.5 -0.2 3.7 -12.4 1.7 5.4 1.3 7.1 -16.9 -20.0 -4.6 -17.9 BTP 20.0 20.0 12.5 3.7 3.7 0.9 4.4 -1.3 4.9 13.1 8.9 14.5 6.2 15.0 13.8 5.4 7.3 6.2 6.4 20.0 14.1 20.0 2.4 20.0 -8.6 4.6 4.6 2.3 5.7 0.6 5.9 13.9 9.2 8.7 13.1 10.5 -13.3 -20.0 7.0 4.6 BUND 20.0 20.0 19.1 2.6 2.6 0.7 3.0 -0.9 3.4 9.1 4.1 10.1 -4.0 10.4 9.4 4.2 4.2 1.6 1.9 19.1 8.1 20.0 -3.1 20.0 5.8 3.2 2.4 1.4 3.7 -0.2 4.1 7.3 -0.8 7.1 5.4 7.9 -19.4 -20.0 -7.2 -6.0 BUXL 20.0 20.0 19.3 3.0 3.1 0.8 3.6 -1.1 4.0 10.7 3.9 11.8 -6.9 12.2 10.5 0.2 0.7 0.3 0.5 20.0 7.4 20.0 -6.2 20.0 1.1 3.6 2.1 1.3 4.1 -0.6 4.8 3.4 -5.5 10.7 11.1 6.7 -20.0 -20.0 -6.6 10.3 CAC 20.0 20.0 -1.1 6.6 2.7 3.2 5.0 1.3 7.4 -12.6 12.4 20.0 20.0 20.0 20.0 -9.9 -4.2 -7.9 -6.4 20.0 16.3 20.0 13.4 20.0 -8.4 7.4 1.1 3.4 5.6 2.3 9.0 0.9 -13.3 4.1 -4.3 1.2 9.9 7.0 19.5 12.8 CAD 20.0 20.0 1.7 6.3 4.8 3.7 6.7 2.1 7.6 18.2 -3.6 20.0 -9.4 20.0 15.7 -1.9 -2.2 -2.3 -2.3 20.0 3.3 20.0 -6.1 20.0 2.5 5.7 7.1 0.6 11.3 -1.8 10.5 0.0 17.8 18.7 -1.1 -5.8 -18.5 -19.2 -0.5 -14.6 CANOLA -10.5 -7.1 -20.0 -1.6 -1.2 -2.5 -1.1 -3.3 -1.0 7.9 -5.5 -6.6 -5.1 -8.2 -9.3 -12.3 0.1 -10.9 -6.8 -11.9 -10.8 -3.3 -8.3 -9.7 -20.0 -3.5 -1.5 -3.2 -2.3 -2.8 -3.1 -2.2 -8.2 -16.2 -13.4 -20.0 -15.2 -11.1 -5.0 0.9 CHF 13.0 20.0 0.3 5.9 4.5 3.4 6.3 2.0 7.1 19.6 2.6 20.0 9.2 20.0 18.2 -16.3 -15.4 -16.7 -16.2 20.0 10.2 20.0 4.9 20.0 -9.5 6.3 16.1 2.5 14.1 1.0 10.2 -20.0 20.0 18.8 6.9 -7.4 -20.0 -20.0 -20.0 -20.0 COCOA 4.4 15.2 20.0 -4.1 -3.1 -6.6 -2.9 -8.7 -2.7 10.2 20.0 20.0 20.0 20.0 20.0 12.3 0.9 7.3 3.4 20.0 20.0 18.4 20.0 20.0 -20.0 9.5 2.9 10.5 4.6 10.6 7.0 6.3 20.0 20.0 20.0 20.0 17.5 -0.1 20.0 18.6 COFFEE 6.5 16.6 20.0 -2.2 -1.6 -3.5 -1.5 -4.6 -1.4 1.8 4.9 7.7 -4.0 10.4 11.6 9.5 4.3 8.2 5.7 13.9 8.0 12.0 1.0 14.9 -17.4 4.7 2.1 3.0 3.5 1.1 4.6 11.3 13.5 20.0 20.0 20.0 -20.0 -20.0 -19.5 -11.7 COPPER 5.2 18.4 4.2 2.7 7.5 0.8 6.4 0.3 4.6 14.4 -1.6 15.5 -3.3 15.5 12.5 -4.8 -4.4 -5.9 -5.6 10.5 2.7 14.6 -3.4 14.2 -7.5 5.0 8.6 1.7 8.1 -0.9 6.8 1.3 2.5 10.8 16.3 2.6 -6.6 -11.1 6.2 -8.8 CORN -2.1 0.4 -4.9 -4.0 -3.0 -6.4 -2.8 -8.5 -2.7 2.7 -20.0 -7.7 -20.0 -13.1 -15.2 -9.2 -1.4 -7.8 -5.9 -9.4 -18.3 -3.5 -20.0 -7.0 -20.0 -5.8 -17.0 -6.7 -16.3 -11.1 -10.2 -3.2 -20.0 -0.2 -7.7 8.3 -5.4 -9.4 5.3 3.2 COTTON2 8.5 -7.0 -13.9 -3.1 -2.3 -4.9 -2.2 -6.5 -2.0 8.9 -10.7 -5.1 -8.9 -5.5 -13.3 -7.5 -0.2 -6.5 -4.0 -12.1 -11.6 0.5 -8.2 -5.9 -20.0 -5.0 2.9 -4.4 0.2 -1.8 -2.5 -0.5 -9.2 7.7 -18.9 -10.6 -16.9 -14.0 -3.8 1.8 CRUDE_W -1.4 -14.0 -8.0 -4.5 -2.5 -1.6 -1.8 1.7 -3.5 5.2 6.4 8.3 7.4 -5.0 -10.2 6.0 9.8 8.0 9.2 -5.3 2.3 5.4 9.3 -2.0 -4.5 -3.0 -5.3 1.8 -2.3 6.5 -2.8 -12.1 -1.4 5.4 10.1 15.8 20.0 13.2 20.0 13.8 DAX 17.1 20.0 3.2 6.2 2.5 3.0 4.7 1.2 7.0 10.0 12.0 17.4 17.7 20.0 20.0 -14.5 -9.1 -12.2 -10.7 20.0 20.0 16.8 11.5 20.0 19.5 6.9 -0.3 3.3 2.9 1.4 7.0 -7.0 -20.0 2.3 14.1 7.3 7.0 4.8 17.0 15.9 DOW 20.0 20.0 8.6 4.9 2.0 2.3 3.7 1.0 5.5 17.0 13.6 18.2 14.0 19.4 18.3 -11.0 -9.2 -10.7 -10.3 20.0 20.0 20.0 11.1 20.0 -12.4 6.0 1.8 3.5 4.5 2.0 6.7 -6.9 2.7 20.0 19.1 9.8 -9.8 -4.2 -11.7 -6.5 DX -10.7 -20.0 -5.8 3.1 2.4 1.8 3.3 1.0 3.7 -10.3 1.6 -10.7 -3.8 -10.7 -8.6 5.0 6.0 6.1 6.3 -10.0 -3.0 -15.9 1.6 -14.5 -19.9 -3.0 -4.7 -0.7 -4.9 0.9 -4.3 14.5 -20.0 -20.0 -20.0 -7.3 12.9 4.5 17.1 13.1 EUR 4.0 19.5 2.8 3.9 3.0 2.3 4.2 1.3 4.7 12.9 -1.6 13.2 5.1 12.4 10.0 -5.4 -6.7 -6.0 -6.3 8.5 2.8 16.5 -0.8 12.9 9.9 3.3 7.0 1.0 6.7 -0.4 5.1 -7.2 3.2 -11.5 -3.7 -6.2 -16.9 -12.6 -14.7 -5.8 EURIBOR-ICE 20.0 20.0 20.0 2.1 2.1 0.5 2.5 -0.7 2.8 7.4 5.8 8.2 -0.3 8.5 8.4 -1.3 -6.1 -3.2 -5.0 20.0 12.3 20.0 1.6 20.0 16.8 2.9 2.3 1.7 3.0 0.3 3.3 -7.8 7.0 10.5 8.7 15.8 -20.0 -20.0 6.8 20.0 EUROSTX 14.6 20.0 3.6 6.3 2.6 3.0 4.7 1.3 7.1 -10.0 13.4 17.9 19.5 20.0 20.0 6.5 -1.7 0.0 -2.0 20.0 20.0 14.6 15.5 20.0 3.4 7.4 -0.5 4.1 3.4 2.6 7.5 6.4 -20.0 -5.6 0.3 8.4 3.6 7.2 9.8 15.2 FEEDCOW 12.2 -20.0 -20.0 -1.7 -1.3 -2.7 -1.2 -3.6 -1.1 8.8 -6.5 8.8 -0.3 -3.0 -7.6 -14.4 -20.0 -12.1 -16.7 -12.4 -11.3 6.2 -2.4 -2.4 -1.4 -2.6 1.2 -2.0 1.4 0.7 -0.4 -20.0 10.9 5.5 -14.0 -14.5 12.0 2.4 20.0 10.0 GASOIL -1.5 -18.3 -12.4 -3.6 -2.0 -1.3 -1.4 1.4 -2.8 -0.2 5.4 4.7 6.2 -4.5 -10.4 11.1 20.0 15.8 18.9 -7.8 -0.1 1.6 8.6 -4.2 8.3 -3.0 -2.6 0.4 -0.4 3.5 -2.1 5.5 11.3 3.3 3.7 6.1 -8.1 -1.8 -17.5 -7.3 GASOLINE 3.5 -8.2 -20.0 -4.1 -2.3 -1.4 -1.6 1.6 -3.2 3.7 0.3 9.1 4.5 2.0 -11.3 -20.0 20.0 -9.6 9.3 -5.9 -3.4 6.2 4.9 0.7 -20.0 -3.0 -4.5 -1.0 -0.8 4.6 -0.7 1.1 3.8 7.7 16.3 -3.8 20.0 11.8 20.0 9.3 GAS_US_mini -8.0 -20.0 4.5 -2.7 -1.5 -0.9 -1.1 1.0 -2.1 3.1 -11.4 -5.0 -12.9 -10.3 -11.3 16.0 -20.0 -16.8 -20.0 -20.0 -19.2 -5.8 -20.0 -16.0 16.4 -4.0 0.7 -2.9 -0.8 -1.9 -3.2 -20.0 2.6 -6.1 -14.6 -8.7 -17.0 4.8 -20.0 0.5 GBP 2.6 20.0 -1.2 4.2 3.2 2.5 4.5 1.4 5.1 11.7 -1.2 10.3 7.7 13.2 10.9 -0.2 -0.7 -0.4 -0.5 9.9 4.6 10.8 1.5 11.6 1.5 3.9 4.6 1.5 4.4 0.0 4.7 2.9 -8.2 -12.1 -2.0 -9.4 -12.5 1.3 -9.2 15.0 GOLD_micro 0.1 12.4 8.3 2.2 6.0 0.7 5.1 0.3 3.6 13.4 4.9 9.5 5.4 8.5 10.9 -12.4 -13.9 -13.9 -14.4 10.4 6.4 15.1 3.0 11.9 -4.9 3.8 5.4 2.5 4.7 1.5 3.9 -14.6 1.1 5.1 4.5 9.0 -17.0 -20.0 -14.7 -20.0 HEATOIL -2.3 -17.0 -15.2 -3.9 -2.2 -1.4 -1.5 1.5 -3.0 -2.2 3.9 2.1 4.8 -6.8 -11.9 18.5 20.0 20.0 20.0 -9.7 -2.0 -0.7 7.1 -6.1 -19.7 -3.5 -4.0 0.2 -1.5 4.8 -2.5 10.1 2.5 1.4 4.9 0.2 14.2 -0.2 10.6 -5.7 JGB-SGX-mini 5.4 20.0 -0.2 1.8 1.8 0.5 2.1 -0.6 2.4 5.7 1.1 6.0 2.6 6.3 5.5 7.0 18.6 12.9 15.0 5.6 2.4 6.3 0.7 7.2 -2.0 1.7 1.4 0.4 1.8 -0.3 2.2 20.0 -7.4 -9.0 -3.0 -1.8 2.2 -20.0 12.3 19.0 JPY 20.0 20.0 20.0 2.5 1.9 1.5 2.7 0.8 3.0 5.3 -5.7 7.5 -8.1 7.9 4.6 -14.1 -16.2 -16.5 -16.9 5.3 -2.8 7.9 -9.4 9.5 20.0 1.8 2.1 -1.1 3.2 -3.1 3.6 -20.0 -8.0 6.6 -4.7 -7.2 -8.6 -20.0 -2.7 -20.0 LEANHOG 1.6 -6.2 -7.4 -2.5 -1.9 -4.0 -1.8 -5.3 -1.7 -10.5 -3.6 -0.1 -9.2 -6.5 -9.8 -20.0 5.8 -20.0 -1.4 -9.3 -11.1 -3.8 -13.5 -5.5 14.6 -2.3 1.4 -5.1 1.8 -8.9 0.1 10.6 13.8 10.7 -0.5 0.0 -10.3 -7.2 7.9 11.5 LIVECOW 4.2 -20.0 -20.0 -1.9 -1.4 -3.1 -1.4 -4.0 -1.3 3.5 -6.2 3.7 0.8 -6.0 -8.6 -5.7 -4.7 -8.2 -7.1 -15.1 -11.4 0.5 -1.7 -7.8 0.2 -3.5 -1.0 -2.1 -0.7 1.1 -2.0 -5.9 0.0 -5.2 -20.0 -12.1 4.7 -7.9 9.5 -1.6 LUMBER-new 11.5 18.7 7.8 -4.6 -3.5 -7.1 -3.3 -8.1 -3.0 2.5 -4.6 15.5 -19.5 20.0 20.0 -9.6 -14.2 -13.0 -13.9 20.0 5.3 20.0 -7.6 20.0 NaN 7.1 6.3 2.3 12.0 -1.0 10.9 -20.0 20.0 20.0 20.0 20.0 -17.7 -20.0 -10.7 -18.6 MILK -16.6 -20.0 -15.5 -3.0 -2.2 -4.7 -2.1 -6.2 -1.9 -9.9 -16.8 -16.1 -16.8 -18.0 -18.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 10.1 -6.6 -3.9 -5.7 -6.8 -6.0 -7.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 7.7 16.1 -7.3 5.0 3.8 2.9 5.3 1.7 6.0 16.6 14.3 18.0 16.5 18.3 15.3 14.3 16.3 14.3 14.9 15.7 13.4 19.6 18.7 18.8 -20.0 5.1 6.2 4.5 6.9 6.8 6.2 20.0 -7.2 -10.6 -2.6 -5.6 10.8 16.6 20.0 20.0 NASDAQ_micro 19.7 20.0 7.3 4.0 1.6 1.9 3.0 0.8 4.5 13.8 14.1 15.0 13.5 15.9 15.3 -11.4 -9.0 -10.6 -10.0 20.0 20.0 20.0 19.1 20.0 -20.0 5.1 2.1 4.0 4.3 4.0 5.7 -6.4 3.6 1.0 7.3 7.9 12.0 -6.6 12.3 -8.6 NIKKEI -4.5 9.7 -6.2 5.1 2.1 2.5 3.9 1.0 5.8 15.9 16.5 13.3 17.4 13.7 14.5 16.6 11.0 12.2 10.9 10.9 14.0 9.7 19.2 9.2 -13.2 4.3 5.2 6.0 5.0 9.3 4.2 20.0 -0.1 -20.0 -20.0 -3.8 -10.6 -0.5 -9.3 4.1 NZD 14.2 20.0 14.0 4.3 3.3 2.5 4.6 1.4 5.2 14.5 1.6 16.0 0.9 16.2 14.3 0.3 0.2 0.1 0.1 18.7 7.7 20.0 -1.8 20.0 0.8 5.0 4.1 2.2 5.8 -0.1 6.2 4.2 -2.3 3.9 5.7 7.5 -6.8 -12.2 -3.5 6.1 OAT 20.0 20.0 18.6 2.7 2.8 0.7 3.2 -0.9 3.6 9.6 5.2 10.6 -3.6 11.0 10.0 4.6 7.1 5.2 5.8 20.0 9.5 20.0 -2.0 20.0 8.3 3.4 2.6 1.6 3.9 -0.1 4.4 13.3 1.1 9.2 8.9 9.5 -19.5 -20.0 -0.1 6.8 OATIES 3.2 -7.0 -20.0 -1.3 -1.0 -2.1 -0.9 -2.8 -0.9 0.5 -5.5 -0.7 -4.2 -3.1 -7.0 -0.5 -7.7 -7.6 -10.2 -7.8 -7.3 -0.8 -3.3 -3.8 -20.0 -2.5 -0.5 -2.2 -0.8 -1.0 -1.4 -13.4 3.7 -1.9 -13.8 -18.2 2.0 7.8 12.7 20.0 OJ -20.0 -18.1 -7.0 -2.4 -1.8 -3.8 -1.7 -5.1 -1.6 -13.4 10.7 -14.4 13.5 -9.6 2.8 8.0 20.0 16.2 19.5 0.7 20.0 -20.0 20.0 -20.0 -20.0 2.0 -8.4 6.8 -7.7 9.9 -3.5 20.0 -20.0 -20.0 -10.8 20.0 9.6 11.4 20.0 20.0 PALLAD 20.0 18.3 15.4 1.2 3.4 0.4 2.9 0.1 2.1 -0.3 -5.8 5.5 -8.1 4.8 0.2 -1.7 -2.3 -2.0 -2.2 1.1 -4.8 7.9 -9.2 7.7 5.8 -0.3 1.0 -1.7 3.0 -2.1 2.1 6.0 20.0 11.9 -4.7 -8.6 -3.9 -7.4 3.7 -1.5 PLAT 13.1 14.5 3.1 2.1 5.8 0.6 4.9 0.3 3.5 12.9 -5.8 14.0 -6.0 13.6 7.6 -3.6 -2.9 -3.5 -3.3 8.2 0.5 19.2 -3.7 15.0 13.9 3.4 10.1 0.9 9.4 -0.3 6.3 4.6 8.3 12.8 3.4 3.1 -5.2 -10.2 14.3 -4.1 REDWHEAT 9.5 10.0 -12.4 -2.3 -1.7 -3.6 -1.6 -4.8 -1.5 3.7 -12.4 -3.3 -13.3 0.7 -8.1 -3.1 -1.3 -4.0 -3.2 -9.3 -15.1 -1.5 -16.1 -4.0 -10.8 -4.1 -5.7 -5.8 -4.9 -5.4 -3.2 -0.6 -12.7 6.1 -8.0 -12.3 -20.0 -20.0 -20.0 -13.9 RICE -1.2 14.8 8.8 -3.8 -2.8 -6.0 -2.6 -7.9 -2.5 4.3 18.6 14.1 14.1 18.4 16.9 -12.0 1.2 -13.4 -6.7 19.2 17.7 9.3 12.6 15.5 -20.0 5.8 2.2 5.1 4.8 3.4 5.4 0.5 20.0 6.7 20.0 20.0 -2.2 -13.5 11.8 -3.2 ROBUSTA 14.7 17.3 -9.6 -2.0 -1.5 -3.2 -1.4 -4.2 -1.3 -1.7 11.2 8.2 11.1 10.9 11.3 20.0 20.0 20.0 20.0 18.6 12.9 17.3 10.8 20.0 -18.1 4.1 2.2 2.8 4.7 2.4 5.2 20.0 16.0 20.0 20.0 20.0 -11.7 -14.8 0.5 0.3 RUSSELL 20.0 20.0 3.1 3.2 1.3 1.6 2.4 0.6 3.6 11.5 3.0 12.6 -1.2 13.0 9.7 -6.0 -6.1 -6.3 -6.4 18.9 6.6 20.0 -0.5 20.0 -1.9 3.5 3.1 1.2 4.8 0.2 5.2 -0.9 17.1 18.1 6.8 -3.5 -17.0 -15.5 -20.0 -19.0 SHATZ 20.0 20.0 20.0 2.0 2.1 0.5 2.4 -0.7 2.7 7.2 -0.8 7.9 -5.7 7.8 6.4 -20.0 -20.0 -20.0 -20.0 11.0 3.5 15.0 -5.0 15.2 8.9 2.4 2.3 0.8 2.9 -0.7 3.2 -20.0 1.2 5.6 -3.2 4.1 -13.0 -20.0 -6.0 -20.0 SILVER-mini -8.0 12.3 0.1 2.2 6.2 0.7 5.3 0.3 3.8 8.8 0.5 0.3 3.0 1.8 5.3 -6.4 -6.3 -6.7 -6.7 4.3 1.8 4.5 0.2 4.4 5.8 0.8 4.8 0.7 3.5 0.7 1.3 -1.3 -0.1 -9.2 -1.2 -2.1 -19.1 -20.0 3.7 -16.9 SMI 19.6 20.0 -4.6 6.0 2.5 2.9 4.5 1.2 6.8 -20.0 -2.1 12.8 2.8 19.9 15.0 10.4 3.6 7.1 4.7 18.6 2.2 9.5 -4.3 20.0 10.2 5.5 0.2 1.3 4.4 -1.0 7.7 16.5 -20.0 -3.9 -18.0 -7.2 -0.0 -6.7 3.9 -5.4 SOFR 17.7 20.0 14.9 2.2 2.3 0.6 2.7 -0.8 3.0 7.3 0.6 8.4 -2.0 8.9 8.1 1.1 -0.3 0.6 0.0 11.6 4.0 11.7 -2.4 14.2 -1.4 2.7 2.8 0.9 3.2 -0.5 3.4 1.8 -4.3 -5.3 0.4 2.0 -20.0 -20.0 -6.5 -7.6 SOYBEAN -8.6 -2.3 -1.0 -3.4 -2.6 -5.5 -2.4 -7.2 -2.3 -4.3 8.2 -10.2 6.9 -12.1 -7.2 14.6 17.3 15.3 15.2 -3.9 0.3 -8.8 1.2 -8.6 -20.0 1.9 -7.5 3.7 -8.6 3.0 -3.4 20.0 -19.1 -10.5 9.0 11.1 -20.0 -20.0 -20.0 -18.4 SOYMEAL -20.0 -7.8 3.3 -2.3 -1.7 -3.7 -1.6 -4.8 -1.5 3.3 -0.4 -8.3 3.2 -11.5 -2.7 11.0 16.9 14.3 15.3 -5.5 0.5 -7.2 3.1 -11.4 -20.0 -0.8 -1.7 1.6 -4.1 2.9 -3.8 20.0 -11.2 -20.0 -4.0 11.4 -20.0 -20.0 -20.0 -20.0 SOYOIL -1.8 1.2 -20.0 -1.9 -1.4 -3.0 -1.3 -3.9 -1.2 -8.8 -3.9 -9.3 -4.6 -7.1 -10.1 -1.9 8.3 2.8 5.8 -8.7 -9.1 -8.0 -6.2 -6.8 -20.0 -1.6 -3.1 -2.4 -2.5 -1.9 -1.1 15.3 -6.1 -5.5 2.2 -12.5 -11.8 -0.4 -0.0 10.3 SP400 20.0 20.0 0.6 3.4 1.4 1.7 2.6 0.7 3.9 11.1 4.8 13.0 2.7 13.6 10.7 -4.9 -5.0 -5.2 -5.2 19.3 7.6 20.0 1.4 20.0 -9.6 3.9 2.0 1.6 4.2 0.6 5.2 1.1 11.2 14.2 5.8 -1.7 -14.7 -9.2 -19.9 -20.0 SP500_micro 18.4 20.0 3.8 5.0 2.0 2.4 3.7 1.0 5.6 17.1 13.8 18.2 13.8 19.7 18.7 -11.9 -10.1 -11.4 -11.0 20.0 20.0 20.0 13.7 20.0 -20.0 6.0 2.4 3.8 5.1 3.0 6.9 -8.2 3.7 4.8 10.8 3.7 4.6 -6.2 6.8 -9.1 SUGAR11 -20.0 -20.0 -20.0 -1.6 -1.2 -2.6 -1.1 -3.4 -1.1 -3.8 -1.3 -8.9 6.7 -9.5 -6.9 18.1 20.0 20.0 20.0 -17.0 -5.2 -16.5 4.7 -20.0 -20.0 -2.9 -0.8 -0.8 -2.8 1.1 -3.8 20.0 -10.7 -20.0 -20.0 -4.6 -0.1 -10.4 13.2 5.8 US10 19.9 20.0 19.5 2.0 2.0 0.5 2.4 -0.7 2.7 5.8 -1.7 7.2 -4.1 7.8 6.7 -8.4 -7.2 -7.5 -7.6 8.8 1.2 9.7 -5.5 11.9 1.4 2.2 2.4 0.3 2.9 -1.1 3.1 -10.8 -4.5 -3.6 0.2 -0.8 -20.0 -20.0 -9.8 4.4 US10U 20.0 20.0 16.0 2.7 2.8 0.7 3.3 -1.0 3.6 8.2 -1.9 9.8 -5.5 10.6 8.6 3.2 0.4 2.1 1.0 12.3 1.3 14.2 -7.8 17.1 -1.9 2.9 3.3 0.3 4.0 -1.6 4.2 3.1 -5.0 -3.9 0.7 -2.2 -20.0 -20.0 3.1 14.8 US2 13.6 20.0 20.0 1.9 1.9 0.5 2.2 -0.7 2.5 5.6 -3.7 6.8 -5.6 6.9 5.8 -20.0 -20.0 -20.0 -20.0 6.6 0.4 7.9 -6.3 9.0 7.8 2.2 2.4 0.5 2.8 -1.4 2.9 -20.0 -4.2 -3.5 -3.0 3.4 -16.1 -20.0 -10.2 -20.0 US20 20.0 20.0 13.0 2.0 2.1 0.5 2.4 -0.7 2.7 6.4 -0.8 7.4 -3.7 7.9 6.4 -0.6 -1.3 -0.7 -1.1 10.3 1.2 12.1 -5.8 14.4 -1.9 2.1 2.4 0.2 2.9 -1.1 3.1 -0.4 -1.7 0.5 3.5 -1.8 -16.8 -20.0 16.7 20.0 US30 20.0 20.0 14.2 2.3 2.4 0.6 2.8 -0.8 3.1 7.1 -0.8 8.4 -4.7 9.1 7.3 -4.8 -4.2 -4.8 -4.8 11.1 1.2 11.7 -7.0 15.1 -1.5 2.4 2.3 0.2 3.1 -1.4 3.5 -5.6 -4.6 -1.6 1.9 -2.4 -9.9 -18.5 20.0 20.0 US5 16.8 20.0 20.0 1.9 2.0 0.5 2.3 -0.7 2.6 5.7 -2.0 7.1 -4.3 7.6 6.6 -8.2 -10.1 -9.5 -10.4 8.2 1.5 9.0 -4.9 10.8 3.3 2.2 2.4 0.5 2.9 -1.0 3.0 -15.9 -4.7 -4.1 -1.0 1.3 -20.0 -20.0 -20.0 -12.8 VIX 2.3 -16.8 2.4 -4.9 -1.6 -6.6 0.1 -9.1 -2.3 -3.4 -20.0 0.8 -20.0 -15.4 -17.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -5.5 -20.0 -12.9 NaN -5.9 -2.3 -7.3 -0.6 -10.1 -3.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 9.1 11.6 0.0 -3.0 -2.2 -4.7 -2.1 -6.3 -2.0 2.8 -15.2 7.9 -17.7 9.7 -1.3 -9.6 -10.4 -10.9 -10.9 -3.2 -13.0 6.9 -20.0 3.5 -3.3 -1.7 -9.3 -5.3 -4.7 -8.1 -0.9 -15.3 -3.9 16.9 -0.6 0.4 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3