******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231228_204006 produced at 2023-12-28 21:37:05.908094 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -47.04 17.0 -16 -16 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.10 -0.10 -0.05 -0.05 -10.07 12.0 -6 -6 caleb_strategy_v3 DX False False 0.03 0.00 -0.08 0.0 999.00 -999.00 0.00 0.00 -2.25 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 -1.00 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 -5.49 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 -18.58 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -2.19 17.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.04 0.0 0.05 -0.05 -0.05 -0.05 -18.57 26.0 -23 -23 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.32 -0.32 -0.04 -0.04 -0.92 8.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.15 -0.15 -0.06 -0.06 -2.96 11.0 -4 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.68 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.03 0.0 0.40 -0.40 -0.12 -0.12 -3.91 56.0 -17 -17 caleb_strategy_v3 US5 False False 0.04 0.00 -0.02 0.0 0.94 -0.94 0.00 0.00 -0.66 25.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.15 -0.15 -0.04 -0.04 -0.80 7.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.66 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 -2.89 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 -1.65 9.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.02 0.0 0.67 -0.67 -0.21 -0.21 -0.29 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 -0.37 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.12 -0.12 -0.01 -0.01 -0.98 9.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.00 10.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.24 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.09 13.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.59 18.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 -0.35 -0.01 0.0 0.66 -0.66 -0.35 -0.35 -0.14 17.0 -9 -9 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.21 3.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.00 0.0 0.05 -0.05 0.00 0.00 0.00 3.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.20 0.00 0.0 0.20 -0.20 0.20 0.20 0.00 2.0 2 2 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.46 3.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.09 17.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.03 0.00 0.0 0.15 -0.15 0.03 0.03 0.08 6.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.99 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.10 -0.10 0.00 0.00 0.43 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.27 13.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.87 -0.87 0.00 0.00 0.28 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 0.25 9.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.14 0.01 0.0 0.67 -0.67 0.14 0.14 0.13 14.0 3 3 caleb_strategy_v3 US30 False False 0.05 0.23 0.01 0.0 0.28 -0.28 0.23 0.23 0.14 6.0 5 5 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 1.94 68.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.23 -0.23 0.01 0.01 1.10 23.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.21 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 0.18 4.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.40 -0.40 0.00 0.00 2.64 48.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.02 0.0 0.61 -0.61 0.03 0.03 0.63 22.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.00 0.03 0.0 0.53 -0.53 0.00 0.00 0.53 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.03 0.0 0.45 -0.45 0.05 0.05 1.39 19.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.06 0.03 0.0 0.27 -0.27 0.06 0.06 2.28 23.0 5 5 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.43 -0.43 0.00 0.00 5.98 66.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.04 0.0 0.18 -0.18 0.02 0.02 2.37 10.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.05 0.04 0.0 0.76 -0.76 0.05 0.05 1.50 29.0 2 2 caleb_strategy_v3 COPPER False False 0.03 0.14 0.04 0.0 0.20 -0.20 0.14 0.14 1.08 6.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.04 0.0 0.12 -0.12 0.05 0.05 1.83 5.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.05 0.0 0.09 -0.09 0.07 0.07 36.92 59.0 49 49 caleb_strategy_v3 NZD False False 0.02 0.07 0.06 0.0 0.46 -0.46 0.07 0.07 2.59 21.0 3 3 caleb_strategy_v3 COCOA False False 0.01 0.09 0.06 0.0 0.38 -0.38 0.09 0.09 3.80 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 1.52 9.0 9 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.08 0.0 0.00 0.00 0.00 0.00 2.64 12.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.14 0.09 0.0 0.46 -0.46 0.14 0.14 1.93 10.0 3 3 caleb_strategy_v3 NIKKEI False False 0.01 0.11 0.11 0.0 0.30 -0.30 0.11 0.11 12.99 36.0 14 14 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.11 0.0 0.35 -0.35 0.28 0.28 6.08 20.0 16 16 caleb_strategy_v3 SOFR False True 0.08 0.00 0.13 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 0.14 0.0 0.51 -0.51 0.00 0.00 2.73 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 22.47 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.41 0.43 0.0 0.60 -0.60 0.41 0.41 43.01 60.0 41 41 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.32 0.57 0.0 0.58 -0.58 0.32 0.32 15.73 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.75 1.33 0.0 0.94 -0.94 0.75 0.75 14.11 10.0 8 8 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 23.0 Shocked risk 62.5 Sum abs risk 50.4 Leverage 4.83 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2893753.91, 'annual_cash_vol_target': 723438.4775, 'daily_cash_vol_target': 45214.90484375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6849 0.6531 10.4493 BITCOIN 1124.9536 43035.0000 2.6140 41.8247 BOBL 0.2639 119.5700 0.2207 3.5317 BTP 0.6628 120.1700 0.5516 8.8251 BUND 0.5535 138.1100 0.4008 6.4123 BUXL 1.4257 143.9600 0.9903 15.8455 CAC 45.6324 7555.0000 0.6040 9.6640 CAD 0.0030 0.7568 0.3955 6.3287 CANOLA 7.8083 659.5000 1.1840 18.9436 CHF 0.0054 1.1950 0.4506 7.2092 COCOA 39.4575 4220.0000 0.9350 14.9602 COFFEE 4.1615 195.0000 2.1341 34.1460 COPPER 0.0427 3.9155 1.0903 17.4443 CORN 4.2088 505.0000 0.8334 13.3348 COTTON2 1.0062 80.9800 1.2425 19.8795 CRUDE_W 1.1455 70.8000 1.6179 25.8869 DAX 99.8854 16882.0000 0.5917 9.4667 DOW 209.3083 38064.0000 0.5499 8.7982 DX 0.4595 100.9200 0.4553 7.2850 EUR 0.0056 1.1100 0.5079 8.1269 EURIBOR-ICE 0.0503 98.1400 0.0513 0.8206 EUROSTX 30.0049 4548.0000 0.6597 10.5558 FEEDCOW 2.3841 229.0500 1.0409 16.6537 GASOIL 13.5432 738.2500 1.8345 29.3519 GASOLINE 0.0411 2.3192 1.7740 28.3838 GAS_US_mini 0.0925 2.3800 3.8863 62.1804 GBP 0.0073 1.2733 0.5700 9.1198 GOLD_micro 15.9827 2078.5000 0.7690 12.3033 HEATOIL 0.0436 2.4684 1.7649 28.2386 JGB-SGX-mini 0.3324 146.8200 0.2264 3.6229 JPY 0.0000 0.0072 0.6836 10.9381 LEANHOG 1.1893 75.0500 1.5846 25.3543 LIVECOW 1.5830 172.5000 0.9177 14.6828 LUMBER-new 7.2012 579.5000 1.2427 19.8824 MILK 0.1763 16.3800 1.0764 17.2218 MXP 0.0004 0.0582 0.6623 10.5969 NASDAQ_micro 117.3322 17109.5000 0.6858 10.9724 NIKKEI 268.9190 33455.0000 0.8038 12.8612 NZD 0.0038 0.6334 0.6015 9.6247 OAT 0.5727 132.4500 0.4324 6.9180 OATIES 8.0426 387.0000 2.0782 33.2509 OJ 6.1334 315.9000 1.9416 31.0653 PALLAD 31.5889 1139.0000 2.7734 44.3743 PLAT 14.1074 1021.7000 1.3808 22.0924 REDWHEAT 11.4333 645.0000 1.7726 28.3617 RICE 0.1485 17.5750 0.8450 13.5196 ROBUSTA 49.5589 2930.0000 1.6914 27.0629 RUSSELL 22.9910 2075.8000 1.1076 17.7211 SHATZ 0.0902 106.5900 0.0846 1.3534 SILVER-mini 0.3707 24.7750 1.4964 23.9418 SMI 61.2987 11037.0000 0.5554 8.8863 SOFR 0.0746 96.8750 0.0770 1.2325 SOYBEAN 10.2902 1258.2500 0.8178 13.0850 SOYMEAL 4.9600 389.3000 1.2741 20.3851 SOYOIL 0.7475 48.3800 1.5451 24.7221 SP400 25.9245 2830.0000 0.9161 14.6569 SP500_micro 28.4738 4832.7500 0.5892 9.4269 SUGAR11 0.4553 21.4500 2.1224 33.9581 US10 0.4837 112.9375 0.4283 6.8523 US10U 0.6539 118.1719 0.5534 8.8542 US2 0.1392 102.8984 0.1353 2.1646 US20 0.9808 125.2188 0.7833 12.5324 US30 1.4463 134.2812 1.0771 17.2333 US5 0.3200 108.7109 0.2944 4.7101 VIX 0.4745 16.2500 2.9201 46.7214 WHEAT 9.4794 669.5000 1.4159 22.6542 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 684.95 0.65 447.33 1.00 447.33 45214.9 101.08 5.32 53.74 BITCOIN 43.04 2.61 112.50 1.00 112.50 45214.9 401.93 8.48 340.90 BOBL 1195.70 0.22 263.93 1.10 291.52 45214.9 155.10 1.76 27.31 BTP 1201.70 0.55 662.82 1.10 732.11 45214.9 61.76 9.17 56.61 BUND 1381.10 0.40 553.50 1.10 611.37 45214.9 73.96 7.12 52.69 BUXL 1439.60 0.99 1425.70 1.10 1574.76 45214.9 28.71 6.05 17.36 CAC 755.50 0.60 456.32 1.10 504.03 45214.9 89.71 8.63 77.42 CAD 756.75 0.40 299.33 1.00 299.33 45214.9 151.06 3.83 57.89 CANOLA 131.90 1.18 156.17 0.76 118.43 45214.9 381.79 -20.00 -763.58 CHF 1493.69 0.45 673.02 1.00 673.02 45214.9 67.18 -1.69 -11.36 COCOA 422.00 0.94 394.57 1.00 394.57 45214.9 114.59 15.48 177.36 COFFEE 731.25 2.13 1560.58 1.00 1560.58 45214.9 28.97 2.45 7.10 COPPER 978.88 1.09 1067.23 1.00 1067.23 45214.9 42.37 2.35 9.97 CORN 252.50 0.83 210.44 1.00 210.44 45214.9 214.86 -19.27 -413.97 COTTON2 404.90 1.24 503.08 1.00 503.08 45214.9 89.88 -15.39 -138.30 CRUDE_W 708.00 1.62 1145.49 1.00 1145.49 45214.9 39.47 4.29 16.92 DAX 168.82 0.59 99.89 1.10 110.33 45214.9 409.82 16.07 658.70 DOW 190.32 0.55 104.65 1.00 104.65 45214.9 432.04 5.96 257.39 DX 1009.20 0.46 459.50 1.00 459.50 45214.9 98.40 -8.79 -86.54 EUR 1387.56 0.51 704.79 1.00 704.79 45214.9 64.15 0.81 5.19 EURIBOR-ICE 2453.50 0.05 125.84 1.10 139.00 45214.9 325.29 12.71 413.60 EUROSTX 454.80 0.66 300.05 1.10 331.42 45214.9 136.43 13.06 178.12 FEEDCOW 1145.25 1.04 1192.04 1.00 1192.04 45214.9 37.93 -7.35 -27.89 GASOIL 738.25 1.83 1354.32 1.00 1354.32 45214.9 33.39 2.95 9.86 GASOLINE 974.06 1.77 1727.98 1.00 1727.98 45214.9 26.17 -2.12 -5.56 GAS_US_mini 59.50 3.89 231.23 1.00 231.23 45214.9 195.54 -8.77 -171.52 GBP 795.81 0.57 453.60 1.00 453.60 45214.9 99.68 2.42 24.12 GOLD_micro 207.85 0.77 159.83 1.00 159.83 45214.9 282.90 -4.06 -114.75 HEATOIL 1036.73 1.76 1829.73 1.00 1829.73 45214.9 24.71 -1.98 -4.89 JGB-SGX-mini 146820.00 0.23 33244.84 0.01 233.00 45214.9 194.06 7.49 145.27 JPY 894.62 0.68 611.60 1.00 611.60 45214.9 73.93 0.47 3.44 LEANHOG 300.20 1.58 475.71 1.00 475.71 45214.9 95.05 -1.89 -17.96 LIVECOW 690.00 0.92 633.20 1.00 633.20 45214.9 71.41 -9.24 -66.00 LUMBER-new 159.36 1.24 198.03 1.00 198.03 45214.9 228.32 -0.95 -21.72 MILK 327.60 1.08 352.62 1.00 352.62 45214.9 128.23 -20.00 -256.45 MXP 291.20 0.66 192.86 1.00 192.86 45214.9 234.44 12.50 293.01 NASDAQ_micro 342.19 0.69 234.66 1.00 234.66 45214.9 192.68 5.10 98.26 NIKKEI 33455.00 0.80 26891.90 0.01 188.47 45214.9 239.90 5.00 119.95 NZD 633.35 0.60 380.99 1.00 380.99 45214.9 118.68 8.42 99.97 OAT 1324.50 0.43 572.68 1.10 632.56 45214.9 71.48 11.20 80.09 OATIES 193.50 2.08 402.13 1.00 402.13 45214.9 112.44 -10.55 -118.66 OJ 473.85 1.94 920.02 1.00 920.02 45214.9 49.15 0.01 0.04 PALLAD 1139.00 2.77 3158.89 1.00 3158.89 45214.9 14.31 4.33 6.20 PLAT 510.85 1.38 705.37 1.00 705.37 45214.9 64.10 10.83 69.43 REDWHEAT 322.50 1.77 571.67 1.00 571.67 45214.9 79.09 -15.81 -125.05 RICE 351.50 0.84 297.01 1.00 297.01 45214.9 152.23 2.68 40.84 ROBUSTA 293.00 1.69 495.59 1.00 495.59 45214.9 91.23 10.30 94.01 RUSSELL 103.79 1.11 114.95 1.00 114.95 45214.9 393.33 1.49 58.43 SHATZ 1065.90 0.08 90.16 1.10 99.59 45214.9 454.03 -1.48 -67.39 SILVER-mini 619.38 1.50 926.81 1.00 926.81 45214.9 48.79 -2.20 -10.74 SMI 1103.70 0.56 612.99 1.17 717.72 45214.9 63.00 7.05 44.43 SOFR 2421.88 0.08 186.55 1.00 186.55 45214.9 242.37 1.09 26.43 SOYBEAN 629.12 0.82 514.51 1.00 514.51 45214.9 87.88 -9.75 -85.64 SOYMEAL 389.30 1.27 496.00 1.00 496.00 45214.9 91.16 -11.59 -105.67 SOYOIL 290.28 1.55 448.52 1.00 448.52 45214.9 100.81 -10.66 -107.49 SP400 2830.00 0.92 2592.45 1.00 2592.45 45214.9 17.44 0.05 0.09 SP500_micro 241.64 0.59 142.37 1.00 142.37 45214.9 317.59 3.58 113.75 SUGAR11 240.24 2.12 509.88 1.00 509.88 45214.9 88.68 -8.41 -74.55 US10 1129.38 0.43 483.67 1.00 483.67 45214.9 93.48 -1.17 -10.97 US10U 1181.72 0.55 653.95 1.00 653.95 45214.9 69.14 3.03 20.93 US2 2057.97 0.14 278.42 1.00 278.42 45214.9 162.40 -4.84 -78.53 US20 1252.19 0.78 980.81 1.00 980.81 45214.9 46.10 4.22 19.47 US30 1342.81 1.08 1446.32 1.00 1446.32 45214.9 31.26 3.42 10.69 US5 1087.11 0.29 320.02 1.00 320.02 45214.9 141.29 -3.67 -51.88 VIX 162.50 2.92 474.51 1.00 474.51 45214.9 95.29 -20.00 -190.57 WHEAT 334.75 1.42 473.97 1.00 473.97 45214.9 95.40 -13.05 -124.49 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 53.739 0.010 2.5 1.394 BITCOIN 340.901 0.043 2.5 36.916 BOBL 27.314 0.004 2.5 0.277 BTP 56.609 0.014 2.5 1.931 BUND 52.686 0.004 2.5 0.534 BUXL 17.360 0.004 2.5 0.176 CAC 77.425 0.014 2.5 2.641 CAD 57.886 0.010 2.5 1.502 CANOLA -763.579 0.010 2.5 -18.577 CHF -11.359 0.010 2.5 -0.295 COCOA 177.363 0.009 2.5 3.799 COFFEE 7.101 0.005 2.5 0.083 COPPER 9.974 0.043 2.5 1.080 CORN -413.966 0.010 2.5 -10.071 COTTON2 -138.300 0.009 2.5 -2.962 CRUDE_W 16.921 0.043 2.5 1.832 DAX 658.703 0.014 2.5 22.468 DOW 257.395 0.009 2.5 5.982 DX -86.536 0.010 2.5 -2.245 EUR 5.194 0.010 2.5 0.135 EURIBOR-ICE 413.597 0.014 2.5 14.107 EUROSTX 178.124 0.014 2.5 6.076 FEEDCOW -27.892 0.013 2.5 -0.924 GASOIL 9.855 0.017 2.5 0.427 GASOLINE -5.559 0.017 2.5 -0.241 GAS_US_mini -171.516 0.043 2.5 -18.573 GBP 24.123 0.010 2.5 0.626 GOLD_micro -114.749 0.014 2.5 -3.914 HEATOIL -4.893 0.017 2.5 -0.212 JGB-SGX-mini 145.273 0.043 2.5 15.731 JPY 3.443 0.010 2.5 0.089 LEANHOG -17.959 0.024 2.5 -1.091 LIVECOW -66.005 0.013 2.5 -2.187 LUMBER-new -21.716 0.009 2.5 -0.464 MILK -256.454 0.009 2.5 -5.493 MXP 293.013 0.059 2.5 43.007 NASDAQ_micro 98.257 0.009 2.5 2.284 NIKKEI 119.949 0.043 2.5 12.989 NZD 99.970 0.010 2.5 2.594 OAT 80.092 0.014 2.5 2.732 OATIES -118.663 0.010 2.5 -2.887 OJ 0.044 0.009 2.5 0.001 PALLAD 6.203 0.014 2.5 0.212 PLAT 69.432 0.014 2.5 2.368 REDWHEAT -125.053 0.005 2.5 -1.659 RICE 40.837 0.010 2.5 0.994 ROBUSTA 94.014 0.005 2.5 1.098 RUSSELL 58.430 0.013 2.5 1.936 SHATZ -67.393 0.004 2.5 -0.683 SILVER-mini -10.742 0.014 2.5 -0.366 SMI 44.434 0.014 2.5 1.516 SOFR 26.430 0.024 2.5 1.606 SOYBEAN -85.640 0.004 2.5 -0.797 SOYMEAL -105.670 0.004 2.5 -0.983 SOYOIL -107.490 0.004 2.5 -1.001 SP400 0.087 0.013 2.5 0.003 SP500_micro 113.749 0.009 2.5 2.644 SUGAR11 -74.550 0.009 2.5 -1.586 US10 -10.970 0.005 2.5 -0.139 US10U 20.931 0.005 2.5 0.265 US2 -78.532 0.005 2.5 -0.995 US20 19.472 0.005 2.5 0.247 US30 10.688 0.005 2.5 0.135 US5 -51.879 0.005 2.5 -0.657 VIX -190.574 0.099 2.5 -47.042 WHEAT -124.493 0.005 2.5 -1.651 ===================== Position diags ===================== AUD 2.62 BITCOIN 43.52 BOBL 1.57 BTP 2.11 BUND 0.75 BUXL 0.29 CAC 3.06 CAD 3.92 CANOLA 9.29 CHF 1.74 COCOA 2.45 COFFEE 0.34 COPPER 4.59 CORN 5.23 COTTON2 1.92 CRUDE_W 4.27 DAX 13.98 DOW 10.04 DX 2.55 EUR 1.66 EURIBOR-ICE 11.10 EUROSTX 4.65 FEEDCOW 1.26 GASOIL 1.45 GASOLINE 1.13 GAS_US_mini 21.17 GBP 2.59 GOLD_micro 9.65 HEATOIL 1.07 JGB-SGX-mini 21.01 JPY 1.92 LEANHOG 5.78 LIVECOW 2.37 LUMBER-new 4.88 MILK 2.75 MXP 34.41 NASDAQ_micro 4.48 NIKKEI 25.98 NZD 3.08 OAT 2.44 OATIES 2.74 OJ 1.05 PALLAD 0.49 PLAT 2.19 REDWHEAT 1.05 RICE 3.70 ROBUSTA 1.07 RUSSELL 13.03 SHATZ 4.60 SILVER-mini 1.66 SMI 2.15 SOFR 14.73 SOYBEAN 0.82 SOYMEAL 0.85 SOYOIL 0.94 SP400 0.58 SP500_micro 7.38 SUGAR11 1.89 US10 1.18 US10U 0.88 US2 2.06 US20 0.58 US30 0.40 US5 1.79 VIX 23.52 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.4 1.1 1.7 2.0 2 BITCOIN 36.9 32.6 41.3 49.0 49 BOBL 0.3 0.1 0.4 0.0 0 BTP 1.9 1.7 2.1 3.0 3 BUND 0.5 0.5 0.6 0.0 0 BUXL 0.2 0.1 0.2 2.0 2 CAC 2.6 2.3 2.9 0.0 0 CAD 1.5 1.1 1.9 2.0 2 CANOLA -18.6 -19.5 -17.6 -6.0 -6 CHF -0.3 -0.5 -0.1 -4.0 -4 COCOA 3.8 3.6 4.0 6.0 6 COFFEE 0.1 0.0 0.1 1.0 1 COPPER 1.1 0.6 1.5 4.0 4 CORN -10.1 -10.6 -9.5 -6.0 -6 COTTON2 -3.0 -3.2 -2.8 -4.0 -4 CRUDE_W 1.8 1.4 2.3 2.0 2 DAX 22.5 21.1 23.9 0.0 0 DOW 6.0 5.0 7.0 0.0 0 DX -2.2 -2.5 -2.0 NaN 0 EUR 0.1 -0.0 0.3 3.0 3 EURIBOR-ICE 14.1 13.0 15.2 8.0 8 EUROSTX 6.1 5.6 6.5 16.0 16 FEEDCOW -0.9 -1.0 -0.8 -1.0 -1 GASOIL 0.4 0.3 0.6 0.0 0 GASOLINE -0.2 -0.4 -0.1 0.0 0 GAS_US_mini -18.6 -20.7 -16.5 -23.0 -23 GBP 0.6 0.4 0.9 1.0 1 GOLD_micro -3.9 -4.9 -2.9 -17.0 -17 HEATOIL -0.2 -0.3 -0.1 0.0 0 JGB-SGX-mini 15.7 13.6 17.8 9.0 9 JPY 0.1 -0.1 0.3 0.0 0 LEANHOG -1.1 -1.7 -0.5 0.0 0 LIVECOW -2.2 -2.4 -2.0 0.0 0 LUMBER-new -0.5 -1.0 0.0 NaN 0 MILK -5.5 -5.8 -5.2 NaN 0 MXP 43.0 39.6 46.4 41.0 41 NASDAQ_micro 2.3 1.8 2.7 5.0 5 NIKKEI 13.0 10.4 15.6 14.0 14 NZD 2.6 2.3 2.9 3.0 3 OAT 2.7 2.5 3.0 0.0 0 OATIES -2.9 -3.2 -2.6 NaN 0 OJ 0.0 -0.1 0.1 NaN 0 PALLAD 0.2 0.2 0.3 0.0 0 PLAT 2.4 2.1 2.6 1.0 1 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE 1.0 0.6 1.4 NaN 0 ROBUSTA 1.1 1.0 1.2 1.0 1 RUSSELL 1.9 0.6 3.2 0.0 0 SHATZ -0.7 -1.1 -0.2 NaN 0 SILVER-mini -0.4 -0.5 -0.2 NaN 0 SMI 1.5 1.3 1.7 9.0 9 SOFR 1.6 0.1 3.1 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -2.0 -2 SOYMEAL -1.0 -1.1 -0.9 -1.0 -1 SOYOIL -1.0 -1.1 -0.9 -3.0 -3 SP400 0.0 -0.1 0.1 2.0 2 SP500_micro 2.6 1.9 3.4 0.0 0 SUGAR11 -1.6 -1.8 -1.4 -1.0 -1 US10 -0.1 -0.3 -0.0 -9.0 -9 US10U 0.3 0.2 0.4 0.0 0 US2 -1.0 -1.2 -0.8 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.2 5.0 5 US5 -0.7 -0.8 -0.5 0.0 0 VIX -47.0 -49.4 -44.7 -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 3.9 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 0.5 0.6 0.4 0.0 0.0 0.1 0.0 0.1 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 0.1 0.0 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 -0.1 0.3 0.6 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.1 -0.1 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 0.1 0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP 0.6 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.1 0.0 0.2 0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 -1.1 0.1 0.0 0.1 0.0 0.0 0.1 0.7 0.0 0.2 0.4 0.3 -0.4 -0.7 0.2 0.1 BUND 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 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 0.2 -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 0.0 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 0.0 0.2 -0.1 0.3 0.3 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 0.1 0.1 -0.2 0.4 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.1 0.4 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 -0.5 0.0 -0.2 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 0.1 -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 0.0 0.0 0.1 -0.1 0.1 0.0 0.2 0.5 -0.1 -0.2 -0.6 -0.6 -0.0 -0.5 CANOLA -0.3 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -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 0.5 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 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.1 0.2 -1.2 0.1 0.1 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.3 -0.2 -0.7 -0.7 -0.7 -0.7 COCOA 0.1 0.6 0.6 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 0.5 0.2 0.7 0.2 0.2 0.2 0.0 0.1 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.3 0.0 0.4 0.1 0.4 0.4 0.6 0.6 0.6 0.6 -0.0 0.7 0.6 COFFEE 0.3 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 -0.6 -0.4 COPPER 0.2 0.6 0.2 0.0 0.0 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 0.1 -1.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.3 0.5 0.1 -0.2 -0.4 0.2 -0.3 CORN -0.1 -0.0 -0.2 -0.0 -0.1 -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 -0.1 -0.2 -0.2 -0.4 -0.1 -0.2 -0.4 -0.1 -0.3 0.2 -0.2 -0.3 0.1 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 -0.0 -0.3 -0.0 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.5 -0.3 -0.6 -0.5 -0.1 0.1 CRUDE_W -0.0 -0.5 -0.3 -0.1 -0.1 -0.0 -0.0 0.1 -0.0 -0.1 0.2 0.0 0.3 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.0 0.2 -0.1 -0.6 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.5 -0.1 0.1 0.3 0.5 0.7 0.4 0.7 0.5 DAX 0.4 0.6 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.3 0.1 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.3 0.2 2.6 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 -0.5 -0.1 0.4 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 0.0 0.6 0.6 0.3 -0.3 -0.1 -0.4 -0.2 DX -0.4 -0.6 -0.2 0.0 0.0 0.1 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 -0.0 0.0 -0.0 0.8 -0.5 -0.6 -0.6 -0.3 0.4 0.1 0.6 0.4 EUR 0.2 0.5 0.1 0.0 0.0 0.1 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 -0.0 0.1 1.3 0.0 0.0 0.0 0.1 -0.0 0.1 -0.4 -0.1 -0.3 -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 0.1 0.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.3 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.4 0.6 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 0.4 0.1 0.7 0.2 0.2 0.1 -0.0 0.0 -0.0 0.2 0.2 0.1 0.4 0.2 0.4 0.1 -0.0 0.1 0.0 0.1 0.1 0.3 -0.5 -0.3 -0.0 0.3 0.1 0.2 0.3 0.5 FEEDCOW 0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.0 -0.0 -0.1 -0.4 -0.4 -0.3 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 -1.1 0.2 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 -0.1 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 0.4 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 -0.1 -0.0 -0.0 0.1 -0.0 -0.1 -0.0 0.1 0.2 0.0 -0.1 -0.4 0.4 -0.3 0.1 -0.1 -0.0 0.0 0.1 -0.0 -2.7 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 0.1 0.0 0.2 0.5 -0.1 0.7 0.4 0.7 0.3 GAS_US_mini -0.1 -0.6 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 -0.0 -0.5 -0.1 -0.1 0.4 -0.4 -0.3 -0.4 -0.2 -0.2 -0.0 -0.5 -0.1 2.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.4 -0.1 -0.4 -0.2 -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 0.0 -0.0 0.1 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.4 -0.4 -0.1 -0.3 -0.4 0.0 -0.3 0.5 GOLD_micro 0.0 0.4 0.3 0.0 0.0 0.0 0.0 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 0.0 0.1 0.0 -0.8 0.0 0.1 0.1 0.3 -0.6 -0.7 -0.5 -0.7 HEATOIL -0.0 -0.6 -0.5 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.0 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.1 0.2 -0.1 -2.6 -0.0 -0.1 -0.0 -0.0 0.2 -0.0 0.7 0.1 0.0 0.1 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 -0.0 -0.4 -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 0.1 -0.1 0.1 -0.3 0.1 0.1 -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 -0.1 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.1 -0.2 -0.3 -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 -0.1 -0.4 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.5 0.1 0.2 -0.1 -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 -0.2 -0.0 -0.0 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -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 -0.0 LUMBER-new 0.5 0.7 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.0 0.1 -0.1 0.2 -0.7 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 -0.6 -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 1.4 -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 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 1.1 -0.1 -0.3 -0.2 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 0.3 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 0.1 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 0.2 0.5 0.2 0.6 0.2 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 0.2 -0.6 -0.6 -0.2 -0.4 -0.0 -0.3 0.1 NZD 0.5 0.6 0.5 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.1 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 0.0 0.1 0.2 0.3 -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 0.0 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 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.7 -0.0 0.2 0.3 0.3 -0.6 -0.7 0.0 0.2 OATIES 0.1 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.7 0.1 0.0 -0.4 -0.6 0.1 0.3 0.4 0.7 OJ -0.6 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.3 -0.2 0.5 -0.1 0.0 0.1 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 0.3 -0.0 1.1 -0.5 -0.6 -0.3 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 0.0 -0.3 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.1 0.8 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.2 0.4 -0.1 -0.3 -0.1 -0.2 0.1 -0.1 PLAT 0.5 0.5 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.2 -0.2 0.2 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 0.3 0.5 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 0.1 -0.3 -0.0 -0.5 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -1.5 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.2 0.1 -0.2 -0.4 -0.7 -0.7 -0.7 -0.5 RICE -0.0 0.5 0.3 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.1 0.5 0.1 0.5 0.2 0.2 -0.2 0.0 -0.3 -0.1 0.2 0.2 0.0 0.3 0.1 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.2 0.6 0.6 -0.1 -0.4 0.4 -0.1 ROBUSTA 0.6 0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -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 0.0 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 0.0 0.0 0.1 -0.1 0.1 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 0.1 -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 -0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.0 0.0 -0.1 0.2 1.4 0.1 -0.0 0.0 0.0 -0.0 0.1 0.9 -0.5 -0.2 -0.6 -0.3 0.0 -0.2 0.1 -0.2 SOFR 0.5 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 0.0 -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 -0.2 SOYBEAN -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -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 -0.1 0.1 -0.1 1.1 -0.5 -0.4 0.2 0.3 -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 -0.2 -0.6 -0.2 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 -0.2 -0.2 0.1 -0.4 -0.4 -0.0 -0.0 0.3 SP400 0.6 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 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 -0.0 0.4 0.2 -0.1 -0.5 -0.3 -0.7 -0.7 SP500_micro 0.6 0.6 0.2 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 0.0 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 0.3 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 -0.0 -0.6 -0.6 -0.2 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 0.0 -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 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -0.2 0.2 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -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 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.2 0.1 1.0 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 -0.2 -0.1 0.1 -0.5 -0.7 -0.3 -0.7 US20 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 -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 0.0 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 0.0 -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 -0.2 -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 0.0 -0.0 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 -0.2 -0.9 -0.1 -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 0.1 -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 -0.0 -0.1 -0.0 -0.3 -0.0 -0.8 0.0 0.4 -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 14.6 20.0 12.5 4.2 2.5 2.5 4.1 1.4 5.0 12.0 0.3 14.8 -7.1 15.2 13.2 -2.2 -2.9 -2.6 -2.8 15.9 5.5 20.0 -3.5 20.0 2.9 4.8 3.5 1.7 6.1 -0.8 6.5 -1.0 4.0 2.7 0.5 3.1 -14.7 -12.2 -5.6 5.6 BITCOIN -3.4 10.5 20.0 3.6 4.8 1.2 6.9 0.5 5.8 -8.3 20.0 7.7 18.2 15.2 20.0 -9.6 -6.3 -9.0 -7.9 20.0 20.0 4.5 16.8 19.5 -20.0 8.2 1.5 7.0 3.6 4.3 6.2 -2.2 -2.7 20.0 20.0 20.0 -5.5 14.5 2.0 20.0 BOBL 20.0 20.0 18.9 2.3 1.7 0.7 2.5 -0.8 3.0 5.9 3.5 8.4 -3.4 9.2 8.6 -20.0 -7.4 -15.4 -10.7 16.9 7.8 17.4 -2.3 20.0 8.4 3.0 1.2 1.4 2.9 -0.2 3.7 -13.2 0.5 3.8 1.0 7.0 -16.9 -20.0 -4.2 -17.9 BTP 20.0 20.0 12.7 3.7 2.7 1.0 4.0 -1.2 4.7 5.5 9.1 12.3 6.4 14.2 13.7 5.2 7.2 6.1 6.4 20.0 13.8 20.0 2.7 20.0 -8.6 4.7 1.0 2.4 4.0 0.6 5.6 13.9 0.9 6.2 11.7 10.2 -13.2 -20.0 7.3 4.4 BUND 20.0 20.0 17.3 2.6 1.9 0.7 2.8 -0.8 3.3 5.4 4.4 9.2 -3.7 10.1 9.5 4.5 4.2 1.7 1.9 19.1 8.5 18.8 -2.7 20.0 5.8 3.3 0.5 1.5 2.7 -0.1 3.9 7.4 -1.8 5.2 4.8 7.7 -19.0 -20.0 -6.6 -6.0 BUXL 20.0 20.0 18.2 3.1 2.2 0.9 3.3 -1.0 3.9 4.5 4.3 10.6 -6.6 11.8 10.5 0.2 0.7 0.3 0.5 20.0 7.8 19.8 -5.6 20.0 1.0 3.7 -0.2 1.4 2.5 -0.5 4.4 3.4 -5.7 8.2 10.3 6.4 -20.0 -20.0 -6.2 10.2 CAC 18.7 20.0 -0.7 6.7 2.4 3.3 4.8 1.4 7.3 -20.0 13.0 17.5 20.0 20.0 20.0 -9.5 -4.1 -7.7 -6.3 20.0 16.7 12.9 13.7 20.0 -8.4 7.4 -2.2 3.6 2.7 2.4 8.0 1.0 -20.0 0.0 -6.1 0.8 10.1 7.1 19.9 13.0 CAD 20.0 20.0 1.8 6.4 3.7 3.8 6.2 2.2 7.4 15.1 -2.6 20.0 -8.8 20.0 16.5 -1.9 -2.2 -2.3 -2.3 20.0 4.4 20.0 -5.7 20.0 2.5 5.9 3.9 0.9 9.3 -1.6 10.2 0.0 6.7 15.1 -1.6 -5.4 -18.8 -19.0 -0.3 -14.6 CANOLA -8.3 -8.1 -20.0 -1.7 -2.5 -2.6 -1.8 -3.4 -1.4 -0.5 -5.7 -7.0 -5.2 -8.4 -9.4 -12.3 -0.0 -10.9 -6.9 -12.1 -11.0 -4.6 -8.5 -9.7 -20.0 -3.6 -2.9 -3.3 -3.4 -2.8 -3.5 -2.2 -8.0 -16.9 -12.9 -20.0 -15.2 -11.3 -5.2 0.7 CHF 15.2 20.0 1.7 5.8 3.4 3.5 5.7 2.0 6.8 18.2 3.6 20.0 9.3 20.0 18.2 -16.1 -15.4 -16.6 -16.2 20.0 11.3 20.0 5.3 20.0 -9.3 6.4 10.3 2.6 12.4 1.1 10.2 -20.0 20.0 20.0 10.6 -5.9 -20.0 -20.0 -20.0 -20.0 COCOA 3.7 18.1 20.0 -4.5 -6.5 -6.7 -4.7 -8.8 -3.6 -3.8 20.0 18.9 20.0 20.0 20.0 12.1 1.0 7.4 3.5 20.0 20.0 12.2 20.0 20.0 -20.0 9.5 0.6 10.8 3.3 10.9 6.6 6.6 15.8 20.0 20.0 20.0 17.9 -0.0 20.0 19.0 COFFEE 9.9 16.9 20.0 -2.4 -3.4 -3.6 -2.5 -4.7 -1.9 3.2 5.4 8.4 -3.7 10.6 11.8 9.2 4.3 8.1 5.7 14.7 8.6 12.4 1.3 15.5 -17.5 4.8 1.7 3.1 3.3 1.2 4.6 11.5 14.3 20.0 20.0 20.0 -20.0 -20.0 -18.8 -11.7 COPPER 7.0 18.7 4.7 2.9 3.8 1.0 5.5 0.4 4.6 7.6 -1.1 14.3 -3.1 15.4 12.9 -4.5 -4.4 -5.8 -5.5 10.6 3.0 11.8 -3.2 13.7 -7.6 5.1 3.1 1.8 6.1 -0.8 6.6 1.4 2.0 9.5 15.5 2.6 -6.8 -10.8 6.4 -8.5 CORN -2.5 -0.1 -5.5 -4.4 -6.3 -6.5 -4.5 -8.6 -3.5 -4.6 -20.0 -9.9 -20.0 -13.9 -15.8 -9.3 -1.4 -7.9 -6.0 -9.7 -18.6 -5.4 -20.0 -7.6 -20.0 -6.4 -14.7 -6.5 -16.3 -10.3 -11.2 -3.2 -18.4 -3.5 -7.8 7.7 -5.8 -9.7 4.5 3.2 COTTON2 9.2 -6.9 -14.2 -3.4 -4.9 -5.1 -3.5 -6.6 -2.7 14.3 -11.0 -2.2 -8.9 -3.2 -13.3 -7.9 -0.3 -6.7 -4.2 -11.7 -11.8 3.3 -8.5 -4.4 -20.0 -4.9 3.5 -4.5 1.4 -1.9 -1.8 -0.6 -0.3 10.4 -16.5 -10.7 -17.2 -14.0 -4.0 1.7 CRUDE_W -0.1 -14.4 -8.8 -4.7 -6.6 -1.7 -4.0 1.5 -4.3 -12.8 6.1 2.8 7.2 -6.6 -10.9 6.0 9.8 8.0 9.2 -6.0 1.8 -2.8 8.8 -4.7 -4.5 -3.7 -10.9 1.3 -7.3 6.0 -5.1 -9.9 -3.0 4.4 9.6 15.8 20.0 13.3 20.0 13.9 DAX 13.5 20.0 4.2 6.3 2.3 3.1 4.5 1.3 6.9 -2.0 12.7 13.3 17.9 20.0 20.0 -14.7 -9.2 -12.3 -10.8 20.0 20.0 12.2 12.1 20.0 19.5 6.9 -1.1 3.5 1.7 1.6 6.4 -7.2 -20.0 -2.6 13.1 6.8 7.1 4.9 17.4 16.0 DOW 20.0 20.0 10.3 5.0 1.8 2.5 3.6 1.0 5.4 17.3 14.1 18.8 14.3 19.7 18.7 -11.1 -9.2 -10.7 -10.3 20.0 20.0 20.0 12.0 20.0 -12.6 6.2 2.1 3.6 4.5 2.1 6.7 -7.0 1.0 18.2 19.4 10.0 -9.5 -4.2 -11.3 -6.5 DX -12.6 -20.0 -7.0 3.1 1.8 1.9 3.1 1.1 3.7 -8.1 1.2 -10.4 -3.9 -10.8 -8.9 4.9 6.0 6.0 6.2 -10.7 -3.5 -14.6 1.4 -14.9 -20.0 -3.2 -2.6 -0.8 -4.1 0.9 -4.4 14.5 -20.0 -20.0 -20.0 -9.0 13.1 4.4 17.4 12.9 EUR 6.5 16.6 3.7 3.9 2.3 2.3 3.8 1.3 4.6 9.3 -1.2 12.3 5.2 12.3 10.4 -5.4 -6.7 -6.0 -6.3 9.1 3.1 14.7 -0.6 13.2 9.9 3.5 3.4 1.2 5.5 -0.3 5.1 -7.2 -5.0 -9.6 -3.7 -6.0 -17.1 -12.5 -14.8 -5.9 EURIBOR-ICE 20.0 20.0 20.0 2.1 1.5 0.6 2.3 -0.7 2.7 7.5 6.0 8.3 -0.0 8.5 8.5 -1.2 -6.0 -3.1 -4.9 20.0 13.1 20.0 2.0 20.0 16.8 3.0 1.7 1.8 2.9 0.3 3.4 -7.7 5.5 9.6 8.2 15.9 -20.0 -20.0 7.1 20.0 EUROSTX 11.6 20.0 4.3 6.4 2.3 3.2 4.6 1.3 7.0 -20.0 13.9 13.4 19.7 20.0 20.0 6.5 -1.7 0.0 -2.0 20.0 20.0 8.7 15.9 20.0 3.4 7.4 -2.2 4.3 1.3 2.7 6.5 6.3 -20.0 -8.7 -1.5 8.0 3.6 7.2 9.8 15.2 FEEDCOW 14.1 -19.3 -20.0 -1.9 -2.7 -2.8 -2.0 -3.7 -1.5 1.9 -6.7 8.6 -0.4 -2.9 -7.6 -17.9 -20.0 -13.4 -17.3 -12.4 -11.7 4.5 -2.6 -2.4 -1.4 -2.6 0.1 -2.0 0.8 0.7 -0.4 -20.0 9.4 5.8 -14.7 -15.5 12.0 2.6 20.0 10.2 GASOIL -0.1 -18.3 -13.7 -3.8 -5.3 -1.4 -3.2 1.2 -3.4 -8.9 5.2 2.0 6.0 -5.2 -10.6 11.2 20.0 15.7 18.8 -8.0 -0.4 -3.9 8.2 -5.8 8.2 -3.2 -5.4 0.3 -2.6 3.4 -2.9 7.6 11.1 4.5 4.3 6.6 -8.2 -1.9 -17.7 -7.4 GASOLINE 4.4 -8.2 -20.0 -4.4 -6.1 -1.6 -3.7 1.4 -3.9 -11.5 -0.1 5.9 4.4 1.1 -11.5 -20.0 19.1 -12.5 7.5 -6.3 -3.6 0.1 4.8 -1.3 -20.0 -3.5 -8.5 -1.2 -4.7 4.5 -2.6 1.1 1.5 7.6 16.6 -3.3 20.0 11.8 20.0 9.4 GAS_US_mini -4.1 -20.0 5.2 -2.9 -4.0 -1.0 -2.4 0.9 -2.6 9.4 -11.4 -2.7 -13.1 -9.9 -11.1 18.2 -20.0 -14.9 -20.0 -20.0 -19.0 -2.2 -20.0 -13.8 16.6 -3.9 1.8 -3.0 0.2 -2.0 -2.6 -20.0 15.6 -1.8 -13.6 -7.5 -17.0 4.6 -20.0 0.4 GBP 2.8 18.1 -0.4 4.2 2.4 2.5 4.1 1.4 5.0 4.8 -0.9 9.0 7.8 13.0 11.1 -0.1 -0.7 -0.4 -0.5 9.8 4.7 8.4 1.7 11.0 1.5 3.9 1.1 1.6 3.0 0.1 4.4 2.9 -16.3 -12.5 -2.4 -9.4 -12.7 1.1 -9.4 14.6 GOLD_micro 0.7 12.9 9.4 2.3 3.1 0.8 4.5 0.3 3.7 10.0 5.5 10.2 5.6 9.5 11.5 -12.5 -13.9 -13.9 -14.4 11.1 6.9 13.7 3.3 12.5 -5.0 3.9 2.4 2.6 3.8 1.6 4.0 -14.6 0.3 3.9 4.6 8.9 -17.4 -20.0 -14.9 -20.0 HEATOIL -1.2 -17.2 -16.3 -4.1 -5.7 -1.5 -3.5 1.3 -3.7 -12.1 3.6 -1.5 4.6 -8.0 -12.2 18.6 20.0 20.0 20.0 -10.4 -2.5 -6.9 6.8 -8.4 -19.7 -3.8 -6.9 -0.0 -4.5 4.6 -3.8 12.4 5.7 1.2 4.4 0.8 14.2 -0.1 10.8 -5.6 JGB-SGX-mini 5.8 20.0 0.7 1.8 1.3 0.5 2.0 -0.6 2.3 5.9 1.3 6.3 2.7 6.5 5.8 7.0 18.6 12.9 15.0 6.0 2.6 6.5 0.9 7.5 -2.0 1.8 1.3 0.5 1.9 -0.3 2.3 20.0 -1.5 -10.9 -2.0 -2.1 2.1 -20.0 12.1 18.7 JPY 20.0 20.0 20.0 2.6 1.5 1.5 2.5 0.9 3.0 7.5 -5.5 8.3 -8.1 8.4 5.3 -14.1 -16.1 -16.4 -16.8 5.9 -2.5 8.3 -9.5 10.0 20.0 1.9 1.8 -1.0 3.1 -3.0 3.6 -20.0 -8.0 7.3 -4.0 -7.2 -8.7 -20.0 -2.9 -20.0 LEANHOG 1.9 -7.1 -9.0 -2.7 -3.9 -4.1 -2.8 -5.4 -2.2 -13.0 -3.9 -4.4 -9.4 -7.6 -10.3 -20.0 5.2 -20.0 -2.3 -9.9 -11.5 -6.9 -13.8 -7.0 14.8 -2.4 -2.2 -5.1 -0.3 -9.0 -0.5 9.5 4.6 7.6 -2.0 -0.4 -10.3 -7.3 8.1 11.4 LIVECOW 3.7 -20.0 -20.0 -2.1 -3.1 -3.2 -2.2 -4.2 -1.7 -3.0 -6.5 5.3 0.6 -6.1 -8.8 -7.4 -4.9 -8.7 -7.4 -15.6 -12.1 -0.3 -2.0 -7.8 0.2 -3.6 -1.1 -2.2 -1.0 1.0 -2.2 -6.1 1.0 -5.2 -20.0 -13.2 4.9 -7.7 9.9 -1.4 LUMBER-new 13.0 18.7 8.3 -5.0 -7.2 -7.3 -5.2 -8.2 -4.0 7.9 -3.9 16.8 -19.2 20.0 20.0 -9.3 -14.1 -12.8 -13.8 20.0 6.2 20.0 -7.3 20.0 NaN 7.5 8.5 2.6 12.5 -0.7 11.4 -20.0 20.0 20.0 20.0 20.0 -17.5 -20.0 -10.5 -18.7 MILK -19.5 -20.0 -16.9 -3.2 -4.7 -4.9 -3.4 -6.4 -2.6 -10.8 -17.3 -16.6 -17.2 -18.4 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 10.5 -6.8 -3.4 -5.8 -6.4 -6.0 -7.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 8.7 16.3 -5.0 5.1 3.0 3.1 5.0 1.7 6.0 14.9 14.8 17.9 17.0 18.7 16.1 14.3 16.3 14.3 14.9 16.8 14.2 18.4 19.5 19.6 -20.0 5.4 3.8 4.7 6.1 6.9 6.4 20.0 -3.2 -8.0 -5.2 -5.2 11.0 16.7 20.0 20.0 NASDAQ_micro 20.0 20.0 8.5 4.1 1.5 2.0 2.9 0.9 4.5 13.1 14.4 15.3 13.7 16.1 15.6 -11.5 -9.0 -10.6 -10.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.2 1.8 4.1 4.1 4.1 5.7 -6.5 5.5 2.9 7.7 7.9 12.3 -6.4 12.7 -8.5 NIKKEI -3.5 9.4 -5.9 5.3 1.9 2.6 3.8 1.1 5.8 17.7 16.9 15.9 17.7 14.0 15.1 16.9 11.1 12.4 11.1 11.6 14.6 10.3 19.9 10.0 -13.4 4.6 5.0 6.2 5.3 9.5 4.6 20.0 10.3 -20.0 -20.0 -5.1 -10.7 -0.6 -9.5 3.9 NZD 15.0 20.0 14.3 4.5 2.6 2.7 4.4 1.5 5.2 14.3 2.3 16.3 1.2 16.7 14.9 0.3 0.2 0.1 0.1 20.0 8.6 20.0 -1.5 20.0 0.8 5.3 2.7 2.4 5.1 -0.0 6.2 4.2 0.6 1.9 5.3 7.7 -7.1 -12.2 -3.8 6.0 OAT 20.0 20.0 17.2 2.7 2.0 0.8 2.9 -0.9 3.5 5.1 5.5 9.6 -3.3 10.6 10.0 4.5 7.0 5.2 5.8 20.0 9.8 19.7 -1.6 20.0 8.2 3.5 0.5 1.6 2.8 -0.0 4.1 13.2 -1.3 7.2 8.2 9.2 -19.1 -20.0 0.2 6.7 OATIES 4.5 -4.2 -20.0 -1.5 -2.1 -2.2 -1.5 -2.9 -1.2 5.3 -5.5 1.6 -4.2 -1.4 -6.8 0.1 -7.6 -7.1 -9.9 -6.8 -6.9 2.9 -3.2 -1.9 -20.0 -2.4 1.4 -2.3 0.4 -1.1 -1.0 -13.0 5.5 0.4 -12.4 -18.5 1.9 7.6 12.5 20.0 OJ -20.0 -19.6 -8.3 -2.6 -3.7 -3.8 -2.7 -5.0 -2.0 -13.2 10.1 -14.4 13.2 -10.6 1.5 7.1 20.0 15.6 19.2 -1.6 19.0 -20.0 20.0 -20.0 -20.0 1.3 -6.6 6.3 -7.6 9.4 -4.2 20.0 -20.0 -20.0 -9.0 20.0 9.8 11.5 20.0 20.0 PALLAD 20.0 18.1 14.9 1.3 1.7 0.4 2.5 0.2 2.1 -5.1 -5.6 4.5 -8.0 4.4 0.4 -1.7 -2.3 -2.0 -2.2 1.1 -4.6 4.8 -9.1 6.6 5.8 -0.2 0.1 -1.7 2.2 -2.2 2.0 6.0 8.6 12.8 -4.5 -8.5 -4.2 -7.4 3.3 -1.5 PLAT 16.9 15.5 3.8 2.3 3.0 0.8 4.3 0.3 3.6 13.2 -5.4 14.5 -6.0 14.3 8.6 -3.6 -2.9 -3.5 -3.3 9.9 1.3 20.0 -3.5 17.5 14.2 3.8 8.0 1.2 9.2 -0.2 6.9 4.6 10.9 15.9 4.3 3.6 -5.1 -10.0 14.6 -3.8 REDWHEAT 8.6 10.7 -12.6 -2.5 -3.6 -3.8 -2.6 -4.9 -2.0 7.7 -12.6 -3.1 -13.6 1.4 -8.1 -3.0 -1.3 -3.9 -3.2 -9.2 -15.5 0.0 -16.7 -3.3 -11.1 -4.4 -2.9 -6.1 -4.1 -5.7 -3.4 -0.5 -8.2 3.6 -7.6 -12.8 -20.0 -20.0 -20.0 -13.9 RICE -1.0 13.9 9.1 -4.1 -5.9 -6.1 -4.2 -8.0 -3.2 -12.4 18.7 10.1 14.3 17.7 16.9 -11.9 1.1 -13.4 -6.8 18.5 17.8 3.4 12.9 13.0 -20.0 5.8 -1.4 5.2 2.4 3.6 4.7 0.5 19.4 6.6 20.0 20.0 -2.6 -13.3 11.0 -3.1 ROBUSTA 17.1 18.4 -9.1 -2.1 -3.1 -3.2 -2.2 -4.1 -1.7 4.5 11.0 9.1 11.0 10.9 11.2 20.0 20.0 20.0 20.0 19.3 13.4 18.5 11.0 20.0 -17.8 4.1 1.8 2.9 4.1 2.4 5.1 20.0 16.9 20.0 20.0 20.0 -11.8 -14.8 0.2 0.3 RUSSELL 20.0 20.0 4.4 3.3 1.2 1.7 2.4 0.7 3.6 9.0 3.6 12.2 -0.9 13.1 10.2 -6.1 -6.1 -6.3 -6.4 20.0 7.4 20.0 -0.1 20.0 -2.0 3.7 1.7 1.4 4.1 0.2 5.1 -1.0 6.2 18.2 7.0 -3.6 -17.2 -15.7 -20.0 -19.0 SHATZ 20.0 20.0 20.0 2.1 1.5 0.6 2.2 -0.7 2.6 7.2 -0.3 8.0 -5.5 8.0 6.7 -20.0 -20.0 -20.0 -20.0 11.8 4.0 14.2 -4.9 15.8 8.9 2.5 1.9 0.9 3.1 -0.7 3.3 -20.0 1.0 4.2 -2.9 4.1 -13.2 -20.0 -6.1 -20.0 SILVER-mini -7.9 12.3 0.1 2.2 6.6 0.7 5.5 0.3 3.8 9.7 0.5 0.4 3.0 1.9 5.4 -6.4 -6.3 -6.7 -6.7 4.3 1.8 4.7 0.2 4.5 5.8 0.8 5.1 0.7 3.7 0.7 1.3 -1.4 -0.4 -9.3 -1.2 -2.1 -19.3 -20.0 3.9 -16.5 SMI 17.0 20.0 -4.2 6.1 2.2 3.0 4.4 1.3 6.7 -20.0 -1.8 8.7 2.9 18.6 15.2 10.8 3.7 7.3 4.8 18.1 2.6 3.8 -4.2 20.0 10.3 5.6 -1.4 1.5 2.6 -1.0 6.9 16.7 -20.0 -6.7 -18.3 -8.1 0.2 -6.7 4.2 -5.4 SOFR 16.3 20.0 16.1 2.3 1.7 0.7 2.5 -0.7 3.0 5.4 1.0 8.2 -1.9 9.0 8.3 1.2 -0.3 0.6 0.0 12.1 4.4 10.8 -2.2 14.2 -1.5 2.7 1.6 0.9 2.8 -0.5 3.4 1.8 -3.5 -5.4 0.3 1.9 -20.0 -20.0 -6.6 -7.4 SOYBEAN -7.6 -3.6 -1.0 -3.7 -5.4 -5.6 -3.9 -7.3 -3.0 -9.5 8.1 -11.7 7.0 -13.4 -7.7 14.5 17.3 15.3 15.2 -4.6 -0.1 -10.2 1.1 -9.5 -20.0 1.1 -9.1 3.4 -10.0 2.9 -4.9 20.0 -20.0 -12.2 7.4 10.6 -20.0 -20.0 -20.0 -18.9 SOYMEAL -18.8 -9.8 3.4 -2.6 -3.7 -3.8 -2.7 -5.0 -2.0 0.1 -0.6 -7.6 3.2 -11.8 -3.1 10.2 16.7 13.9 15.1 -6.1 0.2 -7.5 3.1 -11.6 -20.0 -1.2 -2.5 1.5 -4.3 2.9 -4.2 20.0 -9.9 -19.5 -5.0 11.3 -20.0 -20.0 -20.0 -19.9 SOYOIL -1.8 0.2 -20.0 -2.0 -2.9 -3.0 -2.1 -3.9 -1.6 -9.9 -4.1 -10.2 -4.8 -8.2 -10.4 -2.2 8.2 2.5 5.6 -9.3 -9.4 -10.0 -6.3 -8.1 -20.0 -1.9 -4.7 -2.5 -3.9 -2.0 -1.9 15.2 -7.2 -7.2 2.3 -12.7 -11.5 -0.5 -0.2 10.1 SP400 20.0 20.0 1.7 3.5 1.3 1.8 2.5 0.7 3.8 9.4 5.4 12.9 3.0 13.7 11.2 -4.9 -5.0 -5.2 -5.2 20.0 8.5 20.0 1.8 20.0 -9.7 4.0 1.1 1.7 3.5 0.6 5.0 1.1 -0.9 13.7 5.8 -1.8 -15.1 -9.2 -20.0 -20.0 SP500_micro 20.0 20.0 5.1 5.1 1.8 2.5 3.6 1.1 5.5 17.0 14.3 18.8 14.1 20.0 19.1 -12.0 -10.1 -11.5 -11.0 20.0 20.0 20.0 14.6 20.0 -20.0 6.1 2.1 4.0 4.8 3.1 6.9 -8.3 1.9 5.5 10.7 3.6 4.8 -6.1 7.1 -9.0 SUGAR11 -20.0 -20.0 -20.0 -1.7 -2.5 -2.6 -1.8 -3.3 -1.4 4.8 -1.5 -6.8 6.4 -8.6 -6.7 16.9 19.9 20.0 20.0 -14.4 -4.8 -8.1 3.9 -17.1 -20.0 -2.8 1.1 -0.9 -1.4 1.1 -3.2 20.0 -0.3 -20.0 -20.0 -5.1 0.2 -10.1 13.0 5.8 US10 18.3 20.0 20.0 2.0 1.5 0.6 2.2 -0.7 2.6 2.9 -1.4 6.8 -4.0 7.7 6.8 -8.4 -7.2 -7.6 -7.6 9.0 1.5 8.5 -5.3 11.5 1.4 2.2 1.2 0.4 2.4 -1.1 3.0 -10.8 -5.2 -3.8 0.1 -1.0 -20.0 -20.0 -10.2 4.5 US10U 20.0 20.0 17.7 2.8 2.0 0.8 3.0 -0.9 3.6 4.6 -1.6 9.4 -5.3 10.5 8.9 3.1 0.4 2.1 1.0 12.6 1.7 12.5 -7.6 16.7 -1.9 3.0 1.6 0.4 3.3 -1.5 4.1 3.1 -6.2 -4.1 0.5 -2.5 -20.0 -20.0 3.2 14.9 US2 12.9 20.0 20.0 1.9 1.4 0.5 2.1 -0.6 2.4 3.9 -3.5 6.5 -5.5 6.9 6.0 -20.0 -20.0 -20.0 -20.0 6.8 0.7 6.8 -6.3 8.8 7.9 2.3 1.3 0.6 2.4 -1.3 2.8 -20.0 -4.7 -4.6 -2.8 3.1 -16.1 -20.0 -10.4 -20.0 US20 20.0 20.0 14.7 2.1 1.5 0.6 2.2 -0.7 2.6 4.6 -0.5 7.3 -3.5 7.9 6.7 -0.6 -1.3 -0.7 -1.1 10.8 1.7 11.3 -5.6 14.4 -1.9 2.2 1.4 0.3 2.5 -1.1 3.1 -0.4 -3.0 0.8 3.3 -2.0 -17.2 -20.0 17.0 20.0 US30 20.0 20.0 15.7 2.4 1.7 0.7 2.6 -0.8 3.1 4.2 -0.4 8.3 -4.6 9.1 7.6 -5.0 -4.2 -4.9 -4.8 11.5 1.6 10.8 -6.8 14.9 -1.5 2.5 1.2 0.3 2.6 -1.3 3.4 -5.6 -6.7 -1.6 1.7 -2.6 -10.1 -18.3 20.0 20.0 US5 15.5 20.0 20.0 2.0 1.4 0.6 2.1 -0.6 2.6 3.2 -1.7 6.8 -4.2 7.5 6.7 -8.2 -10.1 -9.5 -10.4 8.5 1.8 7.8 -4.8 10.5 3.3 2.3 1.2 0.6 2.4 -0.9 2.9 -15.9 -5.0 -4.6 -1.1 1.1 -20.0 -20.0 -20.0 -12.6 VIX 2.2 -16.6 2.1 -4.9 -3.0 -6.6 -1.1 -9.1 -2.7 -13.8 -20.0 -3.4 -20.0 -15.6 -18.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.5 -20.0 -14.0 NaN -6.0 -2.6 -7.4 -1.7 -10.2 -3.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.6 12.3 -0.4 -3.2 -4.7 -4.8 -3.4 -6.3 -2.6 5.9 -15.1 8.6 -17.7 10.8 0.4 -9.5 -10.3 -10.8 -10.9 -2.5 -12.8 7.8 -20.0 4.5 -3.3 -1.8 -3.2 -5.3 -3.3 -8.1 -1.0 -15.1 1.4 13.6 -0.0 0.6 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3