******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240101_204001 produced at 2024-01-01 21:36:34.862515 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.27 0.0 0.10 -0.10 -0.09 -0.09 -46.73 17.0 -16 -16 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.11 -0.11 -0.05 -0.05 -10.36 12.0 -6 -6 caleb_strategy_v3 DX False False 0.04 0.00 -0.08 0.0 999.00 -999.00 0.00 0.00 -2.30 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 -0.95 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 -5.45 5.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.27 17.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -18.55 51.0 -6 -6 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.32 -0.32 -0.04 -0.04 -0.96 8.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.04 0.0 0.05 -0.05 -0.05 -0.04 -17.26 26.0 -23 -19 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.84 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 -0.81 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.03 0.0 0.41 -0.41 -0.12 -0.12 -4.15 56.0 -17 -17 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.96 -0.96 0.00 0.00 -0.65 25.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.79 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 -0.91 7.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.02 0.0 0.14 -0.14 0.00 -0.01 -1.73 13.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.71 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.11 -0.11 -0.05 -0.05 -1.71 9.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.01 0.0 0.69 -0.69 -0.21 -0.21 -0.19 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 -0.55 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.12 -0.12 -0.01 -0.03 -1.04 9.0 -1 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.04 10.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.26 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.53 18.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 -0.36 -0.01 0.0 0.68 -0.68 -0.36 -0.36 -0.16 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 -0.17 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.25 -0.25 0.00 0.01 0.92 68.0 0 2 caleb_strategy_v3 SP400 False False 0.10 0.20 -0.00 0.0 0.20 -0.20 0.20 0.10 -0.02 2.0 2 1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.84 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 -0.04 3.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.04 6.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.00 0.01 0.0 0.54 -0.54 0.00 0.03 0.17 17.0 0 1 caleb_strategy_v3 BUXL False False 0.06 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.13 4.0 2 2 caleb_strategy_v3 EUR False False 0.05 0.15 0.01 0.0 0.68 -0.68 0.15 0.15 0.17 14.0 3 3 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.16 2.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.24 0.01 0.0 0.28 -0.28 0.24 0.24 0.12 6.0 5 5 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.40 -0.40 0.00 0.00 0.23 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 0.23 13.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.89 -0.89 0.00 0.00 0.13 19.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 1.15 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 ROBUSTA False False 0.01 0.01 0.01 0.0 0.23 -0.23 0.01 0.00 0.88 23.0 1 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.06 0.02 0.0 0.28 -0.28 0.06 0.10 2.06 23.0 5 8 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.41 -0.41 0.00 0.00 2.38 48.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.54 -0.54 0.00 0.00 0.43 10.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.14 0.02 0.0 0.21 -0.21 0.14 0.17 0.68 6.0 4 5 caleb_strategy_v3 GBP False False 0.03 0.03 0.02 0.0 0.62 -0.62 0.03 0.03 0.69 22.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.05 0.03 0.0 0.46 -0.46 0.05 0.05 1.27 19.0 2 2 caleb_strategy_v3 CAD False False 0.03 0.05 0.03 0.0 0.77 -0.77 0.05 0.05 1.23 29.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.44 -0.44 0.00 0.00 5.63 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 2.27 10.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.04 0.0 0.12 -0.12 0.05 0.02 1.55 5.0 2 1 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.05 0.0 0.09 -0.09 0.07 0.07 33.25 59.0 49 49 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.38 -0.38 0.09 0.09 3.23 26.0 6 6 caleb_strategy_v3 NZD False False 0.02 0.07 0.06 0.0 0.47 -0.47 0.07 0.07 2.52 21.0 3 3 caleb_strategy_v3 CAC False True 0.03 0.00 0.07 0.0 0.00 0.00 0.00 0.00 2.51 12.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.42 0.07 0.0 0.42 -0.42 0.42 0.42 1.58 9.0 9 9 caleb_strategy_v3 BTP False False 0.05 0.14 0.07 0.0 0.47 -0.47 0.14 0.09 1.48 10.0 3 2 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.11 0.0 0.36 -0.36 0.28 0.32 5.93 20.0 16 18 caleb_strategy_v3 OAT False False 0.05 0.00 0.12 0.0 0.51 -0.51 0.00 0.00 2.27 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.12 0.0 0.30 -0.30 0.12 0.12 14.34 36.0 14 14 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.38 -0.38 0.00 0.00 22.11 58.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 0.16 0.0 0.00 0.00 0.00 0.00 1.88 11.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.42 0.47 0.0 0.62 -0.62 0.42 0.45 46.02 60.0 41 44 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.33 0.57 0.0 0.59 -0.59 0.33 0.33 15.64 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.77 1.23 0.0 0.96 -0.96 0.77 0.38 12.77 10.0 8 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.8 Shocked risk 63.0 Sum abs risk 50.0 Leverage 4.78 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2828459.76, 'annual_cash_vol_target': 707114.94, 'daily_cash_vol_target': 44194.68375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6826 0.6506 10.4093 BITCOIN 1108.5059 42485.0000 2.6092 41.7467 BOBL 0.2715 119.2800 0.2276 3.6421 BTP 0.6963 119.1500 0.5844 9.3506 BUND 0.5895 137.2200 0.4296 6.8739 BUXL 1.4986 141.7200 1.0574 16.9191 CAC 45.2188 7555.0000 0.5985 9.5764 CAD 0.0030 0.7557 0.3921 6.2740 CANOLA 7.6475 653.4000 1.1704 18.7267 CHF 0.0054 1.1974 0.4483 7.1721 COCOA 40.8139 4162.0000 0.9806 15.6901 COFFEE 4.4911 186.2000 2.4120 38.5920 COPPER 0.0422 3.8915 1.0841 17.3451 CORN 4.1534 503.0000 0.8257 13.2115 COTTON2 0.9872 81.0000 1.2188 19.5005 CRUDE_W 1.1287 70.0300 1.6118 25.7889 DAX 98.7509 16913.0000 0.5839 9.3420 DOW 207.1912 37964.0000 0.5458 8.7321 DX 0.4516 101.0300 0.4470 7.1524 EUR 0.0056 1.1070 0.5047 8.0749 EURIBOR-ICE 0.0519 98.0900 0.0530 0.8473 EUROSTX 29.6219 4543.0000 0.6520 10.4325 FEEDCOW 2.3234 228.9250 1.0149 16.2388 GASOIL 13.0425 734.7500 1.7751 28.4016 GASOLINE 0.0403 2.3227 1.7350 27.7594 GAS_US_mini 0.0908 2.3400 3.8806 62.0888 GBP 0.0071 1.2740 0.5576 8.9214 GOLD_micro 15.7350 2071.8000 0.7595 12.1518 HEATOIL 0.0428 2.4769 1.7272 27.6353 JGB-SGX-mini 0.3303 146.5100 0.2254 3.6066 JPY 0.0000 0.0072 0.6688 10.7005 LEANHOG 1.1648 74.9500 1.5541 24.8657 LIVECOW 1.5445 172.1500 0.8972 14.3548 LUMBER-new 7.0892 572.5000 1.2383 19.8127 MILK 0.1737 16.3900 1.0600 16.9605 MXP 0.0004 0.0582 0.6499 10.3982 NASDAQ_micro 117.4363 17004.0000 0.6906 11.0502 NIKKEI 263.8334 33450.0000 0.7887 12.6198 NZD 0.0038 0.6322 0.5959 9.5339 OAT 0.6077 131.5100 0.4621 7.3939 OATIES 7.8626 384.5000 2.0449 32.7181 OJ 5.9795 312.5500 1.9131 30.6101 PALLAD 31.6271 1106.0000 2.8596 45.7534 PLAT 14.4748 1005.5000 1.4396 23.0330 REDWHEAT 11.1912 644.7500 1.7357 27.7719 RICE 0.1449 17.6850 0.8193 13.1083 ROBUSTA 52.4523 2841.0000 1.8463 29.5402 RUSSELL 23.7523 2045.4000 1.1613 18.5801 SHATZ 0.0900 106.5450 0.0845 1.3518 SILVER-mini 0.3612 24.3375 1.4841 23.7461 SMI 62.1454 11081.0000 0.5608 8.9733 SOFR 0.0731 96.8700 0.0754 1.2070 SOYBEAN 10.4015 1245.0000 0.8355 13.3674 SOYMEAL 4.9047 384.8000 1.2746 20.3936 SOYOIL 0.7325 48.5500 1.5087 24.1393 SP400 26.1554 2808.0000 0.9315 14.9034 SP500_micro 28.4431 4812.5000 0.5910 9.4564 SUGAR11 0.4674 20.4200 2.2888 36.6214 US10 0.4787 112.6875 0.4248 6.7974 US10U 0.6516 117.7344 0.5535 8.8557 US2 0.1358 102.9375 0.1319 2.1102 US20 0.9805 124.5000 0.7876 12.6014 US30 1.4540 133.0312 1.0930 17.4881 US5 0.3136 108.6641 0.2886 4.6170 VIX 0.4669 16.3000 2.8646 45.8340 WHEAT 9.2892 668.5000 1.3896 22.2329 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 682.65 0.65 444.12 1.00 444.12 44194.68 99.51 4.91 48.85 BITCOIN 42.48 2.61 110.85 1.00 110.85 44194.68 398.69 7.70 307.00 BOBL 1192.80 0.23 271.52 1.11 301.86 44194.68 146.41 0.87 12.70 BTP 1191.50 0.58 696.32 1.11 774.14 44194.68 57.09 7.62 43.49 BUND 1372.20 0.43 589.52 1.11 655.40 44194.68 67.43 6.24 42.09 BUXL 1417.20 1.06 1498.61 1.11 1666.08 44194.68 26.53 4.93 13.08 CAC 755.50 0.60 452.19 1.11 502.72 44194.68 87.91 8.37 73.59 CAD 755.70 0.39 296.33 1.00 296.33 44194.68 149.14 3.19 47.56 CANOLA 130.68 1.17 152.95 0.76 115.90 44194.68 381.31 -20.00 -762.62 CHF 1496.75 0.45 670.93 1.00 670.93 44194.68 65.87 -1.10 -7.22 COCOA 416.20 0.98 408.14 1.00 408.14 44194.68 108.28 13.93 150.79 COFFEE 698.25 2.41 1684.18 1.00 1684.18 44194.68 26.24 1.24 3.24 COPPER 972.88 1.08 1054.66 1.00 1054.66 44194.68 41.90 1.49 6.25 CORN 251.50 0.83 207.67 1.00 207.67 44194.68 212.81 -20.00 -425.63 COTTON2 405.00 1.22 493.61 1.00 493.61 44194.68 89.53 -14.81 -132.63 CRUDE_W 700.30 1.61 1128.75 1.00 1128.75 44194.68 39.15 3.65 14.31 DAX 169.13 0.58 98.75 1.11 109.79 44194.68 402.55 16.10 648.25 DOW 189.82 0.55 103.60 1.00 103.60 44194.68 426.61 5.68 242.15 DX 1010.30 0.45 451.63 1.00 451.63 44194.68 97.86 -9.05 -88.58 EUR 1383.81 0.50 698.39 1.00 698.39 44194.68 63.28 1.04 6.60 EURIBOR-ICE 2452.25 0.05 129.87 1.11 144.38 44194.68 306.10 12.23 374.49 EUROSTX 454.30 0.65 296.22 1.11 329.32 44194.68 134.20 12.96 173.91 FEEDCOW 1144.62 1.01 1161.71 1.00 1161.71 44194.68 38.04 -7.61 -28.95 GASOIL 734.75 1.78 1304.25 1.00 1304.25 44194.68 33.89 2.91 9.86 GASOLINE 975.53 1.73 1692.51 1.00 1692.51 44194.68 26.11 -2.33 -6.07 GAS_US_mini 58.50 3.88 227.01 1.00 227.01 44194.68 194.68 -8.19 -159.42 GBP 796.25 0.56 443.98 1.00 443.98 44194.68 99.54 2.67 26.60 GOLD_micro 207.18 0.76 157.35 1.00 157.35 44194.68 280.87 -4.34 -121.79 HEATOIL 1040.30 1.73 1796.81 1.00 1796.81 44194.68 24.60 -1.64 -4.03 JGB-SGX-mini 146510.00 0.23 33025.37 0.01 234.14 44194.68 188.76 7.65 144.41 JPY 897.06 0.67 599.94 1.00 599.94 44194.68 73.67 0.86 6.36 LEANHOG 299.80 1.55 465.92 1.00 465.92 44194.68 94.85 -3.01 -28.54 LIVECOW 688.60 0.90 617.79 1.00 617.79 44194.68 71.54 -9.56 -68.38 LUMBER-new 157.44 1.24 194.95 1.00 194.95 44194.68 226.69 -1.74 -39.33 MILK 327.80 1.06 347.48 1.00 347.48 44194.68 127.19 -20.00 -254.37 MXP 291.20 0.65 189.25 1.00 189.25 44194.68 233.53 13.43 313.53 NASDAQ_micro 340.08 0.69 234.87 1.00 234.87 44194.68 188.16 4.71 88.60 NIKKEI 33450.00 0.79 26383.34 0.01 187.05 44194.68 236.28 5.60 132.41 NZD 632.25 0.60 376.74 1.00 376.74 44194.68 117.31 8.29 97.20 OAT 1315.10 0.46 607.73 1.11 675.65 44194.68 65.41 10.16 66.45 OATIES 192.25 2.04 393.13 1.00 393.13 44194.68 112.42 -10.20 -114.71 OJ 468.82 1.91 896.92 1.00 896.92 44194.68 49.27 -0.36 -1.79 PALLAD 1106.00 2.86 3162.71 1.00 3162.71 44194.68 13.97 3.38 4.73 PLAT 502.75 1.44 723.74 1.00 723.74 44194.68 61.06 10.91 66.60 REDWHEAT 322.38 1.74 559.56 1.00 559.56 44194.68 78.98 -16.31 -128.85 RICE 353.70 0.82 289.77 1.00 289.77 44194.68 152.51 3.11 47.47 ROBUSTA 284.10 1.85 524.52 1.00 524.52 44194.68 84.26 8.98 75.66 RUSSELL 102.27 1.16 118.76 1.00 118.76 44194.68 372.13 0.75 27.74 SHATZ 1065.45 0.08 90.01 1.11 100.07 44194.68 441.62 -1.81 -79.74 SILVER-mini 608.44 1.48 903.00 1.00 903.00 44194.68 48.94 -3.28 -16.08 SMI 1108.10 0.56 621.45 1.19 739.78 44194.68 59.74 7.75 46.29 SOFR 2421.75 0.08 182.69 1.00 182.69 44194.68 241.91 1.28 30.92 SOYBEAN 622.50 0.84 520.08 1.00 520.08 44194.68 84.98 -11.49 -97.68 SOYMEAL 384.80 1.27 490.47 1.00 490.47 44194.68 90.11 -12.43 -112.04 SOYOIL 291.30 1.51 439.49 1.00 439.49 44194.68 100.56 -11.08 -111.46 SP400 2808.00 0.93 2615.54 1.00 2615.54 44194.68 16.90 -0.41 -0.70 SP500_micro 240.62 0.59 142.22 1.00 142.22 44194.68 310.76 3.30 102.40 SUGAR11 228.70 2.29 523.47 1.00 523.47 44194.68 84.43 -8.52 -71.96 US10 1126.88 0.42 478.74 1.00 478.74 44194.68 92.32 -1.41 -13.02 US10U 1177.34 0.55 651.64 1.00 651.64 44194.68 67.82 2.70 18.31 US2 2058.75 0.13 271.52 1.00 271.52 44194.68 162.77 -4.61 -75.01 US20 1245.00 0.79 980.55 1.00 980.55 44194.68 45.07 4.06 18.31 US30 1330.31 1.09 1454.04 1.00 1454.04 44194.68 30.39 3.04 9.24 US5 1086.64 0.29 313.57 1.00 313.57 44194.68 140.94 -3.65 -51.43 VIX 163.00 2.86 466.93 1.00 466.93 44194.68 94.65 -20.00 -189.30 WHEAT 334.25 1.39 464.46 1.00 464.46 44194.68 95.15 -13.52 -128.66 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 48.853 0.010 2.5 1.268 BITCOIN 307.003 0.043 2.5 33.245 BOBL 12.705 0.004 2.5 0.129 BTP 43.493 0.014 2.5 1.484 BUND 42.088 0.004 2.5 0.427 BUXL 13.083 0.004 2.5 0.133 CAC 73.589 0.014 2.5 2.510 CAD 47.555 0.010 2.5 1.234 CANOLA -762.621 0.010 2.5 -18.554 CHF -7.223 0.010 2.5 -0.187 COCOA 150.786 0.009 2.5 3.229 COFFEE 3.243 0.005 2.5 0.038 COPPER 6.251 0.043 2.5 0.677 CORN -425.629 0.010 2.5 -10.355 COTTON2 -132.628 0.009 2.5 -2.841 CRUDE_W 14.308 0.043 2.5 1.549 DAX 648.246 0.014 2.5 22.111 DOW 242.151 0.009 2.5 5.628 DX -88.579 0.010 2.5 -2.298 EUR 6.598 0.010 2.5 0.171 EURIBOR-ICE 374.490 0.014 2.5 12.773 EUROSTX 173.911 0.014 2.5 5.932 FEEDCOW -28.950 0.013 2.5 -0.959 GASOIL 9.862 0.017 2.5 0.428 GASOLINE -6.072 0.017 2.5 -0.263 GAS_US_mini -159.418 0.043 2.5 -17.263 GBP 26.597 0.010 2.5 0.690 GOLD_micro -121.790 0.014 2.5 -4.154 HEATOIL -4.026 0.017 2.5 -0.175 JGB-SGX-mini 144.410 0.043 2.5 15.638 JPY 6.362 0.010 2.5 0.165 LEANHOG -28.535 0.024 2.5 -1.734 LIVECOW -68.381 0.013 2.5 -2.266 LUMBER-new -39.334 0.009 2.5 -0.840 MILK -254.373 0.009 2.5 -5.448 MXP 313.528 0.059 2.5 46.018 NASDAQ_micro 88.598 0.009 2.5 2.059 NIKKEI 132.411 0.043 2.5 14.339 NZD 97.199 0.010 2.5 2.522 OAT 66.451 0.014 2.5 2.267 OATIES -114.706 0.010 2.5 -2.791 OJ -1.790 0.009 2.5 -0.038 PALLAD 4.726 0.014 2.5 0.161 PLAT 66.599 0.014 2.5 2.272 REDWHEAT -128.851 0.005 2.5 -1.709 RICE 47.468 0.010 2.5 1.155 ROBUSTA 75.659 0.005 2.5 0.884 RUSSELL 27.738 0.013 2.5 0.919 SHATZ -79.744 0.004 2.5 -0.809 SILVER-mini -16.077 0.014 2.5 -0.548 SMI 46.287 0.014 2.5 1.579 SOFR 30.916 0.024 2.5 1.879 SOYBEAN -97.678 0.004 2.5 -0.908 SOYMEAL -112.038 0.004 2.5 -1.042 SOYOIL -111.461 0.004 2.5 -1.038 SP400 -0.696 0.013 2.5 -0.023 SP500_micro 102.400 0.009 2.5 2.380 SUGAR11 -71.961 0.009 2.5 -1.530 US10 -13.016 0.005 2.5 -0.165 US10U 18.310 0.005 2.5 0.232 US2 -75.005 0.005 2.5 -0.950 US20 18.309 0.005 2.5 0.232 US30 9.242 0.005 2.5 0.117 US5 -51.435 0.005 2.5 -0.652 VIX -189.297 0.099 2.5 -46.727 WHEAT -128.656 0.005 2.5 -1.707 ===================== Position diags ===================== AUD 2.58 BITCOIN 43.17 BOBL 1.48 BTP 1.95 BUND 0.68 BUXL 0.27 CAC 3.00 CAD 3.87 CANOLA 9.28 CHF 1.71 COCOA 2.32 COFFEE 0.31 COPPER 4.54 CORN 5.18 COTTON2 1.92 CRUDE_W 4.24 DAX 13.73 DOW 9.91 DX 2.54 EUR 1.64 EURIBOR-ICE 10.44 EUROSTX 4.58 FEEDCOW 1.26 GASOIL 1.47 GASOLINE 1.13 GAS_US_mini 21.08 GBP 2.58 GOLD_micro 9.58 HEATOIL 1.07 JGB-SGX-mini 20.44 JPY 1.91 LEANHOG 5.76 LIVECOW 2.37 LUMBER-new 4.84 MILK 2.72 MXP 34.28 NASDAQ_micro 4.37 NIKKEI 25.59 NZD 3.04 OAT 2.23 OATIES 2.74 OJ 1.06 PALLAD 0.48 PLAT 2.08 REDWHEAT 1.05 RICE 3.71 ROBUSTA 0.98 RUSSELL 12.33 SHATZ 4.48 SILVER-mini 1.67 SMI 2.04 SOFR 14.70 SOYBEAN 0.79 SOYMEAL 0.84 SOYOIL 0.94 SP400 0.56 SP500_micro 7.22 SUGAR11 1.80 US10 1.17 US10U 0.86 US2 2.06 US20 0.57 US30 0.39 US5 1.79 VIX 23.36 WHEAT 1.26 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.3 1.0 1.5 2.0 2 BITCOIN 33.2 28.9 37.6 49.0 49 BOBL 0.1 -0.0 0.3 0.0 0 BTP 1.5 1.3 1.7 3.0 3 BUND 0.4 0.4 0.5 0.0 0 BUXL 0.1 0.1 0.2 2.0 2 CAC 2.5 2.2 2.8 0.0 0 CAD 1.2 0.8 1.6 2.0 2 CANOLA -18.6 -19.5 -17.6 -6.0 -6 CHF -0.2 -0.4 -0.0 -4.0 -4 COCOA 3.2 3.0 3.5 6.0 6 COFFEE 0.0 0.0 0.1 1.0 1 COPPER 0.7 0.2 1.1 4.0 4 CORN -10.4 -10.9 -9.8 -6.0 -6 COTTON2 -2.8 -3.0 -2.6 -4.0 -4 CRUDE_W 1.5 1.1 2.0 2.0 2 DAX 22.1 20.7 23.5 0.0 0 DOW 5.6 4.6 6.6 0.0 0 DX -2.3 -2.6 -2.0 NaN 0 EUR 0.2 0.0 0.3 3.0 3 EURIBOR-ICE 12.8 11.7 13.8 8.0 8 EUROSTX 5.9 5.5 6.4 16.0 16 FEEDCOW -1.0 -1.1 -0.8 -1.0 -1 GASOIL 0.4 0.3 0.6 0.0 0 GASOLINE -0.3 -0.4 -0.2 0.0 0 GAS_US_mini -17.3 -19.4 -15.2 -23.0 -23 GBP 0.7 0.4 0.9 1.0 1 GOLD_micro -4.2 -5.1 -3.2 -17.0 -17 HEATOIL -0.2 -0.3 -0.1 0.0 0 JGB-SGX-mini 15.6 13.6 17.7 9.0 9 JPY 0.2 -0.0 0.4 0.0 0 LEANHOG -1.7 -2.3 -1.2 0.0 0 LIVECOW -2.3 -2.5 -2.0 0.0 0 LUMBER-new -0.8 -1.3 -0.4 NaN 0 MILK -5.4 -5.7 -5.2 NaN 0 MXP 46.0 42.6 49.4 41.0 41 NASDAQ_micro 2.1 1.6 2.5 5.0 5 NIKKEI 14.3 11.8 16.9 14.0 14 NZD 2.5 2.2 2.8 3.0 3 OAT 2.3 2.0 2.5 0.0 0 OATIES -2.8 -3.1 -2.5 NaN 0 OJ -0.0 -0.1 0.1 NaN 0 PALLAD 0.2 0.1 0.2 0.0 0 PLAT 2.3 2.1 2.5 1.0 1 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE 1.2 0.8 1.5 NaN 0 ROBUSTA 0.9 0.8 1.0 1.0 1 RUSSELL 0.9 -0.3 2.2 0.0 0 SHATZ -0.8 -1.3 -0.4 NaN 0 SILVER-mini -0.5 -0.7 -0.4 NaN 0 SMI 1.6 1.4 1.8 9.0 9 SOFR 1.9 0.4 3.3 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -2.0 -2 SOYMEAL -1.0 -1.1 -1.0 -1.0 -1 SOYOIL -1.0 -1.1 -0.9 -3.0 -3 SP400 -0.0 -0.1 0.0 2.0 2 SP500_micro 2.4 1.7 3.1 0.0 0 SUGAR11 -1.5 -1.7 -1.4 -1.0 -1 US10 -0.2 -0.3 -0.0 -9.0 -9 US10U 0.2 0.1 0.3 0.0 0 US2 -1.0 -1.2 -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 -0.7 -0.8 -0.5 0.0 0 VIX -46.7 -49.1 -44.4 -16.0 -16 WHEAT -1.7 -1.8 -1.6 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.7 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.9 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 0.1 -0.2 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 0.1 0.1 -0.0 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.5 -0.4 -0.2 0.2 BITCOIN -0.2 0.4 0.6 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.5 -0.0 0.7 0.1 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 0.0 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 0.0 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.2 -0.3 -0.2 0.2 0.1 0.1 -0.1 0.2 1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.8 -0.1 0.1 0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP 0.5 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.2 -1.1 0.0 -0.0 0.1 0.0 0.0 0.1 0.7 -0.2 0.1 0.3 0.3 -0.4 -0.7 0.3 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 0.1 -0.1 0.2 0.8 0.0 -0.0 0.0 0.0 -0.0 0.0 0.4 -0.2 0.1 0.1 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 0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.2 -0.4 0.2 0.3 0.2 -0.7 -0.7 -0.2 0.3 CAC 0.5 0.6 0.0 0.1 0.0 0.1 0.0 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 0.0 -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 -0.0 0.2 -0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 -0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 -0.1 0.4 -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 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.5 -0.4 -0.6 -0.5 -0.4 -0.2 0.0 CHF 0.6 0.6 0.1 0.1 0.0 0.1 0.0 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 0.2 0.2 -1.2 0.1 0.1 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.5 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.0 0.5 0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.5 0.1 0.7 0.2 0.2 0.2 0.0 0.1 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.3 0.0 0.4 0.1 0.4 0.3 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 -0.1 0.1 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.1 -2.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.6 0.2 0.6 0.6 0.6 -0.7 -0.7 -0.6 -0.4 COPPER 0.2 0.6 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -1.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 -0.0 0.2 0.5 0.1 -0.2 -0.4 0.2 -0.3 CORN -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.1 -0.2 -0.2 -0.3 -0.1 -0.2 -0.5 -0.3 -0.3 0.2 -0.2 -0.3 0.1 0.1 COTTON2 0.2 -0.2 -0.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -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 0.3 0.4 -0.4 -0.4 -0.6 -0.5 -0.1 0.1 CRUDE_W 0.0 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.2 -0.0 0.3 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.1 0.2 -0.1 -0.6 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.4 -0.1 0.1 0.3 0.5 0.7 0.4 0.7 0.5 DAX 0.4 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.7 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 -0.2 0.4 0.2 0.2 0.2 0.6 0.5 DOW 0.6 0.6 0.4 0.1 0.0 0.1 0.0 0.0 0.1 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 0.3 0.2 -1.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 -0.1 0.5 0.6 0.3 -0.3 -0.1 -0.4 -0.2 DX -0.4 -0.6 -0.3 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 0.3 0.5 0.1 0.0 0.0 0.1 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 -0.0 0.1 1.3 0.0 0.0 0.0 0.0 -0.0 0.1 -0.4 -0.0 -0.2 -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 0.0 0.2 0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.0 0.3 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.3 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.4 0.1 0.7 0.2 0.2 0.2 -0.0 0.0 -0.0 0.2 0.2 0.0 0.4 0.2 0.4 0.1 -0.0 0.1 0.0 0.1 0.1 0.4 -0.5 -0.3 -0.1 0.2 0.1 0.2 0.3 0.5 FEEDCOW 0.6 -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 -0.4 -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 0.3 -0.5 -0.5 0.4 0.1 0.7 0.3 GASOIL 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 0.2 0.4 0.3 0.4 -0.1 -0.0 -0.1 0.2 -0.1 1.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.5 0.2 0.2 0.2 0.2 -0.3 -0.1 -0.6 -0.2 GASOLINE 0.2 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -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 0.1 0.3 0.6 -0.1 0.7 0.4 0.7 0.3 GAS_US_mini -0.0 -0.6 0.1 -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 0.5 -0.0 -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 0.1 0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.3 -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 0.2 0.1 0.2 0.1 0.1 -0.3 -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 0.1 0.0 0.2 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 -0.0 -0.0 -0.1 0.2 -0.0 0.8 0.2 0.1 0.2 0.0 0.5 0.0 0.4 -0.2 JGB-SGX-mini 0.3 0.6 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.3 0.3 0.1 0.0 0.0 0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.0 -0.4 -0.0 -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 -0.1 0.3 -0.1 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.1 -0.3 -0.3 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.4 0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.4 -0.0 0.2 -0.1 -0.0 -0.3 -0.2 0.3 0.4 LIVECOW 0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -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 -0.1 -0.6 -0.5 0.2 -0.2 0.3 -0.0 LUMBER-new 0.5 0.7 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.0 -0.1 0.2 -0.7 0.2 0.2 -0.2 -0.3 -0.3 -0.3 0.3 0.1 0.2 -0.2 0.3 NaN 0.1 0.0 0.1 0.1 -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 -0.6 -0.0 -0.1 -0.1 -0.1 -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 0.4 0.5 -0.1 0.1 0.0 0.1 0.0 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 0.3 0.1 1.1 0.0 -0.2 -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 0.2 0.1 -0.3 0.0 0.1 0.2 0.2 0.4 -0.2 0.4 -0.3 NIKKEI 0.0 0.3 -0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.2 0.3 0.2 0.1 0.2 0.1 0.5 0.1 -1.8 0.1 0.0 0.2 0.1 0.4 0.1 1.1 0.4 -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 0.1 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 0.0 0.0 0.1 0.2 0.0 0.0 0.1 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 0.2 0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 -0.0 0.2 1.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.7 -0.2 0.2 0.2 0.3 -0.6 -0.7 0.0 0.2 OATIES 0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.0 -0.1 -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 0.2 0.4 0.7 OJ -0.6 -0.6 -0.3 -0.0 -0.1 -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 -0.1 1.1 -0.5 -0.6 -0.2 0.6 0.3 0.4 0.7 0.7 PALLAD 0.6 0.6 0.4 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 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 -0.1 0.5 -0.1 -0.3 -0.1 -0.2 0.1 -0.1 PLAT 0.6 0.5 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -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 0.0 0.0 0.1 -0.0 0.1 0.2 0.3 0.6 0.1 0.1 -0.2 -0.3 0.5 -0.1 REDWHEAT 0.2 0.4 -0.4 -0.0 -0.1 -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 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.2 -0.4 -0.7 -0.7 -0.7 -0.5 RICE -0.0 0.4 0.3 -0.0 -0.1 -0.2 -0.1 -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 0.4 0.1 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.3 0.6 0.6 -0.1 -0.4 0.3 -0.1 ROBUSTA 0.4 0.5 -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 0.1 0.3 0.2 -2.3 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 0.3 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL 0.6 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 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 -0.0 0.0 0.5 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 0.0 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 -0.2 0.4 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.1 0.0 0.1 -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 -0.4 -0.0 -0.1 -0.7 -0.7 0.1 -0.5 SMI 0.5 0.6 -0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 -0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.2 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 -0.1 -0.5 -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 0.1 0.1 -0.1 0.2 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.2 0.0 0.1 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.3 -0.2 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.1 0.2 -0.2 0.2 -0.2 -0.1 0.3 0.3 0.3 0.3 -0.1 -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 -0.5 0.1 0.3 -0.7 -0.7 -0.7 -0.6 SOYMEAL -0.6 -0.4 0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -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 -0.1 0.1 -0.1 1.1 -0.2 -0.6 -0.3 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 -0.1 0.2 0.0 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 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 -1.3 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 -0.1 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 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.1 0.0 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 -0.1 -0.1 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 -0.1 0.1 -0.2 -2.6 -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 -0.4 0.2 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 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.0 -0.2 -0.1 0.1 -0.5 -0.7 -0.4 -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 -0.1 0.1 -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 0.1 -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 -0.1 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 -0.2 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.1 -0.8 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 0.2 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -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 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.8 0.0 0.3 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 15.1 20.0 12.5 4.3 1.2 2.6 3.5 1.5 4.8 8.1 0.8 13.7 -6.9 15.1 13.5 -2.2 -2.9 -2.6 -2.8 16.4 6.0 16.9 -3.3 20.0 2.9 4.9 1.5 1.9 4.8 -0.7 6.2 -1.0 1.3 2.1 -0.2 3.2 -15.0 -12.1 -5.9 5.5 BITCOIN -6.4 11.5 20.0 3.5 -2.0 1.3 3.8 0.5 4.9 -16.4 20.0 -0.6 18.2 13.8 20.0 -9.7 -6.3 -9.1 -7.9 20.0 20.0 0.2 17.2 16.8 -20.0 8.2 -0.2 7.2 2.5 4.5 5.8 -2.1 0.3 20.0 20.0 20.0 -5.5 14.1 2.2 20.0 BOBL 20.0 20.0 20.0 2.3 0.7 0.7 2.1 -0.7 2.9 2.1 3.8 7.2 -3.1 8.8 8.6 -20.0 -8.1 -17.4 -11.8 16.4 7.9 12.7 -1.9 18.9 8.4 3.0 -0.0 1.5 2.0 -0.1 3.4 -14.6 -4.3 1.9 0.9 6.8 -16.9 -20.0 -3.8 -17.9 BTP 16.3 20.0 13.6 3.6 1.2 1.1 3.2 -1.1 4.4 -3.3 9.0 9.1 6.4 13.0 13.2 5.0 7.2 6.0 6.3 20.0 13.3 15.0 2.8 20.0 -8.5 4.6 -0.9 2.5 2.3 0.7 4.9 13.8 -8.0 3.4 9.9 9.7 -13.2 -20.0 7.5 4.3 BUND 20.0 20.0 18.6 2.6 0.8 0.8 2.3 -0.8 3.1 -1.0 4.6 7.3 -3.5 9.5 9.3 4.5 4.2 1.8 2.0 17.7 8.2 11.9 -2.3 20.0 5.7 3.2 -0.9 1.5 1.5 -0.1 3.4 7.4 -9.9 3.1 4.1 7.3 -18.7 -20.0 -6.0 -6.1 BUXL 20.0 20.0 19.4 3.0 1.0 0.9 2.7 -0.9 3.7 -4.2 4.5 8.3 -6.3 10.9 10.2 0.2 0.7 0.3 0.5 19.7 7.6 11.8 -4.9 20.0 1.0 3.6 -1.4 1.4 1.2 -0.5 3.7 3.4 -15.9 6.5 9.1 6.0 -20.0 -20.0 -5.9 10.2 CAC 16.3 20.0 0.2 6.7 1.1 3.5 4.0 1.5 7.0 -18.5 13.6 15.2 20.0 20.0 20.0 -9.7 -4.2 -7.9 -6.5 20.0 17.3 8.7 14.1 20.0 -8.5 7.4 -1.5 3.8 1.8 2.5 7.2 0.9 -20.0 -0.8 -5.8 0.3 10.3 7.2 20.0 13.1 CAD 20.0 20.0 2.2 6.4 1.8 3.9 5.1 2.3 7.1 11.4 -1.8 19.7 -8.2 20.0 17.0 -1.9 -2.2 -2.2 -2.3 20.0 5.3 20.0 -5.3 20.0 2.5 6.1 1.5 1.2 7.3 -1.5 9.6 0.0 -2.7 13.5 -1.6 -5.3 -19.2 -18.9 -0.0 -14.6 CANOLA -9.9 -9.6 -20.0 -1.9 -4.1 -2.7 -2.8 -3.4 -1.9 -6.2 -5.9 -8.1 -5.4 -8.9 -9.6 -12.0 -0.1 -10.9 -6.9 -12.6 -11.5 -6.4 -8.9 -10.3 -20.0 -3.7 -2.7 -3.3 -3.6 -2.8 -3.7 -2.3 -6.2 -16.6 -13.4 -20.0 -15.3 -11.4 -5.3 0.5 CHF 17.0 20.0 3.1 5.7 1.6 3.5 4.6 2.0 6.3 18.0 4.5 20.0 9.4 20.0 18.2 -16.1 -15.4 -16.6 -16.2 20.0 12.3 20.0 5.8 20.0 -9.1 6.4 7.7 2.8 10.7 1.1 9.8 -20.0 20.0 20.0 14.0 -4.4 -20.0 -20.0 -20.0 -20.0 COCOA 0.6 14.2 20.0 -5.0 -10.7 -6.9 -7.2 -8.9 -4.9 -16.7 20.0 12.6 20.0 20.0 20.0 11.8 1.1 7.4 3.6 20.0 20.0 1.9 20.0 20.0 -20.0 9.4 -2.9 11.0 1.0 11.2 5.6 6.8 11.7 20.0 20.0 20.0 18.2 0.1 20.0 19.2 COFFEE 6.6 14.8 20.0 -2.6 -5.5 -3.5 -3.7 -4.6 -2.5 -6.6 5.3 5.3 -3.4 8.9 11.0 8.8 4.3 8.0 5.7 12.6 7.7 5.6 1.3 11.8 -16.9 4.5 -1.4 3.1 1.5 1.2 3.8 11.5 9.0 20.0 20.0 20.0 -20.0 -20.0 -18.0 -11.5 COPPER 7.3 18.4 4.5 2.8 -1.6 1.0 3.0 0.4 3.9 0.5 -0.8 12.2 -3.0 14.8 13.0 -4.5 -4.4 -5.7 -5.5 10.6 3.2 8.0 -3.1 12.5 -7.7 5.1 -0.4 2.0 3.9 -0.7 5.9 1.4 -1.8 7.3 15.7 2.9 -7.0 -10.6 6.6 -8.2 CORN -3.5 -0.8 -6.6 -4.9 -10.4 -6.8 -7.1 -8.7 -4.7 -12.8 -20.0 -14.1 -20.0 -15.8 -16.8 -9.5 -1.5 -8.0 -6.0 -10.4 -19.0 -8.2 -20.0 -8.8 -20.0 -6.9 -14.3 -6.3 -16.0 -9.4 -11.8 -3.2 -20.0 -8.9 -9.0 7.2 -6.1 -10.1 3.7 3.1 COTTON2 4.8 -6.2 -14.6 -3.9 -8.2 -5.3 -5.6 -6.9 -3.7 16.8 -11.2 -0.2 -9.0 -1.2 -13.3 -8.1 -0.4 -6.8 -4.3 -11.4 -12.0 4.8 -8.9 -3.1 -20.0 -4.8 3.2 -4.7 1.9 -2.1 -1.3 -0.7 12.3 12.4 -13.7 -10.9 -17.4 -14.1 -4.3 1.6 CRUDE_W 0.6 -14.7 -8.4 -4.9 -7.2 -1.9 -5.1 1.4 -4.8 -16.6 5.8 -2.2 7.1 -8.4 -11.7 6.2 9.7 8.0 9.2 -7.0 1.3 -8.5 8.7 -7.3 -4.5 -4.2 -11.4 0.9 -9.1 5.5 -6.4 -7.6 -4.6 2.7 8.8 15.8 20.0 13.4 20.0 14.0 DAX 10.8 20.0 5.4 6.3 1.1 3.3 3.8 1.4 6.6 5.8 13.3 12.2 18.2 20.0 20.0 -14.9 -9.2 -12.5 -10.9 20.0 20.0 11.1 12.7 20.0 19.6 6.9 -0.1 3.7 1.6 1.7 6.0 -7.2 -19.1 -5.2 13.7 6.5 7.3 4.9 17.8 16.1 DOW 20.0 20.0 11.7 5.0 0.9 2.6 3.0 1.1 5.2 14.8 14.6 18.6 14.6 19.9 19.1 -11.2 -9.2 -10.8 -10.4 20.0 20.0 20.0 12.8 20.0 -12.8 6.3 1.0 3.8 3.7 2.2 6.4 -6.9 -2.1 14.9 19.6 10.0 -9.3 -4.1 -10.9 -6.5 DX -13.8 -20.0 -8.1 3.2 0.9 2.0 2.6 1.1 3.6 -6.4 0.9 -10.1 -4.1 -10.9 -9.3 4.9 6.0 6.0 6.2 -11.5 -4.0 -13.0 1.2 -15.1 -20.0 -3.3 -1.4 -1.0 -3.5 0.8 -4.3 14.5 -20.0 -20.0 -20.0 -10.5 13.3 4.4 17.7 12.7 EUR 7.9 16.3 4.3 3.9 1.1 2.4 3.2 1.4 4.4 4.6 -0.9 10.8 5.3 11.8 10.5 -5.4 -6.7 -5.9 -6.3 9.3 3.4 11.5 -0.5 12.6 9.9 3.6 1.0 1.3 4.0 -0.3 4.8 -7.2 -1.7 -6.2 -4.1 -5.9 -17.3 -12.4 -14.8 -5.9 EURIBOR-ICE 20.0 20.0 20.0 2.1 0.7 0.7 1.9 -0.7 2.6 4.4 6.1 7.4 0.2 8.3 8.5 -1.0 -6.0 -3.0 -4.8 20.0 13.1 16.1 2.3 20.0 16.8 3.0 0.6 1.8 2.3 0.4 3.2 -7.6 1.4 8.1 8.0 15.8 -20.0 -20.0 7.3 20.0 EUROSTX 9.5 20.0 5.3 6.4 1.1 3.3 3.9 1.4 6.7 -20.0 14.4 10.5 19.9 20.0 20.0 7.8 -1.4 0.9 -1.5 20.0 20.0 5.2 16.4 20.0 3.4 7.3 -2.0 4.5 0.5 2.8 5.8 7.0 -20.0 -9.9 -1.8 7.6 3.6 7.3 9.9 15.2 FEEDCOW 17.2 -19.0 -20.0 -2.2 -4.6 -3.0 -3.1 -3.8 -2.1 -4.2 -6.9 8.6 -0.6 -2.6 -7.8 -20.0 -20.0 -14.7 -17.9 -12.6 -12.2 3.4 -2.9 -2.4 -1.5 -2.7 -0.2 -2.2 0.6 0.7 -0.5 -20.0 8.0 7.8 -14.6 -16.6 12.1 2.7 20.0 10.3 GASOIL 1.1 -18.3 -14.4 -4.0 -5.9 -1.5 -4.2 1.2 -3.9 -12.9 5.1 0.7 6.1 -5.6 -10.8 11.4 20.0 15.6 18.7 -8.7 -0.7 -6.7 8.4 -7.0 8.2 -3.4 -5.9 0.2 -3.4 3.4 -3.3 9.8 9.3 5.7 4.7 6.9 -8.5 -1.9 -18.2 -7.5 GASOLINE 6.2 -8.0 -20.0 -4.6 -6.7 -1.8 -4.8 1.3 -4.5 -14.6 -0.3 4.7 4.4 0.7 -11.8 -20.0 18.1 -15.5 5.6 -6.7 -3.9 -2.1 4.8 -2.3 -20.0 -3.9 -7.0 -1.4 -5.4 4.4 -3.5 1.1 2.8 8.4 17.2 -2.8 20.0 11.8 20.0 9.5 GAS_US_mini -1.4 -20.0 3.5 -3.0 -4.4 -1.1 -3.1 0.9 -2.9 7.5 -11.5 -1.4 -13.1 -9.7 -11.0 20.0 -20.0 -13.0 -20.0 -20.0 -19.5 -1.8 -20.0 -13.0 16.8 -3.9 1.1 -3.1 0.2 -2.1 -2.4 -20.0 18.9 -0.0 -13.3 -6.4 -17.1 4.5 -20.0 0.3 GBP 3.2 17.9 0.7 4.3 1.2 2.6 3.4 1.5 4.8 3.7 -0.7 8.7 7.9 13.1 11.6 -0.1 -0.7 -0.4 -0.5 10.2 5.1 7.5 1.9 11.0 1.5 4.0 0.5 1.8 2.5 0.1 4.2 2.9 -12.1 -11.7 -3.2 -9.4 -12.9 1.0 -9.6 14.3 GOLD_micro 0.8 13.3 10.5 2.3 -1.3 0.8 2.5 0.3 3.2 5.6 6.0 10.0 5.8 9.8 11.9 -12.5 -13.9 -13.8 -14.4 11.5 7.3 10.9 3.6 12.2 -5.1 4.0 0.4 2.8 2.6 1.7 3.7 -14.5 2.5 0.8 4.7 8.8 -17.8 -20.0 -15.0 -20.0 HEATOIL 0.2 -17.5 -16.9 -4.2 -6.2 -1.6 -4.4 1.2 -4.2 -13.2 3.4 -2.8 4.5 -8.6 -12.6 18.9 20.0 20.0 20.0 -10.9 -2.9 -8.6 6.7 -9.6 -19.8 -4.1 -5.4 -0.2 -4.7 4.5 -4.3 14.6 7.4 2.9 4.9 1.4 14.2 0.0 11.0 -5.4 JGB-SGX-mini 8.1 20.0 1.5 1.8 0.6 0.6 1.6 -0.6 2.2 3.2 1.5 5.7 2.8 6.4 5.8 7.0 18.6 12.9 15.0 6.0 2.7 4.8 0.9 7.0 -2.0 1.8 0.3 0.6 1.4 -0.2 2.1 20.0 1.5 -11.2 -1.5 -2.3 1.9 -20.0 11.8 18.4 JPY 20.0 20.0 20.0 2.6 0.8 1.6 2.1 0.9 2.9 8.3 -5.3 8.9 -8.2 8.8 5.9 -13.9 -16.1 -16.3 -16.8 6.5 -2.3 8.9 -9.6 10.6 20.0 2.1 1.8 -0.8 3.1 -3.0 3.7 -20.0 -5.6 8.6 -2.9 -7.1 -8.8 -20.0 -3.1 -20.0 LEANHOG 2.2 -7.8 -9.5 -3.1 -6.6 -4.3 -4.5 -5.5 -3.0 -14.0 -4.1 -7.4 -9.6 -8.7 -10.9 -20.0 4.7 -20.0 -3.4 -10.6 -12.1 -8.4 -14.4 -8.2 15.0 -2.5 -2.8 -5.2 -1.2 -9.1 -1.0 8.3 -0.6 6.4 -2.7 -0.6 -10.2 -7.4 8.2 11.3 LIVECOW 6.8 -20.0 -20.0 -2.5 -5.3 -3.4 -3.6 -4.4 -2.4 -8.1 -6.9 6.0 0.4 -6.1 -9.1 -9.1 -5.0 -9.2 -7.7 -16.2 -12.9 -1.2 -2.3 -8.2 0.1 -3.8 -1.2 -2.4 -1.3 1.0 -2.3 -6.4 -0.6 -4.2 -20.0 -14.4 5.2 -7.4 10.2 -1.2 LUMBER-new 12.7 18.5 8.8 -5.5 -11.6 -7.3 -7.9 -8.1 -5.3 -4.1 -3.5 13.3 -19.0 18.5 20.0 -9.0 -14.0 -12.6 -13.6 20.0 6.6 15.0 -7.1 20.0 NaN 7.7 3.3 2.9 9.2 -0.6 10.6 -20.0 20.0 20.0 20.0 20.0 -17.5 -20.0 -10.5 -18.9 MILK -20.0 -20.0 -17.5 -3.7 -7.9 -5.1 -5.3 -6.6 -3.6 -7.6 -17.7 -16.7 -17.6 -18.6 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 10.8 -6.9 -2.5 -6.0 -5.6 -6.2 -7.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.1 16.3 -2.0 5.3 1.5 3.2 4.2 1.9 5.8 14.6 15.5 18.3 17.4 19.2 16.8 14.6 16.3 14.4 15.0 18.0 15.2 17.3 20.0 20.0 -20.0 5.6 2.6 4.9 5.5 7.1 6.5 20.0 0.8 -5.4 -6.3 -4.8 11.3 16.9 20.0 20.0 NASDAQ_micro 20.0 20.0 9.0 4.1 0.7 2.1 2.5 0.9 4.3 6.3 14.6 14.2 13.8 15.8 15.7 -11.5 -9.1 -10.7 -10.0 20.0 20.0 19.3 20.0 20.0 -20.0 5.3 0.1 4.2 2.9 4.2 5.2 -6.5 0.3 3.8 7.3 7.7 12.6 -6.3 13.1 -8.4 NIKKEI 0.1 8.8 -5.7 5.4 0.9 2.8 3.3 1.2 5.6 18.2 17.3 17.6 18.1 14.3 15.7 17.2 11.2 12.7 11.3 12.2 15.3 10.2 20.0 10.7 -13.6 4.9 4.2 6.4 5.2 9.7 4.9 20.0 16.2 -20.0 -20.0 -5.7 -10.8 -0.7 -9.7 3.8 NZD 14.9 20.0 14.4 4.6 1.3 2.8 3.7 1.6 5.1 12.7 3.0 15.9 1.5 17.0 15.5 0.3 0.2 0.1 0.1 20.0 9.4 19.4 -1.2 20.0 0.8 5.4 1.4 2.6 4.2 0.1 6.1 4.2 0.7 0.9 4.6 8.0 -7.3 -12.2 -4.1 5.9 OAT 20.0 20.0 18.4 2.7 0.9 0.8 2.4 -0.8 3.3 -1.8 5.7 7.5 -3.0 9.9 9.8 4.3 7.0 5.0 5.7 19.4 9.5 12.2 -1.2 20.0 8.1 3.4 -0.9 1.7 1.5 0.0 3.6 13.1 -9.7 4.9 7.2 8.8 -18.7 -20.0 0.6 6.6 OATIES 6.6 -2.8 -20.0 -1.6 -3.5 -2.3 -2.4 -2.9 -1.6 5.9 -5.6 2.7 -4.3 -0.1 -6.7 0.3 -7.5 -6.8 -9.7 -6.4 -6.9 4.1 -3.3 -1.0 -20.0 -2.3 1.2 -2.3 0.6 -1.1 -0.7 -12.7 6.2 -0.5 -10.9 -19.0 1.8 7.4 12.3 20.0 OJ -20.0 -20.0 -9.5 -2.8 -6.0 -3.9 -4.1 -5.0 -2.7 -13.1 9.6 -14.4 12.9 -11.5 0.3 6.3 20.0 15.0 18.8 -4.0 17.9 -20.0 20.0 -20.0 -20.0 0.7 -5.6 5.8 -7.2 9.1 -4.7 20.0 -20.0 -20.0 -7.1 20.0 9.9 11.7 20.0 20.0 PALLAD 20.0 18.7 12.8 1.2 -0.7 0.4 1.3 0.2 1.7 -6.7 -5.4 3.2 -7.9 3.7 0.3 -1.7 -2.3 -2.0 -2.2 0.9 -4.5 1.3 -9.0 4.9 5.9 -0.2 -0.9 -1.7 1.3 -2.2 1.6 6.1 -3.3 14.0 -4.5 -8.4 -4.3 -7.4 2.9 -1.6 PLAT 17.7 16.2 4.1 2.2 -1.2 0.8 2.4 0.3 3.1 7.9 -4.9 13.2 -5.9 14.0 9.1 -3.5 -2.9 -3.5 -3.3 10.2 1.7 17.4 -3.2 16.7 14.2 3.9 3.3 1.3 7.0 -0.1 6.5 4.7 12.3 17.9 4.6 4.0 -5.0 -9.8 14.8 -3.6 REDWHEAT 6.3 11.2 -13.3 -2.9 -6.1 -4.0 -4.2 -5.1 -2.8 9.7 -13.0 -3.1 -14.0 1.9 -8.2 -2.8 -1.3 -3.8 -3.1 -9.2 -16.1 0.7 -17.6 -2.9 -11.4 -4.6 -1.9 -6.4 -3.6 -6.0 -3.5 -0.4 -5.5 0.6 -7.1 -13.2 -20.0 -20.0 -20.0 -13.9 RICE -0.5 13.6 9.6 -4.6 -9.8 -6.3 -6.6 -8.2 -4.5 -8.3 19.1 11.4 14.7 18.2 17.4 -11.8 1.0 -13.3 -6.8 19.0 18.5 4.3 13.5 13.1 -20.0 6.1 1.2 5.5 3.2 3.8 5.0 0.4 20.0 9.8 20.0 20.0 -3.0 -13.1 10.3 -2.9 ROBUSTA 13.7 16.8 -10.5 -2.3 -4.8 -3.1 -3.3 -4.0 -2.2 -1.8 10.5 7.5 10.6 10.0 10.6 20.0 20.0 20.0 20.0 17.5 12.4 11.9 10.2 19.2 -17.3 4.0 -0.1 2.8 2.6 2.4 4.4 20.0 10.5 20.0 20.0 20.0 -11.9 -14.8 -0.0 0.4 RUSSELL 20.0 20.0 5.6 3.3 0.6 1.7 2.0 0.7 3.5 3.0 4.0 10.7 -0.5 12.6 10.3 -6.1 -6.1 -6.3 -6.4 19.4 7.7 18.2 0.2 20.0 -2.0 3.7 -0.2 1.5 2.8 0.3 4.6 -0.9 0.6 14.9 6.2 -3.6 -17.4 -15.8 -20.0 -19.0 SHATZ 20.0 20.0 20.0 2.1 0.7 0.6 1.8 -0.6 2.5 5.2 0.2 7.4 -5.4 7.9 6.8 -20.0 -20.0 -20.0 -20.0 12.2 4.4 12.1 -4.7 15.5 8.9 2.5 1.0 1.0 2.5 -0.6 3.2 -20.0 -0.6 1.6 -2.2 4.1 -13.4 -20.0 -6.2 -20.0 SILVER-mini -6.4 10.9 1.2 2.4 -1.3 0.9 2.6 0.4 3.4 -5.7 0.9 1.1 3.2 1.4 5.5 -7.0 -6.4 -7.0 -6.8 4.1 1.9 0.3 0.3 3.1 5.9 0.9 -1.2 0.8 1.0 0.7 1.0 -1.4 -2.0 -13.5 -0.9 -2.5 -19.7 -20.0 4.1 -16.1 SMI 15.1 20.0 -3.6 6.1 1.0 3.2 3.7 1.4 6.4 -4.8 -1.5 7.4 3.0 18.1 15.6 11.1 3.8 7.5 5.0 17.6 3.0 4.4 -3.8 19.4 10.4 5.8 1.2 1.6 3.1 -0.9 6.8 17.0 -20.0 -4.1 -16.6 -8.3 0.5 -6.7 4.4 -5.5 SOFR 16.2 20.0 16.4 2.4 0.7 0.7 2.1 -0.7 2.9 4.7 1.4 8.0 -1.7 9.0 8.5 1.2 -0.3 0.7 0.1 12.6 4.9 9.9 -2.1 14.3 -1.5 2.8 1.0 1.0 2.4 -0.4 3.3 1.9 -1.3 -4.8 0.3 1.8 -20.0 -20.0 -6.6 -7.3 SOYBEAN -8.4 -5.1 -1.3 -4.2 -8.9 -5.8 -6.0 -7.4 -4.0 -16.1 7.8 -15.2 6.9 -15.2 -8.9 14.5 17.3 15.2 15.1 -5.9 -0.7 -15.2 0.8 -11.9 -20.0 -0.2 -13.5 2.7 -12.5 2.6 -6.8 20.0 -20.0 -15.5 4.0 9.6 -20.0 -20.0 -20.0 -19.4 SOYMEAL -18.0 -11.6 3.5 -2.9 -6.2 -4.0 -4.2 -5.2 -2.8 -6.8 -1.0 -9.4 3.1 -12.6 -3.7 9.4 16.6 13.5 14.8 -6.9 -0.2 -9.8 3.0 -12.6 -20.0 -1.5 -4.0 1.3 -5.0 2.8 -4.7 20.0 -9.4 -18.7 -7.8 10.8 -20.0 -20.0 -20.0 -19.8 SOYOIL -4.3 -0.6 -20.0 -2.3 -4.8 -3.1 -3.3 -4.0 -2.2 -9.4 -4.3 -10.3 -4.9 -8.9 -10.7 -2.5 8.1 2.3 5.4 -9.9 -9.9 -10.2 -6.7 -8.9 -20.0 -2.2 -3.6 -2.7 -3.9 -2.0 -2.3 15.1 -6.0 -7.7 3.5 -12.8 -11.3 -0.6 -0.3 9.9 SP400 20.0 20.0 2.9 3.6 0.6 1.8 2.1 0.8 3.7 3.9 5.8 12.0 3.3 13.6 11.5 -5.0 -5.1 -5.2 -5.2 20.0 9.0 16.9 2.1 20.0 -9.8 4.0 -0.2 1.9 2.6 0.7 4.7 1.2 -2.9 10.9 5.4 -1.9 -15.4 -9.1 -20.0 -20.0 SP500_micro 19.6 20.0 5.9 5.1 0.9 2.6 3.1 1.1 5.3 11.0 14.7 17.9 14.3 19.8 19.3 -12.1 -10.1 -11.5 -11.1 20.0 20.0 20.0 15.1 20.0 -20.0 6.2 0.3 4.2 3.6 3.2 6.4 -8.2 -1.0 5.2 10.2 3.4 5.0 -6.0 7.4 -8.8 SUGAR11 -20.0 -20.0 -20.0 -1.8 -3.9 -2.5 -2.7 -3.3 -1.8 -0.5 -1.9 -7.1 6.1 -8.4 -6.7 16.0 19.8 20.0 20.0 -13.8 -4.9 -8.3 3.4 -15.8 -19.3 -2.7 -0.2 -0.9 -1.5 1.0 -3.1 20.0 -1.0 -20.0 -20.0 -5.6 0.6 -9.8 13.0 5.8 US10 17.1 20.0 20.0 2.1 0.7 0.6 1.8 -0.6 2.5 -0.7 -1.1 6.1 -3.9 7.5 6.9 -8.7 -7.2 -7.7 -7.7 9.1 1.7 6.7 -5.2 10.9 1.4 2.3 0.4 0.4 1.8 -1.1 2.8 -10.9 -4.0 -3.9 -0.1 -1.1 -20.0 -20.0 -10.5 4.6 US10U 18.9 20.0 17.6 2.8 0.9 0.9 2.5 -0.9 3.4 -1.1 -1.2 8.3 -5.2 10.2 9.0 2.8 0.4 2.0 1.0 12.7 2.1 9.6 -7.4 15.6 -1.9 3.0 0.4 0.5 2.4 -1.5 3.8 3.1 -5.9 -4.2 0.4 -2.6 -20.0 -20.0 3.2 14.9 US2 12.8 20.0 20.0 1.9 0.6 0.6 1.7 -0.6 2.3 4.6 -3.2 6.6 -5.4 7.0 6.2 -20.0 -20.0 -20.0 -20.0 7.1 0.9 6.4 -6.3 8.9 7.9 2.3 1.0 0.7 2.1 -1.2 2.8 -20.0 -0.2 -5.0 -2.6 3.1 -16.2 -20.0 -10.5 -20.0 US20 20.0 20.0 15.5 2.1 0.7 0.6 1.8 -0.6 2.5 0.7 -0.2 6.6 -3.4 7.7 6.7 -0.7 -1.3 -0.7 -1.1 10.8 2.0 9.0 -5.4 13.5 -1.9 2.2 0.5 0.3 1.9 -1.0 2.9 -0.4 -3.6 0.8 3.3 -2.1 -17.8 -20.0 17.3 20.0 US30 19.7 20.0 16.5 2.4 0.8 0.7 2.1 -0.7 2.9 -3.1 -0.2 7.2 -4.4 8.8 7.6 -5.4 -4.3 -5.0 -4.9 11.3 1.9 8.0 -6.6 13.6 -1.5 2.5 0.1 0.4 1.8 -1.3 3.1 -5.7 -8.0 -1.6 1.8 -2.9 -10.5 -18.2 20.0 20.0 US5 15.1 20.0 20.0 2.0 0.6 0.6 1.8 -0.6 2.4 1.8 -1.4 6.4 -4.1 7.5 6.9 -8.4 -10.1 -9.5 -10.4 8.7 2.1 6.8 -4.7 10.3 3.3 2.4 0.7 0.7 2.0 -0.9 2.8 -15.9 -2.8 -4.7 -1.2 1.0 -20.0 -20.0 -20.0 -12.4 VIX 2.4 -16.3 1.8 -5.0 -2.5 -6.8 -1.4 -9.3 -2.8 -16.9 -20.0 -4.9 -20.0 -15.4 -18.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.7 -20.0 -14.3 NaN -6.0 -1.7 -7.6 -1.6 -10.5 -3.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.7 12.7 -1.7 -3.6 -7.8 -5.0 -5.3 -6.5 -3.5 5.9 -15.1 8.7 -17.8 11.6 1.9 -9.5 -10.3 -10.7 -10.9 -2.1 -12.8 7.6 -20.0 5.0 -3.4 -1.9 -2.1 -5.3 -2.8 -8.2 -1.2 -15.0 0.7 9.6 0.4 0.9 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3