******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240104_204010 produced at 2024-01-04 21:36:57.717475 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.10 -46.69 17.0 -16 -17 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.11 -0.11 -0.05 -0.05 -10.61 12.0 -6 -6 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 DX False False 0.04 0.00 -0.07 0.0 999.00 -999.00 0.00 0.00 -1.91 999999999.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.55 5.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.44 24.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.17 -0.17 -0.02 -0.02 -18.99 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.11 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.04 0.0 0.41 -0.41 -0.12 -0.12 -4.80 56.0 -17 -17 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.80 11.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.33 -0.33 -0.04 -0.04 -0.89 8.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.96 -0.96 0.00 0.00 -0.70 25.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.74 0.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.15 -0.15 -0.04 -0.04 -1.13 7.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.01 -1.24 9.0 -2 -1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.16 2.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.02 -0.02 0.0 0.14 -0.14 -0.02 -0.02 -1.50 13.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.02 0.0 0.06 -0.06 -0.03 -0.03 -10.57 26.0 -13 -13 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.81 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.05 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 -2.04 9.0 -4 -4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.22 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.11 10.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -1.00 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 -1.31 18.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 -0.32 -0.01 0.0 0.68 -0.68 -0.32 -0.32 -0.25 17.0 -8 -8 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.88 -0.88 0.00 0.00 -0.26 19.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.06 -0.01 0.0 0.53 -0.53 0.06 0.00 -0.21 17.0 2 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.24 -0.24 -0.01 -0.01 -1.99 68.0 -2 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.57 3.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.03 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.12 2.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.03 3.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.17 0.00 0.0 0.21 -0.21 0.17 0.14 0.10 6.0 5 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.00 0.0 0.11 -0.11 0.00 0.00 0.07 3.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.19 0.00 0.0 0.28 -0.28 0.19 0.23 0.08 6.0 4 5 caleb_strategy_v3 EUR False False 0.05 0.15 0.00 0.0 0.68 -0.68 0.15 0.15 0.05 14.0 3 3 caleb_strategy_v3 BUXL False False 0.05 0.11 0.00 0.0 0.22 -0.22 0.11 0.05 0.04 4.0 2 1 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.00 0.0 0.69 -0.69 -0.21 -0.21 -0.09 13.0 -4 -4 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.18 13.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.11 0.01 0.0 0.27 -0.27 0.11 0.09 0.88 23.0 9 8 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.20 9.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.41 -0.41 0.00 0.00 1.17 48.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.24 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.67 23.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.02 0.0 0.46 -0.46 0.05 0.05 0.72 19.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.57 4.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.02 0.0 0.62 -0.62 0.03 0.03 0.87 22.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.05 0.02 0.0 0.77 -0.77 0.05 0.05 0.58 29.0 2 2 caleb_strategy_v3 PLAT False False 0.02 0.02 0.03 0.0 0.17 -0.17 0.02 0.00 1.86 10.0 1 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.05 12.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.04 0.0 0.46 -0.46 0.05 0.05 0.86 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.47 -0.47 0.04 0.04 1.92 21.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.44 -0.44 0.00 0.00 5.34 66.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.04 0.0 0.09 -0.09 0.07 0.07 24.62 59.0 43 43 caleb_strategy_v3 COCOA False False 0.02 0.09 0.05 0.0 0.39 -0.39 0.09 0.06 3.01 26.0 6 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.05 0.0 0.13 -0.13 0.03 0.05 1.92 5.0 1 2 caleb_strategy_v3 EUROSTX False False 0.02 0.35 0.07 0.0 0.35 -0.35 0.35 0.33 3.93 20.0 20 19 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.51 -0.51 0.00 0.00 1.54 10.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 0.10 0.0 0.00 0.00 0.00 0.00 1.14 11.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.38 -0.38 0.00 0.00 14.77 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.42 0.12 0.0 0.42 -0.42 0.42 0.42 2.46 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.13 0.0 0.30 -0.30 0.12 0.16 15.50 36.0 14 19 caleb_strategy_v3 MXP False False 0.01 0.46 0.50 0.0 0.62 -0.62 0.46 0.48 48.17 60.0 44 46 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.33 0.68 0.0 0.58 -0.58 0.33 0.33 18.57 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.10 0.89 0.0 0.95 -0.95 0.10 0.57 9.36 10.0 1 6 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.6 Shocked risk 56.9 Sum abs risk 47.1 Leverage 4.28 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2805238.79, 'annual_cash_vol_target': 701309.6975, 'daily_cash_vol_target': 43831.85609375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6719 0.6543 10.4685 BITCOIN 1186.5804 44505.0000 2.6662 42.6588 BOBL 0.2970 118.6100 0.2504 4.0064 BTP 0.7078 118.0700 0.5995 9.5916 BUND 0.6167 136.0700 0.4532 7.2519 BUXL 1.5079 138.9000 1.0856 17.3699 CAC 51.7961 7449.5000 0.6953 11.1247 CAD 0.0029 0.7496 0.3863 6.1805 CANOLA 7.4856 630.6000 1.1871 18.9929 CHF 0.0052 1.1838 0.4430 7.0876 COCOA 39.8846 4229.0000 0.9431 15.0899 COFFEE 4.3140 183.9500 2.3452 37.5232 COPPER 0.0407 3.8475 1.0584 16.9349 CORN 4.0198 499.0000 0.8056 12.8891 COTTON2 0.9902 80.1800 1.2350 19.7603 CRUDE_W 1.1657 70.4600 1.6544 26.4710 DAX 112.5668 16733.0000 0.6727 10.7636 DOW 210.5211 37806.0000 0.5568 8.9095 DX 0.4384 102.1400 0.4292 6.8672 EUR 0.0054 1.0978 0.4909 7.8549 EURIBOR-ICE 0.0588 97.9750 0.0600 0.9606 EUROSTX 32.8405 4490.0000 0.7314 11.7026 FEEDCOW 2.2144 231.2250 0.9577 15.3230 GASOIL 13.4105 747.2500 1.7946 28.7143 GASOLINE 0.0411 2.3291 1.7657 28.2520 GAS_US_mini 0.0937 2.5800 3.6300 58.0800 GBP 0.0069 1.2688 0.5416 8.6659 GOLD_micro 15.4196 2051.6000 0.7516 12.0254 HEATOIL 0.0434 2.5037 1.7335 27.7353 JGB-SGX-mini 0.3035 146.6100 0.2070 3.3122 JPY 0.0001 0.0070 0.7236 11.5776 LEANHOG 1.2842 74.9750 1.7128 27.4045 LIVECOW 1.4723 174.3250 0.8446 13.5136 LUMBER-new 7.0459 576.0000 1.2233 19.5720 MILK 0.1692 16.3200 1.0366 16.5860 MXP 0.0004 0.0580 0.6265 10.0247 NASDAQ_micro 119.8159 16505.5000 0.7259 11.6146 NIKKEI 264.1086 33315.0000 0.7928 12.6842 NZD 0.0037 0.6232 0.5893 9.4287 OAT 0.6278 130.3600 0.4816 7.7055 OATIES 7.5857 362.7500 2.0912 33.4587 OJ 6.5844 327.2000 2.0123 32.1974 PALLAD 30.6536 1045.0000 2.9334 46.9338 PLAT 14.7955 966.4000 1.5310 24.4959 REDWHEAT 10.8652 627.7500 1.7308 27.6931 RICE 0.1965 17.5750 1.1183 17.8928 ROBUSTA 51.0075 2796.0000 1.8243 29.1889 RUSSELL 25.2812 1980.3000 1.2766 20.4262 SHATZ 0.0998 106.2600 0.0940 1.5035 SILVER-mini 0.3823 23.4750 1.6284 26.0548 SMI 62.6635 11164.0000 0.5613 8.9808 SOFR 0.0734 96.7050 0.0759 1.2145 SOYBEAN 10.0653 1220.2500 0.8249 13.1976 SOYMEAL 4.7224 375.9000 1.2563 20.1005 SOYOIL 0.7079 48.5700 1.4574 23.3182 SP400 28.2525 2734.2000 1.0333 16.5328 SP500_micro 28.7127 4744.0000 0.6052 9.6839 SUGAR11 0.4491 20.7900 2.1600 34.5593 US10 0.4707 111.9688 0.4204 6.7258 US10U 0.6448 116.7344 0.5524 8.8381 US2 0.1319 102.6797 0.1284 2.0552 US20 0.9786 122.8125 0.7968 12.7493 US30 1.4401 130.7812 1.1011 17.6183 US5 0.3082 108.1172 0.2850 4.5606 VIX 0.4635 16.4000 2.8262 45.2196 WHEAT 9.0669 655.2500 1.3837 22.1397 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.90 0.65 439.61 1.00 439.61 43831.86 99.71 2.77 27.67 BITCOIN 44.50 2.67 118.66 1.00 118.66 43831.86 369.40 6.15 227.31 BOBL 1186.10 0.25 297.00 1.10 325.39 43831.86 134.70 -1.88 -25.26 BTP 1180.70 0.60 707.80 1.10 775.46 43831.86 56.52 4.46 25.19 BUND 1360.70 0.45 616.73 1.10 675.69 43831.86 64.87 3.61 23.43 BUXL 1389.00 1.09 1507.92 1.10 1652.08 43831.86 26.53 1.64 4.35 CAC 744.95 0.70 517.96 1.10 567.48 43831.86 77.24 4.00 30.92 CAD 749.60 0.39 289.56 1.00 289.56 43831.86 151.38 1.48 22.47 CANOLA 126.12 1.19 149.71 0.75 112.32 43831.86 390.22 -20.00 -780.45 CHF 1479.75 0.44 655.49 1.00 655.49 43831.86 66.87 -0.52 -3.51 COCOA 422.90 0.94 398.85 1.00 398.85 43831.86 109.90 12.77 140.33 COFFEE 689.81 2.35 1617.75 1.00 1617.75 43831.86 27.09 -0.84 -2.28 COPPER 961.88 1.06 1018.08 1.00 1018.08 43831.86 43.05 0.20 0.88 CORN 249.50 0.81 200.99 1.00 200.99 43831.86 218.08 -20.00 -436.16 COTTON2 400.90 1.24 495.12 1.00 495.12 43831.86 88.53 -14.78 -130.80 CRUDE_W 704.60 1.65 1165.72 1.00 1165.72 43831.86 37.60 4.72 17.76 DAX 167.33 0.67 112.57 1.10 123.33 43831.86 355.41 12.18 433.05 DOW 189.03 0.56 105.26 1.00 105.26 43831.86 416.41 5.52 229.72 DX 1021.40 0.43 438.38 1.00 438.38 43831.86 99.99 -7.36 -73.55 EUR 1372.25 0.49 673.68 1.00 673.68 43831.86 65.06 0.28 1.85 EURIBOR-ICE 2449.38 0.06 147.05 1.10 161.11 43831.86 272.07 10.09 274.48 EUROSTX 449.00 0.73 328.40 1.10 359.80 43831.86 121.82 9.46 115.28 FEEDCOW 1156.12 0.96 1107.21 1.00 1107.21 43831.86 39.59 -6.82 -26.98 GASOIL 747.25 1.79 1341.05 1.00 1341.05 43831.86 32.68 4.00 13.07 GASOLINE 978.22 1.77 1727.29 1.00 1727.29 43831.86 25.38 -1.99 -5.05 GAS_US_mini 64.50 3.63 234.13 1.00 234.13 43831.86 187.21 -5.22 -97.65 GBP 793.00 0.54 429.51 1.00 429.51 43831.86 102.05 3.28 33.49 GOLD_micro 205.16 0.75 154.20 1.00 154.20 43831.86 284.26 -4.96 -140.87 HEATOIL 1051.55 1.73 1822.82 1.00 1822.82 43831.86 24.05 0.63 1.52 JGB-SGX-mini 146610.00 0.21 30350.39 0.01 213.61 43831.86 205.20 8.36 171.44 JPY 874.56 0.72 632.83 1.00 632.83 43831.86 69.26 -1.18 -8.19 LEANHOG 299.90 1.71 513.66 1.00 513.66 43831.86 85.33 -2.90 -24.74 LIVECOW 697.30 0.84 588.94 1.00 588.94 43831.86 74.43 -8.56 -63.74 LUMBER-new 158.40 1.22 193.76 1.00 193.76 43831.86 226.21 -3.24 -73.31 MILK 326.40 1.04 338.35 1.00 338.35 43831.86 129.54 -20.00 -259.09 MXP 290.10 0.63 181.76 1.00 181.76 43831.86 241.15 13.61 328.19 NASDAQ_micro 330.11 0.73 239.63 1.00 239.63 43831.86 182.91 2.08 38.01 NIKKEI 33315.00 0.79 26410.86 0.01 185.88 43831.86 235.80 6.07 143.12 NZD 623.15 0.59 367.22 1.00 367.22 43831.86 119.36 6.20 73.97 OAT 1303.60 0.48 627.81 1.10 687.83 43831.86 63.73 7.08 45.14 OATIES 181.38 2.09 379.29 1.00 379.29 43831.86 115.56 -9.98 -115.30 OJ 490.80 2.01 987.65 1.00 987.65 43831.86 44.38 -0.36 -1.61 PALLAD 1045.00 2.93 3065.36 1.00 3065.36 43831.86 14.30 2.53 3.62 PLAT 483.20 1.53 739.77 1.00 739.77 43831.86 59.25 9.19 54.47 REDWHEAT 313.88 1.73 543.26 1.00 543.26 43831.86 80.68 -19.20 -154.90 RICE 351.50 1.12 393.08 1.00 393.08 43831.86 111.51 -3.68 -41.01 ROBUSTA 279.60 1.82 510.08 1.00 510.08 43831.86 85.93 6.67 57.35 RUSSELL 99.02 1.28 126.41 1.00 126.41 43831.86 346.75 -1.73 -60.06 SHATZ 1062.60 0.09 99.85 1.10 109.39 43831.86 400.68 -3.55 -142.20 SILVER-mini 586.88 1.63 955.68 1.00 955.68 43831.86 45.86 -4.73 -21.71 SMI 1116.40 0.56 626.64 1.18 736.92 43831.86 59.48 12.12 72.07 SOFR 2417.62 0.08 183.51 1.00 183.51 43831.86 238.86 0.79 18.79 SOYBEAN 610.12 0.82 503.26 1.00 503.26 43831.86 87.10 -14.01 -122.01 SOYMEAL 375.90 1.26 472.24 1.00 472.24 43831.86 92.82 -14.36 -133.28 SOYOIL 291.42 1.46 424.71 1.00 424.71 43831.86 103.20 -11.51 -118.79 SP400 2734.20 1.03 2825.25 1.00 2825.25 43831.86 15.51 -3.04 -4.71 SP500_micro 237.20 0.61 143.56 1.00 143.56 43831.86 305.31 1.65 50.25 SUGAR11 232.85 2.16 502.94 1.00 502.94 43831.86 87.15 -7.05 -61.46 US10 1119.69 0.42 470.67 1.00 470.67 43831.86 93.13 -2.08 -19.38 US10U 1167.34 0.55 644.82 1.00 644.82 43831.86 67.98 2.04 13.87 US2 2053.59 0.13 263.78 1.00 263.78 43831.86 166.17 -4.75 -78.86 US20 1228.12 0.80 978.61 1.00 978.61 43831.86 44.79 3.46 15.52 US30 1307.81 1.10 1440.09 1.00 1440.09 43831.86 30.44 2.02 6.15 US5 1081.17 0.29 308.18 1.00 308.18 43831.86 142.23 -3.89 -55.37 VIX 164.00 2.83 463.50 1.00 463.50 43831.86 94.57 -20.00 -189.13 WHEAT 327.62 1.38 453.35 1.00 453.35 43831.86 96.69 -15.90 -153.75 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 27.668 0.010 2.5 0.718 BITCOIN 227.310 0.043 2.5 24.615 BOBL -25.262 0.004 2.5 -0.256 BTP 25.188 0.014 2.5 0.859 BUND 23.432 0.004 2.5 0.238 BUXL 4.348 0.004 2.5 0.044 CAC 30.916 0.014 2.5 1.055 CAD 22.466 0.010 2.5 0.583 CANOLA -780.450 0.010 2.5 -18.988 CHF -3.507 0.010 2.5 -0.091 COCOA 140.331 0.009 2.5 3.006 COFFEE -2.277 0.005 2.5 -0.027 COPPER 0.881 0.043 2.5 0.095 CORN -436.162 0.010 2.5 -10.611 COTTON2 -130.802 0.009 2.5 -2.801 CRUDE_W 17.761 0.043 2.5 1.923 DAX 433.049 0.014 2.5 14.771 DOW 229.716 0.009 2.5 5.339 DX -73.546 0.010 2.5 -1.908 EUR 1.852 0.010 2.5 0.048 EURIBOR-ICE 274.480 0.014 2.5 9.362 EUROSTX 115.280 0.014 2.5 3.932 FEEDCOW -26.981 0.013 2.5 -0.894 GASOIL 13.075 0.017 2.5 0.567 GASOLINE -5.047 0.017 2.5 -0.219 GAS_US_mini -97.652 0.043 2.5 -10.575 GBP 33.488 0.010 2.5 0.869 GOLD_micro -140.866 0.014 2.5 -4.805 HEATOIL 1.519 0.017 2.5 0.066 JGB-SGX-mini 171.445 0.043 2.5 18.566 JPY -8.186 0.010 2.5 -0.212 LEANHOG -24.744 0.024 2.5 -1.504 LIVECOW -63.743 0.013 2.5 -2.112 LUMBER-new -73.306 0.009 2.5 -1.566 MILK -259.089 0.009 2.5 -5.549 MXP 328.187 0.059 2.5 48.170 NASDAQ_micro 38.012 0.009 2.5 0.883 NIKKEI 143.116 0.043 2.5 15.498 NZD 73.970 0.010 2.5 1.919 OAT 45.135 0.014 2.5 1.540 OATIES -115.296 0.010 2.5 -2.805 OJ -1.608 0.009 2.5 -0.034 PALLAD 3.616 0.014 2.5 0.123 PLAT 54.473 0.014 2.5 1.858 REDWHEAT -154.903 0.005 2.5 -2.055 RICE -41.005 0.010 2.5 -0.998 ROBUSTA 57.351 0.005 2.5 0.670 RUSSELL -60.064 0.013 2.5 -1.990 SHATZ -142.200 0.004 2.5 -1.442 SILVER-mini -21.709 0.014 2.5 -0.740 SMI 72.067 0.014 2.5 2.458 SOFR 18.792 0.024 2.5 1.142 SOYBEAN -122.014 0.004 2.5 -1.135 SOYMEAL -133.276 0.004 2.5 -1.240 SOYOIL -118.793 0.004 2.5 -1.106 SP400 -4.710 0.013 2.5 -0.156 SP500_micro 50.246 0.009 2.5 1.168 SUGAR11 -61.455 0.009 2.5 -1.307 US10 -19.376 0.005 2.5 -0.246 US10U 13.868 0.005 2.5 0.176 US2 -78.860 0.005 2.5 -0.999 US20 15.516 0.005 2.5 0.197 US30 6.146 0.005 2.5 0.078 US5 -55.374 0.005 2.5 -0.702 VIX -189.134 0.099 2.5 -46.687 WHEAT -153.745 0.005 2.5 -2.040 ===================== Position diags ===================== AUD 2.59 BITCOIN 40.00 BOBL 1.37 BTP 1.93 BUND 0.66 BUXL 0.27 CAC 2.63 CAD 3.93 CANOLA 9.49 CHF 1.74 COCOA 2.35 COFFEE 0.32 COPPER 4.66 CORN 5.31 COTTON2 1.90 CRUDE_W 4.07 DAX 12.12 DOW 9.68 DX 2.59 EUR 1.69 EURIBOR-ICE 9.28 EUROSTX 4.16 FEEDCOW 1.31 GASOIL 1.42 GASOLINE 1.10 GAS_US_mini 20.27 GBP 2.65 GOLD_micro 9.70 HEATOIL 1.04 JGB-SGX-mini 22.22 JPY 1.80 LEANHOG 5.19 LIVECOW 2.47 LUMBER-new 4.83 MILK 2.77 MXP 35.40 NASDAQ_micro 4.25 NIKKEI 25.54 NZD 3.10 OAT 2.17 OATIES 2.81 OJ 0.95 PALLAD 0.49 PLAT 2.02 REDWHEAT 1.07 RICE 2.71 ROBUSTA 1.00 RUSSELL 11.49 SHATZ 4.06 SILVER-mini 1.56 SMI 2.03 SOFR 14.52 SOYBEAN 0.81 SOYMEAL 0.86 SOYOIL 0.96 SP400 0.51 SP500_micro 7.10 SUGAR11 1.85 US10 1.18 US10U 0.86 US2 2.11 US20 0.57 US30 0.39 US5 1.80 VIX 23.34 WHEAT 1.28 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.5 1.0 2.0 2 BITCOIN 24.6 20.6 28.6 43.0 43 BOBL -0.3 -0.4 -0.1 0.0 0 BTP 0.9 0.7 1.1 1.0 1 BUND 0.2 0.2 0.3 0.0 0 BUXL 0.0 0.0 0.1 2.0 2 CAC 1.1 0.8 1.3 0.0 0 CAD 0.6 0.2 1.0 2.0 2 CANOLA -19.0 -19.9 -18.0 -6.0 -6 CHF -0.1 -0.3 0.1 -4.0 -4 COCOA 3.0 2.8 3.2 6.0 6 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER 0.1 -0.4 0.6 5.0 5 CORN -10.6 -11.1 -10.1 -6.0 -6 COTTON2 -2.8 -3.0 -2.6 -4.0 -4 CRUDE_W 1.9 1.5 2.3 1.0 1 DAX 14.8 13.6 16.0 0.0 0 DOW 5.3 4.4 6.3 0.0 0 DX -1.9 -2.2 -1.6 NaN 0 EUR 0.0 -0.1 0.2 3.0 3 EURIBOR-ICE 9.4 8.4 10.3 1.0 1 EUROSTX 3.9 3.5 4.3 20.0 20 FEEDCOW -0.9 -1.0 -0.8 -1.0 -1 GASOIL 0.6 0.4 0.7 0.0 0 GASOLINE -0.2 -0.3 -0.1 0.0 0 GAS_US_mini -10.6 -12.6 -8.5 -13.0 -13 GBP 0.9 0.6 1.1 1.0 1 GOLD_micro -4.8 -5.8 -3.8 -17.0 -17 HEATOIL 0.1 -0.0 0.2 0.0 0 JGB-SGX-mini 18.6 16.3 20.8 9.0 9 JPY -0.2 -0.4 -0.0 2.0 2 LEANHOG -1.5 -2.0 -1.0 -2.0 -2 LIVECOW -2.1 -2.4 -1.9 0.0 0 LUMBER-new -1.6 -2.0 -1.1 NaN 0 MILK -5.5 -5.8 -5.3 NaN 0 MXP 48.2 44.6 51.7 44.0 44 NASDAQ_micro 0.9 0.5 1.3 9.0 9 NIKKEI 15.5 12.9 18.1 14.0 14 NZD 1.9 1.6 2.2 2.0 2 OAT 1.5 1.3 1.8 0.0 0 OATIES -2.8 -3.1 -2.5 NaN 0 OJ -0.0 -0.1 0.1 NaN 0 PALLAD 0.1 0.1 0.2 0.0 0 PLAT 1.9 1.7 2.1 1.0 1 REDWHEAT -2.1 -2.2 -1.9 -3.0 -3 RICE -1.0 -1.3 -0.7 NaN 0 ROBUSTA 0.7 0.6 0.8 0.0 0 RUSSELL -2.0 -3.1 -0.8 -2.0 -2 SHATZ -1.4 -1.8 -1.0 NaN 0 SILVER-mini -0.7 -0.9 -0.6 NaN 0 SMI 2.5 2.3 2.7 9.0 9 SOFR 1.1 -0.3 2.6 NaN 0 SOYBEAN -1.1 -1.2 -1.1 -2.0 -2 SOYMEAL -1.2 -1.3 -1.2 -2.0 -2 SOYOIL -1.1 -1.2 -1.0 -3.0 -3 SP400 -0.2 -0.2 -0.1 0.0 0 SP500_micro 1.2 0.5 1.9 0.0 0 SUGAR11 -1.3 -1.5 -1.1 -1.0 -1 US10 -0.2 -0.4 -0.1 -8.0 -8 US10U 0.2 0.1 0.3 0.0 0 US2 -1.0 -1.2 -0.8 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.1 0.0 0.1 4.0 4 US5 -0.7 -0.9 -0.5 0.0 0 VIX -46.7 -49.0 -44.4 -16.0 -16 WHEAT -2.0 -2.2 -1.9 -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 1.2 1.2 2.3 2.3 2.3 2.3 1.3 1.3 1.0 3.1 1.3 0.0 1.3 1.0 3.1 1.3 4.2 1.3 6.2 2.8 3.8 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.4 0.6 0.5 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 -0.0 -0.1 0.1 0.4 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.1 -0.2 0.1 -0.0 0.1 -0.5 -0.4 -0.2 0.2 BITCOIN -0.1 0.3 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 0.5 0.0 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.6 0.6 -0.2 0.4 0.1 0.7 BOBL 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.1 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.1 0.1 0.0 -0.0 0.1 1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.9 -0.3 -0.1 0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP 0.3 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.0 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 0.1 0.2 -1.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.5 -0.2 0.1 0.3 -0.5 -0.7 0.3 0.1 BUND 0.3 0.6 0.6 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 0.0 0.0 0.2 0.1 0.0 -0.0 0.1 0.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.4 -0.4 -0.2 0.0 0.2 -0.6 -0.7 -0.1 -0.2 BUXL 0.3 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.2 0.1 0.1 -0.0 0.0 0.0 0.0 0.2 0.1 -0.0 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 -0.5 -0.2 0.1 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.1 0.6 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.4 -0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 -0.1 0.3 0.1 -1.1 0.1 -0.1 0.1 -0.1 0.1 0.0 0.0 -0.4 -0.4 -0.2 -0.0 0.3 0.3 0.6 0.5 CAD 0.6 0.6 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 -0.0 0.1 -0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.1 0.2 0.3 0.1 -0.0 0.0 0.0 -0.0 0.1 0.0 -0.2 0.3 -0.0 -0.2 -0.7 -0.6 0.0 -0.5 CANOLA -0.4 -0.5 -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 -0.2 -0.1 -0.1 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.5 -0.5 -0.6 -0.5 -0.4 -0.2 -0.0 CHF 0.6 0.6 0.2 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 0.1 0.4 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.2 0.2 -1.2 0.1 0.0 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.6 0.0 -0.7 -0.7 -0.7 -0.7 COCOA -0.1 0.4 0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 0.0 0.5 0.1 0.7 0.2 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.3 -0.0 0.4 0.0 0.4 -0.3 0.5 0.6 0.6 0.7 0.0 0.7 0.7 COFFEE 0.0 0.4 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.1 -0.0 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 -0.0 0.0 0.1 -2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.6 -0.2 0.4 0.6 0.6 -0.6 -0.7 -0.5 -0.4 COPPER 0.2 0.5 0.2 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 -0.0 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.1 -1.1 0.1 -0.0 0.1 0.0 -0.0 0.0 0.1 0.2 0.3 0.5 0.1 -0.3 -0.3 0.2 -0.2 CORN -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.1 -0.6 -0.3 0.2 -0.2 -0.4 0.0 0.1 COTTON2 0.1 -0.1 -0.5 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.5 0.2 0.0 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W 0.1 -0.4 -0.2 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.1 0.2 -0.1 -0.6 -0.1 -0.0 0.0 -0.1 0.2 -0.1 -0.1 -0.2 0.0 0.2 0.5 0.7 0.5 0.7 0.5 DAX -0.3 0.6 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.3 0.2 2.5 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.1 -0.6 0.4 0.2 0.2 0.2 0.6 0.6 DOW 0.4 0.6 0.5 0.1 -0.0 0.1 -0.0 0.1 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 0.1 0.4 0.2 -1.8 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 0.2 0.6 0.6 0.3 -0.3 -0.1 -0.3 -0.2 DX -0.4 -0.6 -0.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 -0.2 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 0.0 0.0 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.8 -0.1 -0.6 -0.6 -0.5 0.5 0.1 0.6 0.4 EUR 0.3 0.4 0.2 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.0 0.1 1.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.0 0.0 -0.2 -0.2 -0.6 -0.4 -0.5 -0.2 EURIBOR-ICE 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.0 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.1 0.2 2.2 0.0 -0.0 0.1 0.0 0.0 0.0 -0.4 -0.1 0.1 0.2 0.5 -0.7 -0.7 0.2 0.7 EUROSTX -0.2 0.6 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.1 0.7 0.2 0.2 0.2 -0.0 0.0 -0.0 0.2 0.2 -0.1 0.4 0.1 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 0.4 -0.3 -0.6 -0.1 0.2 0.1 0.3 0.3 0.5 FEEDCOW 0.6 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.2 0.1 -0.0 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.1 0.0 0.0 -0.0 -1.1 0.1 0.5 -0.3 -0.6 0.4 0.1 0.7 0.4 GASOIL 0.2 -0.5 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 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 0.9 0.0 0.2 0.1 0.2 -0.3 -0.1 -0.6 -0.3 GASOLINE 0.3 -0.2 -0.6 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.2 0.0 -0.1 -0.4 0.3 -0.4 0.0 -0.1 -0.0 -0.0 0.1 -0.0 -2.7 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.0 0.3 0.5 -0.1 0.7 0.4 0.7 0.3 GAS_US_mini 0.4 -0.6 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.1 -0.5 -0.1 -0.1 0.4 -0.4 -0.1 -0.4 -0.2 -0.2 0.1 -0.5 -0.1 2.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.5 0.2 -0.3 -0.1 -0.6 0.1 -0.7 -0.0 GBP 0.1 0.5 0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 -0.0 0.0 0.3 0.1 0.1 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.0 0.1 0.2 0.2 -0.2 -0.1 -0.3 -0.5 0.0 -0.4 0.4 GOLD_micro 0.2 0.4 0.5 0.0 -0.1 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 0.0 0.1 0.1 -0.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 0.2 -0.1 0.2 0.3 -0.6 -0.7 -0.5 -0.6 HEATOIL 0.1 -0.5 -0.4 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.0 0.2 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 0.2 -0.0 1.1 0.0 0.2 0.2 0.1 0.5 0.0 0.4 -0.2 JGB-SGX-mini 0.4 0.6 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.2 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 -0.2 -0.0 -0.1 0.0 -0.7 0.4 0.6 JPY 0.3 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 -0.0 -0.2 0.1 2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.1 0.0 -0.0 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.1 -0.4 -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 0.1 -0.1 0.0 -0.3 0.0 0.3 0.3 0.2 -0.1 -0.0 -0.4 -0.3 0.3 0.4 LIVECOW 0.3 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.1 -0.2 0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.4 -0.0 0.2 -0.6 -0.6 0.2 -0.2 0.4 -0.0 LUMBER-new 0.4 0.6 0.4 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.7 0.2 0.2 -0.2 -0.3 -0.3 -0.3 0.3 0.1 0.1 -0.2 0.3 NaN 0.1 -0.0 0.1 0.1 -0.0 0.1 -1.2 0.0 0.8 0.7 0.7 -0.7 -0.8 -0.4 -0.8 MILK -0.6 -0.6 -0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 1.6 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -1.1 0.2 -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 0.5 0.2 0.7 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.3 0.1 1.1 0.2 0.0 -0.3 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro 0.2 0.6 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.4 -0.0 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.3 -0.1 0.3 0.1 0.2 0.5 -0.2 0.5 -0.3 NIKKEI 0.0 0.2 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.5 0.1 0.7 0.1 0.2 0.4 0.2 0.3 0.2 0.1 0.2 0.0 0.5 0.1 -1.9 0.1 0.0 0.2 0.1 0.4 0.1 1.1 0.5 -0.2 -0.6 -0.2 -0.4 -0.0 -0.3 0.1 NZD 0.4 0.6 0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.0 0.0 0.0 0.2 0.1 -0.0 -0.0 0.2 0.1 0.1 -0.0 0.1 0.0 0.0 0.1 0.2 -0.1 -0.1 0.1 0.3 -0.3 -0.4 -0.2 0.2 OAT 0.3 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.0 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 -0.0 0.1 1.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.7 -0.4 -0.2 0.1 0.2 -0.6 -0.7 0.0 0.2 OATIES 0.3 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 -0.6 0.1 -0.0 -0.1 -0.6 0.0 0.2 0.4 0.7 OJ -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 0.2 -0.1 0.4 -0.1 -0.0 0.1 0.4 0.3 0.4 -0.1 0.1 -0.1 0.5 -0.2 -2.7 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 -0.4 -0.6 -0.1 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 -0.1 -0.1 -0.2 -0.0 0.8 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.3 -0.2 0.5 -0.1 -0.3 -0.2 -0.2 0.0 -0.1 PLAT 0.4 0.5 0.2 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.0 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 1.9 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.6 0.3 0.2 -0.2 -0.3 0.5 -0.1 REDWHEAT -0.0 0.4 -0.4 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 -0.4 -0.1 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -1.6 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.0 -0.5 -0.2 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.1 0.1 0.2 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.5 0.0 0.5 0.1 0.2 -0.2 0.0 -0.3 -0.1 0.1 0.1 0.0 0.2 0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 -0.5 -0.0 0.6 0.6 -0.1 -0.4 0.3 -0.1 ROBUSTA 0.2 0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.0 0.3 0.1 -2.1 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 -0.2 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL 0.5 0.6 0.3 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 0.0 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.0 0.1 -0.3 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.2 0.3 0.2 -0.1 -0.6 -0.5 -0.7 -0.6 SHATZ 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 1.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 -0.1 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 SILVER-mini -0.1 0.3 0.1 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.8 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.4 -0.1 -0.1 -0.7 -0.7 0.2 -0.5 SMI 0.2 0.6 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.0 0.1 -0.1 0.2 1.4 0.1 0.1 0.1 0.1 -0.0 0.1 0.9 0.5 0.2 -0.3 -0.2 0.0 -0.2 0.2 -0.2 SOFR 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.1 0.1 0.0 -0.0 0.1 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 0.0 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.5 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 0.2 -0.2 0.2 -0.2 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 1.1 -0.2 -0.6 -0.1 0.2 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 0.1 0.3 0.2 0.3 -0.1 -0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 1.1 -0.0 -0.6 -0.5 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 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 0.2 -0.4 -0.4 -0.0 -0.0 0.3 SP400 0.4 0.6 0.2 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.1 0.1 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.3 0.2 0.2 -0.1 -0.6 -0.3 -0.7 -0.7 SP500_micro 0.3 0.6 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 0.1 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.4 0.2 -2.7 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.0 0.4 0.3 0.1 0.2 -0.2 0.3 -0.3 SUGAR11 -0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 -0.0 0.1 -0.1 -2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 0.2 -0.6 -0.6 -0.2 0.1 -0.3 0.4 0.2 US10 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.0 0.0 -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 -0.1 -0.7 -0.7 -0.4 0.2 US10U 0.5 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.2 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.2 0.1 -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 -0.1 -0.1 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -0.2 0.1 1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 0.0 -0.1 -0.0 0.1 -0.5 -0.7 -0.4 -0.7 US20 0.5 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -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 -0.7 -0.7 0.6 0.7 US30 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 -0.1 -0.1 0.0 -0.1 -0.4 -0.6 0.7 0.7 US5 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.1 0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.8 -0.0 -0.1 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.4 -0.7 -0.2 -0.1 0.0 -0.3 0.0 -0.6 -0.0 -0.1 -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 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.7 0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.0 -0.5 -0.0 -0.5 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.8 0.1 -0.2 -0.0 0.1 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 12.5 20.0 14.0 4.4 -0.4 3.0 1.7 1.8 4.0 -13.8 1.7 4.7 -6.7 11.8 12.7 -2.1 -2.8 -2.5 -2.8 15.0 6.7 -0.9 -2.8 12.6 2.9 5.0 -2.3 2.2 1.1 -0.6 4.8 -1.0 -7.0 2.0 -1.1 3.0 -16.1 -11.6 -7.2 5.1 BITCOIN -3.8 8.7 20.0 2.0 -13.8 1.0 -6.3 0.5 -0.0 4.6 20.0 4.1 18.5 15.2 20.0 -9.2 -6.4 -9.0 -7.9 20.0 20.0 7.2 16.7 16.1 -20.0 7.7 -2.1 7.5 -1.0 4.8 3.7 -2.3 5.1 -3.7 20.0 20.0 -5.4 12.7 3.2 20.0 BOBL 11.3 20.0 20.0 2.3 -0.5 0.9 1.0 -0.6 2.3 -7.1 4.2 2.3 -2.4 7.0 7.9 -20.0 -8.8 -19.4 -13.0 13.5 7.6 1.2 -1.2 11.2 8.0 2.9 -1.5 1.6 0.3 -0.0 2.5 -16.1 -10.6 -4.1 0.3 5.9 -17.4 -20.0 -2.9 -18.1 BTP 9.0 20.0 17.3 3.5 -0.8 1.4 1.4 -0.9 3.4 -11.9 8.8 2.1 6.5 9.4 11.6 4.6 7.1 5.8 6.2 20.0 13.0 0.3 3.4 16.1 -8.4 4.2 -2.3 2.5 -0.3 0.8 3.2 13.6 -20.0 -5.7 4.2 7.8 -13.8 -20.0 8.0 3.7 BUND 9.1 20.0 20.0 2.5 -0.6 1.0 1.0 -0.6 2.5 -7.9 4.8 1.2 -2.7 7.1 8.3 4.7 4.2 2.2 2.2 14.6 8.0 0.2 -1.5 11.6 5.4 3.0 -1.7 1.6 -0.1 -0.0 2.3 7.5 -16.1 -5.1 1.5 5.8 -17.9 -20.0 -4.2 -6.4 BUXL 7.7 20.0 20.0 2.9 -0.7 1.1 1.2 -0.7 2.8 -9.4 4.7 -0.8 -5.5 7.6 8.9 -0.0 0.6 0.2 0.5 16.1 7.6 -1.5 -3.9 12.3 0.9 3.2 -1.7 1.5 -0.3 -0.4 2.4 3.3 -20.0 -6.1 4.4 4.2 -20.0 -20.0 -4.1 9.7 CAC -2.2 20.0 0.5 6.1 -5.2 3.8 -1.0 1.8 4.3 -18.1 13.9 -10.7 20.0 16.8 20.0 -9.6 -4.4 -8.1 -6.6 20.0 14.5 -12.4 12.4 11.3 -8.4 6.1 -5.9 3.9 -4.7 2.7 2.5 0.7 -18.1 -11.2 -6.7 -1.4 8.6 7.8 18.1 13.9 CAD 20.0 20.0 4.5 6.5 -0.6 4.4 2.4 2.6 5.8 -20.0 -0.4 8.0 -7.1 16.7 16.1 -1.8 -2.2 -2.2 -2.3 20.0 6.6 3.6 -4.5 20.0 2.5 6.3 -1.5 1.6 3.0 -1.4 7.8 0.0 -9.6 10.6 -1.0 -6.4 -20.0 -18.4 0.7 -14.6 CANOLA -12.6 -16.0 -20.0 -2.5 -2.8 -2.9 -3.4 -3.5 -2.8 -9.1 -6.8 -9.8 -5.9 -9.9 -10.1 -11.4 -0.3 -10.8 -7.0 -15.1 -13.0 -14.0 -9.9 -14.7 -20.0 -3.9 -2.6 -3.3 -3.8 -2.7 -4.2 -2.1 -11.3 -14.5 -16.9 -20.0 -15.1 -12.0 -5.6 -0.3 CHF 18.7 20.0 7.4 5.5 -0.5 3.8 2.1 2.2 4.9 -5.4 6.1 11.9 9.8 16.9 17.1 -15.5 -15.4 -16.3 -16.1 20.0 14.0 16.9 6.8 20.0 -8.6 6.6 2.9 3.0 7.5 1.2 9.1 -20.0 20.0 20.0 20.0 1.3 -20.0 -20.0 -20.0 -20.0 COCOA -1.8 13.2 20.0 -6.4 -7.2 -7.4 -8.6 -9.1 -7.2 3.8 20.0 9.3 20.0 20.0 20.0 11.0 1.3 7.6 3.9 20.0 20.0 5.3 20.0 20.0 -20.0 8.9 -2.9 11.5 -1.9 12.1 3.4 7.7 -11.1 16.1 20.0 20.0 19.6 0.6 20.0 20.0 COFFEE 0.3 13.8 20.0 -3.0 -3.4 -3.5 -4.0 -4.2 -3.4 -10.6 5.1 -1.0 -2.3 5.0 8.9 7.8 4.3 7.7 5.7 10.2 7.3 -2.4 1.5 6.0 -15.4 3.8 -2.4 3.0 -1.1 1.2 2.0 12.0 -7.0 10.9 19.3 20.0 -19.3 -20.0 -15.2 -10.9 COPPER 5.3 15.1 6.1 1.6 -11.3 0.8 -5.1 0.4 -0.0 -16.8 -0.1 1.7 -2.9 11.8 12.4 -4.1 -4.4 -5.5 -5.4 9.4 3.6 -2.4 -2.9 6.9 -8.1 5.1 -3.1 2.2 0.2 -0.6 4.3 1.5 6.4 10.6 14.1 3.0 -8.0 -9.6 7.3 -7.1 CORN -6.9 -2.5 -6.7 -6.3 -7.1 -7.3 -8.5 -8.9 -7.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.2 -1.8 -8.4 -6.4 -14.0 -20.0 -17.6 -20.0 -15.5 -20.0 -7.8 -6.0 -6.4 -12.2 -8.7 -12.1 -3.3 -3.8 -20.0 -9.1 6.4 -6.9 -11.4 1.4 3.0 COTTON2 2.7 -3.7 -15.2 -5.1 -5.8 -5.9 -6.9 -7.2 -5.8 -0.1 -12.1 -3.6 -9.0 -1.4 -13.7 -9.2 -0.7 -7.4 -4.7 -10.7 -12.2 0.9 -9.4 -2.9 -20.0 -4.1 2.7 -4.8 4.0 -2.3 0.7 -0.9 20.0 7.6 1.0 -11.9 -18.5 -14.6 -5.6 1.1 CRUDE_W 2.2 -12.8 -5.6 -5.1 0.2 -2.3 -2.6 1.1 -4.5 -7.8 5.1 -5.6 6.6 -9.5 -13.2 6.1 9.7 7.8 9.0 -7.8 0.2 -7.6 7.7 -8.8 -4.4 -4.7 -2.7 0.5 -5.2 5.3 -6.2 -1.1 -6.3 0.7 7.3 15.2 20.0 13.9 20.0 14.3 DAX -9.0 20.0 6.9 5.8 -4.9 3.5 -0.9 1.7 4.0 -10.6 14.1 -9.8 18.1 19.1 20.0 -15.2 -9.4 -12.8 -11.1 20.0 19.5 -5.3 11.6 17.5 18.9 6.1 -3.3 3.8 -2.5 1.8 3.0 -7.4 -5.6 -20.0 12.4 6.0 6.1 5.2 16.6 16.8 DOW 12.5 20.0 16.3 4.7 -4.0 2.9 -0.8 1.4 3.3 -6.8 15.6 15.1 15.2 19.2 19.4 -11.3 -9.3 -10.9 -10.4 20.0 20.0 12.6 14.1 20.0 -13.2 6.2 -1.0 4.1 1.2 2.4 5.2 -7.0 7.1 17.7 20.0 10.5 -8.5 -4.0 -9.0 -6.7 DX -11.3 -20.0 -10.3 3.5 -0.3 2.4 1.3 1.4 3.1 10.5 0.6 -2.5 -4.6 -8.4 -9.2 5.0 6.0 5.9 6.2 -10.9 -4.6 1.3 1.0 -9.0 -20.0 -3.7 0.3 -1.2 -1.7 0.8 -3.9 14.4 -2.1 -20.0 -20.0 -15.1 14.4 4.1 19.1 12.0 EUR 7.8 12.7 6.4 4.0 -0.4 2.8 1.5 1.6 3.6 -10.9 -0.7 1.9 5.5 7.0 9.6 -5.4 -6.7 -5.9 -6.2 7.9 3.6 -2.3 -0.3 6.1 10.3 3.8 0.2 1.5 2.2 -0.2 4.2 -7.2 0.7 0.7 -6.2 -5.0 -18.5 -12.2 -15.1 -6.4 EURIBOR-ICE 11.4 20.0 20.0 2.1 -0.5 0.8 0.9 -0.5 2.1 -5.1 6.4 4.5 0.8 7.4 8.2 -0.4 -5.8 -2.6 -4.5 17.8 12.2 4.9 2.7 15.0 16.5 3.0 -0.8 2.0 0.9 0.5 2.6 -7.2 -5.0 2.4 7.1 15.5 -20.0 -20.0 7.0 20.0 EUROSTX -7.3 20.0 5.8 5.9 -5.0 3.6 -1.0 1.7 4.1 -16.3 14.6 -12.4 19.8 16.2 20.0 9.1 -1.1 2.1 -0.8 20.0 18.4 -10.9 14.9 10.9 3.2 6.2 -4.7 4.5 -4.3 3.0 2.1 8.0 -13.0 -19.5 -4.3 6.3 1.9 7.6 7.7 15.4 FEEDCOW 19.0 -14.1 -20.0 -3.1 -3.5 -3.6 -4.2 -4.4 -3.5 5.4 -7.6 10.8 -1.0 1.2 -8.0 -20.0 -20.0 -18.5 -19.7 -11.8 -13.4 6.7 -3.6 0.6 -1.7 -3.0 -0.6 -2.6 0.1 0.8 -0.7 -20.0 2.4 14.5 -8.4 -20.0 12.5 3.1 20.0 10.9 GASOIL 6.4 -15.2 -10.4 -4.1 0.1 -1.8 -2.1 0.9 -3.6 -3.6 4.5 -0.3 5.7 -5.4 -11.1 11.7 20.0 15.3 18.4 -8.7 -1.4 -4.8 7.4 -7.4 7.9 -3.4 -0.9 0.0 -1.6 3.4 -3.0 16.2 0.9 5.1 4.5 6.4 -9.3 -2.2 -19.3 -8.0 GASOLINE 9.2 -6.2 -17.5 -4.9 0.2 -2.2 -2.5 1.1 -4.3 -5.0 -1.0 5.0 4.4 1.1 -12.0 -20.0 15.1 -20.0 0.3 -6.4 -4.0 -1.4 4.4 -2.7 -20.0 -4.0 -1.2 -1.6 -2.1 4.4 -3.0 1.1 -1.6 8.9 16.7 -1.6 20.0 12.1 20.0 9.9 GAS_US_mini 13.0 -20.0 -2.5 -3.3 0.1 -1.5 -1.7 0.7 -2.9 11.8 -11.7 10.1 -13.9 -7.3 -10.6 20.0 -20.0 -6.6 -20.0 -17.1 -19.3 7.6 -20.0 -6.0 18.0 -3.7 3.3 -3.4 2.3 -2.4 -1.1 -20.0 20.0 4.9 -10.6 -2.2 -17.4 4.1 -20.0 -0.1 GBP 1.9 15.8 3.3 4.5 -0.4 3.1 1.7 1.8 4.0 -5.5 -0.4 0.7 8.3 11.1 11.7 0.0 -0.7 -0.3 -0.4 9.5 5.5 -0.1 2.2 6.9 1.7 4.5 2.3 2.1 3.4 0.3 4.8 3.0 7.6 -6.7 -4.1 -8.3 -13.9 0.5 -10.5 13.1 GOLD_micro 5.7 11.8 14.5 1.4 -9.6 0.7 -4.4 0.4 -0.0 -12.2 7.2 5.5 6.4 8.8 12.4 -12.7 -13.9 -13.8 -14.3 11.0 7.9 0.1 4.1 7.8 -5.1 3.9 -3.0 3.1 -1.2 2.0 2.0 -14.5 6.3 -1.6 6.4 9.6 -19.5 -20.0 -15.6 -19.0 HEATOIL 4.1 -15.0 -13.6 -4.5 0.1 -2.0 -2.3 1.0 -3.9 -1.3 2.9 -1.7 4.2 -8.5 -12.9 20.0 20.0 20.0 20.0 -10.9 -3.6 -4.3 5.9 -8.8 -19.9 -4.0 1.1 -0.4 -0.7 4.6 -3.1 20.0 2.1 5.8 7.6 2.4 14.4 0.3 11.8 -4.9 JGB-SGX-mini 11.4 20.0 5.4 1.9 -0.4 0.7 0.8 -0.5 1.9 -1.0 2.2 5.8 3.2 6.6 6.3 8.4 18.5 12.7 14.8 6.6 3.5 3.2 1.4 6.4 -2.2 1.9 0.1 0.7 0.9 -0.1 1.9 20.0 -0.2 -5.1 -0.6 -2.3 1.3 -20.0 10.9 17.4 JPY 10.7 20.0 20.0 2.6 -0.3 1.8 1.0 1.1 2.4 -7.8 -4.8 0.6 -8.0 6.6 5.6 -13.9 -16.1 -16.0 -16.6 5.1 -1.8 -2.4 -8.8 5.1 20.0 2.0 -2.2 -0.7 0.2 -3.0 2.6 -20.0 -4.0 1.1 -1.2 -6.6 -9.1 -20.0 -3.6 -20.0 LEANHOG 2.4 -8.2 -7.6 -3.9 -4.4 -4.5 -5.2 -5.5 -4.4 -3.7 -5.1 -8.7 -9.8 -11.0 -11.9 -20.0 3.0 -20.0 -6.2 -11.5 -11.7 -10.9 -13.2 -11.5 14.6 -2.1 5.7 -5.0 2.2 -9.1 0.0 5.0 11.3 7.6 -3.3 -1.5 -11.0 -7.9 7.8 11.1 LIVECOW 9.4 -20.0 -20.0 -3.6 -4.1 -4.2 -4.8 -5.1 -4.1 9.4 -7.9 12.0 -0.0 -3.1 -9.6 -12.3 -5.4 -10.4 -8.3 -16.1 -14.8 5.3 -3.2 -4.3 0.0 -4.5 -0.8 -3.0 -1.2 1.1 -2.7 -6.9 -1.0 5.3 -17.5 -19.6 6.3 -6.4 11.4 -0.3 LUMBER-new 11.5 16.7 10.3 -6.5 -7.4 -7.4 -8.8 -7.8 -7.4 -11.9 -2.0 11.0 -18.3 16.1 20.0 -9.3 -13.9 -12.3 -13.5 20.0 8.2 10.8 -5.9 20.0 NaN 7.8 -0.3 3.3 4.3 -0.4 8.7 -19.9 1.1 20.0 20.0 20.0 -17.4 -20.0 -10.4 -19.8 MILK -20.0 -20.0 -18.0 -4.9 -5.6 -5.7 -6.6 -7.0 -5.6 -6.7 -19.2 -18.8 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.4 -20.0 -20.0 12.1 -7.4 -0.5 -6.6 -3.8 -6.6 -6.9 -20.0 7.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.1 14.2 1.6 5.6 -0.5 3.8 2.1 2.3 5.0 -11.2 16.9 14.6 18.8 18.5 18.3 15.3 16.4 14.7 15.1 19.4 17.4 8.1 20.0 17.6 -20.0 6.3 1.5 5.5 4.3 7.7 6.6 20.0 6.3 0.8 -9.5 -5.7 12.0 17.7 20.0 20.0 NASDAQ_micro 6.2 20.0 11.7 3.8 -3.2 2.4 -0.6 1.1 2.7 -14.1 13.9 -0.5 13.8 9.9 14.1 -11.7 -9.2 -10.8 -10.2 20.0 20.0 -9.6 20.0 12.7 -20.0 4.9 -3.1 4.5 -0.8 4.5 3.3 -6.5 -4.6 10.4 4.2 6.9 13.6 -5.9 15.0 -7.9 NIKKEI 0.4 4.9 1.7 5.2 -4.4 3.2 -0.8 1.5 3.7 -0.3 17.7 11.4 18.9 9.9 16.2 18.4 11.4 13.6 11.8 11.2 15.3 1.3 20.0 6.8 -14.2 5.4 4.2 6.9 4.7 10.3 5.2 20.0 20.0 -5.2 -20.0 -6.7 -11.1 -1.1 -8.4 3.2 NZD 11.6 20.0 15.2 4.9 -0.5 3.3 1.8 2.0 4.4 -15.7 4.1 4.7 2.1 14.3 15.3 0.3 0.2 0.2 0.1 20.0 10.7 -0.1 -0.6 16.1 0.8 5.8 -0.7 3.1 2.1 0.2 5.4 4.2 -2.8 -1.7 3.1 8.5 -8.3 -12.2 -5.2 5.3 OAT 9.1 20.0 20.0 2.7 -0.6 1.0 1.1 -0.7 2.6 -8.8 5.8 1.1 -2.3 7.5 8.8 4.3 6.9 5.0 5.6 16.4 9.4 -0.0 -0.5 12.7 7.8 3.2 -1.8 1.8 -0.2 0.1 2.4 13.0 -18.5 -4.8 3.8 7.3 -18.1 -20.0 1.5 6.1 OATIES 10.8 -0.2 -20.0 -2.1 -2.4 -2.4 -2.8 -3.0 -2.4 -4.6 -5.9 0.4 -4.5 -0.8 -6.8 0.3 -7.3 -6.1 -9.2 -6.7 -7.2 -2.6 -3.7 -2.8 -20.0 -2.4 -0.8 -2.5 -0.4 -1.3 -0.9 -11.7 4.7 -1.2 -3.5 -19.2 1.0 6.8 11.3 20.0 OJ -20.0 -20.0 -19.9 -3.5 -3.9 -4.0 -4.7 -4.9 -3.9 3.0 8.4 -7.8 12.1 -10.3 -1.6 4.5 19.5 13.5 17.9 -5.1 13.6 -12.1 20.0 -17.9 -20.0 0.0 -1.5 5.3 -4.2 8.8 -4.3 20.0 -16.3 -20.0 -4.4 20.0 10.5 12.2 20.0 20.0 PALLAD 20.0 17.8 13.6 0.7 -4.8 0.3 -2.2 0.2 -0.0 -7.2 -5.2 -0.8 -7.6 1.0 -0.4 -1.7 -2.3 -1.9 -2.1 -0.6 -4.6 -6.1 -8.9 -0.4 6.1 -0.3 -1.8 -1.7 -0.4 -2.3 0.7 6.1 -7.6 15.0 -1.8 -8.5 -5.1 -7.3 1.4 -1.7 PLAT 13.7 15.4 6.6 1.2 -8.7 0.6 -4.0 0.3 -0.0 -12.0 -3.6 3.9 -5.6 10.6 8.8 -3.4 -2.9 -3.5 -3.3 8.9 2.1 0.0 -2.7 9.5 13.9 3.8 -4.6 1.5 0.4 0.0 4.2 4.6 8.7 18.2 9.2 4.9 -5.0 -8.9 15.3 -2.7 REDWHEAT -1.1 12.7 -13.3 -3.9 -4.4 -4.5 -5.2 -5.5 -4.4 -10.1 -13.9 -11.5 -14.8 -0.8 -9.3 -2.9 -1.4 -3.7 -3.1 -10.8 -17.5 -6.8 -19.3 -6.3 -12.0 -5.4 -2.2 -6.9 -4.2 -6.4 -4.5 -0.0 -0.3 -14.8 -6.9 -14.3 -20.0 -20.0 -20.0 -14.0 RICE -2.7 2.7 6.5 -5.2 -5.9 -6.1 -7.0 -7.4 -5.9 -14.5 17.0 0.5 13.4 9.9 14.5 -12.3 0.6 -13.3 -7.2 12.2 12.4 0.2 9.2 7.5 -20.0 2.2 -14.8 3.8 -12.2 3.0 -3.8 0.0 -20.0 -1.4 20.0 20.0 -3.0 -12.1 8.7 -2.2 ROBUSTA 5.2 15.5 -8.2 -2.6 -2.9 -3.0 -3.5 -3.7 -2.9 -6.5 9.1 2.9 9.5 6.7 8.6 20.0 20.0 20.0 20.0 14.6 11.8 1.0 9.8 11.2 -16.0 3.6 -0.4 2.7 1.0 2.3 3.2 20.0 -9.7 20.0 20.0 20.0 -12.0 -14.7 -0.7 0.6 RUSSELL 16.3 20.0 9.0 2.9 -2.5 1.8 -0.5 0.9 2.1 -10.3 4.4 2.1 0.1 9.0 9.1 -6.1 -6.1 -6.3 -6.4 15.0 7.2 -1.7 0.7 12.9 -1.9 3.2 -2.9 1.5 -0.9 0.4 2.6 -0.7 -8.0 8.6 5.9 -3.4 -18.4 -16.5 -20.0 -18.9 SHATZ 13.6 20.0 20.0 2.1 -0.5 0.8 0.9 -0.5 2.1 -6.3 1.1 3.2 -5.0 6.6 6.6 -20.0 -20.0 -20.0 -20.0 10.3 4.5 1.4 -3.7 9.4 8.8 2.6 -1.2 1.1 0.8 -0.5 2.5 -20.0 -4.1 -3.7 -0.6 4.3 -14.4 -20.0 -6.6 -20.0 SILVER-mini -2.0 8.1 2.9 1.8 -6.4 0.8 -1.8 0.4 1.3 -13.9 0.8 -3.3 3.1 -1.7 4.4 -7.0 -6.4 -7.0 -6.8 1.9 1.3 -10.6 0.1 -2.4 5.8 0.0 -11.5 0.5 -6.3 0.7 -1.8 -1.5 -5.9 -12.7 -2.0 -3.0 -20.0 -20.0 4.9 -14.6 SMI 7.1 20.0 -1.4 5.8 -4.9 3.6 -0.9 1.7 4.1 19.4 -0.2 13.1 3.4 19.8 17.3 11.3 3.9 7.8 5.1 18.7 4.4 13.5 -3.1 20.0 10.7 6.4 5.8 2.0 7.0 -0.7 8.2 17.4 20.0 5.6 -9.0 -7.5 1.0 -6.5 5.7 -5.6 SOFR 12.8 20.0 18.8 2.5 -0.6 1.0 1.0 -0.6 2.4 -8.1 2.3 4.2 -1.3 8.0 8.6 1.2 -0.2 0.7 0.1 12.0 5.5 1.3 -1.6 10.0 -1.6 3.0 -0.6 1.2 1.2 -0.4 2.9 1.9 -0.7 -2.6 0.1 1.4 -20.0 -20.0 -6.3 -6.6 SOYBEAN -15.9 -9.8 -2.3 -5.3 -6.0 -6.2 -7.2 -7.5 -6.0 -18.6 6.5 -19.8 6.3 -18.8 -13.0 14.3 17.2 15.1 15.1 -13.0 -3.8 -20.0 -0.3 -20.0 -20.0 -2.2 -8.5 1.6 -11.9 2.1 -8.9 20.0 -8.9 -18.7 -3.4 7.6 -20.0 -20.0 -20.0 -20.0 SOYMEAL -18.5 -17.2 3.7 -3.9 -4.4 -4.5 -5.2 -5.5 -4.4 -13.6 -2.7 -14.3 2.6 -14.8 -6.3 7.1 16.2 12.3 14.1 -10.9 -2.2 -18.5 2.5 -18.5 -20.0 -2.4 -3.5 0.9 -5.4 2.7 -5.5 20.0 -1.2 -17.2 -16.6 9.7 -20.0 -20.0 -20.0 -19.5 SOYOIL -5.9 -4.0 -20.0 -3.0 -3.4 -3.5 -4.1 -4.3 -3.4 -5.6 -5.0 -9.8 -5.4 -10.3 -11.6 -3.3 7.7 1.5 4.9 -11.3 -11.1 -7.6 -7.6 -9.5 -20.0 -2.6 -1.6 -2.9 -2.9 -2.2 -2.6 14.7 -2.6 -6.5 5.7 -13.7 -10.6 -1.0 -0.9 9.2 SP400 12.6 20.0 6.0 3.2 -2.7 2.0 -0.5 0.9 2.2 -11.1 6.2 2.6 3.7 10.2 10.5 -4.9 -5.0 -5.2 -5.2 15.8 8.3 -2.6 2.4 12.7 -9.5 3.5 -3.3 1.9 -1.4 0.8 2.5 1.3 -10.5 5.8 5.2 -2.1 -16.7 -8.9 -20.0 -20.0 SP500_micro 8.5 20.0 9.7 4.8 -4.0 2.9 -0.8 1.4 3.3 -16.3 15.0 6.1 14.7 16.0 18.5 -12.1 -10.2 -11.6 -11.1 20.0 20.0 -1.0 15.6 20.0 -20.0 5.9 -3.0 4.4 -0.3 3.5 4.4 -8.2 -1.2 12.2 8.1 2.8 5.5 -5.6 9.0 -8.3 SUGAR11 -15.4 -20.0 -20.0 -2.2 -2.5 -2.5 -2.9 -3.1 -2.5 -0.7 -2.7 -4.4 5.3 -7.6 -6.7 13.5 19.5 20.0 20.0 -13.2 -5.6 -4.9 2.7 -12.7 -17.9 -2.6 -0.1 -1.0 -1.1 0.9 -2.6 20.0 9.6 -17.2 -20.0 -7.5 1.9 -8.8 12.9 5.9 US10 13.4 20.0 20.0 2.1 -0.5 0.8 0.9 -0.5 2.1 -6.9 -0.5 2.9 -3.6 6.4 6.8 -9.0 -7.3 -7.9 -7.8 8.6 2.2 0.6 -4.9 7.5 1.4 2.3 -0.6 0.6 0.7 -1.0 2.3 -11.1 -2.6 -2.3 -0.6 -1.8 -20.0 -20.0 -11.5 5.1 US10U 13.9 20.0 20.0 2.9 -0.6 1.1 1.2 -0.7 2.8 -9.4 -0.4 3.8 -4.8 8.6 8.9 2.8 0.4 2.1 1.1 11.8 2.7 1.0 -7.0 10.6 -1.8 3.1 -1.0 0.7 0.9 -1.4 3.1 3.2 -4.5 -3.0 -0.5 -3.6 -20.0 -20.0 3.9 15.2 US2 13.4 20.0 20.0 2.0 -0.4 0.8 0.8 -0.5 1.9 -6.7 -2.6 4.0 -5.3 6.1 6.1 -20.0 -20.0 -20.0 -20.0 6.8 1.3 0.7 -6.1 6.1 8.0 2.4 -0.2 0.8 1.2 -1.2 2.5 -20.0 0.3 -1.8 -1.3 2.7 -16.4 -20.0 -11.0 -20.0 US20 16.6 20.0 19.1 2.1 -0.5 0.8 0.9 -0.5 2.1 -7.2 0.5 3.4 -3.0 6.6 6.7 -0.7 -1.3 -0.7 -1.1 10.2 2.6 1.9 -4.9 9.7 -1.9 2.3 -0.7 0.5 0.7 -1.0 2.3 -0.4 -3.1 0.1 2.3 -2.6 -19.5 -20.0 19.1 20.0 US30 12.7 20.0 18.9 2.4 -0.6 1.0 1.0 -0.6 2.4 -8.4 0.5 2.7 -4.1 7.4 7.6 -5.5 -4.3 -5.1 -5.0 10.4 2.4 0.5 -6.1 9.2 -1.5 2.5 -1.1 0.5 0.5 -1.3 2.5 -5.8 -5.5 -3.2 0.6 -3.8 -11.4 -17.6 20.0 20.0 US5 13.2 20.0 20.0 2.1 -0.5 0.8 0.9 -0.5 2.0 -6.7 -0.7 3.4 -3.9 6.4 6.8 -8.5 -10.1 -9.5 -10.4 8.3 2.5 0.7 -4.5 7.1 3.4 2.4 -0.4 0.8 1.0 -0.8 2.4 -15.8 -0.9 -2.1 -1.0 0.5 -20.0 -20.0 -20.0 -11.7 VIX 7.5 -12.6 -4.7 -5.0 1.3 -7.3 0.0 -10.3 -2.3 -8.9 -20.0 -6.0 -20.0 -14.5 -18.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -5.6 -20.0 -13.0 NaN -5.8 1.2 -8.1 0.6 -11.3 -2.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.5 13.9 -1.3 -4.7 -5.3 -5.5 -6.3 -6.7 -5.3 -11.1 -15.4 -8.1 -18.1 7.3 2.3 -9.7 -10.4 -10.7 -10.8 -3.5 -13.1 -4.8 -20.0 -0.7 -3.4 -2.2 0.5 -5.5 -1.9 -8.5 -1.6 -14.7 5.1 -7.0 -0.2 2.7 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3