******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240105_204002 produced at 2024-01-05 21:36:59.657928 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.10 -0.27 0.0 0.10 -0.10 -0.10 -0.10 -46.84 17.0 -17 -17 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.11 -0.11 -0.05 -0.05 -10.47 12.0 -6 -6 caleb_strategy_v3 DX False False 0.04 0.00 -0.07 0.0 999.00 -999.00 0.00 0.00 -1.86 999999999.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.01 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.78 24.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.57 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.17 -0.17 -0.02 -0.02 -19.01 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.22 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.33 -0.33 -0.04 -0.04 -0.98 8.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.95 11.0 -4 -4 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.04 0.0 0.41 -0.41 -0.12 -0.12 -5.02 56.0 -17 -16 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.23 7.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.97 -0.97 0.00 0.00 -0.71 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 -2.93 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.01 -1.35 9.0 -1 -1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.20 -0.20 0.00 0.00 -0.18 2.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.02 0.0 0.06 -0.06 -0.03 -0.03 -8.61 26.0 -13 -12 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.71 0.0 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 -1.97 9.0 -4 -4 caleb_strategy_v3 COPPER False False 0.03 0.14 -0.02 0.0 0.20 -0.20 0.14 0.03 -0.61 6.0 4 1 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.02 0.0 0.88 -0.88 0.00 -0.18 -0.41 19.0 0 -4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.28 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.24 -0.24 -0.01 -0.03 -2.95 68.0 -3 -8 caleb_strategy_v3 US10 False False 0.04 -0.32 -0.01 0.0 0.68 -0.68 -0.32 -0.32 -0.31 17.0 -8 -8 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.29 18.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.17 10.0 -3 -3 caleb_strategy_v3 JPY False False 0.03 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.22 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.02 -0.01 0.0 0.14 -0.14 -0.02 -0.01 -0.75 13.0 -2 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.98 4.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.63 3.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.15 0.00 0.0 0.69 -0.69 0.15 0.10 0.04 14.0 3 2 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 BUXL False False 0.05 0.05 0.00 0.0 0.22 -0.22 0.05 0.05 0.03 4.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.09 0.00 0.0 0.27 -0.27 0.09 0.08 0.35 23.0 8 7 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.10 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.05 6.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.00 0.0 0.41 -0.41 0.00 0.00 0.45 48.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.54 -0.54 0.00 0.00 0.11 13.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.23 0.05 6.0 5 5 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.00 0.0 0.69 -0.69 -0.21 -0.21 -0.06 13.0 -4 -4 caleb_strategy_v3 CAD False False 0.03 0.05 0.01 0.0 0.78 -0.78 0.05 0.05 0.31 29.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.72 23.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.15 9.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.19 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.01 0.0 0.46 -0.46 0.05 0.05 0.62 19.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.03 0.55 4.0 0 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.16 3.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.80 12.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.21 11.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.03 0.0 0.46 -0.46 0.05 0.05 0.74 10.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 4.82 66.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.03 0.0 0.62 -0.62 0.03 0.06 1.10 22.0 1 2 caleb_strategy_v3 PLAT False False 0.02 0.00 0.03 0.0 0.17 -0.17 0.00 0.03 1.80 10.0 0 2 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.04 0.0 0.09 -0.09 0.07 0.07 22.33 59.0 43 43 caleb_strategy_v3 COCOA False False 0.01 0.06 0.04 0.0 0.39 -0.39 0.06 0.06 2.36 26.0 4 4 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.47 -0.47 0.04 0.04 1.95 21.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.06 0.0 0.13 -0.13 0.05 0.03 2.21 5.0 2 1 caleb_strategy_v3 EUROSTX False False 0.02 0.33 0.07 0.0 0.35 -0.35 0.33 0.33 3.83 20.0 19 19 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.51 -0.51 0.00 0.00 1.39 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.09 0.0 0.38 -0.38 0.00 0.00 14.51 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.42 0.11 0.0 0.42 -0.42 0.42 0.42 2.37 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.12 0.0 0.29 -0.29 0.16 0.17 15.03 36.0 19 21 caleb_strategy_v3 MXP False False 0.01 0.48 0.54 0.0 0.63 -0.63 0.48 0.48 51.93 60.0 46 46 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.33 0.77 0.0 0.58 -0.58 0.33 0.33 21.25 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.57 0.81 0.0 0.96 -0.96 0.57 0.29 8.49 10.0 6 3 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.3 Shocked risk 55.6 Sum abs risk 47.0 Leverage 4.23 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2799944.59, 'annual_cash_vol_target': 699986.1475, 'daily_cash_vol_target': 43749.13421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6727 0.6398 10.2369 BITCOIN 1172.1058 44015.0000 2.6630 42.6075 BOBL 0.2926 118.3200 0.2473 3.9573 BTP 0.6960 117.5800 0.5919 9.4706 BUND 0.6083 135.5200 0.4489 7.1819 BUXL 1.4802 137.9000 1.0734 17.1740 CAC 51.7367 7424.0000 0.6969 11.1502 CAD 0.0029 0.7490 0.3810 6.0966 CANOLA 7.4608 619.9000 1.2035 19.2567 CHF 0.0051 1.1855 0.4299 6.8784 COCOA 40.6963 4169.0000 0.9762 15.6186 COFFEE 4.2422 180.4500 2.3509 37.6141 COPPER 0.0410 3.8035 1.0783 17.2530 CORN 4.0651 494.5000 0.8221 13.1532 COTTON2 0.9734 80.1000 1.2153 19.4446 CRUDE_W 1.1603 71.4700 1.6235 25.9760 DAX 112.2151 16708.0000 0.6716 10.7460 DOW 207.5015 37662.0000 0.5510 8.8153 DX 0.4289 102.1350 0.4199 6.7185 EUR 0.0053 1.0976 0.4810 7.6957 EURIBOR-ICE 0.0588 97.9050 0.0601 0.9617 EUROSTX 32.9900 4480.0000 0.7364 11.7821 FEEDCOW 2.1670 229.9000 0.9426 15.0814 GASOIL 13.7576 745.2500 1.8460 29.5365 GASOLINE 0.0401 2.3315 1.7219 27.5496 GAS_US_mini 0.0925 2.6050 3.5514 56.8231 GBP 0.0068 1.2727 0.5317 8.5074 GOLD_micro 15.0415 2051.8000 0.7331 11.7294 HEATOIL 0.0425 2.5269 1.6830 26.9277 JGB-SGX-mini 0.2977 146.8700 0.2027 3.2434 JPY 0.0001 0.0070 0.7289 11.6628 LEANHOG 1.2758 76.2250 1.6738 26.7805 LIVECOW 1.4389 173.5500 0.8291 13.2658 LUMBER-new 6.9336 574.5000 1.2069 19.3103 MILK 0.1682 16.2100 1.0373 16.5972 MXP 0.0004 0.0585 0.6312 10.0998 NASDAQ_micro 118.3839 16424.5000 0.7208 11.5324 NIKKEI 260.8060 33230.0000 0.7849 12.5576 NZD 0.0036 0.6247 0.5794 9.2704 OAT 0.6186 129.8300 0.4765 7.6233 OATIES 7.6266 352.2500 2.1651 34.6416 OJ 6.4673 320.1000 2.0204 32.3266 PALLAD 29.9788 1033.0000 2.9021 46.4338 PLAT 14.4604 972.6000 1.4868 23.7885 REDWHEAT 10.7014 632.7500 1.6913 27.0601 RICE 0.1977 17.8000 1.1107 17.7711 ROBUSTA 49.3600 2799.0000 1.7635 28.2158 RUSSELL 24.7235 1967.7000 1.2565 20.1035 SHATZ 0.0988 106.1550 0.0930 1.4886 SILVER-mini 0.3783 23.8625 1.5852 25.3627 SMI 63.7773 11109.0000 0.5741 9.1857 SOFR 0.0730 96.6550 0.0755 1.2087 SOYBEAN 10.0396 1209.7500 0.8299 13.2783 SOYMEAL 4.6873 370.8000 1.2641 20.2258 SOYOIL 0.6986 47.9800 1.4560 23.2958 SP400 27.5368 2735.1000 1.0068 16.1087 SP500_micro 28.3119 4727.7500 0.5988 9.5815 SUGAR11 0.4356 20.7100 2.1032 33.6506 US10 0.4662 111.6719 0.4175 6.6798 US10U 0.6438 116.2188 0.5540 8.8637 US2 0.1324 102.6680 0.1289 2.0631 US20 0.9791 121.9375 0.8030 12.8474 US30 1.4496 129.3438 1.1207 17.9318 US5 0.3098 108.0859 0.2866 4.5857 VIX 0.4611 16.1500 2.8551 45.6811 WHEAT 8.9105 659.0000 1.3521 21.6340 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.70 0.64 430.40 1.00 430.40 43749.13 101.65 2.34 23.80 BITCOIN 44.02 2.66 117.21 1.00 117.21 43749.13 373.25 5.53 206.23 BOBL 1183.20 0.25 292.64 1.09 319.89 43749.13 136.76 -2.96 -40.51 BTP 1175.80 0.59 695.97 1.09 760.77 43749.13 57.51 3.78 21.75 BUND 1355.20 0.45 608.30 1.09 664.94 43749.13 65.79 2.90 19.06 BUXL 1379.00 1.07 1480.18 1.09 1617.99 43749.13 27.04 1.01 2.74 CAC 742.40 0.70 517.37 1.09 565.53 43749.13 77.36 3.05 23.58 CAD 749.05 0.38 285.42 1.00 285.42 43749.13 153.28 0.79 12.06 CANOLA 123.98 1.20 149.22 0.75 111.97 43749.13 390.73 -20.00 -781.45 CHF 1481.88 0.43 637.06 1.00 637.06 43749.13 68.67 -0.32 -2.23 COCOA 416.90 0.98 406.96 1.00 406.96 43749.13 107.50 10.26 110.26 COFFEE 676.69 2.35 1590.81 1.00 1590.81 43749.13 27.50 -1.51 -4.15 COPPER 950.88 1.08 1025.34 1.00 1025.34 43749.13 42.67 -1.31 -5.59 CORN 247.25 0.82 203.26 1.00 203.26 43749.13 215.24 -20.00 -430.48 COTTON2 400.50 1.22 486.72 1.00 486.72 43749.13 89.89 -15.30 -137.52 CRUDE_W 714.70 1.62 1160.32 1.00 1160.32 43749.13 37.70 5.41 20.41 DAX 167.08 0.67 112.22 1.09 122.66 43749.13 356.66 11.92 425.31 DOW 188.31 0.55 103.75 1.00 103.75 43749.13 421.68 4.92 207.42 DX 1021.35 0.42 428.87 1.00 428.87 43749.13 102.01 -7.02 -71.57 EUR 1372.00 0.48 659.91 1.00 659.91 43749.13 66.30 0.21 1.42 EURIBOR-ICE 2447.62 0.06 147.12 1.09 160.81 43749.13 272.05 9.15 249.03 EUROSTX 448.00 0.74 329.90 1.09 360.61 43749.13 121.32 9.26 112.36 FEEDCOW 1149.50 0.94 1083.51 1.00 1083.51 43749.13 40.38 -7.30 -29.46 GASOIL 745.25 1.85 1375.76 1.00 1375.76 43749.13 31.80 3.96 12.60 GASOLINE 979.23 1.72 1686.09 1.00 1686.09 43749.13 25.95 -2.52 -6.53 GAS_US_mini 65.12 3.55 231.29 1.00 231.29 43749.13 189.15 -4.20 -79.47 GBP 795.44 0.53 422.94 1.00 422.94 43749.13 103.44 4.10 42.37 GOLD_micro 205.18 0.73 150.42 1.00 150.42 43749.13 290.86 -5.06 -147.06 HEATOIL 1061.30 1.68 1786.14 1.00 1786.14 43749.13 24.49 1.52 3.72 JGB-SGX-mini 146870.00 0.20 29772.30 0.01 207.46 43749.13 210.88 9.31 196.24 JPY 873.88 0.73 636.99 1.00 636.99 43749.13 68.68 -1.23 -8.48 LEANHOG 304.90 1.67 510.34 1.00 510.34 43749.13 85.73 -1.43 -12.29 LIVECOW 694.20 0.83 575.57 1.00 575.57 43749.13 76.01 -8.81 -66.94 LUMBER-new 157.99 1.21 190.67 1.00 190.67 43749.13 229.44 -3.32 -76.28 MILK 324.20 1.04 336.30 1.00 336.30 43749.13 130.09 -20.00 -260.18 MXP 292.65 0.63 184.73 1.00 184.73 43749.13 236.82 14.94 353.81 NASDAQ_micro 328.49 0.72 236.77 1.00 236.77 43749.13 184.78 0.82 15.10 NIKKEI 33230.00 0.78 26080.60 0.01 183.56 43749.13 238.34 5.82 138.78 NZD 624.70 0.58 361.95 1.00 361.95 43749.13 120.87 6.22 75.20 OAT 1298.30 0.48 618.58 1.09 676.17 43749.13 64.70 6.32 40.88 OATIES 176.12 2.17 381.33 1.00 381.33 43749.13 114.73 -10.51 -120.58 OJ 480.15 2.02 970.10 1.00 970.10 43749.13 45.10 -0.29 -1.29 PALLAD 1033.00 2.90 2997.88 1.00 2997.88 43749.13 14.59 1.96 2.86 PLAT 486.30 1.49 723.02 1.00 723.02 43749.13 60.51 8.72 52.75 REDWHEAT 316.38 1.69 535.07 1.00 535.07 43749.13 81.76 -18.89 -154.45 RICE 356.00 1.11 395.41 1.00 395.41 43749.13 110.64 -3.65 -40.35 ROBUSTA 279.90 1.76 493.60 1.00 493.60 43749.13 88.63 6.95 61.63 RUSSELL 98.38 1.26 123.62 1.00 123.62 43749.13 353.91 -2.51 -88.89 SHATZ 1061.55 0.09 98.77 1.09 107.96 43749.13 405.23 -4.32 -175.12 SILVER-mini 596.56 1.59 945.65 1.00 945.65 43749.13 46.26 -4.49 -20.75 SMI 1110.90 0.57 637.77 1.18 751.52 43749.13 58.21 11.95 69.56 SOFR 2416.38 0.08 182.54 1.00 182.54 43749.13 239.67 0.14 3.45 SOYBEAN 604.88 0.83 501.98 1.00 501.98 43749.13 87.15 -15.21 -132.55 SOYMEAL 370.80 1.26 468.73 1.00 468.73 43749.13 93.33 -15.54 -145.03 SOYOIL 287.88 1.46 419.15 1.00 419.15 43749.13 104.38 -12.07 -125.95 SP400 2735.10 1.01 2753.68 1.00 2753.68 43749.13 15.89 -3.36 -5.34 SP500_micro 236.39 0.60 141.56 1.00 141.56 43749.13 309.05 0.62 19.30 SUGAR11 231.95 2.10 487.83 1.00 487.83 43749.13 89.68 -6.77 -60.74 US10 1116.72 0.42 466.22 1.00 466.22 43749.13 93.84 -2.64 -24.79 US10U 1162.19 0.55 643.83 1.00 643.83 43749.13 67.95 1.24 8.41 US2 2053.36 0.13 264.76 1.00 264.76 43749.13 165.24 -4.81 -79.55 US20 1219.38 0.80 979.11 1.00 979.11 43749.13 44.68 2.68 11.97 US30 1293.44 1.12 1449.60 1.00 1449.60 43749.13 30.18 1.19 3.58 US5 1080.86 0.29 309.78 1.00 309.78 43749.13 141.22 -3.96 -55.94 VIX 161.50 2.86 461.09 1.00 461.09 43749.13 94.88 -20.00 -189.76 WHEAT 329.50 1.35 445.53 1.00 445.53 43749.13 98.20 -15.10 -148.26 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 23.800 0.010 2.5 0.618 BITCOIN 206.227 0.043 2.5 22.332 BOBL -40.512 0.004 2.5 -0.411 BTP 21.746 0.014 2.5 0.742 BUND 19.056 0.004 2.5 0.193 BUXL 2.736 0.004 2.5 0.028 CAC 23.580 0.014 2.5 0.804 CAD 12.056 0.010 2.5 0.313 CANOLA -781.451 0.010 2.5 -19.012 CHF -2.228 0.010 2.5 -0.058 COCOA 110.259 0.009 2.5 2.361 COFFEE -4.152 0.005 2.5 -0.048 COPPER -5.589 0.043 2.5 -0.605 CORN -430.480 0.010 2.5 -10.473 COTTON2 -137.523 0.009 2.5 -2.945 CRUDE_W 20.414 0.043 2.5 2.211 DAX 425.308 0.014 2.5 14.507 DOW 207.423 0.009 2.5 4.821 DX -71.574 0.010 2.5 -1.857 EUR 1.417 0.010 2.5 0.037 EURIBOR-ICE 249.032 0.014 2.5 8.494 EUROSTX 112.357 0.014 2.5 3.832 FEEDCOW -29.456 0.013 2.5 -0.976 GASOIL 12.602 0.017 2.5 0.546 GASOLINE -6.534 0.017 2.5 -0.283 GAS_US_mini -79.475 0.043 2.5 -8.606 GBP 42.366 0.010 2.5 1.099 GOLD_micro -147.056 0.014 2.5 -5.016 HEATOIL 3.719 0.017 2.5 0.161 JGB-SGX-mini 196.239 0.043 2.5 21.251 JPY -8.479 0.010 2.5 -0.220 LEANHOG -12.287 0.024 2.5 -0.747 LIVECOW -66.945 0.013 2.5 -2.218 LUMBER-new -76.284 0.009 2.5 -1.629 MILK -260.179 0.009 2.5 -5.572 MXP 353.808 0.059 2.5 51.930 NASDAQ_micro 15.096 0.009 2.5 0.351 NIKKEI 138.781 0.043 2.5 15.028 NZD 75.196 0.010 2.5 1.951 OAT 40.877 0.014 2.5 1.394 OATIES -120.577 0.010 2.5 -2.934 OJ -1.290 0.009 2.5 -0.028 PALLAD 2.858 0.014 2.5 0.097 PLAT 52.752 0.014 2.5 1.799 REDWHEAT -154.452 0.005 2.5 -2.049 RICE -40.349 0.010 2.5 -0.982 ROBUSTA 61.633 0.005 2.5 0.720 RUSSELL -88.892 0.013 2.5 -2.946 SHATZ -175.121 0.004 2.5 -1.776 SILVER-mini -20.751 0.014 2.5 -0.708 SMI 69.559 0.014 2.5 2.373 SOFR 3.454 0.024 2.5 0.210 SOYBEAN -132.546 0.004 2.5 -1.233 SOYMEAL -145.031 0.004 2.5 -1.349 SOYOIL -125.945 0.004 2.5 -1.172 SP400 -5.340 0.013 2.5 -0.177 SP500_micro 19.299 0.009 2.5 0.449 SUGAR11 -60.743 0.009 2.5 -1.292 US10 -24.792 0.005 2.5 -0.314 US10U 8.412 0.005 2.5 0.107 US2 -79.552 0.005 2.5 -1.008 US20 11.968 0.005 2.5 0.152 US30 3.578 0.005 2.5 0.045 US5 -55.942 0.005 2.5 -0.709 VIX -189.763 0.099 2.5 -46.842 WHEAT -148.255 0.005 2.5 -1.967 ===================== Position diags ===================== AUD 2.64 BITCOIN 40.42 BOBL 1.39 BTP 1.96 BUND 0.67 BUXL 0.27 CAC 2.64 CAD 3.98 CANOLA 9.51 CHF 1.78 COCOA 2.30 COFFEE 0.32 COPPER 4.62 CORN 5.24 COTTON2 1.93 CRUDE_W 4.08 DAX 12.17 DOW 9.80 DX 2.65 EUR 1.72 EURIBOR-ICE 9.28 EUROSTX 4.14 FEEDCOW 1.34 GASOIL 1.38 GASOLINE 1.12 GAS_US_mini 20.48 GBP 2.68 GOLD_micro 9.92 HEATOIL 1.06 JGB-SGX-mini 22.84 JPY 1.78 LEANHOG 5.21 LIVECOW 2.52 LUMBER-new 4.90 MILK 2.79 MXP 34.76 NASDAQ_micro 4.29 NIKKEI 25.81 NZD 3.14 OAT 2.21 OATIES 2.79 OJ 0.97 PALLAD 0.50 PLAT 2.06 REDWHEAT 1.08 RICE 2.69 ROBUSTA 1.04 RUSSELL 11.73 SHATZ 4.11 SILVER-mini 1.58 SMI 1.99 SOFR 14.57 SOYBEAN 0.81 SOYMEAL 0.87 SOYOIL 0.97 SP400 0.53 SP500_micro 7.18 SUGAR11 1.91 US10 1.19 US10U 0.86 US2 2.09 US20 0.57 US30 0.38 US5 1.79 VIX 23.42 WHEAT 1.30 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.4 0.9 2.0 2 BITCOIN 22.3 18.3 26.4 43.0 43 BOBL -0.4 -0.5 -0.3 0.0 0 BTP 0.7 0.5 0.9 1.0 1 BUND 0.2 0.1 0.3 0.0 0 BUXL 0.0 0.0 0.1 1.0 1 CAC 0.8 0.5 1.1 0.0 0 CAD 0.3 -0.1 0.7 2.0 2 CANOLA -19.0 -20.0 -18.1 -6.0 -6 CHF -0.1 -0.2 0.1 -4.0 -4 COCOA 2.4 2.1 2.6 4.0 4 COFFEE -0.0 -0.1 -0.0 0.0 0 COPPER -0.6 -1.1 -0.1 4.0 4 CORN -10.5 -11.0 -9.9 -6.0 -6 COTTON2 -2.9 -3.1 -2.8 -4.0 -4 CRUDE_W 2.2 1.8 2.6 2.0 2 DAX 14.5 13.3 15.7 0.0 0 DOW 4.8 3.8 5.8 0.0 0 DX -1.9 -2.1 -1.6 NaN 0 EUR 0.0 -0.1 0.2 3.0 3 EURIBOR-ICE 8.5 7.6 9.4 6.0 6 EUROSTX 3.8 3.4 4.2 19.0 19 FEEDCOW -1.0 -1.1 -0.8 -1.0 -1 GASOIL 0.5 0.4 0.7 0.0 0 GASOLINE -0.3 -0.4 -0.2 0.0 0 GAS_US_mini -8.6 -10.7 -6.6 -13.0 -13 GBP 1.1 0.8 1.4 1.0 1 GOLD_micro -5.0 -6.0 -4.0 -17.0 -17 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 21.3 19.0 23.5 9.0 9 JPY -0.2 -0.4 -0.0 0.0 0 LEANHOG -0.7 -1.3 -0.2 -2.0 -2 LIVECOW -2.2 -2.5 -2.0 0.0 0 LUMBER-new -1.6 -2.1 -1.1 NaN 0 MILK -5.6 -5.9 -5.3 NaN 0 MXP 51.9 48.5 55.4 46.0 46 NASDAQ_micro 0.4 -0.1 0.8 8.0 8 NIKKEI 15.0 12.4 17.6 19.0 19 NZD 2.0 1.6 2.3 2.0 2 OAT 1.4 1.2 1.6 0.0 0 OATIES -2.9 -3.2 -2.7 NaN 0 OJ -0.0 -0.1 0.1 NaN 0 PALLAD 0.1 0.0 0.1 0.0 0 PLAT 1.8 1.6 2.0 0.0 0 REDWHEAT -2.0 -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 -2.9 -4.1 -1.8 -3.0 -3 SHATZ -1.8 -2.2 -1.4 NaN 0 SILVER-mini -0.7 -0.9 -0.5 NaN 0 SMI 2.4 2.2 2.6 9.0 9 SOFR 0.2 -1.2 1.7 NaN 0 SOYBEAN -1.2 -1.3 -1.2 -2.0 -2 SOYMEAL -1.3 -1.4 -1.3 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 -3.0 -3 SP400 -0.2 -0.2 -0.1 0.0 0 SP500_micro 0.4 -0.3 1.2 0.0 0 SUGAR11 -1.3 -1.5 -1.1 -1.0 -1 US10 -0.3 -0.4 -0.2 -8.0 -8 US10U 0.1 0.0 0.2 0.0 0 US2 -1.0 -1.2 -0.8 NaN 0 US20 0.2 0.1 0.2 0.0 0 US30 0.0 0.0 0.1 5.0 5 US5 -0.7 -0.9 -0.5 0.0 0 VIX -46.8 -49.2 -44.5 -17.0 -17 WHEAT -2.0 -2.1 -1.8 -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 0.3 0.6 0.5 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.0 -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 0.0 -0.1 -0.2 0.0 -0.0 0.1 -0.5 -0.4 -0.3 0.2 BITCOIN -0.2 0.3 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.1 -0.3 0.6 0.6 -0.2 0.4 0.1 0.7 BOBL 0.2 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 -0.2 0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP 0.2 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 0.1 -1.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.5 -0.2 0.1 0.2 -0.5 -0.7 0.3 0.1 BUND 0.1 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 0.1 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 0.1 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 -0.4 -0.2 0.1 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.2 0.6 0.0 0.1 -0.1 0.1 -0.0 0.1 0.0 -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 0.3 0.1 -1.1 0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 -0.4 -0.5 -0.2 -0.1 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 -0.2 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 -0.3 0.3 -0.0 -0.2 -0.7 -0.6 0.0 -0.5 CANOLA -0.5 -0.6 -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 -0.2 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.5 -0.6 -0.6 -0.5 -0.4 -0.2 -0.0 CHF 0.6 0.6 0.3 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.1 0.4 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.1 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 0.1 -0.7 -0.7 -0.7 -0.7 COCOA -0.2 0.4 0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.5 -0.0 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 -0.5 0.2 0.6 0.6 0.7 0.0 0.7 0.7 COFFEE -0.1 0.4 0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.1 -0.0 0.0 0.0 -2.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.6 -0.2 0.3 0.6 0.6 -0.6 -0.7 -0.5 -0.4 COPPER 0.1 0.4 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 -0.1 -0.1 0.0 -1.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 0.1 0.1 0.2 0.4 0.1 -0.3 -0.3 0.2 -0.2 CORN -0.3 -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 -0.2 -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 -0.2 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.2 -0.2 -0.0 -0.2 -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 -0.1 0.5 0.2 0.1 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W 0.1 -0.4 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.0 0.2 -0.1 -0.6 -0.1 0.0 0.0 -0.0 0.2 -0.1 -0.1 -0.1 0.0 0.2 0.5 0.7 0.5 0.7 0.5 DAX -0.4 0.6 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.1 0.6 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.1 0.3 0.2 2.5 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.0 -0.6 0.4 0.2 0.2 0.2 0.5 0.6 DOW 0.3 0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 0.1 0.6 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 0.0 -0.4 0.1 0.6 0.6 0.4 -0.3 -0.1 -0.3 -0.2 DX -0.3 -0.6 -0.4 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 -0.1 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 0.2 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 0.1 -0.2 -0.2 -0.6 -0.4 -0.5 -0.2 EURIBOR-ICE 0.3 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.0 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.1 0.1 2.2 0.0 -0.0 0.1 0.0 0.0 0.0 -0.4 -0.2 0.0 0.2 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 0.0 -0.1 0.4 -0.2 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 -0.2 -0.6 -0.1 0.2 0.0 0.3 0.2 0.5 FEEDCOW 0.6 -0.4 -0.6 -0.0 -0.1 -0.1 -0.1 -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 -0.2 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -1.1 0.0 0.4 -0.2 -0.6 0.4 0.1 0.7 0.4 GASOIL 0.2 -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 0.2 0.4 0.3 0.4 -0.1 -0.0 -0.0 0.2 -0.1 1.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.9 -0.0 0.2 0.2 0.2 -0.3 -0.1 -0.6 -0.3 GASOLINE 0.2 -0.2 -0.5 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -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 0.2 0.5 -0.0 0.7 0.4 0.7 0.3 GAS_US_mini 0.5 -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 -0.0 2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.5 0.3 -0.3 -0.0 -0.6 0.1 -0.7 -0.0 GBP 0.0 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 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.3 -0.1 -0.1 -0.3 -0.5 0.0 -0.4 0.4 GOLD_micro 0.1 0.4 0.5 0.0 -0.1 0.0 -0.1 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 0.1 0.0 0.2 0.3 -0.7 -0.7 -0.5 -0.6 HEATOIL 0.2 -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 0.1 0.2 0.3 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 0.1 -0.0 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 0.0 -0.2 -0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 -0.0 -0.3 -0.1 -0.1 -0.4 0.1 -0.4 -0.1 -0.1 -0.1 -0.0 -0.4 -0.1 1.9 -0.0 0.1 -0.1 0.1 -0.3 0.0 0.2 0.5 0.4 -0.0 -0.0 -0.4 -0.3 0.3 0.4 LIVECOW 0.3 -0.6 -0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.2 0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.2 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.4 0.0 0.2 -0.5 -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 0.0 -0.0 0.1 -1.2 0.1 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 -0.2 -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 1.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -1.1 0.3 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.4 0.0 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 0.2 0.1 0.3 0.1 1.1 0.3 0.1 -0.3 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro 0.0 0.6 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.4 -0.1 0.5 0.1 0.1 -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 -0.2 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 0.0 0.4 0.1 1.1 0.5 -0.2 -0.6 -0.2 -0.4 -0.0 -0.3 0.1 NZD 0.3 0.6 0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.0 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 -0.0 -0.0 0.1 0.3 -0.3 -0.4 -0.2 0.2 OAT 0.2 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 0.1 -0.0 0.0 0.0 0.7 -0.4 -0.2 0.1 0.2 -0.6 -0.7 0.1 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 -0.6 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 -0.1 -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 -0.1 -0.6 -0.2 0.6 0.4 0.4 0.7 0.7 PALLAD 0.5 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 -0.0 -0.3 -0.2 -0.2 0.0 -0.1 PLAT 0.4 0.5 0.2 0.0 -0.1 0.0 -0.1 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 1.8 0.0 -0.0 0.0 -0.0 0.0 0.0 0.2 0.2 0.5 0.3 0.2 -0.2 -0.3 0.5 -0.1 REDWHEAT -0.0 0.4 -0.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -1.6 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 0.2 -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 -0.1 -0.1 -0.2 -0.1 -0.1 0.4 0.0 0.5 0.1 0.1 -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 -0.1 0.6 0.6 -0.1 -0.4 0.3 -0.1 ROBUSTA 0.0 0.5 -0.2 -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 -0.0 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL 0.4 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 -0.2 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 0.3 0.2 -0.1 -0.6 -0.6 -0.7 -0.6 SHATZ 0.3 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 -0.2 -0.1 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 SILVER-mini -0.1 0.2 0.1 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.0 -0.1 0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.7 -0.7 0.2 -0.5 SMI 0.1 0.6 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.1 -0.1 0.2 1.4 0.1 0.0 0.1 0.1 -0.0 0.1 0.9 0.5 0.2 -0.2 -0.2 0.0 -0.2 0.2 -0.2 SOFR 0.3 0.6 0.5 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 -0.6 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 0.2 -0.2 0.2 -0.2 -0.2 0.3 0.3 0.3 0.3 -0.2 -0.1 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 1.1 -0.3 -0.6 -0.1 0.2 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -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 -0.2 -0.6 -0.6 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.2 -0.2 -0.6 -0.0 -0.1 -0.1 -0.1 -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 -0.0 -0.2 0.2 -0.5 -0.3 -0.0 -0.0 0.3 SP400 0.3 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 -0.2 0.2 0.2 -0.1 -0.6 -0.3 -0.7 -0.7 SP500_micro 0.1 0.6 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.4 0.0 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.4 0.2 -2.7 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.1 0.4 0.2 0.1 0.2 -0.2 0.3 -0.3 SUGAR11 -0.4 -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 -0.5 -0.6 -0.3 0.1 -0.3 0.4 0.2 US10 0.3 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 -0.0 -0.1 -0.0 -0.1 -0.7 -0.7 -0.4 0.2 US10U 0.3 0.6 0.5 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 0.4 0.6 0.5 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 -0.2 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 0.7 0.7 US30 0.3 0.6 0.5 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 0.5 -0.6 -0.2 -0.1 -0.0 -0.3 -0.0 -0.6 -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 -0.4 -0.0 -0.7 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 0.5 -0.0 -0.1 -0.1 -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 0.2 -0.2 0.1 0.1 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 10.3 20.0 14.3 4.5 -0.3 3.2 1.5 1.9 3.8 -13.6 1.9 3.3 -6.6 11.0 12.4 -2.2 -2.9 -2.6 -2.8 14.7 6.9 -2.5 -2.8 10.8 3.0 5.0 -1.7 2.3 0.7 -0.5 4.4 -1.0 -8.0 0.8 -1.2 2.7 -16.4 -11.5 -7.5 5.0 BITCOIN -4.8 8.3 20.0 1.4 -12.1 0.8 -7.3 0.5 -1.2 3.0 20.0 5.0 18.5 15.3 20.0 -9.0 -6.4 -8.9 -7.9 20.0 20.0 6.3 17.1 15.5 -20.0 7.6 -1.7 7.6 -1.0 5.0 3.3 -2.2 4.9 -10.2 20.0 20.0 -5.4 12.4 3.5 19.6 BOBL 7.4 20.0 20.0 2.2 -1.5 0.9 0.3 -0.6 2.0 -7.6 4.2 0.1 -2.3 6.2 7.5 -20.0 -9.4 -20.0 -14.1 12.6 7.5 -2.3 -1.0 8.7 7.9 2.7 -2.2 1.6 -0.5 -0.0 1.9 -17.5 -12.7 -4.8 0.2 5.7 -17.7 -20.0 -2.7 -18.2 BTP 6.1 20.0 17.9 3.4 -2.3 1.4 0.4 -0.9 3.0 -12.0 8.7 -0.1 6.5 8.3 11.1 4.5 7.1 5.7 6.1 19.7 13.1 -3.4 3.6 13.1 -8.5 4.0 -2.7 2.6 -0.9 0.8 2.5 13.5 -20.0 -6.1 3.2 7.5 -14.1 -20.0 8.0 3.5 BUND 4.6 20.0 20.0 2.4 -1.6 1.0 0.3 -0.6 2.1 -8.4 4.8 -0.9 -2.6 6.2 7.9 4.6 4.2 2.3 2.2 13.7 8.0 -3.0 -1.4 9.1 5.3 2.8 -2.2 1.7 -0.8 -0.0 1.8 7.5 -16.1 -6.1 1.1 5.5 -17.9 -20.0 -3.8 -6.6 BUXL 3.3 20.0 20.0 2.8 -1.9 1.2 0.4 -0.7 2.4 -9.8 4.8 -2.9 -5.3 6.7 8.5 0.1 0.6 0.3 0.5 15.2 7.6 -4.2 -3.8 9.8 0.9 3.1 -2.0 1.6 -0.8 -0.4 2.0 3.3 -18.3 -7.4 3.7 4.1 -20.0 -20.0 -3.7 9.6 CAC -6.1 20.0 0.8 5.8 -5.6 3.8 -2.1 1.9 3.5 -20.0 13.9 -15.2 20.0 14.5 19.6 -9.4 -4.4 -8.1 -6.7 20.0 14.1 -14.4 12.3 7.6 -8.4 5.6 -5.3 3.9 -4.8 2.8 1.6 0.7 -15.4 -16.0 -6.1 -2.2 8.1 7.9 17.3 14.1 CAD 17.5 20.0 4.5 6.5 -0.4 4.6 2.1 2.7 5.6 -20.0 -0.0 6.2 -6.8 15.5 15.8 -1.8 -2.2 -2.2 -2.3 20.0 7.0 0.6 -4.4 20.0 2.5 6.3 -1.7 1.8 2.2 -1.3 7.1 0.0 -14.2 8.5 -1.5 -7.0 -20.0 -18.3 0.9 -14.6 CANOLA -13.9 -17.8 -20.0 -2.6 -5.1 -2.8 -4.3 -3.3 -3.2 -9.1 -7.0 -9.9 -6.0 -10.0 -10.2 -11.4 -0.4 -10.8 -7.1 -16.1 -13.6 -16.7 -10.2 -16.6 -20.0 -4.0 -3.2 -3.3 -3.9 -2.6 -4.3 -2.2 -14.6 -15.5 -18.1 -20.0 -15.1 -12.1 -5.7 -0.5 CHF 18.4 20.0 8.6 5.5 -0.3 3.9 1.8 2.3 4.7 -7.7 6.7 11.5 10.2 16.6 17.2 -15.6 -15.4 -16.3 -16.1 20.0 15.1 15.3 7.4 20.0 -8.7 6.8 2.3 3.2 6.6 1.3 8.8 -20.0 20.0 20.0 20.0 2.8 -20.0 -20.0 -19.8 -20.0 COCOA -5.9 10.9 20.0 -6.6 -13.1 -7.1 -11.0 -8.5 -8.2 -12.1 20.0 -0.5 20.0 19.2 20.0 10.9 1.4 7.7 4.0 20.0 20.0 -1.8 20.0 17.9 -20.0 8.5 -5.2 11.7 -3.5 12.5 2.1 7.9 -20.0 6.4 20.0 20.0 20.0 0.7 20.0 20.0 COFFEE -3.0 13.3 20.0 -3.1 -6.0 -3.3 -5.1 -3.9 -3.8 -10.7 5.0 -5.1 -2.1 3.6 8.3 7.5 4.3 7.6 5.7 9.4 7.2 -4.9 1.6 4.0 -15.3 3.6 -2.8 3.0 -1.7 1.3 1.4 12.1 -7.9 9.8 18.4 20.0 -18.8 -20.0 -14.6 -10.8 COPPER 2.5 13.9 6.4 1.2 -10.0 0.7 -6.0 0.4 -1.0 -17.0 -0.2 -4.1 -2.9 8.7 11.5 -4.2 -4.4 -5.5 -5.4 8.1 3.3 -7.3 -2.8 3.7 -8.2 4.6 -6.7 2.2 -2.5 -0.6 2.7 1.5 2.3 6.2 13.2 3.0 -8.3 -9.4 7.5 -6.9 CORN -7.8 -2.7 -6.3 -6.5 -12.9 -7.0 -10.8 -8.3 -8.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.4 -1.9 -8.6 -6.5 -15.2 -20.0 -20.0 -20.0 -17.8 -20.0 -8.1 -10.7 -6.3 -13.2 -8.0 -12.4 -3.4 -9.2 -20.0 -8.2 6.5 -7.1 -11.7 0.9 2.9 COTTON2 2.4 -3.4 -15.6 -5.3 -10.5 -5.7 -8.8 -6.8 -6.6 -9.3 -12.4 -4.9 -9.0 -2.4 -13.9 -9.5 -0.8 -7.6 -4.8 -10.8 -12.4 -0.5 -9.7 -3.3 -20.0 -4.0 1.0 -5.0 2.9 -2.4 0.7 -0.9 20.0 6.4 3.7 -11.6 -18.8 -14.7 -5.9 1.0 CRUDE_W 2.1 -12.7 -4.5 -5.1 0.9 -2.4 -1.8 1.1 -4.2 -1.9 5.0 -2.7 6.6 -8.3 -13.2 6.1 9.6 7.7 9.0 -7.5 0.1 -3.8 7.6 -7.4 -4.4 -4.7 0.7 0.4 -3.1 5.3 -5.4 -1.1 -2.8 0.5 7.0 14.9 20.0 14.0 20.0 14.4 DAX -12.0 20.0 7.7 5.5 -5.2 3.6 -2.0 1.7 3.2 -11.6 14.2 -11.6 18.0 18.1 20.0 -15.1 -9.5 -12.9 -11.2 20.0 19.3 -6.1 11.7 14.9 18.6 5.9 -2.5 3.9 -2.3 1.9 2.6 -7.5 -1.8 -20.0 13.1 5.7 5.6 5.3 16.0 17.0 DOW 8.0 20.0 17.4 4.6 -4.4 3.0 -1.6 1.5 2.7 -15.5 15.8 12.2 15.3 18.5 19.3 -11.5 -9.4 -11.0 -10.5 20.0 20.0 7.6 14.7 20.0 -13.2 6.2 -1.5 4.3 0.5 2.5 4.5 -7.0 6.2 18.0 20.0 10.8 -8.3 -4.0 -8.6 -6.7 DX -8.8 -20.0 -11.1 3.6 -0.2 2.5 1.2 1.5 3.1 10.9 0.5 -1.6 -4.8 -7.9 -9.2 5.0 6.0 5.9 6.2 -10.9 -4.9 2.2 1.0 -8.0 -20.0 -3.8 0.2 -1.4 -1.5 0.7 -3.8 14.4 2.1 -20.0 -20.0 -16.6 14.7 4.1 19.5 11.9 EUR 5.8 12.1 7.0 4.1 -0.2 2.9 1.3 1.7 3.5 -10.9 -0.6 1.2 5.7 6.2 9.6 -5.4 -6.7 -5.9 -6.2 7.8 3.8 -2.6 -0.2 5.2 10.5 4.0 0.3 1.7 2.0 -0.1 4.1 -7.2 0.9 1.7 -6.9 -4.7 -18.8 -12.2 -15.3 -6.5 EURIBOR-ICE 8.2 20.0 20.0 2.1 -1.4 0.9 0.3 -0.5 1.8 -6.6 6.3 2.6 0.9 6.7 7.9 -0.4 -5.8 -2.5 -4.5 16.8 12.1 0.7 2.9 12.2 16.3 2.9 -1.4 2.0 0.2 0.5 2.2 -7.1 -8.8 1.3 6.6 15.1 -20.0 -20.0 6.8 20.0 EUROSTX -10.7 20.0 6.2 5.6 -5.3 3.6 -2.0 1.8 3.3 -16.4 14.6 -14.4 19.6 14.5 19.6 9.4 -1.0 2.4 -0.5 20.0 17.9 -11.3 14.8 8.2 3.1 5.8 -3.8 4.6 -4.0 3.1 1.4 8.3 -7.7 -20.0 -3.9 6.0 1.5 7.7 7.1 15.5 FEEDCOW 18.7 -13.2 -20.0 -3.3 -6.5 -3.6 -5.5 -4.2 -4.1 -1.8 -7.8 9.2 -1.2 1.6 -8.2 -20.0 -20.0 -19.8 -20.0 -12.0 -14.0 4.4 -3.9 0.1 -1.8 -3.1 -1.4 -2.7 -0.6 0.8 -1.0 -20.0 0.8 13.3 -6.4 -20.0 12.6 3.3 20.0 11.1 GASOIL 6.3 -15.0 -11.4 -4.0 0.7 -1.9 -1.5 0.8 -3.3 -1.3 4.3 0.2 5.5 -5.1 -10.9 12.0 20.0 15.3 18.3 -8.2 -1.5 -3.1 6.9 -6.6 7.7 -3.4 0.5 -0.1 -1.1 3.3 -2.8 17.2 -1.8 5.2 4.8 6.1 -9.3 -2.4 -19.4 -8.1 GASOLINE 7.5 -6.2 -16.2 -4.9 0.9 -2.3 -1.8 1.0 -4.1 -6.0 -1.2 4.8 4.3 1.1 -12.0 -20.0 14.1 -20.0 -1.6 -6.5 -4.2 -1.5 4.5 -2.8 -20.0 -4.1 -1.4 -1.7 -2.2 4.4 -3.0 -1.2 -0.1 7.3 15.9 -1.4 20.0 12.1 20.0 10.0 GAS_US_mini 15.4 -19.4 -2.7 -3.4 0.6 -1.6 -1.2 0.7 -2.8 12.2 -11.7 11.5 -14.2 -6.3 -10.3 20.0 -20.0 -4.3 -20.0 -16.3 -19.6 10.3 -20.0 -3.7 18.5 -3.5 3.2 -3.6 2.8 -2.5 -0.5 -20.0 20.0 7.8 -9.2 -0.9 -17.4 3.9 -20.0 -0.2 GBP 1.4 15.6 3.9 4.6 -0.3 3.2 1.5 1.9 3.9 -0.3 -0.2 2.6 8.5 11.6 12.2 -0.1 -0.7 -0.3 -0.4 9.9 5.9 2.1 2.5 7.4 1.8 4.8 3.2 2.4 4.0 0.4 5.2 2.9 12.5 -4.4 -3.6 -7.7 -14.1 0.4 -10.7 12.8 GOLD_micro 4.5 11.6 14.4 1.0 -8.6 0.6 -5.2 0.3 -0.8 -13.2 7.6 4.8 6.7 8.3 12.5 -12.8 -13.9 -13.8 -14.3 10.9 8.2 -1.1 4.4 6.8 -5.2 3.8 -2.2 3.2 -1.3 2.1 1.6 -14.5 4.3 0.6 6.8 9.9 -19.9 -20.0 -15.8 -18.7 HEATOIL 4.8 -14.6 -13.1 -4.5 0.8 -2.1 -1.6 0.9 -3.7 4.8 2.9 0.4 4.2 -7.8 -12.9 20.0 20.0 20.0 20.0 -10.6 -3.7 -1.5 6.0 -7.5 -20.0 -3.9 2.2 -0.4 0.4 4.7 -2.5 20.0 6.0 6.9 8.7 2.8 14.5 0.4 12.0 -4.7 JGB-SGX-mini 12.1 20.0 6.3 1.9 -1.3 0.8 0.2 -0.5 1.6 4.8 2.4 6.5 3.3 6.9 6.6 8.4 18.5 12.7 14.8 7.0 3.8 4.2 1.6 6.8 -2.3 2.0 0.9 0.8 1.2 -0.1 2.0 20.0 5.7 -0.8 0.1 -2.1 1.2 -20.0 10.7 17.1 JPY 10.5 20.0 20.0 2.6 -0.3 1.8 1.0 1.1 2.4 -7.7 -4.8 0.5 -8.0 6.6 5.6 -13.8 -16.1 -16.0 -16.6 5.0 -1.8 -2.6 -8.7 5.0 20.0 2.0 -2.3 -0.7 0.1 -3.0 2.5 -20.0 -4.3 1.0 -1.2 -6.6 -9.1 -20.0 -3.6 -20.0 LEANHOG 1.3 -7.4 -7.6 -3.9 -7.8 -4.2 -6.5 -5.0 -4.9 8.1 -5.2 -3.9 -9.7 -9.6 -11.4 -20.0 2.6 -20.0 -7.0 -10.7 -11.4 -4.2 -13.1 -8.9 14.4 -1.2 9.7 -4.7 5.7 -8.9 2.1 4.0 20.0 11.7 -1.3 -0.7 -11.3 -8.1 7.6 11.1 LIVECOW 10.0 -19.6 -20.0 -3.9 -7.7 -4.2 -6.4 -5.0 -4.8 3.6 -8.2 9.6 -0.3 -2.8 -9.9 -13.3 -5.6 -10.8 -8.6 -16.5 -15.6 3.6 -3.5 -4.5 0.0 -4.7 -1.6 -3.2 -1.7 1.1 -2.9 -7.1 0.4 5.3 -15.3 -20.0 6.5 -6.1 11.8 -0.0 LUMBER-new 11.0 16.5 10.9 -6.8 -13.4 -7.1 -11.2 -7.3 -8.4 -9.7 -1.6 9.3 -18.1 15.4 20.0 -9.5 -13.9 -12.3 -13.4 20.0 8.7 8.8 -5.7 20.0 NaN 7.9 -0.7 3.5 3.3 -0.3 8.0 -19.8 3.1 20.0 20.0 20.0 -17.4 -20.0 -10.5 -20.0 MILK -19.4 -20.0 -18.6 -5.2 -10.2 -5.6 -8.6 -6.6 -6.4 -12.7 -19.5 -19.2 -19.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -20.0 -20.0 12.4 -7.5 -1.3 -6.8 -3.7 -6.8 -6.7 -20.0 11.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.7 13.5 1.5 5.7 -0.3 4.0 1.8 2.4 4.8 8.8 17.4 17.0 19.1 19.4 18.9 15.6 16.4 14.8 15.2 19.9 17.8 12.2 20.0 18.7 -20.0 6.7 5.3 5.6 6.0 7.6 7.3 20.0 13.8 2.7 -9.2 -5.8 12.2 17.9 20.0 20.0 NASDAQ_micro 0.8 20.0 11.8 3.7 -3.5 2.4 -1.3 1.2 2.2 -14.2 13.5 -6.6 13.7 7.5 13.4 -11.7 -9.2 -10.9 -10.2 20.0 20.0 -14.0 20.0 8.1 -20.0 4.7 -3.3 4.5 -1.7 4.6 2.4 -6.5 -8.0 8.6 2.4 7.0 13.8 -5.8 15.4 -7.8 NIKKEI 0.3 5.0 2.0 5.2 -4.4 3.2 -0.9 1.5 3.7 -5.0 17.6 9.8 18.9 9.3 16.1 18.5 11.5 13.7 11.8 11.1 15.5 -0.1 20.0 6.3 -14.2 5.3 2.7 7.0 3.8 10.4 4.9 20.0 20.0 -6.0 -20.0 -6.9 -11.2 -1.2 -7.9 3.1 NZD 9.8 20.0 15.3 4.9 -0.3 3.5 1.6 2.1 4.2 -12.7 4.5 4.0 2.2 13.9 15.2 0.3 0.2 0.2 0.1 20.0 11.1 -0.5 -0.4 14.7 0.8 5.9 0.1 3.2 2.1 0.3 5.3 4.2 -1.8 -1.2 3.0 8.7 -8.6 -12.2 -5.5 5.1 OAT 4.6 20.0 20.0 2.6 -1.7 1.1 0.3 -0.7 2.3 -9.1 5.7 -1.0 -2.1 6.6 8.4 4.4 6.9 5.0 5.6 15.5 9.4 -3.3 -0.4 10.1 7.7 3.1 -2.2 1.9 -0.8 0.1 1.9 13.0 -18.6 -5.8 3.2 7.0 -18.1 -20.0 1.6 6.0 OATIES 7.5 -1.7 -20.0 -2.2 -4.3 -2.3 -3.6 -2.8 -2.7 -6.6 -6.0 -2.0 -4.5 -2.1 -6.9 0.9 -7.2 -5.7 -9.0 -7.0 -7.3 -5.5 -3.8 -4.2 -20.0 -2.5 -2.1 -2.5 -1.2 -1.3 -1.4 -11.3 4.6 -0.7 -3.0 -18.9 0.8 6.7 11.1 20.0 OJ -20.0 -20.0 -20.0 -3.5 -7.0 -3.8 -5.8 -4.5 -4.4 -2.3 8.0 -8.6 11.7 -10.5 -2.5 4.1 19.4 13.1 17.6 -6.0 12.7 -13.5 20.0 -18.1 -20.0 -0.4 -2.6 4.9 -4.4 8.4 -4.5 20.0 -4.9 -20.0 -4.9 20.0 10.5 12.3 20.0 20.0 PALLAD 15.5 17.1 13.4 0.5 -4.2 0.3 -2.5 0.2 -0.4 -7.2 -5.2 -2.0 -7.6 0.1 -0.8 -1.7 -2.3 -1.9 -2.1 -1.2 -4.8 -7.3 -9.1 -1.7 6.1 -0.4 -1.8 -1.7 -0.8 -2.3 0.3 6.1 -8.4 14.8 -1.0 -8.5 -5.2 -7.2 1.0 -1.8 PLAT 11.2 15.0 7.0 0.9 -7.7 0.5 -4.6 0.3 -0.7 -11.1 -3.3 2.3 -5.6 9.4 8.5 -3.4 -2.9 -3.4 -3.3 8.5 2.2 -1.7 -2.7 7.8 13.9 3.7 -3.2 1.6 -0.1 0.1 3.6 4.7 6.3 16.3 10.2 4.8 -5.1 -8.6 15.5 -2.4 REDWHEAT -0.9 13.5 -13.6 -4.1 -8.2 -4.5 -6.8 -5.3 -5.1 -5.8 -14.2 -10.5 -15.2 -1.0 -9.5 -2.9 -1.4 -3.7 -3.1 -11.1 -18.1 -5.3 -20.0 -6.2 -12.3 -5.5 -0.1 -7.2 -3.0 -6.8 -4.2 0.1 6.5 -15.0 -5.8 -14.5 -20.0 -20.0 -20.0 -14.1 RICE -2.6 2.1 6.6 -5.2 -10.2 -5.5 -8.5 -6.6 -6.4 -7.4 16.2 1.2 12.9 8.5 13.7 -12.3 0.5 -13.3 -7.3 11.6 11.9 2.4 8.9 7.4 -20.0 1.6 -6.6 3.5 -9.1 2.9 -4.0 -0.1 -20.0 -1.6 19.1 19.4 -2.8 -11.9 8.6 -2.0 ROBUSTA 1.2 16.0 -6.3 -2.7 -5.3 -2.9 -4.5 -3.4 -3.3 -5.6 8.9 1.8 9.5 6.1 8.3 20.0 20.0 20.0 20.0 14.5 12.2 0.8 10.2 10.4 -16.0 3.6 -0.1 2.8 0.9 2.3 2.9 20.0 -0.5 20.0 20.0 20.0 -12.0 -14.6 -0.8 0.7 RUSSELL 11.4 20.0 9.8 2.8 -2.7 1.8 -1.0 0.9 1.7 -10.7 4.4 -0.2 0.3 7.8 8.6 -6.0 -6.1 -6.3 -6.4 14.1 7.2 -4.6 0.8 10.2 -1.9 3.0 -2.6 1.5 -1.3 0.4 2.0 -0.7 -11.2 7.8 6.2 -3.4 -18.6 -16.7 -20.0 -19.0 SHATZ 9.9 20.0 20.0 2.0 -1.4 0.8 0.3 -0.5 1.8 -7.0 1.2 1.0 -4.9 5.7 6.3 -20.0 -20.0 -20.0 -20.0 9.6 4.5 -2.2 -3.6 7.1 8.7 2.4 -1.9 1.2 -0.1 -0.5 2.0 -20.0 -7.2 -3.9 -0.4 4.3 -14.7 -20.0 -6.6 -20.0 SILVER-mini -4.5 6.0 3.2 1.0 -8.1 0.6 -4.9 0.3 -0.8 -7.7 0.5 -5.5 2.8 -4.0 3.2 -7.2 -6.4 -7.0 -6.9 0.1 0.7 -10.3 -0.0 -5.0 5.7 -0.8 -2.5 0.2 -4.7 0.5 -3.0 -1.5 -1.4 -4.5 -2.6 -2.6 -20.0 -20.0 5.1 -14.2 SMI 4.3 20.0 -0.6 5.5 -5.3 3.6 -2.0 1.8 3.3 9.4 0.3 9.2 3.5 19.7 17.8 11.7 4.0 8.1 5.4 18.2 4.8 10.0 -2.8 19.3 10.8 6.5 1.4 2.2 4.7 -0.6 7.6 17.7 20.0 7.2 -5.7 -7.7 1.1 -6.5 5.9 -5.7 SOFR 8.6 20.0 16.3 2.4 -1.6 1.0 0.3 -0.6 2.1 -8.4 2.5 2.3 -1.2 7.3 8.4 1.3 -0.2 0.8 0.1 11.3 5.5 -1.7 -1.6 8.0 -1.6 2.9 -1.3 1.3 0.4 -0.3 2.5 1.9 -0.3 -1.9 0.2 1.2 -20.0 -20.0 -6.2 -6.5 SOYBEAN -18.7 -11.5 -2.7 -5.5 -10.9 -5.9 -9.1 -7.1 -6.8 -19.2 6.0 -20.0 6.1 -19.6 -14.1 14.2 17.2 15.1 15.1 -15.3 -4.9 -20.0 -0.8 -20.0 -20.0 -3.1 -10.3 1.0 -12.3 1.8 -9.6 20.0 -13.6 -20.0 -3.8 7.6 -20.0 -20.0 -20.0 -20.0 SOYMEAL -19.4 -18.8 3.5 -4.1 -8.0 -4.4 -6.7 -5.2 -5.0 -14.1 -3.4 -15.0 2.3 -15.3 -7.4 6.1 16.1 11.8 13.8 -12.4 -3.1 -20.0 2.2 -20.0 -20.0 -2.8 -4.9 0.6 -6.0 2.5 -6.0 20.0 -7.7 -17.9 -17.6 9.7 -20.0 -20.0 -20.0 -19.4 SOYOIL -6.6 -5.1 -20.0 -3.2 -6.3 -3.4 -5.3 -4.1 -3.9 -9.4 -5.2 -10.9 -5.6 -11.0 -12.0 -3.6 7.6 1.2 4.7 -12.0 -11.6 -9.1 -8.0 -10.4 -20.0 -3.0 -3.3 -3.1 -3.7 -2.3 -3.2 14.6 -0.4 -6.5 5.4 -14.1 -10.5 -1.1 -1.1 9.0 SP400 8.6 20.0 6.8 3.1 -2.9 2.0 -1.1 1.0 1.8 -11.2 6.2 0.5 3.8 9.2 10.2 -4.8 -5.0 -5.1 -5.2 15.0 8.4 -4.3 2.5 10.5 -9.4 3.3 -2.4 1.9 -1.5 0.8 2.0 1.3 -10.0 6.0 5.5 -2.0 -17.0 -8.8 -20.0 -20.0 SP500_micro 3.6 20.0 10.3 4.6 -4.4 3.0 -1.6 1.5 2.7 -17.3 14.9 0.7 14.7 14.2 18.0 -12.2 -10.2 -11.7 -11.2 20.0 20.0 -6.1 15.9 17.3 -20.0 5.7 -3.2 4.5 -1.3 3.6 3.5 -8.3 -4.3 10.9 6.9 2.9 5.5 -5.5 9.4 -8.2 SUGAR11 -13.2 -20.0 -20.0 -2.3 -4.5 -2.5 -3.8 -2.9 -2.8 -1.4 -3.0 -3.4 5.2 -7.5 -6.8 13.0 19.4 20.0 20.0 -13.5 -6.0 -4.4 2.5 -12.3 -18.0 -2.7 -0.1 -1.1 -1.0 0.8 -2.5 20.0 9.9 -14.4 -20.0 -7.9 2.2 -8.5 12.9 6.0 US10 9.2 20.0 18.0 2.1 -1.4 0.8 0.3 -0.5 1.8 -7.2 -0.4 1.5 -3.5 5.8 6.6 -9.3 -7.4 -8.1 -7.9 8.1 2.2 -1.5 -4.9 6.0 1.4 2.3 -1.1 0.6 0.2 -1.0 2.0 -11.2 -1.4 -1.8 -0.4 -1.9 -20.0 -20.0 -11.7 5.2 US10U 9.3 20.0 16.5 2.8 -1.9 1.1 0.4 -0.7 2.4 -9.7 -0.3 1.6 -4.6 7.7 8.6 2.7 0.5 2.1 1.1 10.9 2.7 -2.4 -6.8 8.2 -1.8 3.0 -1.8 0.7 0.0 -1.4 2.6 3.2 -3.3 -2.8 -0.6 -3.7 -20.0 -20.0 4.2 15.2 US2 13.2 20.0 20.0 2.0 -0.4 0.8 0.8 -0.5 1.9 -6.7 -2.6 3.9 -5.3 6.1 6.1 -20.0 -20.0 -20.0 -20.0 6.7 1.3 0.6 -6.1 6.1 8.0 2.4 -0.3 0.8 1.1 -1.2 2.4 -20.0 -0.1 -1.9 -1.4 2.7 -16.5 -20.0 -11.1 -20.0 US20 11.7 20.0 16.4 2.0 -1.4 0.8 0.3 -0.5 1.8 -7.2 0.6 1.7 -2.9 5.9 6.5 -0.7 -1.3 -0.7 -1.1 9.5 2.6 -0.9 -4.8 7.7 -1.9 2.2 -1.3 0.5 0.1 -1.0 1.9 -0.4 -2.4 -0.5 2.0 -2.7 -20.0 -20.0 19.6 20.0 US30 7.9 20.0 17.0 2.4 -1.6 1.0 0.3 -0.6 2.1 -8.4 0.6 0.3 -3.9 6.4 7.2 -5.7 -4.3 -5.2 -5.0 9.4 2.4 -2.6 -5.9 6.8 -1.5 2.4 -1.8 0.5 -0.3 -1.3 1.9 -5.9 -4.3 -4.0 0.2 -3.9 -11.7 -17.6 20.0 20.0 US5 13.0 20.0 20.0 2.1 -0.4 0.8 0.9 -0.5 2.0 -6.7 -0.7 3.3 -3.9 6.4 6.8 -8.6 -10.1 -9.5 -10.3 8.2 2.5 0.5 -4.5 7.0 3.4 2.4 -0.5 0.8 0.9 -0.9 2.4 -15.8 -1.3 -2.2 -1.1 0.4 -20.0 -20.0 -20.0 -11.6 VIX 9.0 -11.9 -4.6 -5.0 -1.1 -7.4 -0.6 -10.5 -2.4 -14.6 -20.0 -7.6 -20.0 -14.6 -18.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -6.6 -20.0 -13.1 NaN -5.9 -1.4 -8.3 -0.4 -11.6 -2.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.8 14.2 -1.2 -5.0 -9.8 -5.3 -8.2 -6.3 -6.1 -6.5 -15.6 -6.8 -18.4 7.5 3.0 -9.8 -10.4 -10.7 -10.8 -3.5 -13.3 -2.6 -20.0 -0.4 -3.5 -2.0 3.5 -5.5 0.3 -8.6 -0.7 -14.5 9.9 -5.0 1.6 3.5 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3