******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240108_204004 produced at 2024-01-08 21:36:56.202959 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.26 0.0 0.09 -0.09 -0.09 -0.09 -46.14 17.0 -17 -17 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.10 -0.10 -0.05 -0.05 -10.29 12.0 -6 -6 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.07 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.07 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 -1.93 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.41 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.58 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 -19.43 51.0 -6 -6 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.04 0.0 0.41 -0.41 -0.12 -0.12 -5.63 56.0 -16 -16 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.92 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 -1.04 8.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.34 7.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.96 -0.96 0.00 0.00 -0.79 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 -2.99 2.0 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 -0.72 0.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.19 11.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.01 -1.47 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 -0.02 -6.80 26.0 -12 -10 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.47 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.08 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.97 9.0 -4 -4 caleb_strategy_v3 BOBL False False 0.05 -0.18 -0.02 0.0 0.88 -0.88 -0.18 -0.23 -0.48 19.0 -4 -5 caleb_strategy_v3 COPPER False False 0.03 0.03 -0.02 0.0 0.20 -0.20 0.03 0.03 -0.69 6.0 1 1 caleb_strategy_v3 US10 False False 0.04 -0.32 -0.01 0.0 0.68 -0.68 -0.32 -0.32 -0.34 17.0 -8 -8 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.21 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 -1.06 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.01 0.0 0.24 -0.24 -0.03 -0.03 -3.20 68.0 -8 -8 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.04 18.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.44 17.0 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 -1.83 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 -0.06 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.05 0.00 0.0 0.22 -0.22 0.05 0.05 0.02 4.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.04 2.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 -0.00 0.0 0.14 -0.14 -0.01 -0.01 -0.13 13.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.54 -0.54 0.00 0.00 0.09 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.21 0.00 0.0 0.69 -0.69 -0.21 -0.11 0.02 13.0 -4 -2 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.23 0.03 6.0 5 5 caleb_strategy_v3 EUR False False 0.05 0.10 0.00 0.0 0.68 -0.68 0.10 0.10 0.06 14.0 2 2 caleb_strategy_v3 CAD False False 0.03 0.05 0.00 0.0 0.77 -0.77 0.05 0.05 0.16 29.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.10 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 0.75 23.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.01 0.0 0.46 -0.46 0.05 0.05 0.58 19.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.08 0.01 0.0 0.27 -0.27 0.08 0.08 0.46 23.0 7 7 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.41 -0.41 0.00 0.01 0.95 48.0 0 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.15 3.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.14 9.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.01 0.0 0.10 -0.10 0.03 0.03 0.50 4.0 1 1 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 COCOA False False 0.01 0.06 0.02 0.0 0.38 -0.38 0.06 0.06 1.65 26.0 4 4 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.77 12.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.03 0.0 0.46 -0.46 0.05 0.05 0.75 10.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.03 0.03 0.0 0.17 -0.17 0.03 0.03 1.55 10.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.45 -0.45 0.00 0.00 5.16 66.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.47 -0.47 0.04 0.04 1.96 21.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.04 0.0 0.12 -0.12 0.02 0.02 1.61 5.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.06 0.04 0.0 0.62 -0.62 0.06 0.06 1.35 22.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.05 0.0 0.10 -0.10 0.07 0.07 28.48 59.0 43 43 caleb_strategy_v3 EUROSTX False False 0.02 0.34 0.07 0.0 0.35 -0.35 0.34 0.34 4.15 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 1.43 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.38 -0.38 0.00 0.00 15.36 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 2.65 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.15 0.0 0.30 -0.30 0.16 0.16 18.39 36.0 19 19 caleb_strategy_v3 MXP False False 0.01 0.48 0.60 0.0 0.63 -0.63 0.48 0.54 57.65 60.0 46 52 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.33 0.83 0.0 0.58 -0.58 0.33 0.36 22.95 16.0 9 10 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.29 0.83 0.0 0.95 -0.95 0.29 0.19 8.74 10.0 3 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.0 Shocked risk 56.6 Sum abs risk 48.1 Leverage 4.44 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2807904.12, 'annual_cash_vol_target': 701976.03, 'daily_cash_vol_target': 43873.501875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6733 0.6271 10.0335 BITCOIN 1281.4148 47530.0000 2.6960 43.1362 BOBL 0.2764 118.4900 0.2333 3.7324 BTP 0.6612 118.1000 0.5599 8.9578 BUND 0.5756 135.8500 0.4237 6.7798 BUXL 1.4196 138.3400 1.0261 16.4182 CAC 51.5647 7481.5000 0.6892 11.0277 CAD 0.0028 0.7496 0.3733 5.9722 CANOLA 7.3439 624.7000 1.1756 18.8094 CHF 0.0050 1.1886 0.4216 6.7448 COCOA 44.0944 4073.0000 1.0826 17.3216 COFFEE 4.1202 181.4500 2.2707 36.3315 COPPER 0.0405 3.8250 1.0596 16.9541 CORN 4.1481 489.0000 0.8483 13.5727 COTTON2 0.9558 80.3600 1.1894 19.0299 CRUDE_W 1.2155 69.5800 1.7470 27.9515 DAX 114.5276 16900.0000 0.6777 10.8428 DOW 203.5787 37870.0000 0.5376 8.6012 DX 0.4207 101.9850 0.4125 6.5995 EUR 0.0052 1.0986 0.4713 7.5402 EURIBOR-ICE 0.0556 97.9450 0.0568 0.9081 EUROSTX 33.0263 4526.0000 0.7297 11.6752 FEEDCOW 2.1104 229.9500 0.9177 14.6840 GASOIL 14.0106 732.7500 1.9121 30.5928 GASOLINE 0.0410 2.2739 1.8011 28.8174 GAS_US_mini 0.0908 2.6000 3.4927 55.8836 GBP 0.0066 1.2757 0.5210 8.3366 GOLD_micro 15.1655 2033.7000 0.7457 11.9313 HEATOIL 0.0425 2.4920 1.7072 27.3149 JGB-SGX-mini 0.2926 147.0700 0.1989 3.1828 JPY 0.0000 0.0070 0.6981 11.1695 LEANHOG 1.2645 77.4500 1.6326 26.1224 LIVECOW 1.4034 173.0750 0.8109 12.9741 LUMBER-new 6.8652 572.0000 1.2002 19.2034 MILK 0.1684 16.3100 1.0324 16.5189 MXP 0.0004 0.0588 0.6187 9.8985 NASDAQ_micro 129.9901 16781.5000 0.7746 12.3937 NIKKEI 259.3393 33320.0000 0.7783 12.4533 NZD 0.0036 0.6246 0.5698 9.1166 OAT 0.5855 130.2000 0.4497 7.1954 OATIES 7.4758 355.0000 2.1058 33.6936 OJ 6.4400 310.2000 2.0761 33.2175 PALLAD 29.7740 1000.5000 2.9759 47.6145 PLAT 14.6638 955.9000 1.5340 24.5445 REDWHEAT 10.7302 620.5000 1.7293 27.6685 RICE 0.1963 17.7500 1.1061 17.6982 ROBUSTA 50.2041 2883.0000 1.7414 27.8621 RUSSELL 24.7724 1998.6000 1.2395 19.8318 SHATZ 0.0941 106.1850 0.0886 1.4174 SILVER-mini 0.3730 23.5875 1.5813 25.3002 SMI 63.1551 11198.0000 0.5640 9.0238 SOFR 0.0714 96.6800 0.0738 1.1809 SOYBEAN 9.9063 1202.0000 0.8242 13.1864 SOYMEAL 4.5843 369.0000 1.2424 19.8779 SOYOIL 0.6856 48.2100 1.4221 22.7539 SP400 27.2660 2761.9000 0.9872 15.7955 SP500_micro 29.5493 4790.2500 0.6169 9.8698 SUGAR11 0.4404 21.2700 2.0707 33.1317 US10 0.4584 111.9844 0.4093 6.5491 US10U 0.6308 116.5469 0.5413 8.6602 US2 0.1259 102.7266 0.1226 1.9616 US20 0.9579 122.4375 0.7824 12.5176 US30 1.4187 130.0625 1.0908 17.4522 US5 0.2989 108.1719 0.2763 4.4205 VIX 0.4694 15.5500 3.0187 48.2991 WHEAT 9.3165 643.7500 1.4472 23.1555 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.30 0.63 422.22 1.00 422.22 43873.5 103.91 2.17 22.52 BITCOIN 47.53 2.70 128.14 1.00 128.14 43873.5 342.38 7.68 263.03 BOBL 1184.90 0.23 276.41 1.09 302.03 43873.5 145.26 -3.24 -47.11 BTP 1181.00 0.56 661.19 1.09 722.49 43873.5 60.73 3.61 21.92 BUND 1358.50 0.42 575.65 1.09 629.01 43873.5 69.75 2.69 18.74 BUXL 1383.40 1.03 1419.56 1.09 1551.15 43873.5 28.28 0.66 1.87 CAC 748.15 0.69 515.65 1.09 563.45 43873.5 77.87 2.88 22.46 CAD 749.60 0.37 279.80 1.00 279.80 43873.5 156.81 0.40 6.23 CANOLA 124.94 1.18 146.88 0.75 109.89 43873.5 399.25 -20.00 -798.50 CHF 1485.75 0.42 626.32 1.00 626.32 43873.5 70.05 0.12 0.83 COCOA 407.30 1.08 440.94 1.00 440.94 43873.5 99.50 7.73 76.91 COFFEE 680.44 2.27 1545.08 1.00 1545.08 43873.5 28.40 -1.67 -4.75 COPPER 956.25 1.06 1013.27 1.00 1013.27 43873.5 43.30 -1.46 -6.33 CORN 244.50 0.85 207.41 1.00 207.41 43873.5 211.53 -20.00 -423.07 COTTON2 401.80 1.19 477.89 1.00 477.89 43873.5 91.81 -14.86 -136.41 CRUDE_W 695.80 1.75 1215.54 1.00 1215.54 43873.5 36.09 4.11 14.84 DAX 169.00 0.68 114.53 1.09 125.14 43873.5 350.58 12.85 450.46 DOW 189.35 0.54 101.79 1.00 101.79 43873.5 431.02 5.15 222.07 DX 1019.85 0.41 420.66 1.00 420.66 43873.5 104.30 -7.12 -74.27 EUR 1373.31 0.47 647.19 1.00 647.19 43873.5 67.79 0.35 2.36 EURIBOR-ICE 2448.62 0.06 138.98 1.09 151.86 43873.5 288.90 8.87 256.29 EUROSTX 452.60 0.73 330.26 1.09 360.88 43873.5 121.57 10.01 121.73 FEEDCOW 1149.75 0.92 1055.18 1.00 1055.18 43873.5 41.58 -7.55 -31.38 GASOIL 732.75 1.91 1401.06 1.00 1401.06 43873.5 31.31 3.68 11.53 GASOLINE 955.04 1.80 1720.10 1.00 1720.10 43873.5 25.51 -4.26 -10.86 GAS_US_mini 65.00 3.49 227.03 1.00 227.03 43873.5 193.25 -3.25 -62.82 GBP 797.31 0.52 415.43 1.00 415.43 43873.5 105.61 4.94 52.12 GOLD_micro 203.37 0.75 151.65 1.00 151.65 43873.5 289.30 -5.70 -164.92 HEATOIL 1046.64 1.71 1786.80 1.00 1786.80 43873.5 24.55 1.39 3.42 JGB-SGX-mini 147070.00 0.20 29255.99 0.01 201.56 43873.5 217.67 9.74 211.97 JPY 876.62 0.70 611.96 1.00 611.96 43873.5 71.69 -2.38 -17.07 LEANHOG 309.80 1.63 505.79 1.00 505.79 43873.5 86.74 -0.26 -2.21 LIVECOW 692.30 0.81 561.37 1.00 561.37 43873.5 78.15 -9.31 -72.74 LUMBER-new 157.30 1.20 188.79 1.00 188.79 43873.5 232.39 -3.69 -85.83 MILK 326.20 1.03 336.78 1.00 336.78 43873.5 130.27 -20.00 -260.55 MXP 293.80 0.62 181.76 1.00 181.76 43873.5 241.38 16.27 392.79 NASDAQ_micro 335.63 0.77 259.98 1.00 259.98 43873.5 168.76 1.18 19.83 NIKKEI 33320.00 0.78 25933.93 0.01 180.71 43873.5 242.78 6.99 169.82 NZD 624.60 0.57 355.89 1.00 355.89 43873.5 123.28 6.13 75.63 OAT 1302.00 0.45 585.52 1.09 639.80 43873.5 68.57 6.10 41.82 OATIES 177.50 2.11 373.79 1.00 373.79 43873.5 117.38 -10.46 -122.73 OJ 465.30 2.08 966.01 1.00 966.01 43873.5 45.42 -1.04 -4.74 PALLAD 1000.50 2.98 2977.40 1.00 2977.40 43873.5 14.74 0.81 1.19 PLAT 477.95 1.53 733.19 1.00 733.19 43873.5 59.84 7.59 45.42 REDWHEAT 310.25 1.73 536.51 1.00 536.51 43873.5 81.78 -19.14 -156.51 RICE 355.00 1.11 392.68 1.00 392.68 43873.5 111.73 -3.88 -43.40 ROBUSTA 288.30 1.74 502.04 1.00 502.04 43873.5 87.39 7.33 64.08 RUSSELL 99.93 1.24 123.86 1.00 123.86 43873.5 354.21 -2.72 -96.42 SHATZ 1061.85 0.09 94.07 1.09 102.79 43873.5 426.83 -4.78 -203.91 SILVER-mini 589.69 1.58 932.45 1.00 932.45 43873.5 47.05 -4.50 -21.18 SMI 1119.80 0.56 631.55 1.17 741.50 43873.5 59.17 13.13 77.68 SOFR 2417.00 0.07 178.38 1.00 178.38 43873.5 245.95 -0.13 -3.14 SOYBEAN 601.00 0.82 495.32 1.00 495.32 43873.5 88.58 -16.25 -143.95 SOYMEAL 369.00 1.24 458.43 1.00 458.43 43873.5 95.70 -16.52 -158.07 SOYOIL 289.26 1.42 411.36 1.00 411.36 43873.5 106.65 -12.23 -130.44 SP400 2761.90 0.99 2726.60 1.00 2726.60 43873.5 16.09 -3.45 -5.55 SP500_micro 239.51 0.62 147.75 1.00 147.75 43873.5 296.95 1.37 40.81 SUGAR11 238.22 2.07 493.30 1.00 493.30 43873.5 88.94 -5.52 -49.10 US10 1119.84 0.41 458.37 1.00 458.37 43873.5 95.72 -2.78 -26.59 US10U 1165.47 0.54 630.82 1.00 630.82 43873.5 69.55 0.99 6.85 US2 2054.53 0.12 251.88 1.00 251.88 43873.5 174.18 -4.85 -84.56 US20 1224.38 0.78 957.89 1.00 957.89 43873.5 45.80 2.39 10.96 US30 1300.62 1.09 1418.68 1.00 1418.68 43873.5 30.93 0.79 2.44 US5 1081.72 0.28 298.86 1.00 298.86 43873.5 146.80 -4.27 -62.64 VIX 155.50 3.02 469.41 1.00 469.41 43873.5 93.47 -20.00 -186.93 WHEAT 321.88 1.45 465.82 1.00 465.82 43873.5 94.18 -15.76 -148.40 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 22.522 0.010 2.5 0.584 BITCOIN 263.032 0.043 2.5 28.483 BOBL -47.109 0.004 2.5 -0.478 BTP 21.923 0.014 2.5 0.748 BUND 18.744 0.004 2.5 0.190 BUXL 1.869 0.004 2.5 0.019 CAC 22.460 0.014 2.5 0.766 CAD 6.228 0.010 2.5 0.162 CANOLA -798.502 0.010 2.5 -19.427 CHF 0.833 0.010 2.5 0.022 COCOA 76.908 0.009 2.5 1.647 COFFEE -4.749 0.005 2.5 -0.055 COPPER -6.327 0.043 2.5 -0.685 CORN -423.066 0.010 2.5 -10.293 COTTON2 -136.414 0.009 2.5 -2.922 CRUDE_W 14.837 0.043 2.5 1.607 DAX 450.461 0.014 2.5 15.365 DOW 222.074 0.009 2.5 5.161 DX -74.266 0.010 2.5 -1.927 EUR 2.361 0.010 2.5 0.061 EURIBOR-ICE 256.288 0.014 2.5 8.742 EUROSTX 121.728 0.014 2.5 4.152 FEEDCOW -31.384 0.013 2.5 -1.040 GASOIL 11.527 0.017 2.5 0.500 GASOLINE -10.858 0.017 2.5 -0.471 GAS_US_mini -62.815 0.043 2.5 -6.802 GBP 52.124 0.010 2.5 1.352 GOLD_micro -164.917 0.014 2.5 -5.625 HEATOIL 3.420 0.017 2.5 0.148 JGB-SGX-mini 211.974 0.043 2.5 22.954 JPY -17.067 0.010 2.5 -0.443 LEANHOG -2.213 0.024 2.5 -0.134 LIVECOW -72.741 0.013 2.5 -2.410 LUMBER-new -85.833 0.009 2.5 -1.833 MILK -260.548 0.009 2.5 -5.580 MXP 392.793 0.059 2.5 57.652 NASDAQ_micro 19.833 0.009 2.5 0.461 NIKKEI 169.820 0.043 2.5 18.390 NZD 75.628 0.010 2.5 1.962 OAT 41.817 0.014 2.5 1.426 OATIES -122.730 0.010 2.5 -2.986 OJ -4.744 0.009 2.5 -0.102 PALLAD 1.191 0.014 2.5 0.041 PLAT 45.418 0.014 2.5 1.549 REDWHEAT -156.511 0.005 2.5 -2.076 RICE -43.401 0.010 2.5 -1.056 ROBUSTA 64.082 0.005 2.5 0.748 RUSSELL -96.416 0.013 2.5 -3.195 SHATZ -203.911 0.004 2.5 -2.068 SILVER-mini -21.185 0.014 2.5 -0.723 SMI 77.676 0.014 2.5 2.649 SOFR -3.137 0.024 2.5 -0.191 SOYBEAN -143.949 0.004 2.5 -1.339 SOYMEAL -158.075 0.004 2.5 -1.470 SOYOIL -130.443 0.004 2.5 -1.214 SP400 -5.550 0.013 2.5 -0.184 SP500_micro 40.806 0.009 2.5 0.948 SUGAR11 -49.100 0.009 2.5 -1.044 US10 -26.588 0.005 2.5 -0.337 US10U 6.851 0.005 2.5 0.087 US2 -84.561 0.005 2.5 -1.072 US20 10.955 0.005 2.5 0.139 US30 2.445 0.005 2.5 0.031 US5 -62.638 0.005 2.5 -0.794 VIX -186.932 0.099 2.5 -46.143 WHEAT -148.402 0.005 2.5 -1.969 ===================== Position diags ===================== AUD 2.70 BITCOIN 37.08 BOBL 1.47 BTP 2.07 BUND 0.71 BUXL 0.29 CAC 2.66 CAD 4.07 CANOLA 9.71 CHF 1.82 COCOA 2.13 COFFEE 0.33 COPPER 4.69 CORN 5.15 COTTON2 1.97 CRUDE_W 3.91 DAX 11.96 DOW 10.02 DX 2.71 EUR 1.76 EURIBOR-ICE 9.85 EUROSTX 4.15 FEEDCOW 1.38 GASOIL 1.36 GASOLINE 1.11 GAS_US_mini 20.93 GBP 2.74 GOLD_micro 9.87 HEATOIL 1.06 JGB-SGX-mini 23.57 JPY 1.86 LEANHOG 5.27 LIVECOW 2.59 LUMBER-new 4.96 MILK 2.79 MXP 35.43 NASDAQ_micro 3.92 NIKKEI 26.29 NZD 3.20 OAT 2.34 OATIES 2.86 OJ 0.97 PALLAD 0.50 PLAT 2.04 REDWHEAT 1.08 RICE 2.72 ROBUSTA 1.02 RUSSELL 11.74 SHATZ 4.33 SILVER-mini 1.60 SMI 2.02 SOFR 14.95 SOYBEAN 0.82 SOYMEAL 0.89 SOYOIL 0.99 SP400 0.53 SP500_micro 6.90 SUGAR11 1.89 US10 1.21 US10U 0.88 US2 2.21 US20 0.58 US30 0.39 US5 1.86 VIX 23.07 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.3 0.9 2.0 2 BITCOIN 28.5 24.8 32.2 43.0 43 BOBL -0.5 -0.6 -0.3 -4.0 -4 BTP 0.7 0.5 1.0 1.0 1 BUND 0.2 0.1 0.3 0.0 0 BUXL 0.0 -0.0 0.0 1.0 1 CAC 0.8 0.5 1.0 0.0 0 CAD 0.2 -0.2 0.6 2.0 2 CANOLA -19.4 -20.4 -18.5 -6.0 -6 CHF 0.0 -0.2 0.2 -4.0 -4 COCOA 1.6 1.4 1.9 4.0 4 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -0.7 -1.2 -0.2 1.0 1 CORN -10.3 -10.8 -9.8 -6.0 -6 COTTON2 -2.9 -3.1 -2.7 -4.0 -4 CRUDE_W 1.6 1.2 2.0 1.0 1 DAX 15.4 14.2 16.6 0.0 0 DOW 5.2 4.2 6.2 0.0 0 DX -1.9 -2.2 -1.7 NaN 0 EUR 0.1 -0.1 0.2 2.0 2 EURIBOR-ICE 8.7 7.8 9.7 3.0 3 EUROSTX 4.2 3.7 4.6 19.0 19 FEEDCOW -1.0 -1.2 -0.9 -1.0 -1 GASOIL 0.5 0.4 0.6 1.0 1 GASOLINE -0.5 -0.6 -0.4 0.0 0 GAS_US_mini -6.8 -8.9 -4.7 -12.0 -12 GBP 1.4 1.1 1.6 2.0 2 GOLD_micro -5.6 -6.6 -4.6 -16.0 -16 HEATOIL 0.1 0.0 0.3 0.0 0 JGB-SGX-mini 23.0 20.6 25.3 9.0 9 JPY -0.4 -0.6 -0.3 0.0 0 LEANHOG -0.1 -0.7 0.4 -1.0 -1 LIVECOW -2.4 -2.7 -2.2 0.0 0 LUMBER-new -1.8 -2.3 -1.3 NaN 0 MILK -5.6 -5.9 -5.3 NaN 0 MXP 57.7 54.1 61.2 46.0 46 NASDAQ_micro 0.5 0.1 0.9 7.0 7 NIKKEI 18.4 15.8 21.0 19.0 19 NZD 2.0 1.6 2.3 2.0 2 OAT 1.4 1.2 1.7 0.0 0 OATIES -3.0 -3.3 -2.7 NaN 0 OJ -0.1 -0.2 -0.0 NaN 0 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 1.5 1.3 1.8 2.0 2 REDWHEAT -2.1 -2.2 -2.0 -3.0 -3 RICE -1.1 -1.3 -0.8 NaN 0 ROBUSTA 0.7 0.6 0.9 0.0 0 RUSSELL -3.2 -4.4 -2.0 -8.0 -8 SHATZ -2.1 -2.5 -1.6 NaN 0 SILVER-mini -0.7 -0.9 -0.6 NaN 0 SMI 2.6 2.4 2.9 9.0 9 SOFR -0.2 -1.7 1.3 NaN 0 SOYBEAN -1.3 -1.4 -1.3 -2.0 -2 SOYMEAL -1.5 -1.6 -1.4 -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 0.9 0.3 1.6 0.0 0 SUGAR11 -1.0 -1.2 -0.9 -1.0 -1 US10 -0.3 -0.5 -0.2 -8.0 -8 US10U 0.1 -0.0 0.2 0.0 0 US2 -1.1 -1.3 -0.9 NaN 0 US20 0.1 0.1 0.2 0.0 0 US30 0.0 -0.0 0.1 5.0 5 US5 -0.8 -1.0 -0.6 0.0 0 VIX -46.1 -48.5 -43.8 -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 -0.6 -0.4 -0.3 0.2 BITCOIN -0.2 0.2 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.1 0.5 0.1 0.6 0.6 -0.2 0.4 0.1 0.6 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 1.0 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 0.1 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 0.2 -0.0 0.1 0.1 -1.2 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 0.2 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 0.0 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.1 -0.0 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 -0.4 -0.3 0.1 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.3 0.6 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.1 0.7 0.1 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 -0.0 0.1 0.0 0.0 -0.5 -0.6 -0.2 -0.1 0.3 0.3 0.6 0.5 CAD 0.5 0.6 0.2 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 0.1 0.0 -0.0 0.1 0.0 -0.4 0.2 -0.1 -0.2 -0.7 -0.6 0.0 -0.5 CANOLA -0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -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 -0.2 -0.2 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.6 -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 0.0 -0.0 0.2 0.1 0.4 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.2 0.2 -1.2 0.1 0.0 0.1 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 0.1 -0.7 -0.7 -0.6 -0.7 COCOA -0.4 0.2 0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 0.5 -0.1 0.7 0.2 0.2 0.2 0.0 0.2 0.1 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.3 -0.1 0.4 0.0 0.4 -0.5 0.0 0.6 0.6 0.7 0.0 0.7 0.7 COFFEE -0.2 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 0.7 -0.2 0.3 0.6 0.6 -0.6 -0.7 -0.5 -0.4 COPPER 0.0 0.4 0.2 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 -0.1 0.0 -1.1 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.1 0.2 0.2 0.4 0.1 -0.3 -0.3 0.3 -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 -0.2 -0.2 -0.1 -0.2 -0.5 -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 -0.0 -0.3 -0.0 -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 0.2 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W 0.0 -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 -0.1 -0.1 0.2 0.5 0.7 0.5 0.7 0.5 DAX -0.5 0.6 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 0.4 -0.0 0.6 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 -0.0 -0.6 0.4 0.2 0.2 0.2 0.5 0.6 DOW 0.2 0.6 0.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 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 0.0 -0.6 -0.6 -0.6 0.5 0.1 0.7 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 1.5 0.0 0.0 0.1 0.0 -0.0 0.0 -0.4 0.0 0.1 -0.2 -0.1 -0.6 -0.4 -0.5 -0.2 EURIBOR-ICE 0.2 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.0 0.0 0.1 0.1 -0.0 -0.1 -0.0 -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 -0.4 0.6 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.1 0.7 0.2 0.2 0.2 -0.0 0.1 -0.0 0.2 0.2 -0.0 0.4 0.1 0.4 0.1 0.0 0.1 -0.0 0.1 0.0 0.5 -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 -0.1 -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 -0.3 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -1.1 0.0 0.4 -0.1 -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 -0.7 -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 0.0 0.2 -0.0 -0.1 -0.4 0.3 -0.4 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 0.2 -0.0 -0.2 -0.1 0.2 0.5 -0.0 0.7 0.4 0.7 0.3 GAS_US_mini 0.6 -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 -0.0 -0.4 -0.2 -0.2 0.1 -0.5 -0.0 2.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.5 0.4 -0.3 0.0 -0.6 0.1 -0.7 -0.0 GBP 0.1 0.5 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.4 -0.1 -0.1 -0.2 -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 0.0 0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.0 0.1 0.0 -0.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 0.0 0.1 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 0.1 -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 0.2 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 0.1 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 0.2 0.0 0.0 -0.1 0.0 -0.7 0.4 0.6 JPY 0.1 0.6 0.6 0.0 0.0 0.1 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 0.0 -0.0 -0.0 -0.2 0.0 2.7 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.1 -0.1 -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 0.0 -0.4 -0.2 -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 0.6 0.0 0.0 -0.4 -0.3 0.2 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 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.4 0.0 0.1 -0.4 -0.6 0.2 -0.2 0.4 0.0 LUMBER-new 0.4 0.6 0.4 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.2 -0.0 0.1 -0.7 0.2 0.2 -0.2 -0.3 -0.3 -0.3 0.3 0.1 0.1 -0.2 0.2 NaN 0.1 -0.0 0.1 0.0 -0.0 0.1 -1.2 0.1 0.8 0.7 0.7 -0.6 -0.8 -0.4 -0.8 MILK -0.5 -0.6 -0.6 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -1.1 0.4 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.4 0.4 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 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.2 -0.3 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro -0.2 0.6 0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.4 -0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.3 -0.0 0.3 0.1 0.2 0.5 -0.2 0.5 -0.3 NIKKEI 0.1 0.1 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 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 0.1 -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 0.1 0.2 0.0 0.0 0.0 0.0 0.2 0.1 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.2 -0.1 -0.0 0.1 0.3 -0.3 -0.4 -0.2 0.2 OAT 0.1 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 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.6 0.1 0.1 -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 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.0 0.1 0.4 0.3 0.3 -0.1 0.1 -0.2 0.5 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.3 -0.1 1.1 -0.2 -0.6 -0.2 0.6 0.4 0.4 0.7 0.7 PALLAD 0.3 0.5 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 0.4 -0.0 -0.3 -0.2 -0.2 0.0 -0.1 PLAT 0.3 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 0.3 0.1 0.4 0.3 0.1 -0.2 -0.3 0.5 -0.1 REDWHEAT -0.1 0.4 -0.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -1.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 0.1 -0.3 -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 0.4 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 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.5 -0.0 0.5 0.6 -0.1 -0.4 0.3 -0.1 ROBUSTA -0.1 0.5 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 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 0.2 0.6 0.3 0.0 -0.0 0.1 -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 0.1 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 0.2 0.2 -0.1 -0.6 -0.6 -0.7 -0.6 SHATZ 0.2 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 0.1 -0.0 -0.1 0.1 1.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.2 -0.2 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 SILVER-mini -0.2 0.2 0.1 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -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 0.2 0.0 0.2 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 1.0 0.5 0.2 -0.1 -0.2 0.0 -0.2 0.2 -0.2 SOFR 0.2 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.0 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 -0.2 -0.1 -0.2 0.1 -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 -0.5 -0.6 -0.2 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 -0.2 -0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 1.1 -0.3 -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 0.1 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 -0.5 -0.3 -0.0 -0.0 0.3 SP400 0.2 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 -1.2 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 -0.0 0.6 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 0.0 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 0.2 0.1 0.2 -0.2 0.3 -0.3 SUGAR11 -0.3 -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 0.3 -0.3 -0.6 -0.3 0.1 -0.3 0.4 0.2 US10 0.2 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.1 -0.2 -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 0.2 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 0.3 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.1 0.1 -0.4 -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 0.0 -0.0 0.1 -0.6 -0.7 -0.4 -0.7 US20 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 -0.0 -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 0.1 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 -0.2 -0.0 -0.1 -0.4 -0.6 0.7 0.7 US5 0.2 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.1 -0.2 -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 -0.0 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.4 -0.6 -0.2 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.2 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 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 -0.1 -0.5 -0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.8 0.1 -0.0 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 8.3 20.0 14.7 4.6 0.3 3.3 1.5 2.0 3.8 -12.8 2.1 2.7 -6.6 10.0 12.3 -2.1 -2.8 -2.5 -2.7 14.6 7.2 -2.7 -2.7 9.7 3.0 5.1 -1.0 2.5 0.7 -0.5 4.1 -1.0 -8.6 0.4 -1.4 2.6 -16.6 -11.3 -7.7 4.9 BITCOIN -5.4 5.7 20.0 0.6 -15.3 0.6 -9.9 0.4 -3.0 16.1 20.0 12.5 18.7 17.4 20.0 -8.7 -6.4 -8.8 -7.9 20.0 20.0 16.8 16.0 18.6 -20.0 7.8 4.2 7.7 2.0 5.1 4.3 -2.1 20.0 2.1 20.0 20.0 -5.4 12.0 3.7 19.2 BOBL 5.3 20.0 20.0 2.2 -0.8 1.0 0.3 -0.5 1.9 -7.9 4.3 -0.7 -2.1 5.7 7.3 -20.0 -9.4 -20.0 -14.1 12.8 8.0 -2.9 -1.0 7.9 7.9 2.7 -1.6 1.7 -0.5 0.0 1.7 -17.5 -13.6 -5.5 0.1 5.5 -18.0 -20.0 -2.5 -18.3 BTP 4.1 20.0 18.8 3.4 -1.3 1.5 0.4 -0.8 2.8 -12.2 8.8 -0.6 6.7 7.8 11.1 4.4 7.1 5.7 6.1 20.0 14.0 -2.9 4.0 12.7 -8.7 4.0 -1.7 2.7 -0.7 0.9 2.4 13.5 -20.0 -6.6 2.4 7.4 -14.3 -20.0 8.2 3.4 BUND 2.9 20.0 20.0 2.4 -0.9 1.1 0.3 -0.6 2.0 -8.6 4.9 -2.0 -2.4 5.8 7.7 4.6 4.3 2.4 2.2 14.0 8.5 -3.3 -1.3 8.4 5.3 2.8 -1.6 1.7 -0.7 0.0 1.6 7.5 -16.5 -7.1 0.8 5.3 -17.9 -20.0 -3.4 -6.7 BUXL 1.3 20.0 20.0 2.8 -1.0 1.2 0.4 -0.7 2.3 -10.0 4.9 -4.7 -5.2 6.2 8.3 0.1 0.6 0.2 0.5 15.3 8.1 -4.5 -3.8 8.9 0.9 3.1 -1.6 1.6 -0.8 -0.3 1.8 3.3 -18.6 -9.2 3.0 3.9 -20.0 -20.0 -3.3 9.5 CAC -9.1 20.0 2.4 5.8 -1.2 3.9 -0.9 1.9 3.5 -10.9 14.1 -13.1 20.0 13.5 19.3 -9.0 -4.4 -8.0 -6.6 19.3 14.0 -9.8 12.4 7.2 -8.4 5.5 -1.3 4.0 -3.1 2.9 1.7 0.7 -19.5 -19.8 -6.6 -2.7 7.6 8.1 16.6 14.2 CAD 14.8 20.0 4.9 6.5 0.4 4.7 2.1 2.9 5.4 -20.0 0.4 5.6 -6.5 14.5 15.6 -1.7 -2.2 -2.1 -2.2 20.0 7.4 -0.1 -4.2 18.6 2.5 6.4 -1.0 2.0 1.9 -1.2 6.7 0.0 -15.8 6.6 -1.6 -7.7 -20.0 -18.1 0.9 -14.5 CANOLA -15.5 -19.8 -20.0 -2.7 -5.5 -2.7 -4.7 -3.1 -3.5 -9.1 -7.2 -10.0 -6.2 -10.2 -10.3 -11.3 -0.6 -10.8 -7.2 -17.3 -14.3 -18.4 -10.6 -18.3 -20.0 -4.0 -3.0 -3.2 -3.8 -2.6 -4.3 -2.4 -16.8 -17.5 -19.1 -20.0 -15.1 -12.3 -5.8 -0.7 CHF 18.6 20.0 9.6 5.6 0.3 4.0 1.8 2.4 4.6 -4.3 7.4 11.8 10.5 16.4 17.5 -15.7 -15.5 -16.4 -16.1 20.0 16.1 15.4 8.0 20.0 -8.7 7.0 2.6 3.4 6.0 1.4 8.5 -20.0 20.0 20.0 20.0 4.3 -20.0 -20.0 -19.3 -20.0 COCOA -12.7 5.4 18.6 -6.7 -13.8 -6.8 -11.8 -7.9 -8.7 -19.2 20.0 -9.2 20.0 14.4 20.0 10.7 1.4 7.8 4.1 20.0 20.0 -14.4 20.0 9.2 -20.0 7.4 -10.0 11.4 -6.6 12.5 0.0 8.2 -20.0 0.0 20.0 20.0 20.0 0.8 20.0 20.0 COFFEE -5.2 13.5 20.0 -3.2 -6.5 -3.2 -5.6 -3.7 -4.1 -10.5 5.0 -7.4 -2.0 2.9 8.0 7.2 4.3 7.5 5.6 9.1 7.3 -5.2 1.7 3.1 -15.4 3.5 -2.1 3.1 -1.7 1.4 1.1 12.2 -6.4 8.8 18.3 20.0 -18.2 -20.0 -14.1 -10.6 COPPER 0.5 13.7 6.8 0.5 -12.7 0.5 -8.2 0.3 -2.4 -13.7 -0.2 -6.9 -2.9 6.8 11.0 -5.0 -4.5 -5.7 -5.5 7.4 3.2 -7.9 -2.8 2.2 -8.3 4.4 -4.6 2.3 -2.7 -0.6 2.0 1.4 8.3 6.5 12.4 3.6 -8.5 -9.2 7.7 -6.6 CORN -9.8 -3.1 -5.5 -6.7 -13.8 -6.8 -11.8 -7.8 -8.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.6 -2.0 -8.7 -6.6 -16.9 -20.0 -20.0 -20.0 -20.0 -20.0 -8.1 -15.5 -5.8 -14.6 -6.9 -12.6 -3.5 -20.0 -20.0 -9.8 5.9 -7.3 -12.0 0.3 2.9 COTTON2 2.9 -3.5 -15.7 -5.6 -11.5 -5.6 -9.8 -6.5 -7.2 -5.0 -12.7 -1.3 -9.0 -2.4 -14.0 -9.8 -0.9 -7.7 -5.0 -10.7 -12.7 0.1 -10.1 -3.0 -20.0 -3.8 1.6 -5.0 3.0 -2.5 1.0 -1.0 20.0 7.5 7.2 -11.5 -18.6 -14.8 -5.8 0.8 CRUDE_W 1.5 -13.2 -5.6 -5.0 -1.8 -2.4 -2.4 1.0 -4.2 -11.6 4.6 -6.5 6.3 -9.6 -13.6 6.0 9.6 7.6 8.9 -7.6 -0.3 -6.9 6.9 -8.1 -4.3 -4.9 -4.7 0.1 -4.8 4.9 -5.9 -1.1 -5.6 -1.6 6.5 14.0 20.0 14.1 20.0 14.6 DAX -14.0 20.0 8.6 5.4 -1.2 3.6 -0.8 1.8 3.2 9.0 14.6 -3.3 18.0 18.4 20.0 -15.0 -9.5 -13.0 -11.3 20.0 19.1 0.8 11.7 15.6 18.4 5.9 1.3 4.0 -0.4 2.0 3.0 -7.6 -1.0 -20.0 13.3 5.9 5.3 5.4 15.6 17.2 DOW 5.2 20.0 18.6 4.6 -1.0 3.1 -0.7 1.5 2.8 -5.1 16.2 13.2 15.6 18.8 19.6 -11.6 -9.4 -11.0 -10.5 20.0 20.0 9.4 15.6 20.0 -13.4 6.3 0.1 4.5 1.0 2.7 4.5 -7.1 2.5 17.9 20.0 11.1 -8.2 -3.9 -8.2 -6.8 DX -7.8 -20.0 -11.4 3.7 0.2 2.7 1.2 1.6 3.1 9.8 0.3 -1.2 -5.1 -7.0 -9.3 5.1 6.0 5.9 6.1 -11.0 -5.2 1.8 0.9 -7.5 -20.0 -4.0 -0.4 -1.5 -1.5 0.7 -3.8 14.3 1.6 -20.0 -20.0 -18.1 14.9 4.0 19.8 11.7 EUR 5.6 11.5 7.4 4.2 0.2 3.1 1.4 1.9 3.5 -10.1 -0.5 0.6 5.9 5.3 9.6 -5.4 -6.7 -5.9 -6.2 7.8 4.0 -2.2 -0.2 4.8 10.9 4.2 0.7 1.9 2.0 -0.0 4.1 -7.2 1.0 2.4 -7.5 -4.6 -19.2 -12.1 -15.4 -6.6 EURIBOR-ICE 6.5 20.0 20.0 2.1 -0.8 0.9 0.3 -0.5 1.7 -6.9 6.3 2.0 1.1 6.3 7.7 -0.4 -5.7 -2.4 -4.4 17.1 12.8 -0.1 3.2 11.5 16.2 2.8 -1.0 2.1 0.1 0.6 2.0 -7.1 -10.0 0.2 6.5 14.9 -20.0 -20.0 6.8 20.0 EUROSTX -12.7 20.0 7.7 5.6 -1.2 3.7 -0.9 1.9 3.3 -1.7 14.9 -9.3 19.6 14.2 19.6 9.7 -0.9 2.8 -0.3 20.0 17.9 -5.1 14.8 9.0 3.1 5.9 0.3 4.7 -1.9 3.3 1.9 8.6 -8.5 -20.0 -4.3 6.0 1.1 7.8 6.6 15.6 FEEDCOW 17.3 -13.5 -20.0 -3.5 -7.3 -3.6 -6.2 -4.1 -4.6 -4.2 -8.1 8.3 -1.4 2.0 -8.5 -20.0 -20.0 -20.0 -20.0 -12.3 -14.7 3.1 -4.2 -0.2 -1.9 -3.3 -1.4 -2.9 -0.8 0.8 -1.2 -20.0 1.1 12.9 -4.3 -20.0 12.7 3.4 20.0 11.3 GASOIL 6.0 -15.0 -12.2 -3.9 -1.4 -1.9 -1.9 0.8 -3.3 -4.5 4.0 -0.3 5.3 -5.0 -10.8 12.2 19.9 15.3 18.3 -7.8 -1.6 -3.4 6.5 -6.3 7.5 -3.4 -1.2 -0.2 -1.4 3.2 -2.8 17.2 -1.1 6.0 5.4 6.0 -9.6 -2.5 -19.6 -8.3 GASOLINE 5.9 -6.5 -16.5 -5.0 -1.8 -2.4 -2.4 1.0 -4.2 -13.7 -1.6 0.6 4.2 -1.0 -12.4 -20.0 13.0 -20.0 -3.4 -7.1 -4.4 -6.5 4.1 -4.9 -20.0 -4.6 -6.7 -2.0 -4.8 4.2 -4.3 -3.4 -2.8 5.4 14.7 -1.4 20.0 12.1 20.0 10.1 GAS_US_mini 17.7 -19.3 -3.4 -3.5 -1.2 -1.7 -1.7 0.7 -2.9 12.3 -11.8 12.5 -14.6 -5.4 -10.1 20.0 -20.0 -1.4 -20.0 -15.7 -20.0 11.0 -20.0 -2.1 19.2 -3.4 2.7 -3.7 2.9 -2.7 -0.1 -20.0 20.0 13.0 -7.8 0.2 -17.5 3.8 -20.0 -0.2 GBP 1.9 15.4 4.5 4.7 0.3 3.4 1.5 2.1 3.9 4.9 0.1 5.4 8.9 12.3 13.0 -0.1 -0.7 -0.3 -0.4 10.6 6.5 4.5 2.8 8.4 1.8 5.2 4.0 2.6 4.5 0.5 5.6 2.9 15.8 -2.6 -3.4 -7.1 -14.5 0.3 -11.1 12.5 GOLD_micro 3.0 11.1 14.8 0.4 -11.1 0.4 -7.2 0.3 -2.1 -14.3 7.8 2.2 6.8 6.5 12.3 -12.9 -13.9 -13.8 -14.3 9.8 8.0 -5.0 4.4 4.4 -5.2 3.4 -5.0 3.2 -3.0 2.2 0.6 -14.4 1.5 2.6 7.0 9.8 -20.0 -20.0 -16.0 -18.4 HEATOIL 4.7 -14.9 -13.5 -4.6 -1.6 -2.2 -2.2 0.9 -3.8 -0.3 2.7 -0.3 4.1 -7.9 -13.0 20.0 20.0 20.0 20.0 -10.6 -3.9 -2.5 5.8 -7.4 -20.0 -4.0 -0.5 -0.5 -0.4 4.8 -2.6 20.0 7.9 7.0 9.5 3.6 14.5 0.5 12.2 -4.5 JGB-SGX-mini 13.0 20.0 7.1 1.9 -0.7 0.8 0.2 -0.5 1.6 6.1 2.6 6.9 3.4 7.1 6.8 8.4 18.5 12.7 14.8 7.4 4.1 5.4 1.7 7.4 -2.3 2.0 1.5 0.9 1.5 -0.1 2.1 20.0 6.7 0.4 0.5 -2.0 1.1 -20.0 10.6 16.9 JPY 3.2 20.0 20.0 2.6 0.1 1.9 0.8 1.1 2.2 -7.1 -4.6 -3.6 -7.9 4.9 4.9 -13.8 -16.0 -15.9 -16.5 4.1 -1.9 -4.5 -8.9 2.4 20.0 1.9 -1.2 -0.7 -0.4 -3.1 1.8 -20.0 -4.8 -3.5 -1.3 -6.7 -9.3 -20.0 -3.9 -20.0 LEANHOG 1.4 -7.0 -7.4 -4.0 -8.3 -4.1 -7.1 -4.7 -5.2 11.9 -5.3 1.0 -9.7 -7.6 -10.8 -20.0 2.0 -20.0 -7.9 -9.7 -11.2 1.9 -13.1 -5.9 14.3 -0.2 12.3 -4.3 8.5 -8.8 4.1 3.0 20.0 18.9 0.6 0.1 -11.5 -8.2 7.3 11.1 LIVECOW 8.8 -20.0 -20.0 -4.1 -8.5 -4.2 -7.3 -4.9 -5.4 -1.8 -8.7 6.8 -0.5 -2.8 -10.2 -13.9 -5.7 -11.1 -8.8 -17.2 -16.6 1.6 -4.0 -5.0 -0.0 -5.0 -2.1 -3.4 -2.1 1.0 -3.2 -7.3 0.3 4.3 -13.2 -20.0 6.8 -5.9 12.1 0.2 LUMBER-new 9.7 16.8 10.9 -7.0 -14.4 -6.9 -12.3 -6.9 -9.1 -19.2 -1.3 7.1 -17.9 14.3 20.0 -10.1 -13.9 -12.4 -13.5 20.0 9.1 5.7 -5.5 18.3 NaN 7.8 -2.0 3.7 2.1 -0.2 7.2 -19.7 2.6 20.0 20.0 20.0 -16.2 -20.0 -9.4 -20.0 MILK -16.6 -20.0 -18.4 -5.4 -11.1 -5.4 -9.5 -6.3 -7.0 -3.6 -19.9 -18.5 -19.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.8 -20.0 -20.0 12.7 -7.6 -0.3 -7.0 -2.9 -7.0 -6.3 -20.0 17.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.6 13.6 3.8 5.7 0.3 4.1 1.8 2.5 4.7 15.6 18.0 18.6 19.5 20.0 19.6 15.7 16.4 14.9 15.2 20.0 18.8 16.4 20.0 20.0 -20.0 7.0 6.9 5.7 7.0 7.5 7.8 20.0 19.3 5.7 -8.7 -5.6 12.4 18.2 20.0 20.0 NASDAQ_micro -5.0 19.3 8.6 3.6 -0.8 2.4 -0.6 1.2 2.2 -4.8 13.4 -4.2 13.6 7.4 13.2 -11.6 -9.2 -10.9 -10.2 18.9 19.7 -5.0 18.3 8.4 -20.0 4.8 1.7 4.6 0.5 4.7 3.0 -6.6 -1.6 10.0 2.5 7.4 13.9 -5.7 15.7 -7.7 NIKKEI 1.6 4.6 2.1 5.1 -4.4 3.3 -1.6 1.6 3.1 5.6 17.9 12.6 19.1 9.9 16.5 18.7 11.5 13.9 12.0 11.4 15.7 2.8 20.0 7.1 -14.3 5.7 4.7 7.1 5.4 10.4 5.7 20.0 20.0 2.8 -20.0 -7.1 -11.2 -1.2 -7.9 3.1 NZD 8.3 20.0 15.6 5.0 0.3 3.6 1.6 2.2 4.2 -12.1 4.9 3.4 2.4 13.3 15.3 0.3 0.2 0.1 0.1 20.0 11.6 -0.7 -0.2 13.7 0.8 6.1 0.3 3.4 1.9 0.4 5.1 4.2 -2.6 -1.2 3.2 8.8 -8.8 -12.1 -5.7 5.1 OAT 2.7 20.0 20.0 2.6 -1.0 1.1 0.3 -0.6 2.2 -9.2 5.8 -1.9 -2.0 6.1 8.3 4.6 6.9 5.1 5.6 15.8 10.0 -3.4 -0.2 9.5 7.7 3.0 -1.5 1.9 -0.7 0.2 1.7 13.0 -18.7 -6.9 2.7 6.8 -18.1 -20.0 1.8 5.8 OATIES 5.6 -2.6 -20.0 -2.2 -4.6 -2.2 -3.9 -2.6 -2.9 -6.5 -6.1 -3.1 -4.6 -2.9 -7.0 1.1 -7.1 -5.4 -8.8 -7.4 -7.6 -6.2 -3.9 -5.0 -20.0 -2.6 -1.7 -2.6 -1.4 -1.4 -1.5 -11.0 5.9 2.5 -2.4 -18.4 0.4 6.6 10.6 20.0 OJ -20.0 -20.0 -20.0 -3.5 -7.3 -3.6 -6.2 -4.1 -4.6 -8.8 7.4 -10.2 11.2 -11.0 -3.6 3.7 19.2 12.6 17.3 -7.2 11.5 -16.9 20.0 -19.2 -20.0 -0.8 -3.9 4.4 -4.7 7.9 -4.7 20.0 -6.7 -20.0 -6.1 20.0 10.5 12.3 20.0 20.0 PALLAD 8.3 16.3 11.6 0.2 -5.3 0.2 -3.4 0.1 -1.0 -7.1 -5.2 -3.8 -7.6 -0.9 -1.3 -1.8 -2.3 -1.9 -2.1 -2.0 -5.0 -9.1 -9.1 -3.4 6.2 -0.6 -2.5 -1.8 -1.4 -2.4 -0.1 6.2 -9.4 13.1 -0.5 -8.5 -5.4 -7.2 0.7 -1.8 PLAT 8.5 14.7 7.5 0.4 -9.7 0.4 -6.3 0.2 -1.9 -12.3 -3.2 -2.5 -5.5 7.1 7.9 -3.4 -2.9 -3.4 -3.3 7.3 2.0 -5.4 -2.6 5.0 13.7 3.3 -5.3 1.5 -1.8 0.1 2.4 4.7 3.7 13.7 10.3 4.6 -5.2 -8.4 15.6 -2.2 REDWHEAT -1.7 13.5 -13.1 -4.3 -8.8 -4.4 -7.6 -5.0 -5.6 -11.8 -14.4 -12.7 -15.4 -2.2 -9.9 -3.0 -1.4 -3.7 -3.1 -11.5 -18.3 -7.6 -20.0 -7.3 -12.4 -5.8 -3.0 -7.3 -3.8 -6.8 -4.6 0.1 4.2 -10.4 -5.0 -14.8 -20.0 -20.0 -20.0 -14.1 RICE -3.0 2.3 6.7 -5.1 -10.5 -5.1 -8.9 -6.0 -6.6 -6.2 15.5 1.3 12.4 7.3 13.0 -12.2 0.4 -13.2 -7.3 11.1 11.5 2.7 8.7 7.1 -20.0 1.1 -4.4 3.2 -7.3 2.8 -4.0 -0.1 -20.0 -1.5 16.6 18.4 -2.6 -11.6 8.5 -1.8 ROBUSTA -3.1 15.5 -6.3 -2.8 -5.7 -2.8 -4.9 -3.2 -3.6 0.7 8.9 2.4 9.5 6.5 8.4 20.0 20.0 20.0 20.0 14.4 12.2 3.9 10.2 10.7 -16.1 3.6 1.1 2.9 1.3 2.4 3.0 20.0 8.7 20.0 20.0 20.0 -11.9 -14.6 -0.9 0.7 RUSSELL 7.4 20.0 10.3 2.8 -0.6 1.9 -0.4 0.9 1.7 -7.1 4.5 -0.0 0.4 7.1 8.4 -5.9 -6.1 -6.2 -6.4 13.4 7.2 -2.8 0.9 9.2 -1.8 2.9 -0.8 1.6 -0.7 0.4 1.9 -0.7 -13.8 7.6 6.4 -3.3 -18.9 -16.8 -20.0 -19.0 SHATZ 6.8 20.0 20.0 2.0 -0.8 0.9 0.3 -0.5 1.7 -7.2 1.4 0.0 -4.8 5.3 6.0 -20.0 -20.0 -20.0 -20.0 9.4 4.7 -3.3 -3.7 6.0 8.7 2.4 -1.6 1.2 -0.3 -0.5 1.7 -20.0 -9.1 -4.7 -0.3 4.3 -15.0 -20.0 -6.7 -20.0 SILVER-mini -5.6 5.5 3.4 0.4 -10.2 0.4 -6.6 0.3 -2.0 -9.4 0.4 -6.7 2.8 -5.7 2.7 -7.2 -6.5 -7.1 -6.9 -0.6 0.4 -10.4 -0.1 -5.9 5.6 -1.1 -3.0 0.0 -4.5 0.5 -3.3 -1.4 0.3 -0.9 -2.2 -2.4 -20.0 -20.0 5.5 -13.8 SMI 3.7 20.0 -0.4 5.6 -1.2 3.7 -0.9 1.9 3.3 18.8 1.0 16.2 3.7 20.0 18.9 11.8 4.1 8.3 5.5 19.6 5.7 14.8 -2.3 20.0 10.9 6.9 3.9 2.5 5.7 -0.5 8.2 17.9 20.0 7.6 -2.9 -7.4 1.1 -6.5 6.2 -5.7 SOFR 5.5 20.0 17.1 2.4 -0.9 1.1 0.3 -0.6 2.0 -7.5 2.7 1.2 -1.2 6.7 8.3 1.3 -0.2 0.8 0.2 11.1 5.7 -2.4 -1.5 6.9 -1.7 2.9 -1.0 1.4 0.2 -0.3 2.2 2.0 -1.2 -2.2 0.0 0.9 -20.0 -20.0 -6.1 -6.3 SOYBEAN -20.0 -13.1 -3.1 -5.7 -11.7 -5.8 -10.0 -6.7 -7.4 -19.4 5.5 -20.0 5.8 -20.0 -15.2 14.1 17.2 15.0 15.0 -17.8 -6.2 -20.0 -1.3 -20.0 -20.0 -3.9 -11.0 0.4 -12.3 1.5 -10.0 20.0 -19.1 -20.0 -6.2 7.4 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 3.2 -4.2 -8.7 -4.3 -7.4 -5.0 -5.5 -14.4 -4.1 -15.6 2.1 -15.8 -8.4 5.3 15.9 11.3 13.6 -14.2 -4.0 -20.0 1.9 -20.0 -20.0 -3.2 -5.0 0.3 -6.1 2.4 -6.2 20.0 -10.9 -20.0 -20.0 9.7 -20.0 -20.0 -20.0 -19.4 SOYOIL -7.4 -5.9 -20.0 -3.3 -6.9 -3.4 -5.9 -3.9 -4.3 -8.0 -5.5 -11.1 -5.9 -11.4 -12.4 -3.8 7.5 1.0 4.5 -12.6 -12.3 -8.9 -8.5 -10.8 -20.0 -3.2 -2.4 -3.3 -3.5 -2.5 -3.4 14.5 2.3 -6.6 5.8 -14.4 -10.3 -1.2 -1.2 8.9 SP400 5.7 20.0 7.5 3.1 -0.7 2.0 -0.5 1.0 1.8 -7.2 6.4 0.8 3.9 8.6 10.1 -4.8 -5.0 -5.1 -5.2 14.7 8.6 -2.4 2.7 9.8 -9.4 3.3 -0.7 2.0 -0.8 0.9 1.9 1.4 -12.7 5.7 5.6 -2.0 -17.4 -8.8 -20.0 -20.0 SP500_micro -0.4 20.0 9.9 4.6 -1.0 3.1 -0.7 1.5 2.7 -3.9 15.1 3.2 14.8 14.2 18.0 -12.2 -10.2 -11.7 -11.2 20.0 20.0 0.8 15.5 17.1 -20.0 5.8 1.3 4.7 0.6 3.7 3.9 -8.3 -1.2 12.7 7.0 3.3 5.5 -5.4 9.7 -8.1 SUGAR11 -8.1 -20.0 -20.0 -2.4 -4.9 -2.4 -4.2 -2.8 -3.1 3.9 -3.1 -0.7 5.1 -7.2 -6.8 12.8 19.4 20.0 20.0 -12.8 -6.0 -1.5 2.4 -10.4 -18.1 -2.6 0.7 -1.2 -0.5 0.8 -2.2 20.0 14.3 -8.5 -20.0 -8.3 2.5 -8.2 12.9 6.0 US10 6.2 20.0 19.0 2.1 -0.8 0.9 0.3 -0.5 1.7 -5.4 -0.3 1.1 -3.4 5.4 6.5 -9.3 -7.4 -8.1 -7.9 7.9 2.4 -1.4 -4.9 5.4 1.5 2.3 -0.5 0.7 0.2 -1.0 1.8 -11.2 -1.2 -1.9 -0.6 -2.1 -20.0 -20.0 -12.0 5.4 US10U 5.9 20.0 17.4 2.8 -1.0 1.2 0.4 -0.7 2.3 -8.2 -0.1 0.6 -4.5 7.1 8.6 2.6 0.5 2.1 1.1 10.6 2.8 -2.7 -6.9 7.2 -1.7 2.9 -1.1 0.8 -0.1 -1.4 2.3 3.2 -3.6 -3.4 -1.0 -4.1 -20.0 -20.0 4.3 15.3 US2 8.8 20.0 20.0 1.9 -0.7 0.8 0.2 -0.5 1.6 -5.0 -2.4 3.2 -5.2 5.5 6.0 -20.0 -20.0 -20.0 -20.0 6.6 1.5 -0.3 -6.2 4.9 8.1 2.4 0.0 0.9 0.8 -1.1 2.1 -20.0 1.5 0.6 -0.5 2.6 -16.6 -20.0 -11.2 -20.0 US20 7.8 20.0 17.5 2.0 -0.8 0.9 0.3 -0.5 1.7 -6.1 0.7 1.0 -2.8 5.4 6.4 -0.7 -1.3 -0.7 -1.1 9.2 2.7 -1.5 -4.8 6.8 -1.8 2.2 -0.9 0.6 -0.0 -1.0 1.7 -0.4 -2.7 -1.2 1.6 -3.0 -20.0 -20.0 19.9 20.0 US30 4.0 20.0 17.9 2.4 -0.9 1.0 0.3 -0.6 2.0 -7.2 0.8 -0.7 -3.9 5.9 7.1 -5.8 -4.4 -5.2 -5.0 9.1 2.5 -3.0 -5.9 5.8 -1.4 2.3 -1.2 0.6 -0.4 -1.3 1.7 -6.0 -4.4 -4.9 -0.4 -4.4 -12.1 -17.5 20.0 20.0 US5 6.7 20.0 20.0 2.0 -0.8 0.9 0.3 -0.5 1.7 -5.1 -0.4 1.9 -3.7 5.5 6.6 -8.7 -10.1 -9.5 -10.3 7.7 2.7 -1.0 -4.5 5.3 3.5 2.4 -0.3 0.9 0.5 -0.8 2.0 -15.8 0.3 -0.8 -0.6 0.3 -20.0 -20.0 -20.0 -11.2 VIX 7.3 -11.6 -4.6 -5.1 -6.6 -7.2 -3.4 -10.1 -3.3 -16.8 -20.0 -12.8 -20.0 -16.0 -18.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.0 -20.0 -14.9 NaN -6.1 -6.4 -8.1 -3.5 -11.2 -4.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 2.1 14.9 0.5 -5.0 -10.4 -5.1 -8.9 -5.9 -6.5 -13.6 -15.5 -11.1 -18.1 5.4 2.3 -9.8 -10.4 -10.7 -10.8 -4.1 -12.7 -6.9 -20.0 -2.6 -3.4 -2.5 -5.3 -5.5 -3.2 -8.6 -2.2 -14.4 2.4 -0.8 2.5 3.7 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3