******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240109_204003 produced at 2024-01-09 21:36:54.196356 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -48.18 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.35 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.10 -0.10 -0.05 -0.05 -10.34 12.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.16 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 -1.83 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.48 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 -5.55 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 -19.35 51.0 -6 -6 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.59 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.03 -0.05 0.0 0.20 -0.20 0.03 0.00 -1.37 6.0 1 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.04 0.0 0.40 -0.40 -0.11 -0.14 -5.94 56.0 -16 -20 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.86 11.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.32 -0.32 -0.04 -0.04 -1.11 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 -1.38 7.0 -2 -2 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.03 0.0 0.86 -0.86 -0.23 -0.23 -0.62 19.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.95 -0.95 0.00 0.00 -0.87 25.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.56 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.01 -1.58 9.0 -1 -1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.20 2.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.00 -0.02 0.0 0.52 -0.52 0.00 -0.06 -0.51 17.0 0 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.34 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.06 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 -1.85 9.0 -4 -4 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 0.00 -1.03 18.0 -1 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.06 -0.06 -0.02 -0.02 -3.33 26.0 -10 -8 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.19 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 -1.09 4.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.31 -0.01 0.0 0.67 -0.67 -0.31 -0.31 -0.38 17.0 -8 -8 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.01 0.0 0.24 -0.24 -0.03 -0.01 -3.53 68.0 -8 -4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.73 0.0 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 -2.29 3.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.01 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.05 0.00 0.0 0.21 -0.21 0.05 0.05 0.00 4.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.05 -0.00 0.0 0.76 -0.76 0.05 0.03 -0.11 29.0 2 1 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.00 0.0 0.67 -0.67 -0.10 -0.16 -0.08 13.0 -2 -3 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.00 0.0 0.14 -0.14 -0.01 0.00 0.41 13.0 -1 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.06 13.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.10 -0.00 0.0 0.67 -0.67 0.10 0.05 -0.01 14.0 2 1 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.27 -0.27 0.23 0.27 0.01 6.0 5 6 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.19 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 0.85 23.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.01 0.0 0.45 -0.45 0.05 0.05 0.43 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 0.09 0.81 23.0 7 8 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.01 0.0 0.40 -0.40 0.01 0.01 1.45 48.0 1 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.23 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 0.12 9.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.01 0.0 0.52 -0.52 0.00 0.00 0.15 10.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.54 12.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.02 0.0 0.10 -0.10 0.03 0.03 0.68 4.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.03 0.02 0.0 0.16 -0.16 0.03 0.03 1.30 10.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.06 0.02 0.0 0.37 -0.37 0.06 0.06 1.30 26.0 4 4 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 4.65 66.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.03 0.0 0.45 -0.45 0.05 0.00 0.65 10.0 1 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.46 -0.46 0.04 0.04 2.05 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 1.43 5.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.06 0.04 0.0 0.61 -0.61 0.06 0.11 1.33 22.0 2 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.06 0.0 0.50 -0.50 0.00 0.00 1.30 10.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.06 0.0 0.10 -0.10 0.07 0.07 33.85 59.0 43 43 caleb_strategy_v3 EUROSTX False False 0.02 0.33 0.07 0.0 0.34 -0.34 0.33 0.33 4.05 20.0 19 19 caleb_strategy_v3 DAX False False 0.01 0.00 0.11 0.0 0.37 -0.37 0.00 0.00 16.57 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.41 0.13 0.0 0.41 -0.41 0.41 0.41 2.88 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.21 0.0 0.30 -0.30 0.16 0.16 25.09 36.0 19 19 caleb_strategy_v3 MXP False False 0.01 0.53 0.54 0.0 0.61 -0.61 0.53 0.53 52.72 60.0 52 52 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.19 0.75 0.0 0.94 -0.94 0.19 0.28 7.96 10.0 2 3 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.36 0.85 0.0 0.57 -0.57 0.36 0.43 23.81 16.0 10 12 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.8 Shocked risk 57.1 Sum abs risk 48.3 Leverage 4.43 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2858834.03, 'annual_cash_vol_target': 714708.5075, 'daily_cash_vol_target': 44669.28171875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6702 0.6298 10.0760 BITCOIN 1233.7324 47240.0000 2.6116 41.7860 BOBL 0.2791 118.2200 0.2361 3.7780 BTP 0.6501 117.8700 0.5515 8.8241 BUND 0.5777 135.3900 0.4267 6.8271 BUXL 1.4166 137.3400 1.0315 16.5038 CAC 50.0751 7432.5000 0.6737 10.7797 CAD 0.0028 0.7474 0.3780 6.0473 CANOLA 7.5070 631.6000 1.1886 19.0171 CHF 0.0051 1.1822 0.4339 6.9423 COCOA 47.1709 4107.0000 1.1485 18.3768 COFFEE 4.0717 182.7000 2.2286 35.6576 COPPER 0.0415 3.7620 1.1041 17.6654 CORN 4.2021 492.2500 0.8537 13.6585 COTTON2 0.9401 80.6700 1.1653 18.6449 CRUDE_W 1.2065 70.2500 1.7174 27.4779 DAX 109.4624 16822.0000 0.6507 10.4114 DOW 204.7665 37726.0000 0.5428 8.6844 DX 0.4133 102.2600 0.4042 6.4665 EUR 0.0051 1.0958 0.4667 7.4676 EURIBOR-ICE 0.0562 97.8800 0.0574 0.9184 EUROSTX 32.0618 4489.0000 0.7142 11.4277 FEEDCOW 2.0568 230.1250 0.8938 14.3001 GASOIL 13.3396 746.5000 1.7870 28.5913 GASOLINE 0.0406 2.3054 1.7630 28.2084 GAS_US_mini 0.0948 2.7050 3.5033 56.0530 GBP 0.0066 1.2705 0.5233 8.3723 GOLD_micro 14.7891 2035.4000 0.7266 11.6255 HEATOIL 0.0426 2.5377 1.6773 26.8374 JGB-SGX-mini 0.2873 147.0700 0.1954 3.1260 JPY 0.0000 0.0070 0.6849 10.9576 LEANHOG 1.2459 78.4750 1.5877 25.4027 LIVECOW 1.3789 173.7000 0.7938 12.7012 LUMBER-new 7.0030 566.5000 1.2362 19.7790 MILK 0.1723 16.5000 1.0444 16.7105 MXP 0.0004 0.0583 0.6519 10.4297 NASDAQ_micro 127.3304 16820.0000 0.7570 12.1123 NIKKEI 262.5894 33845.0000 0.7759 12.4137 NZD 0.0035 0.6240 0.5634 9.0151 OAT 0.5855 129.8400 0.4509 7.2148 OATIES 8.2468 374.2500 2.2036 35.2569 OJ 6.2958 303.7500 2.0727 33.1629 PALLAD 29.1888 983.0000 2.9694 47.5097 PLAT 14.5820 942.7000 1.5468 24.7493 REDWHEAT 10.7302 629.7500 1.7039 27.2621 RICE 0.1928 17.8000 1.0831 17.3298 ROBUSTA 49.5638 2942.0000 1.6847 26.9552 RUSSELL 24.4778 1988.1000 1.2312 19.6994 SHATZ 0.0947 106.0950 0.0892 1.4274 SILVER-mini 0.3730 23.5875 1.5813 25.3002 SMI 60.9723 11175.0000 0.5456 8.7298 SOFR 0.0698 96.6750 0.0722 1.1545 SOYBEAN 9.8927 1208.0000 0.8189 13.1029 SOYMEAL 4.4861 368.0000 1.2191 19.5050 SOYOIL 0.6837 48.8100 1.4007 22.4115 SP400 26.9462 2750.8000 0.9796 15.6732 SP500_micro 29.5178 4791.0000 0.6161 9.8577 SUGAR11 0.4268 21.0900 2.0237 32.3798 US10 0.4457 111.9688 0.3981 6.3690 US10U 0.6156 116.5469 0.5282 8.4505 US2 0.1225 102.6953 0.1193 1.9087 US20 0.9342 122.4688 0.7628 12.2050 US30 1.3852 130.0000 1.0656 17.0492 US5 0.2902 108.1250 0.2684 4.2939 VIX 0.4577 15.5000 2.9530 47.2476 WHEAT 9.4557 655.0000 1.4436 23.0980 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.15 0.63 422.03 1.00 422.03 44669.28 105.84 1.55 16.41 BITCOIN 47.24 2.61 123.37 1.00 123.37 44669.28 362.07 8.63 312.64 BOBL 1182.20 0.24 279.15 1.09 305.60 44669.28 146.17 -4.18 -61.12 BTP 1178.70 0.55 650.06 1.09 711.66 44669.28 62.77 3.04 19.08 BUND 1353.90 0.43 577.70 1.09 632.43 44669.28 70.63 2.05 14.50 BUXL 1373.40 1.03 1416.65 1.09 1550.87 44669.28 28.80 0.00 0.01 CAC 743.25 0.67 500.75 1.09 548.20 44669.28 81.48 1.95 15.88 CAD 747.35 0.38 282.47 1.00 282.47 44669.28 158.14 -0.28 -4.42 CANOLA 126.32 1.19 150.14 0.75 112.33 44669.28 397.65 -20.00 -795.29 CHF 1477.69 0.43 641.16 1.00 641.16 44669.28 69.67 -0.45 -3.12 COCOA 410.70 1.15 471.71 1.00 471.71 44669.28 94.70 6.43 60.85 COFFEE 685.12 2.23 1526.87 1.00 1526.87 44669.28 29.26 -1.93 -5.64 COPPER 940.50 1.10 1038.40 1.00 1038.40 44669.28 43.02 -2.95 -12.67 CORN 246.12 0.85 210.11 1.00 210.11 44669.28 212.60 -20.00 -425.21 COTTON2 403.35 1.17 470.03 1.00 470.03 44669.28 95.04 -14.04 -133.40 CRUDE_W 702.50 1.72 1206.45 1.00 1206.45 44669.28 37.03 3.57 13.22 DAX 168.22 0.65 109.46 1.09 119.83 44669.28 372.76 13.04 485.92 DOW 188.63 0.54 102.38 1.00 102.38 44669.28 436.29 4.59 200.12 DX 1022.60 0.40 413.29 1.00 413.29 44669.28 108.08 -6.51 -70.35 EUR 1369.69 0.47 639.27 1.00 639.27 44669.28 69.88 -0.03 -0.20 EURIBOR-ICE 2447.00 0.06 140.46 1.09 153.76 44669.28 290.51 8.03 233.34 EUROSTX 448.90 0.71 320.62 1.09 351.00 44669.28 127.26 9.34 118.82 FEEDCOW 1150.62 0.89 1028.38 1.00 1028.38 44669.28 43.44 -7.72 -33.54 GASOIL 746.50 1.79 1333.96 1.00 1333.96 44669.28 33.49 4.71 15.78 GASOLINE 968.27 1.76 1707.08 1.00 1707.08 44669.28 26.17 -4.97 -13.00 GAS_US_mini 67.62 3.50 236.91 1.00 236.91 44669.28 188.55 -1.63 -30.73 GBP 794.06 0.52 415.51 1.00 415.51 44669.28 107.50 4.76 51.17 GOLD_micro 203.54 0.73 147.89 1.00 147.89 44669.28 302.04 -5.76 -174.06 HEATOIL 1065.83 1.68 1787.77 1.00 1787.77 44669.28 24.99 2.10 5.24 JGB-SGX-mini 147070.00 0.20 28734.02 0.01 199.24 44669.28 224.20 9.81 219.91 JPY 875.19 0.68 599.37 1.00 599.37 44669.28 74.53 -2.62 -19.56 LEANHOG 313.90 1.59 498.37 1.00 498.37 44669.28 89.63 0.76 6.81 LIVECOW 694.80 0.79 551.55 1.00 551.55 44669.28 80.99 -9.25 -74.88 LUMBER-new 155.79 1.24 192.58 1.00 192.58 44669.28 231.95 -4.62 -107.27 MILK 330.00 1.04 344.65 1.00 344.65 44669.28 129.61 -20.00 -259.21 MXP 291.45 0.65 189.98 1.00 189.98 44669.28 235.12 15.28 359.21 NASDAQ_micro 336.40 0.76 254.66 1.00 254.66 44669.28 175.41 2.00 35.03 NIKKEI 33845.00 0.78 26258.94 0.01 182.08 44669.28 245.33 9.45 231.72 NZD 624.05 0.56 351.62 1.00 351.62 44669.28 127.04 6.22 79.05 OAT 1298.40 0.45 585.48 1.09 640.95 44669.28 69.69 5.49 38.25 OATIES 187.12 2.20 412.34 1.00 412.34 44669.28 108.33 -8.86 -96.01 OJ 455.62 2.07 944.36 1.00 944.36 44669.28 47.30 -1.91 -9.05 PALLAD 983.00 2.97 2918.88 1.00 2918.88 44669.28 15.30 -0.10 -0.16 PLAT 471.35 1.55 729.10 1.00 729.10 44669.28 61.27 6.24 38.24 REDWHEAT 314.88 1.70 536.51 1.00 536.51 44669.28 83.26 -18.63 -155.11 RICE 356.00 1.08 385.59 1.00 385.59 44669.28 115.85 -3.88 -44.99 ROBUSTA 294.20 1.68 495.64 1.00 495.64 44669.28 90.12 8.12 73.20 RUSSELL 99.40 1.23 122.39 1.00 122.39 44669.28 364.98 -2.92 -106.46 SHATZ 1060.95 0.09 94.65 1.09 103.62 44669.28 431.10 -5.37 -231.53 SILVER-mini 589.69 1.58 932.45 1.00 932.45 44669.28 47.91 -4.44 -21.27 SMI 1117.50 0.55 609.72 1.18 716.42 44669.28 62.35 13.54 84.42 SOFR 2416.88 0.07 174.40 1.00 174.40 44669.28 256.14 -0.38 -9.71 SOYBEAN 604.00 0.82 494.63 1.00 494.63 44669.28 90.31 -16.40 -148.08 SOYMEAL 368.00 1.22 448.61 1.00 448.61 44669.28 99.57 -17.03 -169.56 SOYOIL 292.86 1.40 410.21 1.00 410.21 44669.28 108.89 -11.74 -127.84 SP400 2750.80 0.98 2694.62 1.00 2694.62 44669.28 16.58 -3.60 -5.97 SP500_micro 239.55 0.62 147.59 1.00 147.59 44669.28 302.66 2.06 62.28 SUGAR11 236.21 2.02 478.02 1.00 478.02 44669.28 93.45 -5.19 -48.52 US10 1119.69 0.40 445.71 1.00 445.71 44669.28 100.22 -2.98 -29.89 US10U 1165.47 0.53 615.55 1.00 615.55 44669.28 72.57 0.67 4.89 US2 2053.91 0.12 245.02 1.00 245.02 44669.28 182.31 -5.01 -91.25 US20 1224.69 0.76 934.20 1.00 934.20 44669.28 47.82 2.03 9.72 US30 1300.00 1.07 1385.25 1.00 1385.25 44669.28 32.25 0.31 1.00 US5 1081.25 0.27 290.18 1.00 290.18 44669.28 153.94 -4.44 -68.40 VIX 155.00 2.95 457.71 1.00 457.71 44669.28 97.59 -20.00 -195.19 WHEAT 327.50 1.44 472.79 1.00 472.79 44669.28 94.48 -14.75 -139.32 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 16.413 0.010 2.5 0.426 BITCOIN 312.635 0.043 2.5 33.855 BOBL -61.120 0.004 2.5 -0.620 BTP 19.084 0.014 2.5 0.651 BUND 14.497 0.004 2.5 0.147 BUXL 0.012 0.004 2.5 0.000 CAC 15.877 0.014 2.5 0.542 CAD -4.424 0.010 2.5 -0.115 CANOLA -795.294 0.010 2.5 -19.349 CHF -3.117 0.010 2.5 -0.081 COCOA 60.853 0.009 2.5 1.303 COFFEE -5.643 0.005 2.5 -0.066 COPPER -12.669 0.043 2.5 -1.372 CORN -425.207 0.010 2.5 -10.345 COTTON2 -133.397 0.009 2.5 -2.857 CRUDE_W 13.225 0.043 2.5 1.432 DAX 485.916 0.014 2.5 16.574 DOW 200.116 0.009 2.5 4.651 DX -70.347 0.010 2.5 -1.825 EUR -0.195 0.010 2.5 -0.005 EURIBOR-ICE 233.341 0.014 2.5 7.959 EUROSTX 118.819 0.014 2.5 4.053 FEEDCOW -33.536 0.013 2.5 -1.111 GASOIL 15.781 0.017 2.5 0.684 GASOLINE -13.001 0.017 2.5 -0.564 GAS_US_mini -30.728 0.043 2.5 -3.328 GBP 51.166 0.010 2.5 1.328 GOLD_micro -174.060 0.014 2.5 -5.937 HEATOIL 5.237 0.017 2.5 0.227 JGB-SGX-mini 219.913 0.043 2.5 23.814 JPY -19.562 0.010 2.5 -0.508 LEANHOG 6.812 0.024 2.5 0.414 LIVECOW -74.875 0.013 2.5 -2.481 LUMBER-new -107.272 0.009 2.5 -2.291 MILK -259.212 0.009 2.5 -5.552 MXP 359.205 0.059 2.5 52.722 NASDAQ_micro 35.029 0.009 2.5 0.814 NIKKEI 231.717 0.043 2.5 25.092 NZD 79.054 0.010 2.5 2.051 OAT 38.250 0.014 2.5 1.305 OATIES -96.009 0.010 2.5 -2.336 OJ -9.050 0.009 2.5 -0.194 PALLAD -0.156 0.014 2.5 -0.005 PLAT 38.240 0.014 2.5 1.304 REDWHEAT -155.111 0.005 2.5 -2.058 RICE -44.989 0.010 2.5 -1.095 ROBUSTA 73.196 0.005 2.5 0.855 RUSSELL -106.462 0.013 2.5 -3.528 SHATZ -231.528 0.004 2.5 -2.348 SILVER-mini -21.266 0.014 2.5 -0.725 SMI 84.416 0.014 2.5 2.879 SOFR -9.709 0.024 2.5 -0.590 SOYBEAN -148.077 0.004 2.5 -1.377 SOYMEAL -169.558 0.004 2.5 -1.577 SOYOIL -127.841 0.004 2.5 -1.190 SP400 -5.973 0.013 2.5 -0.198 SP500_micro 62.276 0.009 2.5 1.447 SUGAR11 -48.523 0.009 2.5 -1.032 US10 -29.892 0.005 2.5 -0.379 US10U 4.892 0.005 2.5 0.062 US2 -91.251 0.005 2.5 -1.156 US20 9.719 0.005 2.5 0.123 US30 1.004 0.005 2.5 0.013 US5 -68.401 0.005 2.5 -0.867 VIX -195.186 0.099 2.5 -48.181 WHEAT -139.323 0.005 2.5 -1.848 ===================== Position diags ===================== AUD 2.75 BITCOIN 39.21 BOBL 1.48 BTP 2.14 BUND 0.72 BUXL 0.29 CAC 2.78 CAD 4.10 CANOLA 9.67 CHF 1.81 COCOA 2.03 COFFEE 0.34 COPPER 4.66 CORN 5.17 COTTON2 2.04 CRUDE_W 4.01 DAX 12.71 DOW 10.14 DX 2.80 EUR 1.81 EURIBOR-ICE 9.91 EUROSTX 4.34 FEEDCOW 1.44 GASOIL 1.45 GASOLINE 1.13 GAS_US_mini 20.42 GBP 2.79 GOLD_micro 10.30 HEATOIL 1.08 JGB-SGX-mini 24.28 JPY 1.93 LEANHOG 5.45 LIVECOW 2.68 LUMBER-new 4.95 MILK 2.78 MXP 34.51 NASDAQ_micro 4.08 NIKKEI 26.57 NZD 3.30 OAT 2.38 OATIES 2.64 OJ 1.01 PALLAD 0.52 PLAT 2.09 REDWHEAT 1.10 RICE 2.82 ROBUSTA 1.05 RUSSELL 12.09 SHATZ 4.37 SILVER-mini 1.63 SMI 2.13 SOFR 15.57 SOYBEAN 0.84 SOYMEAL 0.93 SOYOIL 1.01 SP400 0.55 SP500_micro 7.03 SUGAR11 1.99 US10 1.27 US10U 0.92 US2 2.31 US20 0.61 US30 0.41 US5 1.95 VIX 24.09 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.2 0.7 2.0 2 BITCOIN 33.9 29.9 37.8 43.0 43 BOBL -0.6 -0.8 -0.5 -5.0 -5 BTP 0.7 0.4 0.9 1.0 1 BUND 0.1 0.1 0.2 0.0 0 BUXL 0.0 -0.0 0.0 1.0 1 CAC 0.5 0.3 0.8 0.0 0 CAD -0.1 -0.5 0.3 2.0 2 CANOLA -19.3 -20.3 -18.4 -6.0 -6 CHF -0.1 -0.3 0.1 -2.0 -2 COCOA 1.3 1.1 1.5 4.0 4 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -1.4 -1.8 -0.9 1.0 1 CORN -10.3 -10.9 -9.8 -6.0 -6 COTTON2 -2.9 -3.1 -2.7 -4.0 -4 CRUDE_W 1.4 1.0 1.8 1.0 1 DAX 16.6 15.3 17.8 0.0 0 DOW 4.7 3.6 5.7 0.0 0 DX -1.8 -2.1 -1.5 NaN 0 EUR -0.0 -0.2 0.2 2.0 2 EURIBOR-ICE 8.0 7.0 8.9 2.0 2 EUROSTX 4.1 3.6 4.5 19.0 19 FEEDCOW -1.1 -1.3 -1.0 -1.0 -1 GASOIL 0.7 0.5 0.8 1.0 1 GASOLINE -0.6 -0.7 -0.5 0.0 0 GAS_US_mini -3.3 -5.4 -1.3 -10.0 -10 GBP 1.3 1.0 1.6 2.0 2 GOLD_micro -5.9 -7.0 -4.9 -16.0 -16 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 23.8 21.4 26.2 10.0 10 JPY -0.5 -0.7 -0.3 0.0 0 LEANHOG 0.4 -0.1 1.0 -1.0 -1 LIVECOW -2.5 -2.7 -2.2 0.0 0 LUMBER-new -2.3 -2.8 -1.8 NaN 0 MILK -5.6 -5.8 -5.3 NaN 0 MXP 52.7 49.3 56.2 52.0 52 NASDAQ_micro 0.8 0.4 1.2 7.0 7 NIKKEI 25.1 22.4 27.7 19.0 19 NZD 2.1 1.7 2.4 2.0 2 OAT 1.3 1.1 1.5 0.0 0 OATIES -2.3 -2.6 -2.1 NaN 0 OJ -0.2 -0.3 -0.1 NaN 0 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 1.3 1.1 1.5 2.0 2 REDWHEAT -2.1 -2.2 -1.9 -3.0 -3 RICE -1.1 -1.4 -0.8 NaN 0 ROBUSTA 0.9 0.7 1.0 0.0 0 RUSSELL -3.5 -4.7 -2.3 -8.0 -8 SHATZ -2.3 -2.8 -1.9 NaN 0 SILVER-mini -0.7 -0.9 -0.6 NaN 0 SMI 2.9 2.7 3.1 9.0 9 SOFR -0.6 -2.1 1.0 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -2.0 -2 SOYMEAL -1.6 -1.7 -1.5 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 -3.0 -3 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 1.4 0.7 2.2 1.0 1 SUGAR11 -1.0 -1.2 -0.8 -1.0 -1 US10 -0.4 -0.5 -0.3 -8.0 -8 US10U 0.1 -0.0 0.2 0.0 0 US2 -1.2 -1.4 -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 -0.9 -1.1 -0.7 0.0 0 VIX -48.2 -50.6 -45.8 -17.0 -17 WHEAT -1.8 -2.0 -1.7 -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 3.7 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 0.2 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 0.1 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 -0.1 0.1 -0.6 -0.4 -0.3 0.2 BITCOIN -0.1 0.2 0.6 -0.0 -0.2 0.0 -0.1 0.0 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.1 0.5 0.4 0.6 0.6 -0.2 0.4 0.1 0.6 BOBL 0.0 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 -1.0 -0.4 -0.2 -0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP 0.0 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 -0.0 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 -0.3 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 -0.1 -0.2 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.1 -0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 -0.5 -0.4 0.1 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.4 0.6 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.4 -0.2 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 -0.1 0.3 0.0 -1.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.5 -0.6 -0.2 -0.1 0.2 0.3 0.5 0.5 CAD 0.4 0.6 0.2 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.0 0.0 -0.2 0.1 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 -0.0 -0.3 -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 -0.2 -0.1 -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 0.5 0.6 0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -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 0.0 0.1 0.1 -1.1 0.5 0.6 0.6 0.2 -0.7 -0.7 -0.6 -0.7 COCOA -0.6 0.0 0.5 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 0.5 -0.1 0.7 0.1 0.2 0.2 0.0 0.2 0.1 0.2 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.1 0.3 -0.1 0.4 -0.0 0.4 -0.5 -0.2 0.6 0.6 0.7 0.0 0.7 0.7 COFFEE -0.3 0.4 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 -2.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 -0.2 0.2 0.6 0.6 -0.6 -0.7 -0.5 -0.3 COPPER -0.1 0.4 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 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 -0.1 -0.0 0.0 0.1 0.1 0.1 0.4 0.1 -0.3 -0.3 0.3 -0.2 CORN -0.3 -0.1 -0.2 -0.1 -0.0 -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 -0.2 -0.1 -0.2 -0.5 -0.6 -0.4 0.2 -0.2 -0.4 -0.0 0.1 COTTON2 0.1 -0.1 -0.5 -0.1 -0.0 -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 0.3 0.3 -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 -0.0 0.2 -0.1 -0.1 -0.2 -0.1 0.2 0.4 0.7 0.5 0.7 0.5 DAX -0.4 0.6 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.4 -0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.3 0.2 2.5 0.1 0.0 0.1 -0.0 0.1 0.0 -0.4 0.1 -0.6 0.4 0.2 0.2 0.2 0.5 0.6 DOW 0.0 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 0.5 0.6 0.4 -0.3 -0.1 -0.3 -0.2 DX -0.2 -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 0.2 -0.6 -0.6 -0.6 0.5 0.1 0.7 0.4 EUR 0.1 0.3 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 -0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.0 0.0 1.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.4 0.0 0.1 -0.3 -0.1 -0.7 -0.4 -0.5 -0.2 EURIBOR-ICE 0.1 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.0 0.0 0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.1 -0.0 0.1 0.1 2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.4 -0.3 -0.0 0.2 0.5 -0.7 -0.7 0.2 0.7 EUROSTX -0.4 0.6 0.3 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 -0.0 0.1 -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 0.5 -0.2 -0.6 -0.2 0.2 0.0 0.3 0.2 0.5 FEEDCOW 0.5 -0.4 -0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.2 0.1 -0.1 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 0.1 0.1 0.0 0.2 -0.0 -0.1 0.3 0.4 0.3 0.4 -0.1 -0.0 0.0 0.2 -0.0 1.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.9 0.0 0.3 0.2 0.2 -0.3 -0.1 -0.7 -0.3 GASOLINE 0.1 -0.2 -0.5 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.1 -0.4 0.2 -0.4 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.3 -0.1 0.1 0.4 -0.0 0.7 0.4 0.7 0.3 GAS_US_mini 0.6 -0.5 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 0.4 -0.4 0.1 -0.4 -0.1 -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 0.5 -0.2 0.0 -0.6 0.1 -0.7 -0.0 GBP 0.0 0.5 0.2 0.1 -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 0.3 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.4 -0.0 -0.1 -0.2 -0.5 0.0 -0.4 0.4 GOLD_micro 0.1 0.3 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 -0.1 0.1 0.0 -0.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.8 0.1 0.2 0.3 0.3 -0.7 -0.7 -0.5 -0.6 HEATOIL 0.1 -0.5 -0.5 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 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 -0.1 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 0.2 0.3 0.1 0.0 0.0 0.1 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 0.0 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 0.0 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 0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 0.1 -0.4 -0.1 -0.1 -0.4 0.0 -0.4 -0.2 -0.1 -0.1 0.1 -0.4 -0.0 1.9 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 0.5 0.6 0.1 0.0 -0.4 -0.3 0.2 0.4 LIVECOW 0.3 -0.6 -0.6 -0.0 -0.0 -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 0.3 0.6 0.4 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.0 0.0 -0.7 0.2 0.2 -0.2 -0.3 -0.3 -0.3 0.2 0.1 0.0 -0.2 0.2 NaN 0.1 -0.1 0.1 0.0 -0.0 0.1 -1.2 -0.2 0.7 0.7 0.7 -0.6 -0.8 -0.3 -0.8 MILK -0.4 -0.6 -0.5 -0.1 -0.0 -0.1 -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 -0.1 -0.5 -0.2 1.7 -0.1 0.0 -0.2 -0.0 -0.3 -0.1 -1.1 0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.4 0.1 0.1 -0.0 0.1 0.0 0.1 0.0 0.0 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 0.4 0.2 -0.2 -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 0.2 0.3 0.1 0.3 0.5 -0.2 0.5 -0.3 NIKKEI 0.2 0.1 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.2 0.3 0.2 0.1 0.2 0.1 0.5 0.1 -1.9 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.5 -0.6 -0.2 -0.4 -0.0 -0.2 0.1 NZD 0.2 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 0.0 0.0 0.1 0.3 -0.3 -0.4 -0.2 0.2 OAT -0.0 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 -0.5 -0.3 0.1 0.2 -0.6 -0.7 0.1 0.2 OATIES 0.3 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.3 0.2 -0.0 -0.6 -0.0 0.2 0.3 0.7 OJ -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 0.1 0.4 0.2 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 -0.3 -0.6 -0.3 0.6 0.4 0.4 0.7 0.7 PALLAD 0.1 0.5 0.4 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 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 0.2 0.4 0.3 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 -0.1 0.0 1.8 0.0 -0.1 0.0 -0.0 0.0 0.0 0.3 0.0 0.3 0.3 0.1 -0.2 -0.3 0.5 -0.1 REDWHEAT -0.0 0.5 -0.4 -0.0 -0.0 -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 -0.3 -0.0 0.0 0.1 -0.3 -0.1 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.1 0.0 0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 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 -0.0 -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 0.1 0.3 0.1 -2.2 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.3 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL 0.1 0.6 0.4 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 0.3 0.2 -0.1 -0.6 -0.6 -0.7 -0.6 SHATZ 0.1 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.0 -0.1 0.0 1.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.3 -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 -0.4 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 1.5 0.1 0.0 0.1 0.1 -0.0 0.1 1.0 0.5 0.2 -0.0 -0.2 0.0 -0.2 0.2 -0.2 SOFR 0.1 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.0 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 -0.5 -0.1 -0.1 -0.0 -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 0.0 -0.1 1.1 -0.5 -0.6 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 0.1 0.3 0.2 0.3 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 1.1 -0.4 -0.6 -0.6 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.2 -0.2 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -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 0.1 0.6 0.3 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 -0.2 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 0.0 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 0.2 0.4 0.2 0.1 0.2 -0.2 0.3 -0.3 SUGAR11 -0.2 -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 -2.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 0.3 -0.2 -0.6 -0.3 0.1 -0.3 0.4 0.2 US10 0.1 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 0.1 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 0.0 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 -0.0 -0.1 -0.0 -0.1 -0.7 -0.7 0.1 0.5 US2 0.2 0.6 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.0 -0.2 0.0 1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.1 -0.0 0.1 -0.6 -0.7 -0.4 -0.7 US20 0.2 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 -0.0 -0.0 0.0 -0.1 -0.7 -0.7 0.7 0.7 US30 0.0 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 -0.2 -0.0 -0.2 -0.4 -0.6 0.7 0.7 US5 0.1 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 0.3 -0.7 -0.3 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.3 -0.9 -0.3 -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 -0.4 -0.1 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 0.5 0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.0 -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 5.5 19.8 15.2 4.5 -1.4 3.4 0.7 2.1 3.4 -14.4 2.3 -2.7 -6.6 8.6 11.9 -2.2 -2.8 -2.5 -2.7 13.7 7.2 -5.0 -2.6 7.6 3.0 5.0 -2.4 2.6 -0.2 -0.5 3.6 -1.0 -8.8 0.6 -1.6 2.3 -16.7 -11.2 -7.7 4.8 BITCOIN -3.9 6.4 20.0 -0.4 -17.3 0.2 -12.2 0.3 -4.8 18.9 20.0 16.0 18.9 18.7 20.0 -8.5 -6.4 -8.8 -7.9 20.0 20.0 20.0 17.0 20.0 -20.0 8.0 4.4 7.9 2.8 5.2 4.7 -2.1 20.0 11.0 20.0 20.0 -5.4 11.7 3.9 18.7 BOBL 1.0 20.0 20.0 2.2 -0.7 1.0 0.1 -0.5 1.7 -7.8 4.3 -3.3 -2.0 5.0 7.0 -20.0 -9.9 -20.0 -15.0 11.6 7.8 -4.8 -0.8 5.9 7.8 2.5 -2.0 1.7 -1.0 0.0 1.3 -18.7 -15.1 -6.5 -0.2 5.3 -18.3 -20.0 -2.3 -18.4 BTP 0.9 20.0 19.3 3.4 -1.2 1.5 0.2 -0.8 2.6 -12.2 8.8 -3.2 6.8 6.9 10.8 4.3 7.1 5.6 6.1 19.7 14.2 -4.4 4.3 10.8 -8.9 3.9 -1.8 2.8 -0.9 1.0 2.0 13.4 -20.0 -7.7 1.8 7.1 -14.6 -20.0 8.3 3.2 BUND -0.7 20.0 20.0 2.4 -0.8 1.1 0.1 -0.6 1.8 -8.6 4.9 -4.4 -2.3 5.1 7.4 4.8 4.3 2.5 2.3 12.9 8.4 -5.0 -1.2 6.5 5.3 2.7 -2.0 1.8 -1.1 0.1 1.2 7.6 -17.4 -8.7 0.4 5.0 -17.9 -20.0 -3.0 -6.8 BUXL -1.9 20.0 20.0 2.8 -0.9 1.3 0.1 -0.7 2.1 -10.0 4.9 -6.6 -5.1 5.4 8.0 0.1 0.6 0.2 0.5 14.2 8.0 -6.2 -3.7 6.9 0.9 2.9 -2.0 1.7 -1.1 -0.3 1.4 3.2 -19.2 -11.5 2.5 3.7 -20.0 -20.0 -3.0 9.4 CAC -11.5 20.0 2.9 5.7 -1.4 4.0 -1.0 2.0 3.1 -18.6 14.0 -17.9 20.0 10.9 18.6 -9.2 -4.5 -8.1 -6.7 17.8 14.0 -12.7 12.8 4.2 -8.4 5.1 -3.1 4.0 -3.8 3.0 0.8 0.6 -19.5 -20.0 -7.2 -3.6 7.1 8.2 15.8 14.3 CAD 11.5 20.0 5.4 6.5 -2.0 4.9 0.9 3.0 4.8 -20.0 0.6 1.5 -6.2 13.0 15.1 -1.7 -2.2 -2.1 -2.2 19.3 7.4 -3.9 -4.0 15.2 2.5 6.3 -3.2 2.1 0.6 -1.2 5.8 0.0 -16.6 6.3 -0.6 -8.6 -20.0 -17.9 0.9 -14.4 CANOLA -15.0 -19.3 -20.0 -2.7 -2.0 -2.7 -3.6 -3.1 -3.3 -7.4 -7.4 -9.1 -6.3 -10.0 -10.3 -11.2 -0.6 -10.8 -7.3 -17.3 -14.4 -16.0 -10.6 -17.7 -20.0 -4.0 -1.7 -3.3 -3.2 -2.6 -4.1 -2.4 -16.7 -17.3 -19.6 -20.0 -15.0 -12.4 -5.9 -0.9 CHF 15.6 20.0 9.9 5.5 -1.7 4.1 0.8 2.5 4.1 -14.2 7.8 9.0 10.7 15.1 17.2 -15.7 -15.5 -16.4 -16.1 20.0 15.9 9.4 8.1 20.0 -8.6 7.0 0.2 3.6 4.5 1.5 7.8 -20.0 20.0 20.0 20.0 5.5 -20.0 -20.0 -18.8 -20.0 COCOA -18.3 0.5 14.9 -6.6 -5.0 -6.7 -8.9 -7.7 -8.1 -12.0 20.0 -9.9 20.0 10.9 20.0 10.5 1.5 7.8 4.2 20.0 20.0 -16.2 20.0 4.4 -20.0 6.4 -8.0 10.9 -7.1 12.3 -1.2 8.4 -20.0 -6.6 20.0 20.0 20.0 1.0 20.0 20.0 COFFEE -7.9 13.2 20.0 -3.2 -2.5 -3.3 -4.4 -3.8 -3.9 -8.1 5.0 -7.9 -1.8 2.2 7.7 7.0 4.3 7.5 5.6 8.6 7.3 -5.1 1.8 2.2 -15.4 3.4 -1.3 3.2 -1.6 1.4 0.8 12.3 -8.0 7.0 18.2 20.0 -17.7 -20.0 -13.6 -10.5 COPPER -2.0 12.0 7.2 -0.3 -14.2 0.2 -10.1 0.2 -3.9 -16.0 -0.4 -11.2 -2.9 2.8 9.7 -5.2 -4.5 -5.8 -5.6 5.6 2.7 -12.5 -2.8 -1.2 -8.3 3.5 -9.3 2.1 -5.5 -0.7 0.1 1.4 4.8 4.5 11.8 4.1 -8.7 -8.9 8.0 -6.4 CORN -10.4 -3.4 -4.9 -6.8 -5.1 -6.8 -9.1 -7.8 -8.2 -17.1 -20.0 -20.0 -20.0 -20.0 -20.0 -10.8 -2.1 -8.9 -6.7 -17.6 -20.0 -20.0 -20.0 -20.0 -20.0 -8.3 -9.6 -5.8 -12.5 -6.6 -12.1 -3.5 -20.0 -20.0 -11.0 5.3 -7.4 -12.4 -0.2 2.9 COTTON2 4.1 -3.1 -15.9 -5.7 -4.3 -5.8 -7.7 -6.6 -7.0 3.7 -12.9 3.2 -9.0 -1.8 -14.1 -10.0 -1.0 -7.9 -5.1 -10.4 -12.9 1.6 -10.4 -2.2 -20.0 -3.5 2.9 -5.1 3.6 -2.6 1.5 -1.1 20.0 9.4 8.7 -11.8 -18.3 -14.9 -5.7 0.7 CRUDE_W 0.6 -13.0 -6.2 -4.9 0.5 -2.5 -1.4 0.9 -3.7 -9.3 4.4 -8.6 6.1 -10.0 -13.9 6.2 9.6 7.7 8.9 -7.7 -0.5 -6.7 6.7 -8.2 -4.3 -5.0 -3.3 -0.1 -4.5 4.8 -5.8 -1.1 -9.5 -4.3 5.6 13.2 20.0 14.2 20.0 14.8 DAX -12.0 20.0 9.6 5.3 -1.3 3.7 -0.9 1.9 2.9 4.2 14.8 -3.7 18.2 17.4 20.0 -15.0 -9.6 -13.1 -11.3 20.0 19.9 -0.1 12.4 14.5 18.4 5.8 0.5 4.2 -0.5 2.1 2.7 -7.6 2.1 -20.0 12.9 6.0 4.9 5.5 15.1 17.5 DOW 1.0 20.0 19.2 4.6 -1.2 3.2 -0.8 1.6 2.5 -11.9 16.4 8.3 15.8 18.4 19.7 -11.7 -9.4 -11.1 -10.6 20.0 20.0 6.9 15.9 20.0 -13.5 6.2 -0.6 4.6 0.6 2.8 4.2 -7.1 4.8 15.4 20.0 11.3 -8.2 -3.9 -7.8 -6.8 DX -5.8 -19.7 -12.0 3.8 -1.2 2.9 0.5 1.7 2.8 12.3 0.3 3.2 -5.3 -5.7 -9.3 5.1 6.0 5.9 6.1 -10.8 -5.4 3.5 0.8 -6.2 -20.0 -4.1 0.6 -1.7 -1.0 0.7 -3.5 14.3 7.8 -20.0 -20.0 -19.2 15.3 4.0 20.0 11.5 EUR 4.1 10.6 7.8 4.3 -1.3 3.2 0.6 2.0 3.2 -13.1 -0.5 -3.4 6.1 3.9 9.6 -5.4 -6.6 -5.9 -6.2 7.5 4.1 -3.5 -0.1 3.7 11.2 4.3 -0.6 2.0 1.3 0.0 3.8 -7.2 2.0 2.4 -8.4 -4.3 -19.5 -12.1 -15.6 -6.7 EURIBOR-ICE 1.6 20.0 20.0 2.0 -0.7 0.9 0.1 -0.5 1.6 -7.1 6.3 0.1 1.2 5.7 7.4 -0.5 -5.7 -2.4 -4.3 15.9 12.5 -2.5 3.3 9.1 16.1 2.8 -1.4 2.1 -0.3 0.6 1.6 -7.0 -12.0 -1.0 5.9 14.6 -20.0 -20.0 6.8 20.0 EUROSTX -13.1 20.0 8.2 5.5 -1.4 3.8 -1.0 1.9 3.0 -11.7 14.8 -13.8 19.7 11.6 19.0 10.0 -0.8 3.2 -0.1 20.0 18.0 -8.4 15.3 6.3 3.0 5.5 -1.9 4.8 -2.7 3.4 1.2 8.9 -9.5 -20.0 -5.3 5.5 0.7 7.9 6.0 15.8 FEEDCOW 16.0 -12.1 -20.0 -3.7 -2.8 -3.8 -5.0 -4.3 -4.5 -4.3 -8.4 8.0 -1.6 2.4 -8.7 -20.0 -20.0 -20.0 -20.0 -12.6 -15.5 2.5 -4.6 -0.3 -2.0 -3.5 -1.1 -3.1 -0.8 0.8 -1.3 -20.0 -1.3 11.3 -3.1 -20.0 12.9 3.5 20.0 11.4 GASOIL 6.6 -14.6 -12.1 -4.0 0.4 -2.0 -1.1 0.8 -3.0 6.7 4.1 2.6 5.4 -3.3 -10.6 12.7 19.9 15.4 18.3 -7.5 -1.6 0.3 6.8 -4.6 7.6 -3.2 1.2 -0.1 0.1 3.4 -2.0 17.2 0.4 7.8 6.0 6.3 -9.7 -2.6 -19.7 -8.4 GASOLINE 4.3 -6.2 -16.3 -4.9 0.5 -2.5 -1.4 0.9 -3.8 -8.4 -1.8 -2.4 4.1 -1.5 -12.5 -20.0 12.0 -20.0 -5.2 -7.3 -4.5 -6.1 4.0 -5.2 -20.0 -4.7 -3.9 -2.1 -4.3 4.1 -4.3 -5.7 -4.9 2.9 13.6 -1.3 20.0 12.1 20.0 10.2 GAS_US_mini 20.0 -15.8 -1.1 -3.5 0.4 -1.8 -1.0 0.7 -2.7 12.1 -11.7 12.8 -14.8 -4.1 -9.7 20.0 -20.0 2.7 -17.7 -13.8 -19.0 12.7 -20.0 0.1 19.5 -3.1 3.8 -3.7 3.5 -2.8 0.5 -20.0 20.0 16.1 -6.1 1.2 -17.6 3.7 -20.0 -0.3 GBP 1.3 14.5 4.9 4.8 -1.4 3.6 0.7 2.2 3.6 0.6 0.2 2.9 9.1 11.8 13.3 -0.1 -0.7 -0.3 -0.4 10.5 6.7 3.1 2.9 7.9 1.9 5.3 1.6 2.8 3.6 0.6 5.4 2.9 17.0 -1.3 -3.4 -6.5 -14.8 0.2 -11.4 12.3 GOLD_micro 1.7 10.4 15.2 -0.3 -12.7 0.2 -9.0 0.2 -3.5 -14.6 8.0 -4.1 6.9 5.2 12.2 -13.0 -13.9 -13.8 -14.3 9.4 8.1 -6.6 4.6 2.8 -5.2 3.1 -4.8 3.2 -3.5 2.3 -0.1 -14.4 4.4 5.8 7.9 10.1 -20.0 -20.0 -16.3 -18.1 HEATOIL 4.2 -14.2 -14.1 -4.6 0.5 -2.3 -1.3 0.9 -3.5 11.0 2.7 0.5 4.1 -7.1 -12.8 20.0 20.0 20.0 20.0 -10.0 -3.9 0.3 5.7 -6.0 -20.0 -3.8 2.3 -0.5 0.8 4.9 -1.9 20.0 8.9 7.7 10.0 3.9 14.6 0.6 12.4 -4.4 JGB-SGX-mini 13.0 20.0 7.6 1.9 -0.6 0.9 0.1 -0.5 1.4 6.4 2.8 7.1 3.5 7.3 7.0 8.5 18.3 12.3 14.6 7.6 4.4 5.3 1.9 7.4 -2.4 2.1 1.4 0.9 1.5 -0.1 2.1 20.0 7.4 0.7 0.6 -2.0 1.0 -20.0 10.5 16.7 JPY 0.8 20.0 20.0 2.6 -0.8 1.9 0.4 1.2 1.9 -7.6 -4.6 -5.4 -8.0 4.4 4.6 -13.8 -16.0 -15.8 -16.5 3.7 -1.9 -4.8 -9.0 1.6 20.0 1.8 -1.1 -0.7 -0.5 -3.2 1.6 -20.0 -3.1 -4.2 -0.5 -6.6 -9.4 -20.0 -4.0 -20.0 LEANHOG 2.2 -5.5 -7.2 -4.1 -3.2 -4.2 -5.6 -4.8 -5.1 13.4 -5.3 5.9 -9.8 -5.3 -10.2 -20.0 1.6 -20.0 -8.7 -8.6 -11.1 7.3 -13.3 -2.8 14.4 0.8 12.5 -3.5 9.7 -7.8 5.4 2.0 20.0 20.0 3.1 0.6 -11.7 -8.3 7.0 11.1 LIVECOW 9.0 -18.8 -20.0 -4.4 -3.3 -4.4 -5.9 -5.1 -5.3 0.9 -9.0 6.8 -0.8 -2.5 -10.5 -14.6 -5.9 -11.5 -9.0 -17.5 -17.4 1.7 -4.4 -4.8 -0.1 -5.3 -1.1 -3.7 -1.9 1.0 -3.3 -7.5 -1.0 2.9 -12.1 -20.0 7.1 -5.6 12.4 0.4 LUMBER-new 7.2 15.6 11.4 -7.1 -5.4 -7.0 -9.5 -6.9 -8.6 -19.6 -1.1 3.5 -17.7 12.5 20.0 -10.6 -14.0 -12.5 -13.5 19.8 8.9 0.7 -5.1 15.0 NaN 7.5 -5.2 3.8 0.1 -0.1 6.0 -19.6 -8.9 20.0 20.0 20.0 -15.2 -20.0 -8.5 -20.0 MILK -11.5 -20.0 -16.6 -5.5 -4.2 -5.5 -7.4 -6.3 -6.7 12.4 -19.9 -15.2 -19.5 -19.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.8 -20.0 -20.0 12.9 -7.5 2.0 -7.2 -1.5 -7.3 -5.5 -20.0 20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 9.6 11.9 3.3 5.6 -1.7 4.2 0.8 2.6 4.2 2.3 18.0 14.8 19.5 18.8 19.5 15.7 16.4 14.9 15.2 20.0 18.2 12.2 20.0 18.7 -20.0 7.0 2.3 5.9 5.4 7.6 7.3 20.0 18.0 5.2 -7.5 -5.6 12.5 18.4 20.0 20.0 NASDAQ_micro -7.3 19.1 9.3 3.6 -0.9 2.5 -0.6 1.3 1.9 -0.7 13.3 -2.2 13.6 7.3 13.1 -11.6 -9.2 -10.9 -10.2 19.0 20.0 -0.4 18.7 9.2 -20.0 4.9 2.9 4.7 1.6 4.7 3.3 -6.5 7.7 10.2 3.1 7.8 14.1 -5.6 16.1 -7.6 NIKKEI 4.9 3.1 3.7 5.0 -1.3 3.5 -0.9 1.8 2.7 18.2 18.7 18.1 19.5 14.6 18.1 19.1 11.7 14.4 12.3 13.4 16.4 14.7 20.0 12.4 -14.6 6.5 11.5 6.8 10.0 9.4 8.1 20.0 20.0 14.1 -20.0 -7.2 -10.9 -1.3 -6.6 2.7 NZD 6.7 20.0 15.7 5.1 -1.5 3.8 0.7 2.3 3.8 -12.8 5.3 -0.6 2.6 12.8 15.4 0.3 0.2 0.2 0.1 20.0 12.1 -1.1 0.0 12.7 0.8 6.2 -0.1 3.7 1.7 0.5 4.9 4.1 0.9 0.3 3.7 9.0 -9.0 -12.0 -5.9 5.0 OAT -0.7 20.0 20.0 2.6 -0.9 1.2 0.1 -0.6 2.0 -9.2 5.8 -4.5 -1.8 5.5 8.0 4.6 6.9 5.0 5.6 14.9 10.0 -4.8 -0.1 7.7 7.7 2.9 -1.8 2.0 -0.9 0.2 1.4 12.9 -19.0 -8.3 2.2 6.5 -18.2 -20.0 2.0 5.7 OATIES 7.7 -0.1 -20.0 -2.2 -1.7 -2.2 -3.0 -2.6 -2.7 -0.8 -6.1 -1.2 -4.6 -2.1 -6.7 1.7 -7.0 -4.9 -8.5 -6.2 -6.7 -2.0 -3.6 -3.4 -20.0 -2.4 1.4 -2.6 -0.1 -1.4 -1.0 -10.5 11.1 6.4 -1.2 -17.4 -0.1 6.4 10.0 19.7 OJ -20.0 -20.0 -20.0 -3.5 -2.7 -3.6 -4.7 -4.1 -4.3 -10.8 6.9 -11.1 10.8 -11.4 -4.6 3.4 19.1 12.2 17.0 -8.7 10.5 -20.0 20.0 -20.0 -20.0 -1.2 -4.4 3.9 -5.0 7.4 -4.8 20.0 -14.0 -20.0 -8.8 20.0 10.5 12.3 20.0 20.0 PALLAD 2.3 14.9 11.6 -0.1 -5.9 0.1 -4.2 0.1 -1.6 -7.1 -5.3 -5.2 -7.5 -1.9 -1.8 -1.8 -2.3 -2.0 -2.1 -2.8 -5.3 -10.4 -9.3 -4.8 6.2 -0.8 -2.7 -1.8 -1.9 -2.4 -0.5 6.2 -9.5 11.5 -0.1 -8.6 -5.6 -7.2 0.3 -1.9 PLAT 5.4 13.5 7.7 -0.2 -10.8 0.1 -7.6 0.2 -3.0 -12.7 -3.1 -6.5 -5.5 4.6 7.0 -3.4 -2.9 -3.5 -3.3 6.0 1.8 -9.3 -2.6 2.1 13.5 2.8 -7.4 1.4 -3.6 0.1 1.0 4.8 1.7 9.7 10.0 4.3 -5.3 -8.2 15.7 -2.0 REDWHEAT -1.2 14.3 -12.3 -4.4 -3.4 -4.5 -5.9 -5.1 -5.4 -6.4 -14.7 -10.3 -15.6 -2.4 -10.1 -3.0 -1.4 -3.7 -3.1 -11.5 -18.5 -5.9 -20.0 -7.0 -12.5 -5.9 -0.6 -7.6 -2.9 -7.1 -4.3 0.2 4.2 -10.3 -4.0 -15.1 -20.0 -20.0 -20.0 -14.2 RICE -3.6 1.2 6.9 -5.0 -3.8 -5.1 -6.7 -5.8 -6.1 -5.0 15.0 0.8 12.2 6.1 12.5 -12.3 0.2 -13.3 -7.5 10.9 11.4 2.9 8.6 6.8 -20.0 0.7 -2.5 3.0 -6.0 2.7 -4.0 -0.2 -20.0 0.9 14.1 17.6 -2.3 -11.4 8.5 -1.6 ROBUSTA -3.6 16.2 -5.5 -2.8 -2.2 -2.9 -3.8 -3.3 -3.4 6.6 9.1 4.5 9.6 7.3 8.8 20.0 20.0 20.0 20.0 15.2 12.8 7.7 10.6 12.2 -16.3 3.7 1.9 3.0 1.8 2.4 3.1 20.0 13.6 20.0 20.0 20.0 -11.8 -14.6 -1.0 0.8 RUSSELL 4.1 20.0 11.1 2.7 -0.7 1.9 -0.5 1.0 1.5 -7.1 4.6 -2.7 0.6 6.5 8.2 -5.9 -6.1 -6.2 -6.4 13.0 7.3 -2.6 1.1 8.2 -1.8 2.9 -0.7 1.6 -0.6 0.5 1.7 -0.6 -11.2 7.8 5.6 -3.1 -19.3 -17.0 -20.0 -19.1 SHATZ 3.0 20.0 20.0 2.0 -0.7 0.9 0.1 -0.5 1.5 -7.2 1.5 -2.6 -4.8 4.6 5.7 -20.0 -20.0 -20.0 -20.0 8.5 4.5 -5.2 -3.6 4.1 8.7 2.3 -2.0 1.3 -0.8 -0.5 1.3 -20.0 -10.6 -4.9 -0.2 4.3 -15.2 -20.0 -6.6 -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 -7.3 -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 -19.8 5.9 -13.5 SMI 3.5 20.0 -0.1 5.5 -1.4 3.8 -1.0 1.9 3.0 20.0 1.6 18.5 3.8 20.0 19.8 12.1 4.2 8.5 5.7 20.0 6.5 13.6 -2.1 20.0 11.0 7.1 2.6 2.8 4.8 -0.4 7.8 18.2 20.0 6.9 -0.2 -7.3 1.1 -6.4 6.4 -5.8 SOFR 2.7 20.0 17.5 2.4 -0.8 1.1 0.1 -0.6 1.9 -7.7 2.9 -2.3 -1.1 6.1 8.2 1.4 -0.2 0.8 0.2 10.8 5.9 -3.2 -1.4 5.9 -1.7 2.9 -0.8 1.4 -0.0 -0.3 2.0 2.0 -0.1 -2.2 -0.2 0.8 -20.0 -20.0 -6.1 -6.1 SOYBEAN -20.0 -14.1 -3.4 -5.8 -4.4 -5.9 -7.8 -6.7 -7.1 -17.0 5.0 -20.0 5.6 -20.0 -15.8 14.0 17.1 15.0 15.0 -19.4 -7.3 -20.0 -1.7 -20.0 -20.0 -4.3 -7.0 0.0 -10.6 1.3 -9.7 20.0 -20.0 -20.0 -8.4 7.3 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 3.0 -4.4 -3.3 -4.4 -5.9 -5.1 -5.3 -14.8 -4.8 -16.1 1.8 -16.4 -9.5 4.7 15.8 10.9 13.3 -16.0 -5.0 -20.0 1.6 -20.0 -20.0 -3.5 -4.6 0.0 -6.0 2.2 -6.4 20.0 -16.8 -20.0 -20.0 9.5 -20.0 -20.0 -20.0 -19.3 SOYOIL -7.4 -5.7 -20.0 -3.5 -2.6 -3.5 -4.7 -4.0 -4.2 -0.2 -5.8 -9.6 -6.1 -11.2 -12.6 -3.9 7.4 0.8 4.3 -12.7 -12.7 -6.3 -8.9 -10.1 -20.0 -3.2 0.3 -3.4 -2.3 -2.6 -3.0 14.4 4.0 -5.2 5.8 -14.6 -10.1 -1.3 -1.3 8.7 SP400 2.6 20.0 8.1 3.0 -0.8 2.1 -0.5 1.1 1.6 -7.3 6.6 -2.3 4.0 8.0 10.0 -4.9 -5.0 -5.1 -5.2 14.3 8.7 -2.2 2.9 8.9 -9.4 3.2 -0.6 2.1 -0.7 0.9 1.8 1.4 -9.9 6.1 5.0 -2.0 -17.8 -8.7 -20.0 -20.0 SP500_micro -3.2 20.0 10.4 4.5 -1.1 3.1 -0.8 1.6 2.4 1.0 15.2 3.6 14.8 14.3 18.0 -12.2 -10.3 -11.7 -11.2 20.0 20.0 4.1 15.7 17.2 -20.0 5.9 2.2 4.8 1.5 3.8 4.1 -8.3 8.0 13.3 7.4 3.8 5.4 -5.3 9.9 -7.9 SUGAR11 -4.9 -20.0 -20.0 -2.4 -1.8 -2.5 -3.3 -2.8 -3.0 3.3 -3.4 1.3 5.1 -7.1 -6.8 12.8 19.3 20.0 20.0 -13.0 -6.4 -0.8 2.3 -9.8 -18.4 -2.7 0.5 -1.2 -0.3 0.8 -2.1 20.0 12.7 -6.0 -20.0 -9.0 2.8 -8.0 12.9 6.0 US10 3.8 20.0 19.0 2.1 -0.7 0.9 0.1 -0.5 1.6 -5.3 -0.2 -1.3 -3.4 5.0 6.5 -9.5 -7.4 -8.2 -8.0 7.8 2.5 -1.6 -4.9 4.8 1.5 2.3 -0.3 0.7 0.1 -1.0 1.7 -11.3 0.3 -1.6 -0.7 -2.3 -20.0 -20.0 -12.4 5.5 US10U 3.2 20.0 16.7 2.8 -1.0 1.3 0.1 -0.7 2.1 -8.1 0.0 -2.8 -4.5 6.5 8.5 2.3 0.5 2.0 1.1 10.4 3.0 -3.2 -7.0 6.2 -1.7 2.9 -0.8 0.8 -0.2 -1.4 2.1 3.2 -1.8 -3.4 -1.1 -4.4 -20.0 -20.0 4.3 15.4 US2 7.0 20.0 20.0 1.9 -0.7 0.9 0.1 -0.5 1.5 -5.8 -2.2 -0.3 -5.2 5.2 5.9 -20.0 -20.0 -20.0 -20.0 6.4 1.6 -0.8 -6.3 4.3 8.2 2.4 -0.1 1.0 0.6 -1.1 2.0 -20.0 2.2 1.7 -0.5 2.6 -16.7 -20.0 -11.4 -20.0 US20 4.8 20.0 15.8 2.0 -0.7 0.9 0.1 -0.5 1.6 -5.9 0.9 -1.4 -2.7 5.0 6.4 -0.7 -1.3 -0.7 -1.1 9.0 2.9 -1.9 -4.8 6.0 -1.8 2.1 -0.6 0.6 -0.1 -1.0 1.6 -0.4 -1.2 -1.4 1.5 -3.2 -20.0 -20.0 20.0 20.0 US30 1.0 20.0 15.9 2.4 -0.8 1.1 0.1 -0.6 1.8 -7.2 0.9 -3.3 -3.8 5.4 7.0 -6.1 -4.4 -5.4 -5.1 8.8 2.5 -3.5 -6.0 4.9 -1.4 2.3 -1.0 0.6 -0.5 -1.3 1.5 -6.1 -3.0 -5.1 -0.4 -4.7 -12.5 -17.5 20.0 20.0 US5 4.5 20.0 20.0 2.0 -0.7 0.9 0.1 -0.5 1.6 -5.4 -0.3 -0.9 -3.7 5.1 6.5 -9.2 -10.1 -9.6 -10.4 7.7 2.8 -1.4 -4.6 4.7 3.5 2.4 -0.2 1.0 0.3 -0.8 1.9 -15.9 1.4 -0.2 -0.7 0.2 -20.0 -20.0 -20.0 -11.0 VIX 6.2 -12.8 -5.7 -5.3 -7.0 -7.2 -4.5 -10.0 -3.9 -17.6 -20.0 -15.3 -20.0 -17.0 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.9 -20.0 -16.1 NaN -6.3 -6.6 -8.1 -4.4 -11.2 -4.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 2.1 15.6 1.9 -5.1 -3.8 -5.1 -6.8 -5.9 -6.2 -5.9 -15.3 -9.2 -18.0 5.3 2.6 -9.9 -10.4 -10.7 -10.8 -4.0 -12.2 -4.5 -20.0 -2.3 -3.4 -2.4 -0.2 -5.4 -1.6 -8.5 -1.7 -14.3 3.0 -0.3 4.0 4.0 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3