******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240112_204001 produced at 2024-01-12 21:36:58.884806 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.27 0.0 0.09 -0.09 -0.09 -0.09 -50.25 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.76 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 -10.46 12.0 -6 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -20.00 51.0 -6 -6 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 0.20 -0.20 -0.03 -0.03 -1.95 6.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.23 5.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.44 17.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.89 13.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.06 0.0 999.00 -999.00 0.00 0.00 -1.82 999999999.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.04 0.0 0.40 -0.40 -0.14 -0.14 -5.12 56.0 -20 -20 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.32 -0.32 -0.04 -0.04 -0.98 8.0 -1 -1 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.04 0.0 0.86 -0.86 -0.23 -0.23 -0.85 19.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.52 -0.52 -0.06 -0.06 -0.85 17.0 -2 -2 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.27 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.95 -0.95 0.00 0.00 -0.72 25.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.16 -0.16 -0.06 -0.06 -2.42 11.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.33 8.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.53 7.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.38 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.23 -0.23 -0.01 -0.03 -6.21 68.0 -3 -9 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.89 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.01 -1.80 9.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.89 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.62 4.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.97 9.0 -4 -4 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.75 -0.75 0.00 0.00 -0.88 29.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.16 -0.01 0.0 0.67 -0.67 -0.16 -0.16 -0.37 17.0 -4 -4 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.15 -0.15 0.00 0.00 -0.97 18.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.24 10.0 -3 -3 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.01 0.0 0.67 -0.67 -0.15 -0.15 -0.26 13.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.22 2.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.00 0.0 0.06 -0.06 -0.01 -0.01 -2.01 26.0 -6 -6 caleb_strategy_v3 US30 False False 0.05 0.09 -0.00 0.0 0.27 -0.27 0.09 0.05 -0.05 6.0 2 1 caleb_strategy_v3 US20 False False 0.04 0.09 0.00 0.0 0.38 -0.38 0.09 0.13 0.08 9.0 2 3 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.05 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.07 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.03 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.09 2.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.29 3.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 -0.00 0.0 0.44 -0.44 0.05 0.02 -0.01 19.0 2 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.31 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 1.32 13.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.05 0.01 0.0 0.67 -0.67 0.05 0.05 0.12 14.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 1.08 23.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.42 12.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.16 -0.16 0.02 0.02 0.54 10.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.11 0.02 0.0 0.27 -0.27 0.11 0.12 2.06 23.0 9 10 caleb_strategy_v3 SOFR False True 0.08 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.28 11.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.80 4.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.03 0.03 0.0 0.39 -0.39 0.03 0.03 2.04 26.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.05 0.03 0.0 0.45 -0.45 0.05 0.05 0.63 10.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.03 0.0 0.40 -0.40 0.01 0.02 3.26 48.0 1 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.43 -0.43 0.00 0.00 4.79 66.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.04 0.0 0.09 -0.09 0.07 0.07 26.23 59.0 43 43 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.04 0.0 0.12 -0.12 0.02 0.02 1.63 5.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.11 0.05 0.0 0.61 -0.61 0.11 0.11 1.98 22.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.05 0.0 0.50 -0.50 0.00 0.00 1.06 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.05 0.0 0.46 -0.46 0.04 0.04 2.10 21.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.33 0.07 0.0 0.34 -0.34 0.33 0.33 3.95 20.0 19 19 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.37 -0.37 0.00 0.00 15.03 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.41 0.12 0.0 0.41 -0.41 0.41 0.41 2.65 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.24 0.0 0.31 -0.31 0.26 0.27 28.49 36.0 30 32 caleb_strategy_v3 MXP False False 0.01 0.54 0.61 0.0 0.61 -0.61 0.54 0.55 59.61 60.0 53 54 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.65 0.62 0.0 0.93 -0.93 0.65 0.47 6.66 10.0 7 5 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.46 0.93 0.0 0.56 -0.56 0.46 0.46 26.22 16.0 13 13 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.4 Shocked risk 59.4 Sum abs risk 50.4 Leverage 4.56 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2874174.47, 'annual_cash_vol_target': 718543.6175, 'daily_cash_vol_target': 44908.97609375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6700 0.5982 9.5711 BITCOIN 1295.8345 43490.0000 2.9796 47.6738 BOBL 0.2759 118.5000 0.2328 3.7249 BTP 0.6260 118.7900 0.5270 8.4316 BUND 0.5556 135.7700 0.4093 6.5481 BUXL 1.3346 137.8600 0.9681 15.4899 CAC 50.7950 7470.0000 0.6800 10.8798 CAD 0.0027 0.7468 0.3598 5.7570 CANOLA 7.2982 634.5000 1.1502 18.4038 CHF 0.0049 1.1808 0.4156 6.6498 COCOA 47.6680 4273.0000 1.1156 17.8490 COFFEE 3.8804 177.5000 2.1861 34.9783 COPPER 0.0407 3.7405 1.0879 17.4068 CORN 4.1776 483.0000 0.8649 13.8389 COTTON2 0.9376 81.1800 1.1550 18.4799 CRUDE_W 1.1604 71.1400 1.6312 26.0990 DAX 113.7643 16835.0000 0.6758 10.8122 DOW 198.4428 37773.0000 0.5254 8.4057 DX 0.3917 102.1400 0.3835 6.1356 EUR 0.0049 1.0984 0.4468 7.1482 EURIBOR-ICE 0.0563 97.9450 0.0574 0.9189 EUROSTX 32.0273 4505.0000 0.7109 11.3748 FEEDCOW 1.9349 232.6750 0.8316 13.3057 GASOIL 12.8338 753.0000 1.7044 27.2697 GASOLINE 0.0401 2.3502 1.7054 27.2860 GAS_US_mini 0.0947 2.6250 3.6057 57.6917 GBP 0.0063 1.2753 0.4939 7.9019 GOLD_micro 14.3933 2051.8000 0.7015 11.2240 HEATOIL 0.0423 2.5590 1.6539 26.4622 JGB-SGX-mini 0.2807 147.3600 0.1905 3.0476 JPY 0.0000 0.0070 0.6769 10.8299 LEANHOG 1.1818 78.5750 1.5041 24.0652 LIVECOW 1.2911 174.2750 0.7408 11.8533 LUMBER-new 6.9369 557.0000 1.2454 19.9265 MILK 0.1839 16.3300 1.1261 18.0171 MXP 0.0004 0.0587 0.6195 9.9112 NASDAQ_micro 120.2207 16945.5000 0.7095 11.3513 NIKKEI 304.3730 35515.0000 0.8570 13.7124 NZD 0.0034 0.6246 0.5393 8.6284 OAT 0.5645 130.2200 0.4335 6.9357 OATIES 8.1846 367.0000 2.2301 35.6823 OJ 6.1842 304.3000 2.0323 32.5162 PALLAD 27.9474 976.5000 2.8620 45.7920 PLAT 13.9711 916.3000 1.5247 24.3956 REDWHEAT 10.1871 622.0000 1.6378 26.2046 RICE 0.1828 17.8750 1.0227 16.3639 ROBUSTA 45.6844 2949.0000 1.5491 24.7864 RUSSELL 23.2261 1961.8000 1.1839 18.9427 SHATZ 0.0989 106.2550 0.0930 1.4887 SILVER-mini 0.3592 23.5375 1.5261 24.4177 SMI 65.9013 11175.0000 0.5897 9.4355 SOFR 0.0668 96.7750 0.0690 1.1047 SOYBEAN 9.4055 1203.0000 0.7818 12.5095 SOYMEAL 4.2464 361.4000 1.1750 18.7998 SOYOIL 0.6516 48.8100 1.3350 21.3605 SP400 25.2441 2743.1000 0.9203 14.7244 SP500_micro 28.1389 4812.2500 0.5847 9.3558 SUGAR11 0.4038 21.0900 1.9145 30.6326 US10 0.4285 112.5625 0.3806 6.0902 US10U 0.5870 117.0312 0.5016 8.0253 US2 0.1233 103.1133 0.1196 1.9129 US20 0.8875 122.8125 0.7226 11.5619 US30 1.3164 129.4688 1.0168 16.2682 US5 0.2821 108.7578 0.2594 4.1497 VIX 0.4412 15.4500 2.8559 45.6939 WHEAT 9.0498 644.5000 1.4042 22.4666 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.05 0.60 400.82 1.00 400.82 44908.98 112.04 -0.04 -0.43 BITCOIN 43.49 2.98 129.58 1.00 129.58 44908.98 346.56 6.99 242.25 BOBL 1185.00 0.23 275.87 1.10 303.06 44908.98 148.19 -5.68 -84.17 BTP 1187.90 0.53 625.99 1.10 687.68 44908.98 65.30 2.82 18.38 BUND 1357.70 0.41 555.65 1.10 610.41 44908.98 73.57 0.96 7.09 BUXL 1378.60 0.97 1334.65 1.10 1466.18 44908.98 30.63 -1.09 -3.34 CAC 747.00 0.68 507.95 1.10 558.01 44908.98 80.48 1.52 12.20 CAD 746.80 0.36 268.71 1.00 268.71 44908.98 167.13 -2.03 -33.93 CANOLA 126.90 1.15 145.96 0.75 109.27 44908.98 410.99 -20.00 -821.97 CHF 1476.00 0.42 613.44 1.00 613.44 44908.98 73.21 -1.37 -10.05 COCOA 427.30 1.12 476.68 1.00 476.68 44908.98 94.21 10.09 95.03 COFFEE 665.62 2.19 1455.15 1.00 1455.15 44908.98 30.86 -3.00 -9.26 COPPER 935.12 1.09 1017.34 1.00 1017.34 44908.98 44.14 -4.08 -18.02 CORN 241.50 0.86 208.88 1.00 208.88 44908.98 215.00 -20.00 -430.00 COTTON2 405.90 1.15 468.81 1.00 468.81 44908.98 95.79 -11.79 -112.95 CRUDE_W 711.40 1.63 1160.43 1.00 1160.43 44908.98 38.70 3.88 15.02 DAX 168.35 0.68 113.76 1.10 124.98 44908.98 359.34 12.26 440.55 DOW 188.86 0.53 99.22 1.00 99.22 44908.98 452.61 4.55 206.06 DX 1021.40 0.38 391.68 1.00 391.68 44908.98 114.66 -6.13 -70.28 EUR 1373.00 0.45 613.41 1.00 613.41 44908.98 73.21 0.65 4.74 EURIBOR-ICE 2448.62 0.06 140.63 1.10 154.49 44908.98 290.70 6.72 195.23 EUROSTX 450.50 0.71 320.27 1.10 351.84 44908.98 127.64 9.07 115.83 FEEDCOW 1163.38 0.83 967.47 1.00 967.47 44908.98 46.42 -6.40 -29.70 GASOIL 753.00 1.70 1283.38 1.00 1283.38 44908.98 34.99 5.29 18.51 GASOLINE 987.08 1.71 1683.35 1.00 1683.35 44908.98 26.68 -5.33 -14.22 GAS_US_mini 65.62 3.61 236.63 1.00 236.63 44908.98 189.79 -0.98 -18.55 GBP 797.06 0.49 393.64 1.00 393.64 44908.98 114.09 6.68 76.17 GOLD_micro 205.18 0.70 143.93 1.00 143.93 44908.98 312.01 -4.81 -150.16 HEATOIL 1074.78 1.65 1777.56 1.00 1777.56 44908.98 25.26 2.87 7.25 JGB-SGX-mini 147360.00 0.19 28068.77 0.01 193.53 44908.98 232.05 10.43 242.13 JPY 871.62 0.68 589.98 1.00 589.98 44908.98 76.12 -4.29 -32.65 LEANHOG 314.30 1.50 472.73 1.00 472.73 44908.98 95.00 2.28 21.65 LIVECOW 697.10 0.74 516.43 1.00 516.43 44908.98 86.96 -8.48 -73.74 LUMBER-new 153.18 1.25 190.76 1.00 190.76 44908.98 235.42 -7.73 -182.05 MILK 326.60 1.13 367.77 1.00 367.77 44908.98 122.11 -20.00 -244.22 MXP 293.40 0.62 181.75 1.00 181.75 44908.98 247.10 16.43 406.10 NASDAQ_micro 338.91 0.71 240.44 1.00 240.44 44908.98 186.78 4.74 88.57 NIKKEI 35515.00 0.86 30437.30 0.01 209.34 44908.98 214.52 12.26 263.05 NZD 624.65 0.54 336.86 1.00 336.86 44908.98 133.32 6.07 80.98 OAT 1302.20 0.43 564.48 1.10 620.11 44908.98 72.42 4.31 31.19 OATIES 183.50 2.23 409.23 1.00 409.23 44908.98 109.74 -8.30 -91.10 OJ 456.45 2.03 927.63 1.00 927.63 44908.98 48.41 -2.80 -13.57 PALLAD 976.50 2.86 2794.74 1.00 2794.74 44908.98 16.07 -1.64 -2.63 PLAT 458.15 1.52 698.55 1.00 698.55 44908.98 64.29 2.47 15.86 REDWHEAT 311.00 1.64 509.35 1.00 509.35 44908.98 88.17 -19.91 -175.51 RICE 357.50 1.02 365.63 1.00 365.63 44908.98 122.83 -4.62 -56.77 ROBUSTA 294.90 1.55 456.84 1.00 456.84 44908.98 98.30 9.39 92.27 RUSSELL 98.09 1.18 116.13 1.00 116.13 44908.98 386.71 -4.85 -187.50 SHATZ 1062.55 0.09 98.86 1.10 108.61 44908.98 413.50 -6.57 -271.84 SILVER-mini 588.44 1.53 898.02 1.00 898.02 44908.98 50.01 -5.23 -26.18 SMI 1117.50 0.59 659.01 1.18 775.79 44908.98 57.89 13.44 77.80 SOFR 2419.38 0.07 167.05 1.00 167.05 44908.98 268.84 0.17 4.62 SOYBEAN 601.50 0.78 470.28 1.00 470.28 44908.98 95.49 -17.18 -164.07 SOYMEAL 361.40 1.17 424.64 1.00 424.64 44908.98 105.76 -18.33 -193.88 SOYOIL 292.86 1.34 390.98 1.00 390.98 44908.98 114.86 -11.56 -132.81 SP400 2743.10 0.92 2524.41 1.00 2524.41 44908.98 17.79 -4.64 -8.25 SP500_micro 240.61 0.58 140.69 1.00 140.69 44908.98 319.19 4.39 140.22 SUGAR11 236.21 1.91 452.23 1.00 452.23 44908.98 99.31 -4.58 -45.46 US10 1125.62 0.38 428.45 1.00 428.45 44908.98 104.82 -2.81 -29.50 US10U 1170.31 0.50 587.01 1.00 587.01 44908.98 76.51 0.56 4.32 US2 2062.27 0.12 246.56 1.00 246.56 44908.98 182.14 -3.84 -69.93 US20 1228.12 0.72 887.46 1.00 887.46 44908.98 50.60 1.28 6.47 US30 1294.69 1.02 1316.39 1.00 1316.39 44908.98 34.12 -1.20 -4.08 US5 1087.58 0.26 282.07 1.00 282.07 44908.98 159.21 -3.59 -57.12 VIX 154.50 2.86 441.23 1.00 441.23 44908.98 101.78 -20.00 -203.56 WHEAT 322.25 1.40 452.49 1.00 452.49 44908.98 99.25 -14.99 -148.81 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -0.425 0.010 2.5 -0.011 BITCOIN 242.247 0.043 2.5 26.233 BOBL -84.167 0.004 2.5 -0.854 BTP 18.384 0.014 2.5 0.627 BUND 7.087 0.004 2.5 0.072 BUXL -3.343 0.004 2.5 -0.034 CAC 12.202 0.014 2.5 0.416 CAD -33.932 0.010 2.5 -0.880 CANOLA -821.970 0.010 2.5 -19.998 CHF -10.051 0.010 2.5 -0.261 COCOA 95.030 0.009 2.5 2.035 COFFEE -9.257 0.005 2.5 -0.108 COPPER -18.019 0.043 2.5 -1.951 CORN -429.996 0.010 2.5 -10.461 COTTON2 -112.951 0.009 2.5 -2.419 CRUDE_W 15.017 0.043 2.5 1.626 DAX 440.545 0.014 2.5 15.026 DOW 206.056 0.009 2.5 4.789 DX -70.282 0.010 2.5 -1.824 EUR 4.737 0.010 2.5 0.123 EURIBOR-ICE 195.232 0.014 2.5 6.659 EUROSTX 115.825 0.014 2.5 3.951 FEEDCOW -29.697 0.013 2.5 -0.984 GASOIL 18.506 0.017 2.5 0.802 GASOLINE -14.218 0.017 2.5 -0.616 GAS_US_mini -18.546 0.043 2.5 -2.008 GBP 76.168 0.010 2.5 1.976 GOLD_micro -150.161 0.014 2.5 -5.122 HEATOIL 7.245 0.017 2.5 0.314 JGB-SGX-mini 242.133 0.043 2.5 26.220 JPY -32.646 0.010 2.5 -0.847 LEANHOG 21.655 0.024 2.5 1.316 LIVECOW -73.743 0.013 2.5 -2.444 LUMBER-new -182.047 0.009 2.5 -3.889 MILK -244.220 0.009 2.5 -5.231 MXP 406.100 0.059 2.5 59.605 NASDAQ_micro 88.571 0.009 2.5 2.058 NIKKEI 263.049 0.043 2.5 28.485 NZD 80.977 0.010 2.5 2.101 OAT 31.188 0.014 2.5 1.064 OATIES -91.103 0.010 2.5 -2.216 OJ -13.568 0.009 2.5 -0.291 PALLAD -2.628 0.014 2.5 -0.090 PLAT 15.855 0.014 2.5 0.541 REDWHEAT -175.505 0.005 2.5 -2.328 RICE -56.769 0.010 2.5 -1.381 ROBUSTA 92.265 0.005 2.5 1.077 RUSSELL -187.496 0.013 2.5 -6.213 SHATZ -271.843 0.004 2.5 -2.757 SILVER-mini -26.176 0.014 2.5 -0.893 SMI 77.796 0.014 2.5 2.654 SOFR 4.623 0.024 2.5 0.281 SOYBEAN -164.073 0.004 2.5 -1.526 SOYMEAL -193.878 0.004 2.5 -1.803 SOYOIL -132.811 0.004 2.5 -1.236 SP400 -8.247 0.013 2.5 -0.273 SP500_micro 140.216 0.009 2.5 3.259 SUGAR11 -45.461 0.009 2.5 -0.967 US10 -29.504 0.005 2.5 -0.374 US10U 4.317 0.005 2.5 0.055 US2 -69.930 0.005 2.5 -0.886 US20 6.466 0.005 2.5 0.082 US30 -4.079 0.005 2.5 -0.052 US5 -57.123 0.005 2.5 -0.724 VIX -203.562 0.099 2.5 -50.248 WHEAT -148.813 0.005 2.5 -1.974 ===================== Position diags ===================== AUD 2.91 BITCOIN 37.53 BOBL 1.50 BTP 2.23 BUND 0.75 BUXL 0.31 CAC 2.75 CAD 4.34 CANOLA 10.00 CHF 1.90 COCOA 2.02 COFFEE 0.36 COPPER 4.78 CORN 5.23 COTTON2 2.05 CRUDE_W 4.19 DAX 12.26 DOW 10.52 DX 2.97 EUR 1.90 EURIBOR-ICE 9.92 EUROSTX 4.35 FEEDCOW 1.54 GASOIL 1.52 GASOLINE 1.16 GAS_US_mini 20.55 GBP 2.96 GOLD_micro 10.64 HEATOIL 1.10 JGB-SGX-mini 25.13 JPY 1.98 LEANHOG 5.77 LIVECOW 2.88 LUMBER-new 5.03 MILK 2.62 MXP 36.27 NASDAQ_micro 4.34 NIKKEI 23.23 NZD 3.46 OAT 2.47 OATIES 2.67 OJ 1.04 PALLAD 0.55 PLAT 2.19 REDWHEAT 1.17 RICE 2.99 ROBUSTA 1.15 RUSSELL 12.81 SHATZ 4.19 SILVER-mini 1.71 SMI 1.97 SOFR 16.34 SOYBEAN 0.89 SOYMEAL 0.98 SOYOIL 1.07 SP400 0.59 SP500_micro 7.42 SUGAR11 2.11 US10 1.33 US10U 0.97 US2 2.31 US20 0.64 US30 0.43 US5 2.02 VIX 25.12 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.0 -0.3 0.3 2.0 2 BITCOIN 26.2 22.5 30.0 43.0 43 BOBL -0.9 -1.0 -0.7 -5.0 -5 BTP 0.6 0.4 0.8 1.0 1 BUND 0.1 -0.0 0.1 0.0 0 BUXL -0.0 -0.1 -0.0 0.0 0 CAC 0.4 0.1 0.7 0.0 0 CAD -0.9 -1.3 -0.4 0.0 0 CANOLA -20.0 -21.0 -19.0 -6.0 -6 CHF -0.3 -0.5 -0.1 -3.0 -3 COCOA 2.0 1.8 2.2 2.0 2 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -2.0 -2.4 -1.5 -1.0 -1 CORN -10.5 -11.0 -9.9 -6.0 -6 COTTON2 -2.4 -2.6 -2.2 -4.0 -4 CRUDE_W 1.6 1.2 2.0 1.0 1 DAX 15.0 13.8 16.3 0.0 0 DOW 4.8 3.7 5.8 0.0 0 DX -1.8 -2.1 -1.5 NaN 0 EUR 0.1 -0.1 0.3 1.0 1 EURIBOR-ICE 6.7 5.7 7.7 7.0 7 EUROSTX 4.0 3.5 4.4 19.0 19 FEEDCOW -1.0 -1.1 -0.8 -1.0 -1 GASOIL 0.8 0.7 1.0 0.0 0 GASOLINE -0.6 -0.7 -0.5 0.0 0 GAS_US_mini -2.0 -4.1 0.0 -6.0 -6 GBP 2.0 1.7 2.3 4.0 4 GOLD_micro -5.1 -6.2 -4.1 -20.0 -20 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 26.2 23.7 28.7 13.0 13 JPY -0.8 -1.0 -0.6 -2.0 -2 LEANHOG 1.3 0.7 1.9 1.0 1 LIVECOW -2.4 -2.7 -2.2 0.0 0 LUMBER-new -3.9 -4.4 -3.4 NaN 0 MILK -5.2 -5.5 -5.0 NaN 0 MXP 59.6 56.0 63.2 53.0 53 NASDAQ_micro 2.1 1.6 2.5 9.0 9 NIKKEI 28.5 26.2 30.8 30.0 30 NZD 2.1 1.8 2.4 2.0 2 OAT 1.1 0.8 1.3 0.0 0 OATIES -2.2 -2.5 -1.9 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT 0.5 0.3 0.8 1.0 1 REDWHEAT -2.3 -2.4 -2.2 -3.0 -3 RICE -1.4 -1.7 -1.1 NaN 0 ROBUSTA 1.1 1.0 1.2 0.0 0 RUSSELL -6.2 -7.5 -4.9 -3.0 -3 SHATZ -2.8 -3.2 -2.3 NaN 0 SILVER-mini -0.9 -1.1 -0.7 NaN 0 SMI 2.7 2.5 2.9 9.0 9 SOFR 0.3 -1.4 1.9 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -2.0 -2 SOYMEAL -1.8 -1.9 -1.7 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 -3.0 -3 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro 3.3 2.5 4.0 1.0 1 SUGAR11 -1.0 -1.2 -0.8 0.0 0 US10 -0.4 -0.5 -0.2 -4.0 -4 US10U 0.1 -0.0 0.2 0.0 0 US2 -0.9 -1.1 -0.7 NaN 0 US20 0.1 0.0 0.1 2.0 2 US30 -0.1 -0.1 -0.0 2.0 2 US5 -0.7 -0.9 -0.5 0.0 0 VIX -50.2 -52.8 -47.7 -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 3.7 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 -0.0 0.6 0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.1 -0.1 -0.1 0.0 0.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 -0.2 -0.1 -0.1 0.0 -0.6 -0.4 -0.3 0.2 BITCOIN -0.3 0.1 0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.4 0.2 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 0.6 0.6 0.6 -0.2 0.4 0.1 0.6 BOBL -0.4 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.0 0.1 -0.4 -0.2 -0.4 -0.3 0.1 0.1 -0.0 -0.0 0.0 1.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -1.1 -0.3 -0.3 -0.1 0.1 -0.6 -0.7 -0.1 -0.6 BTP -0.3 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -0.1 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.1 0.1 -1.3 0.0 0.0 0.1 -0.0 0.0 0.0 0.7 -0.2 -0.3 -0.0 0.2 -0.5 -0.7 0.3 0.1 BUND -0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.0 -0.0 0.0 0.7 0.0 -0.0 0.1 -0.0 0.0 0.0 0.4 -0.3 -0.4 -0.0 0.1 -0.6 -0.7 -0.1 -0.2 BUXL -0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 -0.1 0.0 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 -0.3 -0.5 0.0 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.6 0.6 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.2 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.1 0.1 0.1 -0.1 0.3 0.0 -1.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 -0.2 -0.6 -0.2 -0.2 0.2 0.3 0.5 0.5 CAD 0.1 0.6 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 -0.2 0.0 -0.2 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.1 -0.1 0.1 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 0.0 -0.3 -0.1 0.1 -0.4 -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 -0.0 -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 -0.2 -0.5 -0.6 -0.6 -0.5 -0.4 -0.2 -0.0 CHF 0.3 0.6 0.4 0.1 -0.0 0.1 0.0 0.1 0.0 -0.2 0.2 0.0 0.4 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.0 0.3 0.2 -1.2 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 0.0 0.6 0.6 0.3 -0.7 -0.7 -0.6 -0.7 COCOA -0.6 -0.1 0.5 -0.1 -0.0 -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 0.0 0.3 -0.0 0.5 0.0 0.5 -0.1 -0.0 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 -0.1 0.1 -0.0 -2.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 -0.3 0.0 0.6 0.6 -0.5 -0.7 -0.4 -0.3 COPPER -0.3 0.3 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.1 -1.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 0.2 0.2 0.4 0.2 -0.3 -0.3 0.3 -0.2 CORN -0.4 -0.2 -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 0.1 -0.3 -0.4 -0.1 0.1 COTTON2 0.3 -0.0 -0.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.4 0.1 -0.3 0.0 -0.1 -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 0.1 -0.1 0.0 -0.0 0.5 0.6 0.4 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W -0.1 -0.4 -0.2 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 -0.1 0.2 -0.1 -0.2 0.1 0.2 0.2 0.2 -0.1 -0.0 -0.0 0.2 -0.1 -0.6 -0.1 0.0 -0.0 -0.0 0.2 -0.1 -0.1 -0.1 -0.2 0.1 0.4 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 0.0 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 0.1 2.4 0.1 0.0 0.1 -0.0 0.1 0.0 -0.4 0.1 -0.5 0.3 0.2 0.1 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 -0.0 0.5 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 -0.0 0.1 0.0 0.1 0.0 -0.4 0.1 0.2 0.6 0.4 -0.3 -0.1 -0.2 -0.2 DX -0.0 -0.5 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 -0.2 -0.0 -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 -0.1 -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 0.0 0.3 0.3 0.0 -0.0 0.1 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 -0.0 0.0 0.0 1.7 0.1 0.0 0.1 0.0 0.0 0.0 -0.4 0.1 0.1 -0.3 -0.1 -0.7 -0.4 -0.5 -0.2 EURIBOR-ICE -0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 0.1 0.1 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.0 0.1 0.1 2.1 0.0 0.0 0.1 -0.0 0.0 0.0 -0.3 -0.2 -0.1 0.1 0.4 -0.7 -0.7 0.2 0.7 EUROSTX -0.6 0.6 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.2 0.7 0.1 0.2 0.2 -0.0 0.1 0.0 0.2 0.2 -0.1 0.4 0.0 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 0.5 -0.0 -0.6 -0.2 0.1 -0.0 0.3 0.2 0.5 FEEDCOW 0.5 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.3 0.1 -0.1 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.2 0.0 -0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 -1.1 0.2 0.4 0.0 -0.6 0.5 0.1 0.7 0.4 GASOIL 0.1 -0.4 -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 -0.1 -0.0 0.1 0.0 -0.1 -0.4 0.2 -0.4 -0.2 -0.1 -0.0 0.0 0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 0.1 -0.0 -0.6 -0.1 -0.0 0.4 -0.0 0.7 0.4 0.7 0.3 GAS_US_mini 0.6 -0.3 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 0.4 -0.4 0.3 -0.2 -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 0.1 0.6 -0.2 0.1 -0.6 0.1 -0.7 -0.0 GBP 0.1 0.4 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.5 0.1 -0.0 -0.1 -0.5 -0.0 -0.4 0.4 GOLD_micro -0.1 0.2 0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 0.3 0.0 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 0.5 0.3 0.4 0.4 -0.7 -0.7 -0.6 -0.6 HEATOIL 0.1 -0.4 -0.4 -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 0.1 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.2 -0.0 1.1 0.2 0.3 0.3 0.1 0.5 0.0 0.4 -0.1 JGB-SGX-mini 0.4 0.6 0.3 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 0.1 0.1 0.1 0.1 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.3 0.1 0.0 -0.1 0.0 -0.7 0.3 0.5 JPY -0.2 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 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 -0.1 -0.2 -0.0 2.7 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.3 -0.3 0.0 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.2 0.1 -0.4 0.0 -0.1 -0.4 0.0 -0.4 -0.2 -0.1 -0.1 0.1 -0.4 0.0 2.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 0.5 0.6 0.3 0.1 -0.4 -0.3 0.2 0.4 LIVECOW 0.3 -0.5 -0.6 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.3 0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.4 0.1 0.1 -0.3 -0.6 0.3 -0.2 0.5 0.0 LUMBER-new -0.1 0.5 0.5 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.0 -0.2 -0.7 0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 -0.2 -0.2 0.0 NaN 0.1 -0.1 0.1 -0.1 -0.0 0.0 -1.2 -0.6 0.7 0.7 0.7 -0.5 -0.8 -0.2 -0.8 MILK 0.1 -0.6 -0.4 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.1 -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 -0.0 -1.1 0.3 -0.4 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.4 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 1.1 0.5 0.4 -0.2 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro -0.2 0.6 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.3 0.5 0.5 0.2 0.3 0.5 -0.2 0.6 -0.2 NIKKEI 0.4 0.1 0.1 0.0 -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 0.3 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.1 0.1 0.2 0.2 0.1 1.1 0.5 0.6 -0.2 -0.1 -0.4 -0.1 -0.2 0.1 NZD 0.0 0.6 0.5 0.1 -0.0 0.1 0.0 0.1 0.0 0.0 0.2 -0.1 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 0.0 0.2 0.1 0.0 0.2 0.3 -0.3 -0.4 -0.2 0.2 OAT -0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 1.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.3 -0.4 0.0 0.2 -0.6 -0.7 0.1 0.2 OATIES 0.3 0.1 -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 0.1 -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 -0.5 0.1 0.2 0.1 -0.5 -0.0 0.2 0.3 0.6 OJ -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -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 -0.0 0.2 -0.0 1.1 -0.3 -0.6 -0.6 0.6 0.3 0.4 0.7 0.7 PALLAD -0.4 0.4 0.3 -0.0 -0.0 -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 0.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.1 0.0 -0.3 -0.2 -0.2 -0.0 -0.1 PLAT -0.2 0.3 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.1 1.7 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.3 -0.3 0.1 0.3 0.1 -0.2 -0.3 0.5 -0.0 REDWHEAT -0.0 0.2 -0.4 -0.1 -0.0 -0.1 -0.0 -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 -1.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.1 -0.1 -0.2 -0.0 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.0 0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 0.4 -0.0 0.4 0.0 0.1 -0.3 -0.0 -0.3 -0.2 0.1 0.1 0.0 0.2 0.1 -2.7 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.5 -0.0 0.2 0.5 -0.1 -0.4 0.3 -0.0 ROBUSTA -0.0 0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.3 0.2 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL -0.2 0.6 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 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 -0.2 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 -0.1 0.1 -0.1 -0.7 -0.6 -0.7 -0.6 SHATZ -0.3 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 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 -0.2 -0.2 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 SILVER-mini -0.4 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -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 0.2 0.1 -0.1 -0.1 -0.7 -0.6 0.2 -0.4 SMI 0.0 0.6 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.1 -0.0 0.2 1.5 0.1 0.0 0.1 0.0 -0.0 0.1 1.0 0.5 0.2 0.2 -0.3 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 0.0 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 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 -0.0 0.0 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.6 -0.6 -0.2 -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 -0.1 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 1.1 -0.4 -0.6 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 0.0 -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 -0.5 -0.6 -0.6 0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.3 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 -0.2 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.2 -0.1 0.2 -0.5 -0.3 -0.1 -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 -0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.1 -0.1 0.1 -0.1 -0.6 -0.3 -0.7 -0.7 SP500_micro -0.0 0.6 0.4 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 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.4 0.5 0.4 0.3 0.2 0.2 -0.2 0.4 -0.3 SUGAR11 0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.1 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 0.0 0.1 -0.1 -2.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 0.2 0.0 -0.6 -0.4 0.1 -0.2 0.4 0.2 US10 -0.0 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 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.1 -0.1 -0.0 -0.1 -0.7 -0.7 -0.4 0.2 US10U -0.1 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 0.1 0.1 0.1 0.0 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 -0.2 -0.0 -0.1 -0.7 -0.7 0.2 0.5 US2 0.1 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.2 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 0.2 0.1 0.0 0.1 -0.6 -0.7 -0.4 -0.7 US20 -0.1 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 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 -0.1 0.0 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.2 0.6 0.5 0.0 0.0 0.0 0.0 -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 -0.0 -0.2 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.2 -0.3 -0.0 -0.2 -0.4 -0.6 0.7 0.7 US5 0.0 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.0 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.1 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.8 0.1 0.0 0.0 0.0 -0.7 -0.7 -0.7 -0.3 VIX -0.1 -0.6 -0.9 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.2 -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 0.0 0.4 0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.5 -0.0 -0.5 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.7 0.0 0.1 0.3 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 -1.2 17.1 14.6 4.7 -0.7 3.9 0.3 2.5 3.0 -16.0 2.7 -13.3 -6.7 4.9 11.3 -2.2 -2.8 -2.5 -2.7 12.6 7.8 -6.6 -2.5 4.2 3.1 5.0 -2.0 3.0 -1.0 -0.4 2.6 -1.0 -10.3 -4.1 -1.6 1.5 -17.1 -10.8 -7.6 4.6 BITCOIN -8.3 3.8 20.0 -2.5 -13.5 -0.7 -12.9 -0.1 -7.5 -6.7 20.0 5.0 18.6 15.7 20.0 -7.5 -6.4 -8.4 -7.7 20.0 20.0 4.5 16.4 15.1 -20.0 7.5 -3.9 8.2 -0.2 5.7 3.4 -1.9 20.0 19.0 20.0 20.0 -5.6 10.8 4.5 17.3 BOBL -12.8 20.0 20.0 2.2 0.7 1.1 0.4 -0.5 1.5 -4.1 4.3 -5.7 -1.7 3.6 6.2 -20.0 -10.5 -20.0 -15.9 9.5 7.4 -4.9 -0.6 2.5 7.7 2.2 -0.4 1.8 -1.0 0.1 0.6 -20.0 -11.2 -9.2 -1.7 4.3 -19.3 -20.0 -1.8 -18.6 BTP -9.5 20.0 20.0 3.4 1.1 1.8 0.7 -0.8 2.4 -0.1 9.1 -7.7 7.2 5.9 10.5 4.2 7.0 5.4 6.0 18.7 15.1 -1.0 5.1 8.9 -9.5 3.9 0.8 3.2 -0.1 1.2 1.8 13.2 -7.5 -9.3 -0.3 6.5 -15.4 -20.0 8.9 2.8 BUND -14.0 20.0 20.0 2.4 0.7 1.2 0.5 -0.5 1.7 -5.2 4.9 -7.1 -1.9 3.6 6.6 4.9 4.3 2.8 2.5 11.0 8.4 -5.5 -0.9 3.1 5.3 2.4 -0.6 1.9 -1.1 0.1 0.6 7.6 -11.2 -12.2 -1.3 3.9 -18.2 -20.0 -2.1 -7.3 BUXL -14.5 20.0 20.0 2.8 0.9 1.4 0.6 -0.6 2.0 -7.3 5.1 -9.4 -5.0 3.6 7.3 0.0 0.6 0.2 0.4 12.5 8.3 -7.1 -3.7 3.2 1.0 2.7 -0.9 1.8 -1.2 -0.3 0.7 3.1 -11.8 -15.9 0.5 2.7 -20.0 -20.0 -2.2 9.1 CAC -18.5 17.6 3.8 5.5 -1.0 4.2 -0.9 2.3 2.5 -6.9 14.0 -16.5 20.0 5.8 17.3 -9.8 -4.7 -8.5 -7.0 13.9 12.9 -8.8 12.6 0.9 -8.5 4.4 0.5 4.1 -2.6 3.3 0.1 0.4 -7.9 -20.0 -7.5 -6.5 5.7 8.5 13.8 14.7 CAD 3.5 20.0 5.9 6.5 -1.0 5.3 0.4 3.4 4.1 -20.0 1.2 -16.3 -5.5 9.6 13.9 -1.8 -2.2 -2.1 -2.2 17.2 7.9 -7.9 -3.7 9.1 2.4 6.0 -3.4 2.5 -1.2 -1.1 4.1 0.0 -12.2 -3.8 2.2 -11.3 -20.0 -17.4 0.1 -14.2 CANOLA -14.5 -20.0 -20.0 -2.8 -1.0 -2.8 -2.6 -3.2 -3.1 -3.7 -8.0 -7.9 -6.7 -9.7 -10.2 -11.1 -0.9 -10.8 -7.5 -18.3 -15.8 -10.9 -11.7 -16.6 -20.0 -4.0 -0.2 -3.4 -1.9 -2.7 -3.5 -1.7 -9.8 -14.2 -19.6 -20.0 -15.1 -12.8 -6.3 -1.4 CHF 9.9 20.0 12.2 5.6 -0.9 4.5 0.3 2.9 3.5 -18.5 9.1 4.1 11.6 12.6 17.0 -15.4 -15.5 -16.2 -16.0 20.0 17.7 2.4 9.5 20.0 -8.6 7.1 -1.0 4.1 2.2 1.9 6.4 -20.0 1.5 20.0 20.0 9.5 -20.0 -20.0 -17.2 -20.0 COCOA -20.0 -3.7 16.1 -6.7 -2.5 -6.6 -6.1 -7.4 -7.3 18.8 20.0 9.3 20.0 14.2 20.0 10.3 1.7 8.0 4.5 20.0 20.0 7.9 20.0 10.1 -20.0 6.3 5.2 11.1 -0.3 13.0 0.3 10.0 -3.0 -0.1 20.0 20.0 20.0 1.4 20.0 20.0 COFFEE -9.5 11.1 20.0 -3.5 -1.3 -3.5 -3.2 -3.9 -3.8 -10.1 5.0 -11.0 -1.4 -0.1 6.7 7.0 4.4 7.4 5.7 7.1 7.3 -7.1 2.0 -0.6 -16.0 3.0 -2.2 3.4 -2.1 1.7 0.0 13.6 -12.2 0.2 18.2 20.0 -16.3 -20.0 -12.4 -10.3 COPPER -8.7 8.3 8.4 -2.1 -11.4 -0.6 -10.8 -0.1 -6.3 -14.9 -1.0 -14.7 -3.2 -4.5 7.2 -5.8 -4.6 -6.0 -5.7 2.6 1.8 -14.5 -3.0 -5.7 -8.4 2.0 -8.7 1.7 -6.9 -0.7 -2.3 1.3 6.6 5.0 12.5 6.4 -9.2 -8.3 9.0 -5.6 CORN -11.9 -4.6 -5.3 -7.0 -2.6 -7.0 -6.4 -7.8 -7.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.0 -2.3 -9.2 -6.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.4 -12.8 -5.7 -11.9 -5.7 -11.4 -2.8 -20.0 -20.0 -13.5 1.7 -7.9 -13.4 -1.6 2.7 COTTON2 7.8 -0.4 -15.7 -6.2 -2.3 -6.1 -5.6 -6.8 -6.7 13.7 -13.3 12.9 -8.8 1.0 -13.9 -10.3 -1.2 -8.2 -5.4 -8.7 -12.5 5.5 -10.7 0.4 -20.0 -2.5 5.5 -4.9 5.1 -2.8 3.0 -0.5 20.0 18.1 12.8 -12.0 -17.5 -15.2 -5.5 0.4 CRUDE_W -1.8 -13.0 -7.1 -4.6 3.1 -2.7 0.8 0.8 -2.5 6.3 4.0 -7.2 5.8 -9.4 -14.4 6.3 9.5 7.6 8.8 -7.6 -1.0 -1.7 6.5 -6.4 -4.3 -5.0 2.2 -0.5 -1.5 4.7 -4.7 -1.1 -5.8 -6.8 3.7 11.7 20.0 14.5 20.0 15.4 DAX -16.7 20.0 10.8 5.1 -0.9 3.9 -0.9 2.1 2.3 0.9 15.4 -3.7 18.2 14.5 19.9 -15.2 -9.7 -13.3 -11.6 20.0 18.7 -1.1 12.3 10.2 18.0 5.5 0.2 4.4 -0.6 2.5 2.1 -7.8 2.2 -15.4 8.6 4.6 3.9 5.9 13.9 18.3 DOW 0.5 20.0 20.0 4.5 -0.8 3.5 -0.8 1.9 2.0 -5.1 17.5 7.8 16.6 18.9 20.0 -12.0 -9.5 -11.3 -10.7 20.0 20.0 6.3 18.0 20.0 -13.9 6.4 -0.4 5.2 0.7 3.3 3.9 -7.1 5.5 7.1 20.0 12.5 -8.1 -3.8 -6.7 -6.9 DX -1.1 -16.9 -13.5 4.2 -0.6 3.4 0.3 2.2 2.6 5.6 -0.1 9.7 -6.1 -4.0 -9.9 5.4 6.0 5.9 6.1 -11.2 -6.5 2.2 0.6 -5.4 -20.0 -4.6 -0.1 -2.2 -1.0 0.6 -3.5 14.3 8.8 -20.0 -20.0 -20.0 16.2 3.8 20.0 11.0 EUR 0.9 8.3 8.9 4.6 -0.7 3.8 0.3 2.4 2.9 0.3 -0.1 -7.7 6.8 3.3 10.2 -5.5 -6.6 -5.9 -6.2 7.9 4.8 -0.7 0.2 3.9 12.4 4.9 0.6 2.6 1.8 0.2 4.1 -7.2 5.7 2.2 -9.0 -3.4 -20.0 -12.0 -16.1 -7.0 EURIBOR-ICE -14.1 20.0 20.0 2.0 0.6 1.0 0.4 -0.4 1.4 -2.9 6.2 -3.6 1.5 4.7 6.8 0.5 -5.5 -1.8 -4.0 13.6 12.1 -2.2 3.6 5.8 15.9 2.6 0.1 2.3 -0.2 0.7 1.2 -6.6 -9.1 -3.8 4.3 13.7 -20.0 -20.0 6.8 20.0 EUROSTX -17.8 17.1 9.2 5.3 -1.0 4.1 -0.9 2.2 2.4 -5.1 15.0 -13.9 19.8 6.9 18.1 10.7 -0.4 4.1 0.6 17.2 17.2 -6.6 15.4 3.3 2.9 4.9 -0.1 5.0 -2.1 3.8 0.5 9.9 -1.4 -20.0 -7.0 3.3 -0.4 8.3 4.6 16.2 FEEDCOW 14.9 -11.2 -20.0 -4.4 -1.6 -4.3 -4.0 -4.9 -4.8 12.5 -9.3 12.9 -2.2 5.7 -9.2 -20.0 -20.0 -20.0 -20.0 -12.2 -17.2 7.1 -5.7 2.3 -2.4 -3.7 1.8 -3.7 0.8 0.8 -0.7 -20.0 6.5 13.0 1.3 -20.0 13.5 4.0 20.0 12.1 GASOIL 3.7 -13.7 -11.4 -3.9 2.6 -2.2 0.7 0.7 -2.1 11.4 4.0 3.8 5.5 -1.5 -10.4 15.3 20.0 16.1 18.5 -6.7 -1.7 3.4 7.0 -2.3 7.7 -2.9 2.6 -0.2 1.5 3.6 -1.0 17.6 1.4 8.2 5.8 5.7 -10.1 -2.9 -20.0 -8.7 GASOLINE 1.8 -5.8 -14.8 -4.7 3.1 -2.7 0.8 0.9 -2.5 10.6 -2.4 -0.8 4.1 0.3 -11.8 -20.0 9.0 -20.0 -10.2 -6.4 -4.5 1.4 3.8 -2.6 -20.0 -4.2 3.8 -2.2 0.1 3.9 -2.5 -12.1 -6.2 -0.8 12.7 -0.0 20.0 12.3 20.0 10.4 GAS_US_mini 20.0 -10.2 -2.3 -3.4 2.2 -1.9 0.6 0.6 -1.8 6.5 -11.1 9.7 -14.7 -1.3 -8.9 20.0 -20.0 15.1 -10.3 -11.5 -18.0 7.8 -20.0 1.0 19.8 -2.8 1.4 -3.9 2.1 -3.1 0.6 -20.0 5.4 17.6 -5.5 2.8 -17.6 3.3 -20.0 -0.7 GBP 2.1 12.8 6.9 5.1 -0.8 4.2 0.3 2.7 3.3 14.6 1.0 7.8 10.2 13.9 15.7 0.1 -0.6 -0.2 -0.4 12.4 8.4 6.1 3.9 9.8 2.1 6.1 2.2 3.5 3.8 0.9 5.9 3.0 20.0 3.0 -0.3 -3.8 -15.6 -0.1 -12.2 11.5 GOLD_micro -2.2 6.6 13.6 -2.0 -10.8 -0.6 -10.3 -0.1 -6.0 -3.1 8.9 -9.1 7.5 2.3 12.4 -13.4 -13.9 -13.9 -14.3 8.2 8.3 -4.0 5.1 1.0 -5.4 2.7 1.7 3.4 -1.9 2.6 -0.6 -14.4 18.9 10.5 12.2 11.9 -20.0 -20.0 -17.2 -17.4 HEATOIL 3.1 -13.4 -13.2 -4.4 2.9 -2.5 0.8 0.8 -2.4 14.3 2.5 3.2 4.0 -5.2 -12.3 20.0 20.0 20.0 20.0 -8.5 -3.8 4.7 5.5 -2.7 -20.0 -3.1 4.6 -0.4 2.7 4.9 -0.4 20.0 6.6 9.1 10.1 4.5 14.7 0.8 12.8 -4.0 JGB-SGX-mini 11.9 20.0 8.8 1.9 -0.3 0.9 0.0 -0.4 1.3 6.6 3.3 7.4 3.8 7.6 7.3 8.5 18.3 12.3 14.6 8.3 4.9 6.9 2.2 8.3 -2.5 2.2 2.1 1.1 1.9 0.0 2.3 20.0 12.0 3.8 0.8 -1.8 0.8 -20.0 10.4 16.3 JPY -6.1 20.0 20.0 2.6 -0.4 2.1 0.2 1.3 1.6 -6.1 -4.6 -7.2 -8.0 1.5 3.4 -13.8 -16.0 -15.7 -16.4 2.0 -2.3 -6.2 -9.1 -1.3 20.0 1.4 -1.2 -0.8 -1.3 -3.4 0.6 -20.0 -11.2 -10.3 0.5 -7.0 -9.7 -20.0 -4.4 -20.0 LEANHOG 6.2 -2.6 -6.7 -4.7 -1.7 -4.6 -4.2 -5.2 -5.1 13.4 -5.6 12.9 -10.6 0.1 -8.2 -20.0 0.0 -20.0 -11.2 -5.9 -11.1 13.0 -14.7 3.4 15.4 2.6 6.1 -2.1 8.4 -6.5 6.7 -0.2 20.0 20.0 10.3 2.3 -12.2 -8.4 6.3 11.2 LIVECOW 9.1 -16.8 -20.0 -5.1 -1.9 -5.1 -4.6 -5.7 -5.6 6.9 -10.2 10.1 -1.6 -0.0 -11.3 -16.5 -6.3 -12.5 -9.7 -18.1 -19.9 4.1 -5.7 -3.2 -0.3 -5.8 0.6 -4.5 -0.7 1.0 -3.0 -7.2 5.1 3.4 -9.0 -20.0 8.0 -4.9 13.6 1.2 LUMBER-new -3.4 12.7 12.3 -7.3 -2.7 -7.1 -6.6 -6.9 -7.9 -20.0 -1.2 -17.3 -17.2 3.4 16.9 -12.6 -14.1 -13.1 -13.7 14.1 7.8 -14.6 -4.8 3.0 NaN 5.6 -9.5 3.6 -6.2 -0.1 1.0 -18.8 -20.0 20.0 20.0 20.0 -12.6 -20.0 -6.3 -20.0 MILK 2.5 -18.6 -11.8 -5.5 -2.0 -5.4 -5.0 -6.1 -6.0 -6.1 -19.1 -9.7 -18.9 -17.6 -19.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -5.9 -20.0 -19.6 12.8 -7.0 -1.0 -7.3 -1.1 -7.5 -4.3 -20.0 12.1 -13.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 7.8 11.6 6.2 5.6 -0.9 4.6 0.3 2.9 3.6 9.6 18.7 14.1 20.0 18.2 20.0 16.0 16.4 15.2 15.3 20.0 20.0 11.7 20.0 18.3 -20.0 7.3 3.6 6.3 4.6 7.9 6.8 20.0 20.0 11.6 -5.5 -5.8 12.6 19.0 20.0 20.0 NASDAQ_micro -6.5 18.3 12.8 3.4 -0.6 2.7 -0.6 1.4 1.5 12.1 13.6 4.7 13.9 9.2 13.6 -11.6 -9.3 -11.0 -10.3 20.0 20.0 8.5 20.0 12.9 -20.0 5.2 3.1 4.9 3.1 4.9 4.1 -6.5 20.0 14.2 6.5 10.4 14.8 -5.3 17.2 -7.3 NIKKEI 12.3 3.3 3.6 4.6 -0.9 3.6 -0.8 1.9 2.1 18.9 18.6 20.0 19.0 17.7 18.8 19.0 11.9 14.8 12.6 19.6 16.9 20.0 19.3 20.0 -14.1 6.3 16.2 4.7 13.9 5.3 9.9 20.0 20.0 20.0 -4.8 -2.2 -11.3 -1.7 -5.5 2.2 NZD 0.5 20.0 15.0 5.3 -0.8 4.3 0.3 2.7 3.3 0.3 6.3 -8.0 3.1 11.3 15.6 0.3 0.2 0.2 0.2 19.5 13.3 -1.6 0.7 10.0 0.8 6.4 0.4 4.3 1.1 0.8 4.4 4.2 2.3 0.8 5.3 8.6 -9.6 -11.8 -6.5 4.8 OAT -14.3 20.0 20.0 2.6 0.8 1.3 0.5 -0.6 1.8 -5.0 5.8 -7.5 -1.4 4.0 7.2 4.7 6.9 5.1 5.6 12.9 10.0 -5.2 0.3 4.1 7.6 2.7 -0.5 2.1 -1.0 0.3 0.8 12.8 -11.4 -12.2 0.0 5.4 -18.5 -20.0 2.4 5.3 OATIES 8.2 2.0 -20.0 -2.3 -0.8 -2.3 -2.1 -2.5 -2.5 1.6 -6.1 0.7 -4.7 -0.7 -6.2 3.1 -6.6 -3.7 -7.7 -5.2 -6.3 0.6 -3.6 -1.6 -20.0 -2.1 0.6 -2.6 0.7 -1.5 -0.3 -8.5 2.1 6.6 2.3 -15.1 -1.2 5.9 8.5 18.9 OJ -20.0 -20.0 -20.0 -3.5 -1.3 -3.5 -3.2 -3.9 -3.9 -7.4 5.6 -10.5 10.0 -11.4 -6.6 3.1 18.6 11.2 16.2 -11.5 7.6 -18.4 20.0 -20.0 -20.0 -1.8 -1.9 2.9 -3.8 6.4 -4.5 20.0 -12.2 -20.0 -18.2 20.0 10.4 12.3 20.0 20.0 PALLAD -12.6 13.1 10.4 -0.9 -4.7 -0.3 -4.5 -0.0 -2.6 -6.7 -5.5 -6.8 -7.6 -3.6 -3.0 -1.7 -2.2 -1.9 -2.1 -4.3 -6.0 -9.4 -9.8 -6.6 6.4 -1.1 -1.9 -2.0 -1.8 -2.6 -1.0 6.3 0.2 3.8 1.4 -8.7 -6.1 -7.2 -0.6 -2.0 PLAT -5.9 9.2 7.1 -1.6 -8.5 -0.5 -8.1 -0.1 -4.7 -12.7 -3.4 -12.0 -5.7 -2.6 4.1 -3.5 -2.9 -3.5 -3.3 1.8 0.5 -17.6 -2.9 -6.0 13.1 0.7 -8.8 0.8 -7.0 -0.1 -2.6 4.7 -11.1 3.0 9.0 3.5 -6.0 -7.6 16.0 -1.4 REDWHEAT -1.5 6.8 -12.2 -4.9 -1.8 -4.9 -4.4 -5.4 -5.4 -12.1 -15.8 -13.2 -16.6 -4.3 -11.0 -3.4 -1.5 -3.8 -3.2 -13.0 -20.0 -7.1 -20.0 -8.2 -13.2 -6.4 -2.5 -8.3 -3.2 -7.9 -4.6 1.2 -2.1 -7.1 -0.0 -16.3 -20.0 -20.0 -20.0 -14.4 RICE -5.3 0.4 7.6 -5.1 -1.9 -5.1 -4.6 -5.6 -5.6 -2.6 14.5 -2.7 12.1 4.3 11.9 -12.6 -0.1 -13.3 -7.8 10.7 11.7 3.5 9.1 6.4 -20.0 -0.1 0.6 2.6 -3.4 2.7 -3.6 0.2 -20.0 -0.7 4.9 16.5 -1.7 -10.7 8.3 -1.2 ROBUSTA -1.0 18.5 -0.4 -3.2 -1.2 -3.1 -2.9 -3.5 -3.5 9.8 10.1 8.0 10.5 9.4 10.1 20.0 20.0 20.0 20.0 18.3 15.7 10.8 13.0 15.2 -17.8 4.1 1.4 3.4 1.9 2.8 3.3 20.0 16.2 20.0 20.0 20.0 -11.5 -14.5 -1.2 1.1 RUSSELL -5.3 20.0 12.1 2.6 -0.5 2.0 -0.4 1.1 1.2 -10.5 4.8 -9.0 1.0 4.3 7.5 -5.9 -6.1 -6.2 -6.4 11.3 7.5 -5.6 1.4 4.4 -1.9 2.6 -1.7 1.7 -1.3 0.6 0.9 -0.4 -10.5 -2.4 3.7 -2.9 -20.0 -17.7 -20.0 -19.3 SHATZ -10.3 20.0 20.0 2.0 0.6 1.0 0.4 -0.4 1.4 -2.5 1.6 -4.3 -4.6 3.3 4.8 -20.0 -20.0 -20.0 -20.0 6.3 4.0 -4.1 -3.2 1.3 8.6 2.0 0.2 1.3 -0.6 -0.5 0.8 -20.0 -10.0 -6.7 -0.8 3.8 -16.2 -20.0 -6.8 -20.0 SILVER-mini -11.7 -1.8 3.1 -1.8 -9.4 -0.5 -8.9 -0.1 -5.2 -6.6 -0.5 -11.4 2.3 -10.8 0.6 -6.7 -6.4 -6.9 -6.8 -3.5 -1.0 -10.3 -0.6 -9.0 5.6 -2.4 -1.1 -0.7 -4.2 0.2 -4.4 -1.3 10.3 3.4 -3.1 -2.2 -20.0 -19.1 6.6 -12.5 SMI 0.1 20.0 1.5 5.2 -1.0 4.0 -0.9 2.2 2.4 6.0 3.0 13.7 4.1 20.0 20.0 12.3 4.4 8.9 6.0 18.6 7.3 7.6 -1.0 17.1 11.1 7.1 0.1 3.3 2.5 -0.0 6.5 18.7 20.0 6.9 5.9 -8.9 1.1 -6.4 7.1 -6.0 SOFR -2.4 20.0 18.9 2.6 0.8 1.3 0.5 -0.6 1.8 3.4 3.8 -2.4 -0.7 6.1 8.6 1.6 -0.1 1.0 0.3 11.1 6.7 1.2 -1.1 6.2 -1.9 3.1 1.4 1.7 1.0 -0.2 2.2 2.1 0.5 -1.2 0.1 1.1 -20.0 -20.0 -5.6 -5.6 SOYBEAN -20.0 -18.0 -4.7 -6.2 -2.3 -6.2 -5.6 -6.9 -6.8 -17.8 3.3 -20.0 5.0 -20.0 -18.2 13.1 17.0 14.6 14.8 -20.0 -10.7 -20.0 -3.3 -20.0 -20.0 -5.3 -4.3 -0.9 -7.8 0.8 -9.0 20.0 -16.4 -20.0 -10.3 6.3 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 1.2 -4.9 -1.8 -4.9 -4.4 -5.4 -5.3 -15.8 -7.3 -17.5 0.8 -17.9 -12.6 3.7 15.4 9.9 12.7 -20.0 -8.6 -20.0 0.4 -20.0 -20.0 -4.4 -5.1 -0.7 -6.3 1.8 -6.9 20.0 -20.0 -20.0 -20.0 7.7 -20.0 -20.0 -20.0 -19.2 SOYOIL -7.7 -8.7 -20.0 -4.0 -1.5 -4.0 -3.6 -4.4 -4.4 7.4 -7.2 -7.6 -7.0 -11.3 -13.7 -4.4 7.1 0.1 3.8 -13.7 -14.6 -2.7 -10.5 -8.7 -20.0 -3.3 1.1 -3.7 -0.6 -2.9 -2.2 14.8 7.6 -1.6 7.4 -15.2 -9.5 -1.6 -1.5 8.3 SP400 -4.1 20.0 10.2 3.0 -0.6 2.3 -0.5 1.2 1.3 -8.0 7.1 -7.8 4.6 6.6 10.0 -5.1 -5.1 -5.2 -5.2 13.7 9.6 -2.8 3.6 6.7 -9.7 3.2 -0.9 2.3 -0.7 1.1 1.4 1.5 -6.0 -2.5 4.0 -1.8 -19.0 -8.6 -20.0 -20.0 SP500_micro -1.4 20.0 13.6 4.3 -0.8 3.4 -0.7 1.8 2.0 13.9 16.2 9.4 15.5 15.8 18.7 -12.3 -10.3 -11.8 -11.3 20.0 20.0 10.1 17.5 19.1 -20.0 6.2 2.5 5.3 2.7 4.2 4.6 -8.2 19.4 13.2 9.7 6.6 5.1 -5.0 10.8 -7.6 SUGAR11 5.0 -20.0 -20.0 -2.7 -1.0 -2.7 -2.4 -3.0 -2.9 5.7 -4.1 4.6 5.1 -7.1 -7.2 13.0 19.2 20.0 20.0 -13.1 -7.4 0.3 2.1 -8.1 -19.6 -2.8 0.3 -1.5 -0.1 0.8 -1.8 20.0 6.7 0.7 -20.0 -10.8 3.6 -7.3 12.9 6.2 US10 -1.4 20.0 19.0 2.1 0.6 1.1 0.4 -0.5 1.5 5.3 0.4 -1.3 -3.2 5.1 6.7 -9.8 -7.5 -8.5 -8.1 7.9 3.0 1.7 -4.9 5.1 1.5 2.4 1.3 0.9 0.9 -1.0 1.8 -11.6 2.1 -1.7 -0.2 -2.0 -20.0 -20.0 -13.2 5.9 US10U -3.2 20.0 16.2 2.9 0.9 1.5 0.6 -0.6 2.0 1.3 0.6 -4.9 -4.3 6.1 8.7 2.7 0.6 2.2 1.2 10.3 3.5 -0.2 -7.1 5.7 -1.7 3.0 0.9 1.1 0.5 -1.5 2.1 3.3 -1.5 -4.9 -1.0 -4.4 -20.0 -20.0 4.9 15.7 US2 3.8 20.0 20.0 1.9 0.6 1.0 0.4 -0.4 1.3 5.5 -1.5 2.9 -5.0 6.0 6.4 -20.0 -20.0 -20.0 -20.0 6.9 2.2 5.2 -5.9 5.8 8.3 2.6 2.9 1.2 1.9 -1.0 2.3 -20.0 8.7 3.7 1.3 3.5 -17.1 -20.0 -12.0 -20.0 US20 -2.7 20.0 15.2 2.1 0.6 1.1 0.4 -0.5 1.5 -2.0 1.3 -4.2 -2.5 4.5 6.4 -0.5 -1.2 -0.7 -1.0 8.7 3.3 -0.7 -4.8 4.9 -1.8 2.2 0.2 0.8 0.1 -1.0 1.4 -0.4 -3.7 -3.8 1.4 -3.2 -20.0 -20.0 20.0 20.0 US30 -7.1 20.0 14.7 2.4 0.7 1.2 0.5 -0.5 1.7 -7.6 1.2 -7.4 -3.7 4.1 6.8 -6.6 -4.5 -5.6 -5.2 7.9 2.7 -3.7 -6.2 2.9 -1.4 2.2 -0.7 0.7 -0.6 -1.3 1.1 -6.3 -7.6 -8.8 -1.0 -5.1 -13.4 -17.4 20.0 20.0 US5 0.5 20.0 20.0 2.1 0.6 1.1 0.4 -0.5 1.5 5.7 0.5 1.1 -3.6 5.8 7.0 -9.1 -10.1 -9.6 -10.3 8.1 3.5 3.4 -4.4 5.8 3.7 2.6 2.1 1.2 1.4 -0.7 2.2 -15.9 5.4 0.6 0.3 0.8 -20.0 -20.0 -20.0 -10.3 VIX -2.0 -12.1 -17.0 -5.7 -4.1 -7.1 -5.3 -9.7 -5.0 -13.7 -20.0 -17.2 -20.0 -18.1 -19.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.9 -20.0 -18.5 NaN -6.8 -3.6 -8.2 -4.9 -11.0 -5.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 0.8 11.9 2.4 -5.3 -2.0 -5.3 -4.8 -5.9 -5.8 -12.3 -15.4 -12.0 -18.0 3.4 2.3 -10.1 -10.4 -10.7 -10.8 -4.8 -12.6 -6.5 -20.0 -3.8 -3.4 -2.7 -5.6 -5.5 -3.3 -8.5 -2.4 -13.2 0.1 1.9 9.5 4.1 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3