******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240116_204004 produced at 2024-01-16 21:36:57.503832 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.10 -0.29 0.0 0.10 -0.10 -0.10 -0.10 -49.66 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -3.06 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.10 -0.10 -0.05 -0.07 -10.37 12.0 -6 -8 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.07 0.0 0.20 -0.20 -0.03 -0.07 -2.07 6.0 -1 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -20.59 51.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.18 5.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.31 17.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.05 0.0 0.76 -0.76 0.00 0.00 -1.77 29.0 0 0 caleb_strategy_v3 BOBL False False 0.05 -0.36 -0.05 0.0 0.86 -0.86 -0.36 -0.36 -1.01 19.0 -8 -8 caleb_strategy_v3 US2 False True 0.07 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.74 13.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.33 -0.33 -0.04 -0.04 -0.95 8.0 -1 -1 caleb_strategy_v3 DX False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.87 999999999.0 0 0 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 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.16 -0.16 -0.06 -0.06 -2.30 11.0 -4 -4 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.03 0.0 0.40 -0.40 -0.13 -0.13 -4.71 56.0 -18 -18 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.29 2.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.03 0.0 0.67 -0.67 -0.15 -0.15 -0.61 13.0 -3 -3 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.51 -0.51 -0.06 -0.12 -1.03 17.0 -2 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.02 0.0 0.23 -0.23 -0.03 -0.03 -6.75 68.0 -9 -9 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.32 8.0 -3 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.78 0.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.46 2.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.13 3.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.04 -1.74 9.0 -1 -3 caleb_strategy_v3 US5 False False 0.04 0.00 -0.02 0.0 0.95 -0.95 0.00 0.00 -0.64 25.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.46 4.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.02 -0.02 0.0 0.44 -0.44 0.02 0.00 -0.67 19.0 1 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -2.13 9.0 -4 -4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.63 4.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.01 0.0 0.67 -0.67 -0.08 -0.08 -0.36 17.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.16 -0.16 -0.01 -0.01 -0.83 18.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.38 10.0 -3 -3 caleb_strategy_v3 OJ False False 0.02 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.32 3.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.04 -0.00 0.0 0.27 -0.27 0.04 0.00 -0.05 6.0 1 0 caleb_strategy_v3 US20 False False 0.04 0.13 0.00 0.0 0.38 -0.38 0.13 0.13 0.09 9.0 3 3 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.08 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 0.00 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 -0.07 4.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.01 12.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.13 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 -1.66 26.0 -5 -4 caleb_strategy_v3 EUR False False 0.05 0.05 -0.00 0.0 0.67 -0.67 0.05 0.00 -0.06 14.0 1 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.24 -0.24 0.00 0.01 1.12 23.0 0 1 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.16 -0.16 0.02 0.00 0.36 10.0 1 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.30 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.43 -0.43 0.00 0.03 3.74 66.0 0 4 caleb_strategy_v3 BTP False False 0.05 0.05 0.02 0.0 0.45 -0.45 0.05 0.05 0.48 10.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.14 -0.14 0.01 0.02 1.73 13.0 1 2 caleb_strategy_v3 NZD False False 0.02 0.04 0.02 0.0 0.45 -0.45 0.04 0.09 0.87 21.0 2 4 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.79 4.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.40 -0.40 0.03 0.03 3.08 48.0 4 4 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.12 0.03 0.0 0.27 -0.27 0.12 0.12 2.11 23.0 10 10 caleb_strategy_v3 COCOA False False 0.02 0.03 0.03 0.0 0.40 -0.40 0.03 0.03 2.22 26.0 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 1.51 5.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.11 0.04 0.0 0.61 -0.61 0.11 0.11 1.54 22.0 4 4 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.04 0.0 0.09 -0.09 0.07 0.07 23.45 59.0 43 43 caleb_strategy_v3 OAT False False 0.05 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 0.86 10.0 0 0 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 EUROSTX False False 0.02 0.32 0.06 0.0 0.34 -0.34 0.32 0.31 3.52 20.0 19 18 caleb_strategy_v3 DAX False False 0.01 0.00 0.09 0.0 0.37 -0.37 0.00 0.00 13.80 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.41 0.13 0.0 0.41 -0.41 0.41 0.36 2.89 9.0 9 8 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.28 0.0 0.31 -0.31 0.28 0.28 33.09 36.0 33 33 caleb_strategy_v3 MXP False False 0.01 0.57 0.41 0.0 0.61 -0.61 0.57 0.55 40.96 60.0 56 54 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.28 0.63 0.0 0.94 -0.94 0.28 0.66 6.69 10.0 3 7 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.50 0.93 0.0 0.57 -0.57 0.50 0.50 26.16 16.0 14 14 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.3 Shocked risk 57.4 Sum abs risk 49.3 Leverage 4.42 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2848013.19, 'annual_cash_vol_target': 712003.2975, 'daily_cash_vol_target': 44500.20609375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6599 0.6392 10.2269 BITCOIN 1223.8237 43245.0000 2.8300 45.2796 BOBL 0.2694 117.9800 0.2284 3.6539 BTP 0.6223 117.9600 0.5275 8.4406 BUND 0.5451 134.6800 0.4048 6.4760 BUXL 1.3130 135.3400 0.9702 15.5229 CAC 50.9130 7397.5000 0.6882 11.0119 CAD 0.0028 0.7415 0.3721 5.9538 CANOLA 7.0437 637.3000 1.1052 17.6838 CHF 0.0051 1.1688 0.4367 6.9875 COCOA 47.8691 4376.0000 1.0939 17.5024 COFFEE 3.8855 181.8500 2.1367 34.1867 COPPER 0.0410 3.7670 1.0878 17.4045 CORN 4.1769 477.0000 0.8757 14.0105 COTTON2 0.9362 81.2500 1.1522 18.4358 CRUDE_W 1.1601 70.5400 1.6446 26.3142 DAX 111.7340 16642.0000 0.6714 10.7424 DOW 199.1416 37480.0000 0.5313 8.5012 DX 0.4242 103.1050 0.4114 6.5830 EUR 0.0050 1.0902 0.4624 7.3980 EURIBOR-ICE 0.0535 97.8700 0.0546 0.8741 EUROSTX 31.3672 4455.0000 0.7041 11.2654 FEEDCOW 1.9352 233.9500 0.8272 13.2349 GASOIL 12.3550 747.7500 1.6523 26.4367 GASOLINE 0.0401 2.3529 1.7038 27.2611 GAS_US_mini 0.0945 2.4500 3.8561 61.6969 GBP 0.0065 1.2639 0.5144 8.2297 GOLD_micro 14.4801 2032.6000 0.7124 11.3983 HEATOIL 0.0423 2.5449 1.6629 26.6072 JGB-SGX-mini 0.2806 147.0900 0.1908 3.0521 JPY 0.0000 0.0069 0.6984 11.1737 LEANHOG 1.1818 77.5500 1.5239 24.3831 LIVECOW 1.2912 175.1000 0.7374 11.7984 LUMBER-new 6.9274 555.5000 1.2471 19.9528 MILK 0.1839 16.1800 1.1364 18.1830 MXP 0.0004 0.0575 0.7428 11.8856 NASDAQ_micro 120.1103 16932.0000 0.7094 11.3499 NIKKEI 297.0344 35800.0000 0.8297 13.2753 NZD 0.0041 0.6138 0.6647 10.6350 OAT 0.5500 129.2700 0.4255 6.8074 OATIES 8.1858 355.0000 2.3059 36.8937 OJ 6.1881 298.7500 2.0713 33.1412 PALLAD 27.9389 940.5000 2.9706 47.5304 PLAT 13.9651 905.5000 1.5423 24.6760 REDWHEAT 10.1868 605.2500 1.6831 26.9291 RICE 0.1839 17.7850 1.0339 16.5422 ROBUSTA 48.4796 2991.0000 1.6208 25.9336 RUSSELL 23.2252 1939.0000 1.1978 19.1647 SHATZ 0.0970 106.0600 0.0915 1.4638 SILVER-mini 0.3592 23.3750 1.5368 24.5881 SMI 62.6735 11142.0000 0.5625 9.0000 SOFR 0.0668 96.6750 0.0691 1.1060 SOYBEAN 9.4046 1202.2500 0.7822 12.5159 SOYMEAL 4.2462 367.4000 1.1557 18.4920 SOYOIL 0.6516 47.7200 1.3656 21.8489 SP400 25.2415 2722.5000 0.9271 14.8343 SP500_micro 28.1481 4791.2500 0.5875 9.3998 SUGAR11 0.4039 21.9400 1.8410 29.4559 US10 0.4291 111.8438 0.3836 6.1382 US10U 0.5876 116.0000 0.5066 8.1049 US2 0.1229 102.9492 0.1194 1.9108 US20 0.8870 121.0625 0.7326 11.7224 US30 1.3104 127.0625 1.0313 16.5014 US5 0.2824 108.3125 0.2608 4.1720 VIX 0.4424 16.7000 2.6491 42.3855 WHEAT 9.0495 632.5000 1.4307 22.8920 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 659.85 0.64 421.76 1.00 421.76 44500.21 105.51 -2.44 -25.76 BITCOIN 43.24 2.83 122.38 1.00 122.38 44500.21 363.62 5.96 216.59 BOBL 1179.80 0.23 269.43 1.10 295.36 44500.21 150.66 -6.62 -99.71 BTP 1179.60 0.53 622.29 1.10 682.18 44500.21 65.23 2.16 14.08 BUND 1346.80 0.40 545.12 1.10 597.59 44500.21 74.47 0.04 0.32 BUXL 1353.40 0.97 1313.04 1.10 1439.42 44500.21 30.92 -2.20 -6.80 CAC 739.75 0.69 509.13 1.10 558.13 44500.21 79.73 -0.02 -0.15 CAD 741.50 0.37 275.92 1.00 275.92 44500.21 161.28 -4.24 -68.33 CANOLA 127.46 1.11 140.87 0.75 105.16 44500.21 423.15 -20.00 -846.29 CHF 1461.06 0.44 638.07 1.00 638.07 44500.21 69.74 -3.37 -23.52 COCOA 437.60 1.09 478.69 1.00 478.69 44500.21 92.96 11.16 103.73 COFFEE 681.94 2.14 1457.08 1.00 1457.08 44500.21 30.54 -3.60 -10.99 COPPER 941.75 1.09 1024.42 1.00 1024.42 44500.21 43.44 -4.40 -19.10 CORN 238.50 0.88 208.84 1.00 208.84 44500.21 213.08 -20.00 -426.16 COTTON2 406.25 1.15 468.10 1.00 468.10 44500.21 95.07 -11.27 -107.17 CRUDE_W 705.40 1.64 1160.13 1.00 1160.13 44500.21 38.36 3.63 13.94 DAX 166.42 0.67 111.73 1.10 122.49 44500.21 363.30 11.13 404.51 DOW 187.40 0.53 99.57 1.00 99.57 44500.21 446.92 3.60 160.78 DX 1031.05 0.41 424.21 1.00 424.21 44500.21 104.90 -3.21 -33.68 EUR 1362.75 0.46 630.10 1.00 630.10 44500.21 70.62 -0.30 -2.15 EURIBOR-ICE 2446.75 0.05 133.66 1.10 146.53 44500.21 303.69 6.46 196.26 EUROSTX 445.50 0.70 313.67 1.10 343.86 44500.21 129.41 7.97 103.13 FEEDCOW 1169.75 0.83 967.59 1.00 967.59 44500.21 45.99 -6.25 -28.74 GASOIL 747.75 1.65 1235.50 1.00 1235.50 44500.21 36.02 5.04 18.14 GASOLINE 988.22 1.70 1683.75 1.00 1683.75 44500.21 26.43 -5.52 -14.59 GAS_US_mini 61.25 3.86 236.18 1.00 236.18 44500.21 188.41 -0.81 -15.33 GBP 789.94 0.51 406.31 1.00 406.31 44500.21 109.52 5.42 59.33 GOLD_micro 203.26 0.71 144.80 1.00 144.80 44500.21 307.32 -4.49 -138.06 HEATOIL 1068.86 1.66 1777.46 1.00 1777.46 44500.21 25.04 2.77 6.93 JGB-SGX-mini 147090.00 0.19 28058.52 0.01 193.04 44500.21 230.53 10.48 241.57 JPY 857.44 0.70 598.80 1.00 598.80 44500.21 74.32 -5.33 -39.59 LEANHOG 310.20 1.52 472.73 1.00 472.73 44500.21 94.14 3.02 28.44 LIVECOW 700.40 0.74 516.48 1.00 516.48 44500.21 86.16 -8.09 -69.69 LUMBER-new 152.76 1.25 190.50 1.00 190.50 44500.21 233.59 -8.28 -193.42 MILK 323.60 1.14 367.75 1.00 367.75 44500.21 121.01 -20.00 -242.01 MXP 287.70 0.74 213.72 1.00 213.72 44500.21 208.22 13.40 279.08 NASDAQ_micro 338.64 0.71 240.22 1.00 240.22 44500.21 185.25 4.90 90.85 NIKKEI 35800.00 0.83 29703.44 0.01 204.35 44500.21 217.76 14.03 305.59 NZD 613.85 0.66 408.02 1.00 408.02 44500.21 109.06 3.08 33.55 OAT 1292.70 0.43 550.00 1.10 602.94 44500.21 73.81 3.44 25.36 OATIES 177.50 2.31 409.29 1.00 409.29 44500.21 108.73 -9.30 -101.16 OJ 448.12 2.07 928.21 1.00 928.21 44500.21 47.94 -3.12 -14.98 PALLAD 940.50 2.97 2793.89 1.00 2793.89 44500.21 15.93 -2.32 -3.69 PLAT 452.75 1.54 698.25 1.00 698.25 44500.21 63.73 1.67 10.62 REDWHEAT 302.62 1.68 509.34 1.00 509.34 44500.21 87.37 -20.00 -174.74 RICE 355.70 1.03 367.75 1.00 367.75 44500.21 121.01 -4.97 -60.15 ROBUSTA 299.10 1.62 484.80 1.00 484.80 44500.21 91.79 10.42 95.62 RUSSELL 96.95 1.20 116.13 1.00 116.13 44500.21 383.21 -5.31 -203.58 SHATZ 1060.60 0.09 97.03 1.10 106.37 44500.21 418.34 -7.22 -302.01 SILVER-mini 584.38 1.54 898.04 1.00 898.04 44500.21 49.55 -4.59 -22.74 SMI 1114.20 0.56 626.73 1.17 734.31 44500.21 60.60 14.00 84.86 SOFR 2416.88 0.07 167.07 1.00 167.07 44500.21 266.35 0.36 9.70 SOYBEAN 601.12 0.78 470.23 1.00 470.23 44500.21 94.64 -17.38 -164.49 SOYMEAL 367.40 1.16 424.62 1.00 424.62 44500.21 104.80 -17.86 -187.12 SOYOIL 286.32 1.37 390.99 1.00 390.99 44500.21 113.82 -13.02 -148.20 SP400 2722.50 0.93 2524.15 1.00 2524.15 44500.21 17.63 -4.99 -8.80 SP500_micro 239.56 0.59 140.74 1.00 140.74 44500.21 316.19 4.20 132.73 SUGAR11 245.73 1.84 452.38 1.00 452.38 44500.21 98.37 -3.96 -38.95 US10 1118.44 0.38 429.07 1.00 429.07 44500.21 103.71 -2.72 -28.23 US10U 1160.00 0.51 587.61 1.00 587.61 44500.21 75.73 0.80 6.08 US2 2058.98 0.12 245.90 1.00 245.90 44500.21 180.97 -3.23 -58.49 US20 1210.62 0.73 886.96 1.00 886.96 44500.21 50.17 1.39 6.99 US30 1270.62 1.03 1310.44 1.00 1310.44 44500.21 33.96 -1.15 -3.92 US5 1083.12 0.26 282.43 1.00 282.43 44500.21 157.56 -3.19 -50.30 VIX 167.00 2.65 442.40 1.00 442.40 44500.21 100.59 -20.00 -201.18 WHEAT 316.25 1.43 452.47 1.00 452.47 44500.21 98.35 -16.29 -160.23 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -25.765 0.010 2.5 -0.668 BITCOIN 216.586 0.043 2.5 23.454 BOBL -99.708 0.004 2.5 -1.011 BTP 14.084 0.014 2.5 0.480 BUND 0.321 0.004 2.5 0.003 BUXL -6.795 0.004 2.5 -0.069 CAC -0.155 0.014 2.5 -0.005 CAD -68.330 0.010 2.5 -1.773 CANOLA -846.294 0.010 2.5 -20.589 CHF -23.522 0.010 2.5 -0.610 COCOA 103.727 0.009 2.5 2.222 COFFEE -10.988 0.005 2.5 -0.128 COPPER -19.095 0.043 2.5 -2.068 CORN -426.158 0.010 2.5 -10.368 COTTON2 -107.175 0.009 2.5 -2.295 CRUDE_W 13.942 0.043 2.5 1.510 DAX 404.507 0.014 2.5 13.797 DOW 160.780 0.009 2.5 3.737 DX -33.679 0.010 2.5 -0.874 EUR -2.154 0.010 2.5 -0.056 EURIBOR-ICE 196.260 0.014 2.5 6.694 EUROSTX 103.129 0.014 2.5 3.518 FEEDCOW -28.736 0.013 2.5 -0.952 GASOIL 18.136 0.017 2.5 0.786 GASOLINE -14.594 0.017 2.5 -0.633 GAS_US_mini -15.326 0.043 2.5 -1.660 GBP 59.328 0.010 2.5 1.539 GOLD_micro -138.063 0.014 2.5 -4.709 HEATOIL 6.926 0.017 2.5 0.300 JGB-SGX-mini 241.570 0.043 2.5 26.159 JPY -39.585 0.010 2.5 -1.027 LEANHOG 28.444 0.024 2.5 1.729 LIVECOW -69.690 0.013 2.5 -2.309 LUMBER-new -193.421 0.009 2.5 -4.132 MILK -242.013 0.009 2.5 -5.183 MXP 279.084 0.059 2.5 40.963 NASDAQ_micro 90.852 0.009 2.5 2.111 NIKKEI 305.589 0.043 2.5 33.092 NZD 33.553 0.010 2.5 0.871 OAT 25.357 0.014 2.5 0.865 OATIES -101.155 0.010 2.5 -2.461 OJ -14.977 0.009 2.5 -0.321 PALLAD -3.689 0.014 2.5 -0.126 PLAT 10.619 0.014 2.5 0.362 REDWHEAT -174.737 0.005 2.5 -2.318 RICE -60.153 0.010 2.5 -1.463 ROBUSTA 95.625 0.005 2.5 1.117 RUSSELL -203.575 0.013 2.5 -6.746 SHATZ -302.011 0.004 2.5 -3.063 SILVER-mini -22.740 0.014 2.5 -0.776 SMI 84.864 0.014 2.5 2.895 SOFR 9.704 0.024 2.5 0.590 SOYBEAN -164.485 0.004 2.5 -1.530 SOYMEAL -187.122 0.004 2.5 -1.740 SOYOIL -148.196 0.004 2.5 -1.380 SP400 -8.798 0.013 2.5 -0.292 SP500_micro 132.727 0.009 2.5 3.085 SUGAR11 -38.949 0.009 2.5 -0.828 US10 -28.229 0.005 2.5 -0.358 US10U 6.080 0.005 2.5 0.077 US2 -58.492 0.005 2.5 -0.741 US20 6.994 0.005 2.5 0.089 US30 -3.921 0.005 2.5 -0.050 US5 -50.300 0.005 2.5 -0.637 VIX -201.177 0.099 2.5 -49.660 WHEAT -160.233 0.005 2.5 -2.126 ===================== Position diags ===================== AUD 2.74 BITCOIN 39.38 BOBL 1.53 BTP 2.22 BUND 0.76 BUXL 0.31 CAC 2.72 CAD 4.18 CANOLA 10.29 CHF 1.81 COCOA 1.99 COFFEE 0.36 COPPER 4.70 CORN 5.18 COTTON2 2.04 CRUDE_W 4.15 DAX 12.39 DOW 10.39 DX 2.72 EUR 1.83 EURIBOR-ICE 10.36 EUROSTX 4.41 FEEDCOW 1.52 GASOIL 1.56 GASOLINE 1.15 GAS_US_mini 20.40 GBP 2.84 GOLD_micro 10.48 HEATOIL 1.09 JGB-SGX-mini 24.96 JPY 1.93 LEANHOG 5.72 LIVECOW 2.86 LUMBER-new 4.99 MILK 2.59 MXP 30.56 NASDAQ_micro 4.31 NIKKEI 23.58 NZD 2.83 OAT 2.52 OATIES 2.65 OJ 1.03 PALLAD 0.54 PLAT 2.17 REDWHEAT 1.16 RICE 2.94 ROBUSTA 1.07 RUSSELL 12.70 SHATZ 4.24 SILVER-mini 1.69 SMI 2.07 SOFR 16.19 SOYBEAN 0.88 SOYMEAL 0.97 SOYOIL 1.06 SP400 0.58 SP500_micro 7.35 SUGAR11 2.09 US10 1.31 US10U 0.96 US2 2.29 US20 0.64 US30 0.43 US5 2.00 VIX 24.83 WHEAT 1.30 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.7 -0.9 -0.4 1.0 1 BITCOIN 23.5 19.5 27.4 43.0 43 BOBL -1.0 -1.2 -0.9 -8.0 -8 BTP 0.5 0.3 0.7 1.0 1 BUND 0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -0.0 -0.3 0.3 0.0 0 CAD -1.8 -2.2 -1.4 0.0 0 CANOLA -20.6 -21.6 -19.6 -6.0 -6 CHF -0.6 -0.8 -0.4 -3.0 -3 COCOA 2.2 2.0 2.4 2.0 2 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -2.1 -2.5 -1.6 -1.0 -1 CORN -10.4 -10.9 -9.8 -6.0 -6 COTTON2 -2.3 -2.5 -2.1 -4.0 -4 CRUDE_W 1.5 1.1 1.9 1.0 1 DAX 13.8 12.6 15.0 0.0 0 DOW 3.7 2.7 4.8 0.0 0 DX -0.9 -1.1 -0.6 NaN 0 EUR -0.1 -0.2 0.1 1.0 1 EURIBOR-ICE 6.7 5.7 7.7 3.0 3 EUROSTX 3.5 3.1 4.0 19.0 19 FEEDCOW -1.0 -1.1 -0.8 -1.0 -1 GASOIL 0.8 0.6 0.9 0.0 0 GASOLINE -0.6 -0.7 -0.5 0.0 0 GAS_US_mini -1.7 -3.7 0.4 -5.0 -5 GBP 1.5 1.3 1.8 4.0 4 GOLD_micro -4.7 -5.8 -3.7 -18.0 -18 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 26.2 23.7 28.7 14.0 14 JPY -1.0 -1.2 -0.8 -2.0 -2 LEANHOG 1.7 1.2 2.3 1.0 1 LIVECOW -2.3 -2.6 -2.0 0.0 0 LUMBER-new -4.1 -4.6 -3.6 NaN 0 MILK -5.2 -5.4 -4.9 NaN 0 MXP 41.0 37.9 44.0 56.0 56 NASDAQ_micro 2.1 1.7 2.5 10.0 10 NIKKEI 33.1 30.7 35.4 33.0 33 NZD 0.9 0.6 1.2 2.0 2 OAT 0.9 0.6 1.1 0.0 0 OATIES -2.5 -2.7 -2.2 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.4 0.1 0.6 1.0 1 REDWHEAT -2.3 -2.4 -2.2 -3.0 -3 RICE -1.5 -1.8 -1.2 NaN 0 ROBUSTA 1.1 1.0 1.2 0.0 0 RUSSELL -6.7 -8.0 -5.5 -9.0 -9 SHATZ -3.1 -3.5 -2.6 NaN 0 SILVER-mini -0.8 -0.9 -0.6 NaN 0 SMI 2.9 2.7 3.1 9.0 9 SOFR 0.6 -1.0 2.2 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -2.0 -2 SOYMEAL -1.7 -1.8 -1.6 -1.0 -1 SOYOIL -1.4 -1.5 -1.3 -3.0 -3 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro 3.1 2.3 3.8 4.0 4 SUGAR11 -0.8 -1.0 -0.6 -1.0 -1 US10 -0.4 -0.5 -0.2 -2.0 -2 US10U 0.1 -0.0 0.2 0.0 0 US2 -0.7 -1.0 -0.5 NaN 0 US20 0.1 0.0 0.2 3.0 3 US30 -0.0 -0.1 -0.0 1.0 1 US5 -0.6 -0.8 -0.4 0.0 0 VIX -49.7 -52.1 -47.2 -17.0 -17 WHEAT -2.1 -2.3 -2.0 -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 3.7 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 -0.3 0.4 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.2 -0.2 -0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.0 0.4 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.1 -0.3 -0.2 -0.1 0.0 -0.6 -0.4 -0.2 0.1 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 0.1 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.1 -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 0.3 0.2 0.5 BOBL -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.0 0.1 -0.4 -0.2 -0.4 -0.3 0.1 0.1 -0.1 -0.0 0.0 1.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -1.1 -0.2 -0.3 -0.1 0.1 -0.7 -0.7 -0.0 -0.6 BTP -0.5 0.6 0.6 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.1 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 -0.0 -0.4 -0.0 0.2 -0.5 -0.7 0.3 0.1 BUND -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 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 -0.0 0.0 0.7 0.0 -0.0 0.1 -0.0 0.0 0.0 0.4 -0.2 -0.5 -0.1 0.1 -0.6 -0.7 -0.0 -0.3 BUXL -0.6 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 0.1 -0.0 -0.0 0.0 0.2 -0.2 -0.6 -0.0 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.6 0.5 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.4 -0.2 0.7 0.0 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 0.4 0.5 CAD -0.1 0.6 0.2 0.1 -0.1 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 0.1 0.1 -0.2 -0.1 0.0 0.3 0.1 -0.1 0.1 -0.1 -0.0 0.0 0.0 -0.3 -0.3 0.1 -0.4 -0.7 -0.6 -0.0 -0.5 CANOLA -0.4 -0.6 -0.6 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -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 -0.3 -0.5 -0.6 -0.6 -0.5 -0.4 -0.2 -0.1 CHF 0.1 0.6 0.4 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.2 -0.1 0.4 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.1 0.2 0.1 -1.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.2 0.6 0.6 0.4 -0.7 -0.7 -0.6 -0.7 COCOA -0.6 -0.1 0.5 -0.1 0.2 -0.2 0.1 -0.3 -0.0 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 0.0 0.3 -0.0 0.5 0.0 0.6 -0.2 -0.1 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.4 0.3 0.6 -0.0 0.1 -0.1 0.0 -0.1 -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 -0.0 0.1 -0.0 -2.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.7 -0.5 -0.3 0.6 0.6 -0.5 -0.7 -0.4 -0.3 COPPER -0.3 0.2 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.1 -1.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 0.1 0.2 0.4 0.2 -0.3 -0.3 0.3 -0.2 CORN -0.5 -0.2 -0.2 -0.1 0.2 -0.2 0.1 -0.3 -0.0 -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 -0.1 -0.5 -0.6 -0.6 -0.1 -0.3 -0.5 -0.1 0.1 COTTON2 0.3 0.0 -0.5 -0.1 0.2 -0.2 0.1 -0.2 -0.0 0.1 -0.4 0.2 -0.3 0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.3 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.1 0.6 0.4 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W -0.1 -0.4 -0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 0.1 -0.1 0.2 -0.1 -0.2 0.1 0.2 0.1 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 0.3 0.7 0.5 0.7 0.5 DAX -0.6 0.6 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.1 0.3 0.1 2.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.0 -0.3 0.2 0.2 0.1 0.2 0.4 0.6 DOW -0.1 0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.5 -0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.2 -1.9 0.1 -0.0 0.1 0.0 0.1 0.0 -0.4 0.3 0.2 0.6 0.4 -0.3 -0.1 -0.2 -0.2 DX 0.2 -0.4 -0.5 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 0.1 0.0 -0.0 -2.7 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.8 0.5 -0.2 -0.6 -0.6 0.6 0.1 0.7 0.4 EUR -0.1 0.2 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.0 -0.1 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 0.0 0.0 1.7 0.1 -0.1 0.1 -0.0 0.0 0.0 -0.4 0.2 0.1 -0.3 -0.1 -0.7 -0.4 -0.5 -0.2 EURIBOR-ICE -0.6 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 0.0 -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 -0.1 -0.1 0.1 0.4 -0.7 -0.7 0.2 0.7 EUROSTX -0.6 0.5 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.4 -0.2 0.7 0.0 0.2 0.2 -0.0 0.1 0.0 0.2 0.2 -0.1 0.4 -0.0 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 -0.1 -0.5 -0.3 0.1 -0.0 0.3 0.1 0.6 FEEDCOW 0.5 -0.3 -0.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.1 -0.3 0.2 -0.1 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.2 0.0 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 -1.1 -0.1 0.3 0.1 -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 1.0 0.0 0.2 0.2 0.2 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.1 -0.2 -0.5 -0.0 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 -0.8 -0.2 -0.1 0.4 0.0 0.7 0.4 0.7 0.4 GAS_US_mini 0.6 -0.2 -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 0.0 -0.5 -0.0 2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.1 0.6 -0.1 0.1 -0.6 0.1 -0.7 -0.0 GBP -0.0 0.3 0.2 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.0 0.4 0.1 0.2 -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 0.0 0.2 0.5 0.2 0.0 -0.1 -0.5 -0.0 -0.4 0.4 GOLD_micro -0.1 0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.1 0.3 0.0 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 0.5 0.5 0.6 0.4 -0.7 -0.7 -0.6 -0.6 HEATOIL 0.1 -0.4 -0.5 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -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 0.2 0.3 0.2 0.5 0.0 0.4 -0.1 JGB-SGX-mini 0.4 0.6 0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.2 0.4 0.2 0.3 0.1 0.1 0.1 0.1 0.1 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.3 0.2 0.0 -0.0 0.0 -0.7 0.3 0.5 JPY -0.4 0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 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 -0.2 -0.7 LEANHOG 0.2 -0.1 -0.2 -0.0 0.1 -0.1 0.0 -0.2 -0.0 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 -0.1 0.5 0.6 0.4 0.1 -0.4 -0.3 0.2 0.4 LIVECOW 0.4 -0.5 -0.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.1 -0.3 0.2 -0.1 0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.1 -0.2 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.4 -0.2 -0.0 -0.3 -0.6 0.3 -0.1 0.5 0.1 LUMBER-new -0.2 0.5 0.5 -0.1 0.2 -0.2 0.1 -0.3 -0.0 -0.2 -0.0 -0.3 -0.7 0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 -0.2 -0.1 0.0 NaN 0.1 -0.1 0.1 -0.1 -0.0 0.0 -1.2 -0.6 0.2 0.7 0.7 -0.5 -0.8 -0.2 -0.8 MILK 0.2 -0.5 -0.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -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 -0.1 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.0 0.2 0.1 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.5 0.0 0.7 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.1 1.1 0.4 0.4 -0.1 -0.2 0.4 0.7 0.7 0.7 NASDAQ_micro -0.3 0.5 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 0.3 0.4 0.5 -0.2 0.6 -0.2 NIKKEI 0.6 0.2 0.2 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 0.1 0.2 0.1 1.1 0.5 0.6 0.2 0.1 -0.4 -0.1 -0.1 0.1 NZD -0.3 0.5 0.5 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 0.1 0.1 0.2 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.0 0.0 0.1 0.1 -0.1 0.1 -0.0 0.0 0.0 0.2 -0.1 -0.0 0.2 0.2 -0.3 -0.4 -0.2 0.2 OAT -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -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 1.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.2 -0.5 -0.0 0.2 -0.6 -0.7 0.1 0.2 OATIES 0.3 0.0 -0.6 -0.0 0.1 -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 -0.4 -0.1 0.1 0.1 -0.5 -0.1 0.2 0.3 0.6 OJ -0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.3 -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 -0.5 -0.6 -0.6 0.6 0.3 0.4 0.7 0.7 PALLAD -0.6 0.4 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -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 0.1 -0.3 -0.2 -0.2 -0.0 -0.1 PLAT -0.3 0.2 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 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 -0.2 0.1 0.3 0.1 -0.2 -0.2 0.5 -0.0 REDWHEAT -0.1 0.2 -0.4 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 -1.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 0.1 -0.4 -0.3 0.0 -0.6 -0.7 -0.7 -0.7 -0.5 RICE -0.2 -0.0 0.2 -0.0 0.1 -0.1 0.0 -0.2 -0.0 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 -0.2 -0.0 0.5 -0.0 -0.3 0.3 -0.0 ROBUSTA 0.1 0.6 -0.0 -0.0 0.1 -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 0.5 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL -0.3 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 -0.3 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.7 -0.6 -0.7 -0.6 SHATZ -0.5 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.2 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.0 -0.1 -0.0 1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.2 -0.2 -0.0 0.1 -0.6 -0.7 -0.2 -0.7 SILVER-mini -0.4 -0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -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 0.4 0.3 0.0 -0.1 -0.7 -0.6 0.2 -0.4 SMI -0.0 0.6 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 0.2 0.2 0.2 0.3 0.1 0.2 0.1 0.2 0.1 0.0 -0.0 0.2 1.5 0.1 -0.0 0.1 0.0 0.0 0.1 1.0 0.5 0.5 0.3 -0.3 0.0 -0.2 0.3 -0.2 SOFR -0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -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 0.2 0.1 0.0 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.6 -0.6 -0.2 -0.1 0.2 -0.2 0.1 -0.2 -0.0 -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 -0.5 -0.6 -0.5 0.1 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -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 -0.1 -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 -0.2 -0.3 -0.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.1 0.1 -0.0 0.1 -0.2 -0.2 -0.1 -0.3 -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 -0.1 -0.1 0.3 SP400 -0.3 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 -0.1 0.1 0.1 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 -0.1 0.1 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro -0.1 0.6 0.5 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 0.1 -0.4 0.5 0.4 0.4 0.3 0.2 -0.2 0.4 -0.2 SUGAR11 0.3 -0.6 -0.6 -0.0 0.1 -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 0.1 0.1 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 0.0 0.1 -0.6 -0.4 0.1 -0.2 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 -0.2 -0.2 -0.2 0.1 0.0 -0.0 -0.1 0.0 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.2 0.0 0.0 -0.0 -0.7 -0.7 -0.5 0.2 US10U -0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 -0.0 -0.2 0.0 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 0.2 -0.1 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 0.3 0.2 0.1 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 -0.1 -0.1 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.3 0.6 0.5 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 -0.2 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.2 -0.0 -0.2 -0.5 -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 0.3 0.1 0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX -0.1 -0.5 -0.9 -0.1 -0.0 -0.3 -0.1 -0.6 -0.1 0.0 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.3 NaN -0.1 -0.0 -0.4 -0.1 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.0 0.3 0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.5 -0.1 -0.4 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.7 -0.4 -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 -7.9 13.5 15.4 4.3 -5.9 4.0 -2.5 2.6 1.6 -16.3 2.4 -16.1 -6.7 -0.4 9.8 -2.2 -2.8 -2.5 -2.7 9.2 6.7 -14.4 -2.4 -1.4 3.0 4.1 -9.0 2.9 -4.7 -0.4 0.4 -1.0 -13.9 -7.7 -2.5 0.6 -17.4 -10.6 -7.3 4.4 BITCOIN -10.4 3.3 20.0 -3.4 -10.0 -1.2 -11.5 -0.3 -8.0 -16.0 19.4 -5.2 18.3 11.6 19.0 -6.9 -6.3 -8.1 -7.6 20.0 20.0 -4.6 17.2 9.9 -20.0 6.9 -4.9 8.3 -2.3 6.0 2.0 -1.8 20.0 20.0 20.0 20.0 -5.6 10.2 5.0 16.5 BOBL -19.1 20.0 20.0 2.1 -0.7 1.2 -0.1 -0.4 1.3 -7.2 4.2 -7.3 -1.5 2.8 5.6 -20.0 -11.1 -20.0 -16.8 8.2 7.3 -6.3 -0.5 0.6 7.7 2.0 -1.6 1.8 -1.4 0.1 0.2 -20.0 -9.5 -10.6 -1.9 3.7 -20.0 -20.0 -1.4 -18.8 BTP -14.8 20.0 20.0 3.4 -1.2 1.9 -0.1 -0.7 2.0 -7.4 9.2 -9.8 7.4 5.4 10.3 4.2 6.9 5.3 5.9 17.6 15.2 -2.2 5.5 7.3 -10.0 3.9 -0.8 3.4 -0.4 1.4 1.6 13.1 -0.7 -11.6 -0.7 6.8 -15.6 -20.0 9.6 2.6 BUND -20.0 20.0 20.0 2.4 -0.8 1.3 -0.1 -0.5 1.4 -8.4 4.8 -8.7 -1.8 2.6 6.1 5.0 4.3 3.0 2.6 9.5 8.2 -7.7 -0.8 0.7 5.3 2.1 -2.1 1.9 -1.7 0.2 0.1 7.7 -9.3 -14.8 -2.0 3.4 -18.5 -20.0 -1.5 -7.6 BUXL -20.0 20.0 20.0 2.8 -1.0 1.6 -0.1 -0.6 1.7 -10.3 5.1 -11.0 -5.0 2.2 6.8 -0.1 0.6 0.1 0.4 10.7 8.1 -10.1 -3.6 0.1 1.0 2.4 -2.6 1.9 -2.0 -0.3 0.1 3.1 -9.9 -19.7 -0.9 2.6 -20.0 -20.0 -1.8 8.9 CAC -20.0 14.9 4.3 5.0 -4.5 4.3 -2.7 2.4 1.4 -18.8 13.7 -19.7 19.9 1.4 16.1 -9.7 -4.8 -8.5 -7.1 11.0 11.9 -12.9 12.3 -2.5 -8.6 3.6 -4.8 4.0 -4.2 3.5 -1.0 0.3 -10.3 -19.2 -7.5 -6.9 4.9 8.7 12.6 14.9 CAD -3.1 18.8 6.5 5.9 -8.1 5.4 -3.4 3.6 2.2 -20.0 1.0 -20.0 -5.3 5.1 12.1 -1.8 -2.2 -2.1 -2.2 13.1 7.0 -17.3 -3.6 1.7 2.3 5.0 -10.4 2.4 -5.4 -1.1 1.5 0.0 -12.8 -8.6 4.4 -13.3 -20.0 -17.0 -0.7 -14.1 CANOLA -13.5 -20.0 -20.0 -2.3 8.3 -2.8 2.3 -3.2 -1.2 -0.7 -8.5 -6.8 -7.1 -9.5 -10.3 -10.8 -1.1 -10.8 -7.5 -18.9 -17.1 -7.1 -12.8 -15.2 -20.0 -4.0 0.5 -3.7 -1.1 -3.0 -3.1 -1.7 -14.3 -13.9 -20.0 -20.0 -15.3 -13.1 -6.8 -1.7 CHF 2.2 20.0 12.3 5.0 -6.9 4.6 -2.9 3.1 1.9 -18.9 9.2 -7.9 11.7 8.5 15.6 -15.3 -15.5 -16.1 -16.0 20.0 16.3 -10.2 9.2 10.9 -8.4 6.6 -5.5 4.3 -0.9 2.1 4.6 -20.0 -7.0 20.0 20.0 12.2 -20.0 -20.0 -16.7 -20.0 COCOA -20.0 -2.9 15.1 -5.2 18.8 -6.2 5.2 -7.3 -2.6 20.0 20.0 15.6 20.0 16.5 20.0 10.4 1.8 8.1 4.6 20.0 20.0 20.0 20.0 17.6 -20.0 6.2 5.5 11.1 -0.2 12.9 0.4 10.5 -10.1 -2.2 20.0 20.0 20.0 1.7 20.0 20.0 COFFEE -10.9 9.1 20.0 -2.8 10.2 -3.4 2.8 -4.0 -1.4 1.9 5.1 -9.3 -1.2 -0.3 6.7 7.2 4.5 7.5 5.8 6.9 7.4 -4.3 2.1 -0.4 -16.4 3.1 -2.3 3.5 -2.2 1.7 -0.0 14.0 -20.0 -10.1 17.1 20.0 -15.6 -20.0 -11.8 -10.3 COPPER -10.6 5.7 9.3 -2.9 -8.5 -1.0 -9.8 -0.2 -6.8 -9.9 -1.2 -14.1 -3.2 -6.5 6.3 -6.0 -4.6 -6.0 -5.7 1.6 1.4 -13.1 -3.0 -6.5 -8.5 1.9 -9.2 1.6 -7.0 -0.7 -2.4 1.3 5.8 4.8 11.0 7.2 -9.6 -7.9 9.6 -5.1 CORN -14.4 -6.2 -5.1 -5.4 19.8 -6.5 5.4 -7.7 -2.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.2 -2.4 -9.3 -7.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.3 -12.7 -5.7 -11.9 -5.7 -11.3 -2.7 -20.0 -20.0 -18.8 -2.1 -7.9 -14.2 -2.1 2.6 COTTON2 8.6 1.1 -15.2 -4.9 17.7 -5.9 4.9 -6.9 -2.5 16.6 -13.5 16.7 -8.8 2.7 -13.7 -10.4 -1.3 -8.3 -5.5 -8.0 -12.3 6.9 -10.9 1.6 -20.0 -2.4 6.3 -5.0 5.5 -2.9 3.2 -0.3 4.8 20.0 13.5 -13.7 -17.1 -15.5 -5.6 0.2 CRUDE_W -1.7 -12.0 -8.3 -4.5 1.7 -2.8 1.1 0.8 -1.9 0.0 3.9 -8.1 5.8 -9.6 -14.7 6.2 9.5 7.5 8.7 -7.7 -1.2 -2.4 6.3 -6.3 -4.3 -5.1 2.0 -0.6 -1.6 4.7 -4.7 -1.1 -3.8 -6.6 2.4 10.7 20.0 14.7 20.0 15.8 DAX -19.5 20.0 11.9 4.7 -4.2 4.0 -2.5 2.3 1.3 -15.4 15.5 -11.7 18.2 11.3 19.2 -15.2 -9.8 -13.5 -11.7 20.0 18.4 -6.9 12.7 6.2 17.8 5.1 -3.5 4.5 -2.1 2.7 1.1 -7.9 -1.5 -8.7 6.6 5.0 3.2 6.1 13.2 18.9 DOW -3.6 20.0 20.0 4.2 -3.8 3.6 -2.2 2.0 1.2 -17.0 17.7 -4.7 16.8 17.3 20.0 -12.0 -9.6 -11.3 -10.7 20.0 20.0 -3.7 18.3 19.9 -14.1 6.4 -0.5 5.2 0.7 3.3 3.9 -7.1 10.9 4.8 20.0 13.5 -8.2 -3.7 -6.2 -6.9 DX 5.1 -13.6 -14.5 3.9 -5.3 3.5 -2.2 2.4 1.5 12.7 -0.0 13.4 -6.2 -0.7 -9.2 5.4 6.0 5.9 6.1 -8.6 -5.7 8.7 0.5 -1.1 -20.0 -4.2 5.8 -2.3 1.9 0.6 -2.1 14.3 20.0 -4.9 -20.0 -20.0 16.7 3.6 20.0 10.7 EUR -2.7 6.8 9.7 4.3 -5.9 3.9 -2.5 2.6 1.6 -11.2 -0.2 -12.8 7.0 0.7 9.7 -5.5 -6.6 -5.8 -6.1 6.4 4.5 -6.4 0.2 0.9 12.9 4.7 -5.6 2.8 -1.2 0.3 2.8 -7.2 8.0 3.1 -9.0 -2.4 -20.0 -11.9 -16.4 -7.3 EURIBOR-ICE -18.9 20.0 20.0 2.0 -0.7 1.1 -0.1 -0.4 1.2 -4.5 6.1 -4.7 1.7 4.4 6.6 1.3 -5.3 -1.4 -3.7 13.1 12.6 -2.5 4.0 4.7 15.8 2.5 -0.4 2.4 -0.3 0.8 1.0 -6.2 -5.9 -4.6 4.3 13.2 -20.0 -20.0 7.0 20.0 EUROSTX -20.0 14.4 10.0 4.9 -4.4 4.1 -2.6 2.4 1.3 -18.2 14.9 -18.6 19.7 2.5 17.2 11.1 -0.2 4.7 1.0 14.8 16.7 -11.1 15.7 -0.3 2.8 4.3 -4.4 5.0 -3.7 4.0 -0.6 10.5 -2.7 -16.2 -7.8 2.9 -1.0 8.6 3.8 16.5 FEEDCOW 15.9 -8.1 -20.0 -3.6 13.1 -4.3 3.6 -5.1 -1.8 14.8 -9.7 15.1 -2.4 8.1 -9.3 -20.0 -20.0 -20.0 -20.0 -11.5 -17.7 10.8 -6.0 4.3 -2.7 -3.9 1.9 -3.9 0.8 0.9 -0.7 -20.0 -4.7 8.0 2.0 -20.0 14.0 4.3 20.0 12.6 GASOIL 3.3 -12.6 -11.5 -3.9 1.5 -2.4 0.9 0.7 -1.7 5.9 3.8 2.3 5.5 -1.3 -10.6 17.2 20.0 16.8 18.8 -6.7 -1.9 1.7 7.2 -2.2 7.9 -2.8 0.2 -0.2 0.7 3.6 -1.0 17.9 1.1 6.4 5.3 5.4 -10.7 -3.0 -20.0 -8.8 GASOLINE 2.3 -4.8 -14.9 -4.6 1.8 -2.9 1.1 0.8 -2.0 13.1 -2.6 2.2 4.1 1.2 -11.5 -20.0 8.0 -20.0 -11.9 -5.9 -4.4 3.4 3.8 -1.4 -20.0 -4.3 3.8 -2.2 0.1 4.0 -2.6 -14.2 -6.7 -2.2 11.4 1.1 20.0 12.3 20.0 10.5 GAS_US_mini 20.0 -7.2 -1.8 -3.2 1.2 -2.0 0.8 0.6 -1.4 -7.9 -10.8 6.5 -14.4 -1.0 -8.7 20.0 -19.9 14.3 -10.3 -11.1 -17.6 2.8 -20.0 -0.1 19.7 -2.8 1.3 -3.8 2.1 -3.0 0.5 -20.0 5.0 20.0 -2.1 3.5 -17.6 3.0 -20.0 -0.9 GBP -0.5 10.5 7.7 4.8 -6.6 4.4 -2.7 2.9 1.8 -8.2 1.3 -0.9 10.6 10.8 15.9 -0.2 -0.6 -0.3 -0.4 11.1 8.2 -1.6 4.0 6.4 2.2 6.1 -4.7 3.8 0.5 1.1 4.6 2.9 20.0 6.9 1.0 -1.5 -16.2 -0.3 -12.8 11.0 GOLD_micro -4.3 4.2 13.3 -2.8 -8.3 -1.0 -9.5 -0.2 -6.6 -11.0 9.1 -12.2 7.7 0.9 12.3 -13.5 -13.9 -13.9 -14.3 7.5 8.1 -6.4 5.1 -0.3 -5.4 2.8 2.2 3.4 -1.7 2.6 -0.5 -14.3 20.0 16.8 17.0 13.8 -20.0 -20.0 -17.8 -16.9 HEATOIL 3.6 -11.8 -14.4 -4.3 1.6 -2.7 1.0 0.8 -1.8 8.4 2.4 5.0 4.0 -3.9 -12.2 20.0 20.0 20.0 20.0 -8.0 -3.8 4.4 5.4 -1.9 -20.0 -3.1 4.8 -0.4 2.7 5.0 -0.4 20.0 6.5 7.7 8.7 5.0 14.7 0.9 13.1 -3.7 JGB-SGX-mini 10.9 20.0 10.9 1.9 -0.7 1.0 -0.1 -0.4 1.1 2.0 4.0 5.3 4.2 7.4 7.5 8.7 18.1 12.0 14.3 8.9 5.6 6.0 2.6 8.7 -2.7 2.4 0.3 1.2 1.6 0.1 2.4 20.0 12.6 6.2 0.1 -1.5 0.5 -20.0 10.2 15.6 JPY -11.0 20.0 20.0 2.3 -3.2 2.1 -1.3 1.4 0.9 -8.6 -4.8 -8.8 -8.1 -1.0 2.2 -13.9 -16.0 -15.6 -16.3 0.5 -2.6 -9.5 -9.0 -3.8 20.0 0.9 -4.5 -0.9 -2.9 -3.6 -0.5 -20.0 -13.7 -8.5 -0.0 -7.1 -10.0 -20.0 -4.6 -20.0 LEANHOG 6.4 -1.8 -5.6 -3.7 13.6 -4.5 3.7 -5.3 -1.9 9.2 -5.9 11.6 -10.9 2.2 -8.0 -20.0 -0.5 -20.0 -12.1 -5.7 -11.2 8.3 -15.1 3.1 15.8 2.6 6.3 -2.1 8.7 -6.7 6.9 -1.1 20.0 20.0 13.7 3.2 -12.2 -8.4 6.0 11.3 LIVECOW 10.8 -14.0 -20.0 -4.2 15.3 -5.1 4.2 -5.9 -2.1 16.0 -10.7 14.5 -1.9 1.8 -11.6 -16.7 -6.4 -12.8 -9.8 -17.8 -20.0 7.4 -6.1 -1.5 -0.5 -6.2 0.7 -4.8 -0.7 1.0 -3.1 -7.2 -8.8 -0.6 -8.8 -20.0 8.7 -4.4 14.4 1.7 LUMBER-new -6.6 12.0 12.9 -5.6 20.0 -6.6 5.6 -6.8 -2.9 -20.0 -1.2 -20.0 -17.0 1.0 16.0 -13.4 -14.2 -13.4 -13.9 12.4 7.4 -16.7 -4.7 0.0 NaN 5.6 -8.5 3.6 -5.8 -0.1 1.2 -18.6 -20.0 6.6 19.6 20.0 -12.1 -20.0 -6.2 -20.0 MILK 4.9 -16.0 -19.5 -4.2 15.1 -5.0 4.2 -5.9 -2.1 -15.7 -18.8 -13.7 -18.5 -17.8 -19.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.5 -20.0 -20.0 12.8 -6.8 -1.0 -7.1 -1.1 -7.4 -4.2 -20.0 -4.4 -7.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 1.0 7.5 2.5 5.0 -6.8 4.5 -2.8 3.0 1.9 -8.6 18.1 2.7 19.5 14.8 18.9 15.8 16.4 15.2 15.3 16.2 16.4 -0.2 20.0 10.8 -20.0 6.6 -7.4 6.3 -0.1 7.9 4.8 20.0 16.1 11.9 -4.4 -4.6 13.0 19.6 20.0 20.0 NASDAQ_micro -8.2 16.7 13.2 3.2 -2.9 2.7 -1.7 1.6 0.9 12.7 13.8 5.7 14.0 9.7 13.9 -11.7 -9.3 -11.1 -10.4 20.0 20.0 8.5 20.0 13.2 -20.0 5.2 3.3 5.0 3.2 4.9 4.1 -6.5 20.0 14.6 8.2 12.1 15.1 -5.1 17.9 -7.2 NIKKEI 18.7 6.3 5.3 4.3 -3.9 3.6 -2.3 2.1 1.2 18.1 19.1 20.0 19.2 19.0 19.5 18.8 12.0 15.1 12.8 20.0 19.9 20.0 20.0 20.0 -14.3 6.5 10.7 4.6 12.2 4.6 9.9 20.0 20.0 20.0 7.1 1.7 -11.4 -1.9 -4.5 1.9 NZD -8.5 15.6 15.4 4.6 -6.4 4.2 -2.6 2.8 1.7 -9.6 6.2 -12.8 3.0 7.6 14.1 0.3 0.2 0.2 0.2 13.3 10.2 -9.4 0.7 3.4 0.7 5.6 -8.4 4.2 -2.7 0.9 2.4 4.1 -3.6 -0.7 5.2 7.1 -9.8 -11.6 -6.5 4.7 OAT -20.0 20.0 20.0 2.5 -0.9 1.4 -0.1 -0.5 1.5 -8.7 5.7 -9.1 -1.2 3.0 6.8 4.8 6.8 5.1 5.6 11.5 10.0 -7.0 0.4 1.8 7.5 2.5 -1.7 2.2 -1.4 0.4 0.4 12.8 -8.2 -14.7 -0.7 5.0 -18.7 -20.0 2.7 5.0 OATIES 8.1 0.5 -20.0 -1.7 6.4 -2.1 1.7 -2.5 -0.9 -4.8 -6.1 -2.5 -4.6 -1.8 -6.2 2.3 -6.6 -3.7 -7.6 -5.4 -6.3 -3.4 -3.6 -2.8 -20.0 -2.0 0.5 -2.6 0.7 -1.5 -0.3 -8.1 -6.1 2.0 2.0 -14.4 -1.6 5.6 7.7 18.4 OJ -20.0 -20.0 -20.0 -2.7 9.9 -3.3 2.7 -3.8 -1.4 -9.7 5.2 -10.9 9.7 -11.6 -7.3 2.7 18.5 10.8 15.9 -12.3 6.6 -18.9 20.0 -20.0 -20.0 -1.8 -1.8 2.8 -3.7 6.4 -4.4 20.0 -20.0 -20.0 -20.0 20.0 10.2 12.2 20.0 20.0 PALLAD -17.5 13.6 11.7 -1.2 -3.6 -0.4 -4.1 -0.1 -2.9 -7.0 -5.7 -7.3 -7.6 -4.6 -3.6 -1.7 -2.2 -1.9 -2.1 -5.1 -6.3 -11.8 -9.9 -8.0 6.5 -1.1 -1.9 -2.0 -1.8 -2.6 -1.0 6.4 1.7 -1.6 2.1 -8.6 -6.4 -7.2 -1.2 -2.1 PLAT -10.5 7.3 7.2 -2.2 -6.4 -0.8 -7.3 -0.2 -5.1 -12.7 -3.7 -12.9 -5.8 -5.3 2.9 -3.6 -2.9 -3.5 -3.4 0.1 -0.1 -20.0 -3.0 -9.1 12.9 0.7 -8.7 0.8 -6.9 -0.1 -2.5 4.7 -9.6 2.3 8.3 3.2 -6.4 -7.3 16.2 -1.0 REDWHEAT -2.2 6.2 -11.0 -3.9 14.2 -4.7 3.9 -5.5 -2.0 -15.6 -16.3 -15.5 -17.0 -7.0 -12.0 -3.5 -1.5 -3.8 -3.2 -14.2 -20.0 -14.5 -20.0 -11.3 -13.4 -6.6 -2.6 -8.5 -3.3 -8.1 -4.7 1.5 -16.7 -8.8 1.5 -17.6 -20.0 -20.0 -20.0 -14.6 RICE -6.6 -1.0 7.4 -3.9 14.3 -4.7 3.9 -5.6 -2.0 4.7 14.4 -3.5 12.1 4.0 11.8 -12.6 -0.2 -13.3 -7.8 10.4 11.6 2.8 9.1 6.1 -20.0 -0.0 1.1 2.6 -3.1 2.7 -3.5 0.3 -20.0 -7.2 -1.3 15.1 -1.2 -10.3 8.3 -0.8 ROBUSTA 3.7 17.4 -0.9 -2.5 9.1 -3.0 2.5 -3.5 -1.3 10.2 10.5 9.8 10.7 10.3 10.6 20.0 20.0 20.0 20.0 18.6 15.8 16.3 12.8 17.0 -18.2 4.2 3.6 3.5 2.8 2.8 3.5 20.0 20.0 19.4 20.0 20.0 -11.4 -14.4 -1.4 1.2 RUSSELL -10.3 20.0 12.4 2.4 -2.2 2.1 -1.3 1.2 0.7 -10.8 4.8 -10.4 1.1 3.1 7.2 -5.9 -6.1 -6.2 -6.4 10.1 7.3 -9.1 1.4 2.1 -1.9 2.6 -1.7 1.7 -1.3 0.6 1.0 -0.3 -4.2 -4.4 3.8 -2.8 -20.0 -18.2 -20.0 -19.5 SHATZ -15.6 20.0 20.0 1.9 -0.7 1.1 -0.1 -0.4 1.1 -5.4 1.7 -5.5 -4.5 2.6 4.3 -20.0 -20.0 -20.0 -20.0 5.3 3.8 -4.9 -3.2 -0.0 8.6 1.9 -1.0 1.4 -0.9 -0.5 0.5 -20.0 -9.0 -6.7 -0.1 3.3 -16.9 -20.0 -7.0 -20.0 SILVER-mini -13.0 -5.2 3.1 -2.4 -7.1 -0.8 -8.2 -0.2 -5.7 -4.3 -0.7 -11.2 2.1 -11.5 0.2 -6.6 -6.4 -6.9 -6.8 -4.0 -1.3 -9.2 -0.7 -9.0 5.5 -2.5 -1.1 -0.7 -4.2 0.2 -4.4 -1.3 15.7 8.2 0.0 -1.7 -20.0 -18.8 7.1 -11.8 SMI -0.5 20.0 2.5 4.9 -4.4 4.1 -2.6 2.3 1.3 -1.3 3.9 9.9 4.3 20.0 20.0 12.6 4.6 9.4 6.4 18.5 8.1 4.2 -0.6 14.9 11.2 7.0 -0.8 3.6 1.2 0.2 5.5 19.3 20.0 15.3 8.4 -9.5 1.1 -6.4 7.7 -6.1 SOFR -5.3 20.0 18.8 2.6 -0.9 1.4 -0.1 -0.5 1.5 -4.9 4.1 -5.0 -0.7 5.8 8.7 1.8 -0.1 1.1 0.4 10.8 6.8 -1.4 -1.0 5.1 -2.0 3.2 1.6 1.8 1.1 -0.2 2.3 2.1 7.3 2.2 1.0 1.5 -20.0 -20.0 -5.7 -5.2 SOYBEAN -20.0 -19.0 -5.2 -4.9 17.9 -5.9 4.9 -6.9 -2.5 -19.7 2.7 -20.0 4.8 -20.0 -19.1 12.6 16.9 14.4 14.7 -20.0 -11.8 -20.0 -3.8 -20.0 -20.0 -5.4 -4.4 -0.9 -7.9 0.8 -9.2 20.0 -20.0 -20.0 -15.3 4.5 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 0.3 -4.0 14.4 -4.8 4.0 -5.6 -2.0 -7.0 -8.1 -15.3 0.5 -18.0 -13.6 4.2 15.4 9.9 12.6 -20.0 -9.6 -20.0 -0.0 -20.0 -20.0 -4.6 -5.3 -0.8 -6.6 1.9 -7.2 20.0 -20.0 -20.0 -20.0 5.6 -20.0 -20.0 -20.0 -19.1 SOYOIL -7.5 -9.1 -20.0 -3.2 11.8 -3.9 3.2 -4.6 -1.6 -10.4 -7.9 -11.0 -7.4 -12.6 -14.4 -4.6 6.9 -0.1 3.6 -14.7 -15.4 -8.4 -11.1 -10.6 -20.0 -3.4 1.2 -3.9 -0.7 -3.1 -2.4 14.9 -3.9 -5.6 4.7 -15.2 -9.2 -1.8 -1.6 8.0 SP400 -8.0 20.0 10.6 2.8 -2.5 2.4 -1.5 1.4 0.8 -11.8 7.3 -10.5 4.7 5.6 9.9 -5.2 -5.1 -5.3 -5.2 12.9 9.6 -5.9 3.7 4.8 -9.9 3.2 -0.8 2.4 -0.7 1.2 1.4 1.6 0.6 -3.4 4.5 -1.5 -20.0 -8.6 -20.0 -20.0 SP500_micro -3.8 20.0 14.4 4.1 -3.7 3.5 -2.1 2.0 1.1 7.2 16.5 6.6 15.7 15.3 18.9 -12.4 -10.4 -11.9 -11.3 20.0 20.0 6.1 17.9 17.6 -20.0 6.3 2.4 5.3 2.7 4.2 4.6 -8.2 20.0 12.8 10.9 8.5 4.8 -4.8 11.4 -7.4 SUGAR11 9.1 -20.0 -20.0 -2.2 8.0 -2.7 2.2 -3.1 -1.1 8.7 -4.3 7.2 5.3 -6.6 -7.2 13.4 19.2 20.0 20.0 -12.6 -7.7 5.6 2.1 -5.8 -20.0 -2.9 0.3 -1.6 -0.1 0.8 -1.9 20.0 0.6 2.6 -20.0 -11.9 4.1 -6.8 13.0 6.3 US10 -4.1 20.0 19.3 2.1 -0.7 1.2 -0.1 -0.4 1.2 -3.5 0.6 -3.6 -3.2 4.8 6.7 -9.9 -7.6 -8.6 -8.2 7.6 3.0 -0.7 -4.8 4.2 1.6 2.4 1.5 1.0 1.0 -1.0 1.9 -11.6 8.5 0.9 0.8 -1.4 -20.0 -20.0 -13.8 6.1 US10U -6.3 20.0 17.0 2.9 -1.0 1.6 -0.1 -0.6 1.7 -8.9 0.8 -7.8 -4.3 5.3 8.7 2.8 0.6 2.2 1.3 9.7 3.5 -4.1 -7.1 4.0 -1.7 3.1 1.2 1.1 0.7 -1.5 2.2 3.4 7.2 -2.0 0.1 -3.8 -20.0 -20.0 5.1 15.9 US2 2.5 20.0 20.0 1.9 -0.7 1.0 -0.1 -0.4 1.1 2.6 -1.1 2.6 -5.0 6.1 6.5 -20.0 -20.0 -20.0 -20.0 7.0 2.3 5.0 -5.8 6.0 8.4 2.6 2.8 1.2 1.9 -1.0 2.3 -20.0 14.4 7.7 3.6 4.1 -17.3 -20.0 -12.3 -20.0 US20 -6.3 20.0 16.9 2.1 -0.7 1.1 -0.1 -0.4 1.2 -6.7 1.4 -5.9 -2.5 3.9 6.3 -0.5 -1.2 -0.7 -1.0 8.1 3.3 -4.3 -4.8 3.3 -1.8 2.2 0.5 0.8 0.2 -1.0 1.5 -0.4 2.5 -2.1 2.0 -2.6 -20.0 -20.0 20.0 20.0 US30 -10.6 20.0 16.3 2.4 -0.8 1.3 -0.1 -0.5 1.4 -8.5 1.2 -8.3 -3.7 3.0 6.6 -6.8 -4.5 -5.8 -5.3 7.0 2.6 -8.1 -6.2 0.8 -1.3 2.3 -0.4 0.7 -0.5 -1.4 1.1 -6.4 -0.8 -7.5 -0.7 -4.6 -14.0 -17.3 20.0 20.0 US5 -1.7 20.0 20.0 2.1 -0.7 1.2 -0.1 -0.4 1.2 -0.1 0.8 -0.3 -3.5 5.8 7.1 -9.3 -10.1 -9.6 -10.3 8.0 3.6 1.8 -4.3 5.3 3.8 2.7 2.2 1.3 1.5 -0.7 2.2 -15.9 11.6 4.0 1.7 1.4 -20.0 -20.0 -20.0 -9.9 VIX -1.5 -9.6 -16.8 -6.1 -2.0 -7.7 -4.2 -10.5 -5.1 1.8 -20.0 -12.8 -20.0 -16.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -6.4 -20.0 -16.2 NaN -7.1 -3.4 -8.7 -5.0 -11.7 -5.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -1.3 10.5 3.5 -4.1 14.9 -4.9 4.1 -5.8 -2.1 -16.4 -15.5 -15.0 -18.0 0.2 0.8 -10.2 -10.4 -10.8 -10.8 -6.1 -12.9 -14.3 -20.0 -7.2 -3.3 -2.7 -5.6 -5.5 -3.3 -8.5 -2.4 -12.9 -16.7 -2.9 9.7 2.6 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3