******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240117_204003 produced at 2024-01-17 21:37:09.361580 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -48.48 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.23 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.09 0.0 0.10 -0.10 -0.07 -0.08 -10.46 12.0 -8 -9 caleb_strategy_v3 COPPER False False 0.03 -0.07 -0.09 0.0 0.20 -0.20 -0.07 -0.07 -2.58 6.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -21.03 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.32 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 -0.83 13.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.25 5.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.06 0.0 0.76 -0.76 0.00 0.00 -2.21 29.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.05 0.0 0.67 -0.67 -0.15 -0.15 -0.89 13.0 -3 -3 caleb_strategy_v3 BOBL False False 0.05 -0.36 -0.05 0.0 0.86 -0.86 -0.36 -0.36 -1.06 19.0 -8 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.04 0.0 0.40 -0.40 -0.13 -0.13 -5.54 56.0 -18 -18 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.34 -0.34 -0.04 -0.04 -0.93 8.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.03 0.0 0.23 -0.23 -0.03 -0.03 -7.68 68.0 -9 -9 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.55 7.0 -2 -2 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.32 2.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.99 3.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.96 -0.96 0.00 0.00 -0.71 25.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.03 0.0 0.51 -0.51 -0.12 -0.12 -1.12 17.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.33 9.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.16 -0.16 -0.06 -0.06 -2.28 11.0 -4 -4 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.44 -0.44 0.00 0.00 -1.06 19.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.02 0.0 0.67 -0.67 -0.08 -0.08 -0.39 17.0 -2 -2 caleb_strategy_v3 DX False False 0.04 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.57 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.62 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.62 9.0 -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 -0.84 0.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.42 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.33 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.61 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -0.82 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 -1.42 10.0 -3 -3 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.10 11.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.28 12.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.36 3.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.16 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.05 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.16 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.02 10.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.00 0.0 0.68 -0.68 0.00 0.00 -0.09 14.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.12 10.0 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 -1.82 26.0 -4 -4 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 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.07 13.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.13 0.00 0.0 0.39 -0.39 0.13 0.13 0.09 9.0 3 3 caleb_strategy_v3 NZD False False 0.02 0.09 0.01 0.0 0.45 -0.45 0.09 0.09 0.30 21.0 4 4 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.24 -0.24 0.01 0.01 1.03 23.0 1 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.29 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.78 4.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.02 0.0 0.40 -0.40 0.03 0.03 2.21 48.0 4 4 caleb_strategy_v3 DOW False False 0.01 0.03 0.02 0.0 0.44 -0.44 0.03 0.03 2.92 66.0 4 4 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.12 0.02 0.0 0.27 -0.27 0.12 0.11 1.82 23.0 10 9 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.02 0.0 0.14 -0.14 0.02 0.02 1.96 13.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.05 0.02 0.0 0.45 -0.45 0.05 0.05 0.34 10.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.03 0.0 0.13 -0.13 0.03 0.03 1.27 5.0 1 1 caleb_strategy_v3 BITCOIN False False 0.00 0.06 0.03 0.0 0.09 -0.09 0.06 0.06 22.25 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 0.77 10.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.03 0.04 0.0 0.40 -0.40 0.03 0.03 2.44 26.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.11 0.05 0.0 0.62 -0.62 0.11 0.11 1.62 22.0 4 4 caleb_strategy_v3 EUROSTX False False 0.02 0.31 0.05 0.0 0.34 -0.34 0.31 0.27 2.91 20.0 18 16 caleb_strategy_v3 DAX False False 0.01 0.00 0.08 0.0 0.37 -0.37 0.00 0.00 12.34 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.36 0.11 0.0 0.41 -0.41 0.36 0.36 2.50 9.0 8 8 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.27 0.0 0.31 -0.31 0.28 0.28 31.30 36.0 33 33 caleb_strategy_v3 MXP False False 0.01 0.55 0.39 0.0 0.61 -0.61 0.55 0.53 37.95 60.0 54 52 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.66 0.55 0.0 0.94 -0.94 0.66 0.66 5.88 10.0 7 7 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.49 0.93 0.0 0.56 -0.56 0.49 0.49 26.54 16.0 14 14 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.2 Shocked risk 53.7 Sum abs risk 49.0 Leverage 4.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2824807.57, 'annual_cash_vol_target': 706201.8925, 'daily_cash_vol_target': 44137.61828125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6554 0.6450 10.3192 BITCOIN 1200.6652 42655.0000 2.8148 45.0373 BOBL 0.2782 117.5900 0.2366 3.7859 BTP 0.6293 117.3200 0.5364 8.5822 BUND 0.5436 134.2200 0.4050 6.4799 BUXL 1.2684 135.4200 0.9366 14.9858 CAC 52.4410 7335.5000 0.7149 11.4383 CAD 0.0027 0.7402 0.3676 5.8808 CANOLA 6.8794 632.8000 1.0871 17.3942 CHF 0.0052 1.1628 0.4442 7.1079 COCOA 46.6296 4384.0000 1.0636 17.0181 COFFEE 3.9359 176.2000 2.2337 35.7399 COPPER 0.0404 3.7390 1.0795 17.2718 CORN 4.1081 474.7500 0.8653 13.8450 COTTON2 0.9200 82.6100 1.1136 17.8183 CRUDE_W 1.1365 70.6600 1.6085 25.7352 DAX 112.8586 16522.0000 0.6831 10.9293 DOW 198.3160 37389.0000 0.5304 8.4866 DX 0.4161 103.1950 0.4033 6.4521 EUR 0.0049 1.0902 0.4536 7.2571 EURIBOR-ICE 0.0554 97.7850 0.0567 0.9069 EUROSTX 32.1711 4418.0000 0.7282 11.6509 FEEDCOW 1.8933 239.7500 0.7897 12.6352 GASOIL 12.2650 751.5000 1.6321 26.1131 GASOLINE 0.0394 2.3704 1.6608 26.5736 GAS_US_mini 0.0932 2.4700 3.7714 60.3423 GBP 0.0064 1.2683 0.5076 8.1221 GOLD_micro 14.9196 2008.6000 0.7428 11.8845 HEATOIL 0.0414 2.5113 1.6487 26.3792 JGB-SGX-mini 0.2738 147.0500 0.1862 2.9794 JPY 0.0000 0.0068 0.7009 11.2148 LEANHOG 1.1563 78.1000 1.4805 23.6881 LIVECOW 1.2629 175.5250 0.7195 11.5120 LUMBER-new 6.8381 551.5000 1.2399 19.8385 MILK 0.1799 16.1600 1.1132 17.8119 MXP 0.0004 0.0574 0.7261 11.6180 NASDAQ_micro 123.1676 16817.7500 0.7324 11.7179 NIKKEI 310.6579 35410.0000 0.8773 14.0371 NZD 0.0041 0.6104 0.6663 10.6602 OAT 0.5505 128.7600 0.4276 6.8408 OATIES 7.9744 357.0000 2.2337 35.7396 OJ 6.0950 290.7000 2.0967 33.5466 PALLAD 27.4043 922.0000 2.9723 47.5563 PLAT 13.8509 891.1000 1.5544 24.8698 REDWHEAT 10.0584 597.5000 1.6834 26.9345 RICE 0.1839 17.8000 1.0330 16.5282 ROBUSTA 50.6586 2940.0000 1.7231 27.5693 RUSSELL 23.1030 1916.6000 1.2054 19.2867 SHATZ 0.1004 105.9050 0.0948 1.5175 SILVER-mini 0.3602 22.9500 1.5694 25.1106 SMI 66.5181 11058.0000 0.6015 9.6246 SOFR 0.0681 96.6000 0.0705 1.1274 SOYBEAN 9.5847 1188.5000 0.8065 12.9033 SOYMEAL 4.6745 355.8000 1.3138 21.0207 SOYOIL 0.6413 48.0800 1.3339 21.3419 SP400 25.2806 2700.5000 0.9361 14.9783 SP500_micro 29.2103 4756.7500 0.6141 9.8253 SUGAR11 0.3938 21.6900 1.8157 29.0511 US10 0.4323 111.4688 0.3878 6.2050 US10U 0.5827 115.6875 0.5037 8.0591 US2 0.1325 102.7031 0.1290 2.0641 US20 0.8711 120.8438 0.7209 11.5341 US30 1.2830 127.0938 1.0095 16.1522 US5 0.2916 107.9453 0.2701 4.3215 VIX 0.4495 17.0000 2.6439 42.3026 WHEAT 8.8792 628.5000 1.4128 22.6042 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 655.45 0.64 422.73 1.00 422.73 44137.62 104.41 -3.91 -40.82 BITCOIN 42.66 2.81 120.07 1.00 120.07 44137.62 367.61 5.59 205.44 BOBL 1175.90 0.24 278.24 1.09 303.81 44137.62 145.28 -7.18 -104.25 BTP 1173.20 0.54 629.29 1.09 687.12 44137.62 64.24 1.57 10.07 BUND 1342.20 0.40 543.58 1.09 593.53 44137.62 74.36 -0.28 -2.11 BUXL 1354.20 0.94 1268.36 1.09 1384.92 44137.62 31.87 -2.21 -7.05 CAC 733.55 0.71 524.41 1.09 572.60 44137.62 77.08 -1.07 -8.25 CAD 740.15 0.37 272.04 1.00 272.04 44137.62 162.24 -5.26 -85.30 CANOLA 126.56 1.09 137.59 0.74 102.11 44137.62 432.26 -20.00 -864.51 CHF 1453.44 0.44 645.68 1.00 645.68 44137.62 68.36 -4.99 -34.11 COCOA 438.40 1.06 466.30 1.00 466.30 44137.62 94.66 12.04 113.95 COFFEE 660.75 2.23 1475.94 1.00 1475.94 44137.62 29.90 -4.61 -13.80 COPPER 934.75 1.08 1009.05 1.00 1009.05 44137.62 43.74 -5.45 -23.85 CORN 237.38 0.87 205.40 1.00 205.40 44137.62 214.88 -20.00 -429.77 COTTON2 413.05 1.11 459.99 1.00 459.99 44137.62 95.95 -11.09 -106.42 CRUDE_W 706.60 1.61 1136.53 1.00 1136.53 44137.62 38.84 3.03 11.76 DAX 165.22 0.68 112.86 1.09 123.23 44137.62 358.17 10.10 361.92 DOW 186.94 0.53 99.16 1.00 99.16 44137.62 445.12 2.82 125.60 DX 1031.95 0.40 416.14 1.00 416.14 44137.62 106.06 -2.06 -21.86 EUR 1362.81 0.45 618.13 1.00 618.13 44137.62 71.41 -0.47 -3.37 EURIBOR-ICE 2444.62 0.06 138.56 1.09 151.30 44137.62 291.73 5.90 172.26 EUROSTX 441.80 0.73 321.71 1.09 351.28 44137.62 125.65 6.79 85.33 FEEDCOW 1198.75 0.79 946.65 1.00 946.65 44137.62 46.62 -6.00 -27.98 GASOIL 751.50 1.63 1226.50 1.00 1226.50 44137.62 35.99 4.99 17.96 GASOLINE 995.57 1.66 1653.49 1.00 1653.49 44137.62 26.69 -5.39 -14.39 GAS_US_mini 61.75 3.77 232.88 1.00 232.88 44137.62 189.53 -0.89 -16.84 GBP 792.69 0.51 402.39 1.00 402.39 44137.62 109.69 5.68 62.33 GOLD_micro 200.86 0.74 149.20 1.00 149.20 44137.62 295.84 -5.49 -162.41 HEATOIL 1054.75 1.65 1738.96 1.00 1738.96 44137.62 25.38 2.61 6.63 JGB-SGX-mini 147050.00 0.19 27383.00 0.01 187.48 44137.62 235.42 10.41 245.06 JPY 851.12 0.70 596.57 1.00 596.57 44137.62 73.99 -5.84 -43.23 LEANHOG 312.40 1.48 462.51 1.00 462.51 44137.62 95.43 3.37 32.18 LIVECOW 702.10 0.72 505.16 1.00 505.16 44137.62 87.37 -8.03 -70.15 LUMBER-new 151.66 1.24 188.05 1.00 188.05 44137.62 234.72 -9.95 -233.62 MILK 323.20 1.11 359.80 1.00 359.80 44137.62 122.67 -20.00 -245.35 MXP 287.25 0.73 208.58 1.00 208.58 44137.62 211.61 12.22 258.57 NASDAQ_micro 336.36 0.73 246.34 1.00 246.34 44137.62 179.18 4.37 78.34 NIKKEI 35410.00 0.88 31065.79 0.01 212.70 44137.62 207.52 13.93 289.02 NZD 610.40 0.67 406.69 1.00 406.69 44137.62 108.53 1.05 11.41 OAT 1287.60 0.43 550.51 1.09 601.11 44137.62 73.43 3.08 22.58 OATIES 178.50 2.23 398.72 1.00 398.72 44137.62 110.70 -9.67 -107.08 OJ 436.05 2.10 914.25 1.00 914.25 44137.62 48.28 -3.52 -16.99 PALLAD 922.00 2.97 2740.43 1.00 2740.43 44137.62 16.11 -2.89 -4.65 PLAT 445.55 1.55 692.55 1.00 692.55 44137.62 63.73 0.55 3.49 REDWHEAT 298.75 1.68 502.92 1.00 502.92 44137.62 87.76 -20.00 -175.53 RICE 356.00 1.03 367.75 1.00 367.75 44137.62 120.02 -4.86 -58.36 ROBUSTA 294.00 1.72 506.59 1.00 506.59 44137.62 87.13 10.16 88.50 RUSSELL 95.83 1.21 115.52 1.00 115.52 44137.62 382.09 -6.06 -231.63 SHATZ 1059.05 0.09 100.45 1.09 109.68 44137.62 402.44 -7.92 -318.68 SILVER-mini 573.75 1.57 900.45 1.00 900.45 44137.62 49.02 -5.02 -24.63 SMI 1105.80 0.60 665.18 1.16 774.24 44137.62 57.01 12.87 73.35 SOFR 2415.00 0.07 170.17 1.00 170.17 44137.62 259.37 -0.06 -1.59 SOYBEAN 594.25 0.81 479.24 1.00 479.24 44137.62 92.10 -18.15 -167.18 SOYMEAL 355.80 1.31 467.45 1.00 467.45 44137.62 94.42 -18.42 -173.95 SOYOIL 288.48 1.33 384.79 1.00 384.79 44137.62 114.70 -13.31 -152.68 SP400 2700.50 0.94 2528.06 1.00 2528.06 44137.62 17.46 -5.62 -9.81 SP500_micro 237.84 0.61 146.05 1.00 146.05 44137.62 302.21 3.15 95.10 SUGAR11 242.93 1.82 441.08 1.00 441.08 44137.62 100.07 -3.84 -38.46 US10 1114.69 0.39 432.29 1.00 432.29 44137.62 102.10 -3.01 -30.71 US10U 1156.88 0.50 582.71 1.00 582.71 44137.62 75.74 0.71 5.34 US2 2054.06 0.13 264.99 1.00 264.99 44137.62 166.57 -3.93 -65.52 US20 1208.44 0.72 871.14 1.00 871.14 44137.62 50.67 1.35 6.83 US30 1270.94 1.01 1283.03 1.00 1283.03 44137.62 34.40 -1.22 -4.19 US5 1079.45 0.27 291.55 1.00 291.55 44137.62 151.39 -3.69 -55.84 VIX 170.00 2.64 449.47 1.00 449.47 44137.62 98.20 -20.00 -196.40 WHEAT 314.25 1.41 443.96 1.00 443.96 44137.62 99.42 -17.69 -175.92 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -40.821 0.010 2.5 -1.059 BITCOIN 205.439 0.043 2.5 22.247 BOBL -104.253 0.004 2.5 -1.057 BTP 10.073 0.014 2.5 0.344 BUND -2.107 0.004 2.5 -0.021 BUXL -7.047 0.004 2.5 -0.071 CAC -8.249 0.014 2.5 -0.281 CAD -85.300 0.010 2.5 -2.213 CANOLA -864.513 0.010 2.5 -21.033 CHF -34.113 0.010 2.5 -0.885 COCOA 113.952 0.009 2.5 2.441 COFFEE -13.798 0.005 2.5 -0.161 COPPER -23.852 0.043 2.5 -2.583 CORN -429.765 0.010 2.5 -10.456 COTTON2 -106.424 0.009 2.5 -2.279 CRUDE_W 11.759 0.043 2.5 1.273 DAX 361.916 0.014 2.5 12.345 DOW 125.596 0.009 2.5 2.919 DX -21.856 0.010 2.5 -0.567 EUR -3.372 0.010 2.5 -0.087 EURIBOR-ICE 172.259 0.014 2.5 5.876 EUROSTX 85.331 0.014 2.5 2.911 FEEDCOW -27.978 0.013 2.5 -0.927 GASOIL 17.964 0.017 2.5 0.779 GASOLINE -14.390 0.017 2.5 -0.624 GAS_US_mini -16.841 0.043 2.5 -1.824 GBP 62.331 0.010 2.5 1.617 GOLD_micro -162.410 0.014 2.5 -5.540 HEATOIL 6.633 0.017 2.5 0.288 JGB-SGX-mini 245.055 0.043 2.5 26.537 JPY -43.230 0.010 2.5 -1.122 LEANHOG 32.178 0.024 2.5 1.956 LIVECOW -70.149 0.013 2.5 -2.325 LUMBER-new -233.624 0.009 2.5 -4.992 MILK -245.345 0.009 2.5 -5.255 MXP 258.568 0.059 2.5 37.951 NASDAQ_micro 78.339 0.009 2.5 1.821 NIKKEI 289.023 0.043 2.5 31.298 NZD 11.408 0.010 2.5 0.296 OAT 22.581 0.014 2.5 0.770 OATIES -107.082 0.010 2.5 -2.605 OJ -16.991 0.009 2.5 -0.364 PALLAD -4.652 0.014 2.5 -0.159 PLAT 3.494 0.014 2.5 0.119 REDWHEAT -175.526 0.005 2.5 -2.328 RICE -58.364 0.010 2.5 -1.420 ROBUSTA 88.498 0.005 2.5 1.033 RUSSELL -231.626 0.013 2.5 -7.676 SHATZ -318.680 0.004 2.5 -3.232 SILVER-mini -24.631 0.014 2.5 -0.840 SMI 73.351 0.014 2.5 2.502 SOFR -1.592 0.024 2.5 -0.097 SOYBEAN -167.177 0.004 2.5 -1.555 SOYMEAL -173.953 0.004 2.5 -1.618 SOYOIL -152.681 0.004 2.5 -1.421 SP400 -9.805 0.013 2.5 -0.325 SP500_micro 95.102 0.009 2.5 2.210 SUGAR11 -38.459 0.009 2.5 -0.818 US10 -30.707 0.005 2.5 -0.389 US10U 5.342 0.005 2.5 0.068 US2 -65.523 0.005 2.5 -0.830 US20 6.833 0.005 2.5 0.087 US30 -4.191 0.005 2.5 -0.053 US5 -55.839 0.005 2.5 -0.708 VIX -196.401 0.099 2.5 -48.480 WHEAT -175.918 0.005 2.5 -2.334 ===================== Position diags ===================== AUD 2.71 BITCOIN 39.81 BOBL 1.47 BTP 2.19 BUND 0.75 BUXL 0.32 CAC 2.63 CAD 4.21 CANOLA 10.52 CHF 1.77 COCOA 2.03 COFFEE 0.35 COPPER 4.74 CORN 5.23 COTTON2 2.06 CRUDE_W 4.21 DAX 12.22 DOW 10.34 DX 2.75 EUR 1.85 EURIBOR-ICE 9.95 EUROSTX 4.29 FEEDCOW 1.55 GASOIL 1.56 GASOLINE 1.16 GAS_US_mini 20.52 GBP 2.85 GOLD_micro 10.09 HEATOIL 1.10 JGB-SGX-mini 25.49 JPY 1.92 LEANHOG 5.80 LIVECOW 2.90 LUMBER-new 5.01 MILK 2.63 MXP 31.06 NASDAQ_micro 4.16 NIKKEI 22.47 NZD 2.82 OAT 2.50 OATIES 2.69 OJ 1.03 PALLAD 0.55 PLAT 2.17 REDWHEAT 1.16 RICE 2.92 ROBUSTA 1.02 RUSSELL 12.66 SHATZ 4.08 SILVER-mini 1.67 SMI 1.94 SOFR 15.76 SOYBEAN 0.86 SOYMEAL 0.88 SOYOIL 1.07 SP400 0.58 SP500_micro 7.02 SUGAR11 2.13 US10 1.29 US10U 0.96 US2 2.11 US20 0.64 US30 0.44 US5 1.92 VIX 24.24 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.1 -1.3 -0.8 0.0 0 BITCOIN 22.2 18.3 26.2 43.0 43 BOBL -1.1 -1.2 -0.9 -8.0 -8 BTP 0.3 0.1 0.6 1.0 1 BUND -0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -0.3 -0.5 -0.0 0.0 0 CAD -2.2 -2.6 -1.8 0.0 0 CANOLA -21.0 -22.1 -20.0 -6.0 -6 CHF -0.9 -1.1 -0.7 -3.0 -3 COCOA 2.4 2.2 2.6 2.0 2 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -2.6 -3.1 -2.1 -2.0 -2 CORN -10.5 -11.0 -9.9 -8.0 -8 COTTON2 -2.3 -2.5 -2.1 -4.0 -4 CRUDE_W 1.3 0.9 1.7 1.0 1 DAX 12.3 11.1 13.6 0.0 0 DOW 2.9 1.9 4.0 4.0 4 DX -0.6 -0.8 -0.3 NaN 0 EUR -0.1 -0.3 0.1 0.0 0 EURIBOR-ICE 5.9 4.9 6.9 7.0 7 EUROSTX 2.9 2.5 3.3 18.0 18 FEEDCOW -0.9 -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 -1.8 -3.9 0.2 -4.0 -4 GBP 1.6 1.3 1.9 4.0 4 GOLD_micro -5.5 -6.5 -4.5 -18.0 -18 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 26.5 24.0 29.1 14.0 14 JPY -1.1 -1.3 -0.9 -4.0 -4 LEANHOG 2.0 1.4 2.5 2.0 2 LIVECOW -2.3 -2.6 -2.0 0.0 0 LUMBER-new -5.0 -5.5 -4.5 NaN 0 MILK -5.3 -5.5 -5.0 NaN 0 MXP 38.0 34.8 41.1 54.0 54 NASDAQ_micro 1.8 1.4 2.2 10.0 10 NIKKEI 31.3 29.1 33.5 33.0 33 NZD 0.3 0.0 0.6 4.0 4 OAT 0.8 0.5 1.0 0.0 0 OATIES -2.6 -2.9 -2.3 NaN 0 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.1 -0.1 0.3 0.0 0 REDWHEAT -2.3 -2.4 -2.2 -3.0 -3 RICE -1.4 -1.7 -1.1 NaN 0 ROBUSTA 1.0 0.9 1.1 1.0 1 RUSSELL -7.7 -8.9 -6.4 -9.0 -9 SHATZ -3.2 -3.6 -2.8 NaN 0 SILVER-mini -0.8 -1.0 -0.7 NaN 0 SMI 2.5 2.3 2.7 8.0 8 SOFR -0.1 -1.7 1.5 NaN 0 SOYBEAN -1.6 -1.6 -1.5 -2.0 -2 SOYMEAL -1.6 -1.7 -1.5 -3.0 -3 SOYOIL -1.4 -1.5 -1.3 -3.0 -3 SP400 -0.3 -0.4 -0.3 0.0 0 SP500_micro 2.2 1.5 2.9 4.0 4 SUGAR11 -0.8 -1.0 -0.6 -1.0 -1 US10 -0.4 -0.5 -0.3 -2.0 -2 US10U 0.1 -0.0 0.2 0.0 0 US2 -0.8 -1.0 -0.6 NaN 0 US20 0.1 0.0 0.2 3.0 3 US30 -0.1 -0.1 -0.0 0.0 0 US5 -0.7 -0.9 -0.5 0.0 0 VIX -48.5 -50.9 -46.1 -17.0 -17 WHEAT -2.3 -2.5 -2.2 -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 -0.4 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 -0.1 -0.1 0.1 0.1 -0.2 -0.1 -0.1 0.4 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.4 -0.3 -0.1 0.0 -0.6 -0.4 -0.2 0.1 BITCOIN -0.3 0.2 0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.5 -0.1 0.7 0.1 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.2 -0.1 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 -0.3 -0.4 -0.1 0.1 -0.7 -0.7 -0.0 -0.6 BTP -0.6 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 0.2 0.1 -1.4 0.0 -0.0 0.1 -0.0 0.1 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 0.4 0.1 0.0 -0.1 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 -0.2 0.3 -0.1 -1.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 -0.2 -0.6 -0.2 -0.2 0.1 0.3 0.4 0.5 CAD -0.3 0.6 0.2 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.2 -0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.2 -0.1 -0.0 0.3 0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.0 -0.2 -0.3 0.2 -0.5 -0.7 -0.6 -0.0 -0.5 CANOLA -0.5 -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 -0.4 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.5 -0.6 -0.6 -0.5 -0.4 -0.2 -0.1 CHF -0.1 0.6 0.4 0.0 -0.1 0.1 -0.1 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 -0.2 0.2 0.1 -1.1 0.1 -0.1 0.1 -0.0 0.1 0.0 -1.1 -0.4 0.6 0.6 0.4 -0.7 -0.7 -0.6 -0.7 COCOA -0.6 -0.1 0.5 -0.0 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 0.3 0.0 0.5 0.0 0.6 -0.1 -0.2 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 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.1 -0.1 0.1 -0.0 -2.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 0.8 -0.5 -0.4 0.5 0.6 -0.5 -0.7 -0.4 -0.3 COPPER -0.4 0.1 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 -0.1 0.1 0.0 0.2 0.4 0.2 -0.3 -0.3 0.3 -0.2 CORN -0.6 -0.3 -0.2 -0.0 0.2 -0.2 0.1 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.2 -0.5 -0.6 -0.6 -0.1 -0.3 -0.5 -0.1 0.1 COTTON2 0.3 0.1 -0.5 -0.0 0.1 -0.2 0.1 -0.2 -0.0 0.2 -0.4 0.2 -0.3 0.1 -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 -0.5 -0.6 -0.5 -0.2 0.0 CRUDE_W -0.1 -0.4 -0.3 -0.0 0.1 -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 -0.0 -0.1 -0.2 -0.3 0.0 0.3 0.7 0.5 0.7 0.5 DAX -0.6 0.6 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.4 -0.2 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.1 0.3 0.0 2.4 0.0 -0.1 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 -0.2 0.6 0.6 0.0 -0.1 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 -0.1 0.5 0.2 -1.9 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 0.2 0.2 0.6 0.5 -0.3 -0.1 -0.2 -0.2 DX 0.3 -0.4 -0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 0.0 0.2 -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 0.1 -0.6 -0.6 0.6 0.1 0.7 0.4 EUR -0.2 0.2 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.0 -0.2 0.3 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 0.0 -0.0 1.8 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.4 0.3 0.2 -0.3 -0.1 -0.7 -0.4 -0.6 -0.2 EURIBOR-ICE -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.0 0.1 0.0 2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.3 -0.2 -0.2 0.1 0.4 -0.7 -0.7 0.2 0.7 EUROSTX -0.6 0.4 0.3 0.0 -0.1 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 0.1 0.2 -0.1 0.4 -0.0 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.6 -0.1 -0.6 -0.3 0.1 -0.0 0.3 0.1 0.6 FEEDCOW 0.5 -0.2 -0.6 -0.0 0.1 -0.1 0.1 -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 0.1 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 -1.1 -0.1 0.2 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 0.1 0.2 -0.0 -0.1 0.4 0.4 0.3 0.4 -0.1 -0.0 0.0 0.2 -0.0 1.1 -0.0 0.0 -0.0 0.0 0.1 -0.0 1.0 -0.1 0.1 0.1 0.2 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.1 -0.1 -0.5 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 -0.1 -0.4 0.2 -0.4 -0.2 -0.1 -0.0 0.0 0.1 -0.0 -2.7 -0.0 0.1 -0.1 0.0 0.1 -0.0 -0.7 -0.3 -0.2 0.3 0.0 0.7 0.4 0.7 0.4 GAS_US_mini 0.6 -0.2 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.1 -0.3 0.0 -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 -0.1 0.3 0.3 0.0 -0.1 0.1 -0.1 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 0.4 0.1 -0.0 -0.6 -0.0 -0.4 0.4 GOLD_micro -0.3 0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.2 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 0.6 0.6 0.5 -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 0.1 -0.0 0.0 0.2 0.0 1.1 0.0 0.2 0.2 0.2 0.5 0.0 0.4 -0.1 JGB-SGX-mini 0.3 0.6 0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.4 0.2 0.3 0.1 0.1 0.0 0.1 0.1 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 1.1 0.4 0.2 -0.0 -0.0 0.0 -0.7 0.3 0.5 JPY -0.5 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 -0.1 2.7 0.0 -0.1 -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 -0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.2 -0.0 0.1 -0.2 0.1 -0.4 0.0 -0.1 -0.4 -0.0 -0.4 -0.3 -0.1 -0.1 0.1 -0.4 0.0 2.1 0.0 0.1 -0.0 0.1 -0.2 0.1 -0.1 0.5 0.6 0.5 0.1 -0.4 -0.3 0.2 0.4 LIVECOW 0.3 -0.4 -0.6 -0.0 0.1 -0.1 0.1 -0.2 -0.0 0.2 -0.3 0.2 -0.1 0.1 -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 -0.3 -0.1 -0.3 -0.6 0.3 -0.1 0.5 0.1 LUMBER-new -0.4 0.4 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 0.1 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 0.6 0.7 -0.5 -0.8 -0.2 -0.8 MILK 0.2 -0.5 -0.6 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.2 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.1 0.3 0.1 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 0.3 0.3 0.3 0.3 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 1.1 0.3 0.4 -0.1 -0.1 0.4 0.7 0.7 0.7 NASDAQ_micro -0.4 0.5 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 -0.3 0.5 0.5 0.3 0.4 0.5 -0.2 0.6 -0.2 NIKKEI 0.6 0.2 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 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 0.3 0.1 -0.4 -0.1 -0.1 0.1 NZD -0.4 0.4 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.2 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.0 -0.0 0.1 0.0 -0.1 0.1 -0.1 0.0 0.0 0.2 -0.2 -0.1 0.1 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 0.2 -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 0.0 0.0 -0.5 -0.1 0.2 0.2 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 0.0 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 -0.1 -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 -0.1 -0.1 PLAT -0.5 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 -0.3 0.0 0.3 0.1 -0.2 -0.2 0.5 -0.0 REDWHEAT -0.2 0.1 -0.4 -0.0 0.1 -0.1 0.1 -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 -0.2 -0.5 -0.2 -1.8 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 0.1 -0.5 -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 0.1 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 0.5 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 -0.1 0.0 RUSSELL -0.5 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 -0.2 0.1 -0.1 -0.7 -0.6 -0.7 -0.7 SHATZ -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.1 -0.1 -0.0 1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.3 -0.2 -0.0 0.1 -0.6 -0.7 -0.2 -0.7 SILVER-mini -0.5 -0.2 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 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.5 0.3 0.0 -0.0 -0.7 -0.6 0.2 -0.4 SMI -0.1 0.6 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.0 0.2 0.2 0.2 0.3 0.1 0.2 0.1 0.2 0.1 -0.0 -0.0 0.1 1.5 0.1 -0.0 0.1 -0.0 0.0 0.0 1.0 0.4 0.5 0.3 -0.3 0.0 -0.2 0.3 -0.2 SOFR -0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.1 0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.0 0.1 0.0 -0.0 0.0 0.1 0.2 0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.6 -0.6 -0.2 -0.0 0.1 -0.2 0.1 -0.2 -0.0 -0.2 0.0 -0.2 0.2 -0.2 -0.2 0.2 0.3 0.3 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.6 0.1 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 -0.0 -0.0 0.1 -0.1 0.1 -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 -0.1 -0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.6 0.1 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.2 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -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 0.1 -0.5 -0.3 -0.1 -0.1 0.3 SP400 -0.4 0.6 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 -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 -0.3 0.6 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.4 0.0 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 -0.4 0.5 0.5 0.4 0.3 0.2 -0.2 0.4 -0.2 SUGAR11 0.4 -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 -0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.2 -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 0.1 0.0 -0.0 -0.7 -0.7 -0.5 0.2 US10U -0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 0.2 -0.0 0.0 -0.1 -0.7 -0.7 0.2 0.5 US2 -0.0 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 0.1 0.1 -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 0.3 0.2 0.1 0.1 -0.6 -0.7 -0.4 -0.7 US20 -0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.1 -0.1 0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.4 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 -0.4 0.1 -0.2 -0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 -0.0 -0.1 0.0 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.9 0.3 0.2 0.1 0.1 -0.7 -0.7 -0.7 -0.3 VIX -0.0 -0.4 -0.9 -0.1 0.0 -0.3 -0.0 -0.6 -0.1 0.2 -0.9 -0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -0.9 -0.2 NaN -0.1 0.1 -0.4 -0.0 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 0.3 0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.2 -0.4 -0.2 -0.6 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.2 -0.5 -0.1 -0.4 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.7 -0.5 -0.2 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 -12.7 11.7 15.7 3.8 -7.8 3.8 -4.3 2.6 0.5 -16.1 2.0 -16.6 -6.7 -3.9 8.4 -2.3 -2.8 -2.5 -2.7 6.9 5.9 -20.0 -2.4 -5.3 2.9 3.2 -11.9 2.6 -7.1 -0.4 -1.2 -1.0 -14.7 -9.4 -3.3 0.2 -17.6 -10.5 -7.2 4.3 BITCOIN -10.5 5.8 20.0 -3.8 -11.2 -1.4 -11.6 -0.4 -8.3 -18.4 19.0 -10.2 18.2 9.4 18.3 -6.8 -6.3 -8.1 -7.6 20.0 20.0 -8.6 17.4 6.9 -20.0 6.6 -5.4 8.3 -3.2 6.1 1.2 -1.8 20.0 20.0 20.0 20.0 -5.6 9.9 5.2 16.1 BOBL -20.0 20.0 20.0 2.0 -1.7 1.2 -0.6 -0.4 1.0 -7.6 4.1 -7.7 -1.4 2.2 5.3 -20.0 -11.3 -20.0 -17.3 7.0 6.7 -8.1 -0.5 -0.8 7.6 1.8 -2.9 1.8 -2.0 0.1 -0.2 -20.0 -11.5 -11.3 -2.2 3.4 -20.0 -20.0 -1.2 -18.8 BTP -17.2 20.0 20.0 3.3 -2.8 1.9 -1.0 -0.7 1.6 -10.0 9.2 -11.0 7.5 4.7 10.0 4.2 6.9 5.3 5.9 16.3 14.8 -5.2 5.6 5.3 -10.1 3.7 -2.5 3.4 -1.2 1.4 1.2 13.0 0.8 -12.4 -1.1 7.0 -15.8 -20.0 9.8 2.4 BUND -20.0 20.0 20.0 2.3 -2.0 1.3 -0.7 -0.5 1.1 -8.8 4.7 -9.2 -1.7 2.0 5.8 5.0 4.3 3.0 2.6 8.6 8.0 -9.3 -0.8 -0.7 5.3 2.0 -2.9 1.9 -2.2 0.2 -0.3 7.7 -9.9 -15.3 -2.4 3.2 -18.7 -20.0 -1.2 -7.8 BUXL -20.0 20.0 20.0 2.8 -2.4 1.6 -0.8 -0.6 1.3 -10.7 5.1 -11.5 -5.1 1.8 6.6 -0.1 0.6 0.1 0.4 10.3 8.2 -10.7 -3.8 -0.9 1.0 2.3 -2.5 1.9 -2.2 -0.3 -0.1 3.0 -7.0 -19.9 -1.2 2.7 -20.0 -20.0 -1.6 8.8 CAC -20.0 13.0 4.1 4.6 -7.5 4.2 -4.3 2.5 0.5 -19.4 13.4 -20.0 19.7 -1.9 15.2 -10.1 -4.9 -8.7 -7.2 8.8 10.8 -17.7 11.7 -5.4 -8.6 3.0 -9.4 3.8 -6.2 3.4 -2.1 0.3 -9.3 -20.0 -7.7 -7.2 4.4 8.8 12.0 15.0 CAD -8.3 17.4 6.8 5.3 -10.9 5.3 -5.9 3.6 0.7 -20.0 0.7 -20.0 -5.3 2.4 10.8 -1.7 -2.2 -2.1 -2.2 11.0 6.5 -20.0 -3.7 -2.4 2.2 4.2 -12.3 2.2 -7.6 -1.2 -0.1 0.0 -9.2 -9.2 4.7 -14.3 -20.0 -16.9 -1.0 -14.1 CANOLA -14.1 -20.0 -20.0 -1.9 7.6 -2.7 3.6 -3.3 -0.3 0.4 -8.8 -7.1 -7.4 -9.7 -10.5 -10.7 -1.2 -10.7 -7.6 -19.6 -18.0 -7.2 -13.6 -15.3 -20.0 -4.1 -0.1 -3.8 -1.2 -3.1 -3.0 -1.7 -17.1 -15.9 -20.0 -20.0 -15.5 -13.2 -7.0 -1.9 CHF -3.4 19.0 12.0 4.4 -9.1 4.4 -5.0 3.0 0.6 -18.7 8.9 -12.2 11.6 5.4 14.4 -15.4 -15.5 -16.2 -16.0 18.7 15.2 -17.9 8.9 5.2 -8.2 6.1 -7.8 4.3 -2.9 2.2 3.3 -20.0 -14.8 20.0 20.0 13.3 -20.0 -19.9 -16.5 -20.0 COCOA -17.2 -1.7 15.9 -4.3 16.9 -6.0 8.0 -7.2 -0.6 20.0 20.0 19.0 20.0 18.4 20.0 10.7 1.9 8.3 4.8 20.0 20.0 20.0 20.0 20.0 -20.0 6.5 6.4 11.4 2.8 13.3 1.6 10.7 -5.0 -6.0 20.0 20.0 20.0 1.8 20.0 20.0 COFFEE -13.3 7.8 20.0 -2.3 9.1 -3.2 4.3 -3.9 -0.3 -7.7 4.9 -10.7 -1.1 -1.3 6.2 7.3 4.5 7.5 5.8 5.9 6.9 -6.8 2.1 -1.8 -16.3 2.6 -5.8 3.3 -4.5 1.7 -1.2 14.1 -20.0 -13.7 15.5 20.0 -15.3 -20.0 -11.5 -10.3 COPPER -12.5 4.3 9.5 -3.3 -9.6 -1.2 -10.0 -0.3 -7.1 -14.1 -1.5 -15.7 -3.3 -9.0 5.3 -6.2 -4.6 -6.1 -5.7 0.5 1.0 -14.4 -3.1 -8.1 -8.6 0.7 -12.7 1.2 -10.8 -0.8 -4.6 1.3 1.1 5.6 10.9 7.6 -9.8 -7.7 9.8 -4.9 CORN -18.2 -8.0 -6.7 -4.5 17.6 -6.2 8.3 -7.6 -0.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.3 -2.5 -9.4 -7.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.5 -13.5 -5.6 -14.0 -5.3 -12.0 -2.8 -20.0 -20.0 -20.0 -4.2 -7.9 -14.5 -2.3 2.5 COTTON2 9.1 2.1 -15.2 -4.1 16.1 -5.7 7.6 -6.9 -0.5 19.9 -13.6 19.6 -8.7 4.8 -13.5 -10.1 -1.4 -8.3 -5.5 -7.2 -12.3 8.8 -11.1 3.2 -20.0 -1.7 7.8 -4.8 7.7 -2.9 4.5 -0.4 -2.6 20.0 13.7 -14.6 -16.9 -15.7 -5.5 0.2 CRUDE_W -3.0 -11.8 -8.9 -4.1 5.6 -2.7 3.4 0.8 -0.7 -0.2 3.7 -8.7 5.7 -9.8 -15.0 6.2 9.5 7.4 8.7 -7.8 -1.4 -2.5 6.3 -6.3 -4.4 -5.0 4.2 -0.6 0.7 4.8 -3.7 -1.1 -10.3 -9.4 0.8 9.3 20.0 14.9 20.0 16.0 DAX -20.0 18.8 12.2 4.3 -7.0 3.9 -4.0 2.3 0.4 -18.1 15.4 -14.9 18.1 8.5 18.6 -15.3 -9.9 -13.6 -11.8 18.2 17.6 -12.3 12.4 2.8 17.6 4.6 -6.5 4.5 -3.7 2.7 0.2 -8.0 -1.1 -9.7 5.5 5.2 2.8 6.2 12.9 19.2 DOW -7.1 20.0 20.0 3.9 -6.3 3.6 -3.6 2.1 0.4 -18.2 17.7 -9.9 16.8 15.9 20.0 -12.1 -9.6 -11.4 -10.8 20.0 20.0 -8.3 18.6 16.0 -14.2 6.3 -2.9 5.4 -1.0 3.5 3.1 -7.0 7.2 7.2 20.0 14.1 -8.3 -3.7 -5.9 -7.0 DX 8.6 -12.4 -14.7 3.5 -7.1 3.5 -3.9 2.4 0.5 14.0 0.1 14.4 -6.2 1.5 -8.5 5.4 6.0 5.9 6.1 -7.4 -5.4 12.4 0.5 1.4 -20.0 -3.8 7.0 -2.3 3.4 0.6 -1.1 14.3 20.0 3.0 -20.0 -20.0 16.8 3.5 20.0 10.5 EUR -5.3 6.4 9.8 3.9 -8.0 3.9 -4.4 2.7 0.5 -14.7 -0.3 -14.8 7.1 -1.0 9.3 -5.5 -6.6 -5.8 -6.1 5.7 4.3 -8.9 0.2 -0.8 13.1 4.4 -6.3 2.8 -2.6 0.4 1.9 -7.2 12.3 5.0 -8.3 -1.6 -20.0 -11.9 -16.6 -7.4 EURIBOR-ICE -20.0 20.0 20.0 1.9 -1.6 1.1 -0.6 -0.4 0.9 -6.2 6.1 -5.7 1.8 4.0 6.4 1.6 -5.2 -1.2 -3.5 11.7 11.9 -4.5 3.9 3.1 15.8 2.4 -1.4 2.4 -0.8 0.9 0.7 -6.0 -8.8 -5.4 4.2 12.8 -20.0 -20.0 7.1 20.0 EUROSTX -20.0 12.1 9.7 4.5 -7.3 4.1 -4.2 2.4 0.4 -20.0 14.6 -20.0 19.6 -1.0 16.4 11.2 -0.1 5.0 1.2 12.4 15.5 -16.0 15.1 -3.3 2.8 3.7 -8.4 4.8 -5.6 4.0 -1.7 10.8 -4.6 -17.3 -8.3 2.6 -1.3 8.7 3.4 16.7 FEEDCOW 15.7 -5.8 -20.0 -3.1 12.2 -4.3 5.8 -5.3 -0.4 15.6 -10.0 16.4 -2.6 10.5 -9.2 -20.0 -20.0 -20.0 -20.0 -10.7 -18.2 13.8 -6.4 6.5 -2.9 -3.8 3.4 -4.1 2.3 0.9 -0.0 -20.0 -5.4 4.9 2.8 -20.0 14.3 4.5 20.0 12.9 GASOIL 3.2 -11.7 -12.1 -3.5 4.9 -2.4 2.9 0.7 -0.6 10.3 3.9 5.7 5.6 -0.3 -10.5 18.2 20.0 17.1 18.9 -6.1 -1.7 3.4 7.4 -1.0 8.0 -2.5 1.3 -0.2 1.4 3.6 -0.4 18.1 -4.0 2.3 4.0 5.1 -10.8 -3.1 -20.0 -8.9 GASOLINE 1.9 -4.3 -15.1 -4.2 5.8 -2.8 3.5 0.9 -0.7 16.4 -2.8 6.1 4.2 2.4 -10.8 -20.0 8.2 -20.0 -11.2 -5.4 -4.4 5.1 3.9 -0.2 -20.0 -3.9 6.0 -2.1 2.8 4.0 -1.3 -13.6 -11.5 -5.3 9.9 1.1 20.0 12.4 20.0 10.5 GAS_US_mini 20.0 -5.9 -5.3 -2.8 3.9 -1.9 2.3 0.6 -0.5 -7.7 -10.7 4.3 -14.3 -0.6 -8.6 20.0 -19.7 14.0 -10.0 -10.9 -17.5 1.1 -20.0 -0.8 19.7 -2.5 2.7 -3.7 2.9 -3.1 1.0 -20.0 4.1 20.0 -2.0 3.8 -17.6 2.9 -20.0 -1.0 GBP -1.6 9.9 8.3 4.3 -8.9 4.3 -4.8 3.0 0.6 -6.7 1.3 -2.8 10.7 9.2 15.9 -0.2 -0.6 -0.3 -0.4 10.7 8.3 -2.4 4.2 5.4 2.2 6.0 -3.3 4.0 -0.0 1.2 4.2 2.9 20.0 12.5 2.6 -0.2 -16.5 -0.4 -13.0 10.8 GOLD_micro -8.2 3.5 12.5 -3.1 -9.2 -1.1 -9.6 -0.3 -6.8 -15.1 8.9 -14.7 7.6 -2.2 11.5 -13.5 -13.9 -13.9 -14.3 5.5 7.3 -12.8 4.8 -3.7 -5.3 2.3 -4.6 3.2 -3.9 2.6 -1.4 -14.3 20.0 17.6 17.7 14.9 -20.0 -20.0 -18.0 -16.7 HEATOIL 3.5 -11.1 -14.7 -3.8 5.3 -2.6 3.2 0.8 -0.7 10.6 2.4 6.6 4.0 -2.8 -12.0 20.0 20.0 20.0 20.0 -7.6 -3.8 4.7 5.5 -1.2 -20.0 -2.6 5.8 -0.3 4.6 5.0 0.7 20.0 0.8 4.7 7.3 4.8 14.7 1.0 13.2 -3.6 JGB-SGX-mini 10.0 20.0 11.9 1.8 -1.6 1.1 -0.5 -0.4 0.9 -0.2 4.2 3.9 4.3 7.1 7.5 8.7 18.1 12.0 14.3 9.1 5.9 4.4 2.8 8.2 -2.8 2.4 -0.4 1.3 1.2 0.2 2.2 20.0 14.6 6.6 -0.2 -1.4 0.4 -20.0 10.2 15.4 JPY -14.5 20.0 20.0 2.1 -4.3 2.1 -2.3 1.4 0.3 -8.7 -5.0 -9.1 -8.1 -2.7 1.3 -13.8 -16.0 -15.5 -16.3 -0.5 -3.0 -12.2 -9.1 -5.6 20.0 0.5 -5.9 -1.0 -4.0 -3.5 -1.2 -20.0 -11.7 -8.3 0.0 -7.2 -10.1 -20.0 -4.8 -20.0 LEANHOG 7.4 -1.2 -5.4 -3.2 12.4 -4.4 5.8 -5.3 -0.4 8.2 -6.0 12.1 -11.2 4.6 -7.6 -20.0 -1.0 -20.0 -12.9 -5.2 -11.3 7.9 -15.6 3.7 16.0 3.2 5.7 -1.7 8.4 -6.4 7.4 -2.2 20.0 20.0 16.0 3.6 -12.1 -8.4 6.0 11.4 LIVECOW 10.7 -12.3 -20.0 -3.6 14.0 -5.0 6.6 -6.0 -0.5 17.5 -10.9 16.9 -2.1 4.7 -11.6 -16.9 -6.5 -13.0 -10.0 -17.2 -20.0 9.6 -6.4 0.2 -0.6 -6.2 1.7 -5.0 0.2 1.0 -2.7 -7.4 -11.5 -4.2 -8.6 -20.0 9.0 -4.2 14.8 1.9 LUMBER-new -9.4 11.5 13.2 -4.7 18.3 -6.3 8.6 -6.7 -0.6 -20.0 -1.4 -20.0 -16.9 -2.1 14.8 -14.0 -14.2 -13.6 -14.0 10.4 6.9 -20.0 -4.8 -3.7 NaN 4.9 -8.9 3.5 -7.8 -0.1 -0.6 -18.7 -20.0 -4.4 16.2 20.0 -11.8 -20.0 -6.2 -20.0 MILK 5.3 -16.2 -20.0 -3.5 13.5 -4.8 6.4 -5.8 -0.5 -16.8 -18.9 -15.9 -18.5 -18.3 -19.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.0 -20.0 -20.0 12.9 -6.8 -1.4 -7.3 -1.6 -7.5 -4.2 -20.0 -7.9 -6.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -1.7 8.7 3.2 4.3 -8.9 4.3 -4.8 3.0 0.6 -15.0 17.3 -5.1 19.0 11.6 17.7 15.8 16.4 15.2 15.3 14.7 15.9 -6.2 20.0 7.3 -20.0 6.0 -9.7 6.1 -2.8 7.9 3.2 20.0 13.9 11.2 -4.3 -3.9 13.4 19.9 20.0 20.0 NASDAQ_micro -11.4 15.9 13.1 2.9 -4.8 2.7 -2.8 1.6 0.3 7.9 13.8 4.5 14.0 9.4 13.8 -11.7 -9.4 -11.1 -10.4 19.5 20.0 5.0 20.0 11.7 -20.0 5.2 -0.7 5.1 1.5 5.1 3.7 -6.4 20.0 15.8 8.7 12.6 15.2 -5.0 18.3 -7.1 NIKKEI 18.1 6.5 5.5 3.9 -6.4 3.6 -3.7 2.1 0.4 14.0 18.9 18.3 19.1 18.4 19.3 18.8 12.1 15.2 12.9 20.0 19.7 20.0 20.0 20.0 -14.3 6.5 5.7 4.6 10.0 4.5 9.3 20.0 20.0 20.0 10.2 3.2 -11.6 -2.0 -4.1 1.8 NZD -13.1 13.8 15.7 3.9 -8.1 4.0 -4.5 2.7 0.5 -14.2 5.6 -14.4 2.7 3.6 12.4 0.4 0.2 0.2 0.2 10.7 9.2 -15.8 0.6 -0.8 0.6 4.6 -11.4 3.8 -5.5 0.9 0.6 4.2 -7.8 -4.3 4.3 6.0 -9.8 -11.5 -6.4 4.7 OAT -20.0 20.0 20.0 2.4 -2.1 1.4 -0.7 -0.5 1.2 -9.3 5.7 -9.7 -1.2 2.4 6.5 4.9 6.8 5.1 5.6 10.5 9.7 -8.8 0.5 0.3 7.5 2.3 -2.7 2.2 -1.9 0.4 0.0 12.7 -8.2 -15.5 -1.2 4.8 -18.9 -20.0 2.9 4.9 OATIES 6.8 -0.3 -20.0 -1.4 5.6 -2.0 2.7 -2.4 -0.2 -4.8 -6.2 -3.8 -4.7 -2.5 -6.3 1.9 -6.6 -3.7 -7.5 -5.7 -6.5 -4.2 -3.8 -3.4 -20.0 -2.0 0.0 -2.6 0.4 -1.6 -0.3 -7.9 -4.9 0.9 1.0 -14.2 -1.8 5.4 7.4 18.1 OJ -20.0 -20.0 -20.0 -2.2 8.7 -3.1 4.1 -3.7 -0.3 -10.8 4.8 -11.5 9.4 -11.8 -7.9 2.1 18.3 10.3 15.6 -13.6 5.6 -20.0 20.0 -20.0 -20.0 -2.0 -2.8 2.5 -4.0 6.1 -4.5 20.0 -20.0 -20.0 -20.0 18.3 10.0 12.1 20.0 20.0 PALLAD -20.0 12.6 11.4 -1.4 -4.0 -0.5 -4.1 -0.1 -3.0 -7.1 -5.8 -7.5 -7.6 -5.4 -4.1 -1.7 -2.2 -1.9 -2.1 -6.0 -6.7 -12.9 -10.1 -9.3 6.6 -1.3 -2.5 -2.1 -2.5 -2.6 -1.5 6.4 0.9 -2.5 2.6 -8.6 -6.6 -7.2 -1.5 -2.2 PLAT -15.6 5.7 7.0 -2.4 -7.1 -0.9 -7.4 -0.2 -5.3 -12.6 -4.0 -13.3 -5.9 -7.3 1.5 -3.7 -2.9 -3.6 -3.4 -1.8 -0.7 -20.0 -3.2 -12.2 12.8 -0.2 -9.8 0.4 -9.0 -0.1 -4.1 4.7 -10.6 1.4 7.9 3.2 -6.7 -7.1 16.3 -0.8 REDWHEAT -5.1 4.6 -11.1 -3.2 12.7 -4.5 6.0 -5.4 -0.4 -16.1 -16.5 -16.5 -17.1 -9.5 -12.8 -3.6 -1.6 -3.8 -3.3 -15.6 -20.0 -19.0 -20.0 -14.2 -13.3 -6.8 -5.8 -8.5 -5.4 -8.0 -5.4 1.5 -18.8 -10.7 1.0 -17.9 -20.0 -20.0 -20.0 -14.8 RICE -6.5 -1.0 7.4 -3.9 14.8 -4.7 4.2 -5.5 -1.9 5.8 14.4 -3.2 12.1 4.1 11.8 -12.6 -0.2 -13.3 -7.8 10.4 11.6 3.2 9.1 6.3 -20.0 -0.0 1.1 2.6 -3.1 2.7 -3.5 0.4 -20.0 -7.4 -1.4 15.1 -1.0 -10.1 8.3 -0.7 ROBUSTA 3.0 15.9 1.0 -2.0 8.0 -2.8 3.8 -3.4 -0.3 7.6 10.3 8.9 10.6 10.1 10.4 20.0 20.0 20.0 20.0 18.0 15.2 15.5 12.3 16.6 -18.0 4.1 2.8 3.5 2.8 2.8 3.5 20.0 20.0 18.0 20.0 20.0 -11.7 -14.4 -1.8 1.2 RUSSELL -15.9 20.0 12.8 2.3 -3.7 2.1 -2.1 1.2 0.2 -10.9 4.7 -11.1 1.1 1.7 6.7 -5.9 -6.1 -6.2 -6.3 8.8 6.9 -12.0 1.4 -0.4 -1.9 2.3 -3.3 1.7 -2.5 0.6 0.3 -0.3 -3.7 -4.9 3.9 -2.9 -20.0 -18.4 -20.0 -19.6 SHATZ -18.6 19.1 20.0 1.8 -1.6 1.1 -0.5 -0.4 0.9 -6.4 1.6 -6.2 -4.5 2.0 3.9 -20.0 -20.0 -20.0 -20.0 4.3 3.4 -6.7 -3.1 -1.3 8.6 1.7 -2.4 1.3 -1.5 -0.5 0.1 -20.0 -10.9 -7.2 -0.0 2.9 -17.3 -20.0 -7.0 -20.0 SILVER-mini -14.6 -6.0 2.9 -2.7 -8.0 -1.0 -8.3 -0.3 -5.9 -11.4 -1.0 -12.9 1.9 -12.5 -0.5 -6.6 -6.4 -6.9 -6.8 -4.9 -1.7 -11.9 -0.9 -10.3 5.5 -2.8 -4.9 -0.9 -5.5 0.1 -5.0 -1.3 19.6 8.4 0.8 -1.4 -20.0 -18.6 7.4 -11.5 SMI -2.9 20.0 2.9 4.4 -7.2 4.0 -4.1 2.4 0.4 -12.8 4.1 3.3 4.3 18.3 20.0 12.7 4.7 9.5 6.5 16.1 7.5 -1.3 -0.4 11.1 11.2 6.6 -5.0 3.7 -0.7 0.2 4.4 19.6 16.0 16.3 8.7 -9.3 1.1 -6.3 8.1 -6.2 SOFR -8.6 20.0 20.0 2.5 -2.1 1.4 -0.7 -0.5 1.2 -8.2 4.3 -7.2 -0.6 4.9 8.5 1.9 -0.1 1.1 0.4 9.7 6.6 -4.7 -1.0 3.2 -2.0 3.2 -0.5 1.9 0.4 -0.1 2.1 2.2 7.5 2.8 1.3 1.8 -20.0 -20.0 -5.8 -5.1 SOYBEAN -20.0 -19.8 -5.8 -4.1 16.0 -5.6 7.5 -6.9 -0.5 -20.0 1.8 -20.0 4.5 -20.0 -19.7 12.0 16.8 14.1 14.5 -20.0 -12.7 -20.0 -4.3 -20.0 -20.0 -5.8 -10.4 -1.3 -10.8 0.6 -9.9 20.0 -20.0 -20.0 -18.5 2.9 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 -0.8 -3.2 12.5 -4.4 5.9 -5.4 -0.4 -13.4 -8.5 -16.0 0.1 -17.7 -13.8 4.4 15.3 9.7 12.5 -20.0 -9.5 -20.0 -0.5 -20.0 -20.0 -4.8 -10.5 -1.1 -9.5 1.5 -7.9 20.0 -20.0 -20.0 -20.0 3.7 -20.0 -20.0 -20.0 -19.1 SOYOIL -7.0 -9.4 -20.0 -2.7 10.7 -3.8 5.1 -4.6 -0.4 -7.6 -8.5 -10.6 -7.7 -13.1 -14.8 -4.8 6.8 -0.4 3.4 -15.2 -16.0 -8.2 -11.7 -11.0 -20.0 -3.3 2.9 -3.9 0.8 -3.1 -1.6 14.7 -6.1 -7.3 3.7 -15.4 -9.0 -1.9 -1.7 7.9 SP400 -12.5 20.0 11.1 2.6 -4.2 2.4 -2.4 1.4 0.3 -12.3 7.3 -11.9 4.8 4.5 9.6 -5.2 -5.1 -5.3 -5.2 11.7 9.3 -8.7 3.7 2.6 -9.9 3.0 -3.2 2.4 -2.2 1.2 0.7 1.6 1.6 -3.6 4.5 -1.4 -20.0 -8.6 -20.0 -20.0 SP500_micro -8.2 20.0 14.2 3.7 -6.1 3.4 -3.5 2.0 0.4 -2.9 16.4 0.7 15.7 13.6 18.6 -12.4 -10.4 -11.9 -11.4 20.0 20.0 -0.3 17.2 13.8 -20.0 6.1 -2.7 5.4 0.2 4.4 3.8 -8.2 20.0 14.4 10.9 9.2 4.6 -4.8 11.7 -7.3 SUGAR11 11.8 -20.0 -20.0 -1.9 7.4 -2.6 3.5 -3.2 -0.2 7.1 -4.5 7.8 5.4 -6.4 -7.2 13.8 19.2 20.0 20.0 -12.5 -8.0 5.9 2.1 -4.9 -20.0 -3.0 -0.4 -1.7 -0.4 0.8 -1.9 20.0 -1.7 2.8 -20.0 -12.6 4.4 -6.6 13.0 6.4 US10 -6.7 20.0 20.0 2.0 -1.7 1.2 -0.6 -0.4 1.0 -6.5 0.7 -5.5 -3.1 4.2 6.6 -9.8 -7.6 -8.6 -8.2 6.9 2.9 -3.0 -4.7 2.8 1.6 2.5 0.1 1.0 0.6 -1.0 1.8 -11.7 9.2 1.7 1.1 -1.1 -20.0 -20.0 -14.3 6.3 US10U -8.9 20.0 18.0 2.8 -2.4 1.6 -0.8 -0.6 1.4 -10.4 0.9 -9.6 -4.3 4.5 8.4 2.9 0.6 2.3 1.3 8.9 3.4 -6.6 -7.1 2.2 -1.7 3.2 0.0 1.2 0.4 -1.5 2.1 3.4 9.4 -0.8 0.6 -3.3 -20.0 -20.0 5.1 16.1 US2 -1.2 20.0 20.0 1.8 -1.5 1.0 -0.5 -0.4 0.9 -3.4 -0.9 -0.9 -4.9 5.4 6.2 -20.0 -20.0 -20.0 -20.0 6.1 2.2 1.1 -5.2 4.4 8.4 2.6 0.4 1.3 1.3 -0.9 2.2 -20.0 13.1 7.7 4.1 4.3 -17.4 -20.0 -12.4 -20.0 US20 -9.2 20.0 17.6 2.0 -1.7 1.2 -0.6 -0.4 1.0 -7.5 1.5 -7.0 -2.5 3.3 6.1 -0.5 -1.2 -0.6 -1.0 7.5 3.2 -5.9 -4.8 1.9 -1.8 2.2 0.1 0.8 0.2 -1.0 1.4 -0.4 5.3 -1.1 2.3 -2.1 -20.0 -20.0 20.0 20.0 US30 -13.1 20.0 16.3 2.3 -2.0 1.3 -0.7 -0.5 1.1 -8.9 1.2 -9.1 -3.7 2.2 6.3 -7.3 -4.6 -5.9 -5.4 6.3 2.4 -9.2 -6.4 -0.7 -1.3 2.2 -0.4 0.8 -0.5 -1.4 1.0 -6.6 3.1 -5.9 -0.5 -4.3 -14.2 -17.3 20.0 20.0 US5 -4.7 20.0 20.0 2.0 -1.7 1.2 -0.6 -0.4 1.0 -5.5 0.9 -3.5 -3.5 5.1 6.9 -9.2 -10.1 -9.6 -10.3 7.2 3.4 -1.3 -4.1 3.7 3.8 2.7 0.2 1.3 1.0 -0.7 2.1 -15.9 11.2 4.7 2.2 1.7 -20.0 -20.0 -20.0 -9.7 VIX -0.2 -7.8 -17.1 -6.1 2.1 -8.0 -2.2 -10.9 -4.5 10.4 -20.0 -7.8 -20.0 -13.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -0.3 -20.0 -13.1 NaN -7.1 3.6 -9.1 -1.3 -12.2 -4.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.1 8.4 3.0 -3.4 13.3 -4.7 6.3 -5.7 -0.4 -16.9 -15.7 -16.6 -18.0 -2.7 -0.8 -10.4 -10.4 -10.8 -10.9 -7.5 -13.5 -18.0 -20.0 -10.1 -3.3 -3.4 -9.4 -5.7 -7.1 -8.6 -4.1 -12.9 -19.0 -5.4 8.5 1.8 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3