******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240122_204009 produced at 2024-01-22 21:37:01.853715 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.28 0.0 0.09 -0.09 -0.09 -0.09 -50.65 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -3.99 24.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -1.81 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.21 13.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.09 0.0 0.10 -0.10 -0.07 -0.07 -11.10 12.0 -9 -9 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.08 0.0 0.65 -0.65 -0.15 -0.20 -1.58 13.0 -3 -4 caleb_strategy_v3 COPPER False False 0.03 -0.06 -0.08 0.0 0.19 -0.19 -0.06 -0.06 -2.61 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 -21.88 51.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.36 -0.06 0.0 0.84 -0.84 -0.36 -0.36 -1.30 19.0 -8 -8 caleb_strategy_v3 CAD False False 0.03 0.00 -0.06 0.0 0.75 -0.75 0.00 0.00 -2.27 29.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.57 5.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.05 0.0 0.50 -0.50 -0.15 -0.12 -1.54 17.0 -5 -4 caleb_strategy_v3 LUMBER-new False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -6.70 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -1.72 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.00 -0.04 0.0 0.93 -0.93 0.00 0.00 -0.97 25.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.04 0.0 0.39 -0.39 -0.12 -0.12 -5.24 56.0 -17 -17 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.63 7.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.45 8.0 -3 -3 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.43 -0.43 0.00 -0.02 -1.41 19.0 0 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.64 9.0 -4 -4 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.02 0.0 0.66 -0.66 -0.08 -0.08 -0.52 17.0 -2 -2 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.25 2.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.02 0.0 0.34 -0.34 -0.04 -0.04 -0.58 8.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.78 9.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.02 0.0 0.05 -0.05 -0.01 -0.01 -8.19 26.0 -4 -4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.24 0.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.02 0.0 0.23 -0.23 -0.03 -0.02 -6.89 68.0 -9 -7 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.62 4.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.54 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.02 0.0 0.16 -0.16 -0.06 -0.06 -1.38 11.0 -4 -4 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.41 10.0 -3 -3 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 NZD False False 0.02 0.04 -0.01 0.0 0.44 -0.44 0.04 0.02 -0.63 21.0 2 1 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.01 0.0 0.66 -0.66 -0.05 -0.05 -0.18 14.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.16 2.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.20 4.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.01 0.00 0.0 0.01 0.00 0.01 0.01 1.26 59.0 6 6 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.26 -0.26 0.00 0.00 -0.08 6.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.13 0.00 0.0 0.38 -0.38 0.13 0.13 0.06 9.0 3 3 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.04 13.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.16 -0.16 -0.01 -0.01 -0.49 18.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.51 -0.51 0.00 0.00 -0.07 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.08 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.07 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.30 3.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.18 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.24 -0.24 0.01 0.01 1.12 23.0 1 1 caleb_strategy_v3 BTP False False 0.04 0.04 0.01 0.0 0.44 -0.44 0.04 0.04 0.31 10.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.01 0.0 0.14 -0.14 0.02 0.02 1.32 13.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.90 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.47 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.11 0.03 0.0 0.28 -0.28 0.11 0.12 2.51 23.0 9 10 caleb_strategy_v3 OAT False False 0.05 0.00 0.03 0.0 0.49 -0.49 0.00 0.00 0.70 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.03 0.04 0.0 0.44 -0.44 0.03 0.03 6.07 66.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.04 0.0 0.41 -0.41 0.03 0.03 4.42 48.0 3 3 caleb_strategy_v3 COCOA False False 0.02 0.03 0.05 0.0 0.41 -0.41 0.03 0.05 2.99 26.0 2 3 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.05 0.0 0.12 -0.12 0.02 0.02 1.92 5.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.06 0.0 0.34 -0.34 0.25 0.25 3.38 20.0 15 15 caleb_strategy_v3 GBP False False 0.03 0.11 0.06 0.0 0.60 -0.60 0.11 0.11 2.03 22.0 4 4 caleb_strategy_v3 DAX False False 0.01 0.00 0.08 0.0 0.37 -0.37 0.00 0.00 12.86 58.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.36 0.12 0.0 0.40 -0.40 0.36 0.36 2.67 9.0 8 8 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.32 0.0 0.31 -0.31 0.29 0.29 37.02 36.0 34 34 caleb_strategy_v3 MXP False False 0.01 0.52 0.35 0.0 0.60 -0.60 0.52 0.52 35.13 60.0 52 52 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.55 0.52 0.0 0.92 -0.92 0.55 0.37 5.66 10.0 6 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.48 0.88 0.0 0.55 -0.55 0.48 0.52 25.61 16.0 14 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.5 Shocked risk 55.2 Sum abs risk 48.9 Leverage 4.49 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2888724.76, 'annual_cash_vol_target': 722181.19, 'daily_cash_vol_target': 45136.324375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6581 0.6212 9.9393 BITCOIN 1216.8313 40215.0000 3.0258 48.4130 BOBL 0.2650 117.6200 0.2253 3.6049 BTP 0.6027 117.8700 0.5113 8.1809 BUND 0.5220 134.4200 0.3883 6.2133 BUXL 1.2313 135.7600 0.9070 14.5113 CAC 52.5325 7428.5000 0.7072 11.3148 CAD 0.0028 0.7425 0.3707 5.9316 CANOLA 6.7711 641.2000 1.0560 16.8960 CHF 0.0049 1.1573 0.4256 6.8092 COCOA 49.1963 4529.0000 1.0863 17.3800 COFFEE 3.9849 187.5500 2.1247 33.9957 COPPER 0.0396 3.7485 1.0570 16.9113 CORN 3.9586 475.7500 0.8321 13.3133 COTTON2 0.9466 85.8400 1.1027 17.6437 CRUDE_W 1.1087 72.1500 1.5367 24.5872 DAX 111.4194 16773.0000 0.6643 10.6285 DOW 201.8560 38157.0000 0.5290 8.4642 DX 0.3964 103.1500 0.3843 6.1480 EUR 0.0047 1.0906 0.4335 6.9365 EURIBOR-ICE 0.0534 97.7800 0.0546 0.8740 EUROSTX 32.6539 4495.0000 0.7264 11.6232 FEEDCOW 1.8219 242.3250 0.7519 12.0297 GASOIL 12.2148 771.7500 1.5827 25.3238 GASOLINE 0.0394 2.4599 1.6033 25.6531 GAS_US_mini 0.0974 2.1450 4.5426 72.6823 GBP 0.0061 1.2706 0.4826 7.7208 GOLD_micro 14.4734 2021.5000 0.7160 11.4555 HEATOIL 0.0394 2.5611 1.5378 24.6052 JGB-SGX-mini 0.2637 146.9500 0.1794 2.8711 JPY 0.0000 0.0068 0.6599 10.5579 LEANHOG 1.1019 77.5750 1.4204 22.7265 LIVECOW 1.2465 177.0000 0.7042 11.2678 LUMBER-new 6.7619 550.0000 1.2294 19.6708 MILK 0.1735 16.1100 1.0769 17.2306 MXP 0.0004 0.0576 0.7023 11.2363 NASDAQ_micro 134.2871 17469.7500 0.7687 12.2989 NIKKEI 314.5104 36600.0000 0.8593 13.7491 NZD 0.0039 0.6076 0.6461 10.3375 OAT 0.5296 129.0300 0.4105 6.5677 OATIES 7.5987 372.2500 2.0413 32.6608 OJ 6.1417 307.6500 1.9963 31.9411 PALLAD 26.4612 938.0000 2.8210 45.1363 PLAT 14.3298 902.1000 1.5885 25.4159 REDWHEAT 9.7701 609.7500 1.6023 25.6369 RICE 0.1693 17.8000 0.9509 15.2150 ROBUSTA 49.5758 3034.0000 1.6340 26.1441 RUSSELL 22.5766 1989.1000 1.1350 18.1602 SHATZ 0.0956 105.8800 0.0903 1.4446 SILVER-mini 0.3487 22.5000 1.5499 24.7982 SMI 66.5195 11199.0000 0.5940 9.5036 SOFR 0.0653 96.5950 0.0676 1.0817 SOYBEAN 9.3210 1197.2500 0.7785 12.4566 SOYMEAL 4.4559 355.7000 1.2527 20.0435 SOYOIL 0.6564 48.5600 1.3517 21.6267 SP400 24.4123 2782.2000 0.8774 14.0392 SP500_micro 29.4366 4883.2500 0.6028 9.6449 SUGAR11 0.3914 22.7500 1.7202 27.5238 US10 0.4104 111.4375 0.3683 5.8931 US10U 0.5550 115.6719 0.4798 7.6774 US2 0.1260 102.6094 0.1228 1.9645 US20 0.8373 120.6250 0.6941 11.1061 US30 1.2443 126.7812 0.9814 15.7030 US5 0.2774 107.8594 0.2571 4.1143 VIX 0.4399 15.9500 2.7581 44.1294 WHEAT 8.4551 636.7500 1.3278 21.2456 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.10 0.62 408.82 1.00 408.82 45136.32 110.41 -4.94 -54.51 BITCOIN 40.22 3.03 121.68 1.00 121.68 45136.32 370.93 0.31 11.61 BOBL 1176.20 0.23 265.01 1.09 288.40 45136.32 156.51 -8.20 -128.37 BTP 1178.70 0.51 602.68 1.09 655.87 45136.32 68.82 1.32 9.11 BUND 1344.20 0.39 522.00 1.09 568.06 45136.32 79.46 -0.87 -6.92 BUXL 1357.60 0.91 1231.28 1.09 1339.94 45136.32 33.69 -2.34 -7.89 CAC 742.85 0.71 525.32 1.09 571.68 45136.32 78.95 -1.04 -8.18 CAD 742.50 0.37 275.26 1.00 275.26 45136.32 163.98 -5.33 -87.44 CANOLA 128.24 1.06 135.42 0.74 100.36 45136.32 449.73 -20.00 -899.45 CHF 1446.62 0.43 615.64 1.00 615.64 45136.32 73.32 -8.29 -60.77 COCOA 452.90 1.09 491.96 1.00 491.96 45136.32 91.75 15.21 139.59 COFFEE 703.31 2.12 1494.35 1.00 1494.35 45136.32 30.20 -3.74 -11.30 COPPER 937.12 1.06 990.50 1.00 990.50 45136.32 45.57 -5.29 -24.09 CORN 237.88 0.83 197.93 1.00 197.93 45136.32 228.04 -20.00 -456.08 COTTON2 429.20 1.10 473.29 1.00 473.29 45136.32 95.37 -6.74 -64.31 CRUDE_W 721.50 1.54 1108.73 1.00 1108.73 45136.32 40.71 4.35 17.72 DAX 167.73 0.66 111.42 1.09 121.25 45136.32 372.25 10.13 377.16 DOW 190.78 0.53 100.93 1.00 100.93 45136.32 447.21 5.84 261.10 DX 1031.50 0.38 396.35 1.00 396.35 45136.32 113.88 0.22 2.55 EUR 1363.25 0.43 591.01 1.00 591.01 45136.32 76.37 -0.93 -7.12 EURIBOR-ICE 2444.50 0.05 133.52 1.09 145.31 45136.32 310.63 5.35 166.08 EUROSTX 449.50 0.73 326.54 1.09 355.36 45136.32 127.02 7.80 99.05 FEEDCOW 1211.62 0.75 910.97 1.00 910.97 45136.32 49.55 -3.56 -17.65 GASOIL 771.75 1.58 1221.48 1.00 1221.48 45136.32 36.95 5.60 20.71 GASOLINE 1033.16 1.60 1656.48 1.00 1656.48 45136.32 27.25 -1.73 -4.72 GAS_US_mini 53.62 4.54 243.60 1.00 243.60 45136.32 185.29 -4.08 -75.65 GBP 794.12 0.48 383.21 1.00 383.21 45136.32 117.79 6.63 78.05 GOLD_micro 202.15 0.72 144.73 1.00 144.73 45136.32 311.86 -4.92 -153.48 HEATOIL 1075.66 1.54 1654.18 1.00 1654.18 45136.32 27.29 3.99 10.90 JGB-SGX-mini 146950.00 0.18 26368.99 0.01 177.54 45136.32 254.23 9.30 236.52 JPY 851.56 0.66 561.92 1.00 561.92 45136.32 80.32 -7.37 -59.22 LEANHOG 310.30 1.42 440.75 1.00 440.75 45136.32 102.41 2.12 21.68 LIVECOW 708.00 0.70 498.60 1.00 498.60 45136.32 90.53 -5.74 -51.92 LUMBER-new 151.25 1.23 185.95 1.00 185.95 45136.32 242.73 -12.92 -313.54 MILK 322.20 1.08 346.98 1.00 346.98 45136.32 130.08 -20.00 -260.17 MXP 288.10 0.70 202.32 1.00 202.32 45136.32 223.09 10.73 239.32 NASDAQ_micro 349.40 0.77 268.57 1.00 268.57 45136.32 168.06 6.43 108.06 NIKKEI 36600.00 0.86 31451.04 0.01 211.76 45136.32 213.15 16.04 341.83 NZD 607.65 0.65 392.60 1.00 392.60 45136.32 114.97 -2.12 -24.33 OAT 1290.30 0.41 529.64 1.09 576.38 45136.32 78.31 2.60 20.38 OATIES 186.12 2.04 379.94 1.00 379.94 45136.32 118.80 -8.77 -104.23 OJ 461.48 2.00 921.25 1.00 921.25 45136.32 48.99 -2.89 -14.15 PALLAD 938.00 2.82 2646.12 1.00 2646.12 45136.32 17.06 -2.82 -4.82 PLAT 451.05 1.59 716.49 1.00 716.49 45136.32 63.00 0.83 5.21 REDWHEAT 304.88 1.60 488.50 1.00 488.50 45136.32 92.40 -20.00 -184.79 RICE 356.00 0.95 338.53 1.00 338.53 45136.32 133.33 -4.98 -66.39 ROBUSTA 303.40 1.63 495.76 1.00 495.76 45136.32 91.05 10.58 96.32 RUSSELL 99.46 1.14 112.88 1.00 112.88 45136.32 399.85 -5.20 -207.92 SHATZ 1058.80 0.09 95.59 1.09 104.03 45136.32 433.88 -9.08 -393.89 SILVER-mini 562.50 1.55 871.81 1.00 871.81 45136.32 51.77 -7.03 -36.39 SMI 1119.90 0.59 665.20 1.15 766.24 45136.32 58.91 13.27 78.17 SOFR 2414.88 0.07 163.25 1.00 163.25 45136.32 276.48 -1.07 -29.71 SOYBEAN 598.62 0.78 466.05 1.00 466.05 45136.32 96.85 -18.11 -175.36 SOYMEAL 355.70 1.25 445.59 1.00 445.59 45136.32 101.30 -18.91 -191.51 SOYOIL 291.36 1.35 393.82 1.00 393.82 45136.32 114.61 -13.17 -150.99 SP400 2782.20 0.88 2441.23 1.00 2441.23 45136.32 18.49 -4.05 -7.50 SP500_micro 244.16 0.60 147.18 1.00 147.18 45136.32 306.67 6.20 190.13 SUGAR11 254.80 1.72 438.32 1.00 438.32 45136.32 102.98 -2.23 -22.93 US10 1114.38 0.37 410.44 1.00 410.44 45136.32 109.97 -3.74 -41.08 US10U 1156.72 0.48 555.04 1.00 555.04 45136.32 81.32 0.44 3.54 US2 2052.19 0.12 251.97 1.00 251.97 45136.32 179.13 -5.32 -95.30 US20 1206.25 0.69 837.30 1.00 837.30 45136.32 53.91 0.87 4.71 US30 1267.81 0.98 1244.28 1.00 1244.28 45136.32 36.28 -1.80 -6.51 US5 1078.59 0.26 277.35 1.00 277.35 45136.32 162.74 -4.69 -76.25 VIX 159.50 2.76 439.91 1.00 439.91 45136.32 102.60 -20.00 -205.20 WHEAT 318.38 1.33 422.75 1.00 422.75 45136.32 106.77 -18.63 -198.90 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -54.509 0.010 2.5 -1.414 BITCOIN 11.608 0.043 2.5 1.257 BOBL -128.368 0.004 2.5 -1.302 BTP 9.111 0.014 2.5 0.311 BUND -6.920 0.004 2.5 -0.070 BUXL -7.888 0.004 2.5 -0.080 CAC -8.178 0.014 2.5 -0.279 CAD -87.436 0.010 2.5 -2.269 CANOLA -899.452 0.010 2.5 -21.883 CHF -60.768 0.010 2.5 -1.577 COCOA 139.593 0.009 2.5 2.990 COFFEE -11.302 0.005 2.5 -0.132 COPPER -24.090 0.043 2.5 -2.609 CORN -456.080 0.010 2.5 -11.096 COTTON2 -64.315 0.009 2.5 -1.377 CRUDE_W 17.717 0.043 2.5 1.919 DAX 377.163 0.014 2.5 12.865 DOW 261.103 0.009 2.5 6.068 DX 2.550 0.010 2.5 0.066 EUR -7.123 0.010 2.5 -0.185 EURIBOR-ICE 166.079 0.014 2.5 5.665 EUROSTX 99.052 0.014 2.5 3.379 FEEDCOW -17.649 0.013 2.5 -0.585 GASOIL 20.707 0.017 2.5 0.898 GASOLINE -4.722 0.017 2.5 -0.205 GAS_US_mini -75.650 0.043 2.5 -8.192 GBP 78.048 0.010 2.5 2.025 GOLD_micro -153.484 0.014 2.5 -5.235 HEATOIL 10.897 0.017 2.5 0.472 JGB-SGX-mini 236.520 0.043 2.5 25.612 JPY -59.223 0.010 2.5 -1.537 LEANHOG 21.681 0.024 2.5 1.318 LIVECOW -51.918 0.013 2.5 -1.720 LUMBER-new -313.539 0.009 2.5 -6.700 MILK -260.165 0.009 2.5 -5.572 MXP 239.325 0.059 2.5 35.127 NASDAQ_micro 108.061 0.009 2.5 2.511 NIKKEI 341.834 0.043 2.5 37.017 NZD -24.334 0.010 2.5 -0.631 OAT 20.377 0.014 2.5 0.695 OATIES -104.231 0.010 2.5 -2.536 OJ -14.152 0.009 2.5 -0.303 PALLAD -4.817 0.014 2.5 -0.164 PLAT 5.214 0.014 2.5 0.178 REDWHEAT -184.795 0.005 2.5 -2.451 RICE -66.386 0.010 2.5 -1.615 ROBUSTA 96.317 0.005 2.5 1.125 RUSSELL -207.920 0.013 2.5 -6.890 SHATZ -393.891 0.004 2.5 -3.994 SILVER-mini -36.386 0.014 2.5 -1.241 SMI 78.173 0.014 2.5 2.666 SOFR -29.707 0.024 2.5 -1.805 SOYBEAN -175.365 0.004 2.5 -1.631 SOYMEAL -191.515 0.004 2.5 -1.781 SOYOIL -150.991 0.004 2.5 -1.406 SP400 -7.497 0.013 2.5 -0.248 SP500_micro 190.134 0.009 2.5 4.419 SUGAR11 -22.932 0.009 2.5 -0.488 US10 -41.081 0.005 2.5 -0.521 US10U 3.541 0.005 2.5 0.045 US2 -95.298 0.005 2.5 -1.208 US20 4.712 0.005 2.5 0.060 US30 -6.514 0.005 2.5 -0.083 US5 -76.252 0.005 2.5 -0.966 VIX -205.205 0.099 2.5 -50.654 WHEAT -198.900 0.005 2.5 -2.638 ===================== Position diags ===================== AUD 2.86 BITCOIN 40.17 BOBL 1.59 BTP 2.35 BUND 0.81 BUXL 0.34 CAC 2.69 CAD 4.25 CANOLA 10.94 CHF 1.90 COCOA 1.96 COFFEE 0.35 COPPER 4.93 CORN 5.55 COTTON2 2.04 CRUDE_W 4.41 DAX 12.70 DOW 10.39 DX 2.95 EUR 1.98 EURIBOR-ICE 10.60 EUROSTX 4.33 FEEDCOW 1.64 GASOIL 1.60 GASOLINE 1.18 GAS_US_mini 20.06 GBP 3.06 GOLD_micro 10.64 HEATOIL 1.18 JGB-SGX-mini 27.53 JPY 2.08 LEANHOG 6.22 LIVECOW 3.00 LUMBER-new 5.19 MILK 2.79 MXP 32.74 NASDAQ_micro 3.91 NIKKEI 23.08 NZD 2.98 OAT 2.67 OATIES 2.89 OJ 1.05 PALLAD 0.58 PLAT 2.15 REDWHEAT 1.23 RICE 3.24 ROBUSTA 1.06 RUSSELL 13.25 SHATZ 4.40 SILVER-mini 1.77 SMI 2.01 SOFR 16.80 SOYBEAN 0.90 SOYMEAL 0.94 SOYOIL 1.07 SP400 0.61 SP500_micro 7.13 SUGAR11 2.19 US10 1.39 US10U 1.03 US2 2.27 US20 0.68 US30 0.46 US5 2.06 VIX 25.33 WHEAT 1.42 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.4 -1.7 -1.1 0.0 0 BITCOIN 1.3 -2.8 5.3 6.0 6 BOBL -1.3 -1.5 -1.1 -8.0 -8 BTP 0.3 0.1 0.5 1.0 1 BUND -0.1 -0.2 0.0 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -0.3 -0.5 -0.0 0.0 0 CAD -2.3 -2.7 -1.8 0.0 0 CANOLA -21.9 -23.0 -20.8 -6.0 -6 CHF -1.6 -1.8 -1.4 -3.0 -3 COCOA 3.0 2.8 3.2 2.0 2 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -2.6 -3.1 -2.1 -2.0 -2 CORN -11.1 -11.7 -10.5 -9.0 -9 COTTON2 -1.4 -1.6 -1.2 -4.0 -4 CRUDE_W 1.9 1.5 2.4 1.0 1 DAX 12.9 11.6 14.1 0.0 0 DOW 6.1 5.0 7.1 4.0 4 DX 0.1 -0.2 0.4 NaN 0 EUR -0.2 -0.4 0.0 -1.0 -1 EURIBOR-ICE 5.7 4.6 6.7 6.0 6 EUROSTX 3.4 2.9 3.8 15.0 15 FEEDCOW -0.6 -0.7 -0.4 -1.0 -1 GASOIL 0.9 0.7 1.1 0.0 0 GASOLINE -0.2 -0.3 -0.1 0.0 0 GAS_US_mini -8.2 -10.2 -6.2 -4.0 -4 GBP 2.0 1.7 2.3 4.0 4 GOLD_micro -5.2 -6.3 -4.2 -17.0 -17 HEATOIL 0.5 0.4 0.6 0.0 0 JGB-SGX-mini 25.6 22.9 28.4 14.0 14 JPY -1.5 -1.7 -1.3 -5.0 -5 LEANHOG 1.3 0.7 1.9 2.0 2 LIVECOW -1.7 -2.0 -1.4 0.0 0 LUMBER-new -6.7 -7.2 -6.2 NaN 0 MILK -5.6 -5.9 -5.3 NaN 0 MXP 35.1 31.9 38.4 52.0 52 NASDAQ_micro 2.5 2.1 2.9 9.0 9 NIKKEI 37.0 34.7 39.3 34.0 34 NZD -0.6 -0.9 -0.3 2.0 2 OAT 0.7 0.4 1.0 0.0 0 OATIES -2.5 -2.8 -2.2 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.2 -0.0 0.4 0.0 0 REDWHEAT -2.5 -2.6 -2.3 -3.0 -3 RICE -1.6 -1.9 -1.3 NaN 0 ROBUSTA 1.1 1.0 1.2 1.0 1 RUSSELL -6.9 -8.2 -5.6 -9.0 -9 SHATZ -4.0 -4.4 -3.6 NaN 0 SILVER-mini -1.2 -1.4 -1.1 NaN 0 SMI 2.7 2.5 2.9 8.0 8 SOFR -1.8 -3.5 -0.1 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -2.0 -2 SOYMEAL -1.8 -1.9 -1.7 -3.0 -3 SOYOIL -1.4 -1.5 -1.3 -3.0 -3 SP400 -0.2 -0.3 -0.2 0.0 0 SP500_micro 4.4 3.7 5.1 3.0 3 SUGAR11 -0.5 -0.7 -0.3 -1.0 -1 US10 -0.5 -0.7 -0.4 -2.0 -2 US10U 0.0 -0.1 0.1 0.0 0 US2 -1.2 -1.4 -1.0 NaN 0 US20 0.1 -0.0 0.1 3.0 3 US30 -0.1 -0.1 -0.0 0.0 0 US5 -1.0 -1.2 -0.8 0.0 0 VIX -50.7 -53.2 -48.1 -17.0 -17 WHEAT -2.6 -2.8 -2.5 -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 -0.6 0.3 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.0 0.1 -0.2 -0.1 -0.1 0.4 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.4 -0.2 -0.0 -0.6 -0.3 -0.2 0.1 BITCOIN -0.5 -0.1 0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 0.5 -0.2 0.6 -0.0 0.2 -0.1 -0.1 -0.2 -0.1 0.1 0.2 -0.2 0.4 -0.0 -2.7 0.1 -0.1 0.2 -0.1 0.2 -0.0 -0.1 -0.5 0.3 0.6 0.6 -0.2 0.3 0.2 0.5 BOBL -0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.0 -0.4 -0.2 -0.4 -0.4 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 -0.5 -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 -0.0 0.2 -0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.2 0.0 -1.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 0.1 -0.5 -0.0 0.2 -0.5 -0.7 0.4 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 0.0 -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 -0.0 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 -0.1 0.1 -0.7 -0.7 -0.0 0.3 CAC -0.6 0.3 0.2 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 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 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.4 -0.6 -0.3 -0.3 0.1 0.3 0.3 0.5 CAD -0.5 0.5 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 -0.1 -0.0 0.3 0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.3 0.2 -0.5 -0.7 -0.6 -0.1 -0.5 CANOLA -0.3 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.6 -0.6 -0.6 -0.5 -0.5 -0.3 -0.1 CHF -0.6 0.5 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 0.2 -0.2 0.4 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.2 0.2 -0.1 -1.1 0.1 -0.1 0.1 -0.1 0.1 0.0 -1.1 -0.5 0.3 0.6 0.5 -0.7 -0.6 -0.5 -0.7 COCOA -0.2 -0.0 0.4 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.5 0.1 0.6 0.5 -0.1 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.4 0.2 0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.1 -0.1 -0.0 -0.0 0.1 0.2 0.1 0.2 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 0.8 -0.4 -0.6 0.4 0.6 -0.5 -0.7 -0.4 -0.3 COPPER -0.5 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -1.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.1 0.1 0.2 0.4 0.3 -0.4 -0.2 0.4 -0.1 CORN -0.6 -0.4 -0.3 -0.0 0.1 -0.1 0.1 -0.2 0.1 -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 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.6 -0.3 -0.3 -0.5 -0.1 0.1 COTTON2 0.5 0.1 -0.4 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 -0.3 0.2 -0.3 0.2 -0.1 -0.2 -0.0 -0.2 -0.1 -0.0 -0.1 0.2 -0.3 0.2 -2.7 0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 0.4 0.6 0.6 -0.5 -0.5 -0.5 -0.2 -0.0 CRUDE_W 0.0 -0.3 -0.3 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 0.1 -0.0 0.2 -0.1 -0.2 0.1 0.2 0.1 0.2 -0.1 -0.0 0.0 0.2 -0.0 -0.6 -0.0 0.1 -0.0 0.1 0.2 -0.0 -0.1 -0.3 -0.4 -0.1 0.3 0.7 0.5 0.7 0.6 DAX -0.6 0.4 0.5 0.0 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 -0.0 0.3 0.0 2.3 0.0 0.0 0.1 -0.0 0.1 0.0 -0.4 -0.3 -0.4 0.1 0.1 0.1 0.2 0.4 0.7 DOW -0.4 0.6 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 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 0.2 0.0 0.1 0.1 -0.4 0.4 0.4 0.6 0.6 -0.3 -0.1 -0.2 -0.2 DX 0.6 -0.3 -0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.2 0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 0.1 0.0 0.1 -2.7 -0.0 0.0 -0.1 0.0 0.0 0.0 0.8 0.5 0.6 -0.6 -0.6 0.6 0.1 0.7 0.3 EUR -0.4 0.2 0.3 0.0 -0.0 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 0.0 0.0 -0.1 0.0 -0.0 1.9 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.4 0.2 0.2 -0.3 0.0 -0.7 -0.4 -0.6 -0.3 EURIBOR-ICE -0.6 0.5 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 -0.1 0.1 -0.0 2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.3 -0.1 -0.3 0.1 0.4 -0.7 -0.7 0.2 0.7 EUROSTX -0.6 0.2 0.4 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 -0.1 0.7 -0.0 0.2 0.2 0.0 0.1 0.0 0.1 0.2 -0.0 0.4 -0.0 0.4 0.0 0.0 0.1 -0.0 0.2 -0.0 0.6 -0.3 -0.5 -0.3 0.0 -0.1 0.3 0.1 0.6 FEEDCOW 0.6 0.0 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.3 0.2 -0.1 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.2 -0.2 0.2 -0.5 -0.0 0.0 -0.1 0.1 0.0 0.0 -1.1 0.1 0.1 0.2 -0.6 0.5 0.2 0.7 0.5 GASOIL 0.2 -0.2 -0.4 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.0 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.0 0.1 0.2 0.0 1.1 -0.0 0.1 -0.0 0.0 0.1 0.0 1.0 -0.3 -0.1 0.0 0.1 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.2 -0.0 -0.5 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.1 0.2 0.2 0.1 -0.1 -0.4 0.2 -0.4 -0.2 -0.0 -0.0 0.1 0.1 0.1 -2.7 -0.0 0.1 -0.0 0.1 0.2 0.0 -0.7 0.1 -0.1 0.3 0.1 0.7 0.4 0.7 0.4 GAS_US_mini 0.6 -0.0 -0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.5 -0.0 -0.1 0.4 -0.4 0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 0.2 -0.1 0.1 -0.6 0.1 -0.7 -0.0 GBP -0.1 0.3 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 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 0.1 0.0 0.2 0.4 0.6 0.1 0.1 -0.6 -0.0 -0.5 0.3 GOLD_micro -0.4 0.0 0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 0.3 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.0 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 0.6 -0.7 -0.7 -0.6 -0.5 HEATOIL 0.3 -0.2 -0.5 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 0.1 0.2 0.1 0.0 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 0.1 0.2 0.0 -2.7 -0.0 0.1 0.0 0.1 0.2 0.0 1.1 -0.1 0.1 0.2 0.2 0.5 0.0 0.4 -0.1 JGB-SGX-mini 0.2 0.6 0.5 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 0.1 0.3 -0.0 -0.0 0.0 -0.7 0.3 0.5 JPY -0.6 0.4 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.0 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.2 -0.3 -0.0 -0.3 -0.4 -0.7 -0.2 -0.7 LEANHOG 0.4 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.4 -0.1 -0.4 -0.3 -0.0 -0.1 0.0 -0.5 0.0 2.3 0.0 0.0 -0.0 0.1 -0.2 0.1 -0.3 -0.3 0.6 0.6 0.1 -0.4 -0.3 0.2 0.4 LIVECOW 0.6 -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 -0.1 -0.3 -0.2 -0.1 -0.2 0.2 -0.2 0.1 -0.1 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.4 -0.1 -0.1 -0.2 -0.6 0.3 -0.1 0.5 0.1 LUMBER-new -0.6 0.3 0.5 -0.0 0.2 -0.1 0.2 -0.2 0.1 -0.2 -0.1 -0.3 -0.7 -0.1 0.1 -0.4 -0.3 -0.3 -0.3 0.1 0.1 -0.2 -0.2 -0.1 NaN 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -1.2 -0.6 -0.7 0.2 0.7 -0.4 -0.8 -0.2 -0.8 MILK 0.2 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.5 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.3 0.3 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.4 -0.1 0.7 0.1 0.2 0.3 0.3 0.3 0.3 0.1 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.1 0.4 -0.1 -0.1 0.5 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 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.5 0.6 0.4 0.5 0.5 -0.2 0.6 -0.2 NIKKEI 0.6 0.4 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 0.1 0.1 1.1 0.5 0.6 0.6 0.3 -0.4 -0.1 -0.1 0.0 NZD -0.6 0.3 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.2 0.0 -0.1 0.1 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.2 -0.4 -0.3 0.0 0.1 -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 -0.0 0.1 -0.1 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.0 -0.0 1.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.7 -0.2 -0.5 -0.1 0.1 -0.7 -0.7 0.1 0.1 OATIES 0.1 -0.0 -0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -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 -0.0 -0.5 -0.1 0.2 0.2 0.6 OJ -0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -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 0.0 -0.1 0.5 -0.2 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 -0.4 -0.6 -0.6 0.5 0.3 0.4 0.7 0.7 PALLAD -0.6 0.3 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -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 0.1 -0.1 0.1 -0.3 -0.2 -0.2 -0.1 -0.1 PLAT -0.6 0.1 0.2 -0.0 -0.0 -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 -0.1 -0.1 -0.1 1.6 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.3 -0.1 0.0 0.3 0.1 -0.3 -0.2 0.6 -0.0 REDWHEAT -0.2 0.0 -0.3 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -0.5 -0.1 -0.6 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -1.8 -0.1 0.0 -0.3 -0.0 -0.3 -0.0 0.1 -0.5 -0.4 0.0 -0.6 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.0 0.3 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.4 -0.0 0.5 0.1 0.1 -0.3 -0.0 -0.3 -0.2 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.1 -0.0 -0.0 -0.4 -0.6 -0.3 0.4 -0.0 -0.3 0.3 -0.0 ROBUSTA 0.2 0.6 0.2 -0.0 0.1 -0.1 0.1 -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 0.4 0.2 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.5 0.6 0.6 -0.4 -0.5 -0.1 0.0 RUSSELL -0.6 0.6 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.0 0.0 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.3 0.2 -0.1 -0.7 -0.6 -0.7 -0.7 SHATZ -0.6 0.4 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 -0.2 -0.3 -0.0 0.1 -0.6 -0.7 -0.2 -0.7 SILVER-mini -0.6 -0.3 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.2 -0.0 0.0 -0.7 -0.6 0.3 -0.4 SMI -0.1 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.1 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 0.1 1.5 0.1 0.0 0.1 0.0 0.0 0.0 1.1 -0.2 0.5 0.2 -0.3 0.0 -0.2 0.3 -0.2 SOFR -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 -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 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.6 -0.6 -0.2 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.0 -0.2 0.1 -0.2 -0.2 0.2 0.3 0.3 0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.0 -0.6 -0.7 -0.6 -0.7 SOYMEAL -0.6 -0.6 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.3 -0.2 -0.0 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.2 -0.0 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.0 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.1 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.2 -0.1 0.1 -0.0 0.1 -0.2 -0.2 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.8 -0.2 -0.2 -0.0 -0.5 -0.3 -0.1 -0.1 0.3 SP400 -0.5 0.6 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.1 0.1 -1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.2 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro -0.3 0.6 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.4 0.5 0.6 0.5 0.4 0.1 -0.2 0.4 -0.2 SUGAR11 0.5 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 0.2 -0.0 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 0.1 0.1 0.0 -2.7 -0.0 0.0 -0.1 0.0 0.0 -0.0 1.1 -0.1 0.3 -0.6 -0.5 0.2 -0.2 0.4 0.2 US10 -0.4 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 -0.5 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 0.3 0.1 0.0 -0.1 -0.7 -0.7 0.2 0.6 US2 -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 -0.4 -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 0.1 0.1 -0.6 -0.7 -0.4 -0.7 US20 -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 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 0.2 0.0 0.1 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.2 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.4 0.1 -0.1 -0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.4 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 0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.9 0.2 0.2 0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX 0.0 -0.3 -1.0 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.2 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.2 NaN -0.1 -0.1 -0.4 -0.1 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.3 0.2 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.5 -0.2 -0.7 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 -0.4 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.7 -0.5 -0.4 0.2 0.0 -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 -20.0 8.9 16.4 3.1 -3.8 3.8 -4.1 2.8 -0.7 -11.7 1.3 -15.6 -6.9 -9.3 6.1 -2.2 -2.8 -2.5 -2.7 3.6 4.8 -17.5 -2.7 -8.9 2.8 1.9 -5.6 2.2 -6.5 -0.5 -2.8 -1.0 -10.2 -12.2 -5.2 -1.2 -18.0 -10.3 -6.5 4.1 BITCOIN -15.5 -1.7 20.0 -4.3 -5.3 -1.8 -8.0 -0.6 -7.6 -18.0 16.8 -16.7 17.0 -0.0 14.7 -6.4 -6.3 -7.8 -7.5 13.4 20.0 -20.0 16.1 -4.1 -20.0 4.7 -8.5 7.7 -6.5 6.1 -1.7 -1.6 -20.0 9.4 20.0 20.0 -5.6 9.0 5.9 14.9 BOBL -20.0 14.2 20.0 1.7 -1.3 1.2 -1.3 -0.4 0.3 -6.0 3.8 -8.1 -1.3 -0.3 4.2 -20.0 -12.1 -20.0 -18.4 4.7 6.1 -9.8 -0.5 -4.0 7.5 1.2 -2.0 1.6 -2.5 0.1 -1.0 -20.0 -9.1 -14.1 -2.9 2.4 -20.0 -20.0 -0.8 -19.1 BTP -18.6 19.1 20.0 2.8 -2.1 2.0 -2.1 -0.7 0.4 -4.8 9.1 -11.3 7.7 3.0 9.6 4.2 6.9 5.2 5.8 14.6 15.0 -4.9 6.2 2.9 -10.7 3.5 -0.6 3.6 -1.2 1.7 0.6 12.8 5.1 -13.9 -1.5 7.4 -16.3 -20.0 10.8 2.0 BUND -20.0 17.0 20.0 2.0 -1.5 1.4 -1.5 -0.5 0.3 -5.8 4.5 -9.3 -1.6 -0.3 4.9 5.0 4.4 3.3 2.7 6.3 7.5 -10.0 -0.8 -3.8 5.3 1.4 -1.6 1.8 -2.5 0.2 -1.0 7.8 -8.2 -16.8 -3.4 2.6 -19.4 -20.0 -0.4 -8.3 BUXL -20.0 20.0 20.0 2.5 -1.8 1.7 -1.8 -0.6 0.4 -4.4 5.0 -11.2 -5.1 -0.3 5.9 -0.1 0.6 0.1 0.4 8.0 7.8 -10.2 -3.9 -3.7 1.0 1.9 -1.1 1.9 -2.2 -0.3 -0.8 2.9 -6.4 -19.1 -2.5 2.6 -20.0 -20.0 -1.0 8.4 CAC -20.0 8.6 5.9 4.8 5.4 4.5 1.2 2.7 1.8 -0.3 13.0 -13.9 19.3 -4.4 14.1 -9.4 -4.9 -8.6 -7.2 6.6 9.7 -9.2 11.4 -5.0 -8.6 2.4 -0.5 3.7 -3.4 3.7 -2.1 0.2 -18.4 -20.0 -10.4 -8.9 3.3 9.1 10.3 15.3 CAD -16.7 15.4 7.9 4.3 -5.2 5.3 -5.7 3.9 -1.0 -11.3 0.5 -20.0 -5.0 -2.9 9.1 -1.7 -2.2 -2.0 -2.2 7.9 5.6 -14.2 -3.5 -4.3 2.0 3.4 -3.7 2.1 -5.1 -1.2 -1.0 0.0 -1.2 -10.6 5.8 -14.2 -20.0 -16.5 -1.6 -14.1 CANOLA -10.8 -20.0 -20.0 -0.7 7.1 -2.2 6.0 -3.1 2.2 8.9 -9.7 -6.0 -8.2 -9.5 -10.8 -10.4 -1.4 -10.7 -7.7 -19.6 -19.4 -2.7 -15.2 -12.5 -20.0 -4.2 1.0 -4.3 -0.3 -3.6 -2.5 -1.5 -5.6 -17.6 -20.0 -20.0 -15.9 -13.7 -7.9 -2.4 CHF -17.3 15.0 12.2 3.6 -4.4 4.4 -4.8 3.3 -0.8 -18.7 8.1 -18.3 11.6 -3.0 11.5 -15.1 -15.5 -16.0 -16.0 12.3 13.7 -20.0 9.0 -6.6 -7.9 4.8 -7.5 4.2 -5.8 2.3 0.3 -20.0 -20.0 8.4 17.7 14.8 -20.0 -19.3 -16.4 -20.0 COCOA -7.4 -0.5 13.7 -1.4 14.8 -4.6 12.4 -6.4 4.6 20.0 20.0 20.0 20.0 20.0 20.0 11.2 2.2 8.8 5.2 20.0 20.0 20.0 20.0 20.0 -20.0 7.7 10.3 11.4 8.2 13.2 5.7 11.9 20.0 -2.9 20.0 20.0 20.0 2.1 20.0 20.0 COFFEE -13.7 6.1 20.0 -0.8 8.2 -2.5 6.9 -3.6 2.6 9.7 5.1 -5.2 -0.6 -1.1 6.1 7.8 4.6 7.7 6.0 5.6 6.8 1.6 2.3 0.4 -16.6 2.3 2.7 3.5 -0.9 2.0 -0.8 15.0 -17.3 -18.4 12.9 20.0 -14.4 -20.0 -11.1 -10.3 COPPER -15.8 2.9 9.6 -3.9 -4.8 -1.7 -7.3 -0.5 -6.9 -6.2 -2.1 -14.8 -3.7 -11.5 3.8 -6.3 -4.7 -6.2 -5.8 -1.0 0.3 -9.0 -3.3 -7.8 -9.0 -0.7 -4.4 0.6 -6.9 -0.9 -5.4 1.2 2.7 6.7 11.3 7.9 -10.5 -7.1 10.6 -4.1 CORN -20.0 -12.9 -9.3 -1.4 15.5 -4.8 13.0 -6.7 4.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.7 -2.8 -9.8 -7.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.8 -3.9 -5.9 -8.7 -5.1 -10.7 -2.7 -20.0 -20.0 -20.0 -10.3 -7.5 -15.5 -2.6 2.2 COTTON2 13.9 3.6 -13.1 -1.3 14.5 -4.5 12.2 -6.3 4.5 20.0 -12.4 20.0 -8.1 14.4 -9.8 -8.8 -1.5 -8.0 -5.5 -0.8 -9.5 20.0 -10.3 14.8 -20.0 2.2 16.4 -2.3 14.2 -1.9 9.4 0.1 15.8 20.0 18.0 -15.2 -15.6 -16.0 -5.3 -0.0 CRUDE_W 0.5 -8.7 -10.1 -2.8 9.4 -2.5 7.1 0.9 2.0 15.5 3.7 -1.3 5.8 -6.9 -14.5 6.4 9.4 7.4 8.6 -6.7 -1.5 4.4 6.4 -2.6 -4.5 -4.0 7.9 -0.5 4.7 5.3 -0.6 -1.1 -11.1 -12.2 -1.6 8.2 20.0 15.2 20.0 16.6 DAX -20.0 12.8 14.4 4.5 5.0 4.2 1.2 2.6 1.7 6.7 15.6 -5.4 18.2 7.4 18.2 -15.3 -10.1 -13.8 -12.0 16.1 17.0 -3.5 12.8 2.7 17.4 4.4 1.5 4.7 -1.2 3.0 0.3 -8.2 -13.8 -10.9 1.9 4.6 2.0 6.6 12.0 20.0 DOW -13.3 20.0 20.0 4.1 4.6 3.9 1.1 2.4 1.6 15.9 18.5 8.6 17.4 18.2 20.0 -12.3 -9.7 -11.6 -10.9 20.0 20.0 11.0 19.5 19.3 -14.4 6.8 5.3 5.9 3.8 3.8 4.7 -7.2 16.1 12.1 20.0 17.2 -8.6 -3.7 -5.2 -7.3 DX 17.6 -10.2 -16.0 2.9 -3.6 3.6 -3.9 2.7 -0.7 11.3 0.5 15.1 -6.4 6.0 -7.1 5.4 6.0 5.9 6.1 -4.7 -4.8 13.5 0.7 5.5 -20.0 -3.0 4.0 -2.2 4.2 0.7 0.6 14.2 20.0 20.0 -20.0 -20.0 17.4 3.3 20.0 10.1 EUR -11.2 6.1 9.7 3.4 -4.1 4.1 -4.4 3.0 -0.8 -14.8 -0.6 -17.2 7.4 -4.1 8.5 -5.5 -6.6 -5.8 -6.1 4.0 4.0 -9.2 0.2 -3.4 14.1 3.8 -3.6 2.9 -3.2 0.5 0.5 -7.2 8.2 6.0 -8.5 0.0 -20.0 -11.9 -17.2 -7.8 EURIBOR-ICE -20.0 17.0 20.0 1.6 -1.2 1.1 -1.2 -0.4 0.3 -4.7 5.8 -6.8 2.0 2.2 5.7 2.3 -5.0 -0.6 -3.1 9.6 11.5 -6.9 4.2 -0.1 15.6 2.1 -1.3 2.5 -1.3 1.0 0.1 -5.6 -5.5 -8.9 3.7 11.8 -20.0 -20.0 7.1 20.0 EUROSTX -20.0 7.3 10.9 4.7 5.2 4.4 1.2 2.7 1.8 12.1 14.5 -8.6 19.4 -1.7 15.8 11.4 0.2 5.7 1.7 10.6 14.4 -4.1 14.7 -1.4 2.7 3.5 2.3 4.9 -1.6 4.4 -1.0 11.6 -13.2 -16.4 -10.4 1.2 -2.1 9.1 2.3 17.2 FEEDCOW 20.0 0.7 -20.0 -1.1 11.7 -3.6 9.8 -5.1 3.7 16.2 -10.1 18.1 -3.0 15.4 -7.9 -20.0 -20.0 -20.0 -20.0 -6.3 -17.7 20.0 -6.8 14.2 -3.4 -2.7 4.3 -4.1 4.9 1.1 2.5 -20.0 2.2 4.1 6.7 -20.0 15.2 5.0 20.0 13.7 GASOIL 6.9 -7.6 -11.5 -2.4 8.2 -2.1 6.2 0.8 1.8 15.6 3.9 12.0 5.9 2.2 -9.9 20.0 20.0 18.3 19.4 -4.5 -1.4 8.4 7.5 2.0 8.2 -1.8 6.7 -0.0 3.9 3.7 1.0 18.8 -13.8 -4.4 1.4 3.7 -11.2 -3.3 -20.0 -9.1 GASOLINE 6.8 -0.0 -14.8 -2.8 9.6 -2.5 7.2 0.9 2.1 18.5 -2.6 16.8 4.5 9.6 -6.5 -20.0 8.0 -20.0 -10.7 -1.7 -3.1 16.0 4.1 7.2 -20.0 -1.6 11.7 -1.5 8.6 4.2 3.4 -13.7 3.1 -2.8 8.7 4.4 20.0 12.5 20.0 10.7 GAS_US_mini 19.6 -0.6 -3.2 -1.7 5.7 -1.5 4.3 0.6 1.2 -11.2 -9.9 -6.4 -13.0 -3.2 -8.6 20.0 -19.2 12.4 -9.6 -10.6 -15.4 -9.8 -20.0 -6.0 18.2 -2.6 -4.6 -3.7 -1.7 -3.1 -0.7 -20.0 -20.0 5.1 -4.6 2.6 -17.4 2.6 -20.0 -1.3 GBP -3.7 9.1 9.6 3.7 -4.5 4.5 -4.9 3.3 -0.8 0.7 1.8 -1.8 11.3 7.5 16.7 -0.1 -0.6 -0.3 -0.4 10.7 9.1 -0.5 4.9 4.9 2.2 6.2 -0.3 4.5 0.4 1.6 3.8 2.9 17.5 20.0 3.7 3.0 -17.4 -0.7 -13.6 10.1 GOLD_micro -13.7 1.2 11.8 -3.7 -4.6 -1.6 -6.9 -0.5 -6.5 -5.4 8.9 -11.8 7.7 -4.5 10.8 -13.6 -13.9 -13.9 -14.3 3.8 6.7 -8.2 4.9 -4.6 -5.2 2.2 0.6 3.2 -0.1 2.7 -0.1 -14.3 20.0 19.0 19.5 20.0 -20.0 -20.0 -18.6 -16.1 HEATOIL 8.6 -7.1 -15.0 -2.6 9.0 -2.3 6.7 0.9 2.0 16.9 2.5 15.8 4.2 2.0 -10.8 20.0 20.0 20.0 20.0 -5.5 -3.4 10.1 5.9 3.1 -20.0 -0.9 6.7 0.2 6.5 5.2 3.4 20.0 -5.4 2.5 5.5 5.0 14.9 1.2 13.4 -3.3 JGB-SGX-mini 5.4 19.5 14.1 1.6 -1.2 1.1 -1.2 -0.4 0.2 -4.7 4.5 -0.7 4.6 5.9 7.3 8.7 18.1 12.0 14.3 8.5 6.2 0.3 3.1 5.7 -3.1 2.3 -0.8 1.4 -0.0 0.2 1.5 20.0 5.8 7.9 -0.4 -1.4 0.1 -20.0 10.1 14.8 JPY -20.0 11.0 20.0 1.7 -2.1 2.1 -2.3 1.6 -0.4 -8.9 -5.7 -9.9 -8.5 -6.3 -0.8 -14.0 -16.0 -15.5 -16.2 -2.9 -4.1 -13.2 -10.1 -8.9 20.0 -0.4 -3.6 -1.3 -4.3 -3.6 -2.4 -20.0 -8.0 -9.3 -0.2 -7.8 -10.8 -20.0 -5.5 -20.0 LEANHOG 11.2 1.3 -4.5 -1.1 11.7 -3.6 9.9 -5.1 3.7 -10.7 -6.6 12.7 -12.1 9.1 -6.0 -20.0 -2.7 -20.0 -15.8 -4.3 -11.8 4.9 -17.3 4.0 17.1 4.2 0.6 -0.9 5.2 -6.2 7.0 -5.4 -11.0 20.0 20.0 4.3 -11.4 -8.3 5.6 11.5 LIVECOW 17.0 -6.4 -20.0 -1.2 12.9 -4.0 10.9 -5.6 4.0 14.0 -10.9 17.6 -2.6 12.5 -10.3 -18.9 -7.0 -14.2 -10.7 -12.6 -20.0 16.8 -6.8 7.5 -0.8 -5.5 3.4 -5.4 3.4 1.0 -0.2 -7.8 -6.1 -3.4 -7.0 -20.0 10.1 -3.5 16.1 2.7 LUMBER-new -15.7 9.0 13.9 -1.5 15.9 -4.8 13.4 -5.8 5.0 -16.3 -2.1 -20.0 -16.7 -9.5 11.4 -16.5 -14.5 -14.6 -14.5 4.9 5.0 -19.6 -5.0 -10.2 NaN 2.6 -3.3 2.9 -7.3 -0.2 -3.6 -18.7 -20.0 -20.0 4.8 20.0 -11.2 -20.0 -6.3 -20.0 MILK 7.5 -20.0 -20.0 -1.1 11.9 -3.7 10.0 -5.2 3.7 -13.8 -19.3 -16.0 -18.9 -18.8 -19.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.5 -20.0 -20.0 13.5 -7.0 -0.9 -7.8 -1.9 -8.1 -4.2 -20.0 -20.0 -7.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -8.1 8.3 4.7 3.4 -4.1 4.1 -4.5 3.1 -0.8 -11.1 16.1 -9.8 18.2 7.6 16.0 15.5 16.4 15.2 15.3 12.0 15.0 -6.6 20.0 3.3 -20.0 5.0 -4.5 6.1 -3.4 8.3 1.3 20.0 -3.4 11.1 -4.0 -2.9 14.5 20.0 20.0 20.0 NASDAQ_micro -12.5 14.3 12.5 3.1 3.4 2.9 0.8 1.7 1.2 13.8 14.1 12.7 14.0 12.8 14.5 -11.6 -9.4 -11.2 -10.5 20.0 20.0 20.0 19.0 18.8 -20.0 5.5 6.1 4.9 5.6 4.7 5.4 -6.5 20.0 20.0 13.7 14.6 15.6 -4.8 19.2 -6.9 NIKKEI 20.0 11.9 7.2 4.0 4.5 3.7 1.0 2.3 1.5 18.1 19.0 19.6 18.9 19.4 19.6 18.3 12.2 15.4 13.1 20.0 20.0 20.0 20.0 20.0 -14.1 6.6 7.2 4.5 8.9 4.1 8.8 20.0 20.0 20.0 18.6 8.3 -12.0 -2.3 -3.0 1.3 NZD -20.0 9.6 16.6 3.0 -3.6 3.7 -3.9 2.7 -0.7 -14.9 4.4 -15.8 2.1 -5.9 8.9 0.4 0.2 0.2 0.2 5.6 7.2 -19.7 0.4 -7.6 0.5 2.5 -8.4 3.0 -7.2 0.8 -2.3 4.1 -17.2 -10.0 0.1 2.6 -9.9 -11.1 -6.2 4.8 OAT -20.0 18.6 20.0 2.1 -1.6 1.5 -1.6 -0.5 0.3 -5.1 5.4 -9.6 -1.0 0.3 5.6 4.9 6.8 5.1 5.6 8.2 9.3 -9.1 0.6 -2.6 7.4 1.8 -1.2 2.2 -2.1 0.4 -0.7 12.6 -6.5 -16.9 -2.1 4.3 -19.5 -20.0 3.3 4.3 OATIES 3.2 -1.0 -20.0 -0.5 5.1 -1.6 4.3 -2.2 1.6 1.9 -6.5 -0.7 -4.9 -1.5 -6.1 2.4 -6.3 -2.9 -6.9 -5.3 -6.7 0.7 -4.1 -1.7 -20.0 -1.5 2.3 -2.6 2.0 -1.7 0.8 -6.6 2.8 4.6 -0.3 -14.3 -2.0 5.0 6.5 17.5 OJ -20.0 -20.0 -20.0 -0.7 7.6 -2.4 6.4 -3.3 2.4 8.1 4.1 -6.6 9.0 -10.8 -8.6 1.6 17.8 9.3 14.8 -13.6 3.9 -8.2 18.9 -18.1 -20.0 -2.1 1.4 2.3 -1.1 6.2 -3.3 20.0 -17.6 -20.0 -20.0 14.5 9.6 12.1 19.6 20.0 PALLAD -20.0 10.3 10.3 -1.6 -2.0 -0.7 -3.0 -0.2 -2.8 -3.6 -6.2 -6.8 -7.7 -6.2 -5.0 -1.7 -2.2 -1.9 -2.1 -7.3 -7.6 -9.1 -10.7 -9.5 6.8 -1.5 -0.5 -2.3 -1.4 -2.9 -1.4 6.5 5.5 -2.8 3.5 -8.9 -7.1 -7.2 -2.4 -2.3 PLAT -20.0 3.8 7.3 -2.7 -3.4 -1.2 -5.1 -0.4 -4.8 -6.4 -4.2 -10.9 -6.0 -8.7 -0.6 -3.9 -3.0 -3.6 -3.4 -3.9 -1.8 -14.2 -3.3 -11.6 12.2 -1.1 -2.4 0.0 -4.6 -0.3 -3.9 4.7 -2.4 1.4 8.0 3.3 -7.7 -6.6 16.5 -0.2 REDWHEAT -7.3 1.4 -10.6 -1.1 11.5 -3.5 9.7 -5.0 3.6 -4.4 -17.4 -11.5 -17.9 -11.5 -13.9 -3.6 -1.6 -3.8 -3.3 -17.0 -20.0 -11.3 -20.0 -13.9 -13.5 -6.9 1.5 -9.3 -0.9 -9.1 -3.9 2.0 -20.0 -11.7 1.1 -18.0 -20.0 -20.0 -20.0 -15.2 RICE -5.1 1.3 8.9 -1.1 11.9 -3.7 10.0 -5.2 3.7 1.9 15.3 -1.8 13.2 5.0 12.8 -13.8 -0.8 -13.7 -8.4 11.7 13.4 3.4 10.8 7.0 -20.0 0.3 0.2 2.9 0.3 3.2 -1.4 -0.1 -16.0 -20.0 -8.3 13.3 -0.3 -9.5 8.2 -0.3 ROBUSTA 5.5 17.3 5.4 -0.6 7.0 -2.1 5.9 -3.0 2.2 8.9 10.5 9.3 10.6 10.3 10.6 20.0 20.0 20.0 20.0 19.4 16.6 16.4 13.2 18.1 -18.2 4.2 2.6 3.6 2.7 2.9 3.5 20.0 15.4 15.9 20.0 20.0 -12.3 -14.6 -3.0 1.2 RUSSELL -20.0 20.0 15.6 2.5 2.8 2.3 0.6 1.4 0.9 6.1 5.0 -7.6 1.5 1.5 6.6 -6.0 -6.1 -6.2 -6.4 8.2 7.2 -2.3 1.7 0.7 -2.0 2.5 2.7 2.0 0.5 0.8 1.0 -0.2 -1.4 -9.1 5.0 -3.0 -20.0 -19.1 -20.0 -19.9 SHATZ -20.0 12.4 20.0 1.6 -1.2 1.1 -1.2 -0.4 0.2 -6.0 1.3 -7.1 -4.4 -0.4 2.6 -20.0 -20.0 -20.0 -20.0 2.3 2.8 -8.8 -3.2 -4.1 8.5 1.2 -2.1 1.2 -2.2 -0.5 -0.7 -20.0 -7.6 -9.6 -0.2 1.6 -18.3 -20.0 -7.1 -20.0 SILVER-mini -18.4 -8.5 1.9 -3.2 -4.0 -1.4 -6.0 -0.4 -5.7 -13.8 -2.0 -14.8 1.3 -14.4 -2.5 -6.6 -6.5 -6.9 -6.8 -7.3 -3.1 -14.8 -1.4 -13.1 5.4 -3.6 -6.2 -1.4 -5.8 -0.1 -5.6 -1.2 3.5 5.0 -0.2 0.1 -20.0 -18.2 8.0 -10.6 SMI -2.3 19.1 5.7 4.6 5.2 4.3 1.2 2.6 1.8 10.1 5.3 9.1 4.4 18.7 20.0 12.6 4.9 9.8 6.8 15.2 8.0 4.0 0.3 10.3 11.3 6.6 3.1 4.1 1.3 0.5 4.2 20.0 -6.5 14.7 7.3 -10.0 1.2 -6.3 8.9 -6.3 SOFR -17.7 17.5 20.0 2.2 -1.6 1.5 -1.6 -0.6 0.3 -7.3 4.6 -9.1 -0.4 1.5 7.8 2.2 0.0 1.3 0.5 7.6 6.3 -7.3 -0.9 -0.7 -2.1 3.1 -0.1 2.1 -0.2 -0.0 1.4 2.3 9.4 4.3 0.5 1.3 -20.0 -20.0 -6.1 -4.6 SOYBEAN -20.0 -20.0 -7.4 -1.3 14.1 -4.4 11.9 -6.2 4.4 -6.5 -1.1 -20.0 3.7 -20.0 -20.0 10.5 16.6 13.3 14.1 -20.0 -15.7 -20.0 -5.9 -20.0 -20.0 -6.5 -1.2 -2.1 -6.1 0.2 -8.8 20.0 -20.0 -20.0 -20.0 -0.8 -18.3 -20.0 -18.6 -20.0 SOYMEAL -20.0 -20.0 -3.9 -1.0 10.5 -3.2 8.8 -4.6 3.3 -14.8 -9.8 -16.4 -1.1 -17.3 -14.7 4.0 15.0 9.1 12.0 -20.0 -11.9 -20.0 -1.8 -20.0 -20.0 -5.1 -3.6 -1.7 -6.2 0.9 -7.2 20.0 -20.0 -20.0 -20.0 -0.1 -20.0 -20.0 -20.0 -19.0 SOYOIL -2.7 -9.4 -20.0 -0.9 9.8 -3.0 8.3 -4.3 3.1 -0.6 -10.1 -7.0 -8.4 -13.6 -15.4 -5.5 6.5 -1.1 2.9 -15.4 -16.6 -5.5 -12.4 -10.4 -20.0 -2.9 3.6 -4.0 1.4 -3.3 -0.8 14.5 -8.3 -5.7 -0.9 -15.3 -8.7 -2.2 -2.1 7.5 SP400 -16.3 20.0 14.0 2.8 3.2 2.7 0.7 1.6 1.1 10.0 8.0 -5.1 5.4 5.5 10.1 -5.3 -5.1 -5.3 -5.3 12.1 10.2 2.5 4.4 5.2 -10.3 3.4 3.6 2.8 1.5 1.5 1.9 1.7 4.0 -5.6 5.7 -1.1 -20.0 -8.6 -20.0 -20.0 SP500_micro -9.9 19.5 16.8 3.9 4.4 3.7 1.0 2.2 1.5 17.0 17.2 14.0 16.1 16.8 19.3 -12.6 -10.5 -12.1 -11.5 20.0 20.0 18.0 18.0 20.0 -20.0 6.7 6.5 5.7 5.4 4.5 5.8 -8.3 20.0 18.7 14.7 12.2 4.2 -4.5 12.6 -7.1 SUGAR11 16.6 -20.0 -20.0 -0.7 7.2 -2.2 6.0 -3.1 2.2 10.3 -4.6 10.9 5.8 -4.2 -6.4 15.5 19.2 20.0 20.0 -9.4 -7.7 14.1 2.2 2.2 -20.0 -2.9 2.2 -2.0 1.5 0.9 -0.8 20.0 -3.9 8.4 -20.0 -14.6 5.1 -5.9 13.1 6.6 US10 -13.3 19.7 20.0 1.7 -1.3 1.2 -1.3 -0.4 0.3 -6.1 1.1 -7.3 -3.0 1.9 6.1 -10.0 -7.7 -8.8 -8.3 5.5 2.8 -5.0 -4.9 0.1 1.6 2.4 0.1 1.2 0.1 -1.0 1.4 -11.9 8.7 4.0 0.9 -1.0 -20.0 -20.0 -15.5 6.7 US10U -15.9 19.7 18.8 2.5 -1.8 1.7 -1.8 -0.6 0.4 -7.7 1.2 -10.6 -4.2 1.4 7.8 3.2 0.7 2.5 1.4 6.8 3.1 -8.2 -7.5 -1.4 -1.7 3.1 0.2 1.4 0.0 -1.5 1.6 3.5 11.5 3.1 0.2 -3.0 -20.0 -20.0 5.2 16.5 US2 -8.2 18.9 20.0 1.5 -1.1 1.0 -1.1 -0.4 0.2 -6.9 -0.3 -6.0 -4.8 3.2 5.5 -20.0 -20.0 -20.0 -20.0 4.9 2.1 -3.0 -5.3 1.5 8.4 2.5 -0.5 1.4 0.3 -0.9 1.7 -20.0 8.3 7.2 4.0 3.8 -17.7 -20.0 -12.7 -20.0 US20 -18.0 20.0 18.6 1.7 -1.3 1.2 -1.3 -0.4 0.3 -5.4 1.6 -7.5 -2.4 1.2 5.6 -0.3 -1.2 -0.5 -0.9 5.6 2.9 -7.1 -5.0 -1.2 -1.7 2.2 0.0 1.0 -0.1 -1.0 1.0 -0.4 7.1 1.5 1.9 -1.6 -20.0 -20.0 20.0 20.0 US30 -20.0 18.8 17.0 2.0 -1.5 1.4 -1.5 -0.5 0.3 -5.5 1.1 -8.9 -3.7 -0.7 5.4 -8.2 -4.8 -6.4 -5.7 3.9 1.8 -9.4 -6.6 -3.9 -1.3 2.0 -0.2 0.8 -0.7 -1.5 0.5 -7.0 5.2 -1.8 -1.4 -4.1 -14.9 -17.3 20.0 20.0 US5 -11.8 18.6 20.0 1.7 -1.3 1.2 -1.3 -0.4 0.3 -6.7 1.4 -6.9 -3.3 2.8 6.3 -9.7 -10.1 -9.8 -10.4 5.8 3.3 -4.4 -4.2 0.7 3.8 2.6 -0.1 1.5 0.2 -0.6 1.6 -16.1 9.0 5.9 2.0 1.5 -20.0 -20.0 -20.0 -9.0 VIX 0.5 -5.9 -19.3 -6.5 -7.3 -8.0 -5.8 -10.8 -5.7 -12.7 -20.0 -13.2 -20.0 -15.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.7 -20.0 -14.2 NaN -7.8 -7.0 -9.3 -6.0 -12.3 -6.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -9.8 5.1 2.6 -1.1 12.2 -3.8 10.2 -5.3 3.8 -8.6 -16.8 -15.2 -18.9 -7.3 -3.5 -10.8 -10.5 -10.9 -10.9 -9.8 -15.3 -12.3 -20.0 -11.7 -3.2 -3.7 1.4 -6.0 -2.3 -9.0 -3.4 -12.4 -20.0 -13.5 6.6 0.4 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3