******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240123_204011 produced at 2024-01-23 21:37:07.148986 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.27 0.0 0.09 -0.09 -0.09 -0.09 -50.92 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -2.10 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.16 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.27 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 -11.21 12.0 -9 -9 caleb_strategy_v3 CHF False False 0.05 -0.20 -0.09 0.0 0.65 -0.65 -0.20 -0.25 -1.76 13.0 -4 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -22.33 51.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.35 -0.06 0.0 0.84 -0.84 -0.35 -0.35 -1.35 19.0 -8 -8 caleb_strategy_v3 CAD False False 0.03 0.00 -0.06 0.0 0.74 -0.74 0.00 0.00 -2.21 29.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.07 -0.06 0.0 0.20 -0.20 -0.07 -0.07 -1.82 6.0 -2 -2 caleb_strategy_v3 MILK False True 0.01 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -5.60 5.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.05 0.0 0.50 -0.50 -0.12 -0.09 -1.67 17.0 -4 -3 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -1.54 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 -1.02 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 -0.13 -5.02 56.0 -17 -18 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.56 7.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -5.20 3.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.42 8.0 -3 -3 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.43 -0.43 -0.02 -0.02 -1.49 19.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.65 9.0 -4 -4 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.02 0.0 0.65 -0.65 -0.08 -0.08 -0.56 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 -0.21 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.74 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 -1.25 0.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.02 0.0 0.23 -0.23 -0.02 -0.02 -5.84 68.0 -7 -5 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.80 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 -2.67 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.02 0.0 0.44 -0.44 0.02 0.02 -0.75 21.0 1 1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.02 0.0 0.16 -0.16 -0.06 -0.06 -1.22 11.0 -4 -4 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.02 0.0 0.66 -0.66 -0.05 -0.05 -0.32 14.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.02 0.0 0.34 -0.34 -0.04 -0.04 -0.39 8.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.02 0.0 0.05 -0.05 -0.01 -0.01 -9.47 26.0 -4 -4 caleb_strategy_v3 GASOLINE False False 0.04 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.16 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.39 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 -0.31 12.0 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 0.26 -0.26 0.00 0.00 -0.10 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.16 -0.16 -0.01 -0.01 -0.35 18.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.50 -0.50 0.00 0.00 -0.09 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 -0.09 4.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.37 -0.37 0.12 0.12 0.04 9.0 3 3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.20 10.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.01 13.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.28 3.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.01 -0.00 0.0 0.01 0.00 0.01 0.01 -2.96 59.0 6 6 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.24 -0.24 0.01 0.01 1.14 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 0.18 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 1.33 13.0 2 2 caleb_strategy_v3 DX False False 0.04 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.21 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.51 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.11 -0.11 0.00 0.03 0.96 4.0 0 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.03 0.0 0.48 -0.48 0.00 0.00 0.61 10.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.12 0.03 0.0 0.28 -0.28 0.12 0.13 2.86 23.0 10 11 caleb_strategy_v3 DOW False False 0.01 0.03 0.04 0.0 0.43 -0.43 0.03 0.03 6.54 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 5.13 48.0 3 3 caleb_strategy_v3 COCOA False False 0.02 0.05 0.05 0.0 0.41 -0.41 0.05 0.05 3.09 26.0 3 3 caleb_strategy_v3 GBP False False 0.03 0.11 0.05 0.0 0.60 -0.60 0.11 0.11 1.99 22.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.06 0.0 0.12 -0.12 0.02 0.02 2.26 5.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.06 0.0 0.34 -0.34 0.25 0.24 3.70 20.0 15 14 caleb_strategy_v3 DAX False False 0.01 0.00 0.08 0.0 0.37 -0.37 0.00 0.00 13.17 58.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.35 0.10 0.0 0.40 -0.40 0.35 0.35 2.26 9.0 8 8 caleb_strategy_v3 MXP False False 0.01 0.51 0.32 0.0 0.59 -0.59 0.51 0.49 31.92 60.0 52 50 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.33 0.0 0.31 -0.31 0.29 0.29 38.08 36.0 34 34 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.37 0.55 0.0 0.92 -0.92 0.37 0.18 5.94 10.0 4 2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.52 0.73 0.0 0.55 -0.55 0.52 0.52 21.25 16.0 15 15 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.5 Shocked risk 54.9 Sum abs risk 48.1 Leverage 4.35 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2897404.08, 'annual_cash_vol_target': 724351.02, 'daily_cash_vol_target': 45271.93875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6582 0.6104 9.7660 BITCOIN 1187.6519 39505.0000 3.0063 48.1013 BOBL 0.2612 117.4500 0.2224 3.5577 BTP 0.6117 117.2300 0.5218 8.3493 BUND 0.5247 133.8700 0.3919 6.2710 BUXL 1.2741 133.8000 0.9523 15.2362 CAC 51.7836 7420.0000 0.6979 11.1663 CAD 0.0027 0.7430 0.3663 5.8609 CANOLA 6.6302 640.9000 1.0345 16.5522 CHF 0.0049 1.1546 0.4204 6.7272 COCOA 49.4634 4575.0000 1.0812 17.2987 COFFEE 3.8845 187.8500 2.0679 33.0859 COPPER 0.0412 3.8060 1.0829 17.3258 CORN 3.9314 477.0000 0.8242 13.1871 COTTON2 0.9336 85.7600 1.0886 17.4182 CRUDE_W 1.0815 71.9300 1.5036 24.0571 DAX 110.3703 16762.0000 0.6585 10.5353 DOW 200.7507 38084.0000 0.5271 8.4340 DX 0.3972 103.4000 0.3842 6.1467 EUR 0.0047 1.0870 0.4329 6.9263 EURIBOR-ICE 0.0521 97.7550 0.0533 0.8525 EUROSTX 32.4236 4498.0000 0.7208 11.5335 FEEDCOW 1.8227 244.6750 0.7449 11.9190 GASOIL 12.0355 771.7500 1.5595 24.9520 GASOLINE 0.0388 2.4356 1.5928 25.4854 GAS_US_mini 0.0953 2.1900 4.3514 69.6225 GBP 0.0061 1.2686 0.4781 7.6498 GOLD_micro 14.1673 2030.4000 0.6978 11.1642 HEATOIL 0.0386 2.5513 1.5147 24.2348 JGB-SGX-mini 0.2846 146.5200 0.1942 3.1079 JPY 0.0000 0.0068 0.6493 10.3881 LEANHOG 1.1019 77.5750 1.4204 22.7265 LIVECOW 1.2251 177.7500 0.6892 11.0274 LUMBER-new 7.4037 579.0000 1.2787 20.4592 MILK 0.1730 15.9500 1.0848 17.3572 MXP 0.0004 0.0572 0.7093 11.3490 NASDAQ_micro 131.1007 17505.7500 0.7489 11.9824 NIKKEI 311.8473 36480.0000 0.8548 13.6775 NZD 0.0038 0.6083 0.6312 10.0993 OAT 0.5329 128.4500 0.4148 6.6374 OATIES 7.5474 365.5000 2.0650 33.0393 OJ 5.9535 305.8000 1.9469 31.1498 PALLAD 25.9634 950.5000 2.7316 43.7049 PLAT 14.2320 908.7000 1.5662 25.0591 REDWHEAT 9.9168 621.5000 1.5956 25.5299 RICE 0.1649 17.7650 0.9283 14.8521 ROBUSTA 49.0718 3014.0000 1.6281 26.0501 RUSSELL 22.4748 1996.4000 1.1258 18.0123 SHATZ 0.0935 105.8450 0.0883 1.4127 SILVER-mini 0.3483 22.7750 1.5295 24.4724 SMI 68.9258 11108.0000 0.6205 9.9281 SOFR 0.0639 96.5700 0.0662 1.0590 SOYBEAN 9.4216 1205.7500 0.7814 12.5022 SOYMEAL 4.5312 359.8000 1.2594 20.1499 SOYOIL 0.6421 48.7400 1.3173 21.0772 SP400 24.2117 2783.4000 0.8699 13.9178 SP500_micro 28.7499 4893.7500 0.5875 9.3997 SUGAR11 0.3828 22.9500 1.6679 26.6864 US10 0.4036 111.2500 0.3628 5.8042 US10U 0.5465 115.3438 0.4738 7.5814 US2 0.1229 102.6211 0.1197 1.9154 US20 0.8322 119.9062 0.6940 11.1047 US30 1.2415 125.6562 0.9880 15.8077 US5 0.2714 107.7812 0.2518 4.0287 VIX 0.4389 15.5500 2.8224 45.1587 WHEAT 8.3343 640.7500 1.3007 20.8113 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.20 0.61 401.75 1.00 401.75 45271.94 112.69 -5.08 -57.28 BITCOIN 39.51 3.01 118.77 1.00 118.77 45271.94 381.19 -0.72 -27.34 BOBL 1174.50 0.22 261.15 1.09 284.74 45271.94 159.00 -8.34 -132.67 BTP 1172.30 0.52 611.75 1.09 666.99 45271.94 67.88 0.77 5.21 BUND 1338.70 0.39 524.69 1.09 572.07 45271.94 79.14 -1.12 -8.89 BUXL 1338.00 0.95 1274.13 1.09 1389.18 45271.94 32.59 -2.83 -9.23 CAC 742.00 0.70 517.84 1.09 564.60 45271.94 80.18 -1.13 -9.09 CAD 743.05 0.37 272.19 1.00 272.19 45271.94 166.33 -5.13 -85.35 CANOLA 128.18 1.03 132.60 0.74 98.63 45271.94 458.99 -20.00 -917.98 CHF 1443.25 0.42 606.81 1.00 606.81 45271.94 74.61 -9.09 -67.84 COCOA 457.50 1.08 494.63 1.00 494.63 45271.94 91.53 15.74 144.05 COFFEE 704.44 2.07 1456.68 1.00 1456.68 45271.94 31.08 -3.14 -9.77 COPPER 951.50 1.08 1030.34 1.00 1030.34 45271.94 43.94 -3.82 -16.76 CORN 238.50 0.82 196.57 1.00 196.57 45271.94 230.31 -20.00 -460.62 COTTON2 428.80 1.09 466.81 1.00 466.81 45271.94 96.98 -5.86 -56.85 CRUDE_W 719.30 1.50 1081.52 1.00 1081.52 45271.94 41.86 4.99 20.90 DAX 167.62 0.66 110.37 1.09 120.34 45271.94 376.21 10.26 386.14 DOW 190.42 0.53 100.38 1.00 100.38 45271.94 451.03 6.24 281.41 DX 1034.00 0.38 397.23 1.00 397.23 45271.94 113.97 0.71 8.07 EUR 1358.81 0.43 588.22 1.00 588.22 45271.94 76.96 -1.61 -12.36 EURIBOR-ICE 2443.88 0.05 130.21 1.09 141.97 45271.94 318.88 5.46 174.07 EUROSTX 449.80 0.72 324.24 1.09 353.51 45271.94 128.06 8.47 108.46 FEEDCOW 1223.38 0.74 911.34 1.00 911.34 45271.94 49.68 -2.35 -11.67 GASOIL 771.75 1.56 1203.55 1.00 1203.55 45271.94 37.62 5.91 22.25 GASOLINE 1022.95 1.59 1629.40 1.00 1629.40 45271.94 27.78 -1.29 -3.59 GAS_US_mini 54.75 4.35 238.24 1.00 238.24 45271.94 190.03 -4.60 -87.42 GBP 792.88 0.48 379.08 1.00 379.08 45271.94 119.43 6.44 76.88 GOLD_micro 203.04 0.70 141.67 1.00 141.67 45271.94 319.55 -4.61 -147.19 HEATOIL 1071.55 1.51 1623.04 1.00 1623.04 45271.94 27.89 4.25 11.84 JGB-SGX-mini 146520.00 0.19 28460.80 0.01 192.13 45271.94 235.63 8.33 196.24 JPY 849.69 0.65 551.67 1.00 551.67 45271.94 82.06 -7.85 -64.44 LEANHOG 310.30 1.42 440.75 1.00 440.75 45271.94 102.72 2.14 21.93 LIVECOW 711.00 0.69 490.03 1.00 490.03 45271.94 92.39 -5.03 -46.43 LUMBER-new 159.22 1.28 203.60 1.00 203.60 45271.94 222.36 -10.94 -243.32 MILK 319.00 1.08 346.06 1.00 346.06 45271.94 130.82 -20.00 -261.64 MXP 286.05 0.71 202.90 1.00 202.90 45271.94 223.13 9.75 217.44 NASDAQ_micro 350.12 0.75 262.20 1.00 262.20 45271.94 172.66 7.13 123.11 NIKKEI 36480.00 0.85 31184.73 0.01 210.52 45271.94 215.05 16.35 351.61 NZD 608.35 0.63 383.99 1.00 383.99 45271.94 117.90 -2.46 -29.06 OAT 1284.50 0.41 532.86 1.09 580.97 45271.94 77.92 2.29 17.81 OATIES 182.75 2.06 377.37 1.00 377.37 45271.94 119.97 -9.16 -109.93 OJ 458.70 1.95 893.03 1.00 893.03 45271.94 50.70 -2.56 -12.99 PALLAD 950.50 2.73 2596.34 1.00 2596.34 45271.94 17.44 -2.70 -4.71 PLAT 454.35 1.57 711.60 1.00 711.60 45271.94 63.62 0.91 5.82 REDWHEAT 310.75 1.60 495.84 1.00 495.84 45271.94 91.30 -20.00 -182.61 RICE 355.30 0.93 329.81 1.00 329.81 45271.94 137.27 -5.38 -73.83 ROBUSTA 301.40 1.63 490.72 1.00 490.72 45271.94 92.26 10.61 97.89 RUSSELL 99.82 1.13 112.37 1.00 112.37 45271.94 402.87 -4.38 -176.36 SHATZ 1058.45 0.09 93.45 1.09 101.89 45271.94 444.31 -9.24 -410.36 SILVER-mini 569.38 1.53 870.87 1.00 870.87 45271.94 51.98 -7.02 -36.51 SMI 1110.80 0.62 689.26 1.15 793.47 45271.94 57.06 11.62 66.32 SOFR 2414.25 0.07 159.79 1.00 159.79 45271.94 283.31 -1.22 -34.54 SOYBEAN 602.88 0.78 471.08 1.00 471.08 45271.94 96.10 -17.44 -167.60 SOYMEAL 359.80 1.26 453.12 1.00 453.12 45271.94 99.91 -18.75 -187.30 SOYOIL 292.44 1.32 385.24 1.00 385.24 45271.94 117.52 -12.74 -149.69 SP400 2783.40 0.87 2421.17 1.00 2421.17 45271.94 18.70 -3.31 -6.20 SP500_micro 244.69 0.59 143.75 1.00 143.75 45271.94 314.94 7.01 220.86 SUGAR11 257.04 1.67 428.72 1.00 428.72 45271.94 105.60 -1.56 -16.48 US10 1112.50 0.36 403.57 1.00 403.57 45271.94 112.18 -3.97 -44.59 US10U 1153.44 0.47 546.54 1.00 546.54 45271.94 82.83 0.09 0.74 US2 2052.42 0.12 245.70 1.00 245.70 45271.94 184.26 -5.46 -100.53 US20 1199.06 0.69 832.20 1.00 832.20 45271.94 54.40 0.56 3.06 US30 1256.56 0.99 1241.46 1.00 1241.46 45271.94 36.47 -2.23 -8.12 US5 1077.81 0.25 271.39 1.00 271.39 45271.94 166.82 -4.83 -80.53 VIX 155.50 2.82 438.89 1.00 438.89 45271.94 103.15 -20.00 -206.30 WHEAT 320.38 1.30 416.71 1.00 416.71 45271.94 108.64 -18.41 -199.99 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -57.283 0.010 2.5 -1.486 BITCOIN -27.342 0.043 2.5 -2.961 BOBL -132.667 0.004 2.5 -1.345 BTP 5.214 0.014 2.5 0.178 BUND -8.889 0.004 2.5 -0.090 BUXL -9.228 0.004 2.5 -0.094 CAC -9.089 0.014 2.5 -0.310 CAD -85.353 0.010 2.5 -2.215 CANOLA -917.977 0.010 2.5 -22.333 CHF -67.840 0.010 2.5 -1.760 COCOA 144.054 0.009 2.5 3.085 COFFEE -9.766 0.005 2.5 -0.114 COPPER -16.763 0.043 2.5 -1.815 CORN -460.617 0.010 2.5 -11.206 COTTON2 -56.846 0.009 2.5 -1.217 CRUDE_W 20.898 0.043 2.5 2.263 DAX 386.141 0.014 2.5 13.171 DOW 281.410 0.009 2.5 6.540 DX 8.071 0.010 2.5 0.209 EUR -12.360 0.010 2.5 -0.321 EURIBOR-ICE 174.069 0.014 2.5 5.937 EUROSTX 108.461 0.014 2.5 3.699 FEEDCOW -11.666 0.013 2.5 -0.387 GASOIL 22.246 0.017 2.5 0.964 GASOLINE -3.587 0.017 2.5 -0.155 GAS_US_mini -87.415 0.043 2.5 -9.466 GBP 76.876 0.010 2.5 1.995 GOLD_micro -147.187 0.014 2.5 -5.020 HEATOIL 11.845 0.017 2.5 0.513 JGB-SGX-mini 196.240 0.043 2.5 21.251 JPY -64.443 0.010 2.5 -1.672 LEANHOG 21.933 0.024 2.5 1.333 LIVECOW -46.431 0.013 2.5 -1.539 LUMBER-new -243.315 0.009 2.5 -5.199 MILK -261.642 0.009 2.5 -5.604 MXP 217.444 0.059 2.5 31.915 NASDAQ_micro 123.108 0.009 2.5 2.861 NIKKEI 351.613 0.043 2.5 38.076 NZD -29.058 0.010 2.5 -0.754 OAT 17.806 0.014 2.5 0.607 OATIES -109.930 0.010 2.5 -2.674 OJ -12.987 0.009 2.5 -0.278 PALLAD -4.708 0.014 2.5 -0.161 PLAT 5.820 0.014 2.5 0.198 REDWHEAT -182.608 0.005 2.5 -2.422 RICE -73.826 0.010 2.5 -1.796 ROBUSTA 97.893 0.005 2.5 1.143 RUSSELL -176.362 0.013 2.5 -5.844 SHATZ -410.363 0.004 2.5 -4.161 SILVER-mini -36.513 0.014 2.5 -1.245 SMI 66.319 0.014 2.5 2.262 SOFR -34.541 0.024 2.5 -2.099 SOYBEAN -167.603 0.004 2.5 -1.559 SOYMEAL -187.296 0.004 2.5 -1.742 SOYOIL -149.687 0.004 2.5 -1.393 SP400 -6.198 0.013 2.5 -0.205 SP500_micro 220.857 0.009 2.5 5.133 SUGAR11 -16.484 0.009 2.5 -0.351 US10 -44.587 0.005 2.5 -0.565 US10U 0.735 0.005 2.5 0.009 US2 -100.534 0.005 2.5 -1.274 US20 3.061 0.005 2.5 0.039 US30 -8.119 0.005 2.5 -0.103 US5 -80.528 0.005 2.5 -1.020 VIX -206.304 0.099 2.5 -50.925 WHEAT -199.993 0.005 2.5 -2.653 ===================== Position diags ===================== AUD 2.92 BITCOIN 41.28 BOBL 1.61 BTP 2.32 BUND 0.80 BUXL 0.33 CAC 2.73 CAD 4.32 CANOLA 11.17 CHF 1.94 COCOA 1.96 COFFEE 0.36 COPPER 4.76 CORN 5.60 COTTON2 2.08 CRUDE_W 4.53 DAX 12.83 DOW 10.48 DX 2.96 EUR 2.00 EURIBOR-ICE 10.88 EUROSTX 4.37 FEEDCOW 1.65 GASOIL 1.63 GASOLINE 1.20 GAS_US_mini 20.58 GBP 3.10 GOLD_micro 10.90 HEATOIL 1.21 JGB-SGX-mini 25.52 JPY 2.13 LEANHOG 6.24 LIVECOW 3.06 LUMBER-new 4.75 MILK 2.80 MXP 32.75 NASDAQ_micro 4.01 NIKKEI 23.29 NZD 3.06 OAT 2.66 OATIES 2.92 OJ 1.09 PALLAD 0.59 PLAT 2.17 REDWHEAT 1.21 RICE 3.34 ROBUSTA 1.08 RUSSELL 13.35 SHATZ 4.51 SILVER-mini 1.77 SMI 1.95 SOFR 17.22 SOYBEAN 0.89 SOYMEAL 0.93 SOYOIL 1.09 SP400 0.62 SP500_micro 7.32 SUGAR11 2.25 US10 1.42 US10U 1.05 US2 2.33 US20 0.69 US30 0.46 US5 2.11 VIX 25.46 WHEAT 1.44 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.5 -1.8 -1.2 -1.0 -1 BITCOIN -3.0 -7.1 1.2 6.0 6 BOBL -1.3 -1.5 -1.2 -8.0 -8 BTP 0.2 -0.1 0.4 1.0 1 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.3 -0.6 -0.0 0.0 0 CAD -2.2 -2.6 -1.8 0.0 0 CANOLA -22.3 -23.5 -21.2 -6.0 -6 CHF -1.8 -2.0 -1.6 -4.0 -4 COCOA 3.1 2.9 3.3 3.0 3 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -1.8 -2.3 -1.3 -2.0 -2 CORN -11.2 -11.8 -10.6 -9.0 -9 COTTON2 -1.2 -1.4 -1.0 -4.0 -4 CRUDE_W 2.3 1.8 2.7 1.0 1 DAX 13.2 11.9 14.5 0.0 0 DOW 6.5 5.5 7.6 4.0 4 DX 0.2 -0.1 0.5 NaN 0 EUR -0.3 -0.5 -0.1 -1.0 -1 EURIBOR-ICE 5.9 4.8 7.0 4.0 4 EUROSTX 3.7 3.3 4.1 15.0 15 FEEDCOW -0.4 -0.6 -0.2 -1.0 -1 GASOIL 1.0 0.8 1.1 0.0 0 GASOLINE -0.2 -0.3 -0.0 0.0 0 GAS_US_mini -9.5 -11.5 -7.4 -4.0 -4 GBP 2.0 1.7 2.3 4.0 4 GOLD_micro -5.0 -6.1 -3.9 -17.0 -17 HEATOIL 0.5 0.4 0.6 0.0 0 JGB-SGX-mini 21.3 18.7 23.8 15.0 15 JPY -1.7 -1.9 -1.5 -4.0 -4 LEANHOG 1.3 0.7 2.0 2.0 2 LIVECOW -1.5 -1.8 -1.2 0.0 0 LUMBER-new -5.2 -5.7 -4.7 NaN 0 MILK -5.6 -5.9 -5.3 NaN 0 MXP 31.9 28.6 35.2 52.0 52 NASDAQ_micro 2.9 2.5 3.3 10.0 10 NIKKEI 38.1 35.7 40.4 34.0 34 NZD -0.8 -1.1 -0.4 1.0 1 OAT 0.6 0.3 0.9 0.0 0 OATIES -2.7 -3.0 -2.4 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 -2.4 -2.5 -2.3 -3.0 -3 RICE -1.8 -2.1 -1.5 NaN 0 ROBUSTA 1.1 1.0 1.3 1.0 1 RUSSELL -5.8 -7.2 -4.5 -7.0 -7 SHATZ -4.2 -4.6 -3.7 NaN 0 SILVER-mini -1.2 -1.4 -1.1 NaN 0 SMI 2.3 2.1 2.5 8.0 8 SOFR -2.1 -3.8 -0.4 NaN 0 SOYBEAN -1.6 -1.6 -1.5 -2.0 -2 SOYMEAL -1.7 -1.8 -1.6 -3.0 -3 SOYOIL -1.4 -1.5 -1.3 -3.0 -3 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 5.1 4.4 5.9 3.0 3 SUGAR11 -0.4 -0.6 -0.1 -1.0 -1 US10 -0.6 -0.7 -0.4 -2.0 -2 US10U 0.0 -0.1 0.1 0.0 0 US2 -1.3 -1.5 -1.0 NaN 0 US20 0.0 -0.0 0.1 3.0 3 US30 -0.1 -0.1 -0.1 0.0 0 US5 -1.0 -1.2 -0.8 0.0 0 VIX -50.9 -53.5 -48.4 -17.0 -17 WHEAT -2.7 -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 1.2 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 -0.3 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.1 0.4 0.0 -0.0 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 -0.6 -0.1 0.6 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 0.4 -0.2 0.6 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 -0.2 0.4 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.1 -0.5 0.2 0.6 0.6 -0.2 0.3 0.2 0.5 BOBL -0.6 0.4 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 0.0 0.1 -0.1 -0.0 -0.1 1.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.1 -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 -0.1 0.2 -0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.2 0.0 -1.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 0.1 -0.5 -0.1 0.2 -0.5 -0.7 0.4 0.1 BUND -0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.0 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 -0.1 -0.5 -0.1 0.1 -0.7 -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 -0.1 0.1 0.0 -0.0 0.1 -0.0 -0.0 -0.0 0.2 -0.1 -0.6 -0.1 0.1 -0.7 -0.7 -0.0 0.3 CAC -0.6 0.2 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.3 -0.1 0.7 -0.1 0.1 -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 -0.4 -0.3 0.1 0.3 0.3 0.5 CAD -0.6 0.5 0.3 0.0 -0.1 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 -0.1 0.3 0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.0 0.1 -0.3 0.2 -0.4 -0.7 -0.5 -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 -0.2 -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 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.2 0.2 -0.1 -1.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.5 0.2 0.5 0.5 -0.7 -0.6 -0.6 -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 0.7 0.5 -0.0 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 -0.0 -0.0 -0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.1 0.0 -2.3 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 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.1 -1.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.3 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 -0.2 -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 -0.4 -0.2 -0.5 -0.1 0.1 COTTON2 0.5 0.1 -0.4 -0.0 0.1 -0.1 0.1 -0.2 0.1 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 -0.0 0.1 -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 0.1 0.2 -0.0 -0.6 -0.0 0.1 -0.0 0.1 0.2 0.0 -0.1 -0.2 -0.4 -0.1 0.3 0.7 0.5 0.7 0.6 DAX -0.6 0.4 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 -0.0 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.4 0.0 2.3 0.0 0.0 0.1 -0.0 0.1 0.0 -0.4 -0.4 -0.3 0.0 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 -0.0 -0.0 0.1 0.0 0.1 -2.7 -0.0 0.0 -0.1 0.1 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 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 0.3 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.0 -0.1 1.9 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.4 0.1 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 0.1 -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 -0.0 -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 0.2 0.4 -0.0 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 0.1 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 -0.3 0.2 -0.1 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 0.2 -0.2 0.2 -0.5 -0.0 0.1 -0.1 0.1 0.0 0.0 -1.1 0.3 0.2 0.3 -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 -0.2 -0.2 0.0 0.1 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.3 0.0 -0.5 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 -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 0.2 0.7 0.4 0.7 0.4 GAS_US_mini 0.6 0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.5 -0.0 -0.1 0.4 -0.4 0.2 -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 0.1 -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 0.1 -0.0 0.4 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 0.0 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 -0.5 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 0.1 0.1 0.2 0.2 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 0.0 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 0.0 0.6 0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 0.2 0.1 0.1 0.2 0.4 0.2 0.3 0.1 0.1 -0.0 0.1 0.0 -0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 1.1 0.1 0.2 -0.0 -0.1 -0.0 -0.7 0.3 0.5 JPY -0.6 0.3 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 0.1 0.2 -0.3 0.2 -0.1 0.2 -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 0.4 -0.1 0.5 0.1 LUMBER-new -0.6 0.3 0.6 -0.0 0.2 -0.1 0.2 -0.2 0.1 0.1 -0.1 -0.2 -0.6 -0.1 0.1 -0.4 -0.3 -0.3 -0.3 0.1 0.1 -0.1 -0.1 -0.1 NaN 0.0 0.1 0.1 -0.0 -0.0 -0.0 -1.1 -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 0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.5 -0.3 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.3 0.2 0.2 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.6 0.1 0.2 0.3 0.3 0.3 0.3 0.1 0.2 -0.1 0.5 0.0 -2.7 0.0 -0.1 0.2 -0.1 0.3 0.0 1.1 -0.1 0.3 -0.1 -0.1 0.5 0.7 0.7 0.7 NASDAQ_micro -0.3 0.5 0.5 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 0.0 0.1 0.1 0.2 0.1 -0.3 0.5 0.6 0.5 0.5 0.5 -0.2 0.6 -0.2 NIKKEI 0.6 0.4 0.3 0.0 0.0 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 0.0 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 0.0 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 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 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 -0.1 -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 0.1 -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 -0.3 -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 -0.2 0.0 -0.1 0.5 -0.2 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 -0.6 -0.6 0.4 0.3 0.4 0.6 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 -0.0 -0.0 -0.0 -0.0 -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 -0.0 -0.0 -0.0 0.3 -0.0 0.0 0.3 0.1 -0.3 -0.2 0.6 -0.0 REDWHEAT -0.2 0.1 -0.3 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.5 -0.1 -0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 -1.8 -0.1 0.1 -0.3 0.0 -0.3 -0.0 0.1 -0.4 -0.3 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 0.1 -0.0 0.4 -0.0 0.5 0.1 0.1 -0.3 -0.0 -0.3 -0.2 0.1 0.2 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.5 -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 -2.5 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.3 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 0.1 0.0 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.1 -0.3 0.2 -0.1 -0.7 -0.6 -0.7 -0.7 SHATZ -0.6 0.3 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 -0.1 1.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.3 -0.0 0.0 -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 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.1 -0.0 0.0 -0.7 -0.6 0.3 -0.3 SMI -0.1 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.0 0.1 1.5 0.1 -0.0 0.1 0.0 0.0 0.0 1.1 -0.5 0.4 0.2 -0.3 0.1 -0.2 0.3 -0.2 SOFR -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 0.1 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 0.2 0.0 0.0 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.6 -0.6 -0.2 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.2 0.1 -0.2 -0.2 0.2 0.3 0.3 0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.1 -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 -0.1 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.6 -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 -0.1 0.0 0.1 -0.3 -0.0 -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 -0.1 -0.1 -0.5 -0.3 -0.1 -0.1 0.2 SP400 -0.5 0.6 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.0 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 0.2 -0.1 0.2 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro -0.3 0.6 0.6 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 -0.1 0.4 -0.2 SUGAR11 0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 0.2 -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 -0.5 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 0.2 0.0 -0.0 -0.7 -0.7 -0.5 0.2 US10U -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 0.1 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 0.3 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 -0.1 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 0.1 0.1 -0.0 -0.7 -0.7 0.7 0.7 US30 -0.6 0.5 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 -0.2 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.2 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.4 0.1 -0.0 -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 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.1 -0.4 -0.1 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.3 0.1 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.5 -0.1 -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 -0.5 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 8.1 16.3 2.9 -4.3 3.8 -4.5 2.9 -1.2 -12.3 1.1 -15.9 -7.0 -10.8 5.5 -2.4 -2.8 -2.5 -2.7 2.6 4.4 -17.0 -2.8 -9.9 2.8 1.5 -4.9 2.1 -6.3 -0.5 -3.2 -1.0 -7.4 -12.2 -5.6 -1.3 -18.2 -10.2 -6.0 4.0 BITCOIN -17.8 -3.8 20.0 -4.4 -2.8 -1.9 -6.7 -0.6 -7.2 -18.5 16.0 -18.0 16.7 -3.5 13.5 -6.4 -6.3 -7.7 -7.4 11.4 19.9 -20.0 16.1 -7.6 -20.0 4.0 -9.1 7.4 -7.4 6.1 -2.6 -1.6 -20.0 5.0 20.0 20.0 -5.6 8.7 6.1 14.5 BOBL -20.0 12.7 20.0 1.7 -1.6 1.2 -1.5 -0.5 0.1 -7.2 3.7 -8.4 -1.3 -1.5 3.9 -20.0 -12.3 -20.0 -18.8 4.1 6.0 -9.9 -0.6 -4.7 7.6 1.0 -2.1 1.6 -2.6 0.1 -1.3 -20.0 -5.4 -14.2 -3.4 1.9 -20.0 -20.0 -0.7 -19.2 BTP -20.0 17.5 20.0 2.7 -2.6 1.9 -2.4 -0.7 0.1 -10.0 9.0 -12.3 7.7 2.0 9.3 4.3 6.8 5.2 5.8 13.4 14.5 -6.3 6.2 1.7 -10.9 3.3 -2.0 3.7 -1.7 1.7 0.3 12.8 6.2 -14.0 -1.6 7.2 -16.5 -20.0 11.1 1.8 BUND -20.0 14.9 20.0 1.9 -1.8 1.4 -1.7 -0.5 0.1 -8.0 4.4 -9.6 -1.6 -1.4 4.5 5.0 4.4 3.3 2.8 5.5 7.1 -10.3 -0.8 -4.6 5.3 1.2 -2.2 1.8 -2.6 0.2 -1.3 7.8 -5.3 -16.7 -3.8 2.2 -19.6 -20.0 -0.1 -8.5 BUXL -20.0 17.5 20.0 2.3 -2.2 1.7 -2.1 -0.6 0.1 -8.8 4.9 -11.6 -5.1 -1.5 5.5 -0.2 0.5 0.1 0.3 6.6 7.2 -11.5 -3.7 -4.8 1.0 1.7 -2.8 1.9 -2.8 -0.3 -1.1 2.8 -5.2 -19.0 -2.8 2.4 -20.0 -20.0 -0.7 8.2 CAC -20.0 7.1 6.3 5.0 5.3 4.6 2.4 2.8 2.4 0.6 12.9 -12.5 19.3 -5.0 13.8 -9.4 -5.0 -8.7 -7.2 6.2 9.6 -7.4 11.5 -4.7 -8.6 2.3 -0.3 3.7 -2.8 3.8 -2.0 0.2 -18.1 -20.0 -11.5 -9.9 3.0 9.2 9.8 15.5 CAD -17.6 14.9 8.2 3.9 -5.9 5.2 -6.2 4.0 -1.7 -10.4 0.4 -19.9 -4.9 -4.4 8.5 -1.7 -2.2 -2.0 -2.2 7.0 5.4 -13.0 -3.5 -4.9 1.9 3.2 -2.9 2.1 -4.8 -1.2 -1.3 0.0 4.1 -10.0 6.3 -13.8 -20.0 -16.4 -1.7 -14.2 CANOLA -10.2 -20.0 -20.0 -0.2 7.0 -2.0 6.3 -3.0 2.9 9.8 -10.0 -5.5 -8.4 -9.4 -10.9 -10.1 -1.4 -10.5 -7.7 -19.8 -20.0 -1.5 -16.0 -11.7 -20.0 -4.3 1.1 -4.5 -0.0 -3.8 -2.3 -1.3 -7.3 -18.2 -20.0 -20.0 -16.0 -13.8 -8.3 -2.5 CHF -20.0 14.0 12.2 3.3 -5.0 4.4 -5.2 3.3 -1.4 -18.9 7.9 -19.4 11.6 -5.6 10.5 -15.1 -15.5 -16.0 -15.9 10.3 13.2 -20.0 9.1 -9.9 -7.9 4.4 -7.5 4.2 -6.4 2.4 -0.6 -20.0 -20.0 5.9 16.7 15.2 -20.0 -19.1 -16.6 -20.0 COCOA -5.4 -0.1 13.0 -0.5 14.1 -4.0 12.8 -6.1 5.8 20.0 20.0 20.0 20.0 20.0 20.0 11.7 2.3 9.0 5.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 10.5 11.3 8.8 13.0 6.5 12.4 20.0 -0.5 20.0 20.0 20.0 2.2 20.0 20.0 COFFEE -12.7 6.2 20.0 -0.3 8.0 -2.3 7.3 -3.4 3.3 11.5 5.4 -2.6 -0.4 -0.4 6.5 8.4 4.7 7.9 6.1 6.3 7.3 4.6 2.5 2.0 -16.9 2.5 3.5 3.6 0.2 2.1 -0.3 15.3 -15.8 -18.3 12.6 20.0 -14.1 -20.0 -11.0 -10.3 COPPER -15.5 2.5 9.9 -4.0 -2.6 -1.8 -6.2 -0.6 -6.6 9.2 -2.1 -12.1 -3.7 -10.6 3.8 -6.6 -4.7 -6.3 -5.8 -0.7 0.3 -3.9 -3.1 -5.7 -9.1 -0.7 1.7 0.6 -4.0 -1.0 -4.5 1.2 10.8 8.7 12.1 8.1 -10.7 -7.0 11.0 -3.9 CORN -20.0 -13.8 -9.5 -0.5 14.8 -4.2 13.5 -6.4 6.1 -17.9 -20.0 -20.0 -20.0 -20.0 -20.0 -11.7 -2.9 -9.9 -7.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.8 -1.7 -6.1 -6.9 -5.2 -10.0 -2.6 -20.0 -20.0 -20.0 -12.2 -7.1 -15.7 -2.4 2.2 COTTON2 16.2 4.4 -12.7 -0.5 14.0 -4.0 12.7 -6.0 5.7 20.0 -11.9 20.0 -7.9 16.4 -8.3 -8.4 -1.5 -7.9 -5.5 1.4 -8.7 20.0 -10.2 18.1 -20.0 3.0 13.2 -1.6 13.5 -1.6 9.9 0.3 17.7 20.0 20.0 -15.2 -15.6 -16.0 -5.9 -0.0 CRUDE_W 1.2 -7.7 -10.2 -2.4 7.3 -2.4 7.0 0.9 2.6 16.3 3.7 4.5 5.8 -5.7 -14.2 6.4 9.4 7.4 8.5 -6.2 -1.4 5.8 6.6 -1.4 -4.6 -3.6 7.0 -0.5 5.3 5.4 0.2 -1.1 -6.6 -11.8 -1.8 7.9 20.0 15.3 20.0 16.8 DAX -20.0 10.9 15.2 4.7 5.0 4.3 2.3 2.7 2.3 10.2 15.8 -1.7 18.3 7.1 18.3 -15.4 -10.1 -13.9 -12.1 16.0 17.1 -0.7 13.0 3.5 17.4 4.4 2.0 4.8 -0.3 3.2 0.6 -8.3 -15.2 -9.9 0.8 4.2 1.8 6.7 11.8 20.0 DOW -13.3 20.0 20.0 4.3 4.6 4.0 2.1 2.4 2.1 14.5 18.8 10.9 17.5 18.6 20.0 -12.4 -9.7 -11.7 -10.9 20.0 20.0 12.6 20.0 20.0 -14.5 6.9 4.1 6.0 3.8 4.0 4.9 -7.2 17.5 13.7 20.0 18.0 -8.7 -3.7 -5.0 -7.4 DX 19.0 -9.4 -16.4 2.7 -4.1 3.6 -4.3 2.7 -1.1 13.3 0.7 15.5 -6.5 7.3 -6.6 5.4 6.0 5.9 6.1 -3.9 -4.5 13.8 0.7 6.5 -20.0 -2.8 5.0 -2.2 4.6 0.7 1.1 14.2 20.0 20.0 -17.6 -20.0 17.7 3.3 20.0 9.9 EUR -12.5 5.8 9.9 3.1 -4.7 4.1 -4.9 3.1 -1.3 -16.8 -0.8 -18.3 7.5 -5.8 7.9 -5.6 -6.6 -5.8 -6.1 3.1 3.7 -11.6 0.1 -5.1 14.4 3.4 -6.2 2.8 -4.5 0.5 -0.3 -7.2 4.9 5.4 -8.8 0.4 -20.0 -11.9 -17.6 -8.0 EURIBOR-ICE -20.0 16.8 20.0 1.5 -1.5 1.1 -1.4 -0.4 0.1 -5.1 5.8 -6.9 2.1 1.5 5.5 2.6 -4.9 -0.4 -3.0 9.1 11.5 -7.0 4.3 -0.8 15.6 2.0 -1.2 2.5 -1.4 1.0 -0.1 -5.4 -1.3 -9.0 3.3 11.3 -20.0 -20.0 7.1 20.0 EUROSTX -20.0 6.0 11.4 4.8 5.2 4.5 2.3 2.7 2.3 17.0 14.6 -4.6 19.5 -1.4 15.9 11.4 0.3 5.9 1.9 10.7 14.4 -0.4 14.8 0.1 2.6 3.6 3.4 5.1 -0.1 4.6 -0.4 11.8 -10.5 -14.7 -10.7 0.5 -2.2 9.2 2.2 17.4 FEEDCOW 20.0 1.9 -20.0 -0.4 11.4 -3.3 10.4 -4.9 4.7 17.2 -10.1 19.0 -3.1 16.7 -7.2 -20.0 -20.0 -20.0 -20.0 -4.3 -17.0 20.0 -6.8 17.1 -3.5 -2.1 6.8 -3.9 6.2 1.1 3.5 -20.0 11.1 5.8 8.0 -20.0 15.6 5.2 20.0 14.0 GASOIL 7.4 -6.6 -11.9 -2.1 6.4 -2.1 6.1 0.8 2.2 15.8 4.0 13.0 6.0 3.4 -9.8 20.0 20.0 18.8 19.7 -4.2 -1.4 8.5 7.7 2.5 8.4 -1.6 6.5 0.0 4.0 3.8 1.2 19.1 -9.2 -5.9 0.3 3.6 -11.5 -3.4 -20.0 -9.2 GASOLINE 8.1 1.0 -14.7 -2.5 7.4 -2.4 7.1 1.0 2.6 15.5 -2.6 16.8 4.6 11.4 -5.2 -20.0 7.9 -20.0 -10.6 -0.7 -2.8 16.0 4.3 8.6 -20.0 -1.0 8.4 -1.3 8.2 4.2 4.1 -13.7 4.8 -1.7 8.1 5.6 20.0 12.5 20.0 10.7 GAS_US_mini 18.4 0.1 -4.4 -1.4 4.3 -1.4 4.1 0.6 1.5 -10.0 -9.8 -7.8 -12.7 -3.8 -8.6 20.0 -19.1 11.7 -9.6 -10.9 -15.4 -10.3 -20.0 -7.0 17.8 -2.6 -3.6 -3.7 -1.9 -3.1 -1.0 -20.0 -20.0 2.4 -4.2 2.0 -17.3 2.5 -20.0 -1.4 GBP -4.2 8.9 10.1 3.4 -5.1 4.5 -5.4 3.4 -1.4 -2.9 1.9 -3.1 11.5 6.6 16.9 -0.1 -0.6 -0.3 -0.4 10.5 9.3 -1.5 5.1 4.3 2.2 6.3 -1.5 4.7 -0.0 1.7 3.5 2.9 17.5 20.0 3.9 4.0 -18.0 -0.8 -14.2 9.8 GOLD_micro -13.9 1.4 11.7 -3.9 -2.5 -1.7 -5.9 -0.6 -6.3 -1.9 9.1 -10.6 7.8 -4.6 10.8 -13.6 -13.9 -14.0 -14.3 3.7 6.7 -6.0 5.0 -4.1 -5.2 2.4 2.2 3.2 0.8 2.7 0.3 -14.2 20.0 19.7 19.3 20.0 -20.0 -20.0 -18.9 -15.9 HEATOIL 9.6 -5.8 -15.3 -2.3 7.0 -2.3 6.7 0.9 2.5 15.5 2.5 16.6 4.2 3.4 -10.4 20.0 20.0 20.0 20.0 -4.9 -3.3 10.5 6.0 4.1 -20.0 -0.5 5.2 0.4 6.3 5.3 3.8 20.0 -5.5 3.0 5.2 5.2 14.8 1.3 13.4 -3.1 JGB-SGX-mini 1.5 18.1 13.9 1.5 -1.4 1.1 -1.4 -0.4 0.1 -5.8 4.5 -2.6 4.6 5.4 7.0 8.1 17.9 11.4 14.0 7.4 5.6 -1.5 2.9 4.2 -3.1 2.2 -2.1 1.4 -0.6 0.3 1.2 20.0 2.3 7.7 -0.3 -1.6 -0.0 -20.0 10.1 14.6 JPY -20.0 9.0 20.0 1.6 -2.4 2.1 -2.5 1.6 -0.7 -9.2 -5.9 -10.1 -8.7 -7.2 -1.5 -14.0 -16.0 -15.4 -16.2 -3.7 -4.6 -13.1 -10.5 -9.7 20.0 -0.6 -3.4 -1.4 -4.2 -3.7 -2.6 -20.0 -8.9 -9.3 -0.6 -8.3 -11.1 -20.0 -5.8 -20.0 LEANHOG 11.2 1.3 -4.5 -1.1 11.5 -3.6 9.8 -5.1 3.6 -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 -5.2 -10.8 20.0 20.0 4.3 -11.2 -8.2 5.1 11.6 LIVECOW 18.8 -5.8 -20.0 -0.4 12.6 -3.6 11.4 -5.4 5.2 17.6 -10.8 19.2 -2.7 14.7 -9.9 -19.8 -7.1 -14.6 -11.0 -11.4 -20.0 18.4 -7.0 9.5 -0.9 -5.2 4.5 -5.5 4.1 1.0 0.5 -8.0 -3.0 -3.0 -7.4 -20.0 10.6 -3.2 16.4 2.9 LUMBER-new -15.6 8.4 15.0 -0.5 15.1 -4.2 13.8 -5.5 6.2 10.3 -2.0 -13.9 -16.5 -7.5 11.6 -16.3 -14.5 -14.5 -14.4 5.0 4.7 -6.8 -4.4 -5.7 NaN 3.0 7.8 3.1 -1.4 -0.1 -1.5 -18.4 -20.0 -20.0 6.3 20.0 -11.1 -20.0 -6.4 -20.0 MILK 7.4 -20.0 -20.0 -0.4 11.4 -3.3 10.4 -4.9 4.7 -16.1 -19.5 -17.1 -19.0 -19.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.2 -20.0 -20.0 13.7 -7.0 -2.4 -7.9 -2.4 -8.3 -4.4 -20.0 -20.0 -9.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -9.8 7.5 4.6 3.0 -4.6 4.0 -4.8 3.1 -1.3 -15.0 15.6 -12.7 18.0 5.4 15.2 15.5 16.4 15.2 15.3 10.6 14.3 -10.1 19.7 0.8 -20.0 4.5 -7.7 6.0 -5.0 8.3 0.2 20.0 -5.1 9.3 -3.7 -2.6 14.8 20.0 20.0 20.0 NASDAQ_micro -10.1 15.1 15.7 3.2 3.4 2.9 1.5 1.8 1.5 13.8 14.2 13.6 14.1 13.4 14.7 -11.7 -9.5 -11.2 -10.5 20.0 20.0 20.0 19.7 20.0 -20.0 5.6 5.2 4.9 5.5 4.6 5.5 -6.5 20.0 20.0 14.5 15.0 15.7 -4.7 19.4 -6.8 NIKKEI 20.0 13.6 8.0 4.2 4.5 3.8 2.0 2.4 2.0 16.5 19.1 19.4 19.0 19.6 19.8 18.3 12.3 15.5 13.2 20.0 20.0 20.0 20.0 20.0 -14.2 6.7 5.4 4.6 8.1 4.1 8.6 20.0 20.0 20.0 20.0 9.5 -12.2 -2.4 -2.9 1.2 NZD -20.0 8.6 16.8 2.7 -4.1 3.6 -4.2 2.7 -1.1 -15.1 4.2 -16.2 2.0 -8.0 8.1 0.4 0.3 0.3 0.2 4.4 6.7 -19.2 0.3 -9.0 0.5 2.1 -6.8 2.9 -7.0 0.7 -2.8 4.1 -16.5 -10.3 -0.7 1.9 -10.0 -10.9 -6.1 4.8 OAT -20.0 16.5 20.0 2.0 -1.9 1.5 -1.8 -0.6 0.1 -8.1 5.3 -10.0 -0.9 -0.7 5.3 4.9 6.8 5.1 5.6 7.3 8.9 -9.6 0.6 -3.5 7.3 1.7 -2.0 2.2 -2.4 0.4 -0.9 12.5 -4.0 -16.8 -2.5 4.0 -19.8 -20.0 3.5 4.1 OATIES 3.4 0.0 -20.0 -0.2 4.9 -1.4 4.5 -2.1 2.0 -0.3 -6.6 -1.2 -5.0 -1.6 -6.2 2.7 -6.2 -2.6 -6.7 -5.3 -6.8 -0.0 -4.3 -1.8 -20.0 -1.4 0.8 -2.6 1.5 -1.8 0.8 -6.2 -5.0 4.3 0.2 -14.4 -2.0 4.9 6.1 17.3 OJ -20.0 -20.0 -20.0 -0.2 7.4 -2.1 6.8 -3.2 3.0 9.8 3.9 -6.1 9.0 -10.8 -8.9 1.6 17.7 9.0 14.6 -14.1 3.6 -6.9 19.4 -17.6 -20.0 -2.2 1.0 2.2 -0.8 6.3 -3.1 20.0 -10.9 -20.0 -20.0 13.2 9.3 12.1 18.9 20.0 PALLAD -20.0 10.2 10.2 -1.7 -1.1 -0.7 -2.6 -0.2 -2.7 -2.4 -6.3 -6.5 -7.8 -6.3 -5.2 -1.6 -2.2 -1.8 -2.1 -7.6 -7.9 -7.7 -11.0 -9.2 6.9 -1.6 -0.0 -2.4 -1.0 -3.0 -1.3 6.6 5.8 -2.7 4.4 -8.9 -7.3 -7.2 -2.6 -2.4 PLAT -20.0 3.1 6.7 -2.8 -1.8 -1.2 -4.3 -0.4 -4.6 -2.9 -4.3 -10.6 -6.1 -9.0 -1.1 -3.9 -3.0 -3.7 -3.4 -4.4 -2.1 -12.2 -3.4 -11.3 12.1 -1.2 -1.1 -0.1 -3.8 -0.3 -3.7 4.7 -0.6 1.0 8.0 3.4 -8.1 -6.4 16.6 -0.0 REDWHEAT -6.0 1.9 -9.6 -0.4 11.2 -3.2 10.1 -4.8 4.6 4.4 -17.7 -7.6 -18.1 -10.7 -13.8 -3.4 -1.6 -3.8 -3.3 -16.3 -20.0 -5.6 -20.0 -11.6 -13.7 -6.5 6.2 -9.6 1.7 -9.5 -2.6 2.2 -17.7 -10.3 1.5 -18.1 -20.0 -20.0 -20.0 -15.4 RICE -5.2 1.4 9.3 -0.4 11.6 -3.3 10.6 -5.0 4.8 -5.1 15.6 -2.9 13.6 4.7 13.0 -14.6 -1.0 -14.0 -8.7 11.9 14.0 1.7 11.4 6.5 -20.0 0.2 -1.5 3.0 -0.5 3.3 -1.5 -0.3 -19.8 -20.0 -9.5 13.0 -0.1 -9.3 8.1 -0.1 ROBUSTA 6.7 17.8 6.1 -0.2 6.7 -1.9 6.1 -2.9 2.7 8.4 10.6 9.6 10.8 10.5 10.8 20.0 20.0 20.0 20.0 20.0 17.2 16.3 13.7 18.7 -18.4 4.2 2.2 3.7 2.7 3.0 3.5 20.0 11.2 16.7 20.0 20.0 -12.6 -14.7 -3.5 1.2 RUSSELL -20.0 20.0 16.6 2.6 2.8 2.4 1.3 1.5 1.3 9.7 5.2 -5.3 1.7 2.1 6.8 -6.0 -6.1 -6.2 -6.4 8.5 7.4 1.6 1.9 2.3 -2.1 2.7 3.4 2.1 1.5 0.9 1.5 -0.2 2.9 -7.9 5.7 -2.7 -20.0 -19.3 -20.0 -20.0 SHATZ -20.0 10.7 20.0 1.5 -1.4 1.1 -1.3 -0.4 0.1 -6.5 1.2 -7.3 -4.4 -1.6 2.3 -20.0 -20.0 -20.0 -20.0 1.8 2.6 -8.9 -3.3 -4.8 8.4 1.0 -2.0 1.2 -2.2 -0.5 -0.9 -20.0 -3.9 -9.5 -0.5 1.0 -18.8 -20.0 -7.2 -20.0 SILVER-mini -19.2 -8.4 1.7 -3.3 -2.1 -1.5 -5.1 -0.5 -5.4 -9.1 -2.3 -13.9 1.0 -14.3 -3.0 -6.7 -6.5 -6.9 -6.8 -7.9 -3.4 -13.4 -1.6 -13.1 5.4 -3.8 -3.6 -1.6 -5.1 -0.2 -5.5 -1.2 2.8 4.1 -1.0 0.5 -20.0 -18.1 8.1 -10.3 SMI -3.6 17.6 6.4 4.7 5.1 4.4 2.3 2.7 2.3 -2.7 5.5 5.9 4.4 17.6 20.0 12.5 5.0 9.9 6.9 13.8 7.6 1.0 0.4 8.4 11.2 6.3 -0.8 4.1 0.3 0.6 3.7 20.0 -20.0 12.4 6.4 -10.7 1.5 -6.3 9.3 -6.3 SOFR -18.9 16.6 20.0 2.1 -2.0 1.5 -1.9 -0.6 0.1 -8.2 4.7 -9.6 -0.4 0.4 7.7 2.3 0.0 1.4 0.6 7.2 6.3 -7.3 -0.9 -1.4 -2.2 3.1 -0.3 2.2 -0.3 -0.0 1.3 2.3 10.0 5.5 0.1 1.4 -20.0 -20.0 -6.4 -4.4 SOYBEAN -20.0 -20.0 -7.6 -0.4 13.6 -3.9 12.3 -5.8 5.6 10.2 -2.1 -17.9 3.5 -20.0 -20.0 10.1 16.5 13.1 14.0 -20.0 -15.9 -14.9 -6.2 -20.0 -20.0 -6.4 2.8 -2.3 -3.5 0.1 -7.7 20.0 -20.0 -20.0 -20.0 -1.7 -17.4 -20.0 -17.6 -20.0 SOYMEAL -20.0 -20.0 -4.6 -0.3 10.0 -2.9 9.1 -4.3 4.1 -8.0 -10.1 -15.3 -1.4 -16.9 -14.9 3.8 14.9 8.8 11.9 -20.0 -12.2 -17.3 -2.1 -20.0 -20.0 -5.2 -1.4 -1.8 -4.9 0.8 -6.6 20.0 -20.0 -20.0 -20.0 -0.8 -20.0 -20.0 -20.0 -19.0 SOYOIL -2.1 -9.5 -20.0 -0.3 9.5 -2.7 8.7 -4.1 3.9 5.6 -10.5 -2.1 -8.6 -12.7 -15.2 -5.7 6.3 -1.3 2.7 -15.2 -17.0 -2.1 -12.9 -9.0 -20.0 -2.5 5.2 -3.9 2.8 -3.4 0.1 14.5 -8.0 -4.2 -2.7 -15.2 -8.6 -2.3 -2.3 7.4 SP400 -15.6 20.0 15.1 3.0 3.2 2.8 1.4 1.7 1.4 10.7 8.4 -2.2 5.7 6.2 10.4 -5.3 -5.1 -5.3 -5.3 12.6 10.6 5.3 4.7 6.6 -10.5 3.6 3.6 2.9 2.3 1.6 2.3 1.7 6.5 -4.4 6.4 -0.8 -20.0 -8.6 -20.0 -20.0 SP500_micro -8.1 20.0 18.6 4.1 4.4 3.8 2.0 2.3 2.0 17.7 17.5 16.1 16.4 17.7 19.6 -12.6 -10.5 -12.1 -11.5 20.0 20.0 20.0 18.9 20.0 -20.0 6.9 6.2 5.8 5.8 4.6 6.1 -8.3 20.0 20.0 15.5 13.1 4.2 -4.5 12.8 -7.0 SUGAR11 19.2 -20.0 -20.0 -0.2 7.1 -2.0 6.5 -3.1 2.9 10.9 -4.6 11.7 6.0 -3.4 -6.1 16.0 19.2 20.0 20.0 -8.6 -7.8 15.9 2.4 4.2 -20.0 -2.8 2.4 -2.0 1.9 1.0 -0.4 20.0 -2.1 9.7 -20.0 -15.0 5.4 -5.7 13.2 6.6 US10 -14.6 18.5 20.0 1.7 -1.6 1.2 -1.5 -0.5 0.1 -7.2 1.2 -7.9 -3.0 1.2 6.0 -10.0 -7.7 -8.9 -8.3 5.2 2.7 -5.2 -5.0 -0.5 1.7 2.4 -0.3 1.2 -0.0 -1.0 1.3 -12.0 8.6 5.0 0.8 -0.8 -20.0 -20.0 -16.0 6.8 US10U -17.4 18.3 18.4 2.3 -2.3 1.7 -2.1 -0.6 0.1 -9.9 1.3 -11.4 -4.2 0.2 7.6 3.1 0.7 2.4 1.5 6.2 3.0 -8.7 -7.7 -2.3 -1.6 3.1 -0.6 1.5 -0.3 -1.5 1.4 3.5 11.2 4.4 0.2 -2.8 -20.0 -20.0 5.1 16.7 US2 -9.1 17.8 20.0 1.4 -1.4 1.0 -1.3 -0.4 0.1 -6.5 -0.1 -6.4 -4.8 2.6 5.3 -20.0 -20.0 -20.0 -20.0 4.7 2.1 -3.2 -5.3 1.0 8.5 2.5 -0.3 1.5 0.2 -0.9 1.5 -20.0 9.2 7.8 3.8 3.6 -17.8 -20.0 -12.8 -20.0 US20 -20.0 20.0 18.4 1.6 -1.6 1.2 -1.5 -0.5 0.1 -7.3 1.6 -8.1 -2.4 0.4 5.4 -0.2 -1.2 -0.5 -0.9 5.0 2.7 -7.7 -5.0 -2.1 -1.7 2.1 -0.7 1.0 -0.4 -1.1 0.8 -0.4 6.0 2.2 1.8 -1.4 -20.0 -20.0 20.0 20.0 US30 -20.0 17.0 16.5 1.9 -1.8 1.4 -1.7 -0.5 0.1 -8.1 1.1 -9.4 -3.7 -1.9 5.1 -8.6 -4.8 -6.6 -5.8 3.1 1.5 -9.9 -6.6 -4.8 -1.2 1.9 -1.2 0.8 -1.1 -1.5 0.2 -7.2 4.4 -1.0 -1.4 -4.0 -15.1 -17.3 20.0 20.0 US5 -12.9 17.7 20.0 1.6 -1.6 1.2 -1.5 -0.5 0.1 -7.3 1.6 -7.5 -3.3 1.9 6.2 -9.9 -10.2 -9.8 -10.4 5.4 3.3 -4.6 -4.2 0.2 3.9 2.7 -0.3 1.6 0.1 -0.6 1.5 -16.1 9.4 6.8 1.9 1.5 -20.0 -20.0 -20.0 -8.8 VIX -0.4 -5.7 -20.0 -6.5 -9.9 -7.7 -7.6 -10.1 -6.4 -17.6 -20.0 -16.4 -20.0 -16.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.0 -20.0 -16.4 NaN -7.8 -9.4 -8.9 -7.7 -11.5 -7.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -9.8 4.4 2.8 -0.4 11.9 -3.4 10.8 -5.1 4.9 -4.4 -17.2 -13.0 -19.3 -8.0 -3.8 -11.0 -10.5 -11.0 -11.0 -10.0 -15.8 -8.7 -20.0 -10.8 -3.2 -3.4 4.5 -6.0 -0.1 -9.1 -2.4 -12.2 -20.0 -14.4 6.7 -0.2 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3