******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240130_204009 produced at 2024-01-30 21:37:17.005534 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.29 0.0 0.09 -0.09 -0.09 -0.09 -53.49 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -2.58 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 -4.28 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.60 13.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.09 0.0 0.10 -0.10 -0.08 -0.08 -10.43 12.0 -10 -10 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.08 0.0 0.65 -0.65 -0.25 -0.25 -1.60 13.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.16 -0.16 -0.02 -0.02 -21.39 51.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.39 -0.06 0.0 0.83 -0.83 -0.39 -0.39 -1.27 19.0 -9 -9 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.06 0.0 0.49 -0.49 -0.03 0.00 -2.14 17.0 -1 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.08 -0.05 0.0 0.39 -0.39 -0.08 -0.13 -7.43 56.0 -12 -19 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -3.86 5.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.04 0.0 0.92 -0.92 -0.15 -0.04 -1.21 25.0 -4 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.43 -0.43 -0.02 0.00 -1.41 19.0 -1 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.38 8.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.40 7.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.03 0.0 0.05 -0.05 -0.01 -0.02 -18.17 26.0 -4 -10 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.03 0.0 0.65 -0.65 -0.14 -0.14 -0.64 14.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.63 9.0 -4 -4 caleb_strategy_v3 CAD False False 0.03 0.00 -0.03 0.0 0.74 -0.74 0.00 0.00 -1.03 29.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.23 -0.23 -0.01 -0.00 -4.47 68.0 -4 -1 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.02 0.0 0.65 -0.65 -0.08 -0.04 -0.64 17.0 -2 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.92 0.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.00 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.71 10.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 0.00 -1.55 9.0 -1 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.01 0.0 0.16 -0.16 -0.04 -0.04 -0.90 11.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.47 3.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.44 -0.44 0.00 0.00 -0.68 21.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.14 2.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.00 0.0 0.50 -0.50 -0.05 -0.05 -0.01 10.0 -1 -1 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 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.16 -0.16 -0.01 0.00 -0.08 18.0 -1 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.51 -0.51 0.00 0.04 0.05 13.0 0 1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.37 -0.37 0.12 0.12 0.05 9.0 3 3 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 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 -0.03 -0.15 2.0 0 -1 caleb_strategy_v3 OJ False False 0.02 0.00 0.00 0.0 0.05 -0.05 0.00 0.00 0.22 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 -0.07 0.00 0.0 0.42 -0.42 -0.07 -0.02 0.14 17.0 -3 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.08 6.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.01 0.0 0.09 -0.09 0.00 0.02 5.18 59.0 0 15 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.41 10.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.50 4.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.01 0.0 0.14 -0.14 0.00 0.04 0.15 4.0 0 1 caleb_strategy_v3 DX False False 0.04 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.17 0.02 0.0 0.34 -0.34 0.17 0.21 0.47 8.0 4 5 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.25 -0.25 0.01 0.02 1.64 23.0 1 2 caleb_strategy_v3 COPPER False False 0.03 0.03 0.02 0.0 0.20 -0.20 0.03 0.03 0.63 6.0 1 1 caleb_strategy_v3 BTP False False 0.04 0.00 0.03 0.0 0.44 -0.44 0.00 0.04 0.69 10.0 0 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.11 -0.11 0.00 0.00 0.95 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.06 1.73 4.0 1 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.19 0.05 0.0 0.28 -0.28 0.19 0.19 3.85 23.0 16 16 caleb_strategy_v3 CAC False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.69 12.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.05 0.05 0.0 0.42 -0.42 0.05 0.06 2.99 26.0 3 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.05 0.0 0.48 -0.48 0.00 0.00 0.96 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.11 0.06 0.0 0.60 -0.60 0.11 0.11 2.20 22.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.06 0.0 0.15 -0.15 0.05 0.05 5.16 13.0 4 4 caleb_strategy_v3 DOW False False 0.01 0.07 0.06 0.0 0.43 -0.43 0.07 0.06 9.31 66.0 10 9 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.07 0.0 0.41 -0.41 0.03 0.03 7.85 48.0 3 3 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.11 0.0 0.13 -0.13 0.05 0.05 4.23 5.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.11 0.0 0.35 -0.35 0.29 0.31 6.65 20.0 17 18 caleb_strategy_v3 DAX False False 0.01 0.00 0.12 0.0 0.37 -0.37 0.00 0.00 18.84 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.41 0.13 0.0 0.41 -0.41 0.41 0.41 2.80 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.28 0.0 0.30 -0.30 0.29 0.27 34.07 36.0 35 33 caleb_strategy_v3 MXP False False 0.01 0.46 0.39 0.0 0.59 -0.59 0.46 0.46 39.47 60.0 47 47 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 0.50 0.0 0.54 -0.54 0.41 0.41 14.84 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.59 0.0 0.90 -0.90 0.00 0.18 6.53 10.0 0 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.9 Shocked risk 68.3 Sum abs risk 52.3 Leverage 4.55 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2932297.4, 'annual_cash_vol_target': 733074.35, 'daily_cash_vol_target': 45817.146875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6614 0.5759 9.2140 BITCOIN 1183.3346 43865.0000 2.6977 43.1628 BOBL 0.2589 117.9700 0.2195 3.5116 BTP 0.6057 118.3000 0.5120 8.1916 BUND 0.5138 134.8400 0.3810 6.0967 BUXL 1.2113 135.3600 0.8949 14.3183 CAC 58.3399 7702.5000 0.7574 12.1186 CAD 0.0027 0.7469 0.3663 5.8603 CANOLA 7.0073 620.0000 1.1302 18.0834 CHF 0.0051 1.1664 0.4349 6.9576 COCOA 57.6368 4732.0000 1.2180 19.4883 COFFEE 3.7957 190.5500 1.9920 31.8718 COPPER 0.0402 3.9145 1.0275 16.4400 CORN 4.2761 480.5000 0.8899 14.2389 COTTON2 0.9327 86.0000 1.0845 17.3518 CRUDE_W 1.0326 74.4600 1.3867 22.1877 DAX 111.5295 17074.0000 0.6532 10.4514 DOW 186.0830 38605.0000 0.4820 7.7123 DX 0.3751 103.2150 0.3634 5.8145 EUR 0.0045 1.0866 0.4112 6.5794 EURIBOR-ICE 0.0517 97.8550 0.0528 0.8448 EUROSTX 36.1085 4684.0000 0.7709 12.3342 FEEDCOW 1.8068 251.9250 0.7172 11.4750 GASOIL 13.1424 812.0000 1.6185 25.8964 GASOLINE 0.0384 2.5131 1.5269 24.4312 GAS_US_mini 0.0945 2.1200 4.4592 71.3475 GBP 0.0057 1.2697 0.4470 7.1524 GOLD_micro 13.4245 2054.0000 0.6536 10.4573 HEATOIL 0.0391 2.6551 1.4716 23.5456 JGB-SGX-mini 0.2822 146.3800 0.1928 3.0842 JPY 0.0000 0.0068 0.6160 9.8554 LEANHOG 1.1246 84.4000 1.3324 21.3185 LIVECOW 1.1776 181.6750 0.6482 10.3709 LUMBER-new 7.1636 589.5000 1.2152 19.4433 MILK 0.1996 17.3000 1.1535 18.4561 MXP 0.0004 0.0579 0.6734 10.7749 NASDAQ_micro 127.6641 17579.2500 0.7262 11.6195 NIKKEI 308.9871 35955.0000 0.8594 13.7499 NZD 0.0037 0.6131 0.5963 9.5414 OAT 0.5240 129.5100 0.4046 6.4742 OATIES 7.3091 372.2500 1.9635 31.4158 OJ 6.8144 344.2000 1.9798 31.6763 PALLAD 25.2202 982.5000 2.5669 41.0711 PLAT 14.4823 933.1000 1.5521 24.8330 REDWHEAT 9.8078 627.7500 1.5624 24.9979 RICE 0.1631 18.4550 0.8838 14.1410 ROBUSTA 43.9770 3181.0000 1.3825 22.1199 RUSSELL 21.6507 2005.5000 1.0796 17.2730 SHATZ 0.0923 106.0050 0.0871 1.3934 SILVER-mini 0.3334 23.4375 1.4226 22.7619 SMI 73.2613 11378.0000 0.6439 10.3022 SOFR 0.0620 96.6100 0.0642 1.0267 SOYBEAN 10.3278 1198.5000 0.8617 13.7877 SOYMEAL 4.9337 361.9000 1.3633 21.8126 SOYOIL 0.6734 46.5700 1.4460 23.1356 SP400 22.7260 2798.4000 0.8121 12.9937 SP500_micro 26.7386 4953.5000 0.5398 8.6367 SUGAR11 0.3739 23.1400 1.6159 25.8538 US10 0.3861 111.6094 0.3459 5.5346 US10U 0.5256 116.0156 0.4530 7.2482 US2 0.1188 102.6641 0.1157 1.8519 US20 0.7977 121.2500 0.6579 10.5267 US30 1.1881 127.9062 0.9289 14.8626 US5 0.2613 107.8672 0.2422 3.8755 VIX 0.4229 15.7500 2.6851 42.9610 WHEAT 8.4016 644.2500 1.3041 20.8654 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.45 0.58 380.91 1.00 380.91 45817.15 120.28 -4.53 -54.53 BITCOIN 43.86 2.70 118.33 1.00 118.33 45817.15 387.19 1.24 47.84 BOBL 1179.70 0.22 258.91 1.08 280.78 45817.15 163.18 -7.65 -124.89 BTP 1183.00 0.51 605.67 1.08 656.82 45817.15 69.76 2.91 20.27 BUND 1348.40 0.38 513.80 1.08 557.19 45817.15 82.23 -0.06 -0.50 BUXL 1353.60 0.89 1211.32 1.08 1313.62 45817.15 34.88 -2.27 -7.90 CAC 770.25 0.76 583.40 1.08 632.67 45817.15 72.42 6.85 49.64 CAD 746.90 0.37 273.57 1.00 273.57 45817.15 167.48 -2.37 -39.75 CANOLA 124.00 1.13 140.15 0.74 104.24 45817.15 439.53 -20.00 -879.07 CHF 1457.94 0.43 633.99 1.00 633.99 45817.15 72.27 -8.54 -61.73 COCOA 473.20 1.22 576.37 1.00 576.37 45817.15 79.49 17.54 139.42 COFFEE 714.56 1.99 1423.40 1.00 1423.40 45817.15 32.19 -2.03 -6.52 COPPER 978.62 1.03 1005.54 1.00 1005.54 45817.15 45.56 1.28 5.85 CORN 240.25 0.89 213.81 1.00 213.81 45817.15 214.29 -20.00 -428.59 COTTON2 430.00 1.08 466.33 1.00 466.33 45817.15 98.25 -4.30 -42.23 CRUDE_W 744.60 1.39 1032.56 1.00 1032.56 45817.15 44.37 8.81 39.10 DAX 170.74 0.65 111.53 1.08 120.95 45817.15 378.82 14.58 552.26 DOW 193.02 0.48 93.04 1.00 93.04 45817.15 492.44 8.14 400.62 DX 1032.15 0.36 375.09 1.00 375.09 45817.15 122.15 1.42 17.33 EUR 1358.31 0.41 558.55 1.00 558.55 45817.15 82.03 -3.02 -24.75 EURIBOR-ICE 2446.38 0.05 129.16 1.08 140.07 45817.15 327.10 5.86 191.55 EUROSTX 468.40 0.77 361.08 1.08 391.58 45817.15 117.01 16.68 195.11 FEEDCOW 1259.62 0.72 903.39 1.00 903.39 45817.15 50.72 2.79 14.14 GASOIL 812.00 1.62 1314.24 1.00 1314.24 45817.15 34.86 11.47 39.97 GASOLINE 1055.50 1.53 1611.70 1.00 1611.70 45817.15 28.43 1.23 3.49 GAS_US_mini 53.00 4.46 236.34 1.00 236.34 45817.15 193.86 -8.66 -167.79 GBP 793.56 0.45 354.74 1.00 354.74 45817.15 129.16 6.58 84.98 GOLD_micro 205.40 0.65 134.25 1.00 134.25 45817.15 341.29 -6.38 -217.86 HEATOIL 1115.14 1.47 1641.04 1.00 1641.04 45817.15 27.92 7.86 21.93 JGB-SGX-mini 146380.00 0.19 28216.34 0.01 190.82 45817.15 240.11 5.71 137.01 JPY 853.06 0.62 525.45 1.00 525.45 45817.15 87.20 -9.48 -82.64 LEANHOG 337.60 1.33 449.82 1.00 449.82 45817.15 101.86 8.34 84.96 LIVECOW 726.70 0.65 471.03 1.00 471.03 45817.15 97.27 0.42 4.13 LUMBER-new 162.11 1.22 197.00 1.00 197.00 45817.15 232.57 -4.97 -115.66 MILK 346.00 1.15 399.11 1.00 399.11 45817.15 114.80 -15.68 -180.06 MXP 289.35 0.67 194.86 1.00 194.86 45817.15 235.13 11.44 268.91 NASDAQ_micro 351.58 0.73 255.33 1.00 255.33 45817.15 179.44 9.23 165.68 NIKKEI 35955.00 0.86 30898.71 0.01 208.96 45817.15 219.26 14.35 314.58 NZD 613.10 0.60 365.62 1.00 365.62 45817.15 125.31 -2.08 -26.09 OAT 1295.10 0.40 524.04 1.08 568.30 45817.15 80.62 3.50 28.20 OATIES 186.12 1.96 365.45 1.00 365.45 45817.15 125.37 -9.82 -123.14 OJ 516.30 1.98 1022.15 1.00 1022.15 45817.15 44.82 2.33 10.43 PALLAD 982.50 2.57 2522.02 1.00 2522.02 45817.15 18.17 -2.39 -4.34 PLAT 466.55 1.55 724.12 1.00 724.12 45817.15 63.27 1.89 11.95 REDWHEAT 313.88 1.56 490.39 1.00 490.39 45817.15 93.43 -19.22 -179.53 RICE 369.10 0.88 326.22 1.00 326.22 45817.15 140.45 1.46 20.56 ROBUSTA 318.10 1.38 439.77 1.00 439.77 45817.15 104.18 13.51 140.80 RUSSELL 100.28 1.08 108.25 1.00 108.25 45817.15 423.24 -3.19 -134.97 SHATZ 1060.05 0.09 92.32 1.08 100.11 45817.15 457.65 -9.21 -421.68 SILVER-mini 585.94 1.42 833.57 1.00 833.57 45817.15 54.97 -4.93 -27.10 SMI 1137.80 0.64 732.61 1.16 848.77 45817.15 53.98 15.21 82.11 SOFR 2415.25 0.06 154.99 1.00 154.99 45817.15 295.62 -1.44 -42.46 SOYBEAN 599.25 0.86 516.39 1.00 516.39 45817.15 88.73 -16.96 -150.47 SOYMEAL 361.90 1.36 493.37 1.00 493.37 45817.15 92.87 -17.95 -166.73 SOYOIL 279.42 1.45 404.03 1.00 404.03 45817.15 113.40 -16.16 -183.22 SP400 2798.40 0.81 2272.60 1.00 2272.60 45817.15 20.16 -2.03 -4.09 SP500_micro 247.68 0.54 133.69 1.00 133.69 45817.15 342.70 9.86 337.79 SUGAR11 259.17 1.62 418.78 1.00 418.78 45817.15 109.41 -0.34 -3.68 US10 1116.09 0.35 386.07 1.00 386.07 45817.15 118.67 -4.24 -50.31 US10U 1160.16 0.45 525.56 1.00 525.56 45817.15 87.18 0.44 3.84 US2 2053.28 0.12 237.65 1.00 237.65 45817.15 192.79 -6.55 -126.24 US20 1212.50 0.66 797.73 1.00 797.73 45817.15 57.43 0.73 4.17 US30 1279.06 0.93 1188.14 1.00 1188.14 45817.15 38.56 -2.09 -8.04 US5 1078.67 0.24 261.28 1.00 261.28 45817.15 175.36 -5.44 -95.48 VIX 157.50 2.69 422.90 1.00 422.90 45817.15 108.34 -20.00 -216.68 WHEAT 322.12 1.30 420.08 1.00 420.08 45817.15 109.07 -18.17 -198.13 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -54.528 0.010 2.5 -1.415 BITCOIN 47.840 0.043 2.5 5.181 BOBL -124.885 0.004 2.5 -1.266 BTP 20.269 0.014 2.5 0.691 BUND -0.496 0.004 2.5 -0.005 BUXL -7.902 0.004 2.5 -0.080 CAC 49.636 0.014 2.5 1.693 CAD -39.753 0.010 2.5 -1.031 CANOLA -879.067 0.010 2.5 -21.387 CHF -61.733 0.010 2.5 -1.602 COCOA 139.422 0.009 2.5 2.986 COFFEE -6.519 0.005 2.5 -0.076 COPPER 5.847 0.043 2.5 0.633 CORN -428.587 0.010 2.5 -10.427 COTTON2 -42.235 0.009 2.5 -0.905 CRUDE_W 39.102 0.043 2.5 4.234 DAX 552.259 0.014 2.5 18.837 DOW 400.621 0.009 2.5 9.311 DX 17.325 0.010 2.5 0.450 EUR -24.749 0.010 2.5 -0.642 EURIBOR-ICE 191.545 0.014 2.5 6.533 EUROSTX 195.110 0.014 2.5 6.655 FEEDCOW 14.144 0.013 2.5 0.469 GASOIL 39.970 0.017 2.5 1.733 GASOLINE 3.492 0.017 2.5 0.151 GAS_US_mini -167.793 0.043 2.5 -18.170 GBP 84.977 0.010 2.5 2.205 GOLD_micro -217.857 0.014 2.5 -7.431 HEATOIL 21.935 0.017 2.5 0.951 JGB-SGX-mini 137.008 0.043 2.5 14.836 JPY -82.642 0.010 2.5 -2.144 LEANHOG 84.960 0.024 2.5 5.163 LIVECOW 4.130 0.013 2.5 0.137 LUMBER-new -115.662 0.009 2.5 -2.472 MILK -180.057 0.009 2.5 -3.856 MXP 268.908 0.059 2.5 39.469 NASDAQ_micro 165.679 0.009 2.5 3.850 NIKKEI 314.582 0.043 2.5 34.066 NZD -26.090 0.010 2.5 -0.677 OAT 28.205 0.014 2.5 0.962 OATIES -123.137 0.010 2.5 -2.996 OJ 10.433 0.009 2.5 0.223 PALLAD -4.344 0.014 2.5 -0.148 PLAT 11.949 0.014 2.5 0.408 REDWHEAT -179.534 0.005 2.5 -2.382 RICE 20.557 0.010 2.5 0.500 ROBUSTA 140.796 0.005 2.5 1.644 RUSSELL -134.968 0.013 2.5 -4.473 SHATZ -421.680 0.004 2.5 -4.276 SILVER-mini -27.104 0.014 2.5 -0.924 SMI 82.108 0.014 2.5 2.801 SOFR -42.463 0.024 2.5 -2.581 SOYBEAN -150.473 0.004 2.5 -1.399 SOYMEAL -166.725 0.004 2.5 -1.551 SOYOIL -183.218 0.004 2.5 -1.706 SP400 -4.094 0.013 2.5 -0.136 SP500_micro 337.792 0.009 2.5 7.850 SUGAR11 -3.680 0.009 2.5 -0.078 US10 -50.314 0.005 2.5 -0.638 US10U 3.844 0.005 2.5 0.049 US2 -126.240 0.005 2.5 -1.600 US20 4.168 0.005 2.5 0.053 US30 -8.045 0.005 2.5 -0.102 US5 -95.482 0.005 2.5 -1.210 VIX -216.682 0.099 2.5 -53.487 WHEAT -198.125 0.005 2.5 -2.628 ===================== Position diags ===================== AUD 3.12 BITCOIN 41.93 BOBL 1.65 BTP 2.38 BUND 0.83 BUXL 0.35 CAC 2.47 CAD 4.35 CANOLA 10.69 CHF 1.88 COCOA 1.70 COFFEE 0.38 COPPER 4.93 CORN 5.21 COTTON2 2.10 CRUDE_W 4.81 DAX 12.92 DOW 11.44 DX 3.17 EUR 2.13 EURIBOR-ICE 11.16 EUROSTX 3.99 FEEDCOW 1.68 GASOIL 1.51 GASOLINE 1.23 GAS_US_mini 20.99 GBP 3.35 GOLD_micro 11.64 HEATOIL 1.21 JGB-SGX-mini 26.00 JPY 2.26 LEANHOG 6.19 LIVECOW 3.22 LUMBER-new 4.97 MILK 2.46 MXP 34.51 NASDAQ_micro 4.17 NIKKEI 23.74 NZD 3.25 OAT 2.75 OATIES 3.05 OJ 0.96 PALLAD 0.62 PLAT 2.16 REDWHEAT 1.24 RICE 3.42 ROBUSTA 1.22 RUSSELL 14.03 SHATZ 4.64 SILVER-mini 1.87 SMI 1.84 SOFR 17.97 SOYBEAN 0.83 SOYMEAL 0.86 SOYOIL 1.06 SP400 0.67 SP500_micro 7.96 SUGAR11 2.33 US10 1.50 US10U 1.10 US2 2.44 US20 0.73 US30 0.49 US5 2.22 VIX 26.74 WHEAT 1.45 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.4 -1.7 -1.1 -1.0 -1 BITCOIN 5.2 1.0 9.4 0.0 0 BOBL -1.3 -1.4 -1.1 -9.0 -9 BTP 0.7 0.5 0.9 0.0 0 BUND -0.0 -0.1 0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 1.7 1.4 1.9 0.0 0 CAD -1.0 -1.5 -0.6 0.0 0 CANOLA -21.4 -22.5 -20.3 -6.0 -6 CHF -1.6 -1.8 -1.4 -5.0 -5 COCOA 3.0 2.8 3.2 3.0 3 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER 0.6 0.1 1.1 1.0 1 CORN -10.4 -10.9 -9.9 -10.0 -10 COTTON2 -0.9 -1.1 -0.7 -3.0 -3 CRUDE_W 4.2 3.8 4.7 2.0 2 DAX 18.8 17.5 20.1 0.0 0 DOW 9.3 8.2 10.5 10.0 10 DX 0.4 0.1 0.8 NaN 0 EUR -0.6 -0.9 -0.4 -3.0 -3 EURIBOR-ICE 6.5 5.4 7.6 0.0 0 EUROSTX 6.7 6.3 7.1 17.0 17 FEEDCOW 0.5 0.3 0.6 4.0 4 GASOIL 1.7 1.6 1.9 1.0 1 GASOLINE 0.2 0.0 0.3 0.0 0 GAS_US_mini -18.2 -20.3 -16.1 -4.0 -4 GBP 2.2 1.9 2.5 4.0 4 GOLD_micro -7.4 -8.6 -6.3 -12.0 -12 HEATOIL 1.0 0.8 1.1 0.0 0 JGB-SGX-mini 14.8 12.2 17.4 12.0 12 JPY -2.1 -2.4 -1.9 -1.0 -1 LEANHOG 5.2 4.5 5.8 4.0 4 LIVECOW 0.1 -0.2 0.5 -3.0 -3 LUMBER-new -2.5 -3.0 -2.0 NaN 0 MILK -3.9 -4.1 -3.6 NaN 0 MXP 39.5 36.0 42.9 47.0 47 NASDAQ_micro 3.9 3.4 4.3 16.0 16 NIKKEI 34.1 31.7 36.4 35.0 35 NZD -0.7 -1.0 -0.4 0.0 0 OAT 1.0 0.7 1.2 0.0 0 OATIES -3.0 -3.3 -2.7 NaN 0 OJ 0.2 0.1 0.3 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -2.4 -2.5 -2.3 -3.0 -3 RICE 0.5 0.2 0.8 NaN 0 ROBUSTA 1.6 1.5 1.8 1.0 1 RUSSELL -4.5 -5.9 -3.1 -4.0 -4 SHATZ -4.3 -4.7 -3.8 NaN 0 SILVER-mini -0.9 -1.1 -0.7 NaN 0 SMI 2.8 2.6 3.0 9.0 9 SOFR -2.6 -4.4 -0.8 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -2.0 -2 SOYMEAL -1.6 -1.6 -1.5 -1.0 -1 SOYOIL -1.7 -1.8 -1.6 -3.0 -3 SP400 -0.1 -0.2 -0.1 0.0 0 SP500_micro 7.9 7.1 8.6 3.0 3 SUGAR11 -0.1 -0.3 0.2 -1.0 -1 US10 -0.6 -0.8 -0.5 -2.0 -2 US10U 0.0 -0.1 0.2 0.0 0 US2 -1.6 -1.8 -1.4 NaN 0 US20 0.1 -0.0 0.1 3.0 3 US30 -0.1 -0.2 -0.1 0.0 0 US5 -1.2 -1.4 -1.0 -4.0 -4 VIX -53.5 -56.2 -50.8 -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 1.2 1.0 3.1 1.2 4.2 1.2 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 1.2 1.0 3.1 1.2 4.2 1.2 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 0.1 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.3 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.1 0.4 0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.4 -0.2 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN -0.6 -0.1 0.5 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 0.4 -0.1 0.6 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 0.0 0.4 -0.0 -2.7 0.0 0.1 0.2 0.0 0.2 -0.0 -0.1 -0.4 0.1 0.6 0.6 -0.2 0.2 0.2 0.4 BOBL -0.6 0.1 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 -0.0 -0.0 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.1 -0.0 -0.0 -0.0 1.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -1.1 0.1 -0.2 -0.2 0.0 -0.7 -0.7 0.0 -0.7 BTP -0.6 0.4 0.6 0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 0.3 -0.0 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 0.0 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.7 0.2 0.1 -0.0 0.3 -0.6 -0.7 0.4 0.0 BUND -0.6 0.2 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 -0.0 -0.0 0.7 0.0 0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 -0.2 -0.2 0.0 -0.7 -0.7 0.0 -0.3 BUXL -0.6 0.2 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 -0.2 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.3 -0.2 0.1 -0.7 -0.7 0.0 0.2 CAC -0.2 0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.1 0.1 0.1 0.2 0.3 0.2 -1.1 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.4 -0.0 -0.2 -0.3 0.1 0.3 0.3 0.5 CAD -0.5 0.3 0.3 0.0 0.0 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 -0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 -0.0 0.2 0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.3 -0.1 0.2 -0.4 -0.7 -0.5 -0.1 -0.5 CANOLA 0.1 -0.6 -0.6 0.0 0.1 -0.0 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 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 -0.6 -0.6 -0.6 -0.6 -0.5 -0.3 -0.1 CHF -0.6 0.3 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.4 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.2 -0.1 -1.0 0.0 0.0 0.1 -0.0 0.1 0.0 -1.1 -0.2 -0.3 0.4 0.5 -0.7 -0.6 -0.6 -0.7 COCOA 0.4 -0.2 0.2 0.0 0.1 -0.0 0.1 -0.1 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 0.1 0.3 0.1 0.4 0.1 0.8 0.5 0.5 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.2 0.1 0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.2 0.1 0.0 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 0.9 -0.1 -0.6 0.1 0.6 -0.4 -0.7 -0.4 -0.4 COPPER -0.2 0.1 0.4 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.1 -1.3 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 0.4 0.5 0.5 0.3 -0.4 -0.2 0.4 -0.1 CORN -0.4 -0.4 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 -0.2 -0.6 -0.1 0.1 COTTON2 0.6 0.3 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.2 0.2 -0.2 0.2 -0.0 -0.2 -0.0 -0.2 -0.1 0.1 -0.0 0.2 -0.2 0.2 -2.7 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.6 0.6 -0.5 -0.5 -0.5 -0.2 -0.0 CRUDE_W 0.3 -0.1 -0.3 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.2 0.1 -0.1 0.1 0.2 0.2 0.2 0.0 0.0 0.2 0.2 0.1 -0.6 0.0 0.1 0.0 0.1 0.2 0.1 -0.1 -0.1 -0.4 -0.2 0.2 0.7 0.5 0.7 0.6 DAX -0.3 0.1 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 2.3 0.1 0.1 0.1 0.1 0.1 0.0 -0.5 0.0 -0.0 -0.1 0.2 0.0 0.2 0.4 0.7 DOW -0.2 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.1 0.2 0.1 0.2 0.1 -0.4 0.5 0.6 0.6 0.6 -0.3 -0.1 -0.1 -0.3 DX 0.6 -0.1 -0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 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 0.0 0.0 0.0 0.8 0.2 0.6 -0.3 -0.6 0.7 0.1 0.7 0.3 EUR -0.4 0.1 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 0.3 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 2.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.4 -0.3 -0.0 -0.2 0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 0.3 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.2 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.0 -0.0 0.1 0.1 0.0 0.1 0.0 2.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.3 0.1 -0.1 0.0 0.3 -0.7 -0.7 0.2 0.7 EUROSTX -0.1 0.0 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.7 0.2 0.2 0.2 0.0 0.1 0.1 0.2 0.2 0.2 0.4 0.2 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.4 -0.1 0.1 -0.1 0.3 0.0 0.6 FEEDCOW 0.6 0.5 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 -0.2 0.2 -0.1 0.2 -0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 0.2 -0.1 0.2 -0.6 0.0 0.1 -0.0 0.1 0.0 0.1 -1.1 0.5 0.6 0.6 -0.6 0.6 0.2 0.7 0.5 GASOIL 0.6 0.1 -0.4 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.2 0.1 -0.0 0.4 0.4 0.4 0.4 0.1 0.0 0.2 0.2 0.2 1.1 0.0 0.1 0.0 0.1 0.1 0.1 1.1 0.2 0.1 0.1 0.1 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.6 0.2 -0.4 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 0.2 0.2 0.0 -0.4 0.2 -0.4 -0.2 0.1 0.0 0.2 0.1 0.2 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 -0.7 -0.0 -0.2 0.1 0.3 0.7 0.4 0.7 0.4 GAS_US_mini 0.1 0.1 -0.4 0.0 0.0 -0.0 0.1 0.0 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 0.4 -0.4 0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.3 -0.2 -0.5 0.1 -0.7 -0.1 GBP -0.1 0.2 0.4 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.0 0.1 0.0 0.5 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.2 0.0 0.3 0.1 -0.0 0.2 0.0 0.1 0.0 0.2 0.1 0.6 0.2 0.2 -0.7 -0.0 -0.6 0.3 GOLD_micro -0.4 0.0 0.3 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 0.3 -0.1 0.3 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.0 0.1 -0.0 -0.7 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.3 0.4 0.4 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.6 0.1 -0.5 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.2 0.2 -0.1 0.4 0.4 0.4 0.4 0.0 -0.0 0.2 0.2 0.2 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 1.1 -0.0 0.1 0.2 0.2 0.5 0.1 0.4 -0.1 JGB-SGX-mini -0.3 0.4 0.5 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 0.0 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 -0.2 0.1 -0.1 -0.1 -0.0 -0.7 0.3 0.5 JPY -0.6 -0.0 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.5 -0.1 -0.3 -0.4 -0.7 -0.2 -0.7 LEANHOG 0.6 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 -0.1 0.2 -0.5 0.2 0.1 -0.4 -0.1 -0.4 -0.4 0.1 -0.1 0.2 -0.4 0.2 2.4 0.1 0.1 0.0 0.1 -0.1 0.1 -0.7 0.5 0.6 0.6 0.3 -0.3 -0.3 0.1 0.4 LIVECOW 0.6 0.1 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 -0.3 0.2 -0.1 0.2 -0.1 -0.4 -0.2 -0.3 -0.3 -0.0 -0.2 0.2 -0.2 0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.1 -0.5 0.5 0.3 -0.0 -0.6 0.4 -0.1 0.6 0.1 LUMBER-new -0.4 0.3 0.6 0.0 0.1 -0.0 0.2 -0.1 0.1 0.2 -0.0 0.2 -0.6 0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.2 -0.1 0.1 NaN 0.1 0.1 0.1 0.1 0.0 0.1 -1.1 0.1 -0.7 0.5 0.7 -0.4 -0.8 -0.3 -0.8 MILK 0.6 -0.2 -0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.5 0.1 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 0.1 -0.5 -0.0 1.8 -0.1 0.1 -0.2 0.1 -0.3 -0.0 -1.1 0.2 -0.1 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.5 0.2 0.2 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.4 -0.1 0.7 0.0 0.2 0.3 0.3 0.3 0.3 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 0.0 0.2 -0.0 0.3 -0.0 1.1 -0.1 0.3 0.1 0.1 0.6 0.7 0.7 0.7 NASDAQ_micro 0.4 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.2 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 0.0 0.2 0.1 -0.4 0.3 0.6 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.6 0.6 0.4 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.0 0.1 0.0 0.2 0.1 1.1 -0.5 0.6 0.6 0.4 -0.5 -0.1 -0.1 0.0 NZD -0.6 0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 0.0 0.0 0.1 -0.0 0.0 -0.0 0.2 -0.3 -0.3 -0.2 -0.1 -0.3 -0.3 -0.2 0.2 OAT -0.6 0.2 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 -0.0 0.0 -0.0 0.9 0.0 0.0 0.1 0.0 0.0 -0.0 0.7 0.1 -0.2 -0.1 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.2 0.0 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.1 -0.1 -0.0 -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 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 0.1 0.1 0.5 OJ -0.1 -0.6 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.1 0.1 0.3 -0.1 -0.1 0.0 0.3 0.2 0.3 -0.1 0.0 0.1 0.5 -0.0 -2.7 -0.0 0.1 0.1 0.0 0.3 -0.0 1.1 0.5 -0.2 -0.6 0.2 0.3 0.4 0.5 0.7 PALLAD -0.5 -0.1 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 1.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.4 0.0 0.0 0.3 -0.3 -0.3 -0.2 -0.1 -0.1 PLAT -0.6 -0.0 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 1.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.3 0.1 -0.1 0.3 0.1 -0.3 -0.2 0.6 0.0 REDWHEAT 0.0 -0.1 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.5 0.1 -0.7 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -1.9 -0.0 0.0 -0.3 0.0 -0.4 0.0 0.2 -0.1 -0.4 -0.3 -0.6 -0.7 -0.7 -0.7 -0.6 RICE 0.2 0.1 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.0 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.6 -0.2 0.4 0.0 -0.3 0.3 0.0 ROBUSTA 0.6 0.6 0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.3 0.1 0.5 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 1.1 0.3 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.4 0.5 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 0.1 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.2 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.0 -0.1 -0.0 1.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.1 0.0 -0.2 -0.1 -0.0 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.3 -0.3 0.0 -0.0 0.0 -0.1 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 -0.0 0.0 -0.1 -0.1 0.7 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 0.2 -0.1 0.1 -0.7 -0.6 0.3 -0.3 SMI -0.1 0.4 0.3 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.2 0.0 0.2 1.4 0.1 0.1 0.1 0.1 0.0 0.1 1.1 -0.1 0.6 0.2 -0.3 0.1 -0.2 0.4 -0.2 SOFR -0.5 0.3 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 0.0 0.0 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.2 0.0 0.0 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.3 -0.6 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.2 0.1 -0.2 -0.2 0.2 0.3 0.2 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 -0.2 -0.5 -0.7 -0.5 -0.7 SOYMEAL -0.3 -0.6 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.3 -0.1 -0.1 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL 0.0 -0.3 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.3 -0.1 -0.3 -0.1 -0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.2 -0.1 -0.3 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.7 -0.5 -0.6 -0.4 -0.5 -0.3 -0.1 -0.1 0.2 SP400 -0.2 0.5 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.2 0.1 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 0.1 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.3 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.3 -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 -0.5 0.5 0.6 0.6 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.6 -0.4 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.1 0.2 0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.1 0.1 0.1 0.1 -2.7 -0.0 0.0 -0.1 0.0 0.0 0.0 1.1 0.1 0.1 -0.6 -0.6 0.2 -0.2 0.5 0.2 US10 -0.4 0.4 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.0 -0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 0.0 0.2 0.0 -0.0 -0.7 -0.7 -0.6 0.2 US10U -0.5 0.4 0.6 0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 0.0 -0.1 -0.2 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.2 0.0 0.0 0.1 0.0 -0.1 0.0 0.2 0.1 0.2 0.0 -0.1 -0.7 -0.7 0.2 0.6 US2 -0.3 0.4 0.6 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.2 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.0 -0.1 0.0 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.2 0.1 0.1 -0.6 -0.7 -0.5 -0.7 US20 -0.6 0.4 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.1 -0.1 -0.0 0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.0 -0.7 -0.7 0.7 0.7 US30 -0.6 0.3 0.5 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.2 -0.0 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 -0.4 0.2 0.1 -0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.4 0.4 0.6 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 -0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 -0.1 -0.0 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 -0.9 -0.0 0.2 0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX -0.0 -0.2 -1.0 -0.1 -0.0 -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 -0.3 NaN -0.1 -0.0 -0.4 -0.1 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 0.0 0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.5 -0.0 -0.7 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 -0.5 -0.1 -0.4 -0.0 0.0 -0.2 0.0 -0.3 0.0 -0.6 -0.3 -0.6 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -20.0 3.4 16.0 2.7 1.4 4.3 -1.0 3.6 -0.8 11.8 0.4 -12.2 -7.6 -13.9 3.7 -2.5 -2.8 -2.5 -2.7 0.2 3.4 -6.8 -3.3 -8.8 2.9 0.7 1.4 1.9 -2.4 -0.6 -3.0 -1.1 -2.9 -13.3 -6.2 -2.6 -19.7 -10.0 -5.1 3.6 BITCOIN -17.9 -4.1 16.5 -4.1 6.6 -2.4 1.4 -0.9 -3.6 16.5 15.1 -6.2 16.7 -5.4 12.2 -6.5 -6.3 -7.6 -7.4 8.6 18.2 1.6 16.1 -3.0 -20.0 3.5 6.3 7.6 0.5 6.9 -1.2 -1.5 -15.4 3.8 19.1 20.0 -5.8 7.4 7.3 12.6 BOBL -20.0 4.4 20.0 1.5 0.8 1.3 -0.3 -0.5 0.0 5.1 3.6 -5.1 -1.1 -4.2 3.4 -20.0 -13.6 -20.0 -20.0 3.1 5.4 -0.9 -0.5 -2.4 7.6 1.0 1.6 1.7 -0.0 0.2 -0.6 -20.0 2.4 -7.0 -5.2 0.1 -20.0 -20.0 0.2 -19.6 BTP -17.2 10.9 20.0 2.4 1.3 2.1 -0.5 -0.7 0.0 6.0 9.3 -0.4 8.1 0.4 9.5 4.5 6.8 5.2 5.7 12.4 14.5 2.9 6.9 3.9 -11.8 3.6 2.0 4.2 1.1 2.2 1.2 12.5 8.9 2.3 -0.2 8.1 -16.9 -20.0 12.8 1.0 BUND -20.0 5.8 20.0 1.7 0.9 1.5 -0.4 -0.5 0.0 6.3 4.2 -6.3 -1.3 -5.0 3.9 5.2 4.4 3.7 3.0 4.1 6.6 -1.6 -0.7 -2.8 5.3 1.1 1.6 1.8 -0.2 0.2 -0.8 7.8 3.4 -7.0 -5.4 0.9 -20.0 -20.0 1.5 -9.1 BUXL -20.0 7.3 20.0 2.1 1.1 1.8 -0.4 -0.6 0.0 4.3 4.7 -9.5 -5.1 -6.5 4.4 -0.1 0.5 0.1 0.3 4.4 6.5 -5.1 -3.9 -4.8 0.9 1.2 0.5 1.8 -1.2 -0.3 -1.2 2.6 1.9 -8.7 -5.2 1.6 -20.0 -20.0 1.0 7.3 CAC -7.2 1.1 8.4 5.7 7.9 5.0 6.3 3.1 4.9 20.0 14.7 15.7 19.2 9.0 16.8 -8.6 -5.1 -8.5 -7.3 11.3 10.2 20.0 10.8 14.0 -8.5 4.7 17.6 4.1 12.0 3.7 5.8 0.1 16.9 -1.1 -5.5 -8.9 1.5 9.6 7.6 16.0 CAD -16.8 10.0 10.7 3.4 1.8 5.4 -1.3 4.5 -1.0 20.0 0.4 -3.5 -4.3 -6.1 7.3 -1.7 -2.1 -2.0 -2.1 5.2 4.6 2.1 -3.2 -1.3 1.6 2.8 7.6 2.1 1.6 -1.2 0.1 0.0 12.5 -3.5 5.1 -11.9 -20.0 -16.0 -1.9 -14.5 CANOLA 4.1 -18.6 -20.0 1.5 6.0 -0.7 6.1 -1.9 4.3 -7.5 -10.5 -8.3 -8.9 -10.2 -11.2 -9.3 -1.7 -10.1 -7.7 -18.5 -19.5 -10.7 -15.9 -12.9 -20.0 -4.3 -3.3 -4.7 -2.7 -4.1 -3.0 -0.9 -20.0 -20.0 -20.0 -20.0 -17.0 -14.7 -9.9 -3.4 CHF -20.0 8.2 12.8 2.7 1.4 4.4 -1.1 3.7 -0.8 13.1 7.3 -10.0 11.2 -6.5 7.8 -15.0 -15.5 -15.9 -15.9 6.3 10.5 -5.7 8.2 -5.4 -7.1 3.8 1.8 4.3 -1.0 2.8 0.0 -20.0 -9.6 -9.1 12.5 15.4 -20.0 -18.4 -17.0 -20.0 COCOA 10.8 -5.8 5.7 2.8 11.0 -1.2 11.3 -3.5 8.0 17.9 20.0 19.6 20.0 19.9 20.0 12.4 2.8 9.8 6.1 20.0 20.0 20.0 20.0 20.0 -20.0 7.9 7.9 9.6 8.1 10.7 7.4 14.2 20.0 15.9 20.0 20.0 20.0 3.0 20.0 20.0 COFFEE -5.5 2.5 20.0 1.9 7.6 -0.8 7.8 -2.4 5.5 11.7 6.7 9.1 0.9 0.7 7.8 9.4 5.0 8.4 6.5 7.8 8.5 7.6 3.3 5.4 -18.3 3.1 3.9 4.4 2.1 2.8 1.1 16.7 -4.8 -20.0 1.9 20.0 -12.9 -20.0 -10.7 -10.7 COPPER -4.8 2.8 11.7 -3.7 6.1 -2.2 1.3 -0.8 -3.3 17.1 -0.4 13.5 -3.8 1.1 7.6 -6.5 -4.8 -6.3 -5.9 3.9 1.9 14.4 -2.5 6.2 -9.8 1.8 11.6 1.4 7.3 -0.7 2.6 1.1 16.7 14.8 14.2 10.3 -11.9 -6.1 12.5 -2.8 CORN -13.3 -12.4 -5.7 3.2 12.6 -1.4 13.0 -4.0 9.2 4.4 -20.0 -18.3 -20.0 -20.0 -20.0 -12.4 -3.3 -10.4 -8.0 -20.0 -20.0 -12.5 -20.0 -20.0 -20.0 -8.4 1.6 -6.8 -2.4 -5.9 -6.9 -2.7 -20.0 -20.0 -20.0 -20.0 -5.6 -17.1 -1.8 1.8 COTTON2 20.0 9.9 -9.6 3.1 12.3 -1.4 12.6 -3.9 8.9 11.4 -9.1 17.5 -6.8 18.4 -1.2 -8.0 -1.8 -7.9 -5.7 8.8 -4.2 20.0 -8.8 20.0 -20.0 5.0 2.5 0.4 7.2 -0.7 8.9 0.7 14.6 19.3 20.0 -15.2 -15.4 -15.9 -7.4 -0.1 CRUDE_W 10.3 -2.0 -10.5 1.1 8.7 -0.8 10.6 1.1 7.1 17.8 4.8 18.6 6.6 11.3 -9.1 7.1 9.4 7.5 8.5 0.5 0.9 20.0 7.8 11.1 -4.8 0.9 10.6 1.1 11.2 5.4 6.7 -1.1 -4.8 -11.0 -5.1 7.0 20.0 16.2 20.0 18.0 DAX -7.8 4.2 19.3 5.5 7.5 4.8 6.1 3.0 4.7 19.9 17.8 18.9 18.9 17.1 20.0 -15.3 -10.3 -14.1 -12.3 19.4 18.5 18.9 14.0 15.2 17.0 5.8 6.6 5.5 6.1 3.7 4.6 -8.6 0.7 -0.2 -3.9 5.3 0.7 7.4 10.6 20.0 DOW -6.0 20.0 20.0 5.4 7.4 4.7 5.9 2.9 4.6 19.8 20.0 20.0 19.1 20.0 20.0 -13.1 -9.9 -12.1 -11.2 20.0 20.0 20.0 20.0 20.0 -15.5 7.7 6.7 6.9 5.7 4.7 6.2 -7.5 19.7 17.5 20.0 20.0 -9.2 -3.8 -4.0 -8.0 DX 19.3 -4.3 -17.4 2.5 1.3 4.1 -1.0 3.4 -0.7 5.5 1.4 15.9 -6.5 11.6 -4.7 5.5 6.0 5.8 6.1 -0.8 -3.4 10.0 1.1 8.6 -20.0 -1.8 1.3 -2.1 3.7 0.8 2.3 14.1 9.3 20.0 -10.4 -20.0 19.8 3.0 20.0 9.3 EUR -13.1 2.6 10.8 2.9 1.5 4.6 -1.1 3.9 -0.8 -14.5 -1.6 -19.3 7.5 -11.1 5.5 -5.7 -6.6 -5.9 -6.1 -0.2 2.5 -11.9 -0.2 -8.7 15.8 1.8 -3.9 2.4 -4.9 0.5 -2.3 -7.2 -13.7 -1.0 -5.4 0.3 -20.0 -12.1 -20.0 -8.8 EURIBOR-ICE -20.0 8.0 20.0 1.3 0.7 1.2 -0.3 -0.4 0.0 4.9 5.7 -3.5 2.5 -0.8 5.3 3.4 -4.5 0.4 -2.3 7.8 11.0 0.5 4.7 0.8 15.4 2.0 1.2 2.7 0.3 1.3 0.3 -4.7 2.2 -4.0 1.3 9.5 -20.0 -20.0 7.3 20.0 EUROSTX -3.5 0.9 13.4 5.5 7.5 4.7 6.0 3.0 4.7 20.0 16.4 18.9 19.2 14.2 18.8 11.0 0.7 6.6 2.6 17.4 15.4 20.0 14.1 20.0 2.3 5.8 13.9 5.1 11.6 4.1 6.9 12.9 20.0 12.4 -2.7 2.5 -3.3 9.7 0.7 18.1 FEEDCOW 20.0 14.4 -20.0 2.7 10.7 -1.2 11.0 -3.4 7.7 18.2 -8.6 20.0 -2.9 20.0 -2.1 -20.0 -20.0 -20.0 -20.0 8.9 -11.1 20.0 -5.4 20.0 -4.3 1.8 9.9 -1.7 10.2 1.4 7.6 -20.0 20.0 20.0 20.0 -20.0 17.5 6.2 20.0 15.7 GASOIL 18.6 2.7 -13.3 1.0 7.4 -0.7 9.0 1.0 6.0 12.6 5.3 16.1 6.8 13.1 -3.9 20.0 20.0 20.0 20.0 4.7 2.1 20.0 8.0 17.4 8.4 2.4 10.8 1.5 11.7 3.4 7.3 20.0 7.2 3.5 4.5 4.3 -13.1 -3.7 -20.0 -9.6 GASOLINE 17.1 7.1 -12.2 1.1 8.6 -0.8 10.5 1.1 7.0 13.2 -1.1 18.3 5.6 17.5 4.1 -20.0 7.6 -20.0 -9.7 7.0 0.8 20.0 5.5 18.8 -20.0 2.9 7.8 0.6 10.4 4.3 8.2 -13.7 -0.1 -7.1 4.0 9.0 20.0 12.7 20.0 10.9 GAS_US_mini 4.1 3.9 -13.0 0.6 4.3 -0.4 5.2 0.6 3.5 -8.7 -9.2 -9.3 -11.5 -6.0 -8.9 17.7 -18.6 8.9 -9.3 -10.8 -14.2 -9.1 -18.4 -8.3 16.6 -2.8 -3.0 -3.7 -2.5 -3.2 -1.9 -20.0 -20.0 -19.9 -8.9 -6.2 -16.0 2.1 -20.0 -1.9 GBP -4.0 7.4 12.7 3.2 1.7 5.1 -1.2 4.3 -0.9 -0.9 2.6 1.9 12.6 6.3 18.5 0.1 -0.6 -0.2 -0.3 10.6 10.5 -0.6 6.4 3.9 2.4 6.7 -1.1 5.8 0.1 2.5 3.2 3.0 3.7 20.0 4.9 6.3 -20.0 -1.4 -16.6 8.8 GOLD_micro -12.4 0.8 10.1 -3.8 6.2 -2.2 1.3 -0.9 -3.4 15.2 9.7 -5.8 8.2 -6.5 10.0 -14.1 -14.0 -14.1 -14.4 2.1 6.3 -1.4 5.4 -3.9 -5.3 2.3 4.5 3.3 1.8 3.0 0.7 -14.2 -11.9 13.0 12.0 20.0 -20.0 -20.0 -20.0 -15.1 HEATOIL 18.6 2.3 -15.7 1.1 8.3 -0.8 10.1 1.1 6.7 13.5 3.5 18.0 5.0 14.2 -5.3 20.0 20.0 20.0 20.0 3.1 -0.1 20.0 7.0 16.2 -20.0 3.1 8.7 1.9 10.4 5.1 8.0 20.0 -0.3 2.2 5.8 6.8 14.2 1.8 12.5 -2.6 JGB-SGX-mini -9.4 13.6 16.1 1.3 0.7 1.1 -0.3 -0.4 0.0 -2.3 4.3 -4.1 4.6 2.7 5.7 7.8 17.7 11.0 13.6 4.7 4.9 -3.8 2.9 0.0 -3.3 1.4 -1.2 1.3 -1.6 0.3 -0.2 20.0 -7.5 4.1 -3.8 -2.4 -1.3 -20.0 8.8 14.0 JPY -20.0 -0.5 16.2 1.5 0.8 2.5 -0.6 2.1 -0.4 1.7 -7.2 -9.7 -9.7 -9.4 -3.8 -14.5 -15.9 -15.4 -16.1 -5.7 -6.2 -7.3 -12.2 -9.4 20.0 -1.3 -0.4 -1.9 -2.3 -4.4 -2.6 -20.0 -7.0 -14.5 -2.4 -9.9 -12.5 -20.0 -7.3 -20.0 LEANHOG 20.0 10.0 -0.1 2.7 10.4 -1.2 10.7 -3.3 7.6 18.6 -4.1 20.0 -12.5 18.4 5.0 -20.0 -6.4 -20.0 -20.0 7.8 -6.4 20.0 -16.0 20.0 18.0 5.9 8.4 1.3 9.2 -3.3 8.7 -12.5 20.0 20.0 20.0 9.0 -10.5 -8.1 3.9 11.7 LIVECOW 20.0 4.1 -20.0 2.9 11.6 -1.3 11.9 -3.7 8.4 20.0 -9.6 20.0 -2.9 20.0 -6.0 -20.0 -8.1 -16.9 -12.5 -0.0 -15.9 20.0 -6.5 20.0 -1.4 -1.1 10.1 -3.9 10.3 1.3 6.2 -9.2 20.0 9.8 -0.0 -20.0 12.7 -2.0 18.9 4.2 LUMBER-new -11.6 7.6 16.5 3.3 12.9 -1.3 13.2 -3.4 9.4 20.0 -0.5 14.2 -15.5 3.1 14.1 -13.6 -14.3 -13.8 -14.1 9.2 6.3 15.5 -3.3 8.0 NaN 5.5 10.3 4.1 8.6 0.6 5.4 -17.2 2.2 -20.0 12.6 20.0 -10.6 -20.0 -6.9 -20.0 MILK 20.0 -6.4 -13.7 2.4 9.6 -1.1 9.9 -3.0 7.0 15.0 -18.6 6.2 -18.7 -12.0 -17.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 14.6 -20.0 -4.3 13.8 -5.2 10.2 -7.9 5.7 -9.0 -0.0 -20.0 7.0 -2.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -14.5 4.8 6.7 2.7 1.4 4.3 -1.0 3.5 -0.8 9.2 15.2 -7.4 18.2 4.1 14.4 15.2 16.4 15.2 15.3 8.7 14.0 -2.1 20.0 0.6 -20.0 3.9 1.3 6.4 -1.3 9.5 -0.0 20.0 -4.5 8.1 2.1 1.8 16.7 20.0 20.0 20.0 NASDAQ_micro 11.9 13.1 20.0 3.8 5.2 3.3 4.2 2.1 3.3 11.0 14.9 13.9 14.6 14.6 15.5 -11.9 -9.6 -11.4 -10.7 20.0 20.0 19.8 20.0 20.0 -20.0 5.8 1.9 5.2 3.8 4.6 5.2 -6.7 13.0 20.0 20.0 15.7 16.6 -4.4 20.0 -6.4 NIKKEI 20.0 17.1 13.6 4.9 6.8 4.3 5.4 2.7 4.2 0.4 18.8 14.3 19.0 16.7 18.8 18.1 12.5 15.9 13.6 20.0 20.0 16.8 20.0 20.0 -14.3 6.6 0.1 5.1 3.2 4.5 6.4 20.0 -20.0 20.0 20.0 13.6 -14.6 -2.9 -2.8 0.4 NZD -20.0 3.1 17.9 2.4 1.2 3.8 -0.9 3.2 -0.7 9.8 3.5 -11.5 1.5 -11.7 6.2 0.3 0.2 0.2 0.2 1.6 5.5 -7.7 0.2 -8.2 0.5 1.0 0.8 2.6 -2.9 0.8 -2.8 4.1 -11.3 -10.6 -5.2 -1.7 -10.4 -10.3 -5.6 4.9 OAT -20.0 7.4 20.0 1.8 0.9 1.6 -0.4 -0.6 0.0 6.6 5.1 -5.4 -0.6 -4.1 4.9 4.8 6.7 5.0 5.5 6.0 8.4 -0.4 0.9 -1.3 7.1 1.6 1.8 2.3 0.1 0.6 -0.3 12.2 5.1 -5.4 -3.5 3.2 -20.0 -20.0 4.8 3.3 OATIES 6.6 1.2 -20.0 1.2 4.6 -0.5 4.7 -1.4 3.3 3.7 -7.4 -1.8 -5.7 -2.5 -6.6 4.8 -5.6 -0.9 -5.5 -5.6 -7.4 -0.2 -5.0 -2.3 -20.0 -1.5 2.5 -3.0 1.0 -2.2 0.5 -3.9 -4.0 -6.6 -4.3 -15.9 -2.7 4.2 4.5 16.1 OJ -1.8 -20.0 -20.0 1.7 6.7 -0.7 6.9 -2.1 4.9 11.8 3.7 5.3 9.1 -5.6 -8.2 2.3 17.1 8.1 13.6 -8.1 3.0 15.9 16.8 -2.2 -20.0 -1.2 8.4 2.5 4.4 7.1 -0.1 20.0 20.0 -6.3 -20.0 6.6 8.1 11.8 15.8 20.0 PALLAD -16.1 -4.3 11.8 -1.6 2.6 -0.9 0.6 -0.4 -1.4 6.0 -6.7 -3.1 -8.2 -6.1 -5.8 -1.6 -2.2 -1.8 -2.0 -7.4 -8.6 -0.9 -12.0 -5.9 7.7 -1.4 1.9 -2.7 0.7 -3.6 -0.4 6.7 0.7 1.1 9.2 -8.8 -8.1 -7.3 -3.7 -2.6 PLAT -20.0 -0.6 5.4 -2.6 4.2 -1.5 0.9 -0.6 -2.3 9.5 -4.1 -4.7 -6.5 -7.8 -2.0 -3.9 -3.0 -3.7 -3.5 -4.0 -2.6 1.1 -3.6 -5.4 12.0 -1.0 5.5 -0.3 1.8 -0.4 -1.2 4.7 4.1 -3.5 8.7 3.3 -9.5 -5.7 17.0 0.9 REDWHEAT 1.4 -2.2 -7.1 2.6 10.2 -1.1 10.5 -3.2 7.4 8.4 -18.8 6.3 -19.3 -6.9 -12.2 -1.9 -1.6 -3.1 -3.0 -13.2 -20.0 2.8 -20.0 -4.1 -14.1 -4.2 3.4 -9.3 4.2 -10.3 1.4 3.3 -4.8 -13.9 -9.9 -19.3 -20.0 -20.0 -20.0 -16.5 RICE 6.4 4.2 11.0 2.7 10.6 -1.2 10.9 -3.4 7.7 18.8 18.0 17.2 15.4 15.3 17.2 -15.0 -1.6 -14.3 -9.3 17.3 17.0 20.0 13.5 17.7 -20.0 3.4 13.2 3.9 10.2 3.6 5.4 -0.7 9.7 -20.0 -4.8 12.8 1.1 -8.4 8.3 0.5 ROBUSTA 20.0 20.0 17.5 1.7 6.6 -0.7 6.8 -2.1 4.8 11.9 12.8 13.0 12.7 13.3 13.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.5 20.0 -20.0 4.9 3.3 4.5 3.6 3.6 4.2 20.0 11.1 20.0 20.0 20.0 -13.9 -15.0 -5.1 1.1 RUSSELL -10.8 14.4 20.0 3.3 4.5 2.9 3.6 1.8 2.8 9.6 6.2 4.6 2.6 2.3 7.6 -6.3 -6.1 -6.3 -6.4 9.4 8.4 6.2 2.7 5.4 -2.3 3.4 2.9 2.7 2.5 1.3 2.5 -0.1 -0.6 -6.0 4.3 -2.7 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 4.1 20.0 1.3 0.7 1.1 -0.3 -0.4 0.0 3.3 1.2 -4.4 -4.3 -3.7 1.7 -20.0 -20.0 -20.0 -20.0 1.1 2.1 -1.0 -3.2 -2.5 8.3 0.9 1.1 1.2 -0.0 -0.5 -0.4 -20.0 0.9 -6.1 -3.8 -1.5 -20.0 -20.0 -7.8 -20.0 SILVER-mini -10.0 -8.2 1.0 -3.3 5.4 -1.9 1.1 -0.7 -2.9 12.5 -3.1 -0.6 0.1 -9.8 -5.6 -6.7 -6.5 -6.9 -6.8 -7.3 -4.3 1.4 -2.2 -6.8 5.6 -3.1 5.5 -1.8 2.1 -0.4 -2.0 -1.1 -9.0 5.8 -3.8 2.3 -20.0 -17.6 8.8 -8.9 SMI -3.5 12.8 10.3 5.2 7.2 4.5 5.8 2.9 4.5 18.5 8.0 15.7 4.9 18.5 20.0 11.9 5.2 10.1 7.3 14.6 8.5 20.0 1.6 15.3 10.8 6.4 11.5 4.3 7.9 1.0 6.0 20.0 -2.7 17.1 7.5 -10.7 2.8 -6.3 11.0 -6.6 SOFR -16.9 10.1 19.9 1.9 1.0 1.7 -0.4 -0.6 0.0 5.5 5.4 -5.8 -0.1 -2.6 7.6 2.5 0.2 1.6 0.8 5.6 6.1 -2.2 -0.7 -1.4 -2.4 3.2 1.2 2.7 0.6 0.2 1.4 2.4 0.6 5.6 0.4 1.2 -20.0 -20.0 -7.3 -3.7 SOYBEAN -7.7 -20.0 -8.9 2.9 11.4 -1.3 11.8 -3.6 8.3 -0.3 -6.9 -14.2 2.2 -20.0 -20.0 8.1 16.1 11.8 13.3 -20.0 -16.5 -12.3 -7.3 -20.0 -20.0 -6.5 -0.4 -3.1 -3.8 -0.4 -6.6 20.0 -20.0 -20.0 -20.0 -7.4 -13.6 -20.0 -13.6 -20.0 SOYMEAL -9.7 -20.0 -8.1 2.0 8.1 -0.9 8.3 -2.6 5.9 4.9 -11.0 -10.3 -2.9 -14.4 -14.6 2.8 14.3 7.6 11.0 -20.0 -12.3 -8.0 -3.3 -18.3 -20.0 -4.9 0.8 -2.4 -2.3 0.3 -4.9 20.0 -20.0 -20.0 -20.0 -5.1 -20.0 -20.0 -20.0 -19.1 SOYOIL 0.0 -8.6 -17.5 1.9 7.6 -0.8 7.8 -2.4 5.5 -10.0 -11.2 -10.8 -8.6 -13.4 -14.6 -7.1 5.7 -2.6 1.7 -14.9 -15.9 -12.7 -12.2 -12.3 -20.0 -3.5 -7.1 -4.1 -4.9 -3.5 -3.1 13.9 -20.0 -18.7 -13.7 -14.3 -8.4 -2.9 -3.3 6.9 SP400 -5.2 16.6 20.0 3.8 5.2 3.3 4.2 2.1 3.3 13.0 9.9 9.5 6.9 7.4 11.8 -5.6 -5.2 -5.4 -5.3 14.2 12.5 8.7 6.2 9.3 -11.3 4.3 3.4 3.7 3.0 2.1 3.2 1.7 -2.2 -3.3 4.4 -0.8 -20.0 -8.8 -20.0 -20.0 SP500_micro 9.1 19.5 20.0 5.1 7.0 4.5 5.7 2.8 4.4 18.9 19.6 20.0 18.0 20.0 20.0 -13.3 -10.7 -12.5 -11.8 20.0 20.0 20.0 20.0 20.0 -20.0 7.6 5.7 6.4 6.4 4.9 7.1 -8.5 20.0 20.0 20.0 16.3 4.2 -4.1 14.7 -6.5 SUGAR11 20.0 -11.3 -20.0 1.8 6.9 -0.8 7.1 -2.2 5.0 5.2 -4.1 9.7 6.7 3.1 -4.3 18.4 19.4 20.0 20.0 -3.8 -6.5 12.7 2.9 9.0 -20.0 -2.3 1.0 -2.3 1.9 1.2 0.7 20.0 2.6 4.2 -20.0 -18.7 6.8 -4.6 13.7 7.0 US10 -13.7 11.7 18.9 1.6 0.8 1.4 -0.3 -0.5 0.0 5.9 1.8 -4.6 -2.9 -1.2 5.9 -10.1 -7.8 -9.1 -8.5 4.1 2.6 -1.3 -5.2 -0.6 1.8 2.6 1.3 1.6 0.7 -1.0 1.3 -12.4 2.0 6.8 1.5 -0.4 -20.0 -20.0 -17.9 7.4 US10U -15.8 10.9 17.0 2.2 1.2 1.9 -0.5 -0.7 0.0 9.3 1.8 -6.5 -4.2 -3.8 7.4 2.5 0.8 2.3 1.5 4.6 2.6 -1.9 -8.2 -2.1 -1.6 3.4 2.7 1.9 1.1 -1.6 1.6 3.4 5.9 7.6 1.2 -1.9 -20.0 -20.0 5.3 17.5 US2 -9.9 12.8 20.0 1.3 0.7 1.1 -0.5 -0.4 -0.0 -3.7 0.6 -5.5 -4.7 1.3 4.8 -20.0 -20.0 -20.0 -20.0 3.8 2.0 -1.8 -5.3 0.2 8.6 2.5 0.2 1.7 0.3 -0.8 1.3 -20.0 -2.1 7.7 2.5 2.6 -18.8 -20.0 -13.5 -20.0 US20 -19.7 12.6 18.3 1.5 0.8 1.3 -0.3 -0.5 0.0 6.3 1.8 -4.8 -2.3 -2.7 5.0 0.2 -1.1 -0.3 -0.8 3.4 2.3 -1.9 -5.2 -2.1 -1.7 2.1 2.0 1.2 0.6 -1.1 0.9 -0.4 4.4 3.2 2.4 0.0 -20.0 -20.0 20.0 20.0 US30 -20.0 7.9 16.6 1.8 0.9 1.5 -0.4 -0.5 0.0 8.0 1.0 -5.9 -3.7 -5.4 4.5 -9.2 -5.1 -7.3 -6.3 1.4 0.8 -2.4 -7.1 -4.0 -1.2 1.9 2.8 1.0 0.7 -1.7 0.5 -8.0 6.8 1.6 -1.0 -2.9 -15.9 -17.6 20.0 20.0 US5 -12.7 11.4 20.0 1.5 0.8 1.3 -0.3 -0.5 0.0 2.3 2.5 -5.5 -3.2 -0.1 6.0 -10.7 -10.3 -10.2 -10.5 4.3 3.2 -2.0 -4.3 -0.5 4.1 2.7 0.4 1.9 0.4 -0.5 1.3 -16.5 -1.9 7.2 1.9 1.0 -20.0 -20.0 -20.0 -7.8 VIX -0.7 -3.2 -20.0 -6.9 -3.1 -8.0 -5.0 -10.3 -6.2 -12.6 -20.0 -14.5 -20.0 -17.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -9.4 -20.0 -15.3 NaN -8.2 -2.9 -9.5 -4.5 -12.1 -6.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -4.9 1.3 6.1 2.7 10.7 -1.2 11.0 -3.4 7.8 4.1 -18.3 -3.9 -20.0 -8.2 -3.5 -11.3 -10.6 -11.2 -11.1 -8.6 -15.7 -2.1 -20.0 -5.8 -3.0 -1.7 1.3 -5.6 1.9 -9.5 0.7 -11.6 -13.8 -19.6 -6.7 -3.7 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3