******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240131_204015 produced at 2024-01-31 21:37:38.765951 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -52.59 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -4.05 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.67 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 -10.60 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 -1.65 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 -21.81 51.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 0.00 -0.06 0.0 0.50 -0.50 0.00 0.00 -2.04 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.05 0.0 0.39 -0.39 -0.13 -0.13 -6.85 56.0 -19 -19 caleb_strategy_v3 BOBL False False 0.04 -0.39 -0.05 0.0 0.83 -0.83 -0.39 -0.39 -1.17 19.0 -9 -9 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.56 11.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -3.90 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.43 -0.43 0.00 0.00 -1.73 19.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.04 0.0 0.92 -0.92 -0.04 -0.04 -1.02 25.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.05 -0.05 -0.02 -0.02 -19.72 26.0 -10 -10 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.04 0.0 0.65 -0.65 -0.14 -0.14 -0.86 14.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.46 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 -1.37 7.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.76 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 -1.09 29.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -1.48 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.02 0.0 0.23 -0.23 -0.00 -0.00 -5.44 68.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.02 0.0 0.65 -0.65 -0.04 -0.04 -0.51 17.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.93 0.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -2.79 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.20 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 -1.78 10.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.89 2.0 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 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 RICE False False 0.01 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.05 6.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 0.00 0.0 0.42 -0.42 -0.02 -0.02 0.17 17.0 -1 -1 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 SUGAR11 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.02 18.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.04 -0.00 0.0 0.14 -0.14 0.04 0.04 -0.02 4.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.37 -0.37 0.12 0.12 0.10 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 -0.08 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.08 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.07 -0.07 -0.03 -0.03 -0.14 2.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.04 0.01 0.0 0.52 -0.52 0.04 0.04 0.17 13.0 1 1 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.01 0.0 0.02 0.00 0.02 0.02 4.22 59.0 15 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 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.33 3.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.25 -0.25 0.02 0.02 1.71 23.0 2 2 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.02 0.0 0.34 -0.34 0.21 0.21 0.54 8.0 5 5 caleb_strategy_v3 COPPER False False 0.03 0.03 0.02 0.0 0.20 -0.20 0.03 0.03 0.67 6.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.19 0.03 0.0 0.27 -0.27 0.19 0.19 2.84 23.0 16 16 caleb_strategy_v3 BTP False False 0.04 0.04 0.04 0.0 0.44 -0.44 0.04 0.04 0.84 10.0 1 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.11 -0.11 0.00 0.00 0.98 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.06 0.05 0.0 0.43 -0.43 0.06 0.06 8.03 66.0 9 9 caleb_strategy_v3 GBP False False 0.03 0.11 0.05 0.0 0.59 -0.59 0.11 0.11 1.96 22.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.05 0.0 0.40 -0.40 0.03 0.03 5.92 48.0 3 3 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.05 0.0 0.11 -0.11 0.06 0.06 1.84 4.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.06 0.05 0.0 0.42 -0.42 0.06 0.06 3.21 26.0 4 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 LEANHOG False False 0.01 0.05 0.06 0.0 0.15 -0.15 0.05 0.05 5.47 13.0 4 4 caleb_strategy_v3 CAC False True 0.03 0.00 0.06 0.0 0.00 0.00 0.00 0.00 2.00 12.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.08 0.0 0.12 -0.12 0.05 0.05 3.32 5.0 2 2 caleb_strategy_v3 SMI False False 0.04 0.40 0.10 0.0 0.40 -0.40 0.40 0.40 2.30 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.36 -0.36 0.00 0.00 16.39 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.31 0.12 0.0 0.34 -0.34 0.31 0.31 6.76 20.0 18 18 caleb_strategy_v3 NIKKEI False False 0.01 0.27 0.26 0.0 0.30 -0.30 0.27 0.27 31.94 36.0 33 33 caleb_strategy_v3 MXP False False 0.01 0.46 0.41 0.0 0.59 -0.59 0.46 0.46 41.18 60.0 47 47 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.40 0.42 0.0 0.54 -0.54 0.40 0.40 12.44 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.59 0.0 0.90 -0.90 0.18 0.18 6.51 10.0 2 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.3 Shocked risk 65.5 Sum abs risk 51.4 Leverage 4.24 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2930684.27, 'annual_cash_vol_target': 732671.0675, 'daily_cash_vol_target': 45791.94171875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6572 0.5840 9.3433 BITCOIN 1163.1542 43355.0000 2.6829 42.9258 BOBL 0.2713 118.2900 0.2294 3.6700 BTP 0.6237 119.0700 0.5238 8.3804 BUND 0.5411 135.4200 0.3995 6.3927 BUXL 1.2810 136.6400 0.9375 14.9999 CAC 57.2178 7681.5000 0.7449 11.9180 CAD 0.0027 0.7450 0.3667 5.8674 CANOLA 6.8500 617.9000 1.1086 17.7375 CHF 0.0050 1.1643 0.4290 6.8639 COCOA 56.4931 4744.0000 1.1908 19.0533 COFFEE 3.6952 190.8000 1.9367 30.9869 COPPER 0.0397 3.8905 1.0213 16.3414 CORN 4.2053 479.7500 0.8766 14.0249 COTTON2 0.9175 86.3600 1.0624 16.9990 CRUDE_W 1.0820 72.6700 1.4889 23.8229 DAX 116.2358 16895.0000 0.6880 11.0078 DOW 194.2948 38346.0000 0.5067 8.1070 DX 0.3719 103.4900 0.3594 5.7503 EUR 0.0045 1.0824 0.4136 6.6169 EURIBOR-ICE 0.0525 97.8950 0.0536 0.8581 EUROSTX 36.2135 4654.0000 0.7781 12.4499 FEEDCOW 1.7679 251.9750 0.7016 11.2261 GASOIL 12.9762 811.0000 1.6000 25.6003 GASOLINE 0.0398 2.4555 1.6192 25.9078 GAS_US_mini 0.0933 2.1400 4.3580 69.7286 GBP 0.0056 1.2681 0.4423 7.0773 GOLD_micro 13.1469 2054.5000 0.6399 10.2385 HEATOIL 0.0384 2.6435 1.4539 23.2616 JGB-SGX-mini 0.2814 146.2000 0.1925 3.0793 JPY 0.0000 0.0069 0.6101 9.7624 LEANHOG 1.1020 84.9750 1.2969 20.7500 LIVECOW 1.1683 180.9250 0.6457 10.3320 LUMBER-new 7.1867 583.0000 1.2327 19.7233 MILK 0.1973 17.1800 1.1486 18.3769 MXP 0.0004 0.0577 0.6661 10.6576 NASDAQ_micro 136.0135 17311.0000 0.7857 12.5713 NIKKEI 314.8293 35890.0000 0.8772 14.0353 NZD 0.0036 0.6112 0.5939 9.5029 OAT 0.5500 130.0500 0.4229 6.7663 OATIES 7.1753 377.0000 1.9033 30.4524 OJ 6.7267 351.0000 1.9164 30.6631 PALLAD 24.7459 986.5000 2.5085 40.1353 PLAT 14.2483 927.1000 1.5369 24.5899 REDWHEAT 9.7466 620.5000 1.5708 25.1322 RICE 0.1724 18.1150 0.9515 15.2239 ROBUSTA 43.1499 3178.0000 1.3578 21.7243 RUSSELL 22.5205 1971.4000 1.1424 18.2778 SHATZ 0.0953 106.1050 0.0898 1.4367 SILVER-mini 0.3284 23.2625 1.4116 22.5853 SMI 77.8036 11234.0000 0.6926 11.0812 SOFR 0.0619 96.7100 0.0640 1.0236 SOYBEAN 10.1407 1200.0000 0.8451 13.5210 SOYMEAL 4.8750 364.5000 1.3374 21.3990 SOYOIL 0.6589 46.5800 1.4146 22.6339 SP400 24.0429 2759.5000 0.8713 13.9404 SP500_micro 28.7756 4888.0000 0.5887 9.4192 SUGAR11 0.3631 23.1800 1.5665 25.0638 US10 0.3855 112.1719 0.3437 5.4987 US10U 0.5250 116.6875 0.4499 7.1990 US2 0.1162 102.6328 0.1133 1.8123 US20 0.7938 122.0625 0.6503 10.4053 US30 1.1851 128.8125 0.9200 14.7205 US5 0.2592 108.2734 0.2394 3.8305 VIX 0.4298 16.3000 2.6371 42.1935 WHEAT 8.4227 636.2500 1.3238 21.1810 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 657.20 0.58 383.78 1.00 383.78 45791.94 119.32 -5.57 -66.51 BITCOIN 43.36 2.68 116.32 1.00 116.32 45791.94 393.69 0.99 38.95 BOBL 1182.90 0.23 271.33 1.08 293.41 45791.94 156.07 -7.37 -115.09 BTP 1190.70 0.52 623.66 1.08 674.42 45791.94 67.90 3.63 24.65 BUND 1354.20 0.40 541.06 1.08 585.10 45791.94 78.26 0.16 1.25 BUXL 1366.40 0.94 1280.99 1.08 1385.26 45791.94 33.06 -2.24 -7.41 CAC 768.15 0.74 572.18 1.08 618.75 45791.94 74.01 7.92 58.62 CAD 745.00 0.37 273.20 1.00 273.20 45791.94 167.61 -2.52 -42.18 CANOLA 123.58 1.11 137.00 0.75 102.15 45791.94 448.29 -20.00 -896.59 CHF 1455.38 0.43 624.34 1.00 624.34 45791.94 73.34 -8.64 -63.41 COCOA 474.40 1.19 564.93 1.00 564.93 45791.94 81.06 18.48 149.83 COFFEE 715.50 1.94 1385.70 1.00 1385.70 45791.94 33.05 -1.22 -4.02 COPPER 972.62 1.02 993.38 1.00 993.38 45791.94 46.10 1.34 6.16 CORN 239.88 0.88 210.26 1.00 210.26 45791.94 217.78 -20.00 -435.57 COTTON2 431.80 1.06 458.76 1.00 458.76 45791.94 99.82 -4.19 -41.80 CRUDE_W 726.70 1.49 1082.00 1.00 1082.00 45791.94 42.32 7.24 30.63 DAX 168.95 0.69 116.24 1.08 125.70 45791.94 364.30 13.19 480.51 DOW 191.73 0.51 97.15 1.00 97.15 45791.94 471.37 7.33 345.31 DX 1034.90 0.36 371.94 1.00 371.94 45791.94 123.12 1.63 20.06 EUR 1352.94 0.41 559.51 1.00 559.51 45791.94 81.84 -4.03 -33.01 EURIBOR-ICE 2447.38 0.05 131.26 1.08 141.95 45791.94 322.60 5.92 190.89 EUROSTX 465.40 0.78 362.14 1.08 391.61 45791.94 116.93 16.95 198.19 FEEDCOW 1259.88 0.70 883.97 1.00 883.97 45791.94 51.80 3.15 16.32 GASOIL 811.00 1.60 1297.62 1.00 1297.62 45791.94 35.29 12.04 42.48 GASOLINE 1031.31 1.62 1669.94 1.00 1669.94 45791.94 27.42 -0.20 -0.54 GAS_US_mini 53.50 4.36 233.16 1.00 233.16 45791.94 196.40 -9.27 -182.15 GBP 792.56 0.44 350.58 1.00 350.58 45791.94 130.62 5.79 75.58 GOLD_micro 205.45 0.64 131.47 1.00 131.47 45791.94 348.31 -5.76 -200.74 HEATOIL 1110.27 1.45 1614.17 1.00 1614.17 45791.94 28.37 7.94 22.52 JGB-SGX-mini 146200.00 0.19 28136.91 0.01 190.93 45791.94 239.83 4.79 114.86 JPY 856.62 0.61 522.67 1.00 522.67 45791.94 87.61 -8.97 -78.60 LEANHOG 339.90 1.30 440.81 1.00 440.81 45791.94 103.88 8.66 90.00 LIVECOW 723.70 0.65 467.33 1.00 467.33 45791.94 97.99 0.51 5.05 LUMBER-new 160.33 1.23 197.63 1.00 197.63 45791.94 231.70 -5.63 -130.55 MILK 343.60 1.15 394.64 1.00 394.64 45791.94 116.03 -15.70 -182.14 MXP 288.50 0.67 192.17 1.00 192.17 45791.94 238.29 11.78 280.59 NASDAQ_micro 346.22 0.79 272.03 1.00 272.03 45791.94 168.34 7.27 122.34 NIKKEI 35890.00 0.88 31482.93 0.01 213.64 45791.94 214.34 13.76 294.92 NZD 611.25 0.59 363.04 1.00 363.04 45791.94 126.13 -2.09 -26.30 OAT 1300.50 0.42 549.97 1.08 594.74 45791.94 77.00 3.67 28.26 OATIES 188.50 1.90 358.77 1.00 358.77 45791.94 127.64 -9.32 -118.94 OJ 526.50 1.92 1009.01 1.00 1009.01 45791.94 45.38 3.43 15.58 PALLAD 986.50 2.51 2474.59 1.00 2474.59 45791.94 18.50 -2.16 -4.00 PLAT 463.55 1.54 712.42 1.00 712.42 45791.94 64.28 1.85 11.92 REDWHEAT 310.25 1.57 487.33 1.00 487.33 45791.94 93.97 -19.74 -185.48 RICE 362.30 0.95 344.73 1.00 344.73 45791.94 132.84 -0.34 -4.53 ROBUSTA 317.80 1.36 431.50 1.00 431.50 45791.94 106.12 13.82 146.63 RUSSELL 98.57 1.14 112.60 1.00 112.60 45791.94 406.67 -4.04 -164.28 SHATZ 1061.05 0.09 95.27 1.08 103.03 45791.94 444.45 -9.00 -399.86 SILVER-mini 581.56 1.41 820.92 1.00 820.92 45791.94 55.78 -4.90 -27.35 SMI 1123.40 0.69 778.04 1.16 902.76 45791.94 50.72 13.29 67.43 SOFR 2417.75 0.06 154.68 1.00 154.68 45791.94 296.05 -0.31 -9.21 SOYBEAN 600.00 0.85 507.04 1.00 507.04 45791.94 90.31 -16.37 -147.81 SOYMEAL 364.50 1.34 487.50 1.00 487.50 45791.94 93.93 -16.99 -159.62 SOYOIL 279.48 1.41 395.36 1.00 395.36 45791.94 115.82 -16.55 -191.68 SP400 2759.50 0.87 2404.29 1.00 2404.29 45791.94 19.05 -3.18 -6.05 SP500_micro 244.40 0.59 143.88 1.00 143.88 45791.94 318.27 8.01 254.82 SUGAR11 259.62 1.57 406.68 1.00 406.68 45791.94 112.60 0.07 0.81 US10 1121.72 0.34 385.50 1.00 385.50 45791.94 118.79 -3.37 -39.99 US10U 1166.88 0.45 525.02 1.00 525.02 45791.94 87.22 1.56 13.62 US2 2052.66 0.11 232.50 1.00 232.50 45791.94 196.95 -6.68 -131.57 US20 1220.62 0.65 793.81 1.00 793.81 45791.94 57.69 1.30 7.51 US30 1288.12 0.92 1185.11 1.00 1185.11 45791.94 38.64 -1.66 -6.40 US5 1082.73 0.24 259.21 1.00 259.21 45791.94 176.66 -4.54 -80.22 VIX 163.00 2.64 429.85 1.00 429.85 45791.94 106.53 -20.00 -213.06 WHEAT 318.12 1.32 421.14 1.00 421.14 45791.94 108.73 -19.14 -208.09 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -66.510 0.010 2.5 -1.726 BITCOIN 38.952 0.043 2.5 4.218 BOBL -115.089 0.004 2.5 -1.167 BTP 24.652 0.014 2.5 0.841 BUND 1.252 0.004 2.5 0.013 BUXL -7.410 0.004 2.5 -0.075 CAC 58.624 0.014 2.5 2.000 CAD -42.175 0.010 2.5 -1.094 CANOLA -896.588 0.010 2.5 -21.813 CHF -63.406 0.010 2.5 -1.645 COCOA 149.833 0.009 2.5 3.209 COFFEE -4.019 0.005 2.5 -0.047 COPPER 6.162 0.043 2.5 0.667 CORN -435.566 0.010 2.5 -10.597 COTTON2 -41.804 0.009 2.5 -0.895 CRUDE_W 30.630 0.043 2.5 3.317 DAX 480.509 0.014 2.5 16.390 DOW 345.308 0.009 2.5 8.025 DX 20.057 0.010 2.5 0.520 EUR -33.008 0.010 2.5 -0.856 EURIBOR-ICE 190.888 0.014 2.5 6.511 EUROSTX 198.193 0.014 2.5 6.760 FEEDCOW 16.322 0.013 2.5 0.541 GASOIL 42.481 0.017 2.5 1.842 GASOLINE -0.540 0.017 2.5 -0.023 GAS_US_mini -182.150 0.043 2.5 -19.725 GBP 75.583 0.010 2.5 1.961 GOLD_micro -200.739 0.014 2.5 -6.847 HEATOIL 22.520 0.017 2.5 0.976 JGB-SGX-mini 114.861 0.043 2.5 12.438 JPY -78.605 0.010 2.5 -2.040 LEANHOG 89.998 0.024 2.5 5.470 LIVECOW 5.046 0.013 2.5 0.167 LUMBER-new -130.546 0.009 2.5 -2.790 MILK -182.136 0.009 2.5 -3.901 MXP 280.588 0.059 2.5 41.183 NASDAQ_micro 122.343 0.009 2.5 2.843 NIKKEI 294.917 0.043 2.5 31.936 NZD -26.304 0.010 2.5 -0.682 OAT 28.265 0.014 2.5 0.964 OATIES -118.941 0.010 2.5 -2.894 OJ 15.582 0.009 2.5 0.334 PALLAD -3.999 0.014 2.5 -0.136 PLAT 11.916 0.014 2.5 0.406 REDWHEAT -185.479 0.005 2.5 -2.460 RICE -4.529 0.010 2.5 -0.110 ROBUSTA 146.630 0.005 2.5 1.712 RUSSELL -164.283 0.013 2.5 -5.444 SHATZ -399.859 0.004 2.5 -4.055 SILVER-mini -27.347 0.014 2.5 -0.933 SMI 67.435 0.014 2.5 2.300 SOFR -9.205 0.024 2.5 -0.559 SOYBEAN -147.812 0.004 2.5 -1.375 SOYMEAL -159.619 0.004 2.5 -1.485 SOYOIL -191.678 0.004 2.5 -1.784 SP400 -6.054 0.013 2.5 -0.201 SP500_micro 254.824 0.009 2.5 5.922 SUGAR11 0.808 0.009 2.5 0.017 US10 -39.988 0.005 2.5 -0.507 US10U 13.622 0.005 2.5 0.173 US2 -131.567 0.005 2.5 -1.667 US20 7.510 0.005 2.5 0.095 US30 -6.397 0.005 2.5 -0.081 US5 -80.222 0.005 2.5 -1.017 VIX -213.062 0.099 2.5 -52.593 WHEAT -208.089 0.005 2.5 -2.760 ===================== Position diags ===================== AUD 3.10 BITCOIN 42.63 BOBL 1.58 BTP 2.32 BUND 0.79 BUXL 0.34 CAC 2.52 CAD 4.35 CANOLA 10.91 CHF 1.90 COCOA 1.74 COFFEE 0.39 COPPER 4.99 CORN 5.30 COTTON2 2.14 CRUDE_W 4.58 DAX 12.43 DOW 10.95 DX 3.19 EUR 2.12 EURIBOR-ICE 11.00 EUROSTX 3.99 FEEDCOW 1.72 GASOIL 1.53 GASOLINE 1.19 GAS_US_mini 21.27 GBP 3.39 GOLD_micro 11.88 HEATOIL 1.23 JGB-SGX-mini 25.97 JPY 2.27 LEANHOG 6.31 LIVECOW 3.25 LUMBER-new 4.95 MILK 2.49 MXP 34.97 NASDAQ_micro 3.91 NIKKEI 23.21 NZD 3.27 OAT 2.63 OATIES 3.11 OJ 0.97 PALLAD 0.63 PLAT 2.19 REDWHEAT 1.25 RICE 3.23 ROBUSTA 1.24 RUSSELL 13.48 SHATZ 4.51 SILVER-mini 1.90 SMI 1.73 SOFR 17.99 SOYBEAN 0.84 SOYMEAL 0.87 SOYOIL 1.08 SP400 0.63 SP500_micro 7.40 SUGAR11 2.39 US10 1.51 US10U 1.11 US2 2.50 US20 0.73 US30 0.49 US5 2.24 VIX 26.30 WHEAT 1.44 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.7 -2.0 -1.4 0.0 0 BITCOIN 4.2 -0.0 8.5 15.0 15 BOBL -1.2 -1.3 -1.0 -9.0 -9 BTP 0.8 0.6 1.1 1.0 1 BUND 0.0 -0.1 0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 2.0 1.7 2.3 0.0 0 CAD -1.1 -1.5 -0.7 0.0 0 CANOLA -21.8 -22.9 -20.7 -6.0 -6 CHF -1.6 -1.8 -1.5 -5.0 -5 COCOA 3.2 3.0 3.4 4.0 4 COFFEE -0.0 -0.1 -0.0 0.0 0 COPPER 0.7 0.2 1.2 1.0 1 CORN -10.6 -11.1 -10.1 -10.0 -10 COTTON2 -0.9 -1.1 -0.7 -3.0 -3 CRUDE_W 3.3 2.9 3.8 2.0 2 DAX 16.4 15.1 17.6 0.0 0 DOW 8.0 6.9 9.1 9.0 9 DX 0.5 0.2 0.8 NaN 0 EUR -0.9 -1.1 -0.6 -3.0 -3 EURIBOR-ICE 6.5 5.4 7.6 2.0 2 EUROSTX 6.8 6.4 7.2 18.0 18 FEEDCOW 0.5 0.4 0.7 5.0 5 GASOIL 1.8 1.7 2.0 2.0 2 GASOLINE -0.0 -0.1 0.1 1.0 1 GAS_US_mini -19.7 -21.9 -17.6 -10.0 -10 GBP 2.0 1.6 2.3 4.0 4 GOLD_micro -6.8 -8.0 -5.7 -19.0 -19 HEATOIL 1.0 0.9 1.1 0.0 0 JGB-SGX-mini 12.4 9.8 15.0 12.0 12 JPY -2.0 -2.3 -1.8 0.0 0 LEANHOG 5.5 4.8 6.1 4.0 4 LIVECOW 0.2 -0.2 0.5 -1.0 -1 LUMBER-new -2.8 -3.3 -2.3 NaN 0 MILK -3.9 -4.1 -3.7 NaN 0 MXP 41.2 37.7 44.7 47.0 47 NASDAQ_micro 2.8 2.5 3.2 16.0 16 NIKKEI 31.9 29.6 34.3 33.0 33 NZD -0.7 -1.0 -0.4 0.0 0 OAT 1.0 0.7 1.2 0.0 0 OATIES -2.9 -3.2 -2.6 NaN 0 OJ 0.3 0.2 0.4 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -2.5 -2.6 -2.3 -3.0 -3 RICE -0.1 -0.4 0.2 NaN 0 ROBUSTA 1.7 1.6 1.8 2.0 2 RUSSELL -5.4 -6.8 -4.1 -1.0 -1 SHATZ -4.1 -4.5 -3.6 NaN 0 SILVER-mini -0.9 -1.1 -0.7 NaN 0 SMI 2.3 2.1 2.5 9.0 9 SOFR -0.6 -2.4 1.2 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -2.0 -2 SOYMEAL -1.5 -1.6 -1.4 0.0 0 SOYOIL -1.8 -1.9 -1.7 -3.0 -3 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 5.9 5.2 6.7 3.0 3 SUGAR11 0.0 -0.2 0.3 0.0 0 US10 -0.5 -0.7 -0.4 -1.0 -1 US10U 0.2 0.1 0.3 1.0 1 US2 -1.7 -1.9 -1.4 NaN 0 US20 0.1 0.0 0.2 3.0 3 US30 -0.1 -0.1 -0.0 0.0 0 US5 -1.0 -1.2 -0.8 -1.0 -1 VIX -52.6 -55.2 -50.0 -17.0 -17 WHEAT -2.8 -2.9 -2.6 -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 -0.2 -0.3 -0.2 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 0.0 -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 -0.2 0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.4 -0.0 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 0.0 0.2 0.0 0.3 -0.0 -0.1 -0.4 0.2 0.5 0.6 -0.2 0.2 0.3 0.4 BOBL -0.6 0.1 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 -0.0 -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 -0.5 0.3 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 0.1 0.2 0.1 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.7 0.3 0.2 0.0 0.3 -0.6 -0.7 0.4 0.0 BUND -0.6 0.1 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 -0.0 -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 0.1 0.0 0.0 -0.0 0.4 0.1 -0.2 -0.2 0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.6 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 -0.1 -0.2 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.2 -0.2 0.0 -0.7 -0.7 0.0 0.2 CAC -0.1 0.0 0.3 0.1 0.0 0.1 0.0 0.1 0.0 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 0.1 0.1 0.1 0.1 0.1 0.0 0.5 0.2 -0.1 -0.3 0.0 0.3 0.2 0.5 CAD -0.5 0.3 0.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.0 -0.1 -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 0.0 0.1 0.0 -0.0 0.0 0.0 0.3 -0.0 0.2 -0.4 -0.7 -0.5 -0.1 -0.5 CANOLA 0.1 -0.6 -0.6 0.0 0.0 -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 0.2 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 -0.9 0.0 0.0 0.1 -0.0 0.1 0.0 -1.1 -0.1 -0.4 0.4 0.5 -0.7 -0.6 -0.6 -0.7 COCOA 0.5 -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 0.6 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.1 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 -2.5 0.0 0.0 0.1 0.0 0.1 0.0 0.9 0.1 -0.6 0.0 0.6 -0.4 -0.7 -0.3 -0.4 COPPER -0.1 0.1 0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.2 -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 0.4 0.5 0.4 -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 0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -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 -0.4 -0.6 -0.6 -0.6 -0.2 -0.6 -0.1 0.1 COTTON2 0.6 0.4 -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 0.5 0.6 -0.5 -0.5 -0.5 -0.3 -0.0 CRUDE_W 0.3 -0.1 -0.4 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.1 -0.1 0.1 0.2 0.2 0.2 0.0 0.0 0.1 0.2 0.1 -0.6 0.0 0.0 0.0 0.1 0.2 0.1 -0.1 -0.3 -0.4 -0.2 0.2 0.7 0.5 0.7 0.6 DAX -0.3 0.1 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.4 0.1 2.2 0.1 0.0 0.2 0.0 0.1 0.0 -0.5 0.0 -0.0 -0.2 0.2 0.0 0.3 0.3 0.7 DOW -0.2 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.1 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 0.0 0.2 0.1 0.2 0.1 -0.4 0.4 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 0.1 0.0 0.2 -0.2 0.1 -0.0 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 0.1 0.6 -0.4 -0.6 0.7 0.1 0.7 0.3 EUR -0.4 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.1 -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 -0.1 0.1 -0.1 0.0 -0.0 -0.4 -0.5 -0.1 -0.2 0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 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 2.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.2 0.1 -0.1 0.0 0.3 -0.7 -0.7 0.2 0.7 EUROSTX -0.0 0.0 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.1 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 0.5 -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 0.1 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 0.0 -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 0.4 0.1 0.2 0.2 -0.5 -0.1 -0.7 -0.3 GASOLINE 0.6 0.2 -0.4 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.2 0.2 0.2 0.1 -0.4 0.1 -0.4 -0.2 0.1 0.0 0.1 0.1 0.2 -2.7 0.0 -0.0 0.0 0.1 0.2 0.1 -0.7 -0.2 -0.3 0.1 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.0 0.1 -0.4 0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.3 -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 -0.1 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 -0.1 -0.6 0.3 GOLD_micro -0.4 0.0 0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.3 -0.0 0.3 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 0.0 0.2 -0.0 -0.7 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.1 0.5 0.4 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.6 0.1 -0.5 0.0 0.0 -0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.2 0.2 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 0.2 0.2 0.2 -2.7 0.0 0.0 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 -0.4 0.4 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 0.0 0.1 0.2 0.4 0.2 0.3 0.0 0.1 -0.0 0.1 -0.0 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.3 0.1 -0.1 -0.1 -0.0 -0.7 0.3 0.5 JPY -0.6 -0.1 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.2 -0.1 -0.4 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.3 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 -0.4 -0.1 -0.3 -0.4 -0.7 -0.3 -0.7 LEANHOG 0.6 0.4 -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 2.5 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 0.2 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -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 0.2 0.1 -0.6 0.4 -0.1 0.6 0.2 LUMBER-new -0.4 0.3 0.6 0.0 0.1 -0.0 0.2 -0.1 0.1 0.1 -0.0 0.2 -0.6 0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.1 -0.1 0.1 NaN 0.1 0.0 0.1 0.1 0.0 0.1 -1.1 0.1 -0.7 0.4 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 0.1 -0.1 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.4 0.1 0.3 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 0.4 -0.0 1.1 -0.0 0.3 0.1 0.1 0.6 0.7 0.7 0.7 NASDAQ_micro 0.2 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 -0.4 0.1 0.6 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.6 0.5 0.4 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 -0.0 0.1 0.0 0.2 0.1 1.1 -0.4 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 0.0 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 -0.1 -0.3 -0.2 -0.1 -0.4 -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 -0.0 -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 0.2 -0.1 -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 -0.0 0.0 0.1 -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 -0.0 -0.2 -0.1 -0.5 -0.1 0.1 0.1 0.5 OJ 0.2 -0.6 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.1 0.1 0.3 -0.0 -0.1 0.1 0.3 0.2 0.3 -0.1 0.0 0.2 0.5 0.0 -2.7 -0.0 0.1 0.1 0.1 0.3 0.0 1.1 0.5 -0.2 -0.6 0.2 0.3 0.4 0.5 0.7 PALLAD -0.4 -0.2 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 -0.0 -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 0.0 -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 -0.2 0.0 -0.4 0.0 0.2 -0.1 -0.5 -0.4 -0.6 -0.7 -0.7 -0.7 -0.6 RICE 0.1 0.1 0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.5 0.1 0.6 0.2 0.2 -0.3 -0.0 -0.3 -0.2 0.2 0.2 0.1 0.3 0.2 -2.7 0.0 0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 -0.5 -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 0.4 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 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.0 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 -0.2 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 0.1 -0.2 -0.1 -0.1 -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 0.8 -0.0 0.0 -0.1 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 -0.2 0.4 0.3 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.1 1.4 0.1 0.0 0.1 0.1 0.0 0.1 1.1 -0.1 0.4 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 0.1 0.2 -0.0 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 0.1 0.3 0.0 0.1 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.2 -0.6 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.2 -0.1 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 -0.3 -0.4 -0.7 -0.4 -0.7 SOYMEAL -0.2 -0.6 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.3 -0.1 -0.1 -0.1 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 0.0 -0.0 1.1 -0.4 -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 -0.0 -0.1 -0.1 -0.1 -0.0 0.7 -0.5 -0.6 -0.5 -0.5 -0.3 -0.1 -0.1 0.2 SP400 -0.2 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 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 0.1 0.5 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.1 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 -0.0 0.2 0.0 0.2 0.1 -0.5 0.3 0.6 0.6 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.6 -0.3 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.1 0.2 0.1 -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 -0.1 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 0.1 -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 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 0.1 0.3 0.1 -0.0 -0.7 -0.7 -0.6 0.3 US10U -0.5 0.3 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.1 -0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.0 -0.2 0.0 -0.2 0.0 0.0 0.1 0.0 -0.1 0.0 0.2 0.2 0.3 0.1 -0.0 -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 0.1 -0.0 -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 0.2 0.1 0.0 -0.7 -0.7 0.7 0.7 US30 -0.6 0.2 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 -0.0 -0.1 -0.1 0.1 -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 0.1 0.1 -0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.4 0.3 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 -0.0 -0.1 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.0 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 -0.9 0.0 0.3 0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX 0.1 -0.1 -1.0 -0.1 0.0 -0.4 -0.0 -0.6 -0.1 0.0 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -0.9 -0.2 NaN -0.1 0.0 -0.4 -0.0 -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 -0.1 -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 -0.4 -0.6 -0.4 -0.2 -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 2.0 15.8 2.6 -0.6 4.3 -1.5 3.7 -0.9 -8.3 0.1 -14.4 -7.7 -15.1 3.2 -2.5 -2.8 -2.5 -2.7 -0.6 3.0 -9.4 -3.4 -9.6 2.8 0.4 -3.2 1.8 -3.8 -0.7 -3.5 -1.1 -3.1 -13.7 -6.2 -2.8 -20.0 -10.0 -5.4 3.5 BITCOIN -19.1 -4.8 16.4 -4.0 4.3 -2.4 1.5 -1.0 -3.2 15.3 15.2 -4.6 16.9 -4.7 12.4 -6.4 -6.3 -7.5 -7.4 9.0 18.5 3.3 16.6 -1.6 -20.0 3.6 4.7 7.8 1.0 7.1 -0.8 -1.5 -17.7 7.2 14.1 20.0 -5.8 7.2 7.6 12.3 BOBL -20.0 2.5 20.0 1.5 1.3 1.3 0.0 -0.4 0.1 6.5 3.6 -2.6 -1.0 -4.0 3.3 -20.0 -14.1 -20.0 -20.0 3.0 5.1 1.3 -0.4 -1.3 7.5 1.0 2.8 1.7 0.7 0.2 -0.2 -20.0 5.5 -6.0 -5.1 -0.0 -20.0 -20.0 0.4 -19.7 BTP -15.9 8.8 20.0 2.4 2.1 2.1 0.0 -0.7 0.2 10.5 9.4 4.3 8.2 0.8 9.6 4.5 6.8 5.2 5.7 12.2 14.1 5.6 6.9 5.0 -11.9 3.7 3.8 4.2 2.0 2.3 1.6 12.4 11.8 5.3 0.2 8.2 -16.9 -20.0 13.1 0.9 BUND -20.0 3.6 20.0 1.7 1.5 1.5 0.0 -0.5 0.2 7.2 4.2 -3.7 -1.2 -5.0 3.9 5.1 4.4 3.7 3.0 3.9 6.1 0.7 -0.6 -1.6 5.2 1.1 2.9 1.9 0.5 0.3 -0.4 7.8 5.0 -5.7 -5.6 0.7 -20.0 -20.0 1.8 -9.2 BUXL -20.0 4.9 20.0 2.1 1.9 1.8 0.0 -0.6 0.2 7.0 4.6 -7.1 -5.0 -6.9 4.3 0.1 0.5 0.1 0.4 4.0 5.9 -2.1 -3.5 -3.6 0.9 1.2 2.2 1.9 -0.4 -0.3 -0.9 2.6 -0.2 -7.3 -6.2 1.3 -20.0 -20.0 1.2 7.2 CAC -4.3 0.9 9.3 5.7 1.4 5.1 4.2 3.2 4.5 20.0 15.2 17.8 19.3 11.5 17.6 -8.6 -5.1 -8.5 -7.3 12.8 11.0 20.0 11.2 16.5 -8.6 5.1 13.4 4.3 11.6 3.7 6.6 0.1 20.0 5.5 -4.3 -7.8 1.2 9.7 7.1 16.2 CAD -15.4 9.0 9.7 3.2 -0.7 5.4 -1.9 4.6 -1.2 13.3 0.5 -2.2 -4.1 -6.1 7.2 -1.7 -2.1 -2.0 -2.1 5.1 4.5 1.6 -3.1 -0.9 1.6 2.8 3.6 2.2 1.3 -1.2 0.3 0.0 11.5 -1.4 5.5 -11.5 -20.0 -15.9 -2.0 -14.6 CANOLA 2.3 -19.4 -20.0 1.7 5.3 -0.5 5.9 -1.7 4.4 -7.7 -10.6 -8.4 -9.0 -10.3 -11.2 -9.4 -1.8 -10.2 -7.8 -18.8 -20.0 -11.3 -16.3 -13.5 -20.0 -4.3 -2.9 -4.7 -2.8 -4.1 -3.1 -0.8 -20.0 -20.0 -20.0 -20.0 -17.3 -14.9 -10.2 -3.6 CHF -20.0 7.2 13.2 2.6 -0.6 4.4 -1.6 3.8 -1.0 10.6 7.3 -9.9 11.2 -6.8 7.5 -15.0 -15.5 -15.9 -15.9 6.0 10.5 -5.6 8.4 -5.3 -7.1 3.8 0.5 4.4 -1.0 2.9 0.0 -20.0 -5.7 -11.2 12.2 15.5 -20.0 -18.2 -17.1 -20.0 COCOA 16.4 -5.1 7.4 3.2 9.8 -0.8 11.0 -3.2 8.2 19.1 20.0 20.0 20.0 20.0 20.0 12.4 2.9 9.9 6.2 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 7.4 9.5 8.1 10.4 7.6 14.6 20.0 20.0 20.0 20.0 20.0 3.1 20.0 20.0 COFFEE -3.7 2.0 20.0 2.3 6.9 -0.6 7.7 -2.2 5.8 13.2 7.1 11.4 1.2 1.4 8.3 9.4 5.0 8.5 6.6 8.6 9.1 8.9 3.7 6.5 -18.7 3.3 4.2 4.7 2.7 3.0 1.5 17.0 3.9 -20.0 0.9 20.0 -12.7 -20.0 -10.4 -10.6 COPPER -1.6 2.8 11.9 -3.7 3.9 -2.2 1.4 -0.9 -2.9 14.5 -0.0 14.1 -3.9 2.4 8.3 -6.4 -4.8 -6.3 -5.9 4.5 2.2 13.6 -2.4 7.2 -10.0 2.2 7.8 1.5 6.9 -0.6 3.1 1.1 14.6 13.1 15.1 10.9 -12.2 -5.9 12.7 -2.5 CORN -12.3 -13.0 -6.0 3.7 11.2 -1.0 12.5 -3.6 9.3 8.7 -20.0 -16.7 -20.0 -20.0 -20.0 -12.5 -3.4 -10.6 -8.1 -20.0 -20.0 -9.4 -20.0 -20.0 -20.0 -8.3 2.2 -7.0 -1.4 -6.1 -6.3 -2.6 -18.4 -20.0 -20.0 -20.0 -5.4 -17.3 -1.7 1.7 COTTON2 20.0 11.1 -9.0 3.6 11.0 -0.9 12.3 -3.6 9.2 13.6 -8.6 18.3 -6.5 19.1 0.2 -8.1 -1.8 -7.9 -5.8 10.1 -3.5 20.0 -8.6 20.0 -20.0 5.3 3.7 0.7 7.0 -0.6 8.8 0.8 14.4 14.9 20.0 -15.1 -15.4 -15.9 -7.5 -0.1 CRUDE_W 10.7 -1.9 -10.9 1.5 5.5 -0.6 9.2 1.2 7.0 5.4 4.8 14.0 6.6 10.5 -8.9 7.2 9.3 7.5 8.5 0.5 0.9 12.3 7.4 8.9 -4.8 0.9 0.2 1.2 7.1 5.6 5.8 -1.1 -11.2 -13.6 -6.2 6.1 20.0 16.3 20.0 18.3 DAX -9.0 3.0 18.8 5.5 1.3 4.9 4.0 3.1 4.3 8.3 17.8 15.1 18.9 15.4 20.0 -15.3 -10.4 -14.2 -12.4 18.0 17.6 11.3 13.5 12.8 16.9 5.8 0.5 5.6 3.9 3.8 4.1 -8.7 1.6 -0.0 -6.6 5.3 0.4 7.5 10.3 20.0 DOW -6.9 18.4 20.0 5.4 1.3 4.8 3.9 3.0 4.2 12.7 20.0 17.5 19.2 20.0 20.0 -13.1 -10.0 -12.1 -11.3 20.0 20.0 19.9 20.0 20.0 -15.6 7.7 3.2 7.0 4.8 4.8 6.0 -7.5 16.8 17.2 20.0 20.0 -9.3 -3.8 -3.8 -8.2 DX 19.3 -3.1 -17.2 2.5 -0.6 4.2 -1.5 3.5 -0.9 13.3 1.6 17.2 -6.3 13.1 -4.3 5.6 6.0 5.9 6.1 -0.0 -3.1 11.1 1.2 9.4 -20.0 -1.5 3.3 -2.0 4.3 0.9 2.7 14.1 4.8 20.0 -10.8 -20.0 20.0 2.9 20.0 9.2 EUR -13.7 1.5 10.6 2.8 -0.6 4.7 -1.6 4.0 -1.0 -17.9 -1.9 -20.0 7.2 -12.9 4.7 -5.8 -6.6 -5.9 -6.1 -1.4 2.0 -14.6 -0.3 -10.4 16.1 1.2 -7.2 2.2 -6.4 0.5 -3.3 -7.2 -20.0 -2.5 -4.7 0.0 -20.0 -12.2 -20.0 -9.0 EURIBOR-ICE -20.0 5.9 20.0 1.3 1.2 1.2 0.0 -0.4 0.1 6.1 5.7 -1.4 2.6 -0.9 5.3 3.5 -4.4 0.5 -2.2 7.6 10.7 1.7 4.7 1.3 15.3 2.0 1.6 2.8 0.6 1.3 0.5 -4.6 3.5 -4.0 1.1 9.3 -20.0 -20.0 7.4 20.0 EUROSTX -1.3 1.2 14.0 5.4 1.3 4.8 4.0 3.1 4.3 16.6 16.6 18.5 19.3 15.0 19.0 10.8 0.8 6.7 2.7 18.2 15.9 20.0 14.3 20.0 2.2 6.0 9.0 5.2 10.3 4.1 7.1 13.1 20.0 16.1 -2.4 3.3 -3.5 9.8 0.3 18.3 FEEDCOW 20.0 16.1 -20.0 3.2 9.6 -0.8 10.8 -3.1 8.0 19.0 -8.2 20.0 -2.8 20.0 -1.1 -20.0 -20.0 -20.0 -20.0 11.4 -10.0 20.0 -5.2 20.0 -4.4 2.3 8.4 -1.3 9.8 1.4 7.9 -20.0 20.0 20.0 20.0 -20.0 17.9 6.5 20.0 16.0 GASOIL 19.9 3.8 -13.2 1.3 4.6 -0.5 7.7 1.0 5.9 10.3 5.5 14.8 6.9 13.2 -3.0 20.0 20.0 20.0 20.0 5.8 2.7 20.0 8.3 17.9 8.4 2.7 7.4 1.6 10.2 3.4 7.3 20.0 15.3 4.4 5.4 4.7 -13.6 -3.8 -20.0 -9.7 GASOLINE 17.1 7.1 -11.8 1.5 5.4 -0.6 9.0 1.2 6.9 1.3 -1.0 14.5 5.6 16.2 4.6 -20.0 7.5 -20.0 -9.5 6.7 1.0 15.2 5.4 16.0 -20.0 2.9 -0.3 0.7 6.8 4.4 7.3 -13.7 -7.1 -9.7 2.7 9.2 20.0 12.7 20.0 10.9 GAS_US_mini -0.1 3.9 -13.6 0.7 2.7 -0.3 4.4 0.6 3.4 -7.8 -9.3 -9.4 -11.4 -6.5 -9.0 15.6 -18.5 8.4 -9.2 -10.9 -14.3 -8.5 -18.5 -8.4 16.5 -2.9 -2.1 -3.7 -2.4 -3.3 -2.0 -20.0 -20.0 -20.0 -9.6 -7.5 -15.8 2.0 -20.0 -2.0 GBP -4.3 6.9 13.0 3.1 -0.7 5.2 -1.8 4.4 -1.1 -13.5 2.7 -1.1 12.6 5.5 18.6 0.1 -0.6 -0.1 -0.3 10.3 10.7 -2.2 6.6 3.1 2.5 6.7 -2.7 6.0 -0.8 2.6 2.8 3.0 -2.3 20.0 5.4 6.5 -20.0 -1.5 -17.0 8.6 GOLD_micro -11.1 0.6 10.1 -3.8 4.0 -2.3 1.4 -0.9 -3.0 16.4 10.0 -2.5 8.3 -5.9 10.0 -14.3 -14.0 -14.2 -14.4 2.4 6.5 0.6 5.7 -2.8 -5.3 2.5 4.6 3.5 2.6 3.2 1.2 -14.3 -5.9 14.2 11.0 20.0 -20.0 -20.0 -20.0 -15.0 HEATOIL 18.9 3.0 -15.4 1.4 5.2 -0.6 8.7 1.1 6.7 10.3 3.6 16.6 5.1 14.7 -4.6 20.0 20.0 20.0 20.0 4.1 0.4 20.0 7.2 16.6 -20.0 3.5 5.5 2.1 9.0 5.2 7.9 20.0 1.6 2.2 5.9 7.1 14.0 1.9 12.3 -2.5 JGB-SGX-mini -12.3 12.5 16.6 1.3 1.1 1.1 0.0 -0.4 0.1 -4.6 4.3 -5.3 4.6 2.1 5.5 7.8 17.7 11.0 13.6 4.1 4.7 -5.0 2.9 -1.0 -3.3 1.2 -1.9 1.2 -2.1 0.3 -0.6 20.0 -12.8 2.8 -4.0 -2.9 -1.5 -20.0 8.5 13.9 JPY -20.0 -1.7 16.4 1.5 -0.3 2.5 -0.9 2.2 -0.6 7.7 -7.5 -8.5 -10.0 -9.5 -4.1 -14.6 -16.0 -15.5 -16.1 -5.8 -6.4 -5.1 -12.6 -8.6 20.0 -1.3 1.1 -2.0 -1.5 -4.6 -2.4 -20.0 -0.7 -12.6 -2.4 -9.8 -12.8 -20.0 -7.6 -20.0 LEANHOG 20.0 11.4 -1.2 3.1 9.6 -0.8 10.7 -3.1 8.0 19.2 -3.5 20.0 -12.7 19.6 6.9 -20.0 -7.1 -20.0 -20.0 10.3 -5.5 20.0 -16.3 20.0 18.4 6.2 8.2 1.6 9.2 -3.0 8.9 -13.7 20.0 20.0 20.0 10.2 -10.2 -8.0 3.9 11.8 LIVECOW 20.0 5.8 -20.0 3.4 10.4 -0.9 11.7 -3.4 8.7 16.3 -9.3 20.0 -2.9 20.0 -5.4 -20.0 -8.3 -17.4 -12.8 1.5 -15.1 20.0 -6.4 20.0 -1.5 -0.7 6.3 -3.7 9.1 1.3 6.4 -9.5 20.0 7.4 2.1 -20.0 13.1 -1.8 19.5 4.5 LUMBER-new -9.4 6.8 16.1 3.7 11.4 -0.9 12.8 -3.0 9.5 13.3 -0.4 12.3 -15.3 2.1 14.1 -13.9 -14.3 -13.9 -14.1 8.9 6.3 10.1 -3.1 7.0 NaN 5.6 3.3 4.2 6.0 0.7 5.0 -17.1 2.7 -20.0 9.5 19.5 -10.5 -20.0 -6.9 -20.0 MILK 20.0 -4.6 -13.6 2.8 8.4 -0.7 9.4 -2.7 7.0 11.7 -18.1 7.7 -18.4 -10.0 -17.0 -20.0 -20.0 -20.0 -20.0 -19.5 -20.0 14.0 -20.0 -2.4 13.6 -4.8 7.2 -7.8 5.6 -9.0 0.6 -20.0 3.6 -3.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -13.7 4.2 8.4 2.5 -0.6 4.3 -1.5 3.7 -0.9 7.4 15.2 -7.5 18.3 3.9 14.4 15.5 16.4 15.3 15.4 8.5 14.0 -2.2 20.0 0.4 -20.0 3.9 0.0 6.5 -1.4 9.9 -0.1 20.0 -0.7 8.0 2.0 2.3 17.1 20.0 20.0 20.0 NASDAQ_micro 6.9 8.4 20.0 3.7 0.9 3.3 2.7 2.1 2.9 -0.3 14.5 10.4 14.4 12.8 14.9 -11.8 -9.6 -11.4 -10.7 20.0 20.0 9.5 20.0 18.7 -20.0 5.6 -1.5 5.2 2.0 4.7 4.4 -6.7 6.1 20.0 20.0 15.0 16.6 -4.3 20.0 -6.3 NIKKEI 20.0 16.5 13.0 4.8 1.2 4.3 3.5 2.8 3.8 -8.5 18.4 12.6 18.7 15.6 18.2 18.0 12.6 15.9 13.7 20.0 20.0 11.4 20.0 20.0 -14.2 6.5 -0.6 5.2 2.3 4.5 5.8 20.0 -18.5 20.0 20.0 13.8 -14.9 -3.0 -2.8 0.3 NZD -20.0 1.9 17.4 2.3 -0.5 3.9 -1.4 3.3 -0.8 5.1 3.4 -11.5 1.4 -12.2 6.0 0.2 0.2 0.2 0.2 1.2 5.3 -7.2 0.2 -8.0 0.5 0.9 -0.3 2.6 -2.8 0.8 -2.8 4.0 -4.9 -10.3 -5.6 -2.1 -10.5 -10.1 -5.5 5.0 OAT -20.0 5.0 20.0 1.8 1.6 1.6 0.0 -0.5 0.2 7.6 5.1 -2.4 -0.5 -4.2 4.9 4.9 6.7 5.0 5.5 5.7 7.9 1.6 0.9 -0.3 7.0 1.6 2.9 2.4 0.8 0.6 -0.0 12.2 6.5 -3.9 -3.8 3.1 -20.0 -20.0 5.0 3.1 OATIES 4.6 1.4 -20.0 1.4 4.2 -0.4 4.6 -1.3 3.5 6.8 -7.6 1.0 -5.9 -1.2 -6.3 5.3 -5.5 -0.5 -5.2 -5.2 -7.5 2.7 -5.2 -1.0 -20.0 -1.2 4.4 -2.9 2.3 -2.3 1.1 -3.3 -1.1 -5.6 -4.3 -15.8 -2.8 4.0 4.3 15.8 OJ 5.5 -20.0 -20.0 2.0 6.0 -0.5 6.7 -1.9 5.0 12.0 3.9 8.0 9.1 -3.3 -7.4 3.0 17.1 8.1 13.6 -6.0 3.6 20.0 17.2 2.5 -20.0 -0.7 8.9 2.6 5.7 7.1 1.1 20.0 20.0 -4.8 -20.0 6.2 7.8 11.7 15.3 20.0 PALLAD -13.1 -5.6 11.8 -1.6 1.7 -1.0 0.6 -0.4 -1.2 6.2 -6.8 -2.0 -8.3 -6.0 -5.8 -1.6 -2.2 -1.8 -2.0 -7.3 -8.8 -0.1 -12.3 -5.2 7.9 -1.4 1.8 -2.7 1.0 -3.7 -0.2 6.7 1.2 1.2 9.9 -8.8 -8.3 -7.3 -3.9 -2.7 PLAT -17.9 -1.2 5.3 -2.5 2.7 -1.5 1.0 -0.6 -2.0 6.4 -4.1 -3.7 -6.6 -7.6 -2.1 -3.9 -3.1 -3.7 -3.5 -3.9 -2.7 1.0 -3.7 -4.7 12.0 -0.9 3.3 -0.2 1.7 -0.4 -0.9 4.7 3.5 -4.2 9.0 3.3 -9.8 -5.6 17.1 1.1 REDWHEAT 1.4 -2.3 -6.5 3.0 9.1 -0.8 10.2 -3.0 7.6 1.6 -18.9 5.6 -19.4 -7.2 -12.1 -1.5 -1.5 -2.9 -2.9 -13.1 -20.0 0.9 -20.0 -4.3 -14.0 -4.0 0.1 -9.2 2.8 -10.3 1.1 3.6 -3.9 -15.4 -13.6 -19.8 -20.0 -20.0 -20.0 -16.8 RICE 4.6 2.9 10.5 3.1 9.4 -0.8 10.5 -3.0 7.9 7.6 18.0 13.3 15.5 14.3 17.1 -15.4 -1.8 -14.5 -9.5 15.9 16.1 14.0 12.8 14.9 -20.0 3.4 2.2 4.0 6.6 3.8 4.7 -0.8 -5.9 -15.1 -6.5 11.6 1.3 -8.2 8.5 0.6 ROBUSTA 20.0 20.0 18.9 2.0 6.1 -0.5 6.9 -2.0 5.1 12.1 13.4 13.5 13.2 13.8 13.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.1 3.0 4.6 3.6 3.7 4.4 20.0 11.7 20.0 20.0 20.0 -14.1 -15.1 -5.3 1.1 RUSSELL -11.1 12.0 20.0 3.3 0.8 2.9 2.4 1.9 2.6 2.1 6.2 3.3 2.7 1.5 7.5 -6.3 -6.2 -6.3 -6.4 8.6 7.9 2.3 2.7 4.1 -2.3 3.3 -0.6 2.8 1.3 1.3 2.1 -0.1 -3.7 -5.6 4.3 -2.5 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 2.7 20.0 1.3 1.1 1.1 0.0 -0.4 0.1 5.4 1.2 -2.6 -4.2 -3.6 1.7 -20.0 -20.0 -20.0 -20.0 1.2 2.1 0.5 -3.1 -1.7 8.3 1.0 1.9 1.2 0.5 -0.5 -0.1 -20.0 3.3 -5.7 -4.1 -1.6 -20.0 -20.0 -7.9 -20.0 SILVER-mini -8.2 -8.4 0.9 -3.2 3.5 -2.0 1.2 -0.8 -2.6 9.4 -3.2 0.3 -0.1 -9.3 -6.2 -6.8 -6.5 -6.9 -6.8 -7.4 -4.5 0.7 -2.3 -6.5 5.7 -3.0 2.5 -1.9 1.6 -0.4 -1.8 -1.1 -9.7 7.4 -3.9 2.3 -20.0 -17.6 8.9 -8.6 SMI -6.0 11.3 10.7 5.1 1.2 4.5 3.7 2.9 4.0 6.8 8.3 10.9 4.9 16.3 19.4 11.7 5.3 10.1 7.3 13.2 7.9 12.8 1.6 12.6 10.6 6.3 3.3 4.3 5.4 1.1 5.5 20.0 -4.6 11.2 6.9 -10.6 2.9 -6.3 11.2 -6.6 SOFR -15.1 9.3 20.0 2.0 1.7 1.7 0.0 -0.6 0.2 9.8 5.8 -1.5 0.1 -1.5 7.9 2.5 0.2 1.7 0.8 6.2 6.4 2.3 -0.6 0.6 -2.4 3.5 3.9 2.8 2.1 0.3 2.0 2.4 4.8 7.9 1.5 1.5 -20.0 -20.0 -7.3 -3.6 SOYBEAN -5.6 -20.0 -9.4 3.3 10.1 -0.9 11.2 -3.2 8.4 6.8 -7.4 -9.1 2.0 -18.8 -20.0 8.1 16.1 11.8 13.3 -20.0 -16.7 -7.7 -7.5 -20.0 -20.0 -6.3 2.2 -3.2 -2.1 -0.5 -5.8 20.0 -20.0 -20.0 -20.0 -7.9 -13.1 -20.0 -13.1 -20.0 SOYMEAL -6.3 -20.0 -8.8 2.3 7.0 -0.6 7.9 -2.3 5.9 11.0 -10.8 -6.1 -3.0 -13.0 -14.1 3.2 14.3 7.6 10.9 -19.1 -12.2 -3.0 -3.4 -15.5 -20.0 -4.7 2.4 -2.4 -1.1 0.3 -4.2 20.0 -15.0 -20.0 -20.0 -5.6 -20.0 -20.0 -20.0 -19.2 SOYOIL -1.4 -9.4 -17.8 2.2 6.7 -0.6 7.5 -2.2 5.6 -9.2 -11.4 -10.6 -8.6 -13.2 -14.5 -7.2 5.6 -2.8 1.5 -15.3 -16.3 -12.3 -12.5 -12.7 -20.0 -3.6 -5.5 -4.2 -4.8 -3.5 -3.5 13.8 -20.0 -20.0 -14.9 -14.1 -8.4 -3.0 -3.4 6.7 SP400 -6.5 13.8 19.4 3.8 0.9 3.4 2.7 2.1 3.0 2.5 10.0 6.8 7.0 6.6 11.8 -5.5 -5.2 -5.4 -5.3 12.8 11.7 4.1 5.9 7.5 -11.2 4.2 -0.7 3.7 1.5 2.2 2.7 1.8 -5.4 -2.7 4.5 -0.8 -20.0 -8.8 -20.0 -20.0 SP500_micro 4.5 14.7 20.0 5.1 1.2 4.5 3.7 2.9 4.0 6.8 19.4 15.8 17.9 18.9 20.0 -13.2 -10.7 -12.5 -11.8 20.0 20.0 17.4 20.0 20.0 -20.0 7.5 -0.0 6.5 3.9 5.1 6.2 -8.5 11.9 20.0 20.0 16.0 4.2 -4.1 15.0 -6.4 SUGAR11 20.0 -8.9 -20.0 2.1 6.4 -0.5 7.1 -2.1 5.3 4.7 -4.1 9.9 6.9 4.6 -4.1 19.0 19.5 20.0 20.0 -3.3 -6.5 12.6 3.1 9.7 -20.0 -2.2 1.3 -2.3 2.0 1.2 0.8 20.0 5.1 3.5 -20.0 -19.7 7.1 -4.4 13.9 7.1 US10 -12.2 11.0 19.8 1.6 1.4 1.4 0.0 -0.5 0.1 7.9 2.1 -1.2 -2.9 -0.3 6.2 -10.3 -7.9 -9.2 -8.6 4.6 2.8 2.3 -5.1 0.9 1.9 2.8 3.4 1.7 1.9 -0.9 1.8 -12.5 4.2 8.9 2.5 -0.1 -20.0 -20.0 -18.0 7.5 US10U -14.0 10.1 17.6 2.3 2.0 2.0 0.0 -0.7 0.2 11.6 2.1 -1.2 -4.1 -2.8 7.8 2.4 0.8 2.3 1.5 5.3 2.9 3.3 -8.1 0.3 -1.6 3.6 5.3 2.0 2.8 -1.5 2.4 3.4 7.1 10.5 2.5 -1.4 -20.0 -20.0 5.6 17.6 US2 -9.9 11.9 20.0 1.2 0.0 1.1 -0.5 -0.4 -0.1 -1.2 0.8 -5.6 -4.7 1.0 4.7 -20.0 -20.0 -20.0 -20.0 3.7 2.0 -1.8 -5.3 0.1 8.7 2.5 0.0 1.7 0.2 -0.8 1.2 -20.0 -3.4 7.7 2.7 2.4 -19.0 -20.0 -13.8 -20.0 US20 -18.1 11.4 18.2 1.5 1.4 1.4 0.0 -0.5 0.1 7.9 2.0 -1.5 -2.2 -2.2 5.2 0.1 -1.1 -0.3 -0.8 3.8 2.5 1.6 -5.2 -0.5 -1.7 2.3 3.3 1.3 1.7 -1.1 1.4 -0.4 4.1 5.2 3.0 0.4 -20.0 -20.0 20.0 20.0 US30 -19.2 6.7 16.1 1.8 1.6 1.6 0.0 -0.5 0.2 9.3 1.2 -2.2 -3.7 -4.8 4.8 -9.2 -5.2 -7.4 -6.3 1.9 1.0 1.3 -7.1 -2.3 -1.1 2.1 4.1 1.1 1.9 -1.6 1.1 -8.1 5.1 3.9 -0.5 -2.6 -15.9 -17.6 20.0 20.0 US5 -11.3 10.8 20.0 1.5 1.4 1.4 0.0 -0.5 0.1 7.5 2.8 -2.7 -3.2 0.7 6.3 -10.8 -10.3 -10.3 -10.6 4.7 3.4 1.3 -4.2 0.9 4.2 2.9 2.5 2.0 1.4 -0.5 1.7 -16.5 1.6 8.9 2.9 1.3 -20.0 -20.0 -20.0 -7.6 VIX 2.2 -1.4 -20.0 -6.9 2.2 -8.2 -2.5 -10.7 -5.4 3.5 -20.0 -9.3 -20.0 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -3.5 -20.0 -12.6 NaN -8.1 2.7 -9.9 -1.9 -12.7 -5.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.3 1.2 6.8 3.1 9.6 -0.8 10.7 -3.1 8.0 -4.2 -18.5 -6.2 -20.0 -9.5 -4.1 -11.4 -10.6 -11.2 -11.1 -8.9 -15.7 -4.6 -20.0 -6.5 -2.9 -1.9 -4.0 -5.6 -0.5 -9.6 -0.1 -11.4 -16.1 -20.0 -11.0 -4.7 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3