******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240201_204014 produced at 2024-02-01 21:37:18.577473 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -51.52 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.88 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -1.43 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 -10.59 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.16 -0.16 -0.02 -0.02 -21.43 51.0 -6 -6 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.07 0.0 0.66 -0.66 -0.25 -0.25 -1.31 13.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 0.00 -0.06 0.0 0.51 -0.51 0.00 0.00 -1.95 17.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.40 -0.05 0.0 0.84 -0.84 -0.40 -0.40 -1.09 19.0 -9 -9 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.43 -0.43 0.00 0.00 -1.94 19.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.04 0.0 0.40 -0.40 -0.14 -0.14 -4.92 56.0 -19 -19 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.05 -0.05 -0.02 -0.02 -20.48 26.0 -10 -10 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.94 -0.94 -0.04 -0.04 -0.79 25.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.36 7.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.51 8.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.65 5.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.03 0.0 0.66 -0.66 -0.14 -0.14 -0.58 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 -2.89 9.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -1.45 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 -6.19 68.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.75 -0.75 0.00 0.00 -0.74 29.0 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 -3.19 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.79 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 -2.83 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 -1.86 10.0 -3 -3 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.23 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.45 21.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.07 -0.07 -0.03 -0.03 -0.15 2.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.01 0.0 0.17 -0.17 -0.05 -0.05 -0.60 11.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.04 0.04 -0.01 0.0 0.14 -0.14 0.04 0.04 -0.18 4.0 1 1 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.01 0.0 0.66 -0.66 -0.04 -0.04 -0.34 17.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.02 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 0.00 0.0 0.51 -0.51 -0.05 -0.05 0.04 10.0 -1 -1 caleb_strategy_v3 US30 False False 0.05 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.00 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.06 4.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.00 0.0 0.05 -0.05 0.00 0.00 0.22 4.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.14 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.16 18.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.01 0.0 0.53 -0.53 0.04 0.04 0.35 13.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.13 0.01 0.0 0.39 -0.39 0.13 0.13 0.19 9.0 3 3 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.01 0.0 0.02 0.00 0.02 0.02 4.51 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 0.34 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.46 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 -0.03 0.01 0.0 0.43 -0.43 -0.03 -0.03 0.54 17.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 0.03 0.01 0.0 0.20 -0.20 0.03 0.03 0.21 6.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.25 -0.25 0.02 0.02 1.73 23.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.04 0.03 0.0 0.44 -0.44 0.04 0.04 0.77 10.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.22 0.03 0.0 0.35 -0.35 0.22 0.22 0.61 8.0 5 5 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.19 0.03 0.0 0.28 -0.28 0.19 0.19 2.46 23.0 16 16 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.12 -0.12 0.00 0.00 0.99 3.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.04 0.0 0.41 -0.41 0.03 0.03 4.93 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 1.83 4.0 2 2 caleb_strategy_v3 OAT False False 0.05 0.00 0.05 0.0 0.49 -0.49 0.00 0.00 0.95 10.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.07 0.05 0.0 0.44 -0.44 0.07 0.07 3.03 26.0 4 4 caleb_strategy_v3 CAC False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.89 12.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.06 0.05 0.0 0.44 -0.44 0.06 0.06 7.62 66.0 9 9 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.06 0.0 0.15 -0.15 0.05 0.05 5.36 13.0 4 4 caleb_strategy_v3 GBP False False 0.03 0.11 0.06 0.0 0.61 -0.61 0.11 0.11 2.32 22.0 4 4 caleb_strategy_v3 SMI False False 0.04 0.40 0.09 0.0 0.40 -0.40 0.40 0.40 2.12 9.0 9 9 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.09 0.0 0.13 -0.13 0.05 0.05 3.38 5.0 2 2 caleb_strategy_v3 SOFR False True 0.08 0.00 0.11 0.0 0.00 0.00 0.00 0.00 1.34 11.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.12 0.0 0.37 -0.37 0.00 0.00 18.90 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.31 0.13 0.0 0.35 -0.35 0.31 0.31 7.20 20.0 18 18 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.28 0.0 0.31 -0.31 0.28 0.28 32.94 36.0 33 33 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.42 0.42 0.0 0.55 -0.55 0.42 0.42 12.24 16.0 12 12 caleb_strategy_v3 MXP False False 0.01 0.47 0.45 0.0 0.60 -0.60 0.47 0.47 45.28 60.0 47 47 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.59 0.0 0.91 -0.91 0.18 0.27 6.47 10.0 2 3 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.7 Shocked risk 66.6 Sum abs risk 51.8 Leverage 4.29 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2891834.99, 'annual_cash_vol_target': 722958.7475, 'daily_cash_vol_target': 45184.92171875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6584 0.5711 9.1374 BITCOIN 1156.8028 43400.0000 2.6654 42.6471 BOBL 0.2837 118.4200 0.2396 3.8332 BTP 0.6075 119.0100 0.5104 8.1671 BUND 0.5616 135.9400 0.4131 6.6097 BUXL 1.3288 138.1200 0.9620 15.3924 CAC 57.1943 7630.5000 0.7495 11.9928 CAD 0.0028 0.7476 0.3694 5.9099 CANOLA 6.8860 608.1000 1.1324 18.1182 CHF 0.0050 1.1718 0.4252 6.8028 COCOA 58.8286 4889.0000 1.2033 19.2526 COFFEE 3.6109 191.0000 1.8905 30.2485 COPPER 0.0398 3.8545 1.0330 16.5285 CORN 4.1519 477.7500 0.8691 13.9049 COTTON2 0.9299 87.6400 1.0610 16.9768 CRUDE_W 1.0683 72.8700 1.4661 23.4570 DAX 109.1951 17024.0000 0.6414 10.2627 DOW 201.4165 38587.0000 0.5220 8.3517 DX 0.3657 102.8650 0.3556 5.6889 EUR 0.0045 1.0894 0.4160 6.6561 EURIBOR-ICE 0.0531 97.9400 0.0542 0.8669 EUROSTX 35.1540 4676.0000 0.7518 12.0287 FEEDCOW 1.8130 255.5500 0.7094 11.3510 GASOIL 12.9836 814.7500 1.5936 25.4970 GASOLINE 0.0394 2.4252 1.6249 25.9978 GAS_US_mini 0.0933 2.0650 4.5191 72.3050 GBP 0.0057 1.2753 0.4432 7.0907 GOLD_micro 13.1391 2071.9000 0.6342 10.1465 HEATOIL 0.0383 2.6568 1.4414 23.0623 JGB-SGX-mini 0.2972 146.8800 0.2023 3.2375 JPY 0.0000 0.0069 0.6051 9.6817 LEANHOG 1.1221 83.9750 1.3362 21.3792 LIVECOW 1.2049 183.1000 0.6580 10.5287 LUMBER-new 7.1441 579.0000 1.2339 19.7420 MILK 0.2295 17.7400 1.2935 20.6965 MXP 0.0004 0.0581 0.6522 10.4351 NASDAQ_micro 137.8638 17429.5000 0.7910 12.6557 NIKKEI 309.3698 36110.0000 0.8567 13.7079 NZD 0.0036 0.6138 0.5802 9.2827 OAT 0.5614 130.3500 0.4307 6.8912 OATIES 7.0269 375.2500 1.8726 29.9614 OJ 6.6498 359.7000 1.8487 29.5791 PALLAD 24.4191 970.0000 2.5174 40.2790 PLAT 13.9883 923.0000 1.5155 24.2485 REDWHEAT 9.5631 618.7500 1.5456 24.7289 RICE 0.1729 18.3150 0.9442 15.1068 ROBUSTA 42.9476 3147.0000 1.3647 21.8354 RUSSELL 23.1597 1978.8000 1.1704 18.7263 SHATZ 0.1001 106.0950 0.0943 1.5089 SILVER-mini 0.3242 23.4500 1.3824 22.1181 SMI 75.8626 11195.0000 0.6776 10.8424 SOFR 0.0663 96.8200 0.0684 1.0950 SOYBEAN 10.3561 1185.2500 0.8738 13.9800 SOYMEAL 4.9286 357.6000 1.3782 22.0517 SOYOIL 0.6492 46.1100 1.4080 22.5282 SP400 24.8891 2773.5000 0.8974 14.3582 SP500_micro 30.6505 4922.2500 0.6227 9.9631 SUGAR11 0.3703 22.7300 1.6289 26.0629 US10 0.4034 112.8906 0.3574 5.7180 US10U 0.5547 117.8125 0.4709 7.5337 US2 0.1181 102.8789 0.1147 1.8360 US20 0.8355 124.0000 0.6738 10.7802 US30 1.2382 131.6875 0.9402 15.0439 US5 0.2704 108.6953 0.2488 3.9802 VIX 0.4330 16.1500 2.6809 42.8940 WHEAT 8.2640 636.2500 1.2989 20.7818 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.40 0.57 376.00 1.00 376.00 45184.92 120.17 -6.21 -74.64 BITCOIN 43.40 2.67 115.68 1.00 115.68 45184.92 390.60 1.07 41.63 BOBL 1184.20 0.24 283.70 1.08 306.85 45184.92 147.25 -7.30 -107.44 BTP 1190.10 0.51 607.48 1.08 657.05 45184.92 68.77 3.30 22.72 BUND 1359.40 0.41 561.58 1.08 607.40 45184.92 74.39 0.53 3.91 BUXL 1381.20 0.96 1328.75 1.08 1437.18 45184.92 31.44 -1.74 -5.46 CAC 763.05 0.75 571.94 1.08 618.61 45184.92 73.04 7.60 55.53 CAD 747.65 0.37 276.16 1.00 276.16 45184.92 163.62 -1.74 -28.54 CANOLA 121.62 1.13 137.72 0.75 102.61 45184.92 440.35 -20.00 -880.69 CHF 1464.75 0.43 622.78 1.00 622.78 45184.92 72.55 -6.96 -50.49 COCOA 488.90 1.20 588.29 1.00 588.29 45184.92 76.81 18.42 141.49 COFFEE 716.25 1.89 1354.09 1.00 1354.09 45184.92 33.37 -0.55 -1.84 COPPER 963.62 1.03 995.45 1.00 995.45 45184.92 45.39 0.43 1.96 CORN 238.88 0.87 207.60 1.00 207.60 45184.92 217.66 -20.00 -435.32 COTTON2 438.20 1.06 464.95 1.00 464.95 45184.92 97.18 -2.89 -28.13 CRUDE_W 728.70 1.47 1068.32 1.00 1068.32 45184.92 42.30 7.37 31.18 DAX 170.24 0.64 109.20 1.08 118.11 45184.92 382.58 14.48 554.10 DOW 192.94 0.52 100.71 1.00 100.71 45184.92 448.67 7.31 327.87 DX 1028.65 0.36 365.74 1.00 365.74 45184.92 123.54 -0.43 -5.34 EUR 1361.69 0.42 566.47 1.00 566.47 45184.92 79.77 -2.82 -22.49 EURIBOR-ICE 2448.50 0.05 132.67 1.08 143.49 45184.92 314.89 6.03 189.78 EUROSTX 467.60 0.75 351.54 1.08 380.23 45184.92 118.84 17.77 211.13 FEEDCOW 1277.75 0.71 906.48 1.00 906.48 45184.92 49.85 3.70 18.47 GASOIL 814.75 1.59 1298.36 1.00 1298.36 45184.92 34.80 12.15 42.28 GASOLINE 1018.58 1.62 1655.06 1.00 1655.06 45184.92 27.30 -1.55 -4.22 GAS_US_mini 51.62 4.52 233.30 1.00 233.30 45184.92 193.68 -9.77 -189.15 GBP 797.06 0.44 353.23 1.00 353.23 45184.92 127.92 7.00 89.52 GOLD_micro 207.19 0.63 131.39 1.00 131.39 45184.92 343.90 -4.19 -144.15 HEATOIL 1115.86 1.44 1608.38 1.00 1608.38 45184.92 28.09 8.14 22.88 JGB-SGX-mini 146880.00 0.20 29719.81 0.01 200.98 45184.92 224.82 5.03 112.99 JPY 860.44 0.61 520.65 1.00 520.65 45184.92 86.78 -8.65 -75.11 LEANHOG 335.90 1.34 448.83 1.00 448.83 45184.92 100.67 8.76 88.23 LIVECOW 732.40 0.66 481.95 1.00 481.95 45184.92 93.75 1.75 16.43 LUMBER-new 159.22 1.23 196.46 1.00 196.46 45184.92 229.99 -6.50 -149.43 MILK 354.80 1.29 458.94 1.00 458.94 45184.92 98.45 -12.55 -123.53 MXP 290.55 0.65 189.49 1.00 189.49 45184.92 238.45 12.94 308.51 NASDAQ_micro 348.59 0.79 275.73 1.00 275.73 45184.92 163.88 6.46 105.81 NIKKEI 36110.00 0.86 30936.98 0.01 209.21 45184.92 215.98 14.08 304.14 NZD 613.85 0.58 356.14 1.00 356.14 45184.92 126.88 -1.36 -17.31 OAT 1303.50 0.43 561.42 1.08 607.23 45184.92 74.41 3.76 27.97 OATIES 187.62 1.87 351.34 1.00 351.34 45184.92 128.61 -9.03 -116.12 OJ 539.55 1.85 997.46 1.00 997.46 45184.92 45.30 4.76 21.55 PALLAD 970.00 2.52 2441.91 1.00 2441.91 45184.92 18.50 -2.46 -4.54 PLAT 461.50 1.52 699.42 1.00 699.42 45184.92 64.60 1.54 9.94 REDWHEAT 309.38 1.55 478.16 1.00 478.16 45184.92 94.50 -20.00 -189.00 RICE 366.30 0.94 345.85 1.00 345.85 45184.92 130.65 0.70 9.15 ROBUSTA 314.70 1.36 429.48 1.00 429.48 45184.92 105.21 14.07 148.01 RUSSELL 98.94 1.17 115.80 1.00 115.80 45184.92 390.20 -4.79 -186.75 SHATZ 1060.95 0.09 100.05 1.08 108.22 45184.92 417.54 -9.17 -383.09 SILVER-mini 586.25 1.38 810.42 1.00 810.42 45184.92 55.75 -4.15 -23.15 SMI 1119.50 0.68 758.63 1.16 878.07 45184.92 51.46 12.06 62.04 SOFR 2420.50 0.07 165.66 1.00 165.66 45184.92 272.76 0.81 22.04 SOYBEAN 592.62 0.87 517.81 1.00 517.81 45184.92 87.26 -16.82 -146.76 SOYMEAL 357.60 1.38 492.86 1.00 492.86 45184.92 91.68 -17.01 -155.92 SOYOIL 276.66 1.41 389.54 1.00 389.54 45184.92 116.00 -17.20 -199.47 SP400 2773.50 0.90 2488.91 1.00 2488.91 45184.92 18.15 -3.87 -7.02 SP500_micro 246.11 0.62 153.25 1.00 153.25 45184.92 294.84 7.20 212.19 SUGAR11 254.58 1.63 414.69 1.00 414.69 45184.92 108.96 -0.70 -7.61 US10 1128.91 0.36 403.44 1.00 403.44 45184.92 112.00 -2.37 -26.50 US10U 1178.12 0.47 554.73 1.00 554.73 45184.92 81.45 3.35 27.25 US2 2057.58 0.11 236.10 1.00 236.10 45184.92 191.38 -5.91 -113.20 US20 1240.00 0.67 835.47 1.00 835.47 45184.92 54.08 2.73 14.74 US30 1316.88 0.94 1238.19 1.00 1238.19 45184.92 36.49 -0.04 -0.15 US5 1086.95 0.25 270.39 1.00 270.39 45184.92 167.11 -3.74 -62.58 VIX 161.50 2.68 432.96 1.00 432.96 45184.92 104.36 -20.00 -208.73 WHEAT 318.12 1.30 413.20 1.00 413.20 45184.92 109.35 -19.92 -217.78 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -74.644 0.010 2.5 -1.937 BITCOIN 41.633 0.043 2.5 4.508 BOBL -107.442 0.004 2.5 -1.090 BTP 22.718 0.014 2.5 0.775 BUND 3.906 0.004 2.5 0.040 BUXL -5.462 0.004 2.5 -0.055 CAC 55.531 0.014 2.5 1.894 CAD -28.543 0.010 2.5 -0.741 CANOLA -880.695 0.010 2.5 -21.426 CHF -50.488 0.010 2.5 -1.310 COCOA 141.495 0.009 2.5 3.030 COFFEE -1.845 0.005 2.5 -0.022 COPPER 1.963 0.043 2.5 0.213 CORN -435.315 0.010 2.5 -10.591 COTTON2 -28.126 0.009 2.5 -0.602 CRUDE_W 31.183 0.043 2.5 3.377 DAX 554.099 0.014 2.5 18.900 DOW 327.867 0.009 2.5 7.620 DX -5.336 0.010 2.5 -0.138 EUR -22.486 0.010 2.5 -0.583 EURIBOR-ICE 189.776 0.014 2.5 6.473 EUROSTX 211.127 0.014 2.5 7.201 FEEDCOW 18.467 0.013 2.5 0.612 GASOIL 42.284 0.017 2.5 1.833 GASOLINE -4.223 0.017 2.5 -0.183 GAS_US_mini -189.150 0.043 2.5 -20.483 GBP 89.523 0.010 2.5 2.323 GOLD_micro -144.152 0.014 2.5 -4.917 HEATOIL 22.876 0.017 2.5 0.992 JGB-SGX-mini 112.995 0.043 2.5 12.236 JPY -75.109 0.010 2.5 -1.949 LEANHOG 88.234 0.024 2.5 5.362 LIVECOW 16.433 0.013 2.5 0.545 LUMBER-new -149.429 0.009 2.5 -3.194 MILK -123.526 0.009 2.5 -2.646 MXP 308.508 0.059 2.5 45.281 NASDAQ_micro 105.815 0.009 2.5 2.459 NIKKEI 304.143 0.043 2.5 32.935 NZD -17.313 0.010 2.5 -0.449 OAT 27.974 0.014 2.5 0.954 OATIES -116.124 0.010 2.5 -2.825 OJ 21.547 0.009 2.5 0.461 PALLAD -4.543 0.014 2.5 -0.155 PLAT 9.944 0.014 2.5 0.339 REDWHEAT -188.996 0.005 2.5 -2.507 RICE 9.155 0.010 2.5 0.223 ROBUSTA 148.011 0.005 2.5 1.728 RUSSELL -186.754 0.013 2.5 -6.189 SHATZ -383.085 0.004 2.5 -3.885 SILVER-mini -23.148 0.014 2.5 -0.790 SMI 62.044 0.014 2.5 2.116 SOFR 22.041 0.024 2.5 1.340 SOYBEAN -146.756 0.004 2.5 -1.365 SOYMEAL -155.916 0.004 2.5 -1.450 SOYOIL -199.468 0.004 2.5 -1.857 SP400 -7.024 0.013 2.5 -0.233 SP500_micro 212.190 0.009 2.5 4.931 SUGAR11 -7.610 0.009 2.5 -0.162 US10 -26.502 0.005 2.5 -0.336 US10U 27.255 0.005 2.5 0.345 US2 -113.198 0.005 2.5 -1.434 US20 14.741 0.005 2.5 0.187 US30 -0.149 0.005 2.5 -0.002 US5 -62.579 0.005 2.5 -0.793 VIX -208.725 0.099 2.5 -51.523 WHEAT -217.778 0.005 2.5 -2.889 ===================== Position diags ===================== AUD 3.12 BITCOIN 42.30 BOBL 1.49 BTP 2.35 BUND 0.75 BUXL 0.32 CAC 2.49 CAD 4.25 CANOLA 10.71 CHF 1.88 COCOA 1.65 COFFEE 0.39 COPPER 4.92 CORN 5.30 COTTON2 2.08 CRUDE_W 4.58 DAX 13.05 DOW 10.43 DX 3.21 EUR 2.07 EURIBOR-ICE 10.74 EUROSTX 4.05 FEEDCOW 1.65 GASOIL 1.51 GASOLINE 1.18 GAS_US_mini 20.97 GBP 3.32 GOLD_micro 11.73 HEATOIL 1.22 JGB-SGX-mini 24.35 JPY 2.25 LEANHOG 6.12 LIVECOW 3.11 LUMBER-new 4.92 MILK 2.11 MXP 35.00 NASDAQ_micro 3.81 NIKKEI 23.39 NZD 3.29 OAT 2.54 OATIES 3.13 OJ 0.97 PALLAD 0.63 PLAT 2.20 REDWHEAT 1.25 RICE 3.18 ROBUSTA 1.23 RUSSELL 12.93 SHATZ 4.23 SILVER-mini 1.90 SMI 1.76 SOFR 16.58 SOYBEAN 0.81 SOYMEAL 0.85 SOYOIL 1.08 SP400 0.60 SP500_micro 6.85 SUGAR11 2.32 US10 1.42 US10U 1.03 US2 2.43 US20 0.69 US30 0.46 US5 2.12 VIX 25.76 WHEAT 1.45 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.2 -1.6 0.0 0 BITCOIN 4.5 0.3 8.7 15.0 15 BOBL -1.1 -1.2 -0.9 -9.0 -9 BTP 0.8 0.5 1.0 1.0 1 BUND 0.0 -0.0 0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 1.9 1.6 2.1 0.0 0 CAD -0.7 -1.2 -0.3 0.0 0 CANOLA -21.4 -22.5 -20.4 -6.0 -6 CHF -1.3 -1.5 -1.1 -5.0 -5 COCOA 3.0 2.9 3.2 4.0 4 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER 0.2 -0.3 0.7 1.0 1 CORN -10.6 -11.1 -10.1 -10.0 -10 COTTON2 -0.6 -0.8 -0.4 -3.0 -3 CRUDE_W 3.4 2.9 3.8 2.0 2 DAX 18.9 17.6 20.2 0.0 0 DOW 7.6 6.6 8.7 9.0 9 DX -0.1 -0.5 0.2 NaN 0 EUR -0.6 -0.8 -0.4 -3.0 -3 EURIBOR-ICE 6.5 5.4 7.5 2.0 2 EUROSTX 7.2 6.8 7.6 18.0 18 FEEDCOW 0.6 0.4 0.8 5.0 5 GASOIL 1.8 1.7 2.0 2.0 2 GASOLINE -0.2 -0.3 -0.1 1.0 1 GAS_US_mini -20.5 -22.6 -18.4 -10.0 -10 GBP 2.3 2.0 2.7 4.0 4 GOLD_micro -4.9 -6.1 -3.7 -19.0 -19 HEATOIL 1.0 0.9 1.1 0.0 0 JGB-SGX-mini 12.2 9.8 14.7 12.0 12 JPY -1.9 -2.2 -1.7 0.0 0 LEANHOG 5.4 4.8 6.0 4.0 4 LIVECOW 0.5 0.2 0.9 -1.0 -1 LUMBER-new -3.2 -3.7 -2.7 NaN 0 MILK -2.6 -2.9 -2.4 NaN 0 MXP 45.3 41.8 48.8 47.0 47 NASDAQ_micro 2.5 2.1 2.8 16.0 16 NIKKEI 32.9 30.6 35.3 33.0 33 NZD -0.4 -0.8 -0.1 0.0 0 OAT 1.0 0.7 1.2 0.0 0 OATIES -2.8 -3.1 -2.5 NaN 0 OJ 0.5 0.4 0.6 NaN 0 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT 0.3 0.1 0.6 0.0 0 REDWHEAT -2.5 -2.6 -2.4 -3.0 -3 RICE 0.2 -0.1 0.5 NaN 0 ROBUSTA 1.7 1.6 1.9 2.0 2 RUSSELL -6.2 -7.5 -4.9 -1.0 -1 SHATZ -3.9 -4.3 -3.5 NaN 0 SILVER-mini -0.8 -1.0 -0.6 NaN 0 SMI 2.1 1.9 2.3 9.0 9 SOFR 1.3 -0.3 3.0 NaN 0 SOYBEAN -1.4 -1.4 -1.3 -2.0 -2 SOYMEAL -1.5 -1.5 -1.4 0.0 0 SOYOIL -1.9 -2.0 -1.7 -3.0 -3 SP400 -0.2 -0.3 -0.2 0.0 0 SP500_micro 4.9 4.2 5.6 3.0 3 SUGAR11 -0.2 -0.4 0.1 0.0 0 US10 -0.3 -0.5 -0.2 -1.0 -1 US10U 0.3 0.2 0.4 1.0 1 US2 -1.4 -1.7 -1.2 NaN 0 US20 0.2 0.1 0.3 3.0 3 US30 -0.0 -0.0 0.0 0.0 0 US5 -0.8 -1.0 -0.6 -1.0 -1 VIX -51.5 -54.1 -48.9 -17.0 -17 WHEAT -2.9 -3.0 -2.7 -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 4.0 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 0.0 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 -0.1 -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 -0.2 -0.5 -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 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 0.0 0.5 -0.0 -2.7 0.0 0.0 0.2 0.0 0.3 -0.0 -0.1 -0.1 0.2 0.3 0.6 -0.2 0.2 0.3 0.4 BOBL -0.6 0.0 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 0.1 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 0.0 0.1 -0.0 0.2 -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 -0.0 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 0.1 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.1 -0.0 -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 0.1 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 0.1 0.1 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 0.1 -0.2 -0.2 0.0 0.3 0.2 0.5 CAD -0.5 0.3 0.3 0.0 0.0 0.2 0.0 0.2 -0.0 0.2 0.0 0.0 -0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.1 0.0 0.2 0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.2 -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 -0.2 -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 0.2 0.2 -0.1 0.4 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.0 0.2 -0.0 -0.9 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 0.6 -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 0.3 0.1 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 0.8 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.0 0.1 0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -2.6 0.0 0.0 0.1 0.0 0.1 0.0 0.9 0.2 -0.6 0.0 0.6 -0.4 -0.7 -0.3 -0.4 COPPER -0.0 0.1 0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.1 -1.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.3 0.5 0.4 -0.4 -0.2 0.4 -0.1 CORN -0.4 -0.4 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -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 0.2 -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 0.1 0.0 0.1 -0.0 0.1 0.0 0.5 0.6 0.6 -0.5 -0.5 -0.5 -0.3 -0.0 CRUDE_W 0.3 -0.1 -0.3 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 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 -0.5 -0.2 0.2 0.7 0.5 0.7 0.6 DAX -0.2 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 0.2 2.3 0.1 0.0 0.2 0.1 0.1 0.1 -0.5 0.1 0.0 -0.3 0.2 0.0 0.3 0.3 0.7 DOW -0.3 0.5 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 -0.5 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 0.0 0.1 -2.7 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.8 -0.4 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 0.2 -0.0 -0.0 -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 2.2 0.0 0.0 0.1 -0.0 0.0 -0.0 -0.4 -0.4 -0.1 -0.1 0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 0.1 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 0.1 0.0 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.5 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 0.6 -0.1 0.1 -0.1 0.3 -0.0 0.6 FEEDCOW 0.6 0.6 -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 0.2 -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 0.1 -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 0.4 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 -0.1 -0.0 0.1 0.2 0.2 0.1 -0.4 0.1 -0.4 -0.2 0.1 0.0 0.1 0.1 0.1 -2.7 0.0 -0.1 0.0 0.0 0.2 0.1 -0.7 -0.3 -0.4 0.0 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.1 0.2 -0.4 0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 -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 -0.3 -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 0.1 0.5 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.2 0.1 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 -0.3 0.0 0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.2 0.3 0.1 0.3 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 0.1 0.2 0.0 -0.7 0.0 0.1 0.1 0.1 0.1 0.0 -0.8 0.0 0.6 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 -0.0 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 -0.4 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 0.0 0.0 -0.0 0.1 0.0 -0.4 0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 -0.3 0.0 -0.1 -0.1 -0.1 -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 -0.3 -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 0.1 -0.1 0.2 -0.5 0.2 0.1 -0.4 -0.2 -0.4 -0.4 0.1 -0.0 0.2 -0.4 0.2 2.5 0.1 0.0 0.1 0.1 -0.1 0.1 -0.8 0.5 0.6 0.6 0.4 -0.3 -0.3 0.1 0.4 LIVECOW 0.6 0.3 -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 -0.2 -0.4 -0.3 0.0 -0.1 0.2 -0.2 0.2 -0.2 0.0 0.1 -0.1 0.1 0.0 0.1 -0.5 0.5 0.4 0.2 -0.6 0.5 -0.1 0.7 0.2 LUMBER-new -0.3 0.2 0.6 0.1 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.0 0.1 -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 0.0 0.0 0.1 -1.1 0.1 -0.7 0.3 0.7 -0.4 -0.8 -0.3 -0.8 MILK 0.6 0.1 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.5 0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.2 -0.5 0.0 1.7 -0.0 0.1 -0.2 0.1 -0.3 0.0 -1.1 0.5 0.0 -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 -0.0 0.7 0.1 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 0.2 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 0.0 0.6 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.6 0.6 0.5 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 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 -0.5 0.6 0.6 0.4 -0.5 -0.1 -0.1 0.0 NZD -0.6 0.0 0.5 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 -0.0 0.0 -0.1 0.1 0.0 0.0 0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.3 -0.2 -0.1 -0.4 -0.3 -0.2 0.2 OAT -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 0.1 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 0.6 0.1 -0.1 -0.1 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.2 0.1 -0.6 0.0 0.0 -0.0 0.0 -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 -0.1 -0.1 -0.1 -0.5 -0.1 0.1 0.1 0.5 OJ 0.4 -0.6 -0.6 0.0 0.0 -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 -0.0 0.0 0.2 0.5 0.1 -2.7 -0.0 0.1 0.1 0.1 0.3 0.0 1.1 0.5 0.0 -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 0.0 -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 1.1 -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 -0.5 -0.1 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 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 0.0 -0.7 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -1.9 -0.0 -0.0 -0.2 0.0 -0.4 0.0 0.2 -0.2 -0.6 -0.6 -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 0.1 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 0.0 -0.3 -0.2 0.4 0.1 -0.3 0.3 0.0 ROBUSTA 0.6 0.6 0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.4 0.1 0.5 0.2 0.2 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 0.4 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.4 0.3 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 0.0 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 -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 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.2 -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 -0.1 0.0 -0.1 -0.1 0.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.2 0.3 -0.1 0.1 -0.7 -0.6 0.3 -0.3 SMI -0.2 0.4 0.4 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 1.4 0.1 -0.0 0.1 0.0 0.0 0.1 1.1 -0.2 0.1 0.2 -0.4 0.1 -0.2 0.4 -0.2 SOFR -0.4 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 0.1 -0.0 0.0 -0.3 0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.2 0.3 0.1 0.1 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.1 -0.6 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.0 -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 -0.1 -0.6 -0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.3 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -2.7 -0.0 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 -0.1 -0.3 -0.6 0.0 0.0 -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 -0.6 -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 -0.2 -0.1 0.1 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.0 0.3 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -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 -0.5 0.2 0.6 0.6 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.6 -0.2 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -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 0.0 -0.6 -0.6 0.2 -0.1 0.5 0.2 US10 -0.3 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 0.1 -0.1 0.0 0.2 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 -0.4 0.3 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -0.2 0.0 -0.2 0.0 0.1 0.1 0.1 -0.0 0.0 0.2 0.3 0.4 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 0.1 0.0 -0.0 -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 -0.5 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 0.1 0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.0 -0.7 -0.7 0.7 0.7 US30 -0.5 0.2 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 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.2 0.0 -0.1 0.0 0.1 0.0 0.0 -0.1 0.0 -0.4 0.2 0.2 0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.3 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 0.1 -0.1 0.0 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 -0.9 0.1 0.3 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 -0.1 -1.0 -0.1 0.0 -0.4 -0.0 -0.6 -0.1 0.1 -0.9 -0.1 -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 -0.8 -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 -0.1 -0.5 -0.1 -0.7 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 -0.4 -0.0 -0.0 -0.2 -0.0 -0.4 -0.0 -0.6 -0.4 -0.6 -0.5 -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 0.6 14.4 2.8 3.0 4.5 0.2 3.9 -0.3 -11.3 -0.0 -14.7 -7.9 -15.8 2.9 -2.5 -2.8 -2.6 -2.7 -1.0 2.8 -9.1 -3.5 -9.7 2.9 0.2 -2.6 1.7 -3.7 -0.7 -3.6 -1.1 -8.4 -14.6 -7.4 -3.0 -20.0 -10.0 -5.7 3.4 BITCOIN -19.8 -5.7 15.9 -3.9 3.5 -2.5 1.7 -1.0 -2.7 14.1 15.1 -4.1 16.9 -4.5 12.3 -6.5 -6.4 -7.5 -7.4 8.9 18.4 3.3 16.8 -0.9 -20.0 3.7 3.6 8.0 1.1 7.4 -0.5 -1.4 -5.2 4.8 10.4 20.0 -5.8 6.9 7.9 11.9 BOBL -20.0 0.6 20.0 1.6 3.1 1.3 1.3 -0.4 0.7 6.4 3.6 1.3 -0.8 -3.2 3.5 -20.0 -14.1 -20.0 -20.0 3.3 4.9 4.0 -0.2 0.4 7.2 1.2 3.6 1.7 1.8 0.2 0.4 -20.0 3.6 -5.2 -5.4 -0.3 -20.0 -20.0 0.3 -19.8 BTP -14.1 8.1 20.0 2.7 5.1 2.2 2.1 -0.6 1.2 12.5 9.5 7.9 8.3 1.1 9.8 4.6 6.7 5.2 5.7 12.7 14.6 6.8 7.2 5.9 -12.1 3.8 3.6 4.3 2.4 2.4 1.9 12.4 1.9 3.3 -1.1 7.7 -16.8 -20.0 13.4 0.7 BUND -20.0 1.7 20.0 1.9 3.5 1.5 1.5 -0.4 0.8 8.6 4.2 1.5 -1.0 -4.0 4.1 5.1 4.4 3.8 3.1 4.3 5.9 4.7 -0.4 0.6 5.1 1.3 4.5 1.9 2.0 0.3 0.4 7.8 4.6 -4.9 -5.9 0.5 -20.0 -20.0 1.9 -9.3 BUXL -20.0 3.0 20.0 2.3 4.3 1.9 1.8 -0.6 1.0 9.9 4.7 -1.0 -4.8 -5.9 4.5 0.0 0.5 0.1 0.3 4.4 5.8 3.4 -3.2 -0.9 0.9 1.5 4.7 1.9 1.5 -0.2 -0.0 2.6 0.1 -6.8 -7.0 0.9 -20.0 -20.0 1.4 7.0 CAC -2.6 -0.0 9.6 5.8 2.7 5.2 4.3 3.3 4.7 14.5 15.5 16.6 19.3 12.1 17.9 -8.7 -5.2 -8.5 -7.3 13.3 11.3 20.0 11.3 16.4 -8.6 5.3 7.4 4.4 9.7 3.8 6.6 0.1 19.2 4.2 -5.0 -7.5 0.9 9.8 6.6 16.3 CAD -14.2 7.9 9.5 3.5 3.7 5.6 0.3 4.8 -0.3 19.2 0.7 2.9 -3.9 -5.1 7.5 -1.7 -2.1 -1.9 -2.1 5.5 4.7 5.3 -2.9 1.1 1.5 3.2 7.2 2.3 3.2 -1.1 1.2 0.0 9.9 -1.0 6.1 -11.1 -20.0 -15.9 -2.0 -14.7 CANOLA 3.4 -18.9 -20.0 1.9 3.7 -0.3 5.2 -1.6 4.3 -9.5 -10.6 -9.4 -9.0 -10.6 -11.2 -9.5 -1.9 -10.2 -7.8 -18.9 -19.9 -13.6 -16.2 -14.5 -20.0 -4.3 -4.0 -4.6 -3.3 -4.0 -3.3 -0.9 -20.0 -20.0 -20.0 -20.0 -17.7 -15.1 -10.4 -3.8 CHF -20.0 6.4 13.4 2.9 3.1 4.6 0.2 4.0 -0.3 17.8 7.6 -6.0 11.3 -5.5 7.8 -14.8 -15.5 -15.8 -15.8 6.6 10.7 1.2 8.6 -2.4 -7.1 4.1 4.2 4.6 1.0 3.1 0.9 -20.0 7.9 -10.7 13.1 15.8 -20.0 -18.1 -17.2 -20.0 COCOA 18.5 -6.8 5.3 3.5 6.9 -0.6 9.8 -3.0 8.1 19.4 20.0 20.0 20.0 20.0 20.0 12.5 3.0 10.1 6.3 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 10.5 9.1 9.3 9.8 8.1 14.9 20.0 20.0 20.0 20.0 20.0 3.3 20.0 20.0 COFFEE -1.4 2.7 20.0 2.5 5.0 -0.4 7.1 -2.1 5.9 14.0 7.6 13.1 1.5 2.1 8.8 9.4 5.1 8.5 6.7 9.4 9.7 9.8 4.0 7.6 -19.1 3.6 4.0 4.9 3.1 3.1 1.9 17.2 8.7 -19.3 0.3 20.0 -12.4 -20.0 -10.2 -10.6 COPPER -0.3 2.3 12.2 -3.6 3.2 -2.3 1.6 -0.9 -2.5 8.7 0.1 12.0 -4.0 2.4 8.6 -6.5 -4.8 -6.3 -5.9 4.6 2.3 9.4 -2.3 6.5 -10.2 2.2 1.2 1.6 4.5 -0.6 2.8 1.1 9.6 10.3 14.4 11.2 -12.6 -5.8 12.9 -2.3 CORN -11.0 -13.6 -7.8 4.0 7.9 -0.6 11.2 -3.4 9.2 2.4 -20.0 -16.4 -20.0 -20.0 -20.0 -12.6 -3.5 -10.7 -8.2 -20.0 -20.0 -9.4 -20.0 -20.0 -20.0 -8.3 0.3 -7.1 -1.6 -6.2 -6.0 -2.7 -17.6 -20.0 -20.0 -20.0 -5.2 -17.6 -1.7 1.5 COTTON2 20.0 12.7 -7.9 4.0 7.8 -0.6 11.1 -3.3 9.1 19.5 -7.8 20.0 -6.2 20.0 2.1 -8.0 -1.9 -7.9 -5.8 11.7 -2.4 20.0 -8.1 20.0 -20.0 5.6 8.1 1.0 8.4 -0.4 9.1 0.8 20.0 18.3 20.0 -14.2 -15.4 -15.9 -7.6 -0.1 CRUDE_W 10.8 -1.9 -10.7 1.6 6.6 -0.6 9.6 1.2 7.2 6.9 4.8 14.7 6.6 10.8 -8.8 7.2 9.3 7.5 8.5 0.7 1.0 13.2 7.5 9.4 -4.8 1.0 1.2 1.2 7.6 5.6 6.0 -1.1 -12.2 -13.9 -6.4 6.1 20.0 16.5 20.0 18.5 DAX -6.8 3.6 20.0 5.7 2.6 5.0 4.2 3.2 4.6 15.3 18.5 18.3 19.3 17.6 20.0 -15.4 -10.5 -14.3 -12.5 20.0 19.3 14.3 14.9 15.2 17.0 6.1 2.8 5.8 4.7 4.0 4.7 -8.7 6.1 0.6 -7.9 5.6 0.2 7.7 10.0 20.0 DOW -7.9 15.1 20.0 5.5 2.5 4.8 4.1 3.1 4.4 16.1 20.0 18.2 19.2 20.0 20.0 -13.1 -10.0 -12.2 -11.3 20.0 20.0 20.0 20.0 20.0 -15.5 7.7 4.2 7.1 4.9 4.9 6.0 -7.5 18.7 17.3 20.0 20.0 -9.3 -3.9 -3.5 -8.3 DX 18.0 -2.5 -14.1 2.7 2.9 4.4 0.2 3.7 -0.2 -13.0 1.6 11.2 -6.3 12.1 -4.7 5.6 6.0 5.9 6.1 -0.7 -3.3 3.6 1.1 6.6 -20.0 -1.9 -3.5 -2.2 0.9 0.8 1.5 14.1 -14.8 20.0 -12.8 -20.0 20.0 2.8 20.0 9.1 EUR -13.4 0.8 9.7 3.0 3.2 4.9 0.3 4.2 -0.3 -2.1 -2.0 -16.1 7.1 -12.4 4.7 -5.9 -6.6 -5.9 -6.1 -1.2 1.9 -8.6 -0.3 -8.6 16.3 1.3 0.2 2.2 -3.5 0.5 -2.5 -7.2 -15.1 -3.1 -3.6 0.1 -20.0 -12.2 -20.0 -9.1 EURIBOR-ICE -20.0 3.7 20.0 1.5 2.8 1.2 1.2 -0.4 0.6 7.0 5.7 2.4 2.7 -0.3 5.4 3.5 -4.4 0.7 -2.1 7.8 10.6 4.3 4.7 2.6 15.2 2.1 2.4 2.8 1.3 1.3 0.8 -4.4 2.1 -3.5 0.5 9.1 -20.0 -20.0 7.5 20.0 EUROSTX 1.6 1.5 15.0 5.6 2.6 5.0 4.2 3.2 4.5 18.8 17.1 20.0 19.5 16.7 19.7 10.8 0.9 6.9 2.9 20.0 17.1 20.0 15.2 20.0 2.2 6.3 8.3 5.3 10.0 4.1 7.5 13.3 20.0 17.0 -1.8 3.8 -3.7 10.0 -0.0 18.4 FEEDCOW 20.0 19.1 -20.0 3.5 6.8 -0.6 9.7 -2.9 8.0 19.4 -7.7 20.0 -2.7 20.0 0.3 -20.0 -20.0 -20.0 -20.0 14.2 -8.1 20.0 -4.5 20.0 -4.6 2.9 10.9 -0.8 10.6 1.5 8.4 -20.0 20.0 20.0 20.0 -20.0 18.3 6.7 20.0 16.4 GASOIL 20.0 3.9 -13.2 1.3 5.6 -0.5 8.1 1.0 6.0 11.5 5.5 15.3 6.9 13.5 -2.9 20.0 20.0 20.0 20.0 5.9 2.7 20.0 8.3 18.3 8.4 2.8 8.2 1.7 10.4 3.4 7.4 20.0 14.9 4.3 5.4 4.7 -13.5 -3.8 -20.0 -9.7 GASOLINE 17.1 6.9 -11.3 1.7 2.1 -0.4 7.3 1.2 6.6 -7.7 -1.0 10.6 5.7 14.4 4.8 -20.0 7.4 -20.0 -9.4 6.4 1.1 7.9 5.4 13.3 -20.0 2.7 -5.8 0.7 3.3 4.5 6.0 -13.7 -13.0 -12.2 1.5 9.4 20.0 12.7 20.0 11.0 GAS_US_mini -2.9 4.9 -13.5 0.8 1.0 -0.2 3.6 0.6 3.2 -8.9 -9.2 -9.7 -11.2 -7.3 -9.1 13.8 -18.4 8.0 -9.1 -11.0 -14.1 -8.9 -18.2 -8.7 16.3 -3.0 -2.8 -3.7 -2.7 -3.3 -2.2 -20.0 -20.0 -20.0 -10.3 -8.5 -15.5 1.9 -20.0 -2.1 GBP -4.3 6.4 12.3 3.3 3.6 5.4 0.3 4.6 -0.3 10.5 2.9 6.6 12.7 7.6 19.2 0.1 -0.6 -0.1 -0.3 10.7 10.8 2.8 6.7 4.7 2.5 7.0 4.0 6.2 1.8 2.8 3.6 3.0 -3.6 19.9 6.0 6.9 -20.0 -1.6 -17.5 8.4 GOLD_micro -8.6 0.4 10.0 -3.7 3.3 -2.4 1.6 -1.0 -2.6 18.2 10.4 5.6 8.5 -3.8 10.2 -14.5 -14.1 -14.3 -14.4 3.4 6.8 6.8 5.9 0.2 -5.3 3.2 10.0 3.8 5.7 3.3 2.8 -14.3 1.1 17.1 11.7 20.0 -20.0 -20.0 -20.0 -14.9 HEATOIL 19.2 3.1 -15.3 1.5 6.3 -0.6 9.2 1.1 6.8 12.5 3.7 17.5 5.1 15.0 -4.4 20.0 20.0 20.0 20.0 4.3 0.5 20.0 7.3 17.3 -20.0 3.5 6.7 2.1 9.5 5.2 8.1 20.0 1.6 2.2 5.9 7.1 13.8 2.0 12.2 -2.4 JGB-SGX-mini -13.2 11.0 16.1 1.4 2.7 1.2 1.1 -0.3 0.6 1.5 4.4 -3.1 4.7 2.6 5.5 7.8 17.7 11.0 13.6 4.0 4.4 -1.1 2.8 0.2 -3.4 1.3 1.6 1.3 -0.6 0.3 -0.2 20.0 -11.3 1.3 -3.0 -3.5 -1.7 -20.0 8.3 13.8 JPY -19.6 -2.5 15.4 1.6 1.8 2.7 0.1 2.3 -0.1 9.8 -7.6 -6.5 -10.2 -9.1 -4.1 -14.8 -16.0 -15.5 -16.1 -5.6 -6.6 -2.1 -12.8 -7.3 20.0 -1.2 3.0 -2.1 -0.2 -4.8 -1.9 -20.0 1.7 -10.1 -4.2 -10.0 -13.1 -20.0 -7.8 -20.0 LEANHOG 20.0 12.6 -0.0 3.5 6.8 -0.6 9.7 -2.9 8.0 16.0 -3.0 19.9 -12.8 19.8 8.3 -20.0 -7.6 -20.0 -20.0 11.5 -4.5 20.0 -15.8 20.0 18.5 6.4 5.0 1.9 8.0 -2.9 8.7 -14.8 20.0 20.0 20.0 11.0 -10.1 -8.0 3.9 11.8 LIVECOW 20.0 8.7 -20.0 3.8 7.4 -0.6 10.5 -3.2 8.7 19.5 -8.8 20.0 -2.8 20.0 -4.4 -20.0 -8.4 -17.8 -13.1 3.9 -13.4 20.0 -5.8 20.0 -1.7 0.2 10.4 -3.1 10.4 1.4 7.2 -9.7 20.0 11.6 6.9 -20.0 13.6 -1.6 20.0 4.8 LUMBER-new -8.0 5.9 15.0 4.1 8.1 -0.6 11.5 -2.8 9.5 6.9 -0.3 10.0 -15.2 0.9 14.0 -14.1 -14.3 -14.0 -14.1 8.5 6.3 5.3 -3.0 5.7 NaN 5.5 -1.6 4.3 3.5 0.7 4.3 -17.0 2.5 -20.0 7.5 18.6 -10.5 -20.0 -6.9 -20.0 MILK 20.0 4.2 -5.7 2.9 5.6 -0.5 8.0 -2.4 6.6 14.0 -16.8 10.4 -17.5 -5.6 -15.2 -20.0 -20.0 -20.0 -20.0 -13.7 -20.0 18.3 -20.0 2.2 13.0 -3.7 11.2 -6.9 7.5 -8.4 2.0 -20.0 20.0 1.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -12.9 3.9 8.5 2.8 3.0 4.5 0.2 3.8 -0.2 16.1 15.6 -3.3 18.6 5.1 14.8 15.4 16.4 15.2 15.3 9.1 14.5 2.4 20.0 2.3 -20.0 4.2 4.6 6.8 1.1 10.2 0.9 20.0 0.7 8.0 3.6 2.7 17.6 20.0 20.0 20.0 NASDAQ_micro 4.8 5.9 20.0 3.8 1.8 3.4 2.8 2.2 3.1 -2.8 14.4 9.5 14.3 12.0 14.6 -11.7 -9.6 -11.4 -10.7 20.0 20.0 7.3 20.0 16.8 -20.0 5.5 -0.8 5.3 1.5 4.8 4.1 -6.7 0.3 20.0 20.0 14.5 16.8 -4.2 20.0 -6.2 NIKKEI 20.0 18.3 14.5 5.0 2.3 4.4 3.7 2.8 4.0 -3.6 18.5 13.3 18.8 15.8 18.3 17.8 12.6 15.9 13.7 20.0 20.0 12.8 20.0 20.0 -14.3 6.5 0.7 5.3 2.5 4.7 5.7 20.0 -20.0 20.0 20.0 13.6 -15.2 -3.1 -2.8 0.1 NZD -20.0 1.2 15.6 2.5 2.7 4.1 0.2 3.5 -0.2 12.9 3.6 -8.3 1.4 -11.4 6.2 0.2 0.2 0.2 0.2 1.6 5.5 -3.0 0.2 -6.2 0.5 1.1 2.0 2.7 -1.0 0.9 -2.1 4.0 -1.3 -9.3 -6.1 -2.2 -10.7 -10.0 -5.5 5.0 OAT -20.0 3.2 20.0 2.0 3.7 1.6 1.6 -0.5 0.9 8.9 5.2 2.4 -0.3 -3.6 5.0 4.9 6.7 5.0 5.5 6.0 7.8 4.8 1.0 1.4 6.8 1.8 3.9 2.4 1.9 0.7 0.6 12.1 4.1 -3.7 -4.6 2.7 -20.0 -20.0 5.2 3.0 OATIES 5.0 1.7 -20.0 1.5 3.0 -0.2 4.3 -1.3 3.5 7.0 -7.8 2.7 -6.0 -0.2 -6.2 6.0 -5.3 -0.0 -4.9 -5.0 -7.7 3.9 -5.4 -0.2 -20.0 -1.0 3.9 -2.9 2.7 -2.3 1.5 -2.9 -2.4 -4.4 -3.6 -15.5 -2.9 3.9 4.1 15.6 OJ 13.4 -20.0 -20.0 2.2 4.3 -0.3 6.2 -1.9 5.1 12.3 4.2 10.1 9.4 -0.9 -6.6 3.7 17.0 8.2 13.5 -3.8 4.4 20.0 17.9 7.2 -20.0 -0.1 9.3 2.7 6.8 7.1 2.1 20.0 20.0 0.3 -20.0 6.0 7.5 11.6 14.8 20.0 PALLAD -11.5 -7.6 11.8 -1.5 1.4 -1.0 0.7 -0.4 -1.1 2.9 -6.9 -1.6 -8.4 -6.1 -5.9 -1.5 -2.2 -1.8 -2.0 -7.3 -9.0 -0.7 -12.6 -5.1 8.0 -1.4 0.5 -2.8 0.6 -3.9 -0.2 6.8 -1.1 1.0 10.1 -8.7 -8.5 -7.4 -4.2 -2.7 PLAT -15.4 -2.0 5.1 -2.5 2.2 -1.6 1.1 -0.7 -1.7 3.9 -4.0 -3.4 -6.7 -7.5 -2.2 -3.9 -3.1 -3.7 -3.5 -3.9 -2.8 0.4 -3.8 -4.5 12.0 -0.9 1.4 -0.3 1.3 -0.4 -0.8 4.7 -3.1 -3.7 8.7 3.5 -10.0 -5.4 17.2 1.3 REDWHEAT 1.5 -2.7 -6.4 3.3 6.5 -0.5 9.2 -2.8 7.6 -3.3 -19.1 4.5 -19.5 -7.4 -12.2 -1.3 -1.5 -2.8 -2.8 -13.2 -20.0 -0.9 -20.0 -4.7 -14.0 -4.0 -1.7 -9.1 1.5 -10.4 0.7 3.7 -7.9 -17.3 -17.2 -20.0 -20.0 -20.0 -20.0 -17.0 RICE 5.0 3.0 10.9 3.4 6.6 -0.5 9.4 -2.8 7.8 11.1 18.2 13.6 15.7 15.0 17.4 -15.0 -1.8 -14.4 -9.5 16.3 16.3 14.1 13.0 15.2 -20.0 3.7 4.5 4.2 6.7 3.9 5.0 -0.8 0.2 -8.5 -6.8 11.1 1.6 -8.1 8.7 0.7 ROBUSTA 20.0 20.0 20.0 2.3 4.4 -0.4 6.3 -1.9 5.2 9.7 13.7 13.2 13.6 14.0 14.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.2 1.9 4.8 3.2 3.9 4.3 20.0 16.2 20.0 20.0 20.0 -14.4 -15.1 -5.5 1.0 RUSSELL -11.9 9.5 19.3 3.3 1.5 2.9 2.4 1.9 2.7 -2.2 6.1 2.1 2.8 0.5 7.2 -6.2 -6.2 -6.3 -6.4 7.6 7.4 0.3 2.6 3.0 -2.2 3.1 -1.2 2.8 0.4 1.3 1.7 -0.1 -5.4 -6.4 3.1 -2.3 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 1.4 20.0 1.4 2.7 1.2 1.2 -0.3 0.6 4.1 1.3 -0.3 -4.1 -3.1 1.9 -20.0 -20.0 -20.0 -20.0 1.4 2.0 1.9 -2.9 -0.7 8.2 1.1 2.1 1.3 1.1 -0.5 0.2 -20.0 -0.6 -5.7 -4.8 -1.9 -20.0 -20.0 -8.3 -20.0 SILVER-mini -6.3 -8.7 0.7 -3.2 2.9 -2.1 1.4 -0.8 -2.2 12.4 -3.3 2.6 -0.2 -8.4 -6.6 -6.7 -6.5 -6.9 -6.8 -7.1 -4.7 2.1 -2.4 -5.4 5.8 -2.8 3.7 -1.9 2.2 -0.4 -1.2 -1.1 -6.5 9.1 -3.0 2.4 -20.0 -17.5 9.2 -8.4 SMI -6.7 10.9 11.3 5.2 2.4 4.6 3.9 3.0 4.2 1.2 8.7 7.8 5.0 14.1 19.1 11.7 5.3 10.2 7.4 13.3 8.3 8.9 1.9 11.9 10.6 6.2 -0.6 4.4 3.7 1.2 5.1 20.0 -9.7 3.6 6.2 -10.9 2.9 -6.4 11.3 -6.7 SOFR -12.9 8.1 20.0 2.1 4.0 1.7 1.7 -0.5 0.9 10.2 5.9 4.4 0.2 0.9 8.1 2.5 0.2 1.7 0.8 6.7 6.1 8.5 -0.3 3.7 -2.4 3.5 6.5 2.7 4.0 0.4 2.8 2.4 7.3 9.5 2.6 1.8 -20.0 -20.0 -7.4 -3.4 SOYBEAN -3.1 -20.0 -9.9 3.5 6.9 -0.6 9.9 -3.0 8.1 -4.6 -8.0 -10.0 1.7 -18.7 -19.8 7.6 15.9 11.4 13.0 -20.0 -16.4 -10.2 -7.6 -20.0 -20.0 -6.3 -2.4 -3.3 -3.2 -0.6 -5.9 20.0 -20.0 -20.0 -20.0 -9.0 -12.6 -20.0 -12.6 -20.0 SOYMEAL -3.1 -20.0 -9.3 2.5 4.8 -0.4 6.9 -2.1 5.7 3.8 -10.7 -5.5 -3.2 -12.4 -13.7 3.8 14.2 7.6 10.9 -18.1 -11.9 -4.0 -3.5 -14.3 -20.0 -4.6 0.3 -2.4 -1.2 0.2 -3.9 20.0 -14.7 -20.0 -20.0 -6.6 -20.0 -20.0 -20.0 -19.2 SOYOIL -2.3 -10.1 -17.8 2.4 4.7 -0.4 6.6 -2.0 5.5 -11.9 -11.6 -12.0 -8.7 -13.6 -14.6 -7.3 5.5 -3.0 1.4 -15.9 -16.7 -13.5 -12.8 -13.6 -20.0 -3.9 -6.5 -4.4 -5.6 -3.6 -4.1 13.7 -20.0 -20.0 -17.0 -14.1 -8.5 -3.1 -3.6 6.6 SP400 -7.6 11.3 18.9 3.8 1.8 3.4 2.8 2.2 3.1 -0.8 9.9 5.5 7.0 5.8 11.6 -5.5 -5.2 -5.4 -5.3 11.7 11.0 2.2 5.7 6.2 -11.1 4.1 -0.9 3.8 0.8 2.3 2.4 1.8 -7.5 -3.2 3.4 -0.6 -20.0 -8.9 -20.0 -20.0 SP500_micro 1.2 10.8 20.0 5.1 2.4 4.5 3.8 2.9 4.1 5.0 19.0 14.7 17.5 17.9 20.0 -13.1 -10.7 -12.5 -11.8 20.0 20.0 14.4 20.0 20.0 -20.0 7.2 0.9 6.5 3.3 5.1 5.8 -8.5 9.0 20.0 20.0 15.7 4.4 -4.0 15.4 -6.4 SUGAR11 20.0 -6.4 -20.0 2.3 4.5 -0.4 6.4 -1.9 5.3 -6.7 -4.0 8.7 6.9 5.4 -3.9 19.5 19.5 20.0 20.0 -2.9 -6.2 8.9 3.0 8.5 -20.0 -2.2 -0.7 -2.4 1.2 1.2 0.6 20.0 -2.8 1.0 -20.0 -20.0 7.3 -4.2 14.1 7.2 US10 -9.6 10.5 20.0 1.7 3.3 1.4 1.4 -0.4 0.8 8.4 2.4 3.6 -2.7 1.5 6.5 -10.4 -7.9 -9.3 -8.6 5.2 3.0 7.5 -4.6 3.5 1.9 2.9 5.5 1.7 3.4 -0.7 2.5 -12.6 5.8 9.8 3.3 0.2 -20.0 -20.0 -18.0 7.7 US10U -10.9 9.7 19.0 2.5 4.7 2.0 2.0 -0.6 1.1 12.0 2.5 5.2 -3.8 0.1 8.3 2.7 0.8 2.4 1.5 6.4 3.3 11.4 -7.2 4.4 -1.6 3.8 8.7 2.1 5.2 -1.2 3.5 3.5 10.5 12.7 3.8 -0.8 -20.0 -20.0 6.0 17.8 US2 -8.1 11.1 20.0 1.4 2.7 1.2 1.1 -0.3 0.6 6.2 1.4 -1.8 -4.6 2.1 5.0 -20.0 -20.0 -20.0 -20.0 4.0 2.2 2.8 -5.0 1.9 8.7 2.6 2.4 1.9 1.5 -0.7 1.7 -20.0 -3.6 7.4 3.4 2.3 -19.2 -20.0 -14.0 -20.0 US20 -14.7 10.8 20.0 1.7 3.2 1.4 1.4 -0.4 0.7 8.3 2.2 3.3 -2.0 -0.5 5.6 0.1 -1.1 -0.3 -0.7 4.7 2.7 7.8 -4.6 2.6 -1.7 2.5 5.8 1.4 3.4 -0.9 2.2 -0.4 7.6 7.2 3.8 0.9 -20.0 -20.0 20.0 20.0 US30 -15.3 6.3 17.9 2.0 3.8 1.6 1.6 -0.5 0.9 9.7 1.4 3.5 -3.5 -2.7 5.2 -9.1 -5.2 -7.4 -6.4 3.0 1.4 8.3 -6.5 1.4 -1.1 2.4 7.3 1.2 4.1 -1.4 2.2 -8.2 8.8 6.0 0.3 -2.1 -15.9 -17.6 20.0 20.0 US5 -9.4 10.3 20.0 1.7 3.2 1.4 1.4 -0.4 0.7 8.1 3.2 2.0 -3.0 2.4 6.6 -10.9 -10.3 -10.3 -10.6 5.2 3.5 5.9 -3.8 3.1 4.2 3.0 4.5 2.0 2.8 -0.4 2.3 -16.6 2.3 9.4 3.6 1.4 -20.0 -20.0 -20.0 -7.5 VIX 4.6 -1.4 -20.0 -6.9 1.7 -8.4 -1.7 -11.0 -4.9 7.6 -20.0 -6.7 -20.0 -15.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -1.8 -20.0 -11.1 NaN -8.0 2.2 -10.1 -1.1 -13.1 -5.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.7 0.8 6.3 3.5 6.8 -0.5 9.7 -2.9 8.0 -13.5 -18.7 -7.7 -20.0 -10.6 -4.7 -11.4 -10.6 -11.2 -11.1 -9.3 -16.1 -5.8 -20.0 -7.1 -2.8 -2.1 -4.8 -5.7 -1.7 -9.7 -0.7 -11.3 -15.0 -20.0 -14.4 -5.6 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3