******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240206_204022 produced at 2024-02-06 21:37:32.679558 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.28 0.0 0.09 -0.09 -0.09 -0.09 -53.27 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -2.78 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -4.07 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 -1.78 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 -11.29 12.0 -10 -10 caleb_strategy_v3 CHF False False 0.05 -0.24 -0.09 0.0 0.64 -0.64 -0.24 -0.29 -1.93 13.0 -5 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.15 -0.15 -0.02 -0.02 -22.18 51.0 -6 -6 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.06 0.0 0.64 -0.64 -0.14 -0.14 -1.23 14.0 -3 -3 caleb_strategy_v3 JPY False False 0.03 0.00 -0.06 0.0 0.49 -0.49 0.00 0.00 -2.02 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.06 0.0 0.19 -0.19 0.00 0.00 -1.81 6.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.57 19.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.05 0.0 0.73 -0.73 0.00 0.00 -2.03 29.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.39 -0.05 0.0 0.82 -0.82 -0.39 -0.39 -1.20 19.0 -9 -9 caleb_strategy_v3 US5 False False 0.04 -0.22 -0.04 0.0 0.91 -0.91 -0.22 -0.22 -1.14 25.0 -6 -6 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.04 0.0 0.39 -0.39 -0.11 -0.13 -6.41 56.0 -16 -19 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.04 -0.04 -0.02 -0.02 -23.31 26.0 -13 -14 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.03 0.0 0.23 -0.23 -0.01 -0.01 -9.61 68.0 -4 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.48 7.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.59 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 -2.13 5.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -5.06 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.36 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.99 9.0 -4 -4 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.86 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 -2.97 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -1.16 21.0 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 -1.18 0.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.02 0.0 0.64 -0.64 -0.04 -0.04 -0.58 17.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -1.59 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.23 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.23 2.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.13 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.00 0.0 0.16 -0.16 -0.04 -0.04 -0.32 11.0 -3 -3 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.49 -0.49 0.00 0.00 -0.06 10.0 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 0.00 0.0 0.51 -0.51 0.04 0.04 0.07 13.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.37 -0.37 0.12 0.12 0.08 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 -0.05 6.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.74 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.13 0.01 0.0 0.59 -0.59 0.13 0.13 0.37 22.0 5 5 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.01 0.0 0.02 0.00 0.02 0.02 6.55 59.0 15 15 caleb_strategy_v3 BTP False False 0.04 0.04 0.02 0.0 0.43 -0.43 0.04 0.04 0.35 10.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.02 0.0 0.47 -0.47 0.00 0.00 0.52 10.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 1.38 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.24 -0.24 0.02 0.02 1.55 23.0 2 2 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.03 0.0 0.43 -0.43 0.00 0.00 1.11 17.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.03 0.0 0.11 -0.11 0.00 0.00 0.76 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.19 0.03 0.0 0.28 -0.28 0.19 0.17 2.56 23.0 16 14 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.37 5.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.22 0.03 0.0 0.35 -0.35 0.22 0.22 0.70 8.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.04 0.0 0.40 -0.40 0.02 0.02 5.04 48.0 2 2 caleb_strategy_v3 DX False False 0.04 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.19 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.04 0.0 0.14 -0.14 0.04 0.04 3.88 13.0 4 4 caleb_strategy_v3 DOW False False 0.01 0.03 0.04 0.0 0.43 -0.43 0.03 0.02 6.41 66.0 5 3 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.04 0.0 0.11 -0.11 0.03 0.03 1.59 4.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.91 12.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.09 0.05 0.0 0.45 -0.45 0.09 0.09 3.10 26.0 5 5 caleb_strategy_v3 SMI False False 0.04 0.39 0.07 0.0 0.39 -0.39 0.39 0.39 1.68 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.00 0.12 0.0 0.36 -0.36 0.00 0.00 19.15 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.22 0.14 0.0 0.34 -0.34 0.22 0.22 7.93 20.0 13 13 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.27 0.0 0.30 -0.30 0.28 0.27 32.60 36.0 34 33 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.37 0.36 0.0 0.54 -0.54 0.37 0.37 10.67 16.0 11 11 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.41 0.0 0.89 -0.89 0.18 0.09 4.58 10.0 2 1 caleb_strategy_v3 MXP False False 0.01 0.48 0.55 0.0 0.59 -0.59 0.48 0.50 55.59 60.0 49 51 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.0 Shocked risk 61.9 Sum abs risk 53.4 Leverage 4.37 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2946857.15, 'annual_cash_vol_target': 736714.2875, 'daily_cash_vol_target': 46044.64296875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6529 0.5987 9.5798 BITCOIN 1105.7861 43515.0000 2.5412 40.6586 BOBL 0.3168 117.6600 0.2692 4.3078 BTP 0.6370 117.9600 0.5400 8.6402 BUND 0.6271 134.4800 0.4663 7.4606 BUXL 1.4434 134.6800 1.0717 17.1474 CAC 55.7533 7649.0000 0.7289 11.6623 CAD 0.0030 0.7422 0.4047 6.4755 CANOLA 6.8023 600.0000 1.1337 18.1396 CHF 0.0054 1.1542 0.4699 7.5187 COCOA 59.3249 5074.0000 1.1692 18.7071 COFFEE 3.4419 185.1000 1.8595 29.7515 COPPER 0.0393 3.7830 1.0386 16.6181 CORN 3.9701 477.2500 0.8319 13.3100 COTTON2 0.8896 88.3500 1.0069 16.1103 CRUDE_W 1.0593 71.2600 1.4865 23.7844 DAX 108.6735 17118.0000 0.6348 10.1576 DOW 204.2562 38554.0000 0.5298 8.4767 DX 0.3973 104.0300 0.3819 6.1102 EUR 0.0047 1.0770 0.4388 7.0211 EURIBOR-ICE 0.0584 97.8150 0.0597 0.9549 EUROSTX 34.5674 4710.0000 0.7339 11.7426 FEEDCOW 1.8141 256.0000 0.7086 11.3379 GASOIL 13.4365 804.5000 1.6702 26.7226 GASOLINE 0.0399 2.4493 1.6282 26.0513 GAS_US_mini 0.0900 2.0050 4.4867 71.7872 GBP 0.0064 1.2601 0.5069 8.1112 GOLD_micro 13.3080 2052.7000 0.6483 10.3731 HEATOIL 0.0395 2.6168 1.5077 24.1232 JGB-SGX-mini 0.2913 146.3700 0.1990 3.1838 JPY 0.0000 0.0068 0.6476 10.3609 LEANHOG 1.1478 81.3500 1.4110 22.5752 LIVECOW 1.3273 185.9250 0.7139 11.4219 LUMBER-new 6.9151 576.0000 1.2005 19.2087 MILK 0.2367 17.7400 1.3344 21.3500 MXP 0.0004 0.0582 0.6244 9.9905 NASDAQ_micro 140.0509 17644.7500 0.7937 12.6996 NIKKEI 306.7977 35940.0000 0.8536 13.6582 NZD 0.0037 0.6080 0.6116 9.7860 OAT 0.6063 129.0400 0.4699 7.5179 OATIES 7.0419 369.0000 1.9084 30.5341 OJ 6.6454 368.1000 1.8053 28.8852 PALLAD 23.3044 951.5000 2.4492 39.1876 PLAT 14.0015 911.6000 1.5359 24.5748 REDWHEAT 9.4354 615.7500 1.5323 24.5176 RICE 0.1813 18.8300 0.9629 15.4071 ROBUSTA 42.4403 3102.0000 1.3682 21.8906 RUSSELL 22.4037 1958.3000 1.1440 18.3046 SHATZ 0.1089 105.8350 0.1029 1.6459 SILVER-mini 0.3273 22.7250 1.4404 23.0470 SMI 75.8755 11184.0000 0.6784 10.8549 SOFR 0.0781 96.5800 0.0809 1.2943 SOYBEAN 10.2916 1178.0000 0.8736 13.9784 SOYMEAL 4.7530 357.3000 1.3303 21.2842 SOYOIL 0.6653 46.4800 1.4313 22.9002 SP400 24.2142 2757.9000 0.8780 14.0479 SP500_micro 31.4100 4968.5000 0.6322 10.1149 SUGAR11 0.3514 22.8800 1.5358 24.5723 US10 0.4824 111.3438 0.4333 6.9322 US10U 0.6576 115.7188 0.5683 9.0930 US2 0.1329 102.4688 0.1297 2.0758 US20 0.9539 121.0625 0.7880 12.6077 US30 1.3762 127.5312 1.0791 17.2660 US5 0.3211 107.6641 0.2982 4.7719 VIX 0.4267 15.6500 2.7265 43.6238 WHEAT 8.1680 629.5000 1.2975 20.7605 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.90 0.60 390.92 1.00 390.92 46044.64 117.79 -8.41 -99.00 BITCOIN 43.52 2.54 110.58 1.00 110.58 46044.64 416.40 1.45 60.47 BOBL 1176.60 0.27 316.79 1.08 341.42 46044.64 134.86 -8.77 -118.30 BTP 1179.60 0.54 637.00 1.08 686.53 46044.64 67.07 1.55 10.40 BUND 1344.80 0.47 627.06 1.08 675.82 46044.64 68.13 -0.94 -6.39 BUXL 1346.80 1.07 1443.38 1.08 1555.60 46044.64 29.60 -3.07 -9.08 CAC 764.90 0.73 557.53 1.08 600.88 46044.64 76.63 7.33 56.13 CAD 742.15 0.40 300.36 1.00 300.36 46044.64 153.30 -5.12 -78.41 CANOLA 120.00 1.13 136.05 0.74 101.00 46044.64 455.90 -20.00 -911.81 CHF 1442.69 0.47 677.95 1.00 677.95 46044.64 67.92 -10.93 -74.26 COCOA 507.40 1.17 593.25 1.00 593.25 46044.64 77.61 18.62 144.51 COFFEE 694.12 1.86 1290.70 1.00 1290.70 46044.64 35.67 -2.68 -9.58 COPPER 945.75 1.04 982.29 1.00 982.29 46044.64 46.87 -3.56 -16.68 CORN 238.62 0.83 198.51 1.00 198.51 46044.64 231.95 -20.00 -463.91 COTTON2 441.75 1.01 444.80 1.00 444.80 46044.64 103.52 -1.46 -15.08 CRUDE_W 712.60 1.49 1059.30 1.00 1059.30 46044.64 43.47 2.92 12.68 DAX 171.18 0.63 108.67 1.08 117.12 46044.64 393.13 14.28 561.58 DOW 192.77 0.53 102.13 1.00 102.13 46044.64 450.85 6.12 275.94 DX 1040.30 0.38 397.28 1.00 397.28 46044.64 115.90 3.94 45.69 EUR 1346.31 0.44 590.79 1.00 590.79 46044.64 77.94 -6.09 -47.45 EURIBOR-ICE 2445.38 0.06 145.94 1.08 157.29 46044.64 292.74 4.59 134.35 EUROSTX 471.00 0.73 345.67 1.08 372.55 46044.64 123.59 18.81 232.50 FEEDCOW 1280.00 0.71 907.03 1.00 907.03 46044.64 50.76 4.16 21.11 GASOIL 804.50 1.67 1343.65 1.00 1343.65 46044.64 34.27 10.73 36.77 GASOLINE 1028.71 1.63 1674.95 1.00 1674.95 46044.64 27.49 -1.93 -5.30 GAS_US_mini 50.12 4.49 224.90 1.00 224.90 46044.64 204.74 -10.51 -215.24 GBP 787.56 0.51 399.25 1.00 399.25 46044.64 115.33 1.24 14.33 GOLD_micro 205.27 0.65 133.08 1.00 133.08 46044.64 345.99 -5.43 -187.91 HEATOIL 1099.06 1.51 1657.05 1.00 1657.05 46044.64 27.79 6.29 17.48 JGB-SGX-mini 146370.00 0.20 29126.11 0.01 196.35 46044.64 234.50 4.20 98.52 JPY 850.69 0.65 550.87 1.00 550.87 46044.64 83.59 -9.32 -77.92 LEANHOG 325.40 1.41 459.12 1.00 459.12 46044.64 100.29 6.37 63.84 LIVECOW 743.70 0.71 530.90 1.00 530.90 46044.64 86.73 3.85 33.39 LUMBER-new 158.40 1.20 190.17 1.00 190.17 46044.64 242.13 -9.78 -236.90 MILK 354.80 1.33 473.44 1.00 473.44 46044.64 97.26 -10.24 -99.62 MXP 291.25 0.62 181.86 1.00 181.86 46044.64 253.19 14.96 378.73 NASDAQ_micro 352.90 0.79 280.10 1.00 280.10 46044.64 164.39 6.69 110.05 NIKKEI 35940.00 0.85 30679.77 0.01 206.82 46044.64 222.63 13.52 301.05 NZD 608.05 0.61 371.90 1.00 371.90 46044.64 123.81 -3.60 -44.63 OAT 1290.40 0.47 606.32 1.08 653.46 46044.64 70.46 2.17 15.27 OATIES 184.50 1.91 352.10 1.00 352.10 46044.64 130.77 -9.33 -121.98 OJ 552.15 1.81 996.81 1.00 996.81 46044.64 46.19 7.52 34.74 PALLAD 951.50 2.45 2330.44 1.00 2330.44 46044.64 19.76 -3.38 -6.68 PLAT 455.80 1.54 700.07 1.00 700.07 46044.64 65.77 0.59 3.90 REDWHEAT 307.88 1.53 471.77 1.00 471.77 46044.64 97.60 -20.00 -195.20 RICE 376.60 0.96 362.64 1.00 362.64 46044.64 126.97 4.46 56.60 ROBUSTA 310.20 1.37 424.40 1.00 424.40 46044.64 108.49 12.24 132.84 RUSSELL 97.92 1.14 112.02 1.00 112.02 46044.64 411.05 -7.06 -290.05 SHATZ 1058.35 0.10 108.87 1.08 117.33 46044.64 392.43 -10.22 -400.95 SILVER-mini 568.12 1.44 818.35 1.00 818.35 46044.64 56.27 -6.15 -34.60 SMI 1118.40 0.68 758.76 1.15 873.97 46044.64 52.68 9.33 49.15 SOFR 2414.50 0.08 195.32 1.00 195.32 46044.64 235.74 -1.94 -45.82 SOYBEAN 589.00 0.87 514.58 1.00 514.58 46044.64 89.48 -17.82 -159.45 SOYMEAL 357.30 1.33 475.30 1.00 475.30 46044.64 96.87 -17.65 -170.96 SOYOIL 278.88 1.43 399.15 1.00 399.15 46044.64 115.36 -17.35 -200.13 SP400 2757.90 0.88 2421.42 1.00 2421.42 46044.64 19.02 -5.78 -10.98 SP500_micro 248.42 0.63 157.05 1.00 157.05 46044.64 293.19 7.40 216.91 SUGAR11 256.26 1.54 393.55 1.00 393.55 46044.64 117.00 -0.64 -7.50 US10 1113.44 0.43 482.41 1.00 482.41 46044.64 95.45 -4.77 -45.49 US10U 1157.19 0.57 657.65 1.00 657.65 46044.64 70.01 0.82 5.73 US2 2049.38 0.13 265.88 1.00 265.88 46044.64 173.18 -8.10 -140.29 US20 1210.62 0.79 953.95 1.00 953.95 46044.64 48.27 1.25 6.01 US30 1275.31 1.08 1376.22 1.00 1376.22 46044.64 33.46 -1.17 -3.90 US5 1076.64 0.30 321.10 1.00 321.10 46044.64 143.40 -6.28 -90.12 VIX 156.50 2.73 426.69 1.00 426.69 46044.64 107.91 -20.00 -215.82 WHEAT 314.75 1.30 408.40 1.00 408.40 46044.64 112.74 -20.00 -225.49 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -99.002 0.010 2.5 -2.569 BITCOIN 60.468 0.043 2.5 6.548 BOBL -118.301 0.004 2.5 -1.200 BTP 10.396 0.014 2.5 0.355 BUND -6.393 0.004 2.5 -0.065 BUXL -9.080 0.004 2.5 -0.092 CAC 56.135 0.014 2.5 1.915 CAD -78.414 0.010 2.5 -2.035 CANOLA -911.810 0.010 2.5 -22.183 CHF -74.263 0.010 2.5 -1.927 COCOA 144.513 0.009 2.5 3.095 COFFEE -9.575 0.005 2.5 -0.112 COPPER -16.683 0.043 2.5 -1.807 CORN -463.910 0.010 2.5 -11.286 COTTON2 -15.079 0.009 2.5 -0.323 CRUDE_W 12.681 0.043 2.5 1.373 DAX 561.576 0.014 2.5 19.155 DOW 275.942 0.009 2.5 6.413 DX 45.691 0.010 2.5 1.186 EUR -47.452 0.010 2.5 -1.231 EURIBOR-ICE 134.354 0.014 2.5 4.583 EUROSTX 232.505 0.014 2.5 7.930 FEEDCOW 21.107 0.013 2.5 0.699 GASOIL 36.767 0.017 2.5 1.594 GASOLINE -5.297 0.017 2.5 -0.230 GAS_US_mini -215.239 0.043 2.5 -23.308 GBP 14.333 0.010 2.5 0.372 GOLD_micro -187.907 0.014 2.5 -6.409 HEATOIL 17.484 0.017 2.5 0.758 JGB-SGX-mini 98.523 0.043 2.5 10.669 JPY -77.919 0.010 2.5 -2.022 LEANHOG 63.840 0.024 2.5 3.880 LIVECOW 33.393 0.013 2.5 1.107 LUMBER-new -236.901 0.009 2.5 -5.064 MILK -99.621 0.009 2.5 -2.134 MXP 378.731 0.059 2.5 55.588 NASDAQ_micro 110.045 0.009 2.5 2.557 NIKKEI 301.050 0.043 2.5 32.600 NZD -44.627 0.010 2.5 -1.158 OAT 15.275 0.014 2.5 0.521 OATIES -121.978 0.010 2.5 -2.968 OJ 34.742 0.009 2.5 0.744 PALLAD -6.676 0.014 2.5 -0.228 PLAT 3.896 0.014 2.5 0.133 REDWHEAT -195.199 0.005 2.5 -2.589 RICE 56.602 0.010 2.5 1.377 ROBUSTA 132.840 0.005 2.5 1.551 RUSSELL -290.053 0.013 2.5 -9.612 SHATZ -400.952 0.004 2.5 -4.066 SILVER-mini -34.603 0.014 2.5 -1.180 SMI 49.149 0.014 2.5 1.676 SOFR -45.818 0.024 2.5 -2.785 SOYBEAN -159.451 0.004 2.5 -1.483 SOYMEAL -170.960 0.004 2.5 -1.590 SOYOIL -200.129 0.004 2.5 -1.863 SP400 -10.984 0.013 2.5 -0.364 SP500_micro 216.906 0.009 2.5 5.041 SUGAR11 -7.502 0.009 2.5 -0.160 US10 -45.495 0.005 2.5 -0.577 US10U 5.735 0.005 2.5 0.073 US2 -140.292 0.005 2.5 -1.778 US20 6.013 0.005 2.5 0.076 US30 -3.903 0.005 2.5 -0.049 US5 -90.123 0.005 2.5 -1.142 VIX -215.820 0.099 2.5 -53.274 WHEAT -225.489 0.005 2.5 -2.991 ===================== Position diags ===================== AUD 3.06 BITCOIN 45.09 BOBL 1.37 BTP 2.29 BUND 0.69 BUXL 0.30 CAC 2.61 CAD 3.98 CANOLA 11.09 CHF 1.76 COCOA 1.66 COFFEE 0.42 COPPER 5.08 CORN 5.64 COTTON2 2.22 CRUDE_W 4.71 DAX 13.41 DOW 10.48 DX 3.01 EUR 2.02 EURIBOR-ICE 9.99 EUROSTX 4.22 FEEDCOW 1.68 GASOIL 1.49 GASOLINE 1.19 GAS_US_mini 22.17 GBP 2.99 GOLD_micro 11.80 HEATOIL 1.20 JGB-SGX-mini 25.39 JPY 2.17 LEANHOG 6.09 LIVECOW 2.87 LUMBER-new 5.18 MILK 2.08 MXP 37.16 NASDAQ_micro 3.82 NIKKEI 24.11 NZD 3.21 OAT 2.40 OATIES 3.18 OJ 0.99 PALLAD 0.67 PLAT 2.24 REDWHEAT 1.29 RICE 3.09 ROBUSTA 1.27 RUSSELL 13.62 SHATZ 3.98 SILVER-mini 1.92 SMI 1.80 SOFR 14.33 SOYBEAN 0.83 SOYMEAL 0.90 SOYOIL 1.07 SP400 0.63 SP500_micro 6.81 SUGAR11 2.49 US10 1.21 US10U 0.89 US2 2.19 US20 0.61 US30 0.42 US5 1.82 VIX 26.64 WHEAT 1.50 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -2.9 -2.3 0.0 0 BITCOIN 6.5 2.0 11.1 15.0 15 BOBL -1.2 -1.3 -1.1 -9.0 -9 BTP 0.4 0.1 0.6 1.0 1 BUND -0.1 -0.1 0.0 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 1.9 1.7 2.2 0.0 0 CAD -2.0 -2.4 -1.6 0.0 0 CANOLA -22.2 -23.3 -21.1 -6.0 -6 CHF -1.9 -2.1 -1.8 -5.0 -5 COCOA 3.1 2.9 3.3 5.0 5 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -1.8 -2.3 -1.3 0.0 0 CORN -11.3 -11.9 -10.7 -10.0 -10 COTTON2 -0.3 -0.5 -0.1 -3.0 -3 CRUDE_W 1.4 0.9 1.8 1.0 1 DAX 19.2 17.8 20.5 0.0 0 DOW 6.4 5.4 7.5 5.0 5 DX 1.2 0.9 1.5 NaN 0 EUR -1.2 -1.4 -1.0 -3.0 -3 EURIBOR-ICE 4.6 3.6 5.6 2.0 2 EUROSTX 7.9 7.5 8.4 13.0 13 FEEDCOW 0.7 0.5 0.9 5.0 5 GASOIL 1.6 1.4 1.7 1.0 1 GASOLINE -0.2 -0.3 -0.1 0.0 0 GAS_US_mini -23.3 -25.5 -21.1 -13.0 -13 GBP 0.4 0.1 0.7 5.0 5 GOLD_micro -6.4 -7.6 -5.2 -16.0 -16 HEATOIL 0.8 0.6 0.9 0.0 0 JGB-SGX-mini 10.7 8.1 13.2 11.0 11 JPY -2.0 -2.2 -1.8 0.0 0 LEANHOG 3.9 3.3 4.5 4.0 4 LIVECOW 1.1 0.8 1.4 0.0 0 LUMBER-new -5.1 -5.6 -4.5 NaN 0 MILK -2.1 -2.3 -1.9 NaN 0 MXP 55.6 51.9 59.3 49.0 49 NASDAQ_micro 2.6 2.2 2.9 16.0 16 NIKKEI 32.6 30.2 35.0 34.0 34 NZD -1.2 -1.5 -0.8 0.0 0 OAT 0.5 0.3 0.8 0.0 0 OATIES -3.0 -3.3 -2.6 NaN 0 OJ 0.7 0.6 0.8 NaN 0 PALLAD -0.2 -0.3 -0.2 -1.0 -1 PLAT 0.1 -0.1 0.4 0.0 0 REDWHEAT -2.6 -2.7 -2.5 -3.0 -3 RICE 1.4 1.1 1.7 NaN 0 ROBUSTA 1.6 1.4 1.7 2.0 2 RUSSELL -9.6 -11.0 -8.2 -4.0 -4 SHATZ -4.1 -4.5 -3.7 NaN 0 SILVER-mini -1.2 -1.4 -1.0 NaN 0 SMI 1.7 1.5 1.9 9.0 9 SOFR -2.8 -4.2 -1.4 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -2.0 -2 SOYMEAL -1.6 -1.7 -1.5 0.0 0 SOYOIL -1.9 -2.0 -1.8 -3.0 -3 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro 5.0 4.4 5.7 2.0 2 SUGAR11 -0.2 -0.4 0.1 0.0 0 US10 -0.6 -0.7 -0.5 -1.0 -1 US10U 0.1 -0.0 0.2 1.0 1 US2 -1.8 -2.0 -1.6 NaN 0 US20 0.1 0.0 0.1 3.0 3 US30 -0.0 -0.1 -0.0 0.0 0 US5 -1.1 -1.3 -1.0 -6.0 -6 VIX -53.3 -55.9 -50.6 -17.0 -17 WHEAT -3.0 -3.1 -2.8 -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 1.2 1.2 1.0 3.1 1.2 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 -0.2 0.4 0.0 -0.1 0.1 -0.1 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 -0.2 -0.1 -0.2 0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.4 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN -0.5 -0.3 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 0.5 -0.1 0.3 0.6 -0.2 0.2 0.3 0.4 BOBL -0.6 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 -0.0 -0.0 -0.0 0.9 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 0.1 -0.1 -0.2 -0.0 -0.7 -0.7 0.0 -0.7 BTP -0.5 -0.0 0.6 0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.3 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 0.0 -1.6 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 0.2 0.2 -0.0 0.2 -0.6 -0.7 0.5 0.0 BUND -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 -0.0 -0.2 0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.6 -0.1 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 0.0 -0.0 -0.1 -0.0 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 -0.3 0.0 -0.7 -0.7 0.1 0.2 CAC 0.1 -0.1 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.1 0.1 0.3 0.2 -1.2 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.5 0.1 -0.4 -0.2 -0.0 0.3 0.2 0.6 CAD -0.5 0.1 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.1 0.2 -0.3 -0.7 -0.5 -0.1 -0.5 CANOLA 0.0 -0.6 -0.6 0.0 0.0 -0.0 0.0 -0.0 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 -0.4 -0.1 CHF -0.6 -0.0 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.2 0.4 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.1 0.2 -0.1 -0.8 0.0 -0.1 0.1 -0.0 0.1 -0.0 -1.1 0.1 -0.5 0.4 0.4 -0.7 -0.6 -0.5 -0.7 COCOA 0.6 -0.2 0.2 0.0 0.0 -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 0.3 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 0.0 -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 0.0 0.1 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 0.9 -0.2 -0.6 -0.1 0.6 -0.4 -0.7 -0.3 -0.4 COPPER -0.0 -0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.0 -1.4 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.1 0.2 0.3 0.4 -0.5 -0.2 0.4 -0.1 CORN -0.3 -0.5 -0.3 0.0 0.0 -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 -0.2 -0.2 -0.6 -0.6 -0.6 -0.2 -0.6 -0.1 0.0 COTTON2 0.6 0.6 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 -0.1 0.2 -0.2 0.2 0.1 -0.1 -0.0 -0.2 -0.1 0.2 0.0 0.2 -0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.5 0.6 0.6 -0.4 -0.5 -0.5 -0.3 -0.0 CRUDE_W 0.2 -0.1 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 0.2 0.0 -0.1 0.1 0.2 0.2 0.2 -0.0 0.0 -0.1 0.2 -0.0 -0.6 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.1 -0.5 -0.6 -0.4 0.1 0.7 0.6 0.7 0.6 DAX -0.1 0.0 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.4 0.2 2.3 0.1 0.0 0.2 0.0 0.2 0.1 -0.5 0.2 -0.1 -0.5 0.2 -0.0 0.3 0.3 0.7 DOW -0.2 0.5 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.1 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 0.0 0.5 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 -0.1 0.1 -0.0 0.1 0.1 0.2 -0.2 0.2 -0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.1 0.0 0.1 -2.7 0.0 0.1 -0.0 0.1 0.0 0.0 0.8 0.5 0.6 -0.2 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.2 0.2 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 2.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.4 -0.4 -0.2 -0.1 -0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -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 0.1 0.0 -0.2 0.1 0.0 0.0 0.3 -0.7 -0.7 0.3 0.7 EUROSTX 0.3 0.0 0.5 0.1 0.0 0.1 0.1 0.1 0.1 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 0.2 0.1 0.2 0.1 0.7 0.5 0.6 -0.1 0.2 -0.1 0.3 -0.0 0.6 FEEDCOW 0.6 0.6 -0.6 0.0 0.0 -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 -0.0 0.2 -0.1 0.2 -0.7 0.0 0.1 0.0 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 -0.6 0.7 0.2 0.7 0.6 GASOIL 0.6 0.2 -0.4 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.2 0.1 0.3 0.1 -0.0 0.4 0.4 0.4 0.4 0.1 0.0 0.1 0.2 0.1 1.1 0.0 0.0 0.1 0.0 0.1 0.1 1.1 0.3 0.1 0.2 0.2 -0.5 -0.1 -0.7 -0.3 GASOLINE 0.4 0.2 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.2 0.1 0.1 -0.4 0.1 -0.4 -0.2 0.1 0.0 0.0 0.1 0.1 -2.7 0.0 -0.0 0.0 -0.0 0.2 0.0 -0.7 -0.2 -0.2 -0.0 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.2 0.1 -0.5 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 -0.4 0.1 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.4 -0.6 -0.3 -0.3 -0.5 0.1 -0.7 -0.1 GBP -0.3 0.1 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.1 -0.1 0.4 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.3 0.3 0.2 0.2 -0.7 -0.1 -0.6 0.3 GOLD_micro -0.3 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 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 0.0 0.6 0.5 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.5 0.1 -0.4 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.2 0.1 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 0.1 0.2 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.1 1.1 0.1 -0.0 0.2 0.2 0.4 0.1 0.4 -0.1 JGB-SGX-mini -0.6 0.3 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 0.3 0.2 0.3 0.0 0.0 -0.0 0.1 -0.0 -0.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.7 0.2 0.4 JPY -0.6 -0.2 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.2 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.1 -0.2 -0.2 -0.3 -0.5 -0.7 -0.3 -0.7 LEANHOG 0.6 0.5 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 0.1 -0.5 0.2 0.1 -0.4 -0.2 -0.4 -0.4 0.1 -0.0 0.1 -0.4 0.2 2.4 0.1 -0.0 0.1 0.0 -0.1 0.1 -1.0 0.2 0.5 0.6 0.4 -0.3 -0.3 0.1 0.4 LIVECOW 0.6 0.5 -0.6 0.0 0.0 -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 0.1 -0.1 0.2 -0.1 0.2 -0.3 0.0 0.1 -0.0 0.1 0.1 0.1 -0.6 0.5 0.6 0.5 -0.6 0.5 -0.0 0.7 0.2 LUMBER-new -0.3 0.1 0.5 0.1 0.0 0.0 0.1 -0.1 0.1 -0.2 -0.0 0.0 -0.6 -0.0 0.2 -0.4 -0.3 -0.3 -0.3 0.1 0.1 -0.0 -0.1 0.0 NaN 0.1 -0.1 0.1 -0.0 0.0 0.0 -1.1 -0.3 -0.7 0.1 0.6 -0.4 -0.8 -0.3 -0.8 MILK 0.6 0.5 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.1 0.1 -0.4 0.1 -0.5 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.2 -0.5 0.1 1.5 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.2 -0.5 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.4 0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.4 0.0 0.7 0.1 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.0 -2.7 0.1 0.1 0.2 0.0 0.4 0.0 1.1 0.5 0.4 0.3 0.2 0.6 0.7 0.7 0.7 NASDAQ_micro 0.1 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.4 -0.2 0.6 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.4 0.6 0.5 0.1 0.0 0.1 0.1 0.1 0.1 -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 -2.0 0.1 -0.0 0.2 0.0 0.2 0.1 1.1 -0.5 0.6 0.6 0.4 -0.5 -0.1 -0.1 -0.0 NZD -0.6 -0.1 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.2 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.0 0.1 -0.1 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 -0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 0.0 -0.0 0.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.6 0.1 -0.0 -0.2 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.1 0.1 -0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 0.1 0.1 0.5 OJ 0.6 -0.6 -0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.4 0.1 -0.0 0.1 0.3 0.2 0.3 0.0 0.1 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 1.1 0.5 0.6 -0.6 0.2 0.2 0.4 0.5 0.7 PALLAD -0.3 -0.4 0.2 -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 -0.4 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.4 -0.0 0.1 0.3 -0.3 -0.3 -0.2 -0.2 -0.1 PLAT -0.4 -0.2 0.1 -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 -0.1 -0.0 -0.0 -0.1 -0.1 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 0.0 -0.1 0.2 0.1 -0.4 -0.2 0.6 0.1 REDWHEAT 0.1 -0.0 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.5 0.0 -0.7 -0.1 -0.1 -0.0 -0.0 -0.0 -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 -0.3 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.6 RICE 0.3 0.1 0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.0 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.2 0.0 0.4 0.1 -0.3 0.3 0.0 ROBUSTA 0.5 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.4 0.1 0.5 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 1.1 0.1 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.4 0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 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 0.1 0.0 -0.0 -0.5 -0.4 0.0 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 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 -0.1 -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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.8 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 0.0 -0.7 -0.6 0.3 -0.3 SMI -0.2 0.3 0.4 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.2 -0.0 0.2 0.1 0.2 0.2 0.1 0.2 0.2 0.1 0.1 -0.0 0.1 0.1 1.4 0.1 -0.0 0.1 0.0 0.0 0.0 1.1 -0.2 -0.4 -0.0 -0.4 0.1 -0.2 0.4 -0.2 SOFR -0.6 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -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 0.1 0.1 -0.7 -0.7 -0.3 -0.1 SOYBEAN -0.1 -0.6 -0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.3 -0.1 0.0 -0.2 -0.2 0.1 0.3 0.2 0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.4 -0.4 -0.7 -0.4 -0.7 SOYMEAL 0.0 -0.6 -0.4 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.1 0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.3 -0.6 -0.6 -0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.1 -0.3 -0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.2 -0.2 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.7 -0.5 -0.6 -0.6 -0.5 -0.3 -0.1 -0.1 0.2 SP400 -0.3 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 -1.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.5 -0.3 0.0 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.1 0.4 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 -0.2 -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 0.1 0.6 0.6 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.6 0.0 -0.6 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.1 0.3 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 -0.2 -0.2 -0.5 -0.6 0.3 -0.1 0.5 0.2 US10 -0.5 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 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 0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.7 0.0 0.3 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.5 0.1 0.6 0.0 -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 -0.0 -0.1 0.0 -0.2 0.0 -0.0 0.1 0.0 -0.0 0.0 0.2 0.1 0.4 0.1 -0.0 -0.7 -0.7 0.2 0.6 US2 -0.5 0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.2 -0.0 0.0 -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 -0.7 -0.7 -0.5 -0.7 US20 -0.6 0.2 0.6 0.0 -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 -0.0 -0.1 0.0 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.3 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.5 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.2 -0.1 -0.2 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.5 0.2 0.3 0.0 -0.0 -0.5 -0.6 0.7 0.7 US5 -0.5 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 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 0.5 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.9 -0.0 0.2 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.3 -0.1 -1.0 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -0.2 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.2 NaN -0.1 -0.1 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 0.0 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 -0.3 -0.0 -0.1 -0.2 -0.1 -0.4 -0.0 -0.6 -0.5 -0.6 -0.6 -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 -4.8 13.4 1.4 -5.7 4.0 -5.0 3.8 -2.7 -10.9 -1.3 -16.3 -8.2 -17.4 0.2 -2.6 -2.8 -2.6 -2.7 -4.5 0.8 -17.1 -3.8 -14.3 2.8 -1.5 -7.0 0.8 -7.8 -0.9 -5.9 -1.1 -11.2 -13.8 -8.4 -3.4 -20.0 -10.1 -6.6 3.1 BITCOIN -15.9 -8.3 14.9 -4.6 -5.3 -3.0 -3.7 -1.3 -4.4 14.1 15.4 -2.1 17.5 -4.0 12.5 -6.8 -6.4 -7.6 -7.4 9.1 19.2 3.4 18.1 0.6 -20.0 3.9 2.5 8.6 1.2 8.3 0.0 -1.4 20.0 -4.3 7.9 20.0 -5.9 6.2 8.6 11.0 BOBL -20.0 -7.8 20.0 1.2 -2.0 1.2 -1.1 -0.4 -0.2 -4.4 3.2 -3.3 -0.7 -4.8 2.8 -20.0 -14.7 -20.0 -20.0 1.9 3.7 -2.8 -0.2 -1.5 6.7 0.9 -1.9 1.6 -0.8 0.2 -0.3 -20.0 4.9 -2.0 -5.3 -0.7 -20.0 -20.0 1.1 -20.0 BTP -15.6 -0.3 20.0 2.0 -3.5 2.1 -2.0 -0.6 -0.3 -5.4 9.2 -1.8 8.2 -2.4 9.3 4.6 6.7 5.1 5.6 10.1 12.9 -1.8 6.9 2.4 -12.2 3.4 -2.0 4.4 -0.6 2.6 0.8 12.2 6.9 7.1 -0.7 7.5 -16.8 -20.0 13.8 1.2 BUND -20.0 -6.6 20.0 1.3 -2.3 1.4 -1.3 -0.4 -0.2 -4.7 3.8 -3.5 -0.8 -5.5 3.4 5.0 4.4 3.8 3.2 2.7 4.5 -2.1 -0.3 -1.1 4.6 1.1 -1.5 1.8 -0.5 0.3 -0.2 7.8 6.0 -1.2 -6.0 0.1 -20.0 -20.0 2.9 -9.2 BUXL -20.0 -4.4 20.0 1.6 -2.8 1.7 -1.6 -0.5 -0.3 -6.8 4.1 -5.4 -4.3 -7.5 3.6 0.0 0.5 0.1 0.3 2.7 4.4 -3.3 -2.6 -2.2 0.7 1.1 -1.9 1.7 -0.9 -0.2 -0.5 2.5 4.1 -2.4 -8.1 0.5 -20.0 -20.0 2.2 6.3 CAC 2.6 -2.1 10.9 6.3 4.6 5.4 5.3 3.5 5.5 10.9 16.2 14.5 19.5 12.7 18.5 -8.5 -5.3 -8.5 -7.4 14.2 12.1 15.3 12.0 15.2 -8.7 5.8 4.3 4.9 6.5 4.1 6.3 0.0 20.0 2.8 -10.8 -6.6 -0.0 10.1 5.3 16.6 CAD -14.0 2.8 10.3 1.7 -6.8 4.8 -6.1 4.6 -3.3 -7.9 0.1 -8.4 -3.7 -10.4 5.7 -1.7 -2.1 -1.9 -2.1 2.3 3.2 -8.4 -2.7 -4.3 1.3 1.7 -6.9 1.8 -4.8 -1.2 -2.0 0.0 -0.6 1.6 5.3 -10.5 -20.0 -15.8 -2.0 -14.9 CANOLA 0.7 -18.8 -20.0 2.0 0.3 -0.0 2.8 -1.4 3.6 -9.0 -10.5 -9.8 -8.9 -10.6 -11.0 -9.6 -2.1 -10.2 -7.9 -19.9 -20.0 -16.4 -16.5 -17.0 -20.0 -4.2 -3.3 -4.4 -3.7 -3.8 -3.7 -0.9 -20.0 -20.0 -20.0 -20.0 -18.8 -15.8 -11.1 -4.4 CHF -20.0 -0.2 12.4 1.3 -5.3 3.7 -4.8 3.6 -2.6 -14.4 6.2 -14.3 9.8 -10.8 5.1 -14.6 -15.5 -15.6 -15.8 2.1 7.5 -13.6 6.8 -8.1 -6.3 2.6 -6.2 4.0 -4.4 2.9 -1.6 -20.0 2.8 -14.7 11.3 12.7 -20.0 -17.8 -16.4 -20.0 COCOA 20.0 -6.2 5.3 3.9 0.4 -0.2 6.4 -2.8 7.4 19.9 20.0 20.0 20.0 20.0 20.0 13.5 3.2 10.6 6.7 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 12.6 8.5 10.8 8.9 8.8 15.7 20.0 20.0 20.0 20.0 20.0 3.7 20.0 20.0 COFFEE 0.4 2.8 20.0 3.0 0.4 -0.0 4.1 -2.1 5.3 -5.7 8.3 8.8 2.3 0.4 9.0 9.3 5.2 8.6 6.8 9.6 10.7 1.8 4.7 5.7 -20.0 3.7 -3.3 5.5 -0.2 3.7 1.1 17.6 -9.6 -20.0 -4.0 20.0 -11.9 -20.0 -9.5 -10.6 COPPER -0.3 -0.3 11.4 -4.1 -4.7 -2.6 -3.3 -1.1 -3.9 -14.0 -0.3 -2.3 -4.5 -3.5 7.0 -6.9 -4.9 -6.5 -6.0 2.3 1.6 -7.0 -2.4 -0.5 -10.5 0.6 -11.0 1.0 -5.3 -0.7 -1.5 1.0 -2.9 7.4 10.6 12.5 -14.0 -5.3 13.3 -1.6 CORN -8.2 -14.1 -10.1 4.5 0.6 -0.0 6.2 -3.1 7.9 -2.4 -20.0 -15.7 -20.0 -20.0 -20.0 -13.4 -3.8 -11.2 -8.6 -20.0 -20.0 -8.4 -20.0 -20.0 -20.0 -8.2 -0.8 -7.7 -1.7 -6.8 -5.4 -3.1 -8.8 -20.0 -20.0 -20.0 -4.8 -18.4 -1.6 1.2 COTTON2 20.0 17.3 -5.0 4.6 0.6 -0.0 6.2 -3.1 8.0 20.0 -5.5 20.0 -5.1 20.0 8.8 -7.3 -2.0 -7.7 -5.8 17.2 0.8 20.0 -7.2 20.0 -20.0 6.4 7.4 1.9 9.0 0.1 9.5 0.9 19.1 20.0 20.0 -10.9 -15.5 -15.7 -7.7 -0.0 CRUDE_W 7.4 -2.9 -10.0 1.8 -0.6 -0.2 2.9 1.3 4.9 -12.7 4.0 -5.9 6.2 0.3 -10.8 7.5 9.3 7.6 8.5 -2.3 0.0 -7.7 6.8 -1.2 -4.7 -0.9 -7.9 0.6 -4.7 5.6 -0.3 -1.1 -18.9 -18.4 -12.5 3.3 20.0 16.9 20.0 19.3 DAX -2.3 1.0 20.0 6.2 4.5 5.4 5.3 3.5 5.5 16.8 19.4 18.0 19.9 17.6 20.0 -15.7 -10.6 -14.5 -12.7 20.0 19.9 12.7 15.6 14.5 17.2 6.4 5.1 6.3 4.5 4.4 4.8 -9.0 9.6 -4.3 -14.3 5.8 -0.6 8.3 9.0 20.0 DOW -7.1 13.9 20.0 5.8 4.2 5.0 4.9 3.2 5.1 8.9 20.0 16.3 19.1 19.1 20.0 -13.2 -10.1 -12.3 -11.4 20.0 20.0 16.3 20.0 20.0 -15.4 7.7 1.8 7.3 3.9 5.1 5.7 -7.7 1.9 15.9 20.0 20.0 -9.1 -3.9 -2.5 -8.7 DX 20.0 2.7 -13.9 1.3 -5.3 3.7 -4.7 3.5 -2.6 15.8 2.4 16.5 -5.1 15.3 -2.3 5.7 6.0 5.9 6.1 2.7 -1.4 15.5 1.4 11.5 -20.0 0.0 8.8 -1.3 7.3 0.9 4.4 14.1 20.0 20.0 -6.6 -20.0 20.0 2.7 20.0 8.9 EUR -16.9 -3.3 9.2 1.5 -6.0 4.2 -5.3 4.0 -2.9 -16.6 -3.1 -19.0 5.7 -16.4 1.2 -5.9 -6.6 -5.9 -6.1 -4.8 0.0 -18.9 -0.9 -13.9 16.0 -0.7 -10.4 1.3 -9.3 0.2 -5.7 -7.2 -18.1 -6.2 -2.8 -0.5 -20.0 -12.4 -20.0 -9.4 EURIBOR-ICE -20.0 -8.1 20.0 1.1 -1.9 1.2 -1.1 -0.4 -0.2 -2.9 5.5 -1.4 2.8 -2.3 5.1 3.3 -4.2 0.8 -1.9 5.8 9.0 -1.5 4.3 0.6 14.8 2.0 -1.0 2.9 -0.3 1.5 0.3 -4.1 5.2 0.4 0.1 8.5 -20.0 -20.0 7.6 20.0 EUROSTX 8.5 1.1 16.5 6.1 4.4 5.3 5.2 3.4 5.4 19.4 18.2 20.0 20.0 18.8 20.0 10.7 1.2 7.2 3.3 20.0 19.1 20.0 16.5 20.0 2.1 6.9 7.3 5.6 8.5 4.4 7.8 13.9 20.0 18.1 -4.2 5.1 -4.5 10.4 -1.0 19.0 FEEDCOW 20.0 20.0 -20.0 4.0 0.5 -0.0 5.4 -2.7 7.0 18.2 -6.2 20.0 -2.2 20.0 3.9 -20.0 -20.0 -20.0 -20.0 20.0 -3.8 20.0 -3.0 20.0 -5.1 4.0 6.4 0.1 8.8 1.7 8.4 -20.0 20.0 20.0 20.0 -20.0 19.7 7.3 20.0 17.5 GASOIL 19.3 5.2 -12.8 1.5 -0.5 -0.2 2.4 1.1 4.1 -0.7 5.8 7.6 7.0 11.5 -0.9 20.0 20.0 20.0 20.0 6.6 3.7 9.1 8.1 12.9 7.9 3.2 0.6 2.1 4.0 3.5 5.6 20.0 12.5 3.8 7.3 5.1 -14.3 -4.1 -20.0 -10.0 GASOLINE 13.8 6.6 -9.9 1.8 -0.6 -0.2 2.8 1.3 4.8 -5.2 -1.3 3.7 5.7 9.8 4.8 -17.6 7.3 -20.0 -8.9 4.9 1.1 0.8 5.2 7.3 -20.0 2.1 -1.2 0.7 -0.1 4.6 3.3 -13.8 -9.4 -6.9 -0.7 9.9 20.0 12.8 20.0 11.1 GAS_US_mini -7.5 3.7 -16.6 0.8 -0.3 -0.1 1.3 0.6 2.3 -9.2 -9.3 -10.0 -10.9 -8.7 -9.5 10.3 -17.9 7.2 -8.6 -11.6 -14.5 -9.1 -18.5 -9.5 16.1 -3.1 -3.0 -3.7 -2.9 -3.3 -2.6 -20.0 -15.0 -20.0 -9.2 -9.2 -14.6 1.6 -20.0 -2.4 GBP -10.5 2.4 11.3 1.6 -6.5 4.6 -5.8 4.3 -3.2 -11.4 2.2 -10.4 11.4 -3.2 15.9 -0.1 -0.6 -0.2 -0.3 5.2 7.7 -12.9 5.4 -4.0 2.4 4.4 -11.1 5.3 -7.7 2.6 -1.5 2.9 -13.1 8.7 5.0 6.9 -20.0 -2.1 -18.6 7.8 GOLD_micro -8.3 -1.7 9.3 -4.3 -5.0 -2.8 -3.5 -1.2 -4.1 -1.8 10.7 1.3 8.4 -5.4 8.2 -14.6 -14.1 -14.4 -14.5 2.8 6.4 -0.1 5.8 -0.9 -5.3 3.0 -0.8 3.8 1.3 3.5 1.8 -14.3 0.5 18.7 16.0 20.0 -20.0 -20.0 -20.0 -14.8 HEATOIL 16.4 4.0 -11.9 1.7 -0.6 -0.2 2.7 1.3 4.7 -3.4 3.7 7.5 5.2 11.8 -3.5 20.0 20.0 20.0 20.0 4.0 1.2 5.9 7.1 10.1 -20.0 3.5 0.2 2.6 2.6 5.6 5.3 20.0 3.2 -1.5 5.1 6.5 13.1 2.2 11.7 -2.1 JGB-SGX-mini -19.7 7.7 16.8 1.1 -1.9 1.1 -1.1 -0.3 -0.2 -1.7 4.3 -4.4 4.7 0.6 5.1 7.9 17.5 10.6 13.4 3.2 4.2 -2.5 2.8 -0.8 -3.5 1.0 -0.6 1.3 -1.1 0.3 -0.5 20.0 -1.3 -0.3 -0.9 -4.2 -2.3 -20.0 7.4 13.2 JPY -17.3 -5.4 18.2 0.8 -3.2 2.3 -2.9 2.2 -1.6 -5.1 -7.9 -8.7 -10.0 -10.0 -5.4 -14.8 -16.0 -15.5 -16.1 -6.1 -6.5 -6.2 -11.9 -7.9 20.0 -1.7 -2.0 -2.3 -2.5 -4.7 -2.7 -20.0 2.1 -6.8 -6.4 -9.5 -13.5 -20.0 -8.2 -20.0 LEANHOG 20.0 15.2 2.3 4.0 0.5 -0.0 5.4 -2.7 6.9 -12.2 -2.1 9.8 -12.7 17.1 10.0 -20.0 -9.3 -20.0 -20.0 11.6 -2.9 9.6 -14.7 19.7 18.2 6.4 -3.8 2.3 2.5 -2.6 6.6 -18.3 8.0 15.5 20.0 13.0 -10.3 -8.0 3.7 11.9 LIVECOW 20.0 15.6 -20.0 4.2 0.5 -0.0 5.8 -2.9 7.4 18.8 -7.2 20.0 -2.4 20.0 -1.4 -20.0 -8.9 -18.5 -13.7 9.6 -8.4 20.0 -4.2 20.0 -2.1 2.2 12.4 -1.6 11.4 1.5 8.5 -10.4 20.0 20.0 14.1 -20.0 14.8 -0.9 20.0 5.7 LUMBER-new -6.8 2.2 14.5 4.6 0.6 0.0 6.3 -2.5 8.1 -20.0 -0.3 3.5 -15.0 -3.1 13.5 -15.7 -14.5 -14.7 -14.5 7.1 6.1 -3.0 -2.9 1.9 NaN 5.1 -5.1 4.6 -1.2 0.9 2.2 -17.2 -11.4 -20.0 2.3 16.8 -10.3 -20.0 -7.0 -20.0 MILK 20.0 14.3 -2.7 2.8 0.4 -0.0 3.9 -1.9 5.0 11.7 -13.8 12.1 -15.2 3.5 -11.1 -20.0 -20.0 -20.0 -20.0 -6.9 -17.2 19.0 -20.0 8.4 11.5 -1.3 6.5 -5.0 7.3 -6.8 3.9 -20.0 20.0 6.1 -15.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -13.9 2.4 8.9 1.5 -5.9 4.1 -5.2 3.9 -2.9 17.7 16.4 2.5 19.5 5.5 15.8 15.8 16.4 15.5 15.4 9.9 15.5 6.0 20.0 4.6 -20.0 4.8 5.8 7.5 3.2 11.3 2.2 20.0 20.0 11.2 7.9 5.3 18.5 20.0 20.0 20.0 NASDAQ_micro 4.2 5.7 19.9 4.0 2.9 3.5 3.4 2.3 3.5 10.7 14.4 13.0 14.1 13.7 14.9 -11.5 -9.7 -11.4 -10.7 20.0 20.0 12.2 19.9 17.8 -20.0 5.4 1.4 5.3 2.5 4.9 4.1 -6.6 -7.2 20.0 20.0 14.6 16.8 -4.0 20.0 -6.0 NIKKEI 11.0 18.8 14.8 5.5 4.0 4.7 4.7 3.1 4.8 -1.9 18.9 11.8 19.3 16.5 18.8 17.9 12.8 16.2 13.9 20.0 20.0 10.8 20.0 20.0 -14.7 6.7 -0.6 5.7 2.1 5.0 5.3 20.0 -20.0 20.0 20.0 13.9 -15.9 -3.4 -2.9 -0.3 NZD -20.0 -4.5 15.1 1.3 -5.0 3.5 -4.5 3.3 -2.4 -8.6 2.7 -13.3 0.9 -13.9 4.5 0.3 0.2 0.2 0.2 -1.1 3.8 -10.7 -0.1 -9.3 0.4 -0.1 -4.5 2.1 -4.9 0.7 -3.8 4.0 1.6 -10.6 -6.6 -2.1 -11.0 -9.9 -5.4 4.7 OAT -19.8 -5.4 20.0 1.5 -2.5 1.5 -1.4 -0.5 -0.2 -4.8 4.8 -3.3 -0.1 -5.7 4.5 4.9 6.6 5.1 5.5 4.2 6.4 -2.3 1.0 -0.6 6.3 1.5 -1.7 2.3 -0.6 0.7 -0.0 12.0 5.9 -0.4 -5.1 2.3 -20.0 -20.0 5.8 3.2 OATIES 3.6 2.8 -19.2 1.8 0.2 -0.0 2.4 -1.2 3.1 -0.2 -8.0 -0.3 -6.3 -0.7 -6.1 7.2 -4.9 1.0 -4.1 -4.8 -7.5 0.4 -5.6 -0.8 -20.0 -0.9 0.2 -2.8 0.8 -2.3 0.9 -1.6 -4.4 -5.9 -0.8 -14.2 -3.5 3.5 3.6 14.9 OJ 20.0 -20.0 -20.0 2.6 0.3 -0.0 3.6 -1.8 4.6 11.6 5.2 12.4 10.1 5.7 -3.9 5.8 16.9 8.6 13.5 2.7 6.9 20.0 19.3 17.4 -20.0 1.3 6.4 3.2 7.3 7.1 4.0 20.0 20.0 20.0 -18.3 5.8 6.9 11.3 13.6 20.0 PALLAD -8.9 -12.6 5.7 -1.8 -2.1 -1.2 -1.5 -0.5 -1.7 -4.2 -7.2 -1.9 -8.7 -6.7 -6.5 -1.6 -2.2 -1.7 -2.0 -7.8 -9.8 -3.0 -13.6 -5.6 8.5 -1.6 -1.2 -3.1 -0.7 -4.3 -0.7 6.9 -0.3 3.5 10.7 -8.2 -9.1 -7.5 -4.9 -2.9 PLAT -12.2 -5.4 3.6 -2.8 -3.2 -1.8 -2.3 -0.8 -2.7 -5.3 -4.3 -4.3 -6.9 -9.0 -3.2 -4.0 -3.1 -3.8 -3.6 -4.8 -3.4 -4.6 -4.0 -6.0 11.8 -1.4 -2.3 -0.6 -1.9 -0.5 -2.0 4.7 0.2 -2.1 6.2 3.4 -10.6 -5.2 17.8 1.9 REDWHEAT 2.9 -1.2 -6.9 3.8 0.5 -0.0 5.2 -2.6 6.7 -14.0 -19.6 1.4 -20.0 -7.2 -12.6 -0.4 -1.4 -2.3 -2.6 -13.1 -20.0 -4.1 -20.0 -5.6 -14.0 -4.0 -3.9 -9.2 -1.1 -10.8 -0.3 4.2 -12.2 -20.0 -19.8 -20.0 -20.0 -20.0 -20.0 -17.5 RICE 8.3 2.2 12.2 3.7 0.5 -0.0 5.1 -2.5 6.5 17.2 18.5 17.5 15.9 17.4 18.4 -15.1 -2.2 -14.5 -9.8 18.8 17.0 20.0 13.1 20.0 -20.0 4.9 12.7 4.2 10.8 3.4 7.4 -1.2 20.0 6.0 0.4 12.2 2.2 -7.6 9.2 1.1 ROBUSTA 14.8 20.0 20.0 2.6 0.3 -0.0 3.6 -1.8 4.6 -2.3 14.3 9.7 14.2 12.9 14.4 20.0 20.0 20.0 20.0 20.0 20.0 12.0 20.0 20.0 -20.0 5.4 -0.3 5.3 1.6 4.4 3.8 20.0 3.7 18.3 20.0 20.0 -15.4 -15.3 -6.1 1.0 RUSSELL -12.3 4.4 20.0 3.5 2.5 3.0 3.0 2.0 3.1 -8.1 5.9 -2.7 2.9 -3.0 6.7 -6.3 -6.2 -6.3 -6.4 6.0 7.0 -4.7 2.7 -0.1 -2.2 2.7 -2.5 2.8 -1.5 1.5 0.5 -0.0 -20.0 -11.1 0.0 -2.9 -20.0 -20.0 -20.0 -20.0 SHATZ -17.9 -5.3 20.0 1.1 -1.9 1.1 -1.1 -0.4 -0.2 -4.6 1.0 -4.1 -4.1 -4.8 1.1 -20.0 -20.0 -20.0 -20.0 0.1 1.3 -4.5 -2.6 -2.9 8.0 0.7 -2.6 1.1 -1.6 -0.5 -0.7 -20.0 1.4 -3.3 -4.9 -2.4 -20.0 -20.0 -7.9 -20.0 SILVER-mini -6.1 -10.8 0.2 -3.6 -4.2 -2.4 -2.9 -1.0 -3.5 -12.8 -4.1 -5.2 -1.0 -10.9 -9.1 -6.7 -6.5 -6.9 -6.8 -8.3 -5.4 -8.5 -2.8 -8.7 5.7 -3.5 -7.2 -2.2 -4.0 -0.7 -3.3 -1.0 -1.3 3.7 1.5 1.2 -20.0 -17.5 9.9 -7.7 SMI -5.9 8.4 12.8 5.2 3.8 4.5 4.5 2.9 4.6 -7.3 8.8 -2.0 4.8 6.0 16.7 11.2 5.5 10.2 7.5 10.6 7.5 -0.0 2.0 6.4 10.2 5.5 -2.1 4.4 0.1 1.4 3.1 20.0 -8.4 -12.1 -0.4 -11.6 3.6 -6.3 12.1 -6.8 SOFR -18.5 1.0 20.0 1.5 -2.5 1.5 -1.4 -0.5 -0.2 -4.6 5.3 -2.9 0.3 -2.6 6.8 2.3 0.3 1.7 0.9 3.6 4.2 -2.8 -0.2 -0.3 -2.2 2.9 -2.3 2.5 -0.3 0.4 1.3 2.5 2.6 8.4 3.2 2.0 -20.0 -20.0 -7.6 -3.4 SOYBEAN -1.6 -20.0 -12.0 3.8 0.5 -0.0 5.1 -2.5 6.6 -11.6 -9.7 -13.1 0.9 -18.8 -19.4 7.0 15.6 10.8 12.6 -20.0 -17.1 -15.2 -8.3 -20.0 -20.0 -6.3 -4.1 -3.5 -5.0 -0.9 -6.3 20.0 -20.0 -20.0 -20.0 -11.7 -11.4 -20.0 -11.3 -20.0 SOYMEAL 1.1 -20.0 -12.5 2.7 0.3 -0.0 3.6 -1.8 4.7 -4.7 -10.9 -6.8 -4.0 -12.3 -13.5 3.4 14.0 7.1 10.5 -17.8 -12.6 -6.7 -4.2 -13.7 -20.0 -4.5 -1.2 -2.6 -1.7 -0.0 -3.7 20.0 -12.1 -20.0 -20.0 -9.3 -20.0 -20.0 -20.0 -19.5 SOYOIL -4.0 -10.3 -16.7 2.6 0.3 -0.0 3.5 -1.7 4.5 -3.0 -11.6 -9.1 -8.8 -12.1 -13.7 -7.3 5.1 -3.4 0.9 -15.7 -16.3 -10.6 -12.5 -13.5 -20.0 -4.4 -1.4 -4.4 -4.6 -3.6 -4.6 13.3 -20.0 -20.0 -19.3 -14.9 -8.7 -3.5 -4.0 6.3 SP400 -8.2 7.3 20.0 4.1 3.0 3.5 3.5 2.3 3.6 -8.4 10.0 2.0 7.3 2.7 11.3 -5.7 -5.2 -5.5 -5.4 10.5 10.9 -1.7 6.0 3.8 -11.0 3.8 -2.1 3.9 -0.7 2.5 1.5 1.8 -20.0 -8.0 1.0 -1.5 -20.0 -9.0 -20.0 -20.0 SP500_micro 1.7 11.2 20.0 5.2 3.8 4.5 4.4 2.9 4.6 15.2 18.5 17.5 17.0 18.5 19.8 -12.8 -10.8 -12.5 -11.8 20.0 20.0 19.0 19.9 20.0 -20.0 7.0 3.0 6.3 4.3 4.9 5.8 -8.5 3.0 20.0 20.0 15.9 4.1 -3.9 16.2 -6.2 SUGAR11 20.0 0.2 -20.0 2.7 0.3 -0.0 3.7 -1.8 4.8 -9.7 -3.9 7.8 7.1 7.5 -3.5 20.0 19.6 20.0 20.0 -2.0 -5.9 5.6 3.3 7.7 -20.0 -2.2 -0.6 -2.6 0.6 1.3 0.4 20.0 -8.0 -5.0 -16.4 -20.0 8.2 -3.6 14.9 7.5 US10 -15.5 4.5 20.0 1.3 -2.1 1.3 -1.2 -0.4 -0.2 -4.1 2.4 -2.6 -2.4 -1.5 5.6 -10.0 -7.9 -9.3 -8.7 2.9 2.0 -2.2 -3.5 0.0 1.7 2.4 -2.0 1.7 -0.2 -0.6 1.2 -12.7 2.0 7.9 3.5 0.5 -20.0 -20.0 -18.1 7.7 US10U -15.1 4.1 20.0 1.7 -3.0 1.8 -1.7 -0.6 -0.3 -5.4 2.4 -3.2 -3.3 -3.5 7.1 1.2 0.7 1.8 1.3 3.6 2.2 -1.9 -5.3 0.2 -1.3 3.2 -2.3 2.0 0.2 -1.1 1.9 3.2 5.7 11.6 4.3 -0.1 -20.0 -20.0 6.7 18.0 US2 -15.8 5.5 20.0 1.1 -1.9 1.1 -1.1 -0.3 -0.2 -4.3 1.4 -5.2 -4.5 -0.8 4.1 -20.0 -20.0 -20.0 -20.0 2.0 1.5 -4.5 -4.3 -1.4 8.6 2.1 -2.5 1.8 -1.3 -0.7 0.5 -20.0 -3.6 4.8 4.0 2.0 -19.6 -20.0 -14.4 -20.0 US20 -17.8 4.9 20.0 1.3 -2.1 1.3 -1.2 -0.4 -0.2 -1.7 2.2 -0.6 -1.8 -2.2 5.1 0.1 -1.0 -0.3 -0.7 3.1 2.1 -0.4 -3.7 0.5 -1.5 2.3 -0.9 1.4 0.6 -0.8 1.4 -0.4 6.0 8.2 4.0 1.6 -20.0 -20.0 20.0 20.0 US30 -16.0 1.6 19.8 1.5 -2.5 1.5 -1.4 -0.5 -0.2 -1.7 1.4 -0.4 -3.3 -3.9 4.8 -9.4 -5.4 -7.7 -6.6 2.0 1.0 -0.3 -5.4 -0.3 -1.0 2.3 -1.2 1.3 0.7 -1.3 1.4 -8.5 7.8 8.0 0.8 -1.3 -15.9 -17.8 20.0 20.0 US5 -16.4 4.0 20.0 1.2 -2.1 1.2 -1.2 -0.4 -0.2 -4.3 3.1 -3.7 -2.7 -0.9 5.5 -10.5 -10.3 -10.3 -10.5 2.7 2.3 -3.3 -2.9 -0.6 3.9 2.4 -2.4 1.9 -0.7 -0.3 0.9 -16.6 -0.5 6.8 3.8 1.4 -20.0 -20.0 -20.0 -7.4 VIX 6.3 -2.8 -20.0 -6.9 -4.8 -8.6 -3.6 -11.3 -5.1 -13.4 -20.0 -11.0 -20.0 -16.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -6.7 -20.0 -11.1 NaN -8.1 -5.2 -10.4 -3.4 -13.7 -5.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.8 0.3 4.4 3.9 0.5 -0.0 5.4 -2.7 6.9 -18.3 -19.3 -14.3 -20.0 -14.6 -6.9 -11.6 -10.7 -11.3 -11.2 -10.4 -16.7 -10.2 -20.0 -9.4 -2.6 -3.1 -9.9 -6.0 -6.1 -10.0 -3.2 -11.2 -20.0 -20.0 -17.8 -7.7 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3