******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240214_204030 produced at 2024-02-14 21:38:06.994240 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.08 0.00 -0.56 0.0 0.00 0.00 0.00 0.00 -7.10 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.30 0.0 0.09 -0.09 -0.09 -0.09 -54.87 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -5.57 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -2.42 13.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.09 -0.15 0.0 0.18 -0.18 -0.09 -0.09 -5.05 6.0 -3 -3 caleb_strategy_v3 CHF False False 0.05 -0.32 -0.13 0.0 0.60 -0.60 -0.32 -0.32 -2.92 13.0 -7 -7 caleb_strategy_v3 GOLD_micro False False 0.01 -0.09 -0.10 0.0 0.37 -0.37 -0.09 -0.12 -14.60 56.0 -13 -19 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.09 0.0 0.09 -0.09 -0.08 -0.08 -11.69 12.0 -10 -10 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.07 0.0 0.46 -0.46 -0.03 -0.05 -2.70 17.0 -1 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.14 -0.14 -0.02 -0.02 -22.99 51.0 -6 -6 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.07 0.0 0.61 -0.61 -0.13 -0.09 -1.55 14.0 -3 -2 caleb_strategy_v3 US5 False False 0.03 -0.10 -0.06 0.0 0.87 -0.87 -0.10 -0.10 -1.67 25.0 -3 -3 caleb_strategy_v3 BOBL False False 0.04 -0.49 -0.06 0.0 0.78 -0.78 -0.49 -0.49 -1.56 19.0 -12 -12 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.06 0.0 0.70 -0.70 -0.05 -0.05 -2.45 29.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.40 -0.40 0.00 0.00 -2.59 19.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.02 -32.35 26.0 -13 -13 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -4.92 3.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.13 -0.13 -0.04 -0.04 -1.81 7.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.18 -0.18 0.00 0.00 -0.27 2.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.61 -0.61 0.00 0.00 -0.92 17.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.77 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -3.21 9.0 -4 -4 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.06 -0.06 0.00 0.00 -2.13 5.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.02 0.0 0.22 -0.22 -0.00 -0.00 -6.65 68.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.91 2.0 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 -1.34 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -2.00 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.18 2.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.01 0.0 0.42 -0.42 -0.02 -0.02 -0.61 21.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.22 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.11 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.09 -0.09 -0.04 -0.04 -1.32 10.0 -4 -4 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.06 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 -0.06 -0.00 0.0 0.15 -0.15 -0.06 -0.06 -0.05 10.0 -4 -4 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.19 -0.19 -0.05 -0.05 -0.10 4.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.45 18.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.04 -0.00 0.0 0.35 -0.35 0.04 0.04 -0.05 9.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.41 -0.41 0.01 0.01 1.91 66.0 1 2 caleb_strategy_v3 GBP False False 0.03 0.13 0.01 0.0 0.56 -0.56 0.13 0.13 0.27 22.0 5 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.51 3.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.38 11.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.23 -0.23 0.02 0.02 1.37 23.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.08 0.02 0.0 0.41 -0.41 0.08 0.08 0.38 10.0 2 2 caleb_strategy_v3 OAT False False 0.04 0.00 0.02 0.0 0.45 -0.45 0.00 0.00 0.44 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.02 0.0 0.14 -0.14 0.03 0.07 0.51 4.0 1 2 caleb_strategy_v3 RICE False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 1.85 4.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.03 0.0 0.33 -0.33 0.21 0.21 0.81 8.0 5 5 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.15 0.03 0.0 0.27 -0.27 0.15 0.15 2.48 23.0 13 13 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.03 0.0 0.16 -0.16 0.00 0.00 2.14 13.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 5.10 48.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.04 0.0 0.41 -0.41 0.00 0.00 1.54 17.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.24 0.05 0.0 0.32 -0.32 0.24 0.27 1.69 12.0 9 10 caleb_strategy_v3 SMI False False 0.04 0.33 0.05 0.0 0.37 -0.37 0.33 0.33 1.26 9.0 8 8 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.05 0.0 0.11 -0.11 0.00 0.00 1.25 3.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.13 0.05 0.0 0.47 -0.47 0.13 0.13 2.82 26.0 7 7 caleb_strategy_v3 GASOIL False False 0.03 0.08 0.06 0.0 0.10 -0.10 0.08 0.08 2.16 4.0 3 3 caleb_strategy_v3 DX False True 0.03 0.00 0.07 0.0 0.00 0.00 0.00 0.00 2.16 999999999.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.07 0.0 0.10 -0.10 0.05 0.05 40.48 59.0 27 30 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.08 0.0 0.12 -0.12 0.05 0.05 3.45 5.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.09 0.0 0.35 -0.35 0.00 0.00 14.96 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.13 0.14 0.0 0.33 -0.33 0.13 0.08 8.38 20.0 8 5 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.26 0.0 0.85 -0.85 0.00 0.00 3.00 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.35 0.0 0.30 -0.30 0.26 0.26 41.91 36.0 32 32 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.35 0.41 0.0 0.35 0.00 0.35 0.35 13.05 16.0 11 11 caleb_strategy_v3 MXP False False 0.01 0.56 0.61 0.0 0.57 -0.57 0.56 0.56 64.50 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.7 Shocked risk 67.8 Sum abs risk 61.6 Leverage 5.17 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3063363.28, 'annual_cash_vol_target': 765840.82, 'daily_cash_vol_target': 47865.05125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6497 0.6295 10.0727 BITCOIN 1184.2548 52590.0000 2.2519 36.0298 BOBL 0.2950 117.0600 0.2520 4.0316 BTP 0.6175 117.9600 0.5234 8.3752 BUND 0.5805 133.7400 0.4341 6.9450 BUXL 1.3262 134.2200 0.9881 15.8091 CAC 54.5772 7710.0000 0.7079 11.3260 CAD 0.0030 0.7387 0.4087 6.5385 CANOLA 6.8141 588.6000 1.1577 18.5230 CHF 0.0057 1.1329 0.4988 7.9811 COCOA 70.0038 5593.0000 1.2516 20.0261 COFFEE 3.4161 183.5000 1.8616 29.7862 COPPER 0.0372 3.7030 1.0051 16.0818 CORN 3.9835 464.0000 0.8585 13.7361 COTTON2 1.0608 94.4600 1.1231 17.9690 CRUDE_W 1.0013 72.9600 1.3723 21.9573 DAX 110.6800 17021.0000 0.6503 10.4041 DOW 219.3964 38413.0000 0.5712 9.1384 DX 0.3968 104.8500 0.3785 6.0555 EUR 0.0045 1.0742 0.4232 6.7709 EURIBOR-ICE 0.0543 97.7000 0.0556 0.8900 EUROSTX 34.6902 4732.0000 0.7331 11.7296 FEEDCOW 1.7445 252.8500 0.6899 11.0390 GASOIL 13.3970 802.7500 1.6689 26.7022 GASOLINE 0.0413 2.5407 1.6243 25.9886 GAS_US_mini 0.0848 1.6650 5.0952 81.5239 GBP 0.0059 1.2566 0.4705 7.5272 GOLD_micro 13.0492 2003.8000 0.6512 10.4196 HEATOIL 0.0407 2.6711 1.5235 24.3766 JGB-SGX-mini 0.2713 146.3000 0.1854 2.9671 JPY 0.0000 0.0067 0.6351 10.1620 LEANHOG 1.1273 96.6750 1.1661 18.6578 LIVECOW 1.2577 184.0000 0.6835 10.9365 LUMBER-new 6.4319 578.5000 1.1118 17.7893 MILK 0.2313 17.2900 1.3378 21.4045 MXP 0.0004 0.0582 0.6232 9.9706 NASDAQ_micro 139.4109 17807.7500 0.7829 12.5259 NIKKEI 300.6148 37985.0000 0.7914 12.6625 NZD 0.0041 0.6085 0.6669 10.6707 OAT 0.5672 128.5200 0.4413 7.0612 OATIES 6.3055 370.2500 1.7030 27.2488 OJ 7.4690 353.2000 2.1147 33.8348 PALLAD 29.5937 936.5000 3.1600 50.5605 PLAT 14.9193 896.6000 1.6640 26.6238 REDWHEAT 9.1609 576.0000 1.5904 25.4469 RICE 0.1852 18.9100 0.9792 15.6672 ROBUSTA 44.2645 3086.0000 1.4344 22.9498 RUSSELL 28.0982 2016.2000 1.3936 22.2979 SHATZ 0.1007 105.5350 0.0954 1.5272 SILVER-mini 0.3348 22.6250 1.4799 23.6788 SMI 75.3648 11153.0000 0.6757 10.8118 SOFR 0.0806 96.3350 0.0837 1.3393 SOYBEAN 9.7582 1153.5000 0.8460 13.5354 SOYMEAL 4.4421 339.1000 1.3100 20.9593 SOYOIL 0.6739 47.2100 1.4274 22.8387 SP400 26.8944 2813.5000 0.9559 15.2945 SP500_micro 31.8055 5003.0000 0.6357 10.1717 SUGAR11 0.3283 22.7600 1.4426 23.0820 US10 0.4726 110.0000 0.4296 6.8743 US10U 0.6316 113.8750 0.5546 8.8743 US2 0.1362 102.0703 0.1334 2.1343 US20 0.9021 118.4688 0.7615 12.1835 US30 1.2823 124.3438 1.0313 16.5002 US5 0.3232 106.7266 0.3028 4.8446 VIX 0.4307 16.7500 2.5713 41.1401 WHEAT 7.9220 608.0000 1.3030 20.8475 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.70 0.63 409.02 1.00 409.02 47865.05 117.02 -8.54 -99.93 BITCOIN 52.59 2.25 118.43 1.00 118.43 47865.05 404.18 9.25 373.83 BOBL 1170.60 0.25 294.97 1.08 317.78 47865.05 150.62 -10.19 -153.52 BTP 1179.60 0.52 617.46 1.08 665.22 47865.05 71.95 1.55 11.16 BUND 1337.40 0.43 580.52 1.08 625.42 47865.05 76.53 -1.44 -11.05 BUXL 1342.20 0.99 1326.18 1.08 1428.76 47865.05 33.50 -2.81 -9.43 CAC 771.00 0.71 545.77 1.08 587.99 47865.05 81.40 6.10 49.64 CAD 738.70 0.41 301.88 1.00 301.88 47865.05 158.56 -5.95 -94.42 CANOLA 117.72 1.16 136.28 0.74 101.33 47865.05 472.39 -20.00 -944.78 CHF 1416.12 0.50 706.39 1.00 706.39 47865.05 67.76 -16.60 -112.50 COCOA 559.30 1.25 700.04 1.00 700.04 47865.05 68.37 19.27 131.78 COFFEE 688.12 1.86 1281.04 1.00 1281.04 47865.05 37.36 -1.41 -5.26 COPPER 925.75 1.01 930.49 1.00 930.49 47865.05 51.44 -9.07 -46.63 CORN 232.00 0.86 199.17 1.00 199.17 47865.05 240.32 -20.00 -480.64 COTTON2 472.30 1.12 530.42 1.00 530.42 47865.05 90.24 1.96 17.64 CRUDE_W 729.60 1.37 1001.25 1.00 1001.25 47865.05 47.81 6.67 31.88 DAX 170.21 0.65 110.68 1.08 119.24 47865.05 401.41 10.93 438.67 DOW 192.06 0.57 109.70 1.00 109.70 47865.05 436.33 1.89 82.33 DX 1048.50 0.38 396.82 1.00 396.82 47865.05 120.62 6.91 83.32 EUR 1342.75 0.42 568.23 1.00 568.23 47865.05 84.24 -7.11 -59.92 EURIBOR-ICE 2442.50 0.06 135.87 1.08 146.38 47865.05 327.00 2.69 87.81 EUROSTX 473.20 0.73 346.90 1.08 373.73 47865.05 128.07 19.19 245.74 FEEDCOW 1264.25 0.69 872.26 1.00 872.26 47865.05 54.87 4.48 24.58 GASOIL 802.75 1.67 1339.70 1.00 1339.70 47865.05 35.73 13.97 49.91 GASOLINE 1067.09 1.62 1733.27 1.00 1733.27 47865.05 27.62 4.22 11.65 GAS_US_mini 41.62 5.10 212.09 1.00 212.09 47865.05 225.68 -13.24 -298.78 GBP 785.38 0.47 369.48 1.00 369.48 47865.05 129.55 0.81 10.48 GOLD_micro 200.38 0.65 130.49 1.00 130.49 47865.05 366.80 -11.67 -428.06 HEATOIL 1121.86 1.52 1709.20 1.00 1709.20 47865.05 28.00 10.28 28.78 JGB-SGX-mini 146300.00 0.19 27130.04 0.01 181.87 47865.05 263.19 4.58 120.52 JPY 834.62 0.64 530.09 1.00 530.09 47865.05 90.30 -11.51 -103.90 LEANHOG 386.70 1.17 450.94 1.00 450.94 47865.05 106.15 3.32 35.23 LIVECOW 736.00 0.68 503.08 1.00 503.08 47865.05 95.14 4.89 46.50 LUMBER-new 159.09 1.11 176.88 1.00 176.88 47865.05 270.61 -8.51 -230.19 MILK 345.80 1.34 462.61 1.00 462.61 47865.05 103.47 -9.60 -99.30 MXP 290.80 0.62 181.22 1.00 181.22 47865.05 264.13 16.64 439.46 NASDAQ_micro 356.16 0.78 278.82 1.00 278.82 47865.05 171.67 6.21 106.57 NIKKEI 37985.00 0.79 30061.48 0.01 200.98 47865.05 238.16 16.25 386.99 NZD 608.50 0.67 405.82 1.00 405.82 47865.05 117.95 -1.99 -23.48 OAT 1285.20 0.44 567.19 1.08 611.06 47865.05 78.33 1.64 12.83 OATIES 185.12 1.70 315.28 1.00 315.28 47865.05 151.82 -7.89 -119.77 OJ 529.80 2.11 1120.35 1.00 1120.35 47865.05 42.72 5.58 23.82 PALLAD 936.50 3.16 2959.37 1.00 2959.37 47865.05 16.17 -3.20 -5.18 PLAT 448.30 1.66 745.96 1.00 745.96 47865.05 64.17 -0.22 -1.39 REDWHEAT 288.00 1.59 458.04 1.00 458.04 47865.05 104.50 -20.00 -209.00 RICE 378.20 0.98 370.33 1.00 370.33 47865.05 129.25 5.89 76.10 ROBUSTA 308.60 1.43 442.64 1.00 442.64 47865.05 108.13 10.84 117.21 RUSSELL 100.81 1.39 140.49 1.00 140.49 47865.05 340.70 -5.89 -200.55 SHATZ 1055.35 0.10 100.73 1.08 108.52 47865.05 441.06 -12.46 -549.34 SILVER-mini 565.62 1.48 837.08 1.00 837.08 47865.05 57.18 -6.86 -39.22 SMI 1115.30 0.68 753.65 1.14 860.40 47865.05 55.63 6.62 36.82 SOFR 2408.37 0.08 201.60 1.00 201.60 47865.05 237.43 -4.92 -116.90 SOYBEAN 576.75 0.85 487.91 1.00 487.91 47865.05 98.10 -19.86 -194.85 SOYMEAL 339.10 1.31 444.21 1.00 444.21 47865.05 107.75 -20.00 -215.51 SOYOIL 283.26 1.43 404.33 1.00 404.33 47865.05 118.38 -12.00 -142.02 SP400 2813.50 0.96 2689.44 1.00 2689.44 47865.05 17.80 -4.64 -8.25 SP500_micro 250.15 0.64 159.03 1.00 159.03 47865.05 300.99 7.29 219.53 SUGAR11 254.91 1.44 367.74 1.00 367.74 47865.05 130.16 1.61 20.93 US10 1100.00 0.43 472.61 1.00 472.61 47865.05 101.28 -7.20 -72.96 US10U 1138.75 0.55 631.60 1.00 631.60 47865.05 75.78 -2.27 -17.17 US2 2041.41 0.13 272.31 1.00 272.31 47865.05 175.77 -10.84 -190.61 US20 1184.69 0.76 902.10 1.00 902.10 47865.05 53.06 -0.72 -3.80 US30 1243.44 1.03 1282.31 1.00 1282.31 47865.05 37.33 -3.04 -11.34 US5 1067.27 0.30 323.15 1.00 323.15 47865.05 148.12 -8.90 -131.87 VIX 167.50 2.57 430.69 1.00 430.69 47865.05 111.14 -20.00 -222.27 WHEAT 304.00 1.30 396.10 1.00 396.10 47865.05 120.84 -20.00 -241.68 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -99.934 0.010 2.5 -2.593 BITCOIN 373.828 0.043 2.5 40.481 BOBL -153.525 0.004 2.5 -1.557 BTP 11.160 0.014 2.5 0.381 BUND -11.048 0.004 2.5 -0.112 BUXL -9.426 0.004 2.5 -0.096 CAC 49.639 0.014 2.5 1.693 CAD -94.415 0.010 2.5 -2.450 CANOLA -944.779 0.010 2.5 -22.985 CHF -112.497 0.010 2.5 -2.919 COCOA 131.775 0.009 2.5 2.822 COFFEE -5.258 0.005 2.5 -0.061 COPPER -46.632 0.043 2.5 -5.050 CORN -480.636 0.010 2.5 -11.693 COTTON2 17.645 0.009 2.5 0.378 CRUDE_W 31.878 0.043 2.5 3.452 DAX 438.669 0.014 2.5 14.962 DOW 82.330 0.009 2.5 1.913 DX 83.324 0.010 2.5 2.162 EUR -59.920 0.010 2.5 -1.555 EURIBOR-ICE 87.813 0.014 2.5 2.995 EUROSTX 245.743 0.014 2.5 8.382 FEEDCOW 24.583 0.013 2.5 0.815 GASOIL 49.914 0.017 2.5 2.164 GASOLINE 11.653 0.017 2.5 0.505 GAS_US_mini -298.779 0.043 2.5 -32.354 GBP 10.483 0.010 2.5 0.272 GOLD_micro -428.057 0.014 2.5 -14.600 HEATOIL 28.777 0.017 2.5 1.247 JGB-SGX-mini 120.520 0.043 2.5 13.051 JPY -103.898 0.010 2.5 -2.696 LEANHOG 35.227 0.024 2.5 2.141 LIVECOW 46.504 0.013 2.5 1.541 LUMBER-new -230.190 0.009 2.5 -4.921 MILK -99.305 0.009 2.5 -2.127 MXP 439.463 0.059 2.5 64.502 NASDAQ_micro 106.569 0.009 2.5 2.477 NIKKEI 386.993 0.043 2.5 41.907 NZD -23.481 0.010 2.5 -0.609 OAT 12.826 0.014 2.5 0.437 OATIES -119.772 0.010 2.5 -2.914 OJ 23.819 0.009 2.5 0.510 PALLAD -5.183 0.014 2.5 -0.177 PLAT -1.395 0.014 2.5 -0.048 REDWHEAT -208.998 0.005 2.5 -2.772 RICE 76.097 0.010 2.5 1.851 ROBUSTA 117.208 0.005 2.5 1.369 RUSSELL -200.550 0.013 2.5 -6.646 SHATZ -549.344 0.004 2.5 -5.571 SILVER-mini -39.223 0.014 2.5 -1.338 SMI 36.822 0.014 2.5 1.256 SOFR -116.900 0.024 2.5 -7.105 SOYBEAN -194.851 0.004 2.5 -1.812 SOYMEAL -215.509 0.004 2.5 -2.004 SOYOIL -142.024 0.004 2.5 -1.322 SP400 -8.254 0.013 2.5 -0.274 SP500_micro 219.529 0.009 2.5 5.102 SUGAR11 20.933 0.009 2.5 0.445 US10 -72.955 0.005 2.5 -0.924 US10U -17.170 0.005 2.5 -0.218 US2 -190.612 0.005 2.5 -2.415 US20 -3.799 0.005 2.5 -0.048 US30 -11.337 0.005 2.5 -0.144 US5 -131.873 0.005 2.5 -1.671 VIX -222.274 0.099 2.5 -54.867 WHEAT -241.680 0.005 2.5 -3.206 ===================== Position diags ===================== AUD 3.04 BITCOIN 43.77 BOBL 1.53 BTP 2.45 BUND 0.78 BUXL 0.34 CAC 2.78 CAD 4.11 CANOLA 11.49 CHF 1.76 COCOA 1.46 COFFEE 0.44 COPPER 5.57 CORN 5.85 COTTON2 1.93 CRUDE_W 5.18 DAX 13.69 DOW 10.14 DX 3.13 EUR 2.19 EURIBOR-ICE 11.15 EUROSTX 4.37 FEEDCOW 1.82 GASOIL 1.55 GASOLINE 1.20 GAS_US_mini 24.44 GBP 3.36 GOLD_micro 12.51 HEATOIL 1.21 JGB-SGX-mini 28.50 JPY 2.34 LEANHOG 6.45 LIVECOW 3.15 LUMBER-new 5.79 MILK 2.22 MXP 38.77 NASDAQ_micro 3.99 NIKKEI 25.79 NZD 3.06 OAT 2.67 OATIES 3.69 OJ 0.92 PALLAD 0.55 PLAT 2.19 REDWHEAT 1.39 RICE 3.14 ROBUSTA 1.26 RUSSELL 11.29 SHATZ 4.47 SILVER-mini 1.95 SMI 1.90 SOFR 14.43 SOYBEAN 0.91 SOYMEAL 1.00 SOYOIL 1.10 SP400 0.59 SP500_micro 6.99 SUGAR11 2.77 US10 1.28 US10U 0.96 US2 2.23 US20 0.67 US30 0.47 US5 1.88 VIX 27.43 WHEAT 1.60 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 40.5 36.1 44.9 27.0 27 BOBL -1.6 -1.7 -1.4 -12.0 -12 BTP 0.4 0.1 0.6 2.0 2 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.1 -0.1 -0.1 -1.0 -1 CAC 1.7 1.4 2.0 9.0 9 CAD -2.4 -2.9 -2.0 -2.0 -2 CANOLA -23.0 -24.1 -21.8 -6.0 -6 CHF -2.9 -3.1 -2.7 -7.0 -7 COCOA 2.8 2.7 3.0 7.0 7 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -5.0 -5.6 -4.5 -3.0 -3 CORN -11.7 -12.3 -11.1 -10.0 -10 COTTON2 0.4 0.2 0.6 0.0 0 CRUDE_W 3.5 2.9 4.0 2.0 2 DAX 15.0 13.6 16.3 0.0 0 DOW 1.9 0.9 2.9 1.0 1 DX 2.2 1.8 2.5 NaN 0 EUR -1.6 -1.8 -1.3 -3.0 -3 EURIBOR-ICE 3.0 1.9 4.1 0.0 0 EUROSTX 8.4 7.9 8.8 8.0 8 FEEDCOW 0.8 0.6 1.0 5.0 5 GASOIL 2.2 2.0 2.3 3.0 3 GASOLINE 0.5 0.4 0.6 1.0 1 GAS_US_mini -32.4 -34.8 -29.9 -13.0 -13 GBP 0.3 -0.1 0.6 5.0 5 GOLD_micro -14.6 -15.9 -13.3 -13.0 -13 HEATOIL 1.2 1.1 1.4 0.0 0 JGB-SGX-mini 13.1 10.2 15.9 11.0 11 JPY -2.7 -2.9 -2.5 -1.0 -1 LEANHOG 2.1 1.5 2.8 0.0 0 LIVECOW 1.5 1.2 1.9 0.0 0 LUMBER-new -4.9 -5.5 -4.3 NaN 0 MILK -2.1 -2.3 -1.9 NaN 0 MXP 64.5 60.6 68.4 59.0 59 NASDAQ_micro 2.5 2.1 2.9 13.0 13 NIKKEI 41.9 39.3 44.5 32.0 32 NZD -0.6 -0.9 -0.3 -1.0 -1 OAT 0.4 0.2 0.7 0.0 0 OATIES -2.9 -3.3 -2.5 NaN 0 OJ 0.5 0.4 0.6 NaN 0 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT -0.0 -0.3 0.2 -4.0 -4 REDWHEAT -2.8 -2.9 -2.6 -3.0 -3 RICE 1.9 1.5 2.2 NaN 0 ROBUSTA 1.4 1.2 1.5 2.0 2 RUSSELL -6.6 -7.8 -5.5 -1.0 -1 SHATZ -5.6 -6.0 -5.1 NaN 0 SILVER-mini -1.3 -1.5 -1.1 NaN 0 SMI 1.3 1.1 1.4 8.0 8 SOFR -7.1 -8.5 -5.7 NaN 0 SOYBEAN -1.8 -1.9 -1.7 -2.0 -2 SOYMEAL -2.0 -2.1 -1.9 0.0 0 SOYOIL -1.3 -1.4 -1.2 -4.0 -4 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro 5.1 4.4 5.8 0.0 0 SUGAR11 0.4 0.2 0.7 0.0 0 US10 -0.9 -1.1 -0.8 0.0 0 US10U -0.2 -0.3 -0.1 0.0 0 US2 -2.4 -2.6 -2.2 NaN 0 US20 -0.0 -0.1 0.0 1.0 1 US30 -0.1 -0.2 -0.1 0.0 0 US5 -1.7 -1.9 -1.5 -3.0 -3 VIX -54.9 -57.6 -52.1 -17.0 -17 WHEAT -3.2 -3.4 -3.0 -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 -0.4 -0.4 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN 0.3 -0.2 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 -0.1 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.2 0.2 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.2 0.3 0.3 BOBL -0.5 -0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.3 -0.4 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 0.8 -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 0.1 -0.7 BTP -0.4 -0.1 0.6 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.0 -1.8 0.0 0.0 0.1 -0.0 0.1 -0.0 0.6 0.4 0.4 -0.0 0.3 -0.6 -0.7 0.5 0.1 BUND -0.4 -0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.1 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 0.2 -0.2 -0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.4 -0.3 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 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.2 -0.3 0.0 -0.7 -0.7 0.1 0.2 CAC 0.4 -0.1 0.4 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.1 0.4 0.2 -1.2 0.1 0.0 0.2 0.1 0.2 0.1 -0.0 -0.5 0.0 -0.4 -0.2 -0.0 0.4 0.1 0.6 CAD -0.3 -0.1 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 0.1 0.3 0.1 -0.3 -0.7 -0.5 -0.0 -0.5 CANOLA -0.1 -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 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.6 -0.6 -0.6 -0.7 -0.6 -0.4 -0.2 CHF -0.6 -0.4 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.2 0.3 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 0.0 -0.2 0.1 -0.2 -0.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 0.1 0.1 -0.7 -0.6 -0.5 -0.7 COCOA 0.6 0.1 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.1 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 1.0 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE 0.0 0.0 0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.3 0.1 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 -0.0 0.2 0.0 -2.7 0.0 -0.1 0.2 -0.0 0.2 0.0 0.9 0.0 -0.1 -0.4 0.6 -0.4 -0.7 -0.3 -0.4 COPPER -0.2 -0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -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 -0.1 -0.1 -1.5 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.5 -0.1 0.1 0.4 -0.6 -0.2 0.4 -0.0 CORN 0.1 -0.5 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.3 -0.5 -0.6 -0.6 -0.6 -0.1 -0.7 -0.1 0.0 COTTON2 0.6 0.6 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 0.0 0.2 -0.0 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.1 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.5 0.6 0.6 0.1 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.3 -0.0 -0.3 0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.2 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 0.0 -0.1 -0.1 -0.5 -0.6 0.0 0.7 0.6 0.7 0.7 DAX 0.1 -0.1 0.6 0.1 0.0 0.2 0.1 0.1 0.1 -0.0 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.0 0.4 0.1 2.3 0.1 -0.0 0.2 0.0 0.2 0.0 -0.5 -0.5 -0.4 -0.5 0.1 -0.1 0.3 0.2 0.7 DOW -0.2 0.2 0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.0 0.5 0.2 -2.0 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.5 0.1 0.4 0.6 -0.3 -0.1 -0.0 -0.3 DX 0.5 0.3 -0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.1 0.2 -0.1 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.2 -2.7 0.0 0.1 -0.0 0.1 0.0 0.1 0.8 0.5 0.6 0.5 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.3 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 2.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 0.1 -0.3 -0.1 -0.1 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.0 0.1 -0.1 0.2 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.1 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.2 0.5 0.2 0.3 0.1 0.0 0.2 0.1 0.2 0.1 0.8 -0.1 0.6 0.0 0.2 -0.2 0.4 -0.1 0.7 FEEDCOW 0.6 0.6 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.0 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.2 0.0 0.2 -0.0 0.2 -0.8 0.1 -0.0 0.0 0.0 0.1 0.1 -1.1 0.5 0.6 0.6 -0.6 0.7 0.3 0.7 0.7 GASOIL 0.6 0.4 -0.3 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.2 0.2 0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.2 1.0 0.0 0.0 0.1 0.1 0.1 0.1 1.1 0.2 0.4 0.3 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.5 0.4 -0.2 0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.3 0.2 0.1 -0.2 0.1 -0.4 -0.2 0.1 0.1 0.2 0.2 0.2 -2.7 0.0 0.0 0.1 0.1 0.2 0.1 -0.7 0.4 0.1 -0.1 0.4 0.7 0.4 0.7 0.4 GAS_US_mini -0.5 -0.0 -0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 0.0 -0.3 0.1 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.4 -0.4 -0.5 0.0 -0.7 -0.1 GBP -0.3 -0.0 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.0 -0.1 0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.1 0.1 0.3 0.2 -0.7 -0.1 -0.7 0.2 GOLD_micro -0.3 -0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.3 -0.2 0.3 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.0 -0.2 0.1 -0.1 -0.7 -0.0 -0.2 0.1 -0.1 0.1 -0.1 -0.8 -0.3 -0.1 0.5 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.6 0.3 -0.3 0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 1.1 0.1 0.1 0.2 0.3 0.5 0.1 0.4 -0.0 JGB-SGX-mini -0.6 0.1 0.6 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 0.3 0.0 0.1 -0.1 -0.1 -0.7 0.2 0.4 JPY -0.4 -0.4 0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.2 -0.2 -0.3 -0.3 -0.5 -0.6 -0.3 -0.7 LEANHOG 0.4 0.6 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.5 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 -0.0 -0.0 -0.4 0.1 2.6 0.1 0.0 0.1 -0.0 -0.1 0.0 -1.1 -0.3 0.2 0.6 0.6 -0.4 -0.3 0.1 0.4 LIVECOW 0.6 0.6 -0.5 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 -0.1 0.2 -0.1 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.2 -0.0 0.2 -0.1 0.2 -0.4 0.0 -0.0 0.0 0.1 0.1 0.1 -0.6 0.5 0.6 0.6 -0.6 0.6 0.0 0.7 0.3 LUMBER-new 0.0 -0.0 0.5 0.1 -0.1 0.0 -0.0 -0.1 0.1 0.0 -0.0 0.0 -0.6 -0.1 0.2 -0.4 -0.3 -0.4 -0.3 0.1 0.1 -0.0 -0.1 -0.0 NaN 0.1 0.0 0.2 -0.0 0.1 0.0 -1.2 0.2 -0.3 -0.2 0.7 -0.4 -0.8 -0.3 -0.7 MILK 0.6 0.6 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.3 0.1 -0.5 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.5 0.1 1.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 0.5 0.4 -0.0 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.1 -0.1 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.1 0.5 0.1 0.7 0.0 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.0 0.5 0.0 -2.7 0.1 0.0 0.2 0.0 0.5 0.0 1.1 0.5 0.6 0.5 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro 0.1 0.1 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 0.2 0.0 0.2 0.0 -0.4 0.1 0.3 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.2 0.6 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 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.1 0.2 0.1 0.2 0.1 1.1 0.5 0.4 0.6 0.5 -0.6 -0.1 -0.1 -0.0 NZD -0.3 -0.4 0.4 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.2 0.0 -0.1 0.0 -0.4 -0.3 -0.2 0.1 OAT -0.5 -0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.0 -0.1 0.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.6 0.1 0.2 -0.2 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.2 0.1 -0.5 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.3 0.1 -0.3 0.0 -0.1 0.2 -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.0 0.0 -0.4 -0.2 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 -0.0 0.1 0.1 0.3 0.1 -0.0 0.2 0.3 0.2 0.3 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 0.3 0.6 -0.3 0.0 0.2 0.4 0.4 0.7 PALLAD 0.1 -0.4 0.3 -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 -0.1 -0.1 0.0 -0.2 -0.3 -0.3 -0.2 -0.1 PLAT -0.1 -0.4 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.0 0.0 0.1 0.1 -0.4 -0.2 0.6 0.1 REDWHEAT 0.0 -0.1 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 0.1 -0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.5 -0.2 -1.7 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 0.2 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.6 -0.6 RICE 0.4 0.1 0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 -0.3 -0.1 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.2 0.5 0.6 0.2 0.5 0.1 -0.2 0.3 0.1 ROBUSTA 0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -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 0.2 0.0 0.2 0.0 1.1 0.1 0.5 0.6 0.6 -0.6 -0.5 -0.2 0.0 RUSSELL -0.2 -0.1 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 0.1 0.0 0.0 -0.1 -0.2 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.5 -0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 1.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.1 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.0 -0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.7 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.1 0.0 -0.7 -0.6 0.4 -0.2 SMI -0.2 0.2 0.4 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.2 -0.1 0.2 -0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.1 -0.0 0.1 -0.0 1.4 0.0 0.0 0.1 -0.0 0.1 -0.0 1.1 -0.5 -0.6 -0.3 -0.4 0.1 -0.2 0.4 -0.2 SOFR -0.6 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.2 0.0 0.1 0.1 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.0 -0.6 -0.5 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.4 -0.2 -0.0 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 -0.2 -0.3 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 1.1 -0.5 -0.6 -0.6 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL -0.1 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.0 0.3 0.1 0.2 -0.2 -0.2 -0.2 -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 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.2 -0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -0.3 0.0 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.0 -0.3 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.6 0.4 -0.4 -0.5 -0.3 -0.3 -0.1 -0.2 0.2 SP400 -0.2 0.0 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 0.1 0.2 0.1 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 -0.3 -0.2 -0.1 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.1 0.3 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.3 -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 0.5 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 0.5 0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 0.3 0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.1 0.0 0.1 0.1 -2.7 -0.0 -0.0 -0.1 -0.0 0.1 0.0 1.1 0.1 0.1 -0.1 -0.6 0.3 -0.1 0.6 0.3 US10 -0.5 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 -0.1 0.1 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.4 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 0.1 0.0 -0.7 -0.7 0.3 0.6 US2 -0.6 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.2 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.1 -0.1 -0.1 1.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.1 0.1 0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.4 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.3 -0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.5 0.0 0.2 0.0 0.0 -0.5 -0.6 0.7 0.7 US5 -0.6 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.9 -0.1 -0.0 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.4 0.0 -0.9 -0.1 0.1 -0.4 0.0 -0.7 -0.1 0.2 -0.9 -0.0 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.1 -0.9 -0.1 NaN -0.1 0.1 -0.5 0.0 -0.9 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.2 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.3 -0.1 -0.2 -0.2 -0.1 -0.3 -0.1 -0.6 -0.4 -0.6 -0.6 -0.4 -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 -13.7 -12.6 10.4 -0.7 -7.0 2.7 -6.8 3.3 -5.0 -9.1 -3.3 -13.0 -8.7 -17.3 -3.4 -2.8 -2.8 -2.7 -2.7 -7.6 -1.7 -13.2 -4.3 -14.2 2.6 -3.1 -4.8 -0.4 -6.3 -1.2 -6.3 -1.2 -0.1 -6.0 -10.4 -4.3 -20.0 -10.2 -7.4 2.3 BITCOIN 8.8 -5.5 14.0 -6.0 -2.5 -4.0 -5.6 -1.8 -6.6 20.0 19.0 20.0 20.0 14.1 18.4 -7.0 -6.5 -7.6 -7.4 20.0 20.0 20.0 20.0 20.0 -20.0 6.9 18.8 8.2 15.3 7.4 8.9 -1.4 20.0 20.0 20.0 20.0 -5.7 4.8 10.2 9.2 BOBL -15.2 -16.0 20.0 0.1 -2.2 0.8 -2.7 -0.4 -1.8 -5.7 2.2 -6.8 -0.7 -7.0 0.7 -20.0 -16.0 -20.0 -20.0 -1.2 2.2 -7.7 -0.5 -6.0 6.2 -0.3 -1.9 1.0 -2.7 0.1 -2.0 -20.0 -1.0 1.7 -5.7 -1.9 -20.0 -20.0 2.0 -20.0 BTP -12.5 -4.1 20.0 0.2 -3.9 1.4 -4.9 -0.8 -3.2 -4.0 8.8 -7.5 8.2 -9.4 8.1 4.6 6.6 5.0 5.5 6.5 11.6 -3.4 7.1 -1.8 -13.1 2.5 1.3 4.4 -1.4 3.0 -0.8 12.0 16.1 13.2 -0.1 8.0 -16.5 -20.0 14.9 1.7 BUND -13.7 -12.6 20.0 0.1 -2.5 0.9 -3.1 -0.5 -2.0 -6.1 2.9 -7.4 -0.8 -8.0 1.8 4.8 4.5 4.0 3.3 0.0 3.3 -6.1 -0.5 -4.9 4.2 0.1 -1.1 1.3 -2.2 0.3 -1.7 7.9 4.5 4.7 -6.3 -0.6 -20.0 -20.0 4.5 -9.4 BUXL -13.7 -10.1 20.0 0.1 -3.0 1.1 -3.8 -0.6 -2.5 -6.8 3.3 -8.9 -4.2 -10.1 2.2 0.1 0.5 0.1 0.3 -0.0 3.1 -5.1 -2.9 -5.3 0.6 0.2 0.1 1.4 -1.7 -0.3 -1.7 2.4 11.6 6.1 -8.5 0.3 -20.0 -20.0 3.7 5.0 CAC 11.3 -1.9 12.4 7.0 3.3 5.9 5.7 3.9 6.6 11.0 18.5 19.3 20.0 18.1 20.0 -8.4 -5.4 -8.5 -7.5 16.5 14.2 12.7 13.5 15.7 -9.1 6.8 3.3 5.8 5.3 4.8 6.5 -0.1 -20.0 0.7 -12.8 -7.7 -1.5 10.9 3.0 17.3 CAD -8.0 -4.2 10.5 -0.9 -8.5 3.3 -8.3 4.0 -6.1 -15.5 -0.7 -11.6 -3.5 -15.9 3.4 -1.8 -2.1 -1.9 -2.1 -0.7 1.7 -11.9 -2.7 -7.3 0.9 -0.3 -11.2 1.0 -8.0 -1.3 -4.6 0.0 2.5 8.5 1.7 -7.9 -20.0 -15.5 -1.2 -14.6 CANOLA -3.9 -19.3 -20.0 2.0 -3.8 0.3 -0.6 -1.3 2.0 -8.8 -11.0 -10.3 -9.4 -11.0 -11.4 -10.4 -2.6 -10.4 -8.3 -20.0 -20.0 -12.8 -17.7 -16.5 -20.0 -4.3 -2.6 -4.5 -2.9 -3.9 -3.5 -2.5 -11.9 -20.0 -20.0 -20.0 -20.0 -17.6 -12.0 -5.3 CHF -20.0 -11.9 9.7 -0.7 -6.2 2.4 -6.0 2.9 -4.4 -14.7 3.1 -16.4 7.2 -15.4 -0.5 -14.3 -15.4 -15.3 -15.6 -6.1 2.5 -20.0 4.6 -18.6 -5.3 -0.7 -9.8 2.0 -8.8 2.1 -5.5 -20.0 -20.0 -20.0 2.3 4.0 -20.0 -17.5 -14.7 -20.0 COCOA 20.0 1.8 3.7 3.8 -7.2 0.6 -1.1 -2.4 3.7 17.0 20.0 20.0 20.0 20.0 20.0 20.0 5.2 16.3 10.2 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 6.3 6.2 9.3 5.7 8.9 19.3 20.0 20.0 20.0 20.0 20.0 3.1 20.0 20.0 COFFEE 1.5 0.9 19.1 3.3 -6.2 0.5 -1.0 -2.1 3.2 -9.9 9.8 7.8 3.9 0.9 9.5 10.7 5.6 9.3 7.3 9.4 11.4 -1.3 5.7 4.1 -20.0 4.0 -6.0 6.4 -1.3 4.8 0.8 17.7 0.7 -3.1 -12.2 20.0 -10.9 -20.0 -7.6 -10.7 COPPER -5.3 -6.5 9.4 -5.0 -2.1 -3.3 -4.7 -1.5 -5.5 -14.6 -3.0 -16.1 -6.0 -14.4 -0.3 -6.5 -5.0 -6.4 -6.0 -5.0 -1.4 -18.3 -3.5 -13.2 -11.2 -3.1 -6.9 -0.8 -9.1 -1.1 -6.9 1.0 -20.0 -2.9 4.5 13.6 -16.7 -4.5 13.2 -0.1 CORN 2.4 -15.7 -12.9 4.5 -8.6 0.7 -1.3 -2.8 4.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.8 -4.6 -12.7 -9.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.8 -10.5 -8.0 -8.5 -7.0 -8.0 -5.3 -20.0 -20.0 -20.0 -20.0 -4.4 -20.0 -1.8 0.8 COTTON2 20.0 20.0 2.5 4.4 -8.5 0.7 -1.3 -2.8 4.4 20.0 1.7 20.0 -1.2 20.0 16.8 -4.9 -2.0 -6.6 -5.4 20.0 8.4 20.0 -2.4 20.0 -20.0 7.3 13.3 3.2 12.3 0.9 10.5 0.4 20.0 20.0 20.0 3.5 -16.0 -15.0 -7.4 0.5 CRUDE_W 8.9 -0.1 -8.1 3.8 -0.3 1.1 5.4 1.6 6.7 13.7 4.2 7.7 6.7 8.0 -7.0 8.3 9.3 8.0 8.6 1.3 1.5 9.1 7.6 6.4 -4.6 1.3 3.5 1.6 5.6 6.2 4.3 -1.1 -4.7 -16.3 -17.5 0.0 20.0 17.9 20.0 20.0 DAX 1.9 -2.1 20.0 6.8 3.2 5.7 5.5 3.8 6.4 -3.9 20.0 13.5 20.0 15.5 20.0 -16.0 -10.9 -14.9 -13.1 17.9 19.4 4.1 16.1 10.2 17.2 6.7 -0.2 7.1 1.6 5.3 3.9 -9.5 -20.0 -12.2 -14.8 3.4 -1.9 9.5 6.7 20.0 DOW -6.3 4.7 20.0 6.1 2.9 5.2 4.9 3.4 5.8 -10.2 20.0 11.5 19.0 15.6 20.0 -13.3 -10.3 -12.6 -11.7 20.0 20.0 3.3 20.0 16.3 -15.1 7.3 -3.2 7.6 0.7 5.7 4.3 -7.9 -19.7 2.3 11.1 20.0 -7.8 -4.0 -0.7 -9.8 DX 16.5 10.4 -10.0 -0.3 -8.4 2.9 -6.6 3.4 -4.6 16.9 3.9 18.2 -3.6 18.2 0.8 5.9 6.0 6.0 6.1 6.9 1.0 18.9 2.2 15.6 -20.0 2.0 10.9 -0.2 8.7 1.2 6.4 14.1 20.0 20.0 16.1 -20.0 20.0 2.7 20.0 8.7 EUR -14.9 -9.8 5.6 -0.8 -7.7 3.0 -7.6 3.7 -5.6 -15.5 -5.1 -17.6 3.6 -19.1 -4.1 -6.1 -6.6 -6.0 -6.2 -9.2 -2.7 -17.0 -2.0 -16.6 16.7 -3.1 -7.7 -0.1 -8.6 -0.2 -7.4 -7.3 2.8 -10.4 -3.4 -3.2 -20.0 -13.1 -20.0 -9.9 EURIBOR-ICE -20.0 -16.8 20.0 0.1 -2.1 0.7 -2.7 -0.4 -1.8 -5.3 5.0 -6.3 2.9 -6.1 3.7 2.4 -3.9 0.9 -1.6 2.6 7.8 -6.9 4.4 -4.4 14.4 1.0 -1.4 2.6 -2.1 1.6 -1.2 -3.7 0.9 2.0 -1.6 7.1 -20.0 -20.0 7.2 20.0 EUROSTX 18.8 3.1 18.0 6.9 3.2 5.8 5.5 3.8 6.4 8.8 20.0 19.8 20.0 20.0 20.0 10.6 1.6 7.9 4.0 20.0 20.0 20.0 18.8 20.0 1.9 7.6 2.9 6.3 6.3 4.7 7.8 15.0 -5.5 20.0 1.4 5.6 -5.8 11.6 -3.0 20.0 FEEDCOW 20.0 20.0 -11.9 4.1 -7.8 0.6 -1.2 -2.6 4.0 -9.3 -3.7 18.1 -1.3 20.0 12.8 -20.0 -20.0 -20.0 -20.0 20.0 2.9 18.2 -0.2 20.0 -5.9 5.1 -2.4 1.4 3.4 2.2 6.9 -20.0 20.0 20.0 20.0 -18.8 20.0 8.8 20.0 20.0 GASOIL 20.0 11.5 -8.7 3.0 -0.2 0.9 4.4 1.3 5.4 8.3 7.7 14.6 8.2 15.8 6.7 20.0 20.0 20.0 20.0 12.9 7.3 18.0 9.5 20.0 7.8 4.6 1.3 3.0 5.9 3.4 6.8 20.0 7.6 12.0 9.3 6.7 -12.3 -4.6 -20.0 -10.6 GASOLINE 13.9 11.1 -5.9 3.6 -0.3 1.0 5.1 1.6 6.4 11.8 0.7 15.6 7.0 16.9 12.3 -8.1 7.1 -19.1 -7.6 11.4 4.8 20.0 6.5 18.6 -20.0 4.6 5.3 2.2 8.8 4.3 7.7 -13.5 17.1 2.2 -2.2 11.1 20.0 13.1 20.0 11.5 GAS_US_mini -14.6 -0.7 -20.0 1.5 -0.1 0.4 2.2 0.7 2.7 -8.4 -8.9 -9.4 -9.8 -9.2 -9.3 1.7 -17.5 4.2 -8.6 -13.6 -14.9 -15.4 -18.1 -13.7 15.0 -3.2 -5.0 -3.1 -4.6 -2.6 -3.6 -20.0 -20.0 -20.0 -13.1 -11.6 -14.1 0.9 -20.0 -3.3 GBP -10.6 -1.2 10.6 -0.9 -8.3 3.2 -8.1 3.9 -5.9 -12.8 1.5 -10.4 10.4 -9.5 13.6 -0.3 -0.6 -0.2 -0.3 1.8 6.5 -10.9 5.5 -7.0 2.5 2.0 -6.9 4.3 -6.3 2.5 -3.4 2.9 5.1 4.4 9.8 7.5 -20.0 -3.2 -20.0 6.4 GOLD_micro -8.1 -7.7 8.1 -5.3 -2.2 -3.5 -5.0 -1.6 -5.9 -19.4 10.1 -15.6 7.8 -14.8 1.3 -15.2 -14.2 -14.8 -14.7 -2.5 4.1 -20.0 5.3 -12.0 -5.0 -0.1 -19.8 2.7 -12.7 3.4 -5.4 -14.5 -14.4 -4.1 13.9 20.0 -20.0 -20.0 -20.0 -14.5 HEATOIL 18.9 10.5 -8.1 3.6 -0.3 1.0 5.1 1.6 6.4 8.1 5.4 14.7 6.4 17.4 5.4 20.0 20.0 20.0 20.0 11.2 5.2 17.1 8.3 19.3 -20.0 5.3 0.2 3.6 6.2 5.2 7.5 20.0 5.8 4.2 6.8 7.9 13.6 2.9 12.1 -1.3 JGB-SGX-mini -19.1 3.1 17.1 0.2 -3.5 0.8 -3.0 -0.4 -1.7 -3.8 4.3 -4.4 4.9 -2.5 4.7 8.9 17.4 10.7 13.2 2.4 4.0 -2.1 3.0 -1.3 -3.8 0.8 -0.3 1.2 -1.0 0.4 -0.7 20.0 12.6 1.3 3.3 -3.4 -3.2 -20.0 6.1 12.4 JPY -10.9 -13.0 16.3 -0.4 -4.1 1.6 -4.1 2.0 -3.0 -9.8 -9.1 -11.0 -10.4 -11.4 -8.3 -15.0 -16.0 -15.5 -16.0 -9.1 -8.4 -12.9 -12.8 -12.1 20.0 -2.7 -5.1 -2.6 -5.0 -4.3 -4.2 -20.0 -7.1 -6.3 -10.3 -10.4 -14.5 -18.9 -9.4 -20.0 LEANHOG 12.7 17.7 3.2 4.4 -8.4 0.7 -1.3 -2.8 4.3 -5.5 -2.0 -0.1 -14.1 12.7 10.7 -20.0 -16.9 -20.0 -20.0 9.1 -2.4 -0.7 -15.7 8.4 19.7 6.3 1.8 3.2 -0.1 -2.9 3.8 -20.0 -13.4 7.3 20.0 18.9 -11.6 -8.3 3.4 11.7 LIVECOW 20.0 20.0 -14.5 4.1 -7.9 0.6 -1.2 -2.6 4.1 0.7 -4.0 17.3 -1.4 20.0 6.0 -20.0 -9.3 -18.1 -14.0 17.7 -2.0 20.0 -1.9 20.0 -2.9 4.2 -0.9 0.2 5.4 1.8 7.7 -11.9 20.0 20.0 20.0 -20.0 17.5 0.5 20.0 7.5 LUMBER-new 0.1 -0.9 13.3 4.7 -9.0 0.8 -1.4 -2.3 4.6 3.9 -0.3 0.5 -15.0 -6.9 12.7 -17.7 -14.9 -15.8 -15.1 5.2 5.8 -2.7 -2.8 -0.9 NaN 4.4 1.1 5.0 -1.3 1.4 0.4 -18.7 5.6 -7.9 -6.2 19.2 -10.1 -20.0 -7.2 -18.2 MILK 20.0 20.0 -3.6 2.6 -4.9 0.4 -0.8 -1.6 2.5 -7.5 -11.6 6.3 -13.6 5.4 -8.0 -20.0 -20.0 -20.0 -20.0 -3.7 -13.7 3.7 -20.0 5.1 10.6 -0.3 -1.2 -4.2 2.1 -6.6 2.9 -20.0 20.0 11.7 -1.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -2.9 -2.0 8.8 -0.8 -7.9 3.0 -7.7 3.7 -5.7 5.6 17.5 10.0 20.0 2.5 17.0 16.1 16.5 15.7 15.6 9.5 15.7 2.0 20.0 4.0 -20.0 5.2 1.0 8.6 1.0 13.5 2.1 20.0 20.0 17.3 16.3 10.4 19.7 20.0 20.0 20.0 NASDAQ_micro 2.2 2.9 20.0 4.4 2.0 3.7 3.5 2.4 4.1 0.5 14.7 10.0 14.4 13.0 14.9 -11.6 -9.8 -11.5 -10.8 20.0 20.0 10.0 20.0 17.6 -20.0 5.4 0.1 5.6 2.0 5.2 3.9 -6.8 5.8 10.1 18.6 15.0 18.9 -3.6 20.0 -5.6 NIKKEI 7.1 20.0 16.5 6.2 2.9 5.2 5.0 3.4 5.8 18.9 20.0 20.0 20.0 20.0 20.0 18.1 13.1 16.6 14.4 20.0 20.0 20.0 20.0 20.0 -15.6 7.3 7.5 6.2 7.1 5.3 7.1 20.0 20.0 12.4 20.0 16.0 -16.5 -3.8 -3.6 -1.3 NZD -9.2 -11.5 12.6 -0.6 -6.0 2.3 -5.8 2.8 -4.3 -5.2 1.9 -6.0 0.3 -12.2 3.2 0.4 0.3 0.3 0.2 -1.7 2.2 -4.9 -0.3 -5.8 0.3 -0.6 -3.0 1.6 -2.7 0.6 -2.9 4.1 7.3 0.3 -3.4 0.5 -11.1 -9.7 -4.9 3.9 OAT -14.2 -10.9 20.0 0.1 -2.8 1.0 -3.5 -0.5 -2.3 -6.2 4.0 -7.8 -0.0 -8.7 3.0 4.9 6.6 5.0 5.4 1.2 5.1 -5.8 0.9 -4.7 5.8 0.5 -0.6 2.0 -2.1 0.7 -1.6 11.9 6.1 6.1 -5.9 1.8 -20.0 -20.0 6.8 3.3 OATIES 7.1 1.8 -16.1 2.1 -4.0 0.3 -0.6 -1.3 2.1 4.4 -9.8 5.7 -7.8 1.2 -6.2 9.1 -4.1 3.0 -2.6 -4.2 -9.0 2.5 -7.5 1.3 -20.0 -0.3 0.1 -2.8 1.5 -2.8 1.7 -0.4 6.3 -0.4 0.1 -13.9 -4.8 2.8 3.0 13.9 OJ 20.0 -19.2 -20.0 2.3 -4.4 0.3 -0.7 -1.5 2.3 -4.8 5.2 5.4 9.1 5.7 -1.3 7.8 16.6 9.0 13.2 4.7 6.8 4.5 15.4 9.1 -20.0 1.8 -1.1 3.2 1.2 6.8 2.5 20.0 11.3 20.0 -9.7 1.1 6.4 10.5 12.5 20.0 PALLAD 2.2 -11.0 9.9 -2.0 -0.8 -1.3 -1.9 -0.6 -2.2 -0.1 -7.1 -3.7 -8.1 -7.0 -6.8 -1.8 -2.2 -1.8 -2.0 -6.9 -7.8 -4.3 -10.2 -6.3 8.2 -2.1 0.4 -2.7 -2.0 -3.5 -2.2 6.9 -2.3 -1.6 0.5 -6.5 -10.2 -7.9 -6.0 -3.1 PLAT -4.1 -12.0 3.5 -3.1 -1.3 -2.1 -2.9 -0.9 -3.4 -4.8 -5.3 -8.2 -7.2 -10.8 -5.6 -4.1 -3.2 -3.9 -3.6 -6.2 -4.3 -6.5 -4.0 -7.8 10.8 -2.5 -1.3 -1.2 -3.4 -0.8 -3.6 4.7 -2.0 0.7 2.5 3.3 -11.3 -4.8 19.1 3.1 REDWHEAT 0.9 -3.2 -4.8 3.7 -7.1 0.6 -1.1 -2.3 3.6 -18.7 -20.0 -17.5 -20.0 -15.9 -16.3 2.9 -1.0 -0.5 -1.6 -17.1 -20.0 -20.0 -20.0 -16.2 -13.1 -6.3 -15.6 -9.3 -11.9 -10.4 -7.1 4.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.1 -18.7 RICE 11.9 4.0 12.3 3.6 -7.0 0.5 -1.1 -2.3 3.6 8.3 19.0 14.3 16.6 16.5 18.8 -14.3 -2.8 -14.3 -10.2 20.0 19.2 17.5 14.4 20.0 -20.0 5.8 3.4 4.6 6.5 3.4 7.2 -2.9 20.0 20.0 6.2 14.7 3.3 -6.6 10.2 2.1 ROBUSTA 5.5 20.0 20.0 2.8 -5.3 0.4 -0.8 -1.7 2.7 -5.2 15.2 8.7 15.2 12.9 15.1 20.0 20.0 20.0 20.0 20.0 20.0 7.4 20.0 20.0 -20.0 5.7 -1.0 6.1 1.2 5.2 3.4 20.0 3.2 13.9 20.0 20.0 -17.4 -15.9 -7.0 1.1 RUSSELL -6.1 -4.0 17.5 3.6 1.7 3.0 2.9 2.0 3.4 2.1 6.2 3.5 3.5 -1.2 7.0 -6.2 -6.2 -6.3 -6.4 5.1 5.4 4.4 2.4 3.4 -2.1 2.9 1.8 2.9 2.1 1.7 2.0 0.1 -5.6 -7.5 -6.3 -2.7 -20.0 -20.0 -20.0 -20.0 SHATZ -16.7 -15.8 20.0 0.1 -2.1 0.7 -2.6 -0.4 -1.7 -5.9 -0.3 -6.9 -4.4 -7.0 -1.9 -20.0 -20.0 -20.0 -20.0 -3.4 -0.3 -10.5 -3.3 -8.4 7.9 -0.6 -2.9 0.4 -3.5 -0.6 -2.5 -20.0 -6.2 -2.3 -5.9 -4.1 -20.0 -20.0 -7.8 -20.0 SILVER-mini -0.7 -13.1 -1.1 -4.4 -1.9 -2.9 -4.1 -1.3 -4.9 -9.2 -5.7 -9.3 -2.5 -13.7 -12.7 -6.8 -6.6 -6.9 -6.8 -9.4 -6.6 -8.6 -3.6 -9.8 5.6 -4.3 -4.8 -2.9 -4.8 -1.1 -4.6 -1.0 0.8 -3.3 3.8 0.3 -20.0 -17.4 11.2 -6.4 SMI -6.8 5.1 13.6 5.7 2.7 4.8 4.6 3.1 5.3 3.5 9.0 -10.0 4.7 -6.2 13.6 11.0 5.7 10.3 7.9 5.9 6.1 -5.0 2.1 -1.1 10.7 3.9 0.7 4.4 -2.3 1.7 -0.2 20.0 -20.0 -20.0 -9.2 -12.8 4.3 -6.2 12.7 -7.4 SOFR -17.4 -8.4 17.3 0.1 -2.5 0.9 -3.1 -0.5 -2.0 -6.9 4.2 -7.8 0.2 -7.0 4.1 1.9 0.3 1.6 0.9 -0.4 2.1 -10.3 -0.4 -6.1 -2.0 1.1 -5.1 1.8 -4.2 0.4 -1.7 2.5 -7.0 1.3 2.7 2.3 -20.0 -20.0 -6.8 -3.1 SOYBEAN -1.3 -20.0 -16.3 3.7 -7.1 0.6 -1.1 -2.4 3.7 -18.2 -13.3 -19.2 -0.8 -20.0 -20.0 6.5 15.2 9.9 12.0 -20.0 -20.0 -20.0 -10.9 -20.0 -20.0 -6.8 -7.0 -4.3 -6.5 -1.5 -6.9 20.0 -20.0 -20.0 -20.0 -17.6 -9.6 -20.0 -9.3 -20.0 SOYMEAL -2.9 -20.0 -19.2 2.6 -4.9 0.4 -0.8 -1.6 2.5 -12.9 -12.2 -13.6 -5.7 -14.2 -14.4 -1.3 12.9 4.5 8.7 -20.0 -16.1 -19.7 -6.5 -20.0 -20.0 -4.8 -4.1 -3.1 -4.3 -0.5 -4.6 20.0 -20.0 -20.0 -20.0 -19.5 -20.0 -20.0 -20.0 -20.0 SOYOIL 4.1 -4.9 -14.7 2.5 -4.8 0.4 -0.7 -1.6 2.5 4.3 -11.5 3.7 -9.1 -4.7 -9.9 -5.6 4.7 -3.5 0.5 -11.0 -14.6 2.0 -12.3 -3.8 -20.0 -2.6 0.2 -4.0 1.6 -3.7 -0.3 11.7 17.4 -12.5 -14.3 -10.7 -9.6 -4.3 -4.8 6.1 SP400 -4.7 0.7 19.4 4.4 2.1 3.7 3.6 2.4 4.2 3.7 11.0 7.3 8.2 5.7 12.4 -5.9 -5.3 -5.7 -5.5 10.1 10.2 6.4 6.1 6.9 -10.9 4.3 1.8 4.3 2.6 3.0 2.9 1.7 -4.9 -8.0 -5.7 -1.6 -20.0 -9.1 -20.0 -20.0 SP500_micro 3.6 8.5 20.0 5.7 2.6 4.8 4.5 3.1 5.3 3.2 18.8 14.7 17.4 17.3 19.7 -12.9 -10.9 -12.6 -11.9 20.0 20.0 14.8 20.0 20.0 -20.0 7.0 0.4 6.6 3.1 5.2 5.4 -8.7 9.2 14.8 20.0 17.6 5.2 -3.6 18.3 -6.1 SUGAR11 17.0 5.4 -20.0 3.0 -5.7 0.4 -0.9 -1.9 2.9 -9.6 -3.6 1.9 7.7 10.3 -2.9 20.0 19.8 20.0 20.0 -0.7 -5.3 0.2 3.8 5.7 -20.0 -2.3 -2.6 -3.0 -0.8 1.5 0.1 20.0 2.1 2.1 -1.9 -20.0 10.0 -2.5 16.9 8.3 US10 -15.5 -3.4 18.6 0.1 -2.2 0.8 -2.8 -0.4 -1.8 -6.4 2.0 -7.2 -2.3 -6.2 3.7 -9.4 -8.0 -9.2 -8.7 -0.3 0.7 -8.8 -3.4 -5.1 1.7 1.0 -4.2 1.2 -3.5 -0.6 -1.3 -12.9 -4.6 2.1 2.8 1.2 -20.0 -20.0 -17.5 7.8 US10U -13.8 -3.9 17.9 0.1 -3.1 1.1 -3.8 -0.6 -2.5 -9.1 1.9 -10.1 -3.1 -9.1 4.6 -0.5 0.5 1.0 0.9 -0.6 0.5 -11.7 -5.3 -6.9 -1.1 1.4 -5.7 1.5 -4.6 -1.1 -1.6 2.7 -5.0 4.9 3.2 1.1 -20.0 -20.0 8.1 18.6 US2 -19.2 -2.9 20.0 0.1 -2.0 0.7 -2.6 -0.4 -1.7 -5.5 0.9 -6.7 -4.5 -5.5 1.5 -20.0 -20.0 -20.0 -20.0 -1.2 0.1 -9.7 -4.3 -6.1 8.7 0.7 -4.3 1.3 -3.8 -0.7 -1.8 -20.0 -6.5 -3.7 3.0 0.8 -20.0 -20.0 -15.1 -20.0 US20 -13.4 -3.3 19.4 0.1 -2.3 0.8 -2.8 -0.4 -1.9 -7.1 1.9 -6.8 -1.6 -6.2 3.7 -0.0 -1.0 -0.3 -0.7 0.3 1.0 -7.9 -3.7 -4.4 -1.4 1.3 -3.7 1.2 -2.7 -0.8 -0.7 -0.4 -1.1 4.9 3.0 2.8 -20.0 -20.0 20.0 20.0 US30 -9.6 -5.6 17.1 0.1 -2.7 0.9 -3.4 -0.5 -2.2 -8.7 1.1 -7.9 -3.1 -7.7 3.3 -9.7 -5.6 -8.2 -6.9 -0.7 -0.1 -8.3 -5.7 -5.2 -0.8 1.2 -4.3 1.0 -3.2 -1.4 -1.0 -9.1 1.4 7.3 0.9 0.3 -16.0 -17.9 20.0 20.0 US5 -17.8 -4.4 19.9 0.1 -2.2 0.8 -2.7 -0.4 -1.8 -6.0 2.5 -7.0 -2.6 -5.8 3.3 -9.9 -10.3 -10.1 -10.4 -0.7 0.8 -9.3 -2.9 -5.7 3.7 0.9 -4.3 1.4 -3.8 -0.3 -1.6 -16.6 -6.0 -0.5 2.9 1.3 -20.0 -20.0 -20.0 -7.2 VIX 7.8 0.4 -16.9 -6.8 6.1 -9.2 1.6 -12.3 -3.2 13.2 -20.0 -0.7 -20.0 -15.1 -20.0 -20.0 -20.0 -20.0 -20.0 -18.7 -20.0 3.8 -20.0 -6.6 NaN -7.7 7.0 -11.3 2.2 -15.2 -3.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -4.6 -4.8 4.6 4.0 -7.5 0.6 -1.2 -2.5 3.9 -19.9 -20.0 -20.0 -20.0 -20.0 -13.8 -11.5 -10.7 -11.4 -11.2 -15.1 -19.2 -20.0 -20.0 -17.5 -2.0 -6.0 -17.8 -6.5 -13.9 -9.1 -9.1 -12.0 -18.4 -20.0 -20.0 -13.0 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3