******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240227_204003 produced at 2024-02-27 21:37:00.727030 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.07 0.00 -0.78 0.0 0.00 0.00 0.00 0.00 -10.43 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.30 0.0 0.08 -0.08 -0.08 -0.08 -61.96 17.0 -17 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -8.38 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.62 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.15 0.0 0.57 -0.57 -0.40 -0.40 -3.53 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.03 -0.10 -0.11 0.0 0.44 -0.44 -0.10 -0.13 -4.22 17.0 -4 -5 caleb_strategy_v3 BOBL False True 0.04 -0.50 -0.09 0.0 0.00 -0.50 -0.50 -0.50 -2.35 19.0 -13 -13 caleb_strategy_v3 GOLD_micro False False 0.01 -0.19 -0.09 0.0 0.35 -0.35 -0.19 -0.21 -14.08 56.0 -30 -33 caleb_strategy_v3 US5 False False 0.03 -0.30 -0.08 0.0 0.82 -0.82 -0.30 -0.30 -2.46 25.0 -9 -9 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.09 -0.09 -0.07 -0.07 -10.66 12.0 -10 -10 caleb_strategy_v3 CAD False False 0.02 0.00 -0.07 0.0 0.66 -0.66 0.00 0.00 -3.06 29.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -23.38 51.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.05 0.0 0.04 -0.04 -0.03 -0.03 -31.23 26.0 -18 -18 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.58 -0.58 0.00 0.00 -1.31 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.04 0.0 0.18 -0.18 -0.03 0.00 -1.50 6.0 -1 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.38 -0.38 0.00 0.00 -2.12 19.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -2.96 8.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.03 -2.00 7.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.25 9.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.24 9.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -2.18 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 -6.05 68.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.72 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.06 -0.02 0.0 0.09 -0.09 -0.06 -0.06 -2.08 10.0 -7 -7 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.01 0.0 0.01 -0.01 0.00 0.00 -2.40 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.80 0.0 0 0 caleb_strategy_v3 BUXL False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.16 4.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.01 0.0 0.59 -0.59 0.00 0.00 -0.26 14.0 0 0 caleb_strategy_v3 BUND False True 0.04 -0.04 -0.01 0.0 0.00 -0.04 -0.04 -0.04 -0.33 10.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.41 13.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.23 -0.23 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 0.00 0.0 0.14 -0.14 -0.01 0.00 0.06 18.0 -1 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.19 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 -0.01 -0.00 0.0 0.14 -0.14 -0.01 -0.01 -0.08 10.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 0.00 -0.00 0.0 0.33 -0.33 0.00 0.00 -0.10 9.0 0 0 caleb_strategy_v3 OAT False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.11 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.12 2.0 -1 -1 caleb_strategy_v3 BTP False True 0.04 0.08 0.01 0.0 0.08 0.00 0.08 0.08 0.22 10.0 2 2 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.81 11.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.83 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.03 0.78 23.0 3 3 caleb_strategy_v3 DOW False False 0.01 0.06 0.01 0.0 0.40 -0.40 0.06 0.10 1.46 66.0 10 17 caleb_strategy_v3 NZD False True 0.02 0.10 0.02 0.0 0.10 0.00 0.10 0.10 1.18 21.0 5 5 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.18 0.02 0.0 0.26 -0.26 0.18 0.19 1.70 23.0 16 17 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.12 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 0.93 4.0 4 4 caleb_strategy_v3 COCOA False False 0.02 0.12 0.03 0.0 0.51 -0.51 0.12 0.10 1.48 26.0 6 5 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.16 0.03 0.0 0.82 -0.82 0.16 0.08 0.42 10.0 2 1 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.32 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.04 0.0 0.10 -0.10 0.00 0.00 1.14 3.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.04 0.0 0.54 -0.54 0.12 0.12 1.79 22.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.04 0.0 0.38 -0.38 0.02 0.03 4.82 48.0 3 4 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.05 0.0 0.10 -0.10 0.02 0.02 1.99 4.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.06 0.0 0.33 -0.33 0.21 0.21 1.54 8.0 5 5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.08 0.0 0.00 0.00 0.00 0.00 44.40 59.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.08 0.0 0.16 -0.16 0.01 0.01 6.74 13.0 1 1 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.09 0.0 0.39 -0.39 0.00 0.00 3.88 17.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.32 0.10 0.0 0.32 -0.32 0.32 0.32 3.88 12.0 12 12 caleb_strategy_v3 SMI False True 0.04 0.28 0.12 0.0 0.28 0.00 0.28 0.28 3.01 9.0 7 7 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.14 0.0 0.11 -0.11 0.02 0.07 6.31 5.0 1 3 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.34 -0.34 0.00 0.00 24.97 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.20 0.16 0.0 0.33 -0.33 0.20 0.21 9.54 20.0 12 13 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.37 0.0 0.29 -0.29 0.29 0.29 45.81 36.0 36 36 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.30 0.53 0.0 0.30 0.00 0.30 0.30 17.66 16.0 10 10 caleb_strategy_v3 MXP False False 0.01 0.53 0.77 0.0 0.54 -0.54 0.53 0.54 85.87 60.0 59 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.3 Shocked risk 83.1 Sum abs risk 64.1 Leverage 5.88 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3240920.51, 'annual_cash_vol_target': 810230.1275, 'daily_cash_vol_target': 50639.38296875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6546 0.5597 8.9550 BITCOIN 1270.4389 57870.0000 2.1953 35.1253 BOBL 0.2685 116.0000 0.2315 3.7039 BTP 0.5814 117.3200 0.4955 7.9287 BUND 0.5409 132.0700 0.4095 6.5528 BUXL 1.2574 131.1200 0.9590 15.3438 CAC 51.4832 7966.5000 0.6462 10.3399 CAD 0.0028 0.7392 0.3798 6.0773 CANOLA 7.1174 592.0000 1.2023 19.2362 CHF 0.0050 1.1392 0.4420 7.0712 COCOA 116.3987 6385.0000 1.8230 29.1680 COFFEE 3.2426 182.1000 1.7807 28.4911 COPPER 0.0386 3.8725 0.9962 15.9391 CORN 4.6239 461.0000 1.0030 16.0483 COTTON2 1.2700 98.8000 1.2855 20.5676 CRUDE_W 0.9271 73.7300 1.2574 20.1189 DAX 108.7828 17603.0000 0.6180 9.8877 DOW 222.1731 38986.0000 0.5699 9.1181 DX 0.3509 103.3450 0.3396 5.4332 EUR 0.0042 1.0852 0.3849 6.1580 EURIBOR-ICE 0.0500 97.5250 0.0512 0.8195 EUROSTX 33.4465 4894.0000 0.6834 10.9347 FEEDCOW 1.6435 270.3500 0.6079 9.7268 GASOIL 11.8177 799.5000 1.4781 23.6502 GASOLINE 0.0390 2.5465 1.5327 24.5233 GAS_US_mini 0.0885 1.9600 4.5133 72.2125 GBP 0.0053 1.2681 0.4183 6.6921 GOLD_micro 11.9402 2038.6000 0.5857 9.3713 HEATOIL 0.0383 2.5866 1.4821 23.7134 JGB-SGX-mini 0.2459 146.4000 0.1679 2.6870 JPY 0.0000 0.0067 0.5601 8.9610 LEANHOG 1.0177 99.4500 1.0233 16.3731 LIVECOW 1.1562 183.7000 0.6294 10.0704 LUMBER-new 6.1728 584.0000 1.0570 16.9118 MILK 0.2306 17.8000 1.2953 20.7243 MXP 0.0003 0.0584 0.5476 8.7612 NASDAQ_micro 138.9977 18020.2500 0.7713 12.3415 NIKKEI 308.0197 39015.0000 0.7895 12.6318 NZD 0.0037 0.6171 0.5985 9.5753 OAT 0.5363 127.0900 0.4220 6.7520 OATIES 6.1852 360.0000 1.7181 27.4897 OJ 7.0709 371.2500 1.9046 30.4739 PALLAD 26.7620 952.5000 2.8097 44.9545 PLAT 15.1339 897.3000 1.6866 26.9857 REDWHEAT 9.0887 575.5000 1.5793 25.2682 RICE 0.1896 18.3500 1.0330 16.5285 ROBUSTA 42.5278 3075.0000 1.3830 22.1283 RUSSELL 25.6376 2057.7000 1.2459 19.9349 SHATZ 0.0903 105.6200 0.0855 1.3676 SILVER-mini 0.3348 22.7125 1.4743 23.5886 SMI 69.6276 11365.0000 0.6126 9.8024 SOFR 0.0716 96.3050 0.0744 1.1900 SOYBEAN 9.4009 1131.5000 0.8308 13.2934 SOYMEAL 4.2041 329.6000 1.2755 20.4081 SOYOIL 0.6191 45.9400 1.3476 21.5622 SP400 25.2202 2867.3000 0.8796 14.0733 SP500_micro 31.8761 5085.5000 0.6268 10.0289 SUGAR11 0.3182 22.2500 1.4302 22.8835 US10 0.4275 110.0312 0.3885 6.2166 US10U 0.5796 113.5938 0.5102 8.1639 US2 0.1183 102.2539 0.1157 1.8513 US20 0.8400 118.3125 0.7100 11.3603 US30 1.2450 126.4062 0.9850 15.7593 US5 0.2860 106.6641 0.2682 4.2906 VIX 0.4035 15.7500 2.5620 40.9917 WHEAT 8.2800 606.7500 1.3646 21.8344 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.60 0.56 366.37 1.00 366.37 50639.38 138.22 -5.91 -81.68 BITCOIN 57.87 2.20 127.04 1.00 127.04 50639.38 398.60 10.29 409.99 BOBL 1160.00 0.23 268.53 1.08 290.77 50639.38 174.16 -13.32 -232.01 BTP 1173.20 0.50 581.37 1.08 629.51 50639.38 80.44 0.79 6.34 BUND 1320.70 0.41 540.89 1.08 585.68 50639.38 86.46 -3.73 -32.25 BUXL 1311.20 0.96 1257.43 1.08 1361.54 50639.38 37.19 -4.19 -15.60 CAC 796.65 0.65 514.83 1.08 557.46 50639.38 90.84 12.51 113.63 CAD 739.25 0.38 280.79 1.00 280.79 50639.38 180.35 -6.53 -117.78 CANOLA 118.40 1.20 142.35 0.74 105.37 50639.38 480.59 -20.00 -961.18 CHF 1423.94 0.44 629.31 1.00 629.31 50639.38 80.47 -16.89 -135.90 COCOA 638.50 1.82 1163.99 1.00 1163.99 50639.38 43.51 15.91 69.20 COFFEE 682.88 1.78 1215.99 1.00 1215.99 50639.38 41.64 -4.00 -16.67 COPPER 968.12 1.00 964.44 1.00 964.44 50639.38 52.51 -2.63 -13.82 CORN 230.50 1.00 231.20 1.00 231.20 50639.38 219.03 -20.00 -438.06 COTTON2 494.00 1.29 635.02 1.00 635.02 50639.38 79.74 4.76 37.93 CRUDE_W 737.30 1.26 927.11 1.00 927.11 50639.38 54.62 10.67 58.30 DAX 176.03 0.62 108.78 1.08 117.79 50639.38 429.91 17.03 732.08 DOW 194.93 0.57 111.09 1.00 111.09 50639.38 455.86 1.37 62.61 DX 1033.45 0.34 350.93 1.00 350.93 50639.38 144.30 3.53 50.97 EUR 1356.44 0.38 522.06 1.00 522.06 50639.38 97.00 -1.05 -10.17 EURIBOR-ICE 2438.12 0.05 124.88 1.08 135.22 50639.38 374.49 0.33 12.22 EUROSTX 489.40 0.68 334.46 1.08 362.16 50639.38 139.83 20.00 279.65 FEEDCOW 1351.75 0.61 821.76 1.00 821.76 50639.38 61.62 7.54 46.48 GASOIL 799.50 1.48 1181.77 1.00 1181.77 50639.38 42.85 10.74 46.02 GASOLINE 1069.53 1.53 1639.28 1.00 1639.28 50639.38 30.89 6.93 21.41 GAS_US_mini 49.00 4.51 221.15 1.00 221.15 50639.38 228.98 -12.60 -288.42 GBP 792.56 0.42 331.49 1.00 331.49 50639.38 152.76 4.53 69.13 GOLD_micro 203.86 0.59 119.40 1.00 119.40 50639.38 424.11 -9.73 -412.84 HEATOIL 1086.37 1.48 1610.10 1.00 1610.10 50639.38 31.45 8.34 26.25 JGB-SGX-mini 146400.00 0.17 24585.79 0.01 163.44 50639.38 309.83 5.26 163.04 JPY 833.06 0.56 466.57 1.00 466.57 50639.38 108.54 -14.99 -162.67 LEANHOG 397.80 1.02 407.08 1.00 407.08 50639.38 124.40 8.92 110.96 LIVECOW 734.80 0.63 462.48 1.00 462.48 50639.38 109.49 10.71 117.23 LUMBER-new 160.60 1.06 169.75 1.00 169.75 50639.38 298.31 -3.76 -112.16 MILK 356.00 1.30 461.12 1.00 461.12 50639.38 109.82 -9.27 -101.85 MXP 292.15 0.55 159.97 1.00 159.97 50639.38 316.55 18.48 585.05 NASDAQ_micro 360.40 0.77 278.00 1.00 278.00 50639.38 182.16 4.03 73.36 NIKKEI 39015.00 0.79 30801.97 0.01 204.77 50639.38 247.30 17.11 423.08 NZD 617.10 0.60 369.31 1.00 369.31 50639.38 137.12 3.33 45.62 OAT 1270.90 0.42 536.32 1.08 580.73 50639.38 87.20 -0.36 -3.16 OATIES 180.00 1.72 309.26 1.00 309.26 50639.38 163.74 -9.33 -152.74 OJ 556.88 1.90 1060.63 1.00 1060.63 50639.38 47.74 10.94 52.25 PALLAD 952.50 2.81 2676.20 1.00 2676.20 50639.38 18.92 -1.93 -3.65 PLAT 448.65 1.69 756.70 1.00 756.70 50639.38 66.92 -0.33 -2.24 REDWHEAT 287.75 1.58 454.43 1.00 454.43 50639.38 111.43 -20.00 -222.87 RICE 367.00 1.03 379.12 1.00 379.12 50639.38 133.57 2.56 34.23 ROBUSTA 307.50 1.38 425.28 1.00 425.28 50639.38 119.07 5.58 66.40 RUSSELL 102.88 1.25 128.19 1.00 128.19 50639.38 395.04 -4.62 -182.69 SHATZ 1056.20 0.09 90.28 1.08 97.75 50639.38 518.04 -15.96 -826.66 SILVER-mini 567.81 1.47 837.12 1.00 837.12 50639.38 60.49 -3.89 -23.55 SMI 1136.50 0.61 696.28 1.14 790.48 50639.38 64.06 13.79 88.31 SOFR 2407.63 0.07 179.07 1.00 179.07 50639.38 282.80 -6.07 -171.67 SOYBEAN 565.75 0.83 470.05 1.00 470.05 50639.38 107.73 -20.00 -215.47 SOYMEAL 329.60 1.28 420.41 1.00 420.41 50639.38 120.45 -20.00 -240.91 SOYOIL 275.64 1.35 371.46 1.00 371.46 50639.38 136.32 -16.40 -223.59 SP400 2867.30 0.88 2522.02 1.00 2522.02 50639.38 20.08 -2.31 -4.63 SP500_micro 254.28 0.63 159.38 1.00 159.38 50639.38 317.73 6.53 207.43 SUGAR11 249.20 1.43 356.41 1.00 356.41 50639.38 142.08 0.20 2.80 US10 1100.31 0.39 427.51 1.00 427.51 50639.38 118.45 -8.76 -103.74 US10U 1135.94 0.51 579.60 1.00 579.60 50639.38 87.37 -3.68 -32.12 US2 2045.08 0.12 236.63 1.00 236.63 50639.38 214.00 -13.34 -285.58 US20 1183.12 0.71 840.04 1.00 840.04 50639.38 60.28 -1.26 -7.60 US30 1264.06 0.98 1245.05 1.00 1245.05 50639.38 40.67 -2.63 -10.71 US5 1066.64 0.27 286.04 1.00 286.04 50639.38 177.04 -10.95 -193.92 VIX 157.50 2.56 403.51 1.00 403.51 50639.38 125.50 -20.00 -250.99 WHEAT 303.38 1.36 414.00 1.00 414.00 50639.38 122.32 -20.00 -244.63 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -81.685 0.010 2.5 -2.119 BITCOIN 409.987 0.043 2.5 44.397 BOBL -232.008 0.004 2.5 -2.353 BTP 6.340 0.014 2.5 0.216 BUND -32.251 0.004 2.5 -0.327 BUXL -15.598 0.004 2.5 -0.158 CAC 113.629 0.014 2.5 3.876 CAD -117.778 0.010 2.5 -3.056 CANOLA -961.183 0.010 2.5 -23.384 CHF -135.895 0.010 2.5 -3.526 COCOA 69.205 0.009 2.5 1.482 COFFEE -16.667 0.005 2.5 -0.195 COPPER -13.822 0.043 2.5 -1.497 CORN -438.065 0.010 2.5 -10.658 COTTON2 37.932 0.009 2.5 0.812 CRUDE_W 58.305 0.043 2.5 6.314 DAX 732.079 0.014 2.5 24.970 DOW 62.609 0.009 2.5 1.455 DX 50.973 0.010 2.5 1.323 EUR -10.169 0.010 2.5 -0.264 EURIBOR-ICE 12.216 0.014 2.5 0.417 EUROSTX 279.653 0.014 2.5 9.539 FEEDCOW 46.477 0.013 2.5 1.540 GASOIL 46.018 0.017 2.5 1.995 GASOLINE 21.409 0.017 2.5 0.928 GAS_US_mini -288.423 0.043 2.5 -31.233 GBP 69.129 0.010 2.5 1.794 GOLD_micro -412.842 0.014 2.5 -14.081 HEATOIL 26.245 0.017 2.5 1.138 JGB-SGX-mini 163.043 0.043 2.5 17.656 JPY -162.666 0.010 2.5 -4.221 LEANHOG 110.955 0.024 2.5 6.743 LIVECOW 117.229 0.013 2.5 3.885 LUMBER-new -112.162 0.009 2.5 -2.399 MILK -101.849 0.009 2.5 -2.181 MXP 585.046 0.059 2.5 85.869 NASDAQ_micro 73.363 0.009 2.5 1.705 NIKKEI 423.076 0.043 2.5 45.814 NZD 45.621 0.010 2.5 1.184 OAT -3.160 0.014 2.5 -0.108 OATIES -152.743 0.010 2.5 -3.716 OJ 52.251 0.009 2.5 1.119 PALLAD -3.654 0.014 2.5 -0.125 PLAT -2.236 0.014 2.5 -0.076 REDWHEAT -222.868 0.005 2.5 -2.956 RICE 34.232 0.010 2.5 0.833 ROBUSTA 66.401 0.005 2.5 0.775 RUSSELL -182.686 0.013 2.5 -6.054 SHATZ -826.657 0.004 2.5 -8.383 SILVER-mini -23.551 0.014 2.5 -0.803 SMI 88.311 0.014 2.5 3.012 SOFR -171.666 0.024 2.5 -10.433 SOYBEAN -215.465 0.004 2.5 -2.004 SOYMEAL -240.907 0.004 2.5 -2.241 SOYOIL -223.594 0.004 2.5 -2.081 SP400 -4.628 0.013 2.5 -0.153 SP500_micro 207.427 0.009 2.5 4.821 SUGAR11 2.798 0.009 2.5 0.060 US10 -103.735 0.005 2.5 -1.315 US10U -32.116 0.005 2.5 -0.407 US2 -285.578 0.005 2.5 -3.619 US20 -7.604 0.005 2.5 -0.096 US30 -10.712 0.005 2.5 -0.136 US5 -193.919 0.005 2.5 -2.457 VIX -250.993 0.099 2.5 -61.956 WHEAT -244.634 0.005 2.5 -3.245 ===================== Position diags ===================== AUD 3.59 BITCOIN 43.16 BOBL 1.77 BTP 2.74 BUND 0.88 BUXL 0.38 CAC 3.10 CAD 4.68 CANOLA 11.69 CHF 2.09 COCOA 0.93 COFFEE 0.49 COPPER 5.69 CORN 5.33 COTTON2 1.71 CRUDE_W 5.91 DAX 14.66 DOW 10.59 DX 3.74 EUR 2.52 EURIBOR-ICE 12.77 EUROSTX 4.77 FEEDCOW 2.04 GASOIL 1.86 GASOLINE 1.34 GAS_US_mini 24.80 GBP 3.96 GOLD_micro 14.47 HEATOIL 1.36 JGB-SGX-mini 33.55 JPY 2.82 LEANHOG 7.56 LIVECOW 3.63 LUMBER-new 6.38 MILK 2.35 MXP 46.46 NASDAQ_micro 4.23 NIKKEI 26.78 NZD 3.56 OAT 2.97 OATIES 3.98 OJ 1.02 PALLAD 0.65 PLAT 2.28 REDWHEAT 1.48 RICE 3.25 ROBUSTA 1.39 RUSSELL 13.09 SHATZ 5.25 SILVER-mini 2.06 SMI 2.19 SOFR 17.19 SOYBEAN 1.00 SOYMEAL 1.12 SOYOIL 1.27 SP400 0.67 SP500_micro 7.38 SUGAR11 3.02 US10 1.50 US10U 1.11 US2 2.71 US20 0.76 US30 0.52 US5 2.24 VIX 30.98 WHEAT 1.62 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.5 -1.8 0.0 0 BITCOIN 44.4 40.1 48.7 0.0 0 BOBL -2.4 -2.5 -2.2 -13.0 -13 BTP 0.2 -0.1 0.5 2.0 2 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.2 -0.2 -0.1 0.0 0 CAC 3.9 3.6 4.2 12.0 12 CAD -3.1 -3.5 -2.6 0.0 0 CANOLA -23.4 -24.6 -22.2 -6.0 -6 CHF -3.5 -3.7 -3.3 -9.0 -9 COCOA 1.5 1.4 1.6 6.0 6 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -1.5 -2.1 -0.9 -1.0 -1 CORN -10.7 -11.2 -10.1 -10.0 -10 COTTON2 0.8 0.6 1.0 0.0 0 CRUDE_W 6.3 5.7 6.9 1.0 1 DAX 25.0 23.5 26.4 0.0 0 DOW 1.5 0.4 2.5 10.0 10 DX 1.3 0.9 1.7 NaN 0 EUR -0.3 -0.5 -0.0 0.0 0 EURIBOR-ICE 0.4 -0.9 1.7 2.0 2 EUROSTX 9.5 9.1 10.0 12.0 12 FEEDCOW 1.5 1.3 1.7 5.0 5 GASOIL 2.0 1.8 2.2 1.0 1 GASOLINE 0.9 0.8 1.1 4.0 4 GAS_US_mini -31.2 -33.7 -28.8 -18.0 -18 GBP 1.8 1.4 2.2 5.0 5 GOLD_micro -14.1 -15.5 -12.6 -30.0 -30 HEATOIL 1.1 1.0 1.3 0.0 0 JGB-SGX-mini 17.7 14.3 21.0 10.0 10 JPY -4.2 -4.5 -3.9 -4.0 -4 LEANHOG 6.7 6.0 7.5 1.0 1 LIVECOW 3.9 3.5 4.2 0.0 0 LUMBER-new -2.4 -3.0 -1.8 NaN 0 MILK -2.2 -2.4 -1.9 NaN 0 MXP 85.9 81.2 90.5 59.0 59 NASDAQ_micro 1.7 1.3 2.1 16.0 16 NIKKEI 45.8 43.1 48.5 36.0 36 NZD 1.2 0.8 1.5 5.0 5 OAT -0.1 -0.4 0.2 0.0 0 OATIES -3.7 -4.1 -3.3 NaN 0 OJ 1.1 1.0 1.2 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT -0.1 -0.3 0.2 -1.0 -1 REDWHEAT -3.0 -3.1 -2.8 -3.0 -3 RICE 0.8 0.5 1.2 NaN 0 ROBUSTA 0.8 0.6 0.9 3.0 3 RUSSELL -6.1 -7.4 -4.7 0.0 0 SHATZ -8.4 -8.9 -7.9 NaN 0 SILVER-mini -0.8 -1.0 -0.6 NaN 0 SMI 3.0 2.8 3.2 7.0 7 SOFR -10.4 -12.2 -8.7 NaN 0 SOYBEAN -2.0 -2.1 -1.9 -2.0 -2 SOYMEAL -2.2 -2.4 -2.1 0.0 0 SOYOIL -2.1 -2.2 -2.0 -7.0 -7 SP400 -0.2 -0.2 -0.1 0.0 0 SP500_micro 4.8 4.1 5.6 3.0 3 SUGAR11 0.1 -0.2 0.4 -1.0 -1 US10 -1.3 -1.5 -1.2 0.0 0 US10U -0.4 -0.5 -0.3 0.0 0 US2 -3.6 -3.9 -3.3 NaN 0 US20 -0.1 -0.2 -0.0 0.0 0 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.5 -2.7 -2.2 -9.0 -9 VIX -62.0 -65.1 -58.9 -17.0 -17 WHEAT -3.2 -3.4 -3.1 -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 -0.1 -0.5 0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.1 0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 0.4 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.3 -0.2 -0.7 -0.3 -0.3 0.0 BITCOIN 0.6 0.1 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.1 0.4 0.2 BOBL -0.6 -0.6 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 0.8 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.2 -0.3 -0.1 -0.7 -0.7 0.1 -0.7 BTP -0.3 -0.3 0.6 -0.0 -0.0 0.0 -0.0 -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 -2.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.1 0.3 0.2 0.3 -0.5 -0.7 0.6 0.1 BUND -0.5 -0.6 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.2 0.0 -0.2 -0.0 -0.7 -0.7 0.2 -0.3 BUXL -0.4 -0.5 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 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 0.1 -0.7 -0.7 0.2 0.1 CAC 0.5 0.3 0.5 0.1 0.1 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -1.3 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 0.5 0.2 0.0 -0.2 -0.1 0.4 0.0 0.6 CAD -0.2 -0.3 0.3 -0.0 0.0 0.1 -0.0 0.2 -0.0 -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 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.1 -0.1 -0.5 -0.5 0.0 -0.4 CANOLA -0.0 -0.3 -0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.2 -0.5 -0.6 -0.6 -0.7 -0.7 -0.5 -0.2 CHF -0.6 -0.6 0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 -0.1 0.1 -0.2 -0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -1.1 -0.1 -0.6 -0.5 0.1 -0.7 -0.6 -0.4 -0.6 COCOA 0.3 0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.4 0.1 0.5 0.2 0.2 0.4 0.1 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.4 0.1 0.0 0.1 0.0 0.1 0.1 1.1 0.5 0.6 0.6 0.6 0.5 0.1 0.7 0.7 COFFEE -0.3 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.2 -0.0 0.1 0.4 0.1 0.3 0.2 0.0 0.1 -0.1 0.2 -0.0 -2.7 0.0 -0.0 0.2 -0.1 0.2 -0.0 1.0 -0.2 -0.1 -0.6 0.5 -0.3 -0.7 -0.2 -0.4 COPPER -0.0 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.1 -1.7 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 0.3 -0.1 0.3 0.5 -0.7 -0.1 0.4 0.1 CORN -0.1 -0.3 -0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -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 -0.0 -0.2 -0.1 -0.2 -0.1 -0.5 -0.5 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 0.5 0.6 0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.2 0.2 0.2 0.1 0.2 0.2 0.0 -0.0 -0.1 -0.1 0.2 0.2 0.2 0.1 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.5 0.6 0.6 0.6 -0.6 -0.5 -0.3 0.0 CRUDE_W 0.2 0.2 -0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.1 0.0 0.2 0.2 0.2 0.2 0.0 0.0 0.0 0.2 0.1 -0.6 0.0 0.0 0.1 0.1 0.3 0.1 -0.1 0.5 0.0 -0.3 -0.0 0.7 0.6 0.7 0.7 DAX 0.2 0.1 0.6 0.1 0.1 0.2 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 0.2 0.5 0.2 2.3 0.1 0.1 0.2 0.1 0.2 0.1 -0.5 0.5 -0.2 -0.2 0.1 -0.1 0.4 0.1 0.7 DOW -0.2 -0.0 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 -0.3 -0.4 0.1 0.5 -0.2 -0.1 0.0 -0.4 DX 0.2 0.5 -0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.2 0.0 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 -0.0 0.1 0.1 -2.7 0.0 -0.0 0.0 -0.0 0.1 0.0 0.8 -0.5 0.6 0.6 -0.6 0.6 0.1 0.7 0.3 EUR -0.1 -0.4 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.2 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 -0.0 2.5 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.4 0.4 0.2 0.1 -0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.6 -0.6 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 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 1.9 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.2 -0.1 -0.2 0.1 -0.7 -0.7 0.2 0.7 EUROSTX 0.5 0.5 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.2 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 0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.9 0.4 0.5 0.5 0.3 -0.3 0.5 -0.2 0.7 FEEDCOW 0.5 0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.2 -0.0 0.2 0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 0.1 0.2 -0.9 0.1 0.0 0.1 0.0 0.1 0.1 -1.1 0.4 0.6 0.6 -0.0 0.7 0.4 0.7 0.7 GASOIL 0.2 0.5 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 0.2 -0.0 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.3 0.1 1.1 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.2 0.1 0.2 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.3 0.5 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.2 0.2 0.1 0.1 -0.2 -0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.7 0.5 0.5 0.1 0.5 0.7 0.5 0.7 0.4 GAS_US_mini -0.2 -0.3 -0.5 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.3 -0.0 -0.4 -0.1 -0.1 -0.4 -0.4 -0.1 -0.2 -0.1 -0.2 -0.0 -0.5 -0.1 2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -0.6 -0.6 -0.6 -0.5 0.0 -0.7 -0.2 GBP -0.1 -0.1 0.3 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.2 0.1 0.1 0.4 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.1 0.2 0.0 0.4 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.1 0.2 0.6 0.3 -0.7 -0.1 -0.7 0.1 GOLD_micro -0.2 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 -0.0 0.3 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.0 0.0 0.1 -0.0 -0.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.8 -0.1 -0.1 0.2 0.4 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.4 -0.2 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.2 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.2 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 1.1 0.1 0.2 0.2 0.3 0.5 0.1 0.5 -0.0 JGB-SGX-mini -0.2 -0.2 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.0 0.2 0.3 0.2 0.2 0.0 0.0 0.0 0.1 -0.0 -0.6 0.0 0.0 0.0 0.0 0.0 -0.0 1.1 0.2 0.3 0.2 0.1 -0.2 -0.7 0.1 0.4 JPY -0.4 -0.6 0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.3 -0.1 -0.5 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.5 -0.2 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.3 -0.3 -0.5 -0.4 -0.6 -0.5 -0.4 -0.6 LEANHOG 0.1 0.6 0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.2 0.1 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.0 0.2 -0.4 0.2 2.6 0.1 0.0 0.1 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.2 0.4 LIVECOW 0.6 0.6 -0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.2 0.0 0.2 0.0 0.2 0.2 0.1 -0.1 -0.1 -0.2 0.2 0.1 0.2 0.1 0.2 -0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.4 0.5 0.6 0.6 -0.3 0.7 0.1 0.7 0.4 LUMBER-new 0.0 -0.0 0.4 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.1 0.2 -0.6 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.1 0.1 NaN 0.1 0.1 0.2 0.1 0.1 0.1 -1.2 0.6 0.7 -0.4 0.7 -0.4 -0.8 -0.3 -0.6 MILK 0.3 0.6 0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -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 1.5 0.0 -0.0 -0.1 0.0 -0.3 0.0 -1.1 0.0 0.6 0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.0 -0.1 0.3 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.2 0.5 0.2 0.7 0.1 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.3 0.0 0.6 0.0 1.1 0.1 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.1 0.2 0.6 0.1 0.0 0.1 0.1 0.1 0.1 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 0.2 0.0 0.2 0.0 -0.4 -0.2 -0.2 0.5 0.4 0.5 -0.1 0.7 -0.2 NIKKEI 0.6 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.3 0.1 0.0 0.2 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.6 -0.1 -0.2 -0.1 NZD 0.1 -0.4 0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.3 0.5 0.1 0.1 -0.3 -0.3 -0.1 0.1 OAT -0.5 -0.6 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 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.6 -0.1 0.1 -0.1 0.1 -0.7 -0.7 0.3 0.1 OATIES 0.1 0.0 -0.4 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.1 0.2 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.4 -0.3 0.1 0.0 0.4 OJ 0.6 0.1 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.4 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 0.1 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.5 0.6 0.4 0.1 0.3 0.3 0.4 0.7 PALLAD 0.3 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 -0.0 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 0.1 -0.1 -0.0 -0.1 -0.4 -0.3 -0.3 -0.1 PLAT -0.1 -0.3 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.1 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT -0.4 -0.2 -0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 0.1 -0.0 0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -1.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.2 -0.5 -0.6 -0.6 -0.6 -0.6 -0.7 -0.4 -0.7 RICE -0.0 0.2 0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.5 -0.0 0.6 0.1 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.2 -0.0 0.4 0.1 -2.6 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.0 0.6 0.1 0.6 0.2 -0.2 0.4 0.1 ROBUSTA -0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 1.1 -0.3 0.0 0.6 0.6 -0.7 -0.6 -0.3 0.0 RUSSELL 0.1 -0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.3 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.6 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.1 -0.1 -0.2 1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.4 -0.4 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.7 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.1 0.1 0.2 0.2 0.1 -0.7 -0.6 0.5 -0.1 SMI 0.1 0.2 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.2 0.1 0.2 0.2 0.1 0.2 0.2 0.1 0.1 0.2 0.1 0.2 1.7 0.1 0.0 0.1 0.1 0.1 0.1 1.1 0.1 -0.6 -0.2 -0.4 0.2 -0.2 0.5 -0.3 SOFR -0.6 -0.5 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -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 -0.1 -0.0 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 0.1 -0.7 -0.7 -0.1 -0.1 SOYBEAN -0.4 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.1 -0.2 -0.2 0.1 0.3 0.2 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 1.1 -0.5 -0.6 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL -0.5 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.3 -0.2 -0.2 -0.1 0.2 0.0 0.1 -0.2 -0.2 -0.2 -0.3 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 1.1 -0.4 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.2 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.4 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.5 -0.3 -0.1 -0.5 -0.3 -0.4 -0.2 -0.3 0.2 SP400 0.1 0.1 0.6 0.0 0.0 0.1 0.1 0.1 0.1 0.1 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 -1.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 -0.3 -0.2 -0.0 -0.7 -0.3 -0.6 -0.7 SP500_micro 0.1 0.3 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.5 0.0 0.1 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 -0.1 0.4 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 0.3 0.0 -0.0 0.3 0.4 0.4 0.4 -0.1 -0.1 -0.1 0.1 -0.0 -2.7 -0.0 0.0 -0.1 -0.0 0.0 -0.0 1.1 0.2 -0.0 0.1 -0.6 0.4 -0.0 0.7 0.3 US10 -0.6 -0.4 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -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 -0.5 0.3 US10U -0.6 -0.4 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 0.1 -0.7 -0.7 0.3 0.7 US2 -0.6 -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 -0.1 -0.0 -0.1 -0.2 -0.1 1.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.3 -0.0 -0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.5 -0.4 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.4 -0.3 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.5 0.1 0.2 0.2 0.1 -0.5 -0.6 0.7 0.7 US5 -0.6 -0.5 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.2 -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 -0.2 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.2 -0.8 -0.1 -0.2 -0.4 -0.1 -0.8 -0.1 -0.3 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.2 NaN -0.2 -0.1 -0.5 -0.1 -0.9 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.3 0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.7 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.5 -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 -2.7 -15.3 7.6 -1.4 1.5 2.2 -0.3 3.7 -2.9 9.0 -4.1 5.1 -9.6 -11.3 -5.5 -2.9 -2.9 -2.8 -2.8 -6.1 -2.9 0.7 -5.4 -5.1 2.6 -2.9 -0.2 -1.1 0.1 -1.8 -2.6 -1.2 5.0 -0.4 -9.9 -6.3 -20.0 -10.2 -7.6 1.3 BITCOIN 20.0 3.1 12.4 -5.2 -2.9 -4.9 -0.7 -2.7 -2.5 20.0 20.0 20.0 20.0 20.0 20.0 -8.8 -6.7 -8.2 -7.8 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 13.0 8.0 11.4 6.7 10.2 -2.1 20.0 20.0 20.0 20.0 -6.3 2.8 12.6 6.9 BOBL -20.0 -20.0 15.9 -0.8 -1.0 0.2 -1.6 -0.6 -2.0 -7.4 0.6 -8.3 -1.3 -8.5 -3.3 -20.0 -17.8 -20.0 -20.0 -5.6 -0.4 -10.4 -1.5 -10.4 6.2 -1.6 -3.0 0.0 -3.3 -0.2 -3.1 -20.0 -9.6 -5.2 -7.7 -3.9 -20.0 -20.0 2.4 -20.0 BTP -10.5 -10.0 20.0 -1.5 -1.8 0.4 -2.9 -1.1 -3.6 -4.1 8.9 -7.0 8.7 -8.8 6.5 4.5 6.5 4.9 5.4 4.8 10.9 -1.6 7.9 -1.4 -15.2 2.1 -1.2 5.0 -0.7 4.0 -0.7 11.5 6.0 10.7 6.3 9.4 -15.3 -20.0 16.6 2.3 BUND -16.8 -19.7 19.5 -0.9 -1.1 0.3 -1.8 -0.7 -2.3 -8.1 1.8 -9.3 -1.0 -9.6 -1.4 4.8 4.5 4.2 3.5 -3.5 1.2 -8.1 -1.2 -7.9 4.1 -1.2 -3.3 0.5 -3.2 0.0 -2.9 7.9 -6.6 0.4 -5.1 -1.2 -19.7 -20.0 6.6 -10.2 BUXL -11.5 -16.0 20.0 -1.2 -1.4 0.3 -2.3 -0.9 -2.9 -8.8 2.6 -10.7 -4.6 -11.6 -0.0 -0.3 0.4 -0.1 0.2 -2.4 1.6 -6.7 -3.5 -6.5 0.3 -0.8 -4.3 0.9 -2.9 -0.5 -2.6 2.0 -4.4 6.7 -3.3 2.2 -20.0 -20.0 5.0 3.3 CAC 16.2 10.4 15.2 7.8 6.6 6.3 8.0 4.1 8.1 19.2 20.0 20.0 20.0 20.0 20.0 -8.0 -5.6 -8.3 -7.5 20.0 20.0 20.0 18.4 20.0 -10.0 8.3 8.9 6.1 11.0 4.6 10.1 -0.3 20.0 7.0 0.2 -4.8 -3.0 12.8 0.6 18.7 CAD -5.7 -8.3 10.4 -1.6 1.7 2.5 -0.4 4.2 -3.3 -10.1 -1.4 -10.7 -3.5 -15.7 0.5 -2.0 -2.1 -2.0 -2.1 -2.5 0.2 -6.1 -3.1 -6.3 0.4 -1.6 -4.5 0.0 -4.1 -1.6 -4.1 0.0 -10.7 -1.7 -2.5 -4.0 -16.2 -14.6 0.8 -13.3 CANOLA -0.7 -9.3 -20.0 0.9 -0.5 0.2 -1.5 -1.3 -0.2 4.0 -10.0 -5.6 -8.8 -8.4 -9.9 -11.8 -3.3 -11.2 -9.0 -17.4 -18.9 -5.2 -16.2 -12.2 -20.0 -3.9 0.3 -4.0 -1.7 -3.5 -3.1 -5.4 -7.0 -16.8 -20.0 -20.0 -20.0 -20.0 -15.5 -6.7 CHF -20.0 -20.0 5.3 -1.2 1.3 1.9 -0.3 3.2 -2.5 11.1 -0.0 -11.6 4.8 -14.6 -6.4 -14.5 -15.4 -15.2 -15.5 -11.5 -1.9 -9.2 3.2 -16.4 -4.8 -2.5 -0.3 0.6 -3.0 1.7 -4.8 -20.0 -5.0 -20.0 -14.3 2.4 -20.0 -17.0 -10.8 -19.1 COCOA 7.7 2.8 -10.4 1.3 -0.7 0.3 -2.0 -1.8 -0.3 10.2 14.8 13.0 14.6 13.9 14.5 20.0 7.4 20.0 13.7 20.0 20.0 20.0 17.7 20.0 -18.3 5.0 3.2 4.3 4.4 3.8 5.2 20.0 20.0 20.0 20.0 20.0 13.7 2.4 20.0 20.0 COFFEE -8.9 -1.2 17.2 1.8 -0.9 0.4 -2.8 -2.4 -0.4 -10.1 9.6 -12.7 5.1 -3.2 5.5 20.0 7.0 13.7 9.9 4.6 10.1 -9.9 6.2 -4.4 -20.0 1.5 -4.3 5.8 -5.8 5.2 -3.6 19.2 -9.5 -2.2 -18.9 15.5 -10.2 -20.0 -5.2 -11.5 COPPER -0.5 -1.2 7.8 -4.2 -2.4 -4.0 -0.5 -2.2 -2.0 8.5 -1.0 10.4 -6.4 6.0 5.0 -4.9 -4.9 -5.7 -5.7 2.8 0.9 10.5 -2.5 7.1 -12.4 -0.4 -0.4 -0.3 3.3 -1.1 1.3 1.2 12.5 -2.3 8.5 15.6 -20.0 -3.3 12.4 2.1 CORN -3.8 -10.7 -8.6 2.1 -1.1 0.5 -3.4 -3.0 -0.5 4.4 -20.0 -14.3 -20.0 -20.0 -20.0 -18.8 -5.7 -14.8 -11.2 -20.0 -20.0 -16.9 -20.0 -20.0 -19.9 -8.3 -0.2 -6.6 -6.9 -5.2 -9.1 -9.2 -20.0 -20.0 -20.0 -20.0 -4.6 -20.0 -2.5 -0.1 COTTON2 16.8 20.0 10.6 2.1 -1.1 0.5 -3.4 -3.0 -0.5 17.7 8.6 19.4 3.3 20.0 19.0 0.9 -1.5 -3.7 -4.1 20.0 14.1 20.0 2.2 20.0 -20.0 7.6 8.9 4.0 9.6 1.6 9.9 0.1 20.0 20.0 20.0 20.0 -18.7 -14.2 -8.2 1.0 CRUDE_W 6.2 4.9 -6.7 3.9 -0.1 2.0 -0.5 2.4 3.2 7.4 3.3 13.7 7.4 12.8 0.7 9.6 9.5 8.7 8.9 4.0 3.3 4.7 8.8 6.8 -4.8 4.1 5.2 3.1 6.3 7.0 7.0 -1.1 20.0 0.3 -10.4 -0.1 20.0 19.0 20.0 20.0 DAX 5.2 4.6 20.0 7.5 6.3 6.0 7.7 4.0 7.7 20.0 20.0 20.0 20.0 20.0 20.0 -16.4 -11.4 -15.5 -13.7 20.0 20.0 20.0 19.1 20.0 17.4 8.0 13.6 7.2 11.9 5.3 9.0 -10.3 20.0 -5.1 -6.4 4.4 -3.1 11.6 4.2 20.0 DOW -6.2 -0.6 20.0 6.0 5.1 4.9 6.2 3.2 6.2 10.8 19.4 14.5 18.0 17.0 19.7 -13.0 -10.5 -12.7 -11.8 20.0 20.0 12.6 20.0 17.1 -14.0 7.1 1.5 7.7 3.2 6.1 4.8 -8.1 -10.7 -12.9 3.6 16.7 -5.9 -4.3 1.0 -12.0 DX 7.2 15.4 -5.9 -1.5 1.5 2.3 -0.3 3.8 -3.0 -18.8 5.9 0.1 -1.1 11.0 4.6 6.4 6.1 6.1 6.2 7.9 3.6 -2.0 3.8 7.2 -20.0 2.8 -3.8 0.9 -0.9 1.8 3.0 14.2 -20.0 20.0 20.0 -20.0 18.4 2.4 20.0 8.3 EUR -2.8 -11.6 2.1 -1.6 1.7 2.5 -0.4 4.2 -3.3 18.7 -6.3 8.7 1.4 -9.4 -7.6 -6.4 -6.6 -6.2 -6.2 -6.6 -3.8 7.3 -2.9 -3.1 18.4 -1.7 5.9 -0.4 4.0 -0.4 -0.7 -7.3 15.0 6.5 1.9 -3.9 -20.0 -14.1 -20.0 -10.8 EURIBOR-ICE -20.0 -20.0 20.0 -0.8 -1.0 0.2 -1.6 -0.6 -2.0 -7.1 4.0 -8.0 2.9 -8.1 0.8 0.2 -3.7 0.4 -1.5 -1.5 5.6 -8.8 4.2 -8.0 14.4 -0.3 -2.8 1.9 -2.9 1.5 -2.5 -3.6 -7.1 -3.8 -4.7 3.8 -20.0 -20.0 6.7 20.0 EUROSTX 15.8 14.8 20.0 7.6 6.4 6.1 7.7 4.0 7.8 20.0 20.0 20.0 20.0 20.0 20.0 10.3 2.3 8.5 4.9 20.0 20.0 20.0 20.0 20.0 1.4 8.4 7.8 6.7 9.2 4.9 9.2 16.5 16.6 15.5 15.6 7.7 -7.5 14.0 -5.5 20.0 FEEDCOW 14.8 20.0 -0.2 2.3 -1.2 0.5 -3.6 -3.1 -0.6 18.6 -0.4 20.0 0.1 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 11.6 20.0 4.1 20.0 -7.1 6.0 1.8 2.7 3.4 3.1 6.2 -20.0 15.3 20.0 20.0 -0.0 20.0 11.5 20.0 20.0 GASOIL 6.7 16.1 -4.4 3.2 -0.1 1.7 -0.4 1.9 2.6 -5.9 8.5 -0.8 9.8 11.7 10.6 20.0 20.0 20.0 20.0 12.3 10.2 -1.6 12.4 8.6 7.9 4.5 -0.2 4.1 -0.8 4.6 2.8 20.0 -6.8 2.4 4.7 6.9 -11.1 -5.5 -20.0 -12.0 GASOLINE 8.8 14.8 -2.5 3.5 -0.1 1.8 -0.5 2.2 2.9 11.4 1.9 10.5 8.2 14.3 14.3 3.2 7.4 -11.6 -5.2 12.6 7.4 9.0 8.0 13.3 -20.0 6.0 6.0 3.5 6.4 4.7 7.6 -12.2 18.8 14.0 3.0 14.1 20.0 14.1 20.0 12.6 GAS_US_mini -6.7 -8.0 -15.5 1.5 -0.0 0.8 -0.2 0.9 1.3 3.9 -9.5 -4.5 -10.4 -7.9 -9.4 -17.5 -18.5 -4.8 -11.8 -13.1 -15.5 -3.2 -18.7 -9.0 16.9 -3.5 -0.2 -3.4 -2.0 -2.8 -3.2 -20.0 5.4 -17.1 -20.0 -18.0 -14.1 0.1 -20.0 -4.5 GBP -4.2 -4.5 8.9 -1.7 1.8 2.7 -0.4 4.5 -3.5 20.0 2.2 5.7 10.2 -1.4 13.9 -0.5 -0.6 -0.4 -0.4 2.7 6.7 7.5 6.5 1.1 2.6 2.3 6.0 4.1 4.1 2.9 1.0 2.9 4.3 6.7 19.9 8.5 -20.0 -4.5 -20.0 4.3 GOLD_micro -6.3 -8.8 5.2 -4.6 -2.6 -4.3 -0.6 -2.4 -2.2 14.5 10.1 -0.3 7.4 -6.9 -1.8 -16.0 -14.5 -15.3 -15.0 -2.6 3.0 2.4 5.4 -3.7 -4.4 -1.6 0.4 1.8 -1.8 3.3 -3.9 -15.0 -3.9 -4.6 7.7 13.8 -20.0 -20.0 -20.0 -14.3 HEATOIL 4.2 12.3 -5.7 3.4 -0.1 1.8 -0.5 2.1 2.8 -0.1 4.1 -3.5 6.8 8.5 7.6 20.0 20.0 20.0 20.0 7.3 5.6 -2.5 8.9 4.6 -20.0 5.4 2.0 4.5 2.2 6.1 4.9 20.0 3.8 6.9 6.0 8.3 15.8 3.9 13.8 -0.2 JGB-SGX-mini -6.6 -6.8 14.6 -0.8 -1.0 0.2 -1.6 -0.6 -2.0 7.4 4.4 -0.1 5.3 -4.1 4.0 9.8 16.3 10.0 12.1 1.4 3.6 1.0 3.4 -0.6 -4.6 0.4 1.6 1.0 0.5 0.4 -0.3 20.0 6.9 8.8 7.7 1.9 -4.7 -20.0 4.0 10.9 JPY -12.9 -19.7 8.2 -1.0 1.0 1.5 -0.2 2.5 -2.0 -10.1 -12.5 -13.3 -13.1 -14.1 -12.7 -16.0 -16.1 -15.9 -16.1 -14.4 -13.6 -9.6 -18.3 -14.5 20.0 -4.0 -1.7 -3.7 -3.3 -5.2 -4.5 -20.0 -10.6 -9.8 -16.9 -12.8 -16.9 -16.1 -12.0 -19.5 LEANHOG 4.5 20.0 4.9 2.4 -1.3 0.5 -3.8 -3.4 -0.6 19.0 2.1 20.0 -13.8 20.0 19.4 -20.0 -20.0 -20.0 -20.0 19.3 3.7 20.0 -14.4 20.0 19.2 8.1 4.6 4.7 6.6 -2.0 7.7 -20.0 20.0 20.0 20.0 20.0 -10.1 -8.6 5.9 12.4 LIVECOW 20.0 20.0 -5.3 2.2 -1.2 0.5 -3.5 -3.1 -0.6 18.7 0.2 20.0 0.4 20.0 15.9 6.9 -7.0 -7.2 -8.8 20.0 6.8 20.0 1.9 20.0 -4.2 6.0 3.0 2.0 6.0 2.4 8.1 -7.9 20.0 20.0 20.0 -8.2 20.0 2.5 20.0 10.7 LUMBER-new 0.1 -1.0 11.9 2.5 -1.3 0.6 -3.9 -2.6 -0.6 11.3 2.2 13.7 -14.2 8.8 11.1 -18.4 -15.2 -16.7 -15.7 8.0 7.0 8.2 -1.7 6.9 NaN 7.6 5.2 6.0 10.2 2.1 9.1 -20.0 20.0 18.8 -9.5 20.0 -10.3 -20.0 -7.3 -15.6 MILK 10.5 20.0 2.4 1.4 -0.7 0.3 -2.2 -1.9 -0.3 3.1 -11.1 4.8 -13.8 7.5 -6.0 -20.0 -20.0 -20.0 -20.0 -1.6 -11.7 5.2 -19.8 5.1 11.0 0.2 -1.1 -4.1 1.4 -7.6 2.4 -20.0 1.0 18.2 8.6 -19.5 -20.0 -20.0 -20.0 -20.0 MXP 1.2 -3.9 8.4 -1.6 1.7 2.5 -0.4 4.3 -3.3 19.2 20.0 19.5 20.0 9.0 19.3 17.0 16.6 16.3 15.9 12.1 18.9 5.8 20.0 7.4 -20.0 6.6 4.0 10.0 3.7 15.7 4.3 20.0 5.3 20.0 20.0 9.2 20.0 20.0 20.0 20.0 NASDAQ_micro -1.6 5.4 18.4 4.6 3.9 3.7 4.8 2.5 4.8 11.6 14.7 11.3 14.5 13.0 14.6 -11.5 -10.0 -11.5 -10.9 20.0 20.0 9.5 20.0 13.9 -20.0 5.6 2.1 6.0 2.9 5.7 4.1 -6.9 -6.9 -5.5 14.3 13.8 16.4 -3.1 20.0 -5.6 NIKKEI 20.0 20.0 18.7 6.8 5.8 5.5 7.0 3.6 7.1 15.0 20.0 20.0 20.0 20.0 20.0 13.1 13.0 15.1 13.9 20.0 20.0 20.0 20.0 20.0 -16.9 7.9 3.6 6.6 6.2 5.3 7.7 20.0 19.1 20.0 20.0 20.0 -17.9 -4.2 -5.2 -2.7 NZD 4.3 -12.8 11.8 -1.2 1.2 1.8 -0.3 3.1 -2.4 9.0 3.2 12.4 0.3 -1.3 4.5 0.5 0.3 0.4 0.3 2.4 3.2 7.8 0.2 4.2 0.1 1.5 2.1 2.3 4.3 1.0 2.3 4.1 11.1 15.6 2.4 3.1 -10.0 -9.5 -3.6 3.4 OAT -15.2 -17.8 20.0 -1.0 -1.2 0.3 -2.0 -0.8 -2.5 -8.5 3.1 -9.9 -0.1 -10.3 0.4 4.2 6.4 4.7 5.2 -1.8 3.3 -7.1 0.5 -6.7 5.4 -0.7 -3.6 1.4 -3.0 0.6 -2.7 11.3 -4.4 2.0 -3.6 1.8 -20.0 -20.0 8.6 3.5 OATIES 3.8 1.3 -12.6 1.2 -0.6 0.3 -1.9 -1.7 -0.3 1.2 -11.0 -2.3 -8.9 -1.6 -5.4 8.3 -3.3 4.3 -1.1 -4.8 -9.3 -2.2 -8.3 -2.2 -20.0 -1.2 1.0 -3.2 -1.6 -3.3 -1.0 -0.1 -2.5 3.9 -2.0 -11.6 -7.5 1.9 1.3 13.1 OJ 18.4 4.0 -20.0 1.3 -0.7 0.3 -2.0 -1.8 -0.3 6.5 6.9 10.6 10.1 11.4 2.8 6.8 16.0 8.3 12.3 10.7 10.4 13.0 17.9 15.4 -20.0 2.9 0.8 4.1 2.6 7.8 3.5 20.0 20.0 20.0 13.5 3.6 7.5 9.9 13.4 20.0 PALLAD 7.7 -4.5 8.8 -1.6 -0.9 -1.5 -0.2 -0.8 -0.8 -1.6 -6.3 4.0 -7.8 -2.5 -5.2 -1.9 -2.2 -1.9 -2.0 -4.6 -7.5 1.2 -10.8 -1.0 8.6 -1.9 -0.9 -3.1 -0.4 -4.1 -1.0 6.8 2.6 -2.1 -0.9 -4.3 -12.8 -8.8 -8.6 -4.1 PLAT -1.6 -10.3 1.4 -2.4 -1.4 -2.3 -0.3 -1.3 -1.2 -1.9 -5.6 -4.3 -7.4 -9.0 -6.0 -4.0 -3.2 -3.9 -3.7 -4.9 -4.3 -2.5 -4.1 -4.1 10.2 -2.2 -0.8 -1.5 -1.0 -1.0 -1.9 4.5 -1.8 -3.0 -2.9 2.2 -12.7 -4.2 20.0 5.1 REDWHEAT -12.8 -4.9 -8.8 1.9 -1.0 0.4 -3.0 -2.6 -0.5 9.1 -20.0 -12.4 -20.0 -15.2 -17.2 6.4 -0.3 1.8 -0.2 -20.0 -20.0 -13.1 -20.0 -20.0 -11.5 -6.9 -1.0 -6.4 -7.5 -6.1 -8.7 4.5 -20.0 -20.0 -20.0 -20.0 -17.3 -20.0 -13.5 -20.0 RICE -1.2 6.8 9.3 1.8 -1.0 0.4 -2.8 -2.5 -0.5 -11.0 16.9 -0.9 15.8 8.9 15.3 -6.6 -2.7 -11.1 -9.0 15.6 17.4 -3.2 14.1 7.7 -19.4 5.5 -5.8 5.1 -0.3 3.9 3.9 -3.9 1.2 20.0 2.1 19.6 4.7 -5.3 11.8 3.6 ROBUSTA -17.7 15.6 20.0 1.5 -0.8 0.3 -2.3 -2.0 -0.4 -7.2 14.9 -7.7 15.4 10.0 14.1 20.0 20.0 20.0 20.0 20.0 20.0 -6.9 20.0 7.3 -20.0 5.1 -2.2 7.0 -1.6 6.6 1.3 20.0 -12.3 0.7 20.0 20.0 -20.0 -16.9 -8.9 1.1 RUSSELL 1.7 -2.2 19.8 3.5 2.9 2.8 3.5 1.8 3.6 5.9 6.7 5.6 4.2 4.2 7.4 -6.0 -6.2 -6.2 -6.3 6.1 6.0 5.6 3.0 5.2 -1.8 3.4 3.6 3.0 3.4 1.9 3.2 0.3 -3.7 -10.0 -9.5 -2.9 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 -20.0 16.3 -0.8 -0.9 0.2 -1.5 -0.6 -1.9 -7.1 -3.1 -7.9 -5.2 -8.1 -5.8 -20.0 -20.0 -20.0 -20.0 -9.2 -3.9 -13.9 -5.0 -14.1 7.8 -1.9 -2.9 -0.5 -3.4 -0.7 -3.2 -20.0 -13.7 -11.9 -10.8 -6.9 -20.0 -20.0 -8.2 -20.0 SILVER-mini 1.8 -7.4 -3.8 -3.4 -1.9 -3.2 -0.4 -1.8 -1.6 -9.5 -5.8 -2.7 -3.5 -7.3 -11.7 -6.7 -6.6 -6.9 -6.8 -6.2 -5.9 -3.8 -3.7 -4.0 5.1 -1.7 -2.1 -2.1 1.3 -1.0 0.6 -1.2 4.5 4.9 6.9 3.1 -20.0 -17.5 14.9 -4.4 SMI 2.2 4.8 16.5 6.6 5.6 5.3 6.8 3.5 6.8 14.0 13.8 16.4 6.7 13.1 18.2 11.0 6.1 10.5 8.3 13.5 10.2 16.8 4.4 14.9 12.4 6.3 4.6 5.4 7.2 2.5 6.5 20.0 6.1 -20.0 -5.2 -12.5 6.4 -5.9 14.5 -8.6 SOFR -19.7 -16.9 14.2 -0.9 -1.1 0.3 -1.7 -0.6 -2.2 -2.3 3.1 -7.6 -0.1 -7.8 0.4 1.0 0.3 1.3 0.9 -3.7 0.1 -5.8 -1.1 -7.6 -2.0 -0.6 -1.0 1.0 -2.7 0.2 -2.8 2.3 -1.7 -2.8 2.1 1.6 -20.0 -20.0 -3.8 -2.3 SOYBEAN -11.8 -20.0 -20.0 1.9 -1.0 0.4 -3.1 -2.7 -0.5 -15.5 -16.4 -19.5 -3.4 -20.0 -20.0 6.7 14.7 9.2 11.3 -20.0 -20.0 -20.0 -14.9 -20.0 -20.0 -7.4 -4.4 -4.7 -7.7 -2.0 -8.5 20.0 -20.0 -20.0 -20.0 -20.0 -8.1 -20.0 -7.5 -20.0 SOYMEAL -14.9 -20.0 -20.0 1.4 -0.7 0.3 -2.2 -1.9 -0.3 -13.5 -13.8 -14.5 -7.8 -15.0 -15.5 -4.6 11.6 1.6 6.6 -20.0 -20.0 -20.0 -10.0 -20.0 -20.0 -5.4 -3.1 -3.7 -4.4 -1.1 -5.4 20.0 -17.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 2.5 -4.7 -18.1 1.4 -0.7 0.3 -2.2 -1.9 -0.3 -5.3 -13.4 -10.3 -10.5 -10.5 -12.5 -5.8 4.0 -4.1 -0.4 -15.4 -17.9 -10.5 -15.4 -12.6 -20.0 -4.5 -0.2 -4.8 -4.4 -4.2 -4.8 8.8 -13.4 -3.4 -14.9 -8.2 -12.3 -5.9 -7.7 5.6 SP400 4.5 3.2 20.0 4.5 3.8 3.7 4.6 2.4 4.7 12.6 12.1 12.7 9.2 11.7 13.5 -6.0 -5.3 -5.8 -5.6 12.7 11.9 10.9 7.5 11.5 -10.4 5.0 3.3 4.4 4.6 3.0 4.9 1.8 -2.3 -8.9 -7.7 -1.5 -20.0 -8.8 -17.8 -20.0 SP500_micro 4.2 9.4 20.0 5.8 4.9 4.7 6.0 3.1 6.0 13.5 18.7 16.2 17.3 17.5 19.1 -12.9 -11.1 -12.7 -12.1 20.0 20.0 17.9 20.0 20.0 -20.0 7.1 2.6 6.7 4.6 5.4 6.0 -8.8 0.4 2.6 19.4 18.1 5.1 -3.2 18.3 -6.2 SUGAR11 -3.1 10.9 -20.0 1.6 -0.9 0.3 -2.5 -2.2 -0.4 1.2 -4.5 -9.9 7.2 3.9 -4.6 14.2 19.2 18.5 19.3 -4.8 -6.3 -6.1 3.0 -4.2 -20.0 -3.3 2.2 -3.8 -1.0 1.3 -1.6 20.0 6.6 -1.0 2.1 -20.0 13.3 -0.8 20.0 9.9 US10 -19.5 -12.6 16.6 -0.8 -1.0 0.2 -1.6 -0.6 -2.0 -6.3 1.3 -7.9 -2.5 -7.8 0.4 -9.0 -8.1 -9.1 -8.7 -3.5 -1.0 -6.3 -4.2 -7.3 1.8 -0.5 -1.6 0.5 -2.8 -0.8 -2.6 -13.1 -3.2 -2.7 2.9 1.5 -20.0 -20.0 -16.1 8.5 US10U -18.0 -12.0 16.5 -1.1 -1.3 0.3 -2.2 -0.8 -2.8 -6.9 1.0 -10.7 -3.4 -10.8 0.3 -1.6 0.3 0.2 0.5 -4.7 -1.8 -7.6 -6.3 -9.2 -0.9 -0.5 -1.8 0.7 -3.3 -1.3 -3.2 2.0 -2.5 -0.7 4.4 2.3 -20.0 -20.0 9.6 20.0 US2 -20.0 -15.2 19.0 -0.7 -0.9 0.2 -1.5 -0.5 -1.8 -7.0 -0.7 -7.7 -5.0 -7.5 -2.6 -20.0 -20.0 -20.0 -20.0 -5.6 -2.3 -9.8 -5.6 -10.3 9.0 -1.0 -2.0 0.3 -3.3 -0.7 -3.1 -20.0 -8.4 -9.3 -0.1 -0.8 -20.0 -20.0 -15.2 -20.0 US20 -15.4 -11.6 19.3 -0.8 -1.0 0.2 -1.6 -0.6 -2.1 -0.3 1.5 -6.9 -1.7 -7.3 1.2 0.2 -0.9 -0.1 -0.5 -2.1 -0.4 -3.8 -4.3 -5.3 -1.3 0.4 -0.6 0.9 -1.5 -0.9 -1.5 -0.4 0.7 3.1 4.3 4.3 -20.0 -20.0 20.0 20.0 US30 -11.1 -10.8 17.4 -1.0 -1.2 0.3 -2.0 -0.7 -2.5 0.3 0.7 -7.2 -3.3 -8.2 0.8 -8.6 -5.8 -8.1 -7.0 -2.5 -1.3 -2.3 -6.1 -4.6 -0.7 0.5 -0.0 0.8 -0.6 -1.7 -1.1 -9.6 4.0 7.1 5.3 3.1 -15.4 -18.5 20.0 20.0 US5 -20.0 -14.8 16.4 -0.8 -0.9 0.2 -1.5 -0.6 -1.9 -7.0 1.4 -7.9 -3.0 -7.7 -0.5 -9.1 -10.2 -9.8 -10.2 -4.4 -1.2 -7.8 -3.8 -8.6 3.8 -0.8 -1.8 0.5 -3.1 -0.5 -2.9 -16.5 -5.2 -5.7 1.6 0.6 -20.0 -20.0 -20.0 -6.8 VIX 4.4 3.7 -14.6 -7.5 -10.7 -9.9 -8.0 -13.3 -6.3 -20.0 -20.0 -14.1 -20.0 -16.6 -20.0 -20.0 -20.0 -20.0 -20.0 -18.2 -20.0 -11.7 -20.0 -10.0 NaN -8.9 -10.3 -11.9 -8.7 -16.1 -7.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -13.5 -9.1 1.5 1.9 -1.0 0.4 -3.0 -2.6 -0.5 9.0 -19.9 -10.4 -20.0 -15.2 -15.0 -11.6 -10.8 -11.5 -11.3 -20.0 -20.0 -11.8 -20.0 -20.0 -0.8 -6.4 -0.7 -4.7 -7.3 -4.6 -8.8 -13.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.3 -20.0 End of report for caleb_strategy_v3