******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240228_204004 produced at 2024-02-28 21:37:01.806289 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.77 0.0 0.00 0.00 0.00 0.00 -10.36 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 -61.98 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -8.60 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 -3.58 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.39 -0.15 0.0 0.57 -0.57 -0.39 -0.39 -3.53 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.03 -0.13 -0.11 0.0 0.43 -0.43 -0.13 -0.13 -4.44 17.0 -5 -5 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.09 0.0 0.73 -0.73 -0.50 -0.50 -2.46 19.0 -13 -13 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 CAD False False 0.02 0.00 -0.08 0.0 0.66 -0.66 0.00 0.00 -3.61 29.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.21 -0.08 0.0 0.35 -0.35 -0.21 -0.21 -12.79 56.0 -33 -33 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.09 -0.09 -0.07 -0.07 -10.70 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -24.05 51.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.38 -0.38 0.00 0.00 -2.61 19.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -1.62 6.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.03 -0.04 0.0 0.12 -0.12 -0.03 -0.03 -2.01 7.0 -2 -2 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 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.04 -0.04 -0.03 -0.03 -27.68 26.0 -18 -18 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -3.02 8.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.05 -0.05 0.00 0.00 -2.41 5.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.31 9.0 -4 -4 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 RUSSELL False False 0.00 0.00 -0.02 0.0 0.22 -0.22 0.00 0.00 -5.61 68.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.02 0.0 0.44 -0.44 -0.04 -0.04 -0.36 10.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.27 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.06 -0.02 0.0 0.08 -0.08 -0.06 -0.06 -2.17 10.0 -7 -7 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 EUR False False 0.04 0.00 -0.01 0.0 0.58 -0.58 0.00 0.00 -0.20 14.0 0 0 caleb_strategy_v3 OAT False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.17 10.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.01 0.0 0.01 -0.01 0.00 0.00 -2.06 3.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.16 4.0 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 -0.84 0.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.39 13.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.11 2.0 0 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 SUGAR11 False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.31 18.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.00 0.0 0.33 -0.33 0.00 0.00 -0.09 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.23 -0.23 0.00 0.00 -0.13 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 -0.23 10.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.10 0.01 0.0 0.39 -0.39 0.10 0.10 1.07 66.0 17 17 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.89 11.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.03 0.73 23.0 3 3 caleb_strategy_v3 NZD False True 0.02 0.09 0.01 0.0 0.09 0.00 0.09 0.09 0.35 21.0 5 5 caleb_strategy_v3 BTP False True 0.04 0.08 0.01 0.0 0.08 0.00 0.08 0.08 0.27 10.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.75 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.58 4.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.09 0.02 0.0 0.48 -0.48 0.09 0.09 0.99 26.0 5 5 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.08 0.02 0.0 0.81 -0.81 0.08 0.08 0.22 10.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.19 0.02 0.0 0.25 -0.25 0.19 0.19 1.52 23.0 17 17 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 0.96 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 1.00 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.04 0.0 0.10 -0.10 0.02 0.02 1.71 4.0 1 1 caleb_strategy_v3 GBP False False 0.02 0.12 0.04 0.0 0.53 -0.53 0.12 0.12 1.81 22.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.04 0.0 0.37 -0.37 0.03 0.03 4.85 48.0 4 4 caleb_strategy_v3 DX False False 0.03 0.00 0.05 0.0 999.00 -999.00 0.00 0.00 1.41 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.05 0.0 0.33 -0.33 0.21 0.21 1.25 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 40.35 59.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.08 0.0 0.38 -0.38 0.00 0.00 3.76 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.09 0.0 0.16 -0.16 0.01 0.01 6.97 13.0 1 1 caleb_strategy_v3 CAC False False 0.03 0.32 0.10 0.0 0.32 -0.32 0.32 0.32 3.94 12.0 12 12 caleb_strategy_v3 SMI False False 0.04 0.28 0.11 0.0 0.36 -0.36 0.28 0.28 2.90 9.0 7 7 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.34 -0.34 0.00 0.00 26.36 58.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.15 0.0 0.11 -0.11 0.07 0.07 6.70 5.0 3 3 caleb_strategy_v3 EUROSTX False False 0.02 0.21 0.16 0.0 0.33 -0.33 0.21 0.21 9.63 20.0 13 13 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.34 0.0 0.28 -0.28 0.28 0.28 43.51 36.0 36 36 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.30 0.57 0.0 0.30 0.00 0.30 0.30 19.22 16.0 10 10 caleb_strategy_v3 MXP False False 0.01 0.54 0.73 0.0 0.54 -0.54 0.54 0.54 81.75 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 24.8 Shocked risk 81.6 Sum abs risk 62.6 Leverage 5.82 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3255359.67, 'annual_cash_vol_target': 813839.9175, 'daily_cash_vol_target': 50864.99484375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6498 0.5768 9.2289 BITCOIN 1373.1408 61455.0000 2.2344 35.7501 BOBL 0.2627 116.0900 0.2263 3.6210 BTP 0.5704 117.5400 0.4853 7.7648 BUND 0.5278 132.2900 0.3990 6.3834 BUXL 1.2260 132.1600 0.9276 14.8422 CAC 50.6889 7963.5000 0.6365 10.1842 CAD 0.0028 0.7368 0.3811 6.0970 CANOLA 6.9464 590.8000 1.1758 18.8122 CHF 0.0050 1.1398 0.4356 6.9703 COCOA 142.5925 5981.0000 2.3841 38.1454 COFFEE 3.2204 181.4500 1.7748 28.3973 COPPER 0.0380 3.8570 0.9855 15.7680 CORN 4.6279 464.2500 0.9969 15.9496 COTTON2 1.2813 101.1100 1.2672 20.2759 CRUDE_W 0.9124 73.3800 1.2434 19.8941 DAX 106.7913 17637.0000 0.6055 9.6879 DOW 218.0883 38935.0000 0.5601 8.9621 DX 0.3456 103.5350 0.3338 5.3415 EUR 0.0041 1.0842 0.3802 6.0836 EURIBOR-ICE 0.0488 97.5450 0.0501 0.8009 EUROSTX 33.2008 4889.0000 0.6791 10.8655 FEEDCOW 1.7301 267.5750 0.6466 10.3453 GASOIL 12.4607 782.5000 1.5924 25.4787 GASOLINE 0.0393 2.5080 1.5665 25.0643 GAS_US_mini 0.0902 2.0600 4.3790 70.0640 GBP 0.0053 1.2656 0.4174 6.6788 GOLD_micro 11.7185 2042.6000 0.5737 9.1793 HEATOIL 0.0387 2.5379 1.5234 24.3740 JGB-SGX-mini 0.2413 146.4400 0.1648 2.6364 JPY 0.0000 0.0067 0.5525 8.8404 LEANHOG 0.9991 99.5250 1.0039 16.0620 LIVECOW 1.1861 182.1500 0.6511 10.4182 LUMBER-new 6.0303 586.0000 1.0291 16.4650 MILK 0.2252 17.7400 1.2697 20.3156 MXP 0.0003 0.0583 0.5462 8.7397 NASDAQ_micro 138.2963 17903.0000 0.7725 12.3596 NIKKEI 307.6251 38790.0000 0.7931 12.6888 NZD 0.0040 0.6096 0.6488 10.3807 OAT 0.5230 127.3300 0.4107 6.5719 OATIES 6.0613 362.0000 1.6744 26.7903 OJ 7.7820 351.2500 2.2155 35.4482 PALLAD 26.4184 933.5000 2.8300 45.2805 PLAT 14.9427 884.8000 1.6888 27.0212 REDWHEAT 8.9244 572.2500 1.5595 24.9525 RICE 0.1827 18.4200 0.9917 15.8675 ROBUSTA 42.0374 3047.0000 1.3796 22.0741 RUSSELL 25.2673 2070.2000 1.2205 19.5284 SHATZ 0.0888 105.6650 0.0840 1.3448 SILVER-mini 0.3284 22.8750 1.4356 22.9701 SMI 69.4249 11326.0000 0.6130 9.8075 SOFR 0.0705 96.3450 0.0731 1.1701 SOYBEAN 9.3936 1136.5000 0.8265 13.2246 SOYMEAL 4.1714 331.0000 1.2602 20.1639 SOYOIL 0.6086 45.6200 1.3340 21.3444 SP400 24.7066 2873.8000 0.8597 13.7555 SP500_micro 31.5221 5075.5000 0.6211 9.9370 SUGAR11 0.3167 22.3600 1.4162 22.6585 US10 0.4224 110.3594 0.3827 6.1240 US10U 0.5720 114.0000 0.5018 8.0288 US2 0.1178 102.3789 0.1151 1.8417 US20 0.8226 118.7812 0.6925 11.0800 US30 1.2184 127.0938 0.9587 15.3392 US5 0.2837 106.8906 0.2654 4.2462 VIX 0.4052 15.9000 2.5483 40.7722 WHEAT 8.1433 602.7500 1.3510 21.6165 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.85 0.58 374.84 1.00 374.84 50864.99 135.70 -7.42 -100.74 BITCOIN 61.46 2.23 137.31 1.00 137.31 50864.99 370.43 10.06 372.58 BOBL 1160.90 0.23 262.72 1.09 285.11 50864.99 178.41 -13.60 -242.56 BTP 1175.40 0.49 570.42 1.09 619.02 50864.99 82.17 0.98 8.03 BUND 1322.90 0.40 527.79 1.09 572.76 50864.99 88.81 -3.96 -35.21 BUXL 1321.60 0.93 1225.97 1.09 1330.42 50864.99 38.23 -4.22 -16.12 CAC 796.35 0.64 506.89 1.09 550.08 50864.99 92.47 12.48 115.41 CAD 736.85 0.38 280.78 1.00 280.78 50864.99 181.15 -7.69 -139.22 CANOLA 118.16 1.18 138.93 0.74 102.92 50864.99 494.23 -20.00 -988.46 CHF 1424.69 0.44 620.66 1.00 620.66 50864.99 81.95 -16.60 -136.08 COCOA 598.10 2.38 1425.92 1.00 1425.92 50864.99 35.67 13.01 46.40 COFFEE 680.44 1.77 1207.66 1.00 1207.66 50864.99 42.12 -3.85 -16.20 COPPER 964.25 0.99 950.27 1.00 950.27 50864.99 53.53 -2.80 -14.97 CORN 232.12 1.00 231.39 1.00 231.39 50864.99 219.82 -20.00 -439.64 COTTON2 505.55 1.27 640.66 1.00 640.66 50864.99 79.40 5.22 41.41 CRUDE_W 733.80 1.24 912.39 1.00 912.39 50864.99 55.75 11.10 61.90 DAX 176.37 0.61 106.79 1.09 115.89 50864.99 438.91 17.61 772.80 DOW 194.68 0.56 109.04 1.00 109.04 50864.99 466.46 0.99 45.99 DX 1035.35 0.33 345.65 1.00 345.65 50864.99 147.16 3.71 54.54 EUR 1355.25 0.38 515.30 1.00 515.30 50864.99 98.71 -0.77 -7.60 EURIBOR-ICE 2438.62 0.05 122.07 1.09 132.47 50864.99 383.97 0.17 6.55 EUROSTX 488.90 0.68 332.01 1.09 360.29 50864.99 141.18 20.00 282.35 FEEDCOW 1337.88 0.65 865.04 1.00 865.04 50864.99 58.80 6.39 37.58 GASOIL 782.50 1.59 1246.07 1.00 1246.07 50864.99 40.82 9.68 39.51 GASOLINE 1053.36 1.57 1650.11 1.00 1650.11 50864.99 30.83 7.16 22.08 GAS_US_mini 51.50 4.38 225.52 1.00 225.52 50864.99 225.55 -11.33 -255.64 GBP 791.00 0.42 330.18 1.00 330.18 50864.99 154.05 4.52 69.64 GOLD_micro 204.26 0.57 117.19 1.00 117.19 50864.99 434.06 -8.64 -374.85 HEATOIL 1065.92 1.52 1623.79 1.00 1623.79 50864.99 31.32 7.39 23.16 JGB-SGX-mini 146440.00 0.16 24129.50 0.01 160.36 50864.99 317.20 5.59 177.46 JPY 832.12 0.55 459.77 1.00 459.77 50864.99 110.63 -15.47 -171.15 LEANHOG 398.10 1.00 399.64 1.00 399.64 50864.99 127.28 9.02 114.77 LIVECOW 728.60 0.65 474.42 1.00 474.42 50864.99 107.22 10.58 113.43 LUMBER-new 161.15 1.03 165.83 1.00 165.83 50864.99 306.72 -3.13 -96.12 MILK 354.80 1.27 450.50 1.00 450.50 50864.99 112.91 -9.95 -112.38 MXP 291.35 0.55 159.15 1.00 159.15 50864.99 319.61 17.43 556.98 NASDAQ_micro 358.06 0.77 276.59 1.00 276.59 50864.99 183.90 3.56 65.47 NIKKEI 38790.00 0.79 30762.51 0.01 204.44 50864.99 248.80 16.15 401.76 NZD 609.60 0.65 395.51 1.00 395.51 50864.99 128.61 1.04 13.43 OAT 1273.30 0.41 523.00 1.09 567.56 50864.99 89.62 -0.55 -4.88 OATIES 181.00 1.67 303.07 1.00 303.07 50864.99 167.84 -9.11 -152.82 OJ 526.88 2.22 1167.30 1.00 1167.30 50864.99 43.57 8.02 34.96 PALLAD 933.50 2.83 2641.84 1.00 2641.84 50864.99 19.25 -2.73 -5.25 PLAT 442.40 1.69 747.13 1.00 747.13 50864.99 68.08 -0.99 -6.72 REDWHEAT 286.12 1.56 446.22 1.00 446.22 50864.99 113.99 -20.00 -227.98 RICE 368.40 0.99 365.35 1.00 365.35 50864.99 139.22 1.71 23.85 ROBUSTA 304.70 1.38 420.37 1.00 420.37 50864.99 121.00 5.16 62.41 RUSSELL 103.51 1.22 126.34 1.00 126.34 50864.99 402.62 -4.20 -169.25 SHATZ 1056.65 0.08 88.81 1.09 96.38 50864.99 527.77 -16.07 -848.04 SILVER-mini 571.88 1.44 821.00 1.00 821.00 50864.99 61.95 -4.00 -24.76 SMI 1132.60 0.61 694.25 1.14 789.19 50864.99 64.45 13.19 85.02 SOFR 2408.62 0.07 176.14 1.00 176.14 50864.99 288.78 -5.90 -170.41 SOYBEAN 568.25 0.83 469.68 1.00 469.68 50864.99 108.30 -20.00 -216.59 SOYMEAL 331.00 1.26 417.14 1.00 417.14 50864.99 121.94 -20.00 -243.87 SOYOIL 273.72 1.33 365.15 1.00 365.15 50864.99 139.30 -16.73 -233.10 SP400 2873.80 0.86 2470.66 1.00 2470.66 50864.99 20.59 -1.55 -3.19 SP500_micro 253.78 0.62 157.61 1.00 157.61 50864.99 322.73 6.47 208.71 SUGAR11 250.43 1.42 354.65 1.00 354.65 50864.99 143.42 1.03 14.70 US10 1103.59 0.38 422.40 1.00 422.40 50864.99 120.42 -8.57 -103.21 US10U 1140.00 0.50 572.05 1.00 572.05 50864.99 88.92 -3.46 -30.73 US2 2047.58 0.12 235.69 1.00 235.69 50864.99 215.81 -13.10 -282.75 US20 1187.81 0.69 822.56 1.00 822.56 50864.99 61.84 -1.13 -6.96 US30 1270.94 0.96 1218.45 1.00 1218.45 50864.99 41.75 -2.40 -10.01 US5 1068.91 0.27 283.67 1.00 283.67 50864.99 179.31 -10.83 -194.14 VIX 159.00 2.55 405.17 1.00 405.17 50864.99 125.54 -20.00 -251.08 WHEAT 301.38 1.35 407.17 1.00 407.17 50864.99 124.92 -20.00 -249.85 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -100.739 0.010 2.5 -2.614 BITCOIN 372.577 0.043 2.5 40.346 BOBL -242.565 0.004 2.5 -2.460 BTP 8.027 0.014 2.5 0.274 BUND -35.206 0.004 2.5 -0.357 BUXL -16.120 0.004 2.5 -0.163 CAC 115.412 0.014 2.5 3.937 CAD -139.218 0.010 2.5 -3.612 CANOLA -988.465 0.010 2.5 -24.048 CHF -136.077 0.010 2.5 -3.531 COCOA 46.400 0.009 2.5 0.994 COFFEE -16.197 0.005 2.5 -0.189 COPPER -14.974 0.043 2.5 -1.621 CORN -439.639 0.010 2.5 -10.696 COTTON2 41.414 0.009 2.5 0.887 CRUDE_W 61.903 0.043 2.5 6.703 DAX 772.797 0.014 2.5 26.359 DOW 45.987 0.009 2.5 1.069 DX 54.536 0.010 2.5 1.415 EUR -7.598 0.010 2.5 -0.197 EURIBOR-ICE 6.552 0.014 2.5 0.223 EUROSTX 282.352 0.014 2.5 9.631 FEEDCOW 37.579 0.013 2.5 1.245 GASOIL 39.512 0.017 2.5 1.713 GASOLINE 22.079 0.017 2.5 0.957 GAS_US_mini -255.642 0.043 2.5 -27.683 GBP 69.636 0.010 2.5 1.807 GOLD_micro -374.852 0.014 2.5 -12.786 HEATOIL 23.165 0.017 2.5 1.004 JGB-SGX-mini 177.459 0.043 2.5 19.217 JPY -171.148 0.010 2.5 -4.441 LEANHOG 114.766 0.024 2.5 6.975 LIVECOW 113.433 0.013 2.5 3.759 LUMBER-new -96.122 0.009 2.5 -2.056 MILK -112.383 0.009 2.5 -2.407 MXP 556.980 0.059 2.5 81.750 NASDAQ_micro 65.471 0.009 2.5 1.522 NIKKEI 401.763 0.043 2.5 43.506 NZD 13.435 0.010 2.5 0.349 OAT -4.885 0.014 2.5 -0.167 OATIES -152.820 0.010 2.5 -3.718 OJ 34.962 0.009 2.5 0.749 PALLAD -5.249 0.014 2.5 -0.179 PLAT -6.720 0.014 2.5 -0.229 REDWHEAT -227.981 0.005 2.5 -3.024 RICE 23.855 0.010 2.5 0.580 ROBUSTA 62.408 0.005 2.5 0.729 RUSSELL -169.255 0.013 2.5 -5.609 SHATZ -848.041 0.004 2.5 -8.600 SILVER-mini -24.761 0.014 2.5 -0.845 SMI 85.023 0.014 2.5 2.900 SOFR -170.412 0.024 2.5 -10.357 SOYBEAN -216.594 0.004 2.5 -2.014 SOYMEAL -243.874 0.004 2.5 -2.268 SOYOIL -233.100 0.004 2.5 -2.170 SP400 -3.186 0.013 2.5 -0.106 SP500_micro 208.709 0.009 2.5 4.850 SUGAR11 14.704 0.009 2.5 0.313 US10 -103.209 0.005 2.5 -1.308 US10U -30.734 0.005 2.5 -0.389 US2 -282.750 0.005 2.5 -3.583 US20 -6.960 0.005 2.5 -0.088 US30 -10.010 0.005 2.5 -0.127 US5 -194.136 0.005 2.5 -2.460 VIX -251.078 0.099 2.5 -61.977 WHEAT -249.849 0.005 2.5 -3.314 ===================== Position diags ===================== AUD 3.52 BITCOIN 40.11 BOBL 1.81 BTP 2.80 BUND 0.90 BUXL 0.39 CAC 3.15 CAD 4.70 CANOLA 12.02 CHF 2.13 COCOA 0.76 COFFEE 0.49 COPPER 5.80 CORN 5.35 COTTON2 1.70 CRUDE_W 6.04 DAX 14.97 DOW 10.84 DX 3.82 EUR 2.56 EURIBOR-ICE 13.10 EUROSTX 4.82 FEEDCOW 1.95 GASOIL 1.77 GASOLINE 1.34 GAS_US_mini 24.42 GBP 4.00 GOLD_micro 14.81 HEATOIL 1.36 JGB-SGX-mini 34.35 JPY 2.87 LEANHOG 7.74 LIVECOW 3.55 LUMBER-new 6.56 MILK 2.42 MXP 46.91 NASDAQ_micro 4.27 NIKKEI 26.94 NZD 3.34 OAT 3.06 OATIES 4.08 OJ 0.93 PALLAD 0.66 PLAT 2.32 REDWHEAT 1.51 RICE 3.39 ROBUSTA 1.41 RUSSELL 13.34 SHATZ 5.35 SILVER-mini 2.11 SMI 2.20 SOFR 17.55 SOYBEAN 1.01 SOYMEAL 1.13 SOYOIL 1.30 SP400 0.68 SP500_micro 7.50 SUGAR11 3.05 US10 1.53 US10U 1.13 US2 2.73 US20 0.78 US30 0.53 US5 2.27 VIX 30.99 WHEAT 1.66 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -3.0 -2.3 0.0 0 BITCOIN 40.3 36.3 44.4 0.0 0 BOBL -2.5 -2.6 -2.3 -13.0 -13 BTP 0.3 -0.0 0.6 2.0 2 BUND -0.4 -0.4 -0.3 -1.0 -1 BUXL -0.2 -0.2 -0.1 0.0 0 CAC 3.9 3.6 4.3 12.0 12 CAD -3.6 -4.1 -3.1 0.0 0 CANOLA -24.0 -25.3 -22.8 -6.0 -6 CHF -3.5 -3.7 -3.3 -9.0 -9 COCOA 1.0 0.9 1.1 5.0 5 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -1.6 -2.2 -1.0 0.0 0 CORN -10.7 -11.2 -10.2 -10.0 -10 COTTON2 0.9 0.7 1.1 0.0 0 CRUDE_W 6.7 6.1 7.3 3.0 3 DAX 26.4 24.9 27.9 0.0 0 DOW 1.1 -0.0 2.2 17.0 17 DX 1.4 1.0 1.8 NaN 0 EUR -0.2 -0.5 0.1 0.0 0 EURIBOR-ICE 0.2 -1.1 1.5 1.0 1 EUROSTX 9.6 9.1 10.1 13.0 13 FEEDCOW 1.2 1.1 1.4 5.0 5 GASOIL 1.7 1.5 1.9 1.0 1 GASOLINE 1.0 0.8 1.1 4.0 4 GAS_US_mini -27.7 -30.1 -25.2 -18.0 -18 GBP 1.8 1.4 2.2 5.0 5 GOLD_micro -12.8 -14.3 -11.3 -33.0 -33 HEATOIL 1.0 0.9 1.1 0.0 0 JGB-SGX-mini 19.2 15.8 22.7 10.0 10 JPY -4.4 -4.7 -4.2 -5.0 -5 LEANHOG 7.0 6.2 7.7 1.0 1 LIVECOW 3.8 3.4 4.1 0.0 0 LUMBER-new -2.1 -2.7 -1.4 NaN 0 MILK -2.4 -2.6 -2.2 NaN 0 MXP 81.7 77.1 86.4 60.0 60 NASDAQ_micro 1.5 1.1 1.9 17.0 17 NIKKEI 43.5 40.8 46.2 36.0 36 NZD 0.3 0.0 0.7 5.0 5 OAT -0.2 -0.5 0.1 0.0 0 OATIES -3.7 -4.1 -3.3 NaN 0 OJ 0.7 0.7 0.8 NaN 0 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT -0.2 -0.5 0.0 -1.0 -1 REDWHEAT -3.0 -3.2 -2.9 -3.0 -3 RICE 0.6 0.2 0.9 NaN 0 ROBUSTA 0.7 0.6 0.9 3.0 3 RUSSELL -5.6 -6.9 -4.3 0.0 0 SHATZ -8.6 -9.1 -8.1 NaN 0 SILVER-mini -0.8 -1.1 -0.6 NaN 0 SMI 2.9 2.7 3.1 7.0 7 SOFR -10.4 -12.1 -8.6 NaN 0 SOYBEAN -2.0 -2.1 -1.9 -2.0 -2 SOYMEAL -2.3 -2.4 -2.2 0.0 0 SOYOIL -2.2 -2.3 -2.0 -7.0 -7 SP400 -0.1 -0.2 -0.0 0.0 0 SP500_micro 4.9 4.1 5.6 4.0 4 SUGAR11 0.3 0.0 0.6 0.0 0 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 -16.0 -16 WHEAT -3.3 -3.5 -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 0.0 -0.4 -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 -0.1 -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 0.3 -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 0.2 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 -0.1 -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 -0.3 -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 -2.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.1 0.4 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 0.4 0.5 0.1 0.0 0.2 0.1 0.2 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 0.1 0.1 -0.1 -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 -0.2 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 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 -0.0 -0.3 -0.1 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -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 0.0 -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 -0.0 -1.1 0.1 -0.6 -0.5 0.1 -0.7 -0.6 -0.3 -0.6 COCOA -0.3 -0.2 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.4 0.1 0.5 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.2 0.2 0.4 0.2 -2.3 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 0.4 0.1 0.7 0.7 COFFEE -0.3 -0.1 0.5 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 -0.1 -0.1 -0.6 0.5 -0.3 -0.7 -0.2 -0.4 COPPER 0.0 -0.0 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.4 -0.1 0.2 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 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.1 -0.3 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.6 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.5 -0.5 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 0.6 0.6 0.4 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 0.0 0.1 0.2 0.3 0.1 0.0 0.2 0.2 0.2 0.2 0.0 0.0 0.0 0.2 0.1 -0.7 0.0 0.0 0.1 0.1 0.3 0.1 -0.1 0.5 0.2 -0.3 0.0 0.7 0.6 0.7 0.7 DAX 0.2 0.2 0.6 0.1 0.0 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 -0.6 0.5 -0.1 -0.1 0.2 -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 0.1 0.7 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 0.0 -0.4 -0.2 -0.5 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 -0.1 0.2 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 -0.0 0.1 0.1 -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 -0.0 -0.4 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.2 0.1 0.0 -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 0.0 -0.0 0.0 -0.0 -0.0 -0.4 0.4 0.3 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 0.0 -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 0.0 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 0.5 0.4 0.6 0.3 -0.3 0.5 -0.2 0.7 FEEDCOW 0.3 0.6 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.2 0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.1 0.1 0.2 -1.0 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 0.2 0.6 0.6 0.1 0.7 0.4 0.7 0.7 GASOIL 0.1 0.5 -0.2 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 0.2 -0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.3 0.1 1.0 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.2 0.1 0.1 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.3 0.5 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 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 0.0 0.1 0.1 0.2 0.1 -0.6 0.5 0.6 0.1 0.5 0.7 0.5 0.7 0.4 GAS_US_mini -0.1 -0.2 -0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 -0.3 -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 2.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.3 -0.5 -0.6 -0.6 -0.5 0.0 -0.7 -0.2 GBP -0.1 -0.2 0.3 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.1 0.1 0.1 0.4 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.2 0.0 0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.3 0.6 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro -0.2 -0.3 0.2 -0.1 -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 0.3 -0.1 0.3 0.5 -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 -0.1 0.1 -0.1 0.2 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.1 0.2 0.0 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 1.1 0.2 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 0.3 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 0.1 0.4 0.3 0.1 -0.2 -0.7 0.1 0.4 JPY -0.4 -0.6 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.3 -0.2 -0.5 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.4 -0.6 -0.4 -0.6 -0.5 -0.4 -0.6 LEANHOG 0.2 0.6 0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 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 2.5 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 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.0 0.2 0.0 0.2 0.2 0.2 -0.1 -0.1 -0.2 0.2 0.1 0.2 0.1 0.2 -0.6 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 0.5 0.6 0.6 -0.2 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 0.2 0.1 0.2 -0.6 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 NaN 0.1 0.1 0.2 0.1 0.1 0.1 -1.2 0.6 0.7 -0.3 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 0.0 -0.5 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.5 0.0 1.5 0.0 -0.0 -0.1 0.0 -0.3 0.0 -1.1 -0.0 0.5 0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.0 -0.2 0.3 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.5 0.2 0.7 0.1 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.3 0.0 0.6 0.0 1.1 -0.0 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 0.0 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 0.1 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.2 -0.1 0.4 0.4 0.5 -0.1 0.7 -0.2 NIKKEI 0.6 0.6 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 0.3 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 0.2 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 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.2 0.0 0.4 0.0 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 -0.2 0.0 -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 -0.3 -0.3 0.1 0.0 0.4 OJ 0.4 0.1 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.1 0.3 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 1.1 0.1 0.6 0.4 0.1 0.3 0.3 0.5 0.7 PALLAD 0.2 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 1.2 -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 -0.1 -0.2 -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 1.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 -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 -0.1 0.2 0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.5 -0.1 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 -0.0 0.1 -0.0 0.1 0.0 -0.2 -0.3 0.6 0.2 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 0.1 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 -0.2 -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 0.0 0.2 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 -0.2 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 -0.3 -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 -0.1 0.7 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.1 0.2 0.2 0.3 0.1 -0.7 -0.6 0.5 -0.1 SMI 0.1 0.1 0.5 0.1 0.0 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 0.1 0.1 0.2 1.7 0.1 0.0 0.2 0.1 0.1 0.1 1.1 0.0 -0.6 -0.3 -0.4 0.2 -0.2 0.5 -0.3 SOFR -0.6 -0.6 0.4 -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 -0.0 -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 -0.5 -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 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.4 -0.3 -0.0 -0.5 -0.3 -0.4 -0.2 -0.3 0.2 SP400 0.2 0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.1 0.3 0.1 0.2 -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 -0.0 -0.2 -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 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.5 -0.0 0.2 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 0.1 -0.1 -0.1 0.3 0.0 -0.0 0.3 0.4 0.4 0.4 -0.0 -0.1 -0.0 0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 0.0 -0.0 1.1 0.1 0.1 0.1 -0.6 0.5 -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 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 -0.0 -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 -0.0 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 -0.0 -0.1 0.2 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 -0.0 -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 -0.1 -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 0.2 0.1 -0.7 -0.7 0.7 0.7 US30 -0.3 -0.4 0.5 -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 -0.0 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 -0.7 -0.1 -0.1 -0.4 -0.1 -0.8 -0.1 -0.2 -0.9 -0.3 -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 0.0 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 -2.3 -15.3 7.4 -1.5 -1.7 2.1 -1.4 3.6 -3.1 -9.2 -4.4 1.0 -9.8 -12.1 -6.1 -3.0 -2.9 -2.8 -2.8 -6.5 -3.1 -4.5 -5.4 -6.6 2.7 -3.2 -6.6 -1.3 -2.9 -1.8 -3.6 -1.2 -2.8 -0.9 -10.3 -6.5 -20.0 -10.2 -7.7 1.2 BITCOIN 20.0 2.2 10.7 -5.3 -4.2 -5.0 -1.7 -2.8 -2.9 20.0 20.0 20.0 20.0 20.0 20.0 -8.9 -6.8 -8.3 -7.8 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 16.8 7.6 13.5 6.2 10.8 -2.2 20.0 20.0 20.0 20.0 -6.4 2.6 12.8 6.6 BOBL -20.0 -20.0 15.0 -0.8 -0.3 0.2 -1.3 -0.6 -1.9 -7.7 0.4 -8.5 -1.4 -8.7 -3.7 -20.0 -18.0 -20.0 -20.0 -6.2 -0.7 -10.0 -1.7 -10.7 6.2 -1.7 -2.3 -0.1 -3.1 -0.2 -3.1 -20.0 -10.5 -6.5 -8.0 -4.0 -20.0 -20.0 2.4 -20.0 BTP -9.7 -10.2 20.0 -1.5 -0.6 0.4 -2.3 -1.1 -3.4 -1.5 8.9 -6.5 8.8 -8.2 6.4 4.5 6.5 4.9 5.4 4.8 11.0 -0.9 8.1 -1.1 -15.5 2.2 -0.2 5.1 -0.4 4.1 -0.5 11.5 2.5 12.0 7.6 9.5 -15.2 -20.0 16.7 2.3 BUND -16.8 -20.0 18.7 -1.0 -0.4 0.2 -1.5 -0.7 -2.2 -8.5 1.6 -9.6 -1.1 -9.8 -1.7 4.8 4.5 4.3 3.6 -3.8 1.0 -7.8 -1.3 -8.1 4.1 -1.3 -2.5 0.5 -3.0 0.0 -3.0 7.9 -8.0 -0.8 -5.0 -1.3 -19.6 -20.0 6.9 -10.3 BUXL -11.0 -16.1 20.0 -1.2 -0.5 0.3 -1.9 -0.9 -2.8 -8.0 2.6 -11.0 -4.6 -11.7 -0.3 -0.3 0.4 -0.1 0.2 -2.6 1.4 -6.0 -3.7 -6.5 0.3 -0.9 -2.6 0.9 -2.6 -0.5 -2.6 2.0 -5.7 6.2 -2.7 2.1 -20.0 -20.0 5.0 3.2 CAC 16.9 12.0 15.7 7.9 4.7 6.4 7.3 4.2 8.0 18.3 20.0 20.0 20.0 20.0 20.0 -7.9 -5.6 -8.3 -7.5 20.0 20.0 20.0 19.2 20.0 -10.1 8.4 6.9 6.2 10.1 4.6 10.0 -0.3 20.0 2.9 1.7 -4.3 -3.1 13.1 0.4 19.0 CAD -6.0 -8.7 10.1 -1.8 -1.9 2.4 -1.6 4.2 -3.6 -17.3 -1.7 -14.9 -3.7 -17.3 -0.3 -2.0 -2.1 -2.0 -2.1 -3.4 -0.2 -10.4 -3.3 -8.2 0.3 -2.2 -9.9 -0.2 -6.8 -1.7 -5.3 0.0 -12.8 -3.5 -2.9 -3.9 -16.0 -14.5 0.8 -13.2 CANOLA 1.0 -9.2 -20.0 0.9 -0.6 0.2 -1.4 -1.3 -0.3 5.2 -10.0 -4.2 -8.8 -8.1 -9.8 -12.9 -3.5 -11.6 -9.2 -17.4 -19.4 -4.0 -16.8 -11.5 -20.0 -3.9 0.4 -4.1 -1.3 -3.6 -2.9 -5.9 -4.6 -14.5 -20.0 -20.0 -20.0 -20.0 -16.1 -7.0 CHF -19.2 -20.0 4.8 -1.4 -1.5 1.8 -1.3 3.2 -2.7 10.2 -0.3 -11.2 4.7 -14.6 -6.9 -14.6 -15.4 -15.3 -15.5 -11.8 -2.2 -7.3 3.1 -15.6 -4.9 -2.6 0.2 0.6 -2.4 1.7 -4.6 -20.0 2.8 -19.8 -15.8 2.5 -20.0 -17.0 -10.4 -19.0 COCOA -8.1 -5.1 -17.8 1.1 -0.8 0.2 -1.7 -1.7 -0.4 3.8 13.4 9.5 13.4 11.9 12.8 20.0 7.6 20.0 14.0 20.0 18.6 20.0 13.6 20.0 -17.0 4.6 0.5 4.1 3.0 3.5 4.4 20.0 16.1 20.0 20.0 20.0 13.4 2.4 20.0 20.0 COFFEE -9.1 -1.6 15.2 1.6 -1.1 0.3 -2.6 -2.5 -0.6 -9.0 9.6 -12.2 5.3 -3.4 5.0 20.0 7.2 14.5 10.4 4.1 9.9 -8.8 6.2 -4.6 -20.0 1.2 -3.2 5.6 -5.0 5.1 -3.5 19.6 -5.0 -2.5 -18.5 14.5 -10.1 -20.0 -5.0 -11.7 COPPER 0.6 -1.1 7.6 -4.3 -3.5 -4.1 -1.4 -2.3 -2.3 3.0 -0.9 9.5 -6.5 6.2 5.2 -4.8 -4.9 -5.7 -5.7 3.0 1.0 7.3 -2.5 6.4 -12.6 -0.4 -2.5 -0.3 1.6 -1.1 0.9 1.2 17.8 -3.3 7.6 15.5 -20.0 -3.2 12.3 2.4 CORN -2.5 -10.4 -8.9 2.0 -1.3 0.4 -3.1 -3.0 -0.7 15.2 -20.0 -9.0 -20.0 -18.1 -20.0 -18.9 -5.8 -15.0 -11.3 -20.0 -20.0 -8.5 -20.0 -20.0 -19.7 -8.2 2.6 -6.7 -4.4 -5.3 -8.0 -9.6 -20.0 -20.0 -20.0 -20.0 -4.7 -20.0 -2.6 -0.2 COTTON2 18.4 20.0 11.9 1.9 -1.3 0.4 -3.0 -2.9 -0.7 19.3 9.2 20.0 3.8 20.0 19.2 1.9 -1.4 -3.2 -3.8 20.0 15.4 20.0 3.0 20.0 -20.0 7.5 10.1 3.9 10.1 1.6 9.9 0.2 20.0 20.0 20.0 20.0 -19.0 -14.1 -8.7 1.0 CRUDE_W 6.8 5.1 -6.0 3.7 -3.3 2.1 -1.7 2.4 2.5 3.7 3.1 14.5 7.5 12.9 1.8 9.9 9.5 8.8 8.9 4.1 3.4 3.9 9.0 6.5 -4.9 4.3 2.8 3.3 5.4 7.1 6.8 -1.1 20.0 5.8 -9.3 0.2 20.0 19.1 20.0 20.0 DAX 7.2 5.9 20.0 7.6 4.5 6.1 7.0 4.0 7.7 20.0 20.0 20.0 20.0 20.0 20.0 -16.5 -11.5 -15.6 -13.7 20.0 20.0 20.0 20.0 20.0 17.4 8.1 12.4 7.1 12.1 5.2 9.5 -10.4 20.0 -2.6 -4.3 5.0 -3.3 11.9 4.1 20.0 DOW -6.6 0.1 20.0 6.1 3.6 4.9 5.6 3.2 6.2 5.7 19.5 12.9 18.1 16.7 19.8 -13.1 -10.5 -12.7 -11.9 20.0 20.0 10.2 20.0 16.5 -14.1 7.1 0.4 7.9 2.5 6.3 4.5 -8.2 -7.7 -14.6 2.1 16.3 -5.9 -4.4 1.1 -12.2 DX 5.7 15.7 -4.9 -1.6 -1.7 2.2 -1.5 3.8 -3.2 -10.6 6.0 0.4 -0.8 10.6 5.1 6.5 6.1 6.2 6.2 8.0 3.9 -0.9 4.0 7.1 -20.0 2.8 -1.3 1.0 -0.3 1.9 3.0 14.3 -20.0 20.0 20.0 -20.0 18.3 2.4 20.0 8.3 EUR -0.9 -11.7 1.6 -1.8 -1.9 2.3 -1.6 4.1 -3.5 13.4 -6.3 9.2 1.2 -8.4 -8.0 -6.5 -6.6 -6.3 -6.3 -6.2 -3.8 6.5 -3.0 -2.4 18.6 -1.5 3.5 -0.3 3.5 -0.4 -0.4 -7.3 17.0 9.8 2.9 -4.0 -20.0 -14.2 -20.0 -10.8 EURIBOR-ICE -20.0 -20.0 20.0 -0.8 -0.3 0.2 -1.3 -0.6 -1.9 -7.1 3.9 -8.2 2.8 -8.2 0.5 -0.0 -3.7 0.3 -1.5 -1.9 5.5 -8.4 4.2 -8.2 14.5 -0.5 -2.1 1.8 -2.7 1.5 -2.5 -3.6 -8.2 -4.3 -5.1 3.6 -20.0 -20.0 6.7 20.0 EUROSTX 15.8 16.1 20.0 7.6 4.5 6.2 7.0 4.0 7.7 19.7 20.0 20.0 20.0 20.0 20.0 10.3 2.3 8.6 5.0 20.0 20.0 20.0 20.0 20.0 1.4 8.5 6.1 6.8 8.6 4.9 9.1 16.7 20.0 13.0 17.0 8.2 -7.7 14.4 -5.6 20.0 FEEDCOW 9.8 20.0 0.6 2.1 -1.4 0.4 -3.3 -3.2 -0.7 6.3 -0.1 14.7 0.3 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 11.4 14.8 4.2 20.0 -7.1 5.9 -2.8 2.8 1.3 3.2 5.3 -20.0 8.1 20.0 20.0 1.7 20.0 11.8 20.0 20.0 GASOIL 4.5 15.3 -4.9 3.0 -2.7 1.7 -1.4 2.0 2.0 -13.2 8.3 -2.9 9.7 10.7 10.4 20.0 20.0 20.0 20.0 10.8 9.4 -4.0 11.6 6.4 7.7 4.2 -3.4 4.1 -1.7 4.7 2.2 20.0 -8.1 1.7 4.6 6.8 -11.1 -5.6 -20.0 -12.1 GASOLINE 8.3 14.9 -1.7 3.3 -3.0 1.9 -1.6 2.2 2.2 4.1 2.0 9.8 8.3 14.1 14.3 4.4 7.5 -10.7 -4.8 12.3 7.5 6.4 8.0 12.1 -20.0 6.1 2.0 3.6 5.0 4.8 7.1 -12.0 20.0 18.7 3.7 14.5 20.0 14.3 20.0 12.7 GAS_US_mini -3.1 -6.6 -13.4 1.5 -1.3 0.8 -0.7 1.0 1.0 7.6 -9.5 -1.8 -10.5 -7.3 -9.3 -19.4 -18.7 -5.9 -12.2 -12.3 -15.2 0.0 -18.6 -7.1 17.2 -3.5 1.6 -3.5 -0.9 -3.0 -2.7 -20.0 12.0 -14.2 -20.0 -18.2 -14.0 0.1 -20.0 -4.6 GBP -2.9 -4.7 8.6 -1.9 -2.0 2.5 -1.7 4.4 -3.8 12.3 2.5 5.1 10.1 -0.8 14.0 -0.5 -0.6 -0.4 -0.4 2.8 6.7 5.5 6.5 1.2 2.6 2.3 2.0 4.2 3.0 2.9 1.0 2.9 8.8 8.3 19.9 8.5 -20.0 -4.6 -20.0 4.1 GOLD_micro -5.8 -8.7 4.8 -4.7 -3.8 -4.5 -1.6 -2.5 -2.6 16.2 10.3 0.9 7.4 -5.0 -1.8 -16.2 -14.5 -15.4 -15.0 -2.2 3.1 3.6 5.5 -2.7 -4.4 -1.5 1.8 1.7 -0.9 3.3 -3.3 -15.1 11.6 -4.0 8.5 14.1 -20.0 -20.0 -20.0 -14.3 HEATOIL 2.3 11.9 -5.6 3.2 -2.9 1.8 -1.5 2.1 2.2 -12.7 3.7 -6.9 6.8 6.5 7.2 20.0 20.0 20.0 20.0 6.1 5.3 -6.7 8.7 2.1 -20.0 5.1 -2.9 4.6 0.0 6.2 3.8 20.0 6.5 5.7 5.5 8.5 16.0 4.0 13.9 -0.2 JGB-SGX-mini -5.8 -7.6 14.3 -0.8 -0.3 0.2 -1.3 -0.6 -1.9 7.6 4.5 0.6 5.4 -3.9 4.1 12.1 16.4 11.2 12.6 1.6 3.7 1.5 3.5 -0.2 -4.8 0.4 1.7 1.1 0.8 0.5 -0.1 20.0 5.2 11.3 8.2 2.3 -4.9 -20.0 3.9 10.8 JPY -13.1 -20.0 6.6 -1.1 -1.2 1.4 -1.0 2.5 -2.1 -11.9 -13.0 -13.9 -13.6 -14.6 -13.3 -16.1 -16.1 -15.9 -16.2 -15.0 -14.3 -9.5 -19.2 -14.7 20.0 -4.2 -1.7 -3.9 -3.2 -5.4 -4.6 -20.0 -8.2 -11.0 -17.2 -12.9 -17.3 -15.9 -12.4 -19.1 LEANHOG 6.2 20.0 5.1 2.3 -1.5 0.5 -3.5 -3.4 -0.8 16.6 2.7 20.0 -13.7 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 4.5 20.0 -14.3 20.0 19.1 8.3 3.5 4.9 6.0 -1.8 7.7 -20.0 20.0 18.9 20.0 20.0 -9.8 -8.6 6.1 12.4 LIVECOW 18.2 20.0 -4.4 2.1 -1.4 0.4 -3.2 -3.1 -0.7 2.5 0.5 18.0 0.6 20.0 16.5 9.8 -6.6 -5.7 -8.0 20.0 7.2 16.9 2.2 20.0 -4.3 5.9 -1.3 2.1 3.8 2.6 7.3 -7.2 20.0 20.0 20.0 -6.5 20.0 2.7 20.0 11.0 LUMBER-new 0.9 -0.6 12.0 2.3 -1.6 0.6 -3.6 -2.7 -0.8 16.2 3.1 17.5 -14.1 11.1 11.0 -18.8 -15.3 -16.9 -15.8 8.6 7.4 8.8 -1.5 7.7 NaN 7.9 5.0 6.2 9.5 2.3 9.2 -20.0 20.0 20.0 -8.4 20.0 -10.3 -20.0 -7.4 -15.4 MILK 8.2 20.0 2.9 1.3 -0.9 0.3 -2.0 -1.9 -0.4 -1.5 -11.0 1.6 -13.8 6.9 -6.0 -20.0 -20.0 -20.0 -20.0 -1.7 -11.8 2.1 -20.0 4.0 11.0 0.1 -2.8 -4.2 0.1 -7.8 1.8 -20.0 -0.4 16.8 8.2 -19.1 -20.0 -20.0 -20.0 -20.0 MXP 0.5 -4.7 8.7 -1.8 -1.9 2.4 -1.7 4.2 -3.6 0.9 20.0 17.2 20.0 9.1 19.4 17.0 16.6 16.3 15.9 12.1 19.0 4.4 20.0 7.0 -20.0 6.5 0.7 10.0 2.6 15.8 4.0 20.0 -0.3 20.0 20.0 8.9 20.0 20.0 20.0 20.0 NASDAQ_micro -2.7 5.5 18.3 4.7 2.8 3.8 4.3 2.5 4.7 7.8 14.7 9.5 14.5 13.0 14.6 -11.6 -10.0 -11.6 -11.0 20.0 20.0 7.2 20.0 13.1 -20.0 5.6 0.7 6.2 2.2 5.9 3.8 -6.9 -9.2 -4.1 13.6 13.3 15.8 -3.1 20.0 -5.6 NIKKEI 20.0 20.0 19.1 6.9 4.1 5.6 6.4 3.7 7.0 9.5 20.0 18.9 20.0 20.0 20.0 12.1 12.9 14.7 13.7 20.0 20.0 20.0 20.0 20.0 -17.0 7.9 1.9 6.7 5.2 5.4 7.4 20.0 8.0 20.0 20.0 20.0 -18.3 -4.3 -5.5 -2.9 NZD 3.9 -13.8 11.4 -1.3 -1.4 1.7 -1.2 3.0 -2.5 -7.2 3.1 5.9 0.2 -2.8 3.9 0.5 0.3 0.4 0.3 1.5 2.7 0.2 0.2 1.6 0.0 1.0 -7.4 2.1 -0.3 1.0 0.8 4.1 1.2 10.9 1.5 2.8 -9.8 -9.5 -3.3 3.4 OAT -15.0 -18.1 20.0 -1.1 -0.4 0.2 -1.6 -0.8 -2.4 -8.9 3.0 -10.2 -0.1 -10.6 0.1 4.1 6.3 4.7 5.2 -2.1 3.2 -6.8 0.4 -6.9 5.4 -0.8 -2.6 1.3 -2.9 0.6 -2.7 11.2 -6.6 1.2 -3.3 1.7 -20.0 -20.0 8.8 3.5 OATIES 3.5 1.3 -12.6 1.1 -0.8 0.2 -1.8 -1.7 -0.4 4.4 -11.2 0.3 -9.1 -0.7 -5.1 8.2 -3.2 4.3 -1.0 -4.7 -9.5 -0.3 -8.6 -1.5 -20.0 -1.1 2.3 -3.2 -0.4 -3.4 -0.6 -0.2 -2.6 3.6 -1.9 -10.4 -7.7 1.8 1.2 13.0 OJ 11.3 1.8 -20.0 1.1 -0.8 0.2 -1.8 -1.7 -0.4 -5.9 6.5 4.9 9.6 9.7 2.4 6.8 15.9 8.2 12.2 8.4 8.9 2.9 15.4 9.9 -20.0 2.6 -3.7 4.0 0.3 7.6 2.4 20.0 4.2 20.0 10.9 3.4 7.8 9.8 13.6 20.0 PALLAD 7.5 -4.9 8.7 -1.6 -1.3 -1.5 -0.5 -0.9 -0.9 -5.8 -6.3 2.7 -7.8 -2.6 -5.3 -1.9 -2.2 -1.9 -2.0 -4.8 -7.6 -0.8 -10.9 -1.7 8.7 -2.0 -2.2 -3.1 -1.2 -4.2 -1.3 6.8 -3.6 -3.2 -1.3 -4.1 -13.2 -8.9 -8.9 -4.2 PLAT -1.9 -10.7 1.1 -2.5 -2.0 -2.3 -0.8 -1.3 -1.3 -7.5 -5.8 -5.9 -7.5 -9.3 -6.3 -4.0 -3.2 -3.9 -3.7 -5.2 -4.5 -3.9 -4.2 -4.7 10.1 -2.3 -2.6 -1.5 -1.9 -1.0 -2.2 4.5 -4.2 -3.7 -3.5 2.3 -12.9 -4.2 20.0 5.3 REDWHEAT -12.7 -5.6 -9.5 1.8 -1.2 0.4 -2.8 -2.7 -0.6 11.5 -20.0 -11.5 -20.0 -14.6 -17.1 6.8 -0.2 2.1 -0.0 -20.0 -20.0 -10.5 -20.0 -19.9 -11.4 -7.0 -0.6 -6.5 -6.2 -6.2 -8.2 4.5 -20.0 -20.0 -20.0 -20.0 -17.0 -20.0 -13.2 -20.0 RICE -3.2 7.4 9.5 1.7 -1.1 0.4 -2.6 -2.5 -0.6 -14.2 16.8 -6.0 15.9 7.7 14.7 -6.2 -2.7 -10.8 -8.9 15.3 17.8 -5.4 14.7 6.2 -19.4 5.3 -5.4 5.2 -1.3 4.1 3.2 -4.0 -12.0 20.0 4.9 19.1 4.9 -5.2 12.0 3.7 ROBUSTA -19.5 14.0 20.0 1.3 -0.9 0.3 -2.1 -2.1 -0.5 -8.5 14.8 -8.8 15.4 9.3 13.8 20.0 20.0 20.0 20.0 20.0 20.0 -7.6 20.0 5.8 -20.0 5.0 -2.2 7.1 -1.8 6.8 1.0 20.0 -10.0 -1.0 20.0 20.0 -20.0 -17.0 -9.2 1.1 RUSSELL 3.2 -1.7 20.0 3.5 2.1 2.9 3.3 1.9 3.6 5.4 6.9 6.7 4.4 5.3 7.7 -6.0 -6.2 -6.2 -6.3 6.6 6.3 6.1 3.2 5.7 -1.8 3.5 2.8 3.1 3.3 1.9 3.4 0.3 -3.2 -8.3 -9.4 -2.8 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 -20.0 15.6 -0.8 -0.3 0.2 -1.2 -0.6 -1.8 -7.0 -3.4 -8.0 -5.4 -8.2 -6.1 -20.0 -20.0 -20.0 -20.0 -9.7 -4.3 -12.8 -5.2 -14.2 7.9 -1.9 -2.0 -0.6 -3.0 -0.8 -3.2 -20.0 -13.1 -12.6 -11.3 -6.9 -20.0 -20.0 -8.1 -20.0 SILVER-mini 2.2 -7.8 -4.5 -3.5 -2.8 -3.4 -1.2 -1.9 -1.9 -13.3 -6.1 -4.4 -3.7 -7.7 -12.2 -6.8 -6.6 -6.9 -6.8 -6.6 -6.2 -5.0 -3.9 -4.8 5.2 -1.7 -2.7 -2.2 0.4 -1.1 0.3 -1.2 7.4 5.4 7.8 3.0 -20.0 -17.5 15.2 -4.1 SMI 2.6 4.6 16.6 6.7 4.0 5.4 6.2 3.6 6.8 7.7 14.3 15.5 6.9 13.3 18.4 11.0 6.2 10.6 8.4 13.7 10.5 13.2 4.6 14.3 12.6 6.5 1.2 5.6 5.6 2.6 6.2 20.0 1.7 -20.0 -8.1 -12.7 6.6 -5.8 14.8 -8.8 SOFR -18.9 -17.3 13.6 -0.9 -0.3 0.2 -1.4 -0.7 -2.1 2.4 3.1 -7.3 -0.1 -7.7 0.2 0.8 0.3 1.3 0.8 -3.8 0.0 -4.4 -1.2 -7.1 -2.1 -0.6 -0.1 0.9 -2.0 0.2 -2.6 2.2 -0.2 -3.7 2.2 1.7 -20.0 -20.0 -3.6 -2.2 SOYBEAN -11.0 -20.0 -20.0 1.8 -1.2 0.4 -2.8 -2.8 -0.6 -10.5 -16.8 -18.0 -3.7 -20.0 -20.0 6.7 14.6 9.1 11.3 -20.0 -20.0 -20.0 -15.4 -20.0 -20.0 -7.5 -2.1 -4.9 -6.2 -2.1 -8.1 20.0 -20.0 -20.0 -20.0 -20.0 -8.0 -20.0 -7.3 -20.0 SOYMEAL -15.1 -20.0 -20.0 1.3 -0.9 0.3 -2.1 -2.0 -0.5 -12.1 -14.2 -14.5 -8.2 -15.3 -15.8 -4.9 11.4 1.3 6.4 -20.0 -20.0 -18.8 -10.6 -20.0 -20.0 -5.5 -2.2 -3.9 -4.0 -1.2 -5.3 20.0 -17.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 1.8 -5.4 -18.5 1.3 -0.9 0.3 -2.1 -2.0 -0.5 -5.2 -13.7 -10.4 -10.9 -10.8 -12.9 -5.9 3.9 -4.2 -0.5 -15.9 -18.6 -9.5 -16.0 -12.6 -20.0 -4.7 -0.7 -5.0 -3.8 -4.4 -4.7 8.3 -14.4 -1.0 -15.7 -8.0 -12.6 -6.1 -8.1 5.5 SP400 6.1 4.1 20.0 4.6 2.8 3.7 4.3 2.5 4.7 13.1 12.5 13.5 9.5 12.5 13.9 -6.0 -5.3 -5.8 -5.6 13.6 12.6 11.8 8.0 12.5 -10.5 5.1 3.3 4.5 4.6 3.1 5.0 1.7 -0.0 -6.3 -7.2 -1.3 -19.7 -8.8 -17.4 -20.0 SP500_micro 3.3 10.1 20.0 5.9 3.5 4.8 5.4 3.1 6.0 12.0 18.8 15.5 17.5 17.7 19.2 -12.9 -11.1 -12.8 -12.1 20.0 20.0 16.0 20.0 20.0 -20.0 7.1 1.6 6.8 4.0 5.5 5.8 -8.8 -0.0 4.9 19.0 18.0 4.9 -3.2 18.1 -6.2 SUGAR11 -2.8 11.2 -20.0 1.5 -1.0 0.3 -2.4 -2.3 -0.5 11.6 -4.5 -5.8 7.2 4.4 -4.5 13.8 19.1 18.2 19.2 -4.3 -6.1 -1.7 3.0 -2.5 -20.0 -3.0 4.1 -3.8 0.9 1.4 -0.8 20.0 5.3 1.7 3.2 -20.0 13.7 -0.6 20.0 10.1 US10 -18.8 -13.0 15.9 -0.8 -0.3 0.2 -1.3 -0.6 -1.9 -2.0 1.3 -7.5 -2.5 -7.7 0.2 -9.1 -8.1 -9.1 -8.7 -3.6 -1.2 -4.9 -4.3 -6.8 1.8 -0.6 -0.4 0.5 -2.1 -0.8 -2.5 -13.2 -1.9 -3.2 3.1 1.5 -20.0 -20.0 -16.0 8.6 US10U -17.3 -12.4 15.8 -1.2 -0.4 0.3 -1.8 -0.9 -2.7 -0.8 1.0 -10.3 -3.5 -10.7 -0.0 -1.7 0.3 0.1 0.4 -4.8 -2.0 -5.8 -6.5 -8.6 -0.9 -0.5 -0.3 0.7 -2.5 -1.3 -3.0 1.9 -0.7 -1.7 4.8 2.3 -20.0 -20.0 9.8 20.0 US2 -20.0 -15.8 18.7 -0.8 -0.3 0.2 -1.2 -0.6 -1.7 -4.0 -0.9 -7.3 -5.0 -7.5 -2.9 -20.0 -20.0 -20.0 -20.0 -5.7 -2.5 -7.6 -5.7 -9.6 9.0 -1.1 -0.7 0.2 -2.6 -0.8 -2.9 -20.0 -6.1 -8.9 -0.1 -0.7 -20.0 -20.0 -15.3 -20.0 US20 -14.9 -11.9 18.7 -0.9 -0.3 0.2 -1.3 -0.6 -2.0 2.6 1.5 -6.6 -1.8 -7.1 1.1 0.3 -0.9 -0.1 -0.5 -2.2 -0.5 -2.9 -4.4 -4.9 -1.3 0.4 0.1 0.9 -1.1 -1.0 -1.4 -0.4 2.0 2.4 4.6 4.4 -20.0 -20.0 20.0 20.0 US30 -10.5 -10.9 16.7 -1.0 -0.4 0.2 -1.6 -0.8 -2.4 2.7 0.7 -6.7 -3.3 -7.8 0.7 -8.2 -5.8 -8.0 -7.0 -2.4 -1.4 -1.4 -6.3 -4.1 -0.7 0.6 0.7 0.9 -0.2 -1.7 -0.8 -9.6 5.4 6.7 5.9 3.3 -15.4 -18.6 20.0 20.0 US5 -20.0 -15.4 15.7 -0.8 -0.3 0.2 -1.2 -0.6 -1.9 -3.8 1.3 -7.7 -3.1 -7.8 -0.8 -8.9 -10.2 -9.7 -10.2 -4.6 -1.4 -6.2 -4.0 -8.2 3.9 -0.9 -0.6 0.5 -2.4 -0.5 -2.8 -16.5 -3.8 -6.0 1.6 0.6 -20.0 -20.0 -20.0 -6.8 VIX 4.6 4.0 -13.4 -7.6 -7.8 -9.8 -7.7 -13.0 -6.6 -16.1 -20.0 -15.0 -20.0 -17.3 -20.0 -20.0 -20.0 -20.0 -20.0 -18.3 -20.0 -11.8 -20.0 -10.8 NaN -9.0 -7.2 -11.8 -8.1 -15.9 -7.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -12.8 -9.7 0.2 1.8 -1.2 0.4 -2.8 -2.7 -0.6 10.8 -19.9 -9.4 -20.0 -14.5 -14.9 -11.6 -10.8 -11.5 -11.3 -20.0 -20.0 -9.6 -20.0 -19.4 -0.7 -6.5 -0.7 -4.8 -6.1 -4.7 -8.3 -14.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.5 -20.0 End of report for caleb_strategy_v3