******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240304_204008 produced at 2024-03-04 21:37:17.741204 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.65 0.0 0.00 0.00 0.00 0.00 -8.79 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -9.53 24.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.31 0.0 0.08 -0.08 -0.08 -0.08 -64.81 17.0 -17 -16 caleb_strategy_v3 US2 False True 0.06 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -3.48 13.0 0 0 caleb_strategy_v3 CHF False True 0.04 -0.39 -0.17 0.0 0.00 -0.39 -0.39 -0.39 -4.05 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.03 -0.13 -0.12 0.0 0.43 -0.43 -0.13 -0.10 -4.54 17.0 -5 -4 caleb_strategy_v3 BOBL False False 0.04 -0.51 -0.10 0.0 0.74 -0.74 -0.51 -0.51 -2.59 19.0 -13 -13 caleb_strategy_v3 CAD False False 0.02 0.00 -0.10 0.0 0.65 -0.65 0.00 0.00 -4.63 29.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.08 -0.08 -0.07 -0.07 -10.66 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.14 -0.14 -0.02 -0.02 -25.12 51.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.36 -0.07 0.0 0.82 -0.82 -0.36 -0.16 -2.28 25.0 -11 -5 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.07 0.0 0.18 -0.18 0.00 0.00 -2.38 6.0 0 0 caleb_strategy_v3 AUD False True 0.02 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -2.86 19.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.03 -0.04 0.0 0.12 -0.12 -0.03 -0.03 -2.03 7.0 -2 -2 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.57 -0.57 0.00 0.00 -1.17 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.05 -0.05 0.00 0.00 -3.58 5.0 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 -26.00 26.0 -18 -18 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.27 9.0 -4 -4 caleb_strategy_v3 SOYOIL False False 0.01 -0.06 -0.02 0.0 0.08 -0.08 -0.06 -0.05 -2.41 10.0 -7 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.26 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -2.87 8.0 -3 -3 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 GOLD_micro False False 0.01 -0.17 -0.02 0.0 0.36 -0.36 -0.17 -0.20 -2.97 56.0 -26 -31 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.32 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -3.83 68.0 0 0 caleb_strategy_v3 US10U False False 0.03 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.29 13.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.30 18.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.15 4.0 0 0 caleb_strategy_v3 DOW False True 0.01 0.10 0.00 0.0 0.10 0.00 0.10 0.10 0.07 66.0 16 16 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.06 3.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.15 2.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 0.00 0.00 0.0 0.42 -0.42 0.00 0.00 0.02 10.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.09 -0.00 0.0 0.09 0.00 0.09 0.09 -0.26 21.0 5 5 caleb_strategy_v3 PLAT False False 0.01 -0.01 -0.00 0.0 0.14 -0.14 -0.01 -0.01 -0.13 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 -0.03 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 -0.07 6.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.00 0.0 0.58 -0.58 0.00 0.00 -0.01 14.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 0.00 -0.00 0.00 0.00 -0.01 0.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.63 3.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.44 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 0.61 4.0 0 0 caleb_strategy_v3 SP400 False True 0.09 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.06 2.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.02 1.18 23.0 3 2 caleb_strategy_v3 COCOA False False 0.02 0.10 0.02 0.0 0.53 -0.53 0.10 0.10 1.01 26.0 5 5 caleb_strategy_v3 BTP False False 0.04 0.12 0.02 0.0 0.39 -0.39 0.12 0.19 0.59 10.0 3 5 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.20 0.02 0.0 0.26 -0.26 0.20 0.22 2.15 23.0 18 20 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.27 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.20 0.04 0.0 0.33 -0.33 0.20 0.24 1.06 8.0 5 6 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.04 0.0 0.09 -0.09 0.02 0.05 1.73 4.0 1 2 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.04 0.0 0.13 -0.13 0.13 0.13 1.23 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.04 0.0 0.10 -0.10 0.00 0.00 1.07 3.0 0 0 caleb_strategy_v3 SP500_micro False True 0.01 0.03 0.05 0.0 0.03 0.00 0.03 0.03 5.96 48.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.05 0.0 0.81 -0.81 0.00 0.00 0.67 10.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.05 0.0 0.53 -0.53 0.12 0.12 2.19 22.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.08 0.0 0.38 -0.38 0.00 0.00 3.74 17.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.09 0.0 0.00 0.00 0.00 0.00 42.78 59.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.18 0.10 0.0 0.18 0.00 0.18 0.18 3.88 12.0 7 7 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.10 0.0 0.16 -0.16 0.04 0.04 8.39 13.0 3 3 caleb_strategy_v3 SMI False True 0.04 0.39 0.12 0.0 0.35 0.00 0.39 0.35 3.10 9.0 10 9 caleb_strategy_v3 EUROSTX False True 0.02 0.21 0.17 0.0 0.21 0.00 0.21 0.21 10.20 20.0 13 13 caleb_strategy_v3 DAX False False 0.01 0.00 0.18 0.0 0.35 -0.35 0.00 0.00 30.93 58.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.18 0.0 0.11 -0.11 0.05 0.07 8.14 5.0 2 3 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.33 0.0 0.29 -0.29 0.28 0.28 41.03 36.0 35 35 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.30 0.53 0.0 0.30 0.00 0.30 0.27 17.84 16.0 10 9 caleb_strategy_v3 MXP False True 0.01 0.53 0.87 0.0 0.53 0.00 0.53 0.53 97.05 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.1 Shocked risk 88.8 Sum abs risk 63.8 Leverage 5.93 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3280905.97, 'annual_cash_vol_target': 820226.4925, 'daily_cash_vol_target': 51264.15578125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6514 0.5606 8.9694 BITCOIN 1449.1722 68055.0000 2.1294 34.0706 BOBL 0.2533 117.7600 0.2151 3.4416 BTP 0.5545 117.6900 0.4711 7.5380 BUND 0.5091 132.3500 0.3847 6.1547 BUXL 1.1922 133.2000 0.8951 14.3210 CAC 48.8702 7975.0000 0.6128 9.8047 CAD 0.0027 0.7375 0.3668 5.8695 CANOLA 6.7380 597.0000 1.1286 18.0583 CHF 0.0049 1.1318 0.4366 6.9860 COCOA 145.1938 6666.0000 2.1781 34.8500 COFFEE 3.1361 186.5500 1.6811 26.8973 COPPER 0.0360 3.8795 0.9275 14.8400 CORN 4.6782 463.2500 1.0099 16.1579 COTTON2 1.5664 94.5700 1.6563 26.5012 CRUDE_W 0.8752 73.9300 1.1838 18.9412 DAX 103.2769 18024.0000 0.5730 9.1679 DOW 206.9525 39097.0000 0.5293 8.4693 DX 0.3371 103.4350 0.3259 5.2144 EUR 0.0041 1.0904 0.3748 5.9963 EURIBOR-ICE 0.0470 97.5950 0.0481 0.7704 EUROSTX 31.7175 4927.0000 0.6437 10.3000 FEEDCOW 1.7439 267.9000 0.6510 10.4155 GASOIL 12.3831 778.0000 1.5917 25.4665 GASOLINE 0.0386 2.5457 1.5161 24.2572 GAS_US_mini 0.0894 2.0800 4.2973 68.7571 GBP 0.0052 1.2693 0.4123 6.5963 GOLD_micro 14.6269 2124.4000 0.6885 11.0163 HEATOIL 0.0380 2.5568 1.4870 23.7927 JGB-SGX-mini 0.2369 146.3600 0.1619 2.5896 JPY 0.0000 0.0067 0.5408 8.6522 LEANHOG 0.9895 102.1000 0.9692 15.5070 LIVECOW 1.2343 182.7500 0.6754 10.8068 LUMBER-new 6.2460 605.5000 1.0315 16.5047 MILK 0.2227 17.0600 1.3056 20.8890 MXP 0.0003 0.0588 0.5271 8.4329 NASDAQ_micro 139.7147 18337.7500 0.7619 12.1903 NIKKEI 330.4596 39995.0000 0.8263 13.2200 NZD 0.0038 0.6096 0.6291 10.0663 OAT 0.5051 127.5900 0.3959 6.3336 OATIES 5.8007 364.0000 1.5936 25.4974 OJ 7.3481 365.4000 2.0110 32.1754 PALLAD 25.2929 970.5000 2.6062 41.6987 PLAT 14.4639 903.9000 1.6002 25.6027 REDWHEAT 9.4627 566.5000 1.6704 26.7259 RICE 0.1853 18.4900 1.0024 16.0386 ROBUSTA 41.4999 3190.0000 1.3009 20.8150 RUSSELL 23.9273 2109.7000 1.1342 18.1465 SHATZ 0.0849 105.6450 0.0803 1.2856 SILVER-mini 0.3493 24.2750 1.4389 23.0223 SMI 66.5577 11389.0000 0.5844 9.3505 SOFR 0.0694 96.4050 0.0720 1.1512 SOYBEAN 9.3952 1145.7500 0.8200 13.1201 SOYMEAL 4.1027 335.8000 1.2218 19.5482 SOYOIL 0.5758 45.5900 1.2629 20.2072 SP400 24.1011 2944.8000 0.8184 13.0949 SP500_micro 30.3998 5155.7500 0.5896 9.4341 SUGAR11 0.3610 20.4500 1.7652 28.2436 US10 0.4184 110.7344 0.3778 6.0456 US10U 0.5609 114.4219 0.4902 7.8437 US2 0.1196 102.4219 0.1167 1.8677 US20 0.8064 119.5312 0.6746 10.7940 US30 1.1898 128.2812 0.9275 14.8395 US5 0.2836 107.1016 0.2648 4.2369 VIX 0.3905 15.7500 2.4792 39.6674 WHEAT 8.3062 590.5000 1.4066 22.5061 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 651.35 0.56 365.14 1.00 365.14 51264.16 140.40 -7.85 -110.23 BITCOIN 68.06 2.13 144.92 1.00 144.92 51264.16 353.75 11.17 395.03 BOBL 1177.60 0.22 253.30 1.08 273.92 51264.16 187.15 -13.66 -255.68 BTP 1176.90 0.47 554.47 1.08 599.60 51264.16 85.50 2.01 17.19 BUND 1323.50 0.38 509.11 1.08 550.55 51264.16 93.11 -3.81 -35.45 BUXL 1332.00 0.90 1192.23 1.08 1289.27 51264.16 39.76 -3.70 -14.71 CAC 797.50 0.61 488.70 1.08 528.48 51264.16 97.00 11.72 113.66 CAD 737.50 0.37 270.55 1.00 270.55 51264.16 189.48 -9.42 -178.43 CANOLA 119.40 1.13 134.76 0.74 99.32 51264.16 516.16 -20.00 -1032.32 CHF 1414.75 0.44 617.71 1.00 617.71 51264.16 82.99 -18.79 -155.92 COCOA 666.60 2.18 1451.94 1.00 1451.94 51264.16 35.31 13.39 47.29 COFFEE 699.56 1.68 1176.02 1.00 1176.02 51264.16 43.59 -1.44 -6.28 COPPER 969.88 0.93 899.56 1.00 899.56 51264.16 56.99 -3.85 -21.94 CORN 231.62 1.01 233.91 1.00 233.91 51264.16 219.16 -20.00 -438.32 COTTON2 472.85 1.66 783.19 1.00 783.19 51264.16 65.46 3.16 20.69 CRUDE_W 739.30 1.18 875.20 1.00 875.20 51264.16 58.57 12.84 75.21 DAX 180.24 0.57 103.28 1.08 111.68 51264.16 459.01 19.76 906.80 DOW 195.48 0.53 103.48 1.00 103.48 51264.16 495.42 0.07 3.23 DX 1034.35 0.33 337.09 1.00 337.09 51264.16 152.08 3.21 48.85 EUR 1362.94 0.37 510.79 1.00 510.79 51264.16 100.36 -0.02 -0.20 EURIBOR-ICE 2439.88 0.05 117.48 1.08 127.04 51264.16 403.53 0.49 19.76 EUROSTX 492.70 0.64 317.18 1.08 342.99 51264.16 149.46 20.00 298.92 FEEDCOW 1339.50 0.65 871.97 1.00 871.97 51264.16 58.79 5.43 31.93 GASOIL 778.00 1.59 1238.31 1.00 1238.31 51264.16 41.40 9.65 39.96 GASOLINE 1069.19 1.52 1620.98 1.00 1620.98 51264.16 31.63 8.94 28.27 GAS_US_mini 52.00 4.30 223.46 1.00 223.46 51264.16 229.41 -10.47 -240.13 GBP 793.31 0.41 327.06 1.00 327.06 51264.16 156.74 5.40 84.57 GOLD_micro 212.44 0.69 146.27 1.00 146.27 51264.16 350.48 -2.48 -87.05 HEATOIL 1073.86 1.49 1596.87 1.00 1596.87 51264.16 32.10 7.71 24.74 JGB-SGX-mini 146360.00 0.16 23688.47 0.01 157.53 51264.16 325.42 5.06 164.73 JPY 832.25 0.54 450.05 1.00 450.05 51264.16 113.91 -15.37 -175.03 LEANHOG 408.40 0.97 395.82 1.00 395.82 51264.16 129.51 10.66 138.01 LIVECOW 731.00 0.68 493.74 1.00 493.74 51264.16 103.83 10.86 112.81 LUMBER-new 166.51 1.03 171.77 1.00 171.77 51264.16 298.45 -0.09 -2.58 MILK 341.20 1.31 445.46 1.00 445.46 51264.16 115.08 -14.52 -167.07 MXP 294.20 0.53 155.06 1.00 155.06 51264.16 330.61 20.00 661.22 NASDAQ_micro 366.76 0.76 279.43 1.00 279.43 51264.16 183.46 5.05 92.72 NIKKEI 39995.00 0.83 33045.96 0.01 219.76 51264.16 233.27 16.24 378.93 NZD 609.55 0.63 383.50 1.00 383.50 51264.16 133.68 -0.75 -9.97 OAT 1275.90 0.40 505.07 1.08 546.18 51264.16 93.86 0.06 0.54 OATIES 182.00 1.59 290.03 1.00 290.03 51264.16 176.75 -7.58 -133.98 OJ 548.10 2.01 1102.21 1.00 1102.21 51264.16 46.51 6.36 29.60 PALLAD 970.50 2.61 2529.29 1.00 2529.29 51264.16 20.27 -2.11 -4.27 PLAT 451.95 1.60 723.20 1.00 723.20 51264.16 70.89 -0.55 -3.89 REDWHEAT 283.25 1.67 473.13 1.00 473.13 51264.16 108.35 -20.00 -216.70 RICE 369.80 1.00 370.69 1.00 370.69 51264.16 138.29 1.82 25.16 ROBUSTA 319.00 1.30 415.00 1.00 415.00 51264.16 123.53 8.18 101.08 RUSSELL 105.48 1.13 119.64 1.00 119.64 51264.16 428.50 -2.70 -115.66 SHATZ 1056.45 0.08 84.88 1.08 91.79 51264.16 558.47 -16.83 -939.79 SILVER-mini 606.88 1.44 873.23 1.00 873.23 51264.16 58.71 -0.05 -0.29 SMI 1138.90 0.58 665.58 1.13 751.74 51264.16 68.19 13.31 90.80 SOFR 2410.12 0.07 173.41 1.00 173.41 51264.16 295.62 -4.89 -144.65 SOYBEAN 572.88 0.82 469.76 1.00 469.76 51264.16 109.13 -19.98 -218.08 SOYMEAL 335.80 1.22 410.27 1.00 410.27 51264.16 124.95 -20.00 -249.91 SOYOIL 273.54 1.26 345.47 1.00 345.47 51264.16 148.39 -17.48 -259.38 SP400 2944.80 0.82 2410.11 1.00 2410.11 51264.16 21.27 0.82 1.74 SP500_micro 257.79 0.59 152.00 1.00 152.00 51264.16 337.27 7.60 256.36 SUGAR11 229.04 1.77 404.31 1.00 404.31 51264.16 126.80 -4.82 -61.06 US10 1107.34 0.38 418.41 1.00 418.41 51264.16 122.52 -7.53 -92.31 US10U 1144.22 0.49 560.93 1.00 560.93 51264.16 91.39 -2.52 -23.03 US2 2048.44 0.12 239.12 1.00 239.12 51264.16 214.39 -12.80 -274.35 US20 1195.31 0.67 806.39 1.00 806.39 51264.16 63.57 -0.34 -2.19 US30 1282.81 0.93 1189.77 1.00 1189.77 51264.16 43.09 -1.27 -5.48 US5 1071.02 0.26 283.61 1.00 283.61 51264.16 180.75 -9.97 -180.25 VIX 157.50 2.48 390.48 1.00 390.48 51264.16 131.29 -20.00 -262.57 WHEAT 295.25 1.41 415.31 1.00 415.31 51264.16 123.44 -20.00 -246.87 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -110.225 0.010 2.5 -2.860 BITCOIN 395.035 0.043 2.5 42.777 BOBL -255.679 0.004 2.5 -2.593 BTP 17.186 0.014 2.5 0.586 BUND -35.451 0.004 2.5 -0.359 BUXL -14.712 0.004 2.5 -0.149 CAC 113.660 0.014 2.5 3.877 CAD -178.429 0.010 2.5 -4.630 CANOLA -1032.323 0.010 2.5 -25.115 CHF -155.916 0.010 2.5 -4.045 COCOA 47.286 0.009 2.5 1.013 COFFEE -6.283 0.005 2.5 -0.073 COPPER -21.942 0.043 2.5 -2.376 CORN -438.321 0.010 2.5 -10.664 COTTON2 20.691 0.009 2.5 0.443 CRUDE_W 75.214 0.043 2.5 8.145 DAX 906.795 0.014 2.5 30.929 DOW 3.227 0.009 2.5 0.075 DX 48.850 0.010 2.5 1.267 EUR -0.202 0.010 2.5 -0.005 EURIBOR-ICE 19.762 0.014 2.5 0.674 EUROSTX 298.922 0.014 2.5 10.196 FEEDCOW 31.928 0.013 2.5 1.058 GASOIL 39.964 0.017 2.5 1.732 GASOLINE 28.268 0.017 2.5 1.225 GAS_US_mini -240.133 0.043 2.5 -26.003 GBP 84.573 0.010 2.5 2.194 GOLD_micro -87.052 0.014 2.5 -2.969 HEATOIL 24.744 0.017 2.5 1.073 JGB-SGX-mini 164.729 0.043 2.5 17.838 JPY -175.033 0.010 2.5 -4.541 LEANHOG 138.006 0.024 2.5 8.387 LIVECOW 112.805 0.013 2.5 3.738 LUMBER-new -2.581 0.009 2.5 -0.055 MILK -167.072 0.009 2.5 -3.578 MXP 661.216 0.059 2.5 97.049 NASDAQ_micro 92.722 0.009 2.5 2.155 NIKKEI 378.925 0.043 2.5 41.033 NZD -9.968 0.010 2.5 -0.259 OAT 0.540 0.014 2.5 0.018 OATIES -133.982 0.010 2.5 -3.260 OJ 29.597 0.009 2.5 0.634 PALLAD -4.273 0.014 2.5 -0.146 PLAT -3.894 0.014 2.5 -0.133 REDWHEAT -216.701 0.005 2.5 -2.875 RICE 25.165 0.010 2.5 0.612 ROBUSTA 101.082 0.005 2.5 1.180 RUSSELL -115.660 0.013 2.5 -3.833 SHATZ -939.794 0.004 2.5 -9.530 SILVER-mini -0.295 0.014 2.5 -0.010 SMI 90.799 0.014 2.5 3.097 SOFR -144.649 0.024 2.5 -8.791 SOYBEAN -218.080 0.004 2.5 -2.028 SOYMEAL -249.906 0.004 2.5 -2.324 SOYOIL -259.377 0.004 2.5 -2.415 SP400 1.742 0.013 2.5 0.058 SP500_micro 256.364 0.009 2.5 5.958 SUGAR11 -61.059 0.009 2.5 -1.299 US10 -92.308 0.005 2.5 -1.170 US10U -23.031 0.005 2.5 -0.292 US2 -274.346 0.005 2.5 -3.476 US20 -2.188 0.005 2.5 -0.028 US30 -5.484 0.005 2.5 -0.069 US5 -180.245 0.005 2.5 -2.284 VIX -262.572 0.099 2.5 -64.814 WHEAT -246.873 0.005 2.5 -3.275 ===================== Position diags ===================== AUD 3.64 BITCOIN 38.31 BOBL 1.90 BTP 2.92 BUND 0.94 BUXL 0.40 CAC 3.31 CAD 4.92 CANOLA 12.56 CHF 2.15 COCOA 0.76 COFFEE 0.51 COPPER 6.17 CORN 5.33 COTTON2 1.40 CRUDE_W 6.34 DAX 15.66 DOW 11.51 DX 3.95 EUR 2.60 EURIBOR-ICE 13.76 EUROSTX 5.10 FEEDCOW 1.95 GASOIL 1.79 GASOLINE 1.37 GAS_US_mini 24.84 GBP 4.07 GOLD_micro 11.95 HEATOIL 1.39 JGB-SGX-mini 35.24 JPY 2.96 LEANHOG 7.87 LIVECOW 3.44 LUMBER-new 6.38 MILK 2.46 MXP 48.52 NASDAQ_micro 4.26 NIKKEI 25.26 NZD 3.47 OAT 3.20 OATIES 4.30 OJ 1.00 PALLAD 0.69 PLAT 2.42 REDWHEAT 1.44 RICE 3.36 ROBUSTA 1.44 RUSSELL 14.20 SHATZ 5.66 SILVER-mini 2.00 SMI 2.33 SOFR 17.97 SOYBEAN 1.01 SOYMEAL 1.16 SOYOIL 1.38 SP400 0.70 SP500_micro 7.84 SUGAR11 2.70 US10 1.55 US10U 1.16 US2 2.72 US20 0.81 US30 0.55 US5 2.29 VIX 32.41 WHEAT 1.64 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.9 -3.2 -2.5 0.0 0 BITCOIN 42.8 38.9 46.6 0.0 0 BOBL -2.6 -2.8 -2.4 -13.0 -13 BTP 0.6 0.3 0.9 3.0 3 BUND -0.4 -0.5 -0.3 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC 3.9 3.5 4.2 7.0 7 CAD -4.6 -5.1 -4.1 0.0 0 CANOLA -25.1 -26.4 -23.9 -6.0 -6 CHF -4.0 -4.3 -3.8 -9.0 -9 COCOA 1.0 0.9 1.1 5.0 5 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -2.4 -3.0 -1.8 0.0 0 CORN -10.7 -11.2 -10.1 -10.0 -10 COTTON2 0.4 0.3 0.6 0.0 0 CRUDE_W 8.1 7.5 8.8 2.0 2 DAX 30.9 29.4 32.5 0.0 0 DOW 0.1 -1.1 1.2 16.0 16 DX 1.3 0.9 1.7 NaN 0 EUR -0.0 -0.3 0.3 0.0 0 EURIBOR-ICE 0.7 -0.7 2.1 0.0 0 EUROSTX 10.2 9.7 10.7 13.0 13 FEEDCOW 1.1 0.9 1.3 5.0 5 GASOIL 1.7 1.6 1.9 1.0 1 GASOLINE 1.2 1.1 1.4 4.0 4 GAS_US_mini -26.0 -28.5 -23.5 -18.0 -18 GBP 2.2 1.8 2.6 5.0 5 GOLD_micro -3.0 -4.2 -1.8 -26.0 -26 HEATOIL 1.1 0.9 1.2 0.0 0 JGB-SGX-mini 17.8 14.3 21.4 10.0 10 JPY -4.5 -4.8 -4.2 -5.0 -5 LEANHOG 8.4 7.6 9.2 3.0 3 LIVECOW 3.7 3.4 4.1 0.0 0 LUMBER-new -0.1 -0.7 0.6 NaN 0 MILK -3.6 -3.8 -3.3 NaN 0 MXP 97.0 92.2 101.9 59.0 59 NASDAQ_micro 2.2 1.7 2.6 18.0 18 NIKKEI 41.0 38.5 43.6 35.0 35 NZD -0.3 -0.6 0.1 5.0 5 OAT 0.0 -0.3 0.3 0.0 0 OATIES -3.3 -3.7 -2.8 NaN 0 OJ 0.6 0.5 0.7 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT -0.1 -0.4 0.1 -1.0 -1 REDWHEAT -2.9 -3.0 -2.7 -3.0 -3 RICE 0.6 0.3 0.9 NaN 0 ROBUSTA 1.2 1.0 1.3 3.0 3 RUSSELL -3.8 -5.3 -2.4 0.0 0 SHATZ -9.5 -10.1 -9.0 NaN 0 SILVER-mini -0.0 -0.2 0.2 NaN 0 SMI 3.1 2.9 3.3 10.0 10 SOFR -8.8 -10.6 -7.0 NaN 0 SOYBEAN -2.0 -2.1 -1.9 -2.0 -2 SOYMEAL -2.3 -2.4 -2.2 0.0 0 SOYOIL -2.4 -2.6 -2.3 -7.0 -7 SP400 0.1 -0.0 0.1 0.0 0 SP500_micro 6.0 5.2 6.7 4.0 4 SUGAR11 -1.3 -1.6 -1.0 0.0 0 US10 -1.2 -1.3 -1.0 0.0 0 US10U -0.3 -0.4 -0.2 0.0 0 US2 -3.5 -3.7 -3.2 NaN 0 US20 -0.0 -0.1 0.1 0.0 0 US30 -0.1 -0.1 -0.0 0.0 0 US5 -2.3 -2.5 -2.1 -11.0 -11 VIX -64.8 -68.1 -61.6 -17.0 -17 WHEAT -3.3 -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 -0.0 -0.4 0.2 -0.0 -0.0 0.0 -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 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.3 -0.2 -0.7 -0.3 -0.3 0.0 BITCOIN 0.6 0.3 0.4 -0.0 0.1 -0.1 0.1 -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 0.2 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 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 0.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.3 -0.3 -0.2 -0.7 -0.7 0.1 -0.7 BTP -0.2 -0.3 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.2 0.0 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.0 -2.2 0.0 0.0 0.1 0.0 0.2 0.0 0.6 -0.0 0.3 0.3 0.3 -0.5 -0.6 0.6 0.1 BUND -0.5 -0.6 0.5 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.4 -0.1 -0.1 -0.2 -0.1 -0.6 -0.7 0.3 -0.4 BUXL -0.2 -0.5 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.2 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.7 -0.7 0.2 0.1 CAC 0.6 0.6 0.5 0.1 0.1 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 -1.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.0 -0.1 0.1 0.1 -0.1 -0.1 0.5 -0.0 0.7 CAD -0.3 -0.3 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.5 -0.3 -0.1 -0.1 -0.5 -0.5 0.0 -0.4 CANOLA 0.2 -0.2 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -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 -0.4 0.1 -0.2 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.5 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 0.1 -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 -0.2 -0.6 -0.6 0.0 -0.7 -0.6 -0.3 -0.6 COCOA -0.3 -0.2 -0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.2 0.2 0.3 0.2 -1.8 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.4 0.1 0.7 0.7 COFFEE -0.3 -0.0 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 0.2 0.3 0.2 0.0 0.1 0.0 0.2 -0.0 -2.7 0.0 0.1 0.2 0.0 0.2 -0.0 1.1 0.1 0.1 -0.5 0.4 -0.3 -0.7 -0.2 -0.4 COPPER 0.2 0.0 0.2 -0.0 0.1 -0.1 0.1 -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 -1.8 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.3 -0.2 0.1 0.5 -0.7 -0.1 0.4 0.1 CORN 0.1 -0.2 -0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.1 -0.3 -0.2 -0.2 -0.2 -0.0 -0.5 -0.2 -2.5 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.6 0.1 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 0.2 0.6 0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.1 0.1 0.2 0.2 0.1 -0.0 -0.0 -0.1 0.2 0.1 0.1 0.1 0.2 -2.7 0.1 -0.0 0.1 0.0 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 0.2 0.1 0.2 0.3 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.0 0.1 0.3 0.1 -0.7 0.1 0.1 0.1 0.1 0.3 0.1 -0.1 0.5 0.4 -0.2 0.0 0.7 0.6 0.7 0.7 DAX 0.5 0.4 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 2.4 0.1 0.1 0.2 0.1 0.2 0.1 -0.6 0.5 0.3 -0.0 0.2 -0.1 0.4 0.1 0.7 DOW -0.2 0.1 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.3 0.0 -0.4 -0.4 -0.6 -0.1 0.5 -0.2 -0.2 0.0 -0.4 DX 0.1 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 -0.0 0.1 0.1 -2.7 0.0 -0.0 0.0 -0.0 0.1 0.0 0.8 -0.2 0.4 0.6 -0.6 0.6 0.1 0.7 0.3 EUR 0.1 -0.3 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.2 0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 -0.0 2.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.4 0.3 0.4 0.1 -0.2 -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 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 1.9 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.1 -0.2 -0.2 0.1 -0.7 -0.7 0.2 0.7 EUROSTX 0.5 0.6 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 0.1 0.2 0.1 0.2 0.2 0.2 0.5 0.2 0.2 0.1 0.0 0.2 0.1 0.2 0.1 0.9 0.1 0.4 0.6 0.3 -0.3 0.5 -0.2 0.7 FEEDCOW 0.0 0.6 0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.1 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 0.0 -1.1 -0.1 0.5 0.6 0.3 0.7 0.4 0.7 0.7 GASOIL -0.1 0.5 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 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 1.0 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.1 0.0 0.1 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.2 0.5 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.2 0.2 0.2 0.2 -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 0.2 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 -0.2 -0.3 -0.1 -0.2 0.0 -0.5 -0.1 2.4 -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 -0.0 -0.1 0.3 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.1 0.2 0.4 0.0 0.1 -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 0.4 0.4 0.6 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.1 -0.2 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.2 0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 0.0 0.2 0.1 0.1 -0.5 0.0 0.2 0.1 0.2 0.1 0.1 -0.8 0.5 0.2 0.5 0.5 -0.7 -0.7 -0.7 -0.5 HEATOIL -0.1 0.4 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.2 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.2 0.0 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 1.1 0.3 0.2 0.1 0.3 0.6 0.1 0.5 0.0 JGB-SGX-mini -0.1 -0.3 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.2 -0.0 0.0 0.3 0.3 0.3 0.3 0.0 0.0 0.0 0.1 0.0 -0.7 0.0 0.0 0.0 0.0 0.0 0.0 1.1 -0.0 0.3 0.2 0.1 -0.2 -0.7 0.1 0.3 JPY -0.3 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 -0.4 -0.5 -0.4 -0.6 -0.5 -0.4 -0.6 LEANHOG 0.4 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 0.1 0.2 -0.3 0.2 2.5 0.1 0.1 0.1 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.2 0.4 LIVECOW 0.3 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.0 0.0 0.1 0.0 0.2 0.2 0.3 -0.1 -0.0 -0.1 0.2 0.1 0.1 0.1 0.2 -0.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.3 0.1 0.6 0.6 0.0 0.7 0.1 0.7 0.4 LUMBER-new 0.2 0.1 0.5 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.2 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 -0.0 0.2 NaN 0.1 0.2 0.2 0.2 0.1 0.1 -1.2 0.6 0.7 -0.1 0.7 -0.4 -0.8 -0.3 -0.6 MILK 0.0 0.6 0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.5 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.1 -0.5 -0.0 1.4 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -1.1 -0.2 -0.2 0.1 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.1 0.0 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.3 0.1 0.6 0.1 1.1 0.3 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 0.2 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 -0.1 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 0.2 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 0.1 0.2 0.1 0.2 0.1 1.1 0.3 0.6 0.6 0.6 -0.6 -0.2 -0.2 -0.1 NZD 0.0 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.2 -0.2 0.2 -0.0 0.1 -0.3 -0.3 -0.1 0.1 OAT -0.4 -0.6 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.0 -0.1 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.6 -0.1 -0.0 -0.1 0.0 -0.7 -0.7 0.3 0.1 OATIES 0.1 0.1 -0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.0 -0.0 0.2 -0.1 0.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.3 0.0 -0.2 -0.3 0.1 0.0 0.4 OJ 0.1 0.3 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.0 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 0.2 0.4 0.1 0.3 0.3 0.5 0.7 PALLAD 0.4 -0.1 0.2 -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 1.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.4 -0.2 -0.2 -0.1 -0.1 -0.5 -0.3 -0.3 -0.2 PLAT 0.0 -0.3 0.0 -0.0 0.1 -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 -0.1 -0.0 -0.1 -0.0 1.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.3 -0.2 -0.2 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT -0.3 -0.1 -0.2 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.5 -0.1 -0.7 -0.2 -0.2 0.2 0.0 0.1 0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -1.4 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.2 -0.1 -0.6 -0.6 -0.6 -0.5 -0.7 -0.4 -0.7 RICE -0.3 0.2 0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.1 0.6 0.1 0.1 -0.1 -0.1 -0.2 -0.2 0.1 0.2 -0.0 0.4 0.0 -2.5 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.3 0.2 0.5 0.3 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 0.0 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 0.3 0.0 1.1 0.1 0.3 0.6 0.6 -0.7 -0.6 -0.3 0.0 RUSSELL 0.2 0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.6 0.2 -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 -0.1 -0.1 -0.2 -0.2 1.1 -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 0.3 -0.1 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 0.7 0.0 0.2 -0.0 0.1 -0.0 0.0 -0.1 0.1 0.3 0.3 0.1 -0.7 -0.6 0.5 -0.1 SMI 0.3 0.2 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.4 0.2 0.3 0.2 0.2 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.2 1.8 0.1 0.0 0.2 0.1 0.1 0.1 1.1 -0.5 -0.6 -0.5 -0.4 0.2 -0.2 0.5 -0.3 SOFR -0.4 -0.5 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.0 -0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -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 -0.2 -0.6 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.5 -0.1 -0.2 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 -0.1 -0.4 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 1.1 -0.2 -0.6 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL -0.3 -0.6 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.4 -0.1 -0.3 -0.2 -0.2 -0.1 0.2 0.0 0.1 -0.2 -0.2 -0.1 -0.3 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 1.0 -0.3 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -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 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 0.4 -0.1 0.1 -0.6 -0.3 -0.4 -0.2 -0.3 0.2 SP400 0.3 0.2 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.4 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -1.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 -0.2 -0.0 -0.6 -0.3 -0.5 -0.7 SP500_micro 0.1 0.5 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 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 0.2 0.1 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 -0.4 0.3 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.0 -0.1 0.2 0.4 0.3 0.4 -0.1 -0.1 -0.2 0.0 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 1.1 -0.5 -0.3 -0.2 -0.6 0.5 0.0 0.7 0.4 US10 -0.4 -0.4 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.7 -0.0 -0.1 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U -0.4 -0.4 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -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 0.5 -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 -0.0 -0.2 -0.1 1.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.2 -0.0 -0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.3 -0.3 0.5 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 -0.2 -0.3 0.5 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -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 -0.5 -0.5 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -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 0.1 -0.7 -0.1 -0.1 -0.4 -0.1 -0.7 -0.1 -0.3 -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 -0.8 -0.2 -0.6 -0.6 -0.6 -0.6 -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 -0.6 -13.1 4.7 -1.6 -0.8 1.8 -1.3 3.6 -2.8 -9.9 -4.9 0.7 -10.3 -12.7 -8.1 -3.1 -2.9 -2.9 -2.8 -7.3 -3.9 -5.6 -5.9 -7.7 2.7 -3.8 -3.1 -1.7 -3.5 -2.1 -4.4 -1.2 -8.5 1.2 -10.1 -7.1 -20.0 -10.3 -8.4 0.8 BITCOIN 20.0 7.9 12.6 -3.6 16.4 -4.6 8.0 -2.8 1.3 20.0 20.0 20.0 20.0 20.0 20.0 -9.3 -6.9 -8.5 -8.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 16.2 6.9 14.8 5.3 11.8 -2.4 20.0 20.0 20.0 20.0 -6.7 2.0 13.4 5.9 BOBL -20.0 -20.0 11.3 -0.8 1.1 0.2 -0.0 -0.7 -1.4 -3.2 -0.1 -7.3 -1.6 -8.7 -4.9 -20.0 -17.5 -20.0 -20.0 -7.1 -1.5 -6.5 -2.2 -10.1 6.5 -1.9 -0.4 -0.3 -1.9 -0.3 -2.9 -20.0 -8.6 -8.4 -8.3 -4.7 -20.0 -20.0 2.7 -20.0 BTP -5.8 -9.0 20.0 -1.4 1.8 0.3 -0.1 -1.2 -2.4 8.9 9.2 4.5 9.1 -5.9 6.1 4.2 6.4 4.7 5.3 5.1 11.2 2.3 8.6 0.3 -16.3 2.5 3.4 5.5 1.5 4.6 0.3 11.4 -1.0 10.8 9.4 8.9 -14.7 -19.2 17.3 2.5 BUND -13.9 -19.4 15.4 -0.9 1.2 0.2 -0.0 -0.8 -1.5 -0.2 1.3 -6.8 -1.1 -9.2 -2.5 1.8 4.2 3.2 3.0 -4.3 0.6 -4.0 -1.6 -7.1 4.2 -1.5 0.3 0.3 -1.5 -0.1 -2.6 7.2 -6.0 -3.2 -4.7 -1.8 -19.1 -20.0 7.8 -10.7 BUXL -7.2 -15.2 18.1 -1.2 1.5 0.2 -0.1 -1.0 -2.0 2.2 2.5 -2.8 -4.7 -10.3 -1.1 -2.7 0.1 -1.1 -0.3 -2.6 1.2 -1.6 -3.9 -4.9 0.3 -0.9 1.1 0.8 -0.6 -0.6 -2.0 1.3 -4.0 2.9 -2.0 1.5 -20.0 -20.0 5.5 2.7 CAC 18.0 17.1 16.8 8.1 6.9 6.5 7.9 4.2 8.4 17.9 20.0 20.0 20.0 20.0 20.0 -7.9 -5.7 -8.3 -7.6 20.0 20.0 20.0 20.0 20.0 -10.3 8.6 3.9 6.6 7.4 4.8 9.3 -0.3 -4.2 3.2 1.8 -4.6 -3.5 13.9 -0.1 19.8 CAD -7.7 -8.2 8.6 -1.9 -0.9 2.1 -1.4 4.1 -3.2 -19.8 -2.5 -20.0 -4.1 -20.0 -2.7 -2.2 -2.2 -2.1 -2.1 -5.7 -1.4 -12.9 -3.8 -11.2 0.2 -3.5 -7.4 -0.9 -8.1 -1.9 -7.0 0.0 -20.0 -8.3 -4.4 -4.4 -15.5 -14.3 0.8 -12.8 CANOLA 6.1 -7.3 -20.0 0.7 0.6 0.2 -0.8 -1.4 -0.3 8.5 -10.3 0.7 -9.2 -6.9 -9.8 -14.9 -3.9 -12.4 -9.8 -16.7 -20.0 -0.1 -18.0 -8.6 -20.0 -3.9 1.1 -4.4 -0.4 -4.0 -2.3 -7.4 4.3 -6.5 -20.0 -20.0 -20.0 -20.0 -17.5 -7.6 CHF -16.0 -20.0 2.5 -1.5 -0.7 1.6 -1.1 3.2 -2.5 -14.4 -1.4 -15.6 3.9 -16.9 -9.8 -14.9 -15.5 -15.3 -15.5 -13.8 -3.8 -13.3 2.5 -17.7 -4.7 -3.3 -4.0 0.1 -4.5 1.5 -5.4 -20.0 -9.7 -20.0 -20.0 1.4 -20.0 -17.0 -9.2 -18.8 COCOA -9.8 -6.8 -13.3 0.7 0.6 0.2 -0.7 -1.4 -0.3 7.4 10.4 7.8 10.5 9.1 9.9 20.0 8.1 20.0 14.8 20.0 15.7 18.5 11.3 20.0 -13.7 3.7 1.7 3.3 2.1 2.9 3.2 20.0 20.0 20.0 20.0 20.0 12.6 2.5 20.0 20.0 COFFEE -8.7 -0.5 14.0 1.4 1.1 0.3 -1.4 -2.7 -0.6 6.9 10.0 -4.8 5.9 -0.4 4.7 20.0 8.1 16.9 11.8 4.3 10.1 0.0 6.6 -1.9 -20.0 1.5 5.6 5.6 0.5 5.3 -1.5 20.0 3.4 1.8 -16.3 13.2 -10.0 -20.0 -4.5 -12.0 COPPER 7.4 1.0 5.7 -3.0 13.9 -3.9 6.8 -2.4 1.1 -7.1 -0.4 11.0 -6.7 8.4 5.7 -4.9 -4.9 -5.6 -5.7 4.1 1.7 6.8 -2.4 6.8 -13.3 -0.1 1.5 -0.2 2.0 -1.2 1.1 1.2 -13.0 -5.9 4.5 14.2 -20.0 -2.9 11.9 3.2 CORN 1.6 -5.4 -7.9 1.6 1.3 0.4 -1.6 -3.1 -0.7 14.1 -20.0 -4.8 -20.0 -14.4 -19.6 -19.1 -6.2 -15.5 -11.8 -20.0 -20.0 -3.3 -20.0 -17.0 -19.0 -7.8 1.3 -6.9 -2.3 -5.5 -6.3 -11.0 2.1 -20.0 -20.0 -20.0 -4.9 -20.0 -2.9 -0.4 COTTON2 7.1 20.0 13.8 1.3 1.1 0.3 -1.3 -2.6 -0.6 -3.5 8.3 7.5 3.8 14.0 14.6 4.0 -1.1 -1.9 -3.1 20.0 11.7 11.9 3.0 20.0 -20.0 6.1 -0.6 3.6 4.1 1.6 6.7 0.2 20.0 20.0 20.0 20.0 -18.3 -13.8 -8.6 1.2 CRUDE_W 5.8 6.4 -5.3 3.8 0.9 2.3 0.3 2.7 2.6 20.0 2.0 19.6 7.8 14.9 5.6 10.9 9.6 9.3 9.2 5.0 4.2 6.7 9.6 7.5 -5.0 5.1 6.1 3.9 6.3 7.5 7.2 -1.1 19.2 13.1 -7.7 0.1 20.0 19.2 20.0 20.0 DAX 14.4 11.7 20.0 7.8 6.6 6.3 7.6 4.1 8.1 20.0 20.0 20.0 20.0 20.0 20.0 -16.1 -11.5 -15.5 -13.7 20.0 20.0 20.0 20.0 20.0 17.7 8.5 9.0 6.9 11.4 4.9 10.2 -10.4 20.0 8.2 -1.0 6.6 -3.5 12.7 3.9 20.0 DOW -7.7 2.3 20.0 6.4 5.4 5.1 6.2 3.3 6.5 13.1 20.0 15.2 18.9 17.9 20.0 -13.4 -10.7 -12.9 -12.0 20.0 20.0 10.3 20.0 16.7 -14.6 7.4 1.7 8.5 2.6 7.0 4.5 -8.3 -18.2 -20.0 -1.8 15.1 -5.9 -4.6 1.2 -13.1 DX 2.2 13.5 -3.6 -1.8 -0.8 1.9 -1.3 3.8 -3.0 -11.6 6.2 -12.6 -0.2 9.4 6.9 6.7 6.1 6.3 6.3 7.8 4.4 -1.5 4.5 5.7 -20.0 2.7 -2.2 1.2 -0.6 2.1 2.4 14.4 -9.7 13.6 20.0 -20.0 17.8 2.3 20.0 8.3 EUR 2.6 -10.2 1.3 -1.9 -0.9 2.1 -1.4 4.1 -3.2 16.3 -5.9 16.0 0.6 -6.3 -9.0 -6.6 -6.6 -6.3 -6.3 -5.1 -3.7 5.8 -3.1 -0.9 19.2 -1.1 4.1 -0.3 3.1 -0.4 0.3 -7.4 14.6 11.7 3.5 -4.8 -20.0 -14.5 -20.0 -11.0 EURIBOR-ICE -20.0 -20.0 20.0 -0.8 1.0 0.1 -0.0 -0.7 -1.3 -1.1 3.6 -5.8 2.8 -7.6 -0.1 -0.8 -3.7 -0.1 -1.6 -2.5 5.0 -4.3 4.1 -7.2 14.5 -0.6 0.4 1.7 -1.3 1.5 -2.2 -3.6 -5.8 -5.6 -4.9 2.9 -20.0 -20.0 6.6 20.0 EUROSTX 16.0 20.0 20.0 7.9 6.7 6.3 7.7 4.1 8.1 20.0 20.0 20.0 20.0 20.0 20.0 10.2 2.5 8.7 5.2 20.0 20.0 20.0 20.0 20.0 1.2 8.8 5.4 7.1 7.6 5.1 9.0 17.2 6.2 12.7 18.1 8.2 -8.3 15.3 -6.2 20.0 FEEDCOW 1.4 20.0 4.4 1.7 1.4 0.4 -1.8 -3.3 -0.8 -5.3 0.7 8.2 0.7 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 12.4 6.4 5.2 20.0 -7.4 5.6 -1.8 3.1 -0.1 3.5 3.9 -20.0 -2.2 15.7 20.0 9.3 20.0 12.6 20.0 20.0 GASOIL -1.8 15.2 -4.5 3.0 0.7 1.9 0.2 2.2 2.1 -1.9 7.8 -4.1 9.8 9.5 10.7 20.0 20.0 20.0 20.0 9.8 9.4 -0.9 11.6 5.5 7.5 4.1 -0.7 4.3 -0.5 5.0 2.1 20.0 -2.6 0.0 3.3 7.2 -10.8 -6.0 -20.0 -12.7 GASOLINE 5.6 15.4 -0.4 3.4 0.8 2.1 0.3 2.5 2.4 13.2 2.9 13.4 8.9 16.4 16.1 7.8 7.7 -7.8 -3.7 13.5 8.7 10.6 8.8 13.8 -20.0 6.5 4.0 4.1 5.7 5.0 7.3 -11.4 20.0 20.0 7.6 15.1 20.0 14.7 20.0 13.2 GAS_US_mini 3.7 -5.8 -10.9 1.5 0.4 1.0 0.1 1.1 1.1 7.5 -9.7 2.1 -10.8 -6.7 -9.1 -20.0 -19.1 -8.8 -13.4 -11.3 -15.3 1.9 -19.3 -4.9 18.0 -3.5 1.8 -3.8 -0.1 -3.3 -2.1 -20.0 12.4 -15.0 -20.0 -19.1 -13.6 -0.1 -20.0 -5.0 GBP -1.1 -4.2 7.8 -2.0 -0.9 2.2 -1.5 4.3 -3.4 16.9 3.5 14.3 10.0 0.7 13.5 -0.6 -0.6 -0.4 -0.4 3.1 6.7 5.0 6.7 1.8 2.7 2.4 4.6 4.2 2.8 3.0 1.3 2.9 15.3 11.4 17.3 8.4 -20.0 -4.9 -20.0 3.5 GOLD_micro 2.8 -5.0 3.6 -3.1 14.2 -3.9 6.9 -2.4 1.1 20.0 11.4 15.8 7.6 6.7 2.8 -16.1 -14.5 -15.5 -15.1 4.5 4.4 20.0 4.9 12.9 -4.1 2.3 20.0 2.3 16.3 2.7 6.2 -15.2 20.0 7.2 14.5 15.8 -20.0 -20.0 -20.0 -14.3 HEATOIL -4.1 11.5 -4.8 3.3 0.8 2.0 0.3 2.4 2.3 0.4 2.6 -9.9 6.9 5.2 7.6 20.0 20.0 20.0 20.0 5.3 5.2 -3.3 8.8 1.6 -20.0 5.2 -0.4 5.0 0.7 6.8 3.6 20.0 10.8 5.9 4.1 9.4 16.8 4.3 14.2 0.1 JGB-SGX-mini -3.4 -8.4 13.0 -0.8 1.0 0.2 -0.0 -0.7 -1.3 2.2 4.7 3.6 5.7 -3.7 4.0 14.0 16.5 12.6 13.2 1.8 3.8 1.2 3.7 0.3 -5.1 0.5 0.3 1.1 0.6 0.5 0.1 20.0 -0.7 8.1 6.5 2.9 -5.4 -20.0 3.4 10.5 JPY -9.9 -18.5 4.3 -1.2 -0.5 1.3 -0.9 2.6 -2.0 -8.5 -14.2 -13.4 -14.7 -15.3 -14.6 -16.6 -16.2 -16.2 -16.3 -15.8 -15.9 -6.7 -20.0 -13.5 20.0 -4.5 -1.1 -4.4 -2.3 -6.1 -4.2 -20.0 -5.7 -11.9 -15.7 -13.0 -18.4 -15.1 -13.3 -18.1 LEANHOG 13.2 20.0 7.7 1.9 1.5 0.4 -1.9 -3.6 -0.8 20.0 5.1 20.0 -13.1 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 7.9 20.0 -12.5 20.0 18.7 8.8 9.7 5.3 9.1 -1.2 9.0 -20.0 20.0 20.0 20.0 20.0 -8.6 -8.5 6.8 12.8 LIVECOW 9.2 20.0 -1.0 1.7 1.4 0.4 -1.7 -3.3 -0.7 2.3 1.5 13.7 1.1 20.0 18.1 16.7 -5.5 -1.5 -5.7 20.0 8.3 10.2 3.0 20.0 -4.6 5.9 0.4 2.6 2.4 2.9 6.1 -5.3 4.2 20.0 20.0 1.4 20.0 3.5 20.0 12.1 LUMBER-new 5.8 2.8 13.0 1.9 1.5 0.5 -1.9 -2.8 -0.8 20.0 6.4 20.0 -13.5 19.0 14.1 -17.7 -15.3 -16.7 -15.8 12.4 8.9 20.0 -0.5 16.5 NaN 8.4 18.5 5.8 14.6 2.3 11.1 -20.0 20.0 20.0 -3.1 20.0 -10.4 -20.0 -7.5 -14.6 MILK 1.5 20.0 2.1 1.0 0.8 0.2 -1.0 -2.0 -0.5 -12.5 -11.0 -9.5 -13.5 0.8 -7.1 -20.0 -20.0 -20.0 -20.0 -4.1 -11.9 -12.2 -19.8 -3.5 10.8 -1.1 -9.4 -4.3 -5.5 -7.7 -1.5 -20.0 -10.1 -6.7 2.9 -18.7 -20.0 -20.0 -20.0 -20.0 MXP 2.2 1.0 11.7 -1.9 -0.9 2.1 -1.5 4.1 -3.2 20.0 20.0 20.0 20.0 14.7 20.0 17.3 16.7 16.6 16.1 13.9 20.0 13.1 20.0 11.1 -20.0 7.9 13.2 10.8 9.3 16.6 7.1 20.0 12.3 20.0 20.0 9.2 20.0 20.0 20.0 20.0 NASDAQ_micro -4.4 7.6 17.8 4.8 4.0 3.8 4.7 2.5 4.9 13.1 15.0 13.1 14.7 14.2 15.0 -11.7 -10.0 -11.6 -11.0 20.0 20.0 16.4 20.0 16.9 -20.0 5.7 4.4 6.2 4.0 5.9 4.5 -6.9 7.3 -3.8 14.6 12.7 14.2 -2.9 20.0 -5.7 NIKKEI 19.4 20.0 17.8 6.9 5.9 5.5 6.8 3.6 7.1 18.3 20.0 20.0 20.0 20.0 20.0 9.7 12.6 13.5 13.2 20.0 20.0 20.0 20.0 20.0 -17.2 7.9 5.9 6.7 6.5 5.4 7.6 20.0 14.5 20.0 20.0 20.0 -19.3 -4.6 -6.6 -3.5 NZD 1.4 -9.2 9.4 -1.3 -0.6 1.4 -1.0 2.8 -2.2 -11.0 2.8 -2.9 -0.0 -5.9 2.1 0.4 0.3 0.3 0.3 -0.0 2.1 -5.8 -0.0 -2.4 0.0 -0.0 -6.1 1.6 -4.2 0.9 -1.8 4.1 -7.5 6.7 -0.7 1.8 -9.3 -9.4 -2.6 3.3 OAT -11.5 -17.2 17.7 -1.0 1.3 0.2 -0.0 -0.9 -1.7 0.8 2.8 -6.1 0.0 -9.7 -0.7 4.0 6.3 4.6 5.1 -2.5 2.8 -3.0 0.3 -5.8 5.3 -1.0 0.8 1.2 -1.2 0.6 -2.3 11.1 -5.7 -0.8 -2.7 1.0 -20.0 -20.0 9.4 3.6 OATIES 3.7 3.1 -12.4 1.0 0.8 0.2 -1.0 -2.0 -0.4 8.6 -12.0 7.6 -9.9 2.5 -3.7 7.9 -2.9 4.6 -0.6 -3.8 -9.8 3.6 -9.5 1.0 -20.0 -0.6 2.5 -3.2 1.8 -3.6 0.9 -0.2 3.7 8.1 0.1 -7.5 -8.2 1.6 0.6 12.9 OJ 3.7 8.2 -20.0 0.9 0.7 0.2 -0.9 -1.8 -0.4 -2.4 6.1 2.1 9.2 8.5 2.4 6.8 15.7 8.1 11.9 7.6 8.9 0.8 15.5 6.9 -20.0 2.3 -0.6 4.0 -0.3 7.9 1.5 20.0 -5.5 5.9 10.9 2.9 8.6 9.7 14.2 20.0 PALLAD 11.9 -1.7 7.7 -1.1 5.2 -1.5 2.5 -0.9 0.4 1.7 -6.3 4.5 -8.0 -0.4 -5.2 -1.8 -2.1 -1.8 -2.0 -4.5 -7.8 1.0 -11.6 -1.0 9.1 -2.0 1.1 -3.4 -0.0 -4.6 -1.0 6.8 -7.3 -5.8 -1.7 -3.0 -14.2 -9.3 -9.8 -4.5 PLAT 1.1 -8.4 0.2 -1.7 7.8 -2.2 3.8 -1.3 0.6 1.7 -6.2 -2.1 -7.8 -8.4 -7.3 -4.1 -3.3 -4.0 -3.7 -5.2 -4.8 -1.1 -4.5 -4.0 10.2 -2.2 2.4 -1.6 -0.2 -1.1 -1.7 4.4 -11.4 -6.7 -5.3 2.4 -13.1 -4.2 20.0 6.0 REDWHEAT -9.4 -2.6 -6.3 1.4 1.2 0.3 -1.5 -2.8 -0.6 -1.7 -20.0 -12.8 -19.9 -14.8 -16.9 8.4 0.1 3.2 0.6 -20.0 -20.0 -10.3 -20.0 -17.1 -10.7 -6.9 -2.4 -6.5 -5.2 -6.1 -7.2 4.6 -6.0 -20.0 -20.0 -20.0 -16.2 -20.0 -12.2 -20.0 RICE -10.8 5.1 9.2 1.4 1.1 0.3 -1.4 -2.7 -0.6 -6.4 16.1 -9.5 15.8 5.3 12.9 -6.0 -2.7 -10.2 -8.7 13.0 16.8 -3.2 14.5 3.9 -19.0 5.0 -0.8 5.5 -0.6 4.5 2.4 -4.8 6.3 14.5 8.1 17.1 5.4 -4.8 12.4 4.2 ROBUSTA -18.2 15.2 20.0 1.2 0.9 0.3 -1.2 -2.2 -0.5 11.1 15.2 1.5 15.8 10.7 14.3 20.0 20.0 20.0 20.0 20.0 20.0 6.8 20.0 9.4 -20.0 5.2 4.0 7.5 1.4 7.4 1.9 20.0 4.5 9.2 20.0 20.0 -20.0 -17.2 -9.9 1.0 RUSSELL 6.4 1.7 19.7 3.8 3.2 3.1 3.7 2.0 3.9 10.4 8.1 10.3 5.3 8.6 9.2 -6.5 -6.2 -6.4 -6.4 8.6 7.7 10.3 4.1 8.7 -1.9 4.0 4.4 3.4 4.2 2.1 4.1 0.3 -6.7 -3.3 -9.2 -2.3 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 -20.0 6.7 -0.7 0.9 0.1 -0.0 -0.6 -1.2 -6.6 -4.2 -7.8 -5.7 -8.3 -6.9 -20.0 -20.0 -20.0 -20.0 -11.0 -5.5 -10.0 -6.0 -13.9 8.0 -2.1 -1.1 -0.8 -2.2 -0.9 -2.9 -20.0 -12.3 -13.8 -12.0 -7.4 -20.0 -20.0 -8.2 -20.0 SILVER-mini 7.7 -4.1 -5.0 -2.5 11.4 -3.2 5.5 -1.9 0.9 13.3 -5.7 6.9 -4.0 0.5 -11.1 -6.6 -6.6 -6.8 -6.8 -3.7 -5.1 11.2 -3.7 2.1 5.2 0.3 17.3 -1.5 9.7 -0.9 4.5 -1.2 4.4 9.2 9.1 3.6 -20.0 -17.8 16.2 -3.5 SMI 8.6 6.0 17.4 7.1 6.0 5.7 6.9 3.7 7.3 9.8 16.1 18.8 7.9 17.1 20.0 11.1 6.4 10.7 8.6 16.1 12.4 14.0 5.7 16.2 13.4 7.1 3.4 6.1 5.8 3.0 6.7 20.0 -20.0 -20.0 -15.9 -13.2 7.3 -5.6 15.9 -9.2 SOFR -13.5 -16.2 11.9 -0.9 1.1 0.2 -0.0 -0.8 -1.5 5.7 3.2 -2.8 -0.1 -6.6 -0.3 0.6 0.3 1.1 0.8 -3.4 -0.2 0.4 -1.3 -4.5 -2.2 -0.5 2.0 0.9 0.0 0.2 -1.7 2.2 0.4 -3.2 2.9 1.9 -20.0 -20.0 -3.0 -2.0 SOYBEAN -7.3 -18.5 -20.0 1.5 1.2 0.3 -1.6 -3.0 -0.7 -0.3 -17.8 -12.9 -4.7 -18.5 -20.0 6.7 14.4 8.9 11.0 -20.0 -20.0 -9.8 -16.7 -20.0 -20.0 -7.5 2.0 -5.4 -2.9 -2.5 -6.7 20.0 -9.8 -20.0 -20.0 -20.0 -7.7 -20.0 -7.0 -20.0 SOYMEAL -10.2 -20.0 -20.0 1.2 0.9 0.3 -1.2 -2.2 -0.5 -4.3 -15.3 -12.3 -9.3 -15.0 -16.7 -4.9 11.0 0.7 5.8 -20.0 -20.0 -10.0 -12.4 -20.0 -20.0 -5.8 0.8 -4.4 -2.1 -1.5 -4.7 19.6 -11.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -5.4 -5.5 -19.9 1.2 1.0 0.3 -1.2 -2.3 -0.5 -1.9 -15.3 -11.8 -12.1 -12.5 -14.5 -6.2 3.6 -4.5 -0.8 -17.9 -20.0 -8.1 -18.8 -13.1 -20.0 -5.3 -0.8 -5.7 -3.1 -5.0 -4.7 7.1 -4.4 4.6 -17.7 -8.3 -13.3 -6.7 -9.2 5.3 SP400 9.3 7.4 20.0 4.9 4.2 4.0 4.8 2.6 5.1 13.9 13.7 15.1 10.6 14.5 15.2 -7.1 -5.5 -6.3 -5.8 17.0 14.8 20.0 9.4 17.8 -11.1 5.5 7.5 4.7 6.5 3.2 5.9 1.5 4.3 1.3 -5.4 -0.1 -18.6 -8.6 -16.3 -20.0 SP500_micro 2.3 14.1 20.0 6.1 5.2 4.9 6.0 3.2 6.3 17.1 19.7 18.2 18.3 19.0 20.0 -13.2 -11.2 -12.9 -12.2 20.0 20.0 20.0 20.0 20.0 -20.0 7.4 4.8 7.1 5.1 5.8 6.2 -8.9 8.6 2.9 19.9 18.4 4.6 -3.1 17.7 -6.3 SUGAR11 -11.2 8.8 -20.0 1.1 0.9 0.2 -1.1 -2.2 -0.5 -13.2 -5.0 -12.6 6.0 -3.6 -5.8 11.7 18.8 17.0 18.5 -7.1 -6.2 -20.0 1.7 -10.8 -20.0 -3.8 -12.3 -3.5 -7.5 0.7 -4.3 20.0 -20.0 -10.6 -5.0 -20.0 15.0 0.0 20.0 10.8 US10 -13.8 -12.7 13.6 -0.8 1.0 0.2 -0.0 -0.7 -1.3 4.5 1.4 -3.2 -2.6 -6.6 -0.3 -8.5 -8.1 -8.9 -8.6 -3.2 -1.4 -0.1 -4.4 -4.3 1.9 -0.5 1.7 0.4 -0.1 -0.9 -1.5 -13.1 -0.5 -2.8 3.5 1.7 -20.0 -20.0 -15.8 8.9 US10U -12.7 -11.8 13.5 -1.1 1.4 0.2 -0.1 -1.0 -1.9 6.4 1.2 -4.5 -3.6 -9.3 -0.7 -2.3 0.2 -0.3 0.2 -4.3 -2.2 -0.1 -6.8 -5.5 -0.8 -0.4 2.1 0.6 0.1 -1.4 -1.6 1.6 0.2 -2.5 5.7 2.7 -20.0 -20.0 10.1 20.0 US2 -19.5 -16.6 14.6 -0.7 0.9 0.1 -0.0 -0.6 -1.2 1.0 -1.2 -4.7 -5.2 -6.8 -3.5 -20.0 -20.0 -20.0 -20.0 -5.4 -2.8 -2.6 -5.8 -6.9 9.2 -1.1 0.5 0.1 -1.0 -0.9 -2.2 -20.0 -4.6 -7.1 -0.6 -0.6 -20.0 -20.0 -15.6 -20.0 US20 -10.5 -10.7 16.4 -0.8 1.1 0.2 -0.0 -0.7 -1.4 5.6 1.8 -1.3 -1.8 -5.8 0.7 0.0 -0.9 -0.1 -0.5 -1.7 -0.5 1.2 -4.6 -2.6 -1.3 0.6 2.0 1.0 0.8 -1.0 -0.4 -0.4 2.5 1.1 5.7 4.7 -20.0 -20.0 20.0 20.0 US30 -5.9 -8.7 14.6 -1.0 1.3 0.2 -0.0 -0.9 -1.7 7.5 1.0 1.9 -3.4 -5.7 0.4 -8.0 -5.8 -8.0 -7.0 -1.6 -1.3 3.0 -6.5 -1.4 -0.7 1.1 3.3 1.1 2.1 -1.8 0.6 -9.7 5.4 5.0 7.7 3.8 -15.2 -18.8 20.0 20.0 US5 -16.3 -15.3 13.0 -0.8 1.0 0.2 -0.0 -0.7 -1.3 2.9 1.2 -4.2 -3.2 -6.9 -1.5 -8.5 -10.1 -9.5 -10.0 -4.2 -1.7 -1.2 -4.1 -5.5 4.0 -0.9 1.2 0.4 -0.5 -0.6 -1.9 -16.3 -2.2 -4.9 1.7 0.7 -20.0 -20.0 -20.0 -6.8 VIX 4.3 1.6 -12.7 -7.9 -5.0 -9.7 -7.1 -12.7 -7.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.8 -20.0 -12.4 -20.0 -13.1 NaN -9.3 -4.7 -11.8 -7.2 -15.6 -8.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -11.4 -8.1 0.6 1.4 1.2 0.3 -1.5 -2.8 -0.6 -9.7 -19.7 -13.6 -20.0 -15.6 -15.6 -11.8 -10.9 -11.6 -11.4 -20.0 -20.0 -14.3 -20.0 -19.2 -0.4 -6.5 -4.4 -4.9 -6.2 -4.5 -7.7 -14.8 -7.5 -20.0 -20.0 -20.0 -18.4 -20.0 -13.6 -20.0 End of report for caleb_strategy_v3