******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240307_204011 produced at 2024-03-07 21:37:24.293786 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.41 0.0 0.00 0.00 0.00 0.00 -5.55 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.32 0.0 0.09 -0.09 -0.09 -0.09 -63.09 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -9.06 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -3.40 13.0 0 0 caleb_strategy_v3 CHF False True 0.04 -0.40 -0.16 0.0 0.00 -0.40 -0.40 -0.40 -3.72 13.0 -9 -9 caleb_strategy_v3 BOBL False False 0.04 -0.52 -0.09 0.0 0.76 -0.76 -0.52 -0.52 -2.21 19.0 -13 -13 caleb_strategy_v3 JPY False False 0.03 -0.16 -0.09 0.0 0.45 -0.45 -0.16 -0.16 -3.35 17.0 -6 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.14 -0.14 -0.02 -0.02 -25.92 51.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.30 -0.07 0.0 0.83 -0.83 -0.30 -0.30 -1.99 25.0 -9 -9 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.09 -0.09 -0.07 -0.07 -10.12 12.0 -10 -10 caleb_strategy_v3 CAD False False 0.02 0.00 -0.06 0.0 0.67 -0.67 0.00 0.00 -2.75 29.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -4.59 5.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -1.52 6.0 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 -25.14 26.0 -18 -18 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -0.87 17.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.12 -0.12 -0.04 -0.04 -1.78 7.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.39 -0.39 0.00 0.00 -1.47 19.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.28 9.0 -4 -4 caleb_strategy_v3 DX False False 0.03 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.49 999999999.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.09 -0.02 0.0 0.40 -0.40 0.09 0.05 -2.53 66.0 15 8 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.09 -0.09 -0.05 -0.05 -2.24 10.0 -6 -6 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.34 9.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.29 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 -2.77 8.0 -3 -3 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.45 -0.45 -0.04 -0.04 -0.19 10.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.13 -0.13 -0.01 -0.01 -1.48 18.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -2.14 68.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -1.18 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.04 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.05 2.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.17 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.10 -0.00 0.0 0.40 -0.40 0.10 0.06 -0.01 21.0 5 3 caleb_strategy_v3 US10U False False 0.04 0.00 -0.00 0.0 0.46 -0.46 0.00 0.00 -0.03 13.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 0.05 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.05 4.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.04 0.01 0.0 0.34 -0.34 0.04 0.04 0.16 9.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 0.00 -0.00 0.00 0.00 0.68 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 0.85 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.23 0.01 0.0 0.26 -0.26 0.23 0.18 0.92 23.0 20 16 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 1.82 3.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.36 11.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.08 0.02 0.0 0.37 -0.37 -0.08 -0.04 3.02 56.0 -12 -6 caleb_strategy_v3 COCOA False False 0.02 0.08 0.02 0.0 0.52 -0.52 0.08 0.08 1.10 26.0 4 4 caleb_strategy_v3 SP400 False False 0.09 0.00 0.02 0.0 0.19 -0.19 0.00 0.09 0.25 2.0 0 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.24 -0.24 0.02 0.02 1.47 23.0 2 2 caleb_strategy_v3 EUR False False 0.04 0.04 0.03 0.0 0.59 -0.59 0.04 0.08 0.75 14.0 1 2 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 0.93 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 0.89 4.0 4 4 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.43 -0.43 0.00 0.00 0.83 10.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.04 0.0 0.39 -0.39 0.03 0.03 4.37 48.0 4 4 caleb_strategy_v3 FEEDCOW False False 0.04 0.25 0.05 0.0 0.33 -0.33 0.25 0.25 1.27 8.0 6 6 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.05 0.0 0.10 -0.10 0.05 0.05 1.92 4.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.20 0.06 0.0 0.40 -0.40 0.20 0.20 1.54 10.0 5 5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.08 0.0 0.00 0.00 0.00 0.00 36.64 59.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.08 0.0 0.54 -0.54 0.12 0.12 3.29 22.0 5 5 caleb_strategy_v3 CAC False False 0.03 0.16 0.11 0.0 0.32 -0.32 0.16 0.22 4.00 12.0 6 8 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.11 0.0 0.16 -0.16 0.05 0.05 8.79 13.0 4 4 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.11 0.0 0.39 -0.39 0.00 0.00 4.84 17.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.36 0.15 0.0 0.36 -0.36 0.36 0.36 3.78 9.0 9 9 caleb_strategy_v3 EUROSTX False True 0.02 0.20 0.16 0.0 0.20 0.00 0.20 0.20 9.69 20.0 12 12 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.18 0.0 0.11 -0.11 0.07 0.07 7.96 5.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.06 0.19 0.0 0.35 -0.35 0.06 0.06 31.08 58.0 10 10 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.25 0.0 0.30 -0.30 0.29 0.29 30.63 36.0 35 35 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.16 0.27 0.0 0.82 -0.82 0.16 0.41 3.23 10.0 2 5 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.27 0.36 0.0 0.49 -0.49 0.27 0.27 11.99 16.0 9 9 caleb_strategy_v3 MXP False False 0.01 0.54 0.90 0.0 0.54 -0.54 0.54 0.54 99.58 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.6 Shocked risk 90.1 Sum abs risk 62.9 Leverage 5.71 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3238199.01, 'annual_cash_vol_target': 809549.7525, 'daily_cash_vol_target': 50596.85953125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6637 0.5836 9.3382 BITCOIN 1685.3547 68295.0000 2.4678 39.4841 BOBL 0.2563 118.2900 0.2166 3.4662 BTP 0.5660 119.3300 0.4743 7.5892 BUND 0.5198 133.4500 0.3895 6.2326 BUXL 1.2406 136.0400 0.9119 14.5911 CAC 48.4937 8037.0000 0.6034 9.6541 CAD 0.0028 0.7440 0.3793 6.0686 CANOLA 6.4523 611.7000 1.0548 16.8769 CHF 0.0049 1.1404 0.4281 6.8499 COCOA 135.3936 6475.0000 2.0910 33.4563 COFFEE 3.1693 187.7000 1.6885 27.0159 COPPER 0.0362 3.9440 0.9190 14.7039 CORN 4.8631 468.5000 1.0380 16.6083 COTTON2 1.6227 99.2500 1.6350 26.1599 CRUDE_W 0.8557 73.9300 1.1575 18.5198 DAX 102.2535 18173.0000 0.5627 9.0027 DOW 210.3867 38785.0000 0.5424 8.6791 DX 0.3492 102.4300 0.3409 5.4550 EUR 0.0041 1.0989 0.3742 5.9866 EURIBOR-ICE 0.0472 97.7150 0.0483 0.7723 EUROSTX 32.7861 4986.0000 0.6576 10.5210 FEEDCOW 1.6572 269.3750 0.6152 9.8435 GASOIL 11.9633 789.2500 1.5158 24.2525 GASOLINE 0.0380 2.5167 1.5118 24.1891 GAS_US_mini 0.0886 1.9450 4.5552 72.8825 GBP 0.0053 1.2811 0.4122 6.5948 GOLD_micro 14.0046 2165.7000 0.6467 10.3465 HEATOIL 0.0375 2.5874 1.4486 23.1776 JGB-SGX-mini 0.2374 145.4200 0.1632 2.6116 JPY 0.0000 0.0069 0.5511 8.8176 LEANHOG 0.9856 101.1250 0.9746 15.5943 LIVECOW 1.1761 184.6000 0.6371 10.1941 LUMBER-new 5.9750 611.5000 0.9771 15.6337 MILK 0.2161 16.4500 1.3135 21.0159 MXP 0.0003 0.0584 0.5111 8.1779 NASDAQ_micro 149.0458 18557.0000 0.8032 12.8509 NIKKEI 362.2501 39455.0000 0.9181 14.6902 NZD 0.0039 0.6173 0.6289 10.0617 OAT 0.5146 128.8500 0.3994 6.3899 OATIES 5.8562 355.5000 1.6473 26.3571 OJ 6.8456 370.5000 1.8477 29.5628 PALLAD 30.8472 1043.0000 2.9575 47.3208 PLAT 15.1464 924.3000 1.6387 26.2190 REDWHEAT 9.6990 559.5000 1.7335 27.7361 RICE 0.1789 18.1000 0.9883 15.8129 ROBUSTA 44.3381 3359.0000 1.3200 21.1197 RUSSELL 22.8717 2109.8000 1.0841 17.3451 SHATZ 0.0855 105.7300 0.0808 1.2932 SILVER-mini 0.3351 24.7500 1.3541 21.6648 SMI 67.2266 11433.0000 0.5880 9.4081 SOFR 0.0667 96.5400 0.0691 1.1056 SOYBEAN 9.3221 1154.0000 0.8078 12.9249 SOYMEAL 4.0215 337.0000 1.1933 19.0933 SOYOIL 0.5838 46.7300 1.2492 19.9875 SP400 22.7756 2999.6000 0.7593 12.1486 SP500_micro 31.0792 5219.7500 0.5954 9.5267 SUGAR11 0.3553 21.0500 1.6880 27.0077 US10 0.4042 111.6406 0.3621 5.7935 US10U 0.5445 115.5625 0.4711 7.5383 US2 0.1138 102.6094 0.1109 1.7751 US20 0.7982 121.6250 0.6563 10.5008 US30 1.1788 130.5312 0.9031 14.4493 US5 0.2716 107.6562 0.2522 4.0359 VIX 0.3959 16.3500 2.4216 38.7460 WHEAT 8.1825 572.2500 1.4299 22.8780 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.75 0.58 387.39 1.00 387.39 50596.86 130.61 -4.33 -56.56 BITCOIN 68.30 2.47 168.54 1.00 168.54 50596.86 300.21 11.27 338.35 BOBL 1182.90 0.22 256.26 1.09 278.33 50596.86 181.79 -11.97 -217.52 BTP 1193.30 0.47 566.01 1.09 614.75 50596.86 82.31 5.49 45.19 BUND 1334.50 0.39 519.84 1.09 564.60 50596.86 89.62 -2.06 -18.42 BUXL 1360.40 0.91 1240.61 1.09 1347.42 50596.86 37.55 -1.36 -5.10 CAC 803.70 0.60 484.94 1.09 526.69 50596.86 96.07 12.21 117.26 CAD 744.05 0.38 282.21 1.00 282.21 50596.86 179.29 -5.90 -105.83 CANOLA 122.34 1.05 129.05 0.74 94.98 50596.86 532.69 -20.00 -1065.38 CHF 1425.44 0.43 610.26 1.00 610.26 50596.86 82.91 -17.28 -143.25 COCOA 647.50 2.09 1353.94 1.00 1353.94 50596.86 37.37 13.70 51.19 COFFEE 703.88 1.69 1188.49 1.00 1188.49 50596.86 42.57 0.80 3.42 COPPER 986.00 0.92 906.13 1.00 906.13 50596.86 55.84 -2.52 -14.05 CORN 234.25 1.04 243.16 1.00 243.16 50596.86 208.08 -20.00 -416.17 COTTON2 496.25 1.63 811.37 1.00 811.37 50596.86 62.36 2.73 17.02 CRUDE_W 739.30 1.16 855.73 1.00 855.73 50596.86 59.13 12.43 73.50 DAX 181.73 0.56 102.25 1.09 111.06 50596.86 455.59 20.00 911.18 DOW 193.92 0.54 105.19 1.00 105.19 50596.86 480.99 -2.26 -108.81 DX 1024.30 0.34 349.22 1.00 349.22 50596.86 144.89 -1.30 -18.86 EUR 1373.62 0.37 513.96 1.00 513.96 50596.86 98.45 2.93 28.86 EURIBOR-ICE 2442.88 0.05 117.91 1.09 128.07 50596.86 395.08 2.40 94.71 EUROSTX 498.60 0.66 327.86 1.09 356.09 50596.86 142.09 20.00 284.18 FEEDCOW 1346.88 0.62 828.62 1.00 828.62 50596.86 61.06 6.28 38.37 GASOIL 789.25 1.52 1196.33 1.00 1196.33 50596.86 42.29 10.46 44.25 GASOLINE 1057.01 1.51 1598.01 1.00 1598.01 50596.86 31.66 6.51 20.62 GAS_US_mini 48.62 4.56 221.49 1.00 221.49 50596.86 228.43 -10.16 -232.18 GBP 800.69 0.41 330.03 1.00 330.03 50596.86 153.31 8.27 126.85 GOLD_micro 216.57 0.65 140.05 1.00 140.05 50596.86 361.29 2.45 88.69 HEATOIL 1086.71 1.45 1574.20 1.00 1574.20 50596.86 32.14 6.69 21.51 JGB-SGX-mini 145420.00 0.16 23736.29 0.01 158.46 50596.86 319.30 3.47 110.74 JPY 857.56 0.55 472.60 1.00 472.60 50596.86 107.06 -12.04 -128.94 LEANHOG 404.50 0.97 394.24 1.00 394.24 50596.86 128.34 11.26 144.57 LIVECOW 738.40 0.64 470.46 1.00 470.46 50596.86 107.55 13.57 145.94 LUMBER-new 168.16 0.98 164.31 1.00 164.31 50596.86 307.93 2.77 85.31 MILK 329.00 1.31 432.14 1.00 432.14 50596.86 117.08 -18.30 -214.23 MXP 291.80 0.51 149.14 1.00 149.14 50596.86 339.25 20.00 678.49 NASDAQ_micro 371.14 0.80 298.09 1.00 298.09 50596.86 169.74 2.34 39.65 NIKKEI 39455.00 0.92 36225.01 0.01 241.84 50596.86 209.22 13.52 282.87 NZD 617.30 0.63 388.19 1.00 388.19 50596.86 130.34 -0.03 -0.33 OAT 1288.50 0.40 514.59 1.09 558.89 50596.86 90.53 2.68 24.26 OATIES 177.75 1.65 292.81 1.00 292.81 50596.86 172.80 -10.22 -176.54 OJ 555.75 1.85 1026.85 1.00 1026.85 50596.86 49.27 8.04 39.63 PALLAD 1043.00 2.96 3084.72 1.00 3084.72 50596.86 16.40 0.86 1.41 PLAT 462.15 1.64 757.32 1.00 757.32 50596.86 66.81 0.75 4.99 REDWHEAT 279.75 1.73 484.95 1.00 484.95 50596.86 104.33 -20.00 -208.67 RICE 362.00 0.99 357.77 1.00 357.77 50596.86 141.42 -3.42 -48.42 ROBUSTA 335.90 1.32 443.38 1.00 443.38 50596.86 114.12 11.02 125.70 RUSSELL 105.49 1.08 114.36 1.00 114.36 50596.86 442.44 -1.46 -64.47 SHATZ 1057.30 0.08 85.46 1.09 92.71 50596.86 545.75 -16.37 -893.62 SILVER-mini 618.75 1.35 837.82 1.00 837.82 50596.86 60.39 3.30 19.95 SMI 1143.30 0.59 672.27 1.13 760.43 50596.86 66.54 16.66 110.87 SOFR 2413.50 0.07 166.77 1.00 166.77 50596.86 303.40 -3.01 -91.30 SOYBEAN 577.00 0.81 466.10 1.00 466.10 50596.86 108.55 -17.68 -191.87 SOYMEAL 337.00 1.19 402.15 1.00 402.15 50596.86 125.82 -20.00 -251.63 SOYOIL 280.38 1.25 350.26 1.00 350.26 50596.86 144.46 -16.66 -240.60 SP400 2999.60 0.76 2277.56 1.00 2277.56 50596.86 22.22 3.37 7.49 SP500_micro 260.99 0.60 155.40 1.00 155.40 50596.86 325.60 5.77 188.00 SUGAR11 235.76 1.69 397.96 1.00 397.96 50596.86 127.14 -5.48 -69.71 US10 1116.41 0.36 404.24 1.00 404.24 50596.86 125.16 -5.50 -68.83 US10U 1155.62 0.47 544.47 1.00 544.47 50596.86 92.93 -0.28 -2.58 US2 2052.19 0.11 227.68 1.00 227.68 50596.86 222.23 -12.09 -268.65 US20 1216.25 0.66 798.23 1.00 798.23 50596.86 63.39 2.05 12.99 US30 1305.31 0.90 1178.80 1.00 1178.80 50596.86 42.92 0.93 4.01 US5 1076.56 0.25 271.55 1.00 271.55 50596.86 186.32 -8.43 -157.04 VIX 163.50 2.42 395.94 1.00 395.94 50596.86 127.79 -20.00 -255.58 WHEAT 286.12 1.43 409.12 1.00 409.12 50596.86 123.67 -20.00 -247.34 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -56.560 0.010 2.5 -1.468 BITCOIN 338.346 0.043 2.5 36.639 BOBL -217.522 0.004 2.5 -2.206 BTP 45.188 0.014 2.5 1.541 BUND -18.420 0.004 2.5 -0.187 BUXL -5.096 0.004 2.5 -0.052 CAC 117.262 0.014 2.5 4.000 CAD -105.829 0.010 2.5 -2.746 CANOLA -1065.377 0.010 2.5 -25.919 CHF -143.247 0.010 2.5 -3.717 COCOA 51.195 0.009 2.5 1.096 COFFEE 3.416 0.005 2.5 0.040 COPPER -14.048 0.043 2.5 -1.521 CORN -416.167 0.010 2.5 -10.125 COTTON2 17.018 0.009 2.5 0.364 CRUDE_W 73.501 0.043 2.5 7.959 DAX 911.183 0.014 2.5 31.079 DOW -108.805 0.009 2.5 -2.529 DX -18.860 0.010 2.5 -0.489 EUR 28.859 0.010 2.5 0.749 EURIBOR-ICE 94.715 0.014 2.5 3.231 EUROSTX 284.181 0.014 2.5 9.693 FEEDCOW 38.369 0.013 2.5 1.271 GASOIL 44.254 0.017 2.5 1.918 GASOLINE 20.624 0.017 2.5 0.894 GAS_US_mini -232.178 0.043 2.5 -25.142 GBP 126.846 0.010 2.5 3.291 GOLD_micro 88.686 0.014 2.5 3.025 HEATOIL 21.505 0.017 2.5 0.932 JGB-SGX-mini 110.735 0.043 2.5 11.991 JPY -128.938 0.010 2.5 -3.345 LEANHOG 144.570 0.024 2.5 8.786 LIVECOW 145.944 0.013 2.5 4.836 LUMBER-new 85.315 0.009 2.5 1.825 MILK -214.229 0.009 2.5 -4.588 MXP 678.493 0.059 2.5 99.585 NASDAQ_micro 39.648 0.009 2.5 0.921 NIKKEI 282.872 0.043 2.5 30.632 NZD -0.330 0.010 2.5 -0.009 OAT 24.260 0.014 2.5 0.827 OATIES -176.540 0.010 2.5 -4.295 OJ 39.633 0.009 2.5 0.849 PALLAD 1.407 0.014 2.5 0.048 PLAT 4.991 0.014 2.5 0.170 REDWHEAT -208.669 0.005 2.5 -2.768 RICE -48.416 0.010 2.5 -1.178 ROBUSTA 125.704 0.005 2.5 1.468 RUSSELL -64.467 0.013 2.5 -2.136 SHATZ -893.617 0.004 2.5 -9.062 SILVER-mini 19.945 0.014 2.5 0.680 SMI 110.869 0.014 2.5 3.782 SOFR -91.295 0.024 2.5 -5.548 SOYBEAN -191.871 0.004 2.5 -1.785 SOYMEAL -251.630 0.004 2.5 -2.340 SOYOIL -240.602 0.004 2.5 -2.240 SP400 7.487 0.013 2.5 0.248 SP500_micro 187.997 0.009 2.5 4.369 SUGAR11 -69.714 0.009 2.5 -1.483 US10 -68.829 0.005 2.5 -0.872 US10U -2.582 0.005 2.5 -0.033 US2 -268.652 0.005 2.5 -3.404 US20 12.993 0.005 2.5 0.165 US30 4.008 0.005 2.5 0.051 US5 -157.044 0.005 2.5 -1.990 VIX -255.581 0.099 2.5 -63.088 WHEAT -247.343 0.005 2.5 -3.281 ===================== Position diags ===================== AUD 3.39 BITCOIN 32.51 BOBL 1.84 BTP 2.81 BUND 0.91 BUXL 0.38 CAC 3.28 CAD 4.65 CANOLA 12.96 CHF 2.15 COCOA 0.80 COFFEE 0.50 COPPER 6.05 CORN 5.06 COTTON2 1.34 CRUDE_W 6.40 DAX 15.54 DOW 11.18 DX 3.76 EUR 2.55 EURIBOR-ICE 13.48 EUROSTX 4.85 FEEDCOW 2.02 GASOIL 1.83 GASOLINE 1.37 GAS_US_mini 24.74 GBP 3.98 GOLD_micro 12.32 HEATOIL 1.39 JGB-SGX-mini 34.58 JPY 2.78 LEANHOG 7.80 LIVECOW 3.56 LUMBER-new 6.59 MILK 2.51 MXP 49.79 NASDAQ_micro 3.94 NIKKEI 22.66 NZD 3.38 OAT 3.09 OATIES 4.20 OJ 1.06 PALLAD 0.56 PLAT 2.28 REDWHEAT 1.38 RICE 3.44 ROBUSTA 1.33 RUSSELL 14.66 SHATZ 5.53 SILVER-mini 2.06 SMI 2.27 SOFR 18.44 SOYBEAN 1.01 SOYMEAL 1.17 SOYOIL 1.34 SP400 0.74 SP500_micro 7.57 SUGAR11 2.70 US10 1.59 US10U 1.18 US2 2.82 US20 0.80 US30 0.54 US5 2.36 VIX 31.54 WHEAT 1.64 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.5 -1.8 -1.1 0.0 0 BITCOIN 36.6 33.4 39.9 0.0 0 BOBL -2.2 -2.4 -2.0 -13.0 -13 BTP 1.5 1.3 1.8 5.0 5 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 4.0 3.7 4.3 6.0 6 CAD -2.7 -3.2 -2.3 0.0 0 CANOLA -25.9 -27.2 -24.6 -6.0 -6 CHF -3.7 -3.9 -3.5 -9.0 -9 COCOA 1.1 1.0 1.2 4.0 4 COFFEE 0.0 -0.0 0.1 0.0 0 COPPER -1.5 -2.1 -0.9 0.0 0 CORN -10.1 -10.6 -9.6 -10.0 -10 COTTON2 0.4 0.2 0.5 0.0 0 CRUDE_W 8.0 7.3 8.6 3.0 3 DAX 31.1 29.5 32.6 10.0 10 DOW -2.5 -3.6 -1.4 15.0 15 DX -0.5 -0.9 -0.1 NaN 0 EUR 0.7 0.5 1.0 1.0 1 EURIBOR-ICE 3.2 1.9 4.6 2.0 2 EUROSTX 9.7 9.2 10.2 12.0 12 FEEDCOW 1.3 1.1 1.5 6.0 6 GASOIL 1.9 1.7 2.1 2.0 2 GASOLINE 0.9 0.8 1.0 4.0 4 GAS_US_mini -25.1 -27.6 -22.7 -18.0 -18 GBP 3.3 2.9 3.7 5.0 5 GOLD_micro 3.0 1.8 4.3 -12.0 -12 HEATOIL 0.9 0.8 1.1 0.0 0 JGB-SGX-mini 12.0 8.5 15.4 9.0 9 JPY -3.3 -3.6 -3.1 -6.0 -6 LEANHOG 8.8 8.0 9.6 4.0 4 LIVECOW 4.8 4.5 5.2 0.0 0 LUMBER-new 1.8 1.2 2.5 NaN 0 MILK -4.6 -4.8 -4.3 NaN 0 MXP 99.6 94.6 104.6 60.0 60 NASDAQ_micro 0.9 0.5 1.3 20.0 20 NIKKEI 30.6 28.4 32.9 35.0 35 NZD -0.0 -0.3 0.3 5.0 5 OAT 0.8 0.5 1.1 0.0 0 OATIES -4.3 -4.7 -3.9 NaN 0 OJ 0.8 0.7 1.0 NaN 0 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.2 -0.1 0.4 0.0 0 REDWHEAT -2.8 -2.9 -2.6 -3.0 -3 RICE -1.2 -1.5 -0.8 NaN 0 ROBUSTA 1.5 1.3 1.6 2.0 2 RUSSELL -2.1 -3.6 -0.7 0.0 0 SHATZ -9.1 -9.6 -8.5 NaN 0 SILVER-mini 0.7 0.5 0.9 NaN 0 SMI 3.8 3.6 4.0 9.0 9 SOFR -5.5 -7.4 -3.7 NaN 0 SOYBEAN -1.8 -1.9 -1.7 -2.0 -2 SOYMEAL -2.3 -2.5 -2.2 0.0 0 SOYOIL -2.2 -2.4 -2.1 -6.0 -6 SP400 0.2 0.2 0.3 0.0 0 SP500_micro 4.4 3.6 5.1 4.0 4 SUGAR11 -1.5 -1.8 -1.2 -1.0 -1 US10 -0.9 -1.0 -0.7 0.0 0 US10U -0.0 -0.2 0.1 0.0 0 US2 -3.4 -3.7 -3.1 NaN 0 US20 0.2 0.1 0.2 1.0 1 US30 0.1 -0.0 0.1 0.0 0 US5 -2.0 -2.2 -1.8 -9.0 -9 VIX -63.1 -66.2 -59.9 -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 0.1 -0.3 0.2 -0.0 0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 -0.0 0.4 -0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 0.1 -0.3 -0.2 -0.7 -0.4 -0.3 0.0 BITCOIN 0.6 0.3 0.3 -0.0 0.2 -0.1 0.2 -0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.0 0.5 0.2 BOBL -0.4 -0.6 0.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.0 0.0 -0.1 -0.1 0.9 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 -0.1 -0.3 -0.2 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.0 -0.2 0.6 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.3 0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.3 0.0 0.1 0.1 0.1 0.2 0.0 0.6 0.2 0.5 0.4 0.3 -0.5 -0.6 0.6 0.1 BUND -0.2 -0.6 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.3 -0.0 -0.1 -0.1 -0.1 -0.6 -0.7 0.3 -0.4 BUXL -0.0 -0.4 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 -0.0 0.2 0.0 0.1 -0.7 -0.7 0.2 0.1 CAC 0.6 0.6 0.6 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 0.1 0.2 0.1 0.2 0.1 -0.0 -0.2 0.2 0.1 -0.1 -0.1 0.5 -0.0 0.7 CAD -0.1 -0.2 0.3 -0.0 0.1 0.1 0.1 0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.3 -0.4 -0.1 -0.1 -0.5 -0.5 0.0 -0.4 CANOLA 0.3 -0.2 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 -0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.5 0.3 -0.1 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.3 -0.6 0.0 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 -0.1 0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.0 0.1 -0.2 -0.6 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -1.1 -0.3 -0.6 -0.6 0.0 -0.7 -0.6 -0.3 -0.6 COCOA -0.5 -0.0 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 0.1 0.3 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.2 0.1 0.3 0.2 -1.6 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 0.6 COFFEE -0.2 -0.0 0.4 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 0.3 0.0 0.2 0.0 0.1 0.4 0.2 0.3 0.2 0.1 0.1 0.1 0.2 0.0 -2.7 0.0 0.1 0.2 0.1 0.2 0.0 1.1 0.2 0.2 -0.4 0.4 -0.3 -0.7 -0.1 -0.4 COPPER 0.4 0.1 0.2 -0.0 0.2 -0.1 0.1 -0.1 0.1 0.1 0.0 0.2 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -1.9 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.5 -0.2 -0.0 0.4 -0.7 -0.1 0.4 0.1 CORN 0.2 0.0 -0.2 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.5 0.0 -0.7 -0.1 -0.2 -0.4 -0.1 -0.3 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -2.5 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.7 0.4 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 0.0 0.6 0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.2 0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 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 0.1 0.2 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.0 0.2 0.3 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.3 0.1 -0.7 0.1 0.0 0.1 0.1 0.3 0.1 -0.1 0.0 0.5 -0.2 0.0 0.7 0.6 0.7 0.7 DAX 0.6 0.5 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -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 -0.5 0.5 0.4 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 0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.5 0.1 -1.9 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 -0.5 -0.6 -0.3 0.4 -0.2 -0.2 0.0 -0.5 DX -0.2 0.3 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.2 0.1 -0.2 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.2 0.1 -0.0 -2.7 0.0 -0.2 0.0 -0.1 0.1 -0.0 0.8 -0.5 -0.4 0.6 -0.6 0.6 0.1 0.7 0.3 EUR 0.3 -0.3 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.2 -0.1 0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 -0.1 0.1 2.6 0.0 0.1 0.0 0.1 -0.0 0.0 -0.4 0.3 0.5 0.1 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.4 -0.6 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 1.9 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.1 -0.1 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 0.2 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 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.9 0.2 0.4 0.6 0.3 -0.3 0.5 -0.2 0.7 FEEDCOW 0.0 0.6 0.3 0.0 0.1 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 0.2 0.1 0.2 0.2 -1.0 0.1 0.0 0.1 0.0 0.1 0.0 -1.1 -0.1 0.2 0.6 0.5 0.7 0.4 0.7 0.7 GASOIL -0.2 0.5 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.0 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.0 0.3 0.1 1.0 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.0 -0.0 0.1 0.2 -0.3 -0.2 -0.7 -0.4 GASOLINE 0.0 0.4 0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.0 0.3 0.2 0.2 0.2 0.2 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 -0.6 -0.1 0.5 0.2 0.5 0.7 0.5 0.7 0.5 GAS_US_mini 0.4 -0.2 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.3 0.0 -0.4 -0.1 -0.1 -0.4 -0.4 -0.2 -0.3 -0.1 -0.2 0.0 -0.5 -0.0 2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 -0.3 -0.6 -0.6 -0.4 -0.0 -0.7 -0.2 GBP 0.1 -0.1 0.2 -0.0 0.1 0.1 0.1 0.2 -0.0 0.2 0.2 0.2 0.4 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.2 0.1 0.4 0.0 0.2 0.1 0.1 0.1 0.1 0.2 0.3 0.5 0.5 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.6 0.0 0.2 -0.0 0.2 -0.1 0.1 -0.1 0.1 0.2 0.3 0.2 0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.2 0.2 -0.5 0.0 0.2 0.1 0.2 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL -0.2 0.3 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.2 0.0 -2.7 0.1 0.0 0.1 0.0 0.3 0.0 1.1 -0.1 0.0 0.1 0.3 0.6 0.1 0.5 0.0 JGB-SGX-mini -0.1 -0.2 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 -0.3 0.0 0.1 0.1 -0.2 -0.7 0.1 0.3 JPY -0.0 -0.4 -0.0 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.4 0.0 -0.6 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.0 -0.5 -0.1 2.7 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -1.1 0.1 -0.3 -0.4 -0.4 -0.6 -0.5 -0.5 -0.6 LEANHOG 0.5 0.6 0.3 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 0.2 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 -0.3 0.2 2.4 0.1 0.0 0.2 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 0.1 0.0 0.1 0.0 0.0 -0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.2 0.4 -0.1 0.0 -0.1 0.2 0.1 0.1 0.1 0.2 -0.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.2 0.6 0.6 0.2 0.7 0.1 0.7 0.4 LUMBER-new 0.5 0.3 0.5 0.0 0.1 0.0 0.0 -0.1 0.0 0.2 0.3 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 0.1 0.2 0.2 0.1 0.1 -1.2 0.6 0.7 0.3 0.7 -0.4 -0.8 -0.3 -0.5 MILK -0.3 0.6 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.1 1.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.6 -0.2 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.1 0.4 -0.0 0.1 0.1 0.1 0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.5 0.1 1.1 0.4 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 0.1 0.5 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 -0.1 -0.3 0.3 0.4 0.4 -0.1 0.7 -0.2 NIKKEI 0.2 0.6 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.5 0.2 0.7 0.2 0.2 0.2 0.2 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.2 0.1 0.0 0.2 0.0 0.2 0.1 1.1 -0.1 0.6 0.6 0.6 -0.7 -0.2 -0.2 -0.1 NZD 0.1 -0.2 0.3 -0.0 0.1 0.0 0.0 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 0.0 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.2 -0.4 0.1 -0.1 0.0 -0.3 -0.3 -0.1 0.1 OAT -0.1 -0.5 0.5 -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 -0.0 0.7 -0.0 0.1 0.0 0.0 0.0 0.0 0.6 0.0 0.0 0.0 0.0 -0.7 -0.7 0.3 0.1 OATIES 0.0 0.1 -0.4 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.0 0.2 -0.1 0.1 -0.0 -0.1 -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 -0.0 -0.2 -0.2 -0.3 0.0 -0.0 0.4 OJ 0.2 0.4 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.2 0.1 0.4 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 0.0 0.5 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 -0.1 0.0 0.5 0.1 0.3 0.3 0.5 0.7 PALLAD 0.5 0.3 0.5 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 1.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.4 -0.1 -0.1 -0.1 -0.1 -0.5 -0.3 -0.4 -0.2 PLAT 0.1 -0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 1.4 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.2 -0.3 -0.3 -0.2 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT -0.2 -0.1 -0.2 0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -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 -1.3 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.2 -0.4 -0.6 -0.6 -0.6 -0.5 -0.7 -0.4 -0.7 RICE -0.5 0.1 0.3 0.0 0.1 0.0 0.0 -0.1 0.0 -0.2 0.4 -0.2 0.6 -0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.4 -0.0 -2.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.3 -0.5 -0.2 0.2 0.4 0.2 -0.2 0.4 0.1 ROBUSTA -0.4 0.3 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.0 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.3 0.0 RUSSELL 0.3 0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.3 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 -0.0 -0.1 -0.3 -0.1 -0.6 -0.6 -0.7 -0.7 SHATZ -0.6 -0.6 0.2 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.5 -0.4 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.5 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 -0.1 0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.1 0.7 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.1 0.2 0.4 0.3 0.1 -0.7 -0.6 0.6 -0.1 SMI 0.4 0.2 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.3 0.2 0.2 0.2 0.1 0.2 0.2 0.2 0.1 0.2 0.2 0.2 1.9 0.1 0.1 0.2 0.1 0.1 0.1 1.1 -0.1 -0.3 -0.6 -0.4 0.3 -0.2 0.6 -0.3 SOFR -0.1 -0.5 0.3 -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 0.0 0.1 -0.0 -0.0 -0.3 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 -0.1 -0.1 SOYBEAN -0.1 -0.5 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.2 -0.5 -0.0 -0.2 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 0.0 -0.5 -0.2 -2.7 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 1.1 0.1 -0.6 -0.6 -0.6 -0.2 -0.7 -0.2 -0.7 SOYMEAL -0.1 -0.6 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.4 -0.1 -0.4 -0.2 -0.2 -0.1 0.2 -0.0 0.1 -0.2 -0.2 -0.0 -0.4 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 1.0 -0.1 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.1 -0.2 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 0.0 -0.5 -0.1 -2.7 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.3 0.2 -0.1 -0.6 -0.3 -0.5 -0.2 -0.3 0.2 SP400 0.5 0.3 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 -1.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.2 -0.1 0.0 -0.6 -0.3 -0.5 -0.7 SP500_micro 0.1 0.4 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 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.5 -0.1 -0.1 0.5 0.6 0.1 -0.1 0.6 -0.2 SUGAR11 -0.4 0.2 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 -0.1 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 1.1 -0.5 -0.5 -0.3 -0.6 0.5 0.0 0.7 0.4 US10 -0.1 -0.4 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 0.1 -0.1 -0.0 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 0.1 -0.1 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U -0.1 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.1 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.1 -0.1 0.2 0.1 -0.7 -0.7 0.4 0.7 US2 -0.4 -0.6 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.2 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 0.0 -0.2 -0.0 1.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 -1.1 -0.1 -0.3 -0.1 -0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.0 -0.3 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.1 -0.2 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.1 -0.2 0.0 -0.1 0.0 0.1 0.0 0.1 -0.1 0.0 -0.5 0.2 0.2 0.3 0.2 -0.5 -0.6 0.7 0.7 US5 -0.2 -0.5 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 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.9 0.0 -0.2 0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.1 0.2 -0.5 -0.1 0.1 -0.4 -0.0 -0.8 -0.1 0.3 -0.9 -0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.1 NaN -0.2 0.1 -0.5 0.0 -1.0 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.3 -0.0 0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.8 -0.5 -0.6 -0.6 -0.6 -0.5 -0.7 -0.4 -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 4.0 -10.7 4.8 -0.8 10.2 1.9 4.4 3.5 -0.2 15.2 -4.6 11.5 -10.3 -7.8 -8.8 -3.0 -2.9 -2.9 -2.8 -4.9 -3.3 8.2 -5.5 -1.6 2.7 -2.7 14.0 -1.5 5.1 -2.1 -0.9 -1.2 -2.3 4.1 -8.1 -6.7 -20.0 -10.5 -9.5 0.4 BITCOIN 20.0 9.7 8.7 -0.1 19.9 -2.7 14.4 -2.0 6.5 20.0 20.0 20.0 20.0 20.0 20.0 -9.2 -6.9 -8.6 -8.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 8.2 6.5 11.0 4.8 10.7 -2.5 20.0 20.0 20.0 20.0 -6.5 1.4 14.3 5.3 BOBL -12.7 -20.0 8.7 -0.4 3.6 0.3 2.1 -0.7 -0.1 7.4 -0.3 -1.0 -1.7 -7.2 -5.2 -19.4 -16.8 -20.0 -20.0 -6.2 -1.7 0.5 -2.3 -6.3 6.6 -1.8 2.6 -0.4 0.5 -0.4 -1.8 -20.0 -4.1 -8.2 -6.4 -4.9 -20.0 -20.0 2.9 -20.0 BTP 0.9 -7.5 19.0 -0.7 6.1 0.4 3.6 -1.3 -0.1 14.4 9.8 12.6 9.5 4.0 7.1 4.0 6.3 4.6 5.2 7.8 11.8 16.3 8.9 8.0 -16.9 3.7 12.8 5.2 8.9 4.2 4.4 11.2 10.2 14.2 13.4 9.3 -14.0 -18.2 17.9 2.7 BUND -6.9 -17.1 13.4 -0.4 3.9 0.3 2.3 -0.8 -0.1 8.5 1.4 3.8 -1.0 -6.5 -2.6 -2.0 3.7 1.5 2.1 -2.9 0.6 3.6 -1.5 -2.7 4.1 -1.0 4.5 0.4 2.0 -0.1 -0.8 6.1 -2.0 -2.7 -2.2 -1.8 -18.5 -20.0 8.8 -11.1 BUXL -0.9 -12.3 16.8 -0.5 5.0 0.4 2.9 -1.0 -0.1 10.9 2.7 7.8 -4.4 -5.1 -1.1 -4.6 -0.1 -2.0 -0.9 -0.6 1.5 7.6 -3.5 0.6 0.2 0.2 7.2 1.1 4.5 -0.5 0.9 0.7 -1.3 4.8 1.2 1.8 -20.0 -20.0 5.7 2.2 CAC 18.5 19.7 17.0 8.3 7.1 6.7 7.4 4.4 8.2 17.8 20.0 20.0 20.0 20.0 20.0 -7.7 -5.8 -8.2 -7.6 20.0 20.0 20.0 20.0 20.0 -10.6 8.9 6.3 7.0 7.1 5.1 8.9 -0.3 -7.6 4.7 4.6 -3.8 -3.9 14.8 -0.6 20.0 CAD -4.1 -7.4 8.8 -0.9 11.8 2.1 5.0 4.1 -0.2 14.3 -2.4 -2.5 -4.2 -14.4 -3.8 -2.2 -2.2 -2.1 -2.1 -4.7 -1.5 2.0 -3.7 -5.9 0.1 -3.0 12.5 -1.1 1.6 -2.0 -3.8 0.0 -12.0 -11.2 -3.5 -3.0 -15.2 -14.2 0.8 -12.7 CANOLA 9.3 -6.6 -20.0 0.9 3.7 0.2 0.9 -1.6 0.3 10.0 -11.0 6.0 -10.0 -5.7 -10.1 -16.3 -4.4 -13.4 -10.5 -16.3 -20.0 4.2 -20.0 -5.6 -20.0 -4.0 2.1 -5.0 0.7 -4.8 -1.7 -9.2 11.5 -2.6 -20.0 -20.0 -20.0 -20.0 -18.1 -8.1 CHF -8.9 -20.0 1.0 -0.7 9.6 1.7 4.1 3.3 -0.2 8.8 -2.3 -9.1 3.2 -17.2 -12.4 -15.1 -15.5 -15.4 -15.6 -14.1 -4.9 -4.9 2.0 -14.9 -4.7 -3.6 2.7 -0.3 -1.6 1.5 -4.7 -20.0 -11.7 -20.0 -20.0 0.2 -19.6 -17.0 -8.2 -18.6 COCOA -15.5 -0.8 -10.0 0.7 2.9 0.2 0.7 -1.2 0.2 5.5 9.0 7.3 9.1 8.2 8.6 20.0 9.3 20.0 16.7 19.3 15.5 13.6 11.2 18.9 -12.2 3.2 0.6 3.0 1.4 2.7 2.5 20.0 20.0 20.0 20.0 20.0 11.8 2.5 20.0 19.5 COFFEE -6.4 -0.9 13.0 1.6 6.6 0.4 1.7 -2.8 0.4 15.7 10.5 3.3 6.5 4.0 5.1 20.0 8.4 17.4 12.3 5.1 10.0 7.1 6.8 1.8 -20.0 2.1 10.6 5.7 4.8 5.5 1.0 20.0 7.5 7.2 -13.5 12.9 -9.6 -20.0 -3.8 -12.5 COPPER 12.7 2.6 5.6 -0.1 18.3 -2.4 13.3 -1.8 5.9 12.0 0.5 15.7 -6.9 12.3 7.1 -5.0 -4.9 -5.6 -5.7 5.8 2.6 13.0 -2.0 9.4 -14.0 1.0 12.6 0.2 6.9 -1.1 3.3 1.2 -20.0 -7.2 -0.7 12.5 -20.0 -2.6 11.9 4.0 CORN 6.5 0.2 -7.0 1.7 7.1 0.4 1.8 -3.0 0.5 16.3 -20.0 3.8 -20.0 -10.0 -17.6 -19.0 -6.6 -15.9 -12.2 -20.0 -20.0 3.2 -20.0 -10.7 -18.4 -7.3 4.3 -7.1 -0.0 -5.9 -4.7 -12.4 18.3 -20.0 -20.0 -20.0 -5.1 -20.0 -3.3 -0.5 COTTON2 0.2 20.0 14.0 1.3 5.2 0.3 1.3 -2.2 0.4 2.4 7.5 4.8 3.8 10.6 11.8 5.1 -0.9 -0.9 -2.5 17.2 10.4 10.4 3.1 16.5 -20.0 5.3 2.2 3.4 2.9 1.6 5.0 0.2 20.0 20.0 20.0 20.0 -17.5 -13.6 -8.3 1.3 CRUDE_W 4.0 6.6 -3.6 4.0 2.5 2.7 1.7 3.0 3.1 20.0 0.8 19.0 8.0 15.5 8.4 11.8 9.7 9.8 9.5 5.5 4.7 5.9 9.9 7.3 -5.0 5.4 4.4 4.4 5.1 7.7 6.7 -1.1 0.5 16.4 -6.0 0.0 20.0 19.3 20.0 20.0 DAX 19.5 14.4 20.0 8.0 6.9 6.5 7.2 4.3 7.9 20.0 20.0 20.0 20.0 20.0 20.0 -14.9 -11.5 -15.1 -13.6 20.0 20.0 20.0 20.0 20.0 17.9 8.8 8.0 7.0 9.8 5.0 10.0 -10.3 20.0 13.2 2.0 7.2 -3.5 13.4 3.8 20.0 DOW -5.8 -0.3 20.0 6.4 5.5 5.2 5.7 3.4 6.4 -8.4 20.0 3.7 18.9 14.2 19.4 -13.5 -10.8 -13.0 -12.1 20.0 20.0 -1.6 20.0 9.2 -14.6 6.9 -2.3 9.0 -0.9 7.7 2.6 -8.4 -20.0 -20.0 -8.6 11.9 -6.0 -5.0 1.1 -13.8 DX -6.0 10.8 -3.7 -0.9 11.1 2.0 4.8 3.8 -0.2 -20.0 5.2 -20.0 0.2 3.1 6.7 6.9 6.2 6.4 6.3 4.0 3.3 -16.9 4.1 -2.9 -20.0 0.9 -17.1 0.7 -9.4 2.0 -2.1 14.5 -20.0 -12.3 20.0 -20.0 17.2 2.5 20.0 8.6 EUR 9.1 -8.0 1.8 -0.9 11.8 2.1 5.0 4.1 -0.2 20.0 -4.5 20.0 0.4 1.0 -7.7 -6.6 -6.6 -6.4 -6.3 -1.6 -2.6 17.8 -2.8 6.2 19.6 0.7 15.6 0.3 10.1 -0.2 4.2 -7.4 13.0 15.9 4.0 -5.1 -20.0 -15.0 -20.0 -11.4 EURIBOR-ICE -12.2 -20.0 18.2 -0.4 3.3 0.2 1.9 -0.7 -0.1 7.2 3.6 2.4 2.9 -5.3 -0.1 -1.8 -3.7 -0.5 -1.8 -1.4 4.8 3.3 4.1 -2.9 14.5 -0.3 3.8 1.8 1.5 1.6 -0.7 -3.8 -0.6 -4.1 -2.5 2.6 -20.0 -20.0 6.9 20.0 EUROSTX 15.7 20.0 20.0 8.0 6.9 6.5 7.2 4.3 8.0 20.0 20.0 20.0 20.0 20.0 20.0 10.1 2.7 8.9 5.5 20.0 20.0 20.0 20.0 20.0 1.1 9.0 7.6 7.4 7.7 5.3 8.9 17.6 9.5 13.4 20.0 9.0 -8.7 16.3 -6.7 20.0 FEEDCOW 1.3 20.0 8.4 2.0 8.0 0.5 2.1 -3.4 0.5 4.6 1.6 11.4 1.1 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.4 7.9 6.6 20.0 -7.6 5.7 0.8 3.5 0.9 4.0 3.8 -20.0 -4.0 7.0 20.0 14.9 20.0 13.4 20.0 20.0 GASOIL -5.7 15.1 -1.8 3.2 2.0 2.1 1.3 2.4 2.5 12.2 7.5 -3.6 10.2 10.2 11.8 20.0 20.0 20.0 20.0 10.2 10.1 2.9 12.3 6.6 7.4 4.3 1.8 4.7 1.1 5.4 2.6 20.0 2.0 -0.8 3.3 7.2 -10.4 -6.4 -20.0 -13.0 GASOLINE 0.7 13.9 1.7 3.6 2.3 2.4 1.5 2.7 2.8 -1.6 3.0 0.1 9.1 14.0 15.9 9.7 7.9 -5.5 -2.7 12.2 8.9 2.0 9.1 9.4 -20.0 6.3 -1.1 4.5 1.7 5.4 5.5 -10.9 -2.2 16.8 7.0 14.6 20.0 15.1 19.8 13.9 GAS_US_mini 11.9 -5.5 -8.5 1.7 1.0 1.1 0.7 1.2 1.3 1.7 -9.8 4.3 -11.0 -6.1 -8.7 -20.0 -19.5 -11.3 -14.4 -10.3 -15.3 0.5 -19.7 -3.7 18.8 -3.5 -1.0 -4.1 -0.4 -3.7 -1.8 -20.0 -0.9 -9.2 -20.0 -19.6 -13.4 -0.7 -20.0 -5.6 GBP 4.1 -3.7 7.7 -1.0 12.5 2.3 5.3 4.3 -0.2 20.0 5.7 20.0 10.1 9.8 15.4 -0.8 -0.6 -0.5 -0.5 6.2 7.6 18.8 7.1 9.2 2.6 4.4 18.7 5.1 11.8 3.5 5.9 2.8 14.1 14.8 16.3 9.3 -20.0 -5.4 -20.0 2.9 GOLD_micro 20.0 0.7 5.1 -0.1 17.5 -2.3 12.7 -1.8 5.7 19.7 13.0 20.0 8.6 14.0 8.4 -15.9 -14.6 -15.5 -15.1 14.8 8.6 20.0 6.5 20.0 -3.9 4.5 18.7 2.6 16.1 2.1 9.3 -15.2 20.0 17.7 20.0 19.6 -20.0 -20.0 -20.0 -14.4 HEATOIL -7.7 10.4 -3.6 3.5 2.2 2.3 1.4 2.6 2.7 10.8 1.5 -10.7 7.0 3.2 7.6 20.0 20.0 20.0 20.0 4.4 5.0 -0.8 8.9 1.1 -20.0 5.1 3.2 5.3 1.3 7.3 3.2 20.0 -2.7 0.8 2.3 9.2 17.4 4.5 14.3 0.6 JGB-SGX-mini -1.7 -6.8 12.2 -0.4 3.5 0.3 2.0 -0.7 -0.1 -5.4 4.7 1.6 5.9 -4.3 3.3 15.0 16.6 13.3 13.6 1.4 3.6 -1.6 3.7 -0.6 -5.4 0.4 -2.9 1.0 -0.9 0.5 -0.4 20.0 -10.9 0.3 2.6 2.2 -5.9 -20.0 2.9 10.1 JPY -1.2 -13.6 -1.5 -0.6 7.8 1.4 3.3 2.7 -0.1 13.3 -15.0 0.5 -15.6 -13.3 -14.9 -16.7 -16.2 -16.3 -16.3 -13.6 -15.5 4.7 -20.0 -7.5 20.0 -4.2 7.8 -4.8 2.5 -6.8 -2.2 -20.0 5.8 -8.9 -13.5 -11.2 -19.5 -14.4 -14.3 -17.1 LEANHOG 16.5 20.0 10.1 2.1 8.7 0.5 2.2 -3.7 0.6 7.8 7.0 20.0 -12.6 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 10.2 20.0 -11.0 20.0 18.4 9.0 1.9 5.8 5.7 -0.7 8.2 -20.0 20.0 20.0 20.0 20.0 -7.6 -8.3 7.3 13.2 LIVECOW 8.4 20.0 3.3 1.9 7.9 0.5 2.0 -3.4 0.5 17.3 2.7 18.1 1.7 20.0 20.0 20.0 -4.4 2.4 -3.5 20.0 10.6 14.9 4.3 20.0 -5.0 6.2 4.4 3.1 3.9 3.2 6.2 -3.4 6.3 20.0 20.0 7.4 20.0 4.2 20.0 13.2 LUMBER-new 12.0 6.9 13.8 2.1 8.7 0.6 2.2 -2.8 0.6 20.0 9.8 20.0 -12.8 20.0 18.1 -16.3 -15.3 -16.3 -15.6 18.0 11.7 20.0 0.7 20.0 NaN 8.7 13.6 5.8 13.9 2.4 11.6 -20.0 20.0 20.0 9.1 20.0 -10.5 -20.0 -7.6 -13.9 MILK -8.6 20.0 0.3 1.1 4.6 0.3 1.2 -2.0 0.3 -12.7 -11.5 -12.8 -13.3 -6.2 -9.1 -20.0 -20.0 -20.0 -20.0 -8.4 -13.2 -20.0 -20.0 -12.7 10.7 -2.5 -10.4 -4.0 -8.4 -6.5 -4.4 -20.0 -20.0 -20.0 -5.7 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 6.7 3.8 13.7 -0.9 12.1 2.2 5.2 4.2 -0.2 20.0 20.0 20.0 20.0 20.0 20.0 17.6 16.7 16.7 16.2 17.5 20.0 20.0 20.0 17.6 -20.0 8.5 14.6 9.9 13.1 14.4 9.7 20.0 17.3 20.0 20.0 10.4 20.0 20.0 20.0 20.0 NASDAQ_micro -5.8 2.9 14.7 4.8 4.1 3.9 4.2 2.5 4.7 8.1 14.8 9.3 14.7 12.7 14.4 -11.3 -10.1 -11.5 -11.0 19.1 20.0 10.1 20.0 13.5 -20.0 5.6 2.5 6.4 2.7 6.2 3.9 -6.9 -5.0 -8.6 9.2 11.3 13.0 -2.8 19.9 -5.8 NIKKEI 7.6 19.2 16.8 6.7 5.7 5.4 6.0 3.6 6.6 5.5 20.0 16.6 20.0 19.5 20.0 7.9 12.4 12.5 12.7 20.0 20.0 20.0 20.0 20.0 -16.7 7.6 1.6 6.7 4.5 5.4 6.7 20.0 -4.6 20.0 20.0 20.0 -19.8 -5.0 -7.4 -4.2 NZD 2.9 -7.4 8.4 -0.6 8.0 1.4 3.4 2.7 -0.1 3.8 3.0 1.6 -0.1 -4.3 0.9 0.3 0.3 0.3 0.3 0.1 2.0 1.7 0.0 -0.7 0.0 0.0 6.4 1.6 0.8 0.9 -0.8 4.2 -16.7 3.1 -1.8 1.5 -8.9 -9.4 -2.0 3.4 OAT -4.4 -15.0 15.6 -0.5 4.3 0.3 2.5 -0.9 -0.1 9.8 3.0 6.1 0.3 -5.5 -0.6 3.8 6.2 4.5 5.0 -0.7 3.0 6.4 0.4 -0.5 5.2 -0.1 6.6 1.4 3.6 0.7 0.2 10.9 0.6 1.1 0.4 1.0 -20.0 -20.0 10.1 3.7 OATIES 0.6 3.4 -11.3 1.2 4.7 0.3 1.2 -2.0 0.3 -4.9 -12.4 -2.3 -10.2 -1.6 -4.4 8.6 -2.6 5.2 -0.0 -4.7 -9.9 -4.6 -9.7 -2.3 -20.0 -1.4 -4.5 -3.5 -3.0 -3.8 -1.2 -0.2 -4.3 -1.4 -5.4 -5.9 -9.0 1.4 -0.2 12.9 OJ 7.6 13.0 -20.0 1.1 4.4 0.3 1.1 -1.9 0.3 3.3 6.7 5.2 9.9 9.8 3.2 7.4 15.5 8.2 11.8 8.9 10.5 5.3 17.8 8.4 -20.0 2.6 1.6 4.6 1.1 8.9 1.9 20.0 -4.2 0.1 16.8 1.6 9.4 9.6 14.8 20.0 PALLAD 15.2 7.9 15.6 -0.0 6.6 -0.9 4.8 -0.7 2.1 5.5 -5.8 6.1 -7.8 2.6 -4.2 -2.0 -2.2 -1.9 -2.0 -2.1 -5.6 6.5 -9.1 2.2 9.1 -0.9 6.7 -2.7 3.8 -4.1 1.1 6.8 -2.5 -2.9 -1.8 -2.0 -15.6 -9.7 -11.1 -5.0 PLAT 4.5 -5.1 0.7 -0.1 9.9 -1.3 7.2 -1.0 3.2 9.3 -6.0 5.1 -7.9 -4.3 -7.4 -4.1 -3.3 -4.0 -3.7 -3.8 -4.3 4.5 -4.3 -0.9 10.1 -1.5 7.0 -1.5 3.2 -1.1 0.0 4.3 -13.1 -9.9 -6.1 1.8 -13.0 -4.3 20.0 6.6 REDWHEAT -6.1 -1.9 -5.8 1.5 6.2 0.4 1.6 -2.7 0.4 -6.4 -19.2 -13.4 -18.8 -15.4 -16.7 9.6 0.5 4.2 1.3 -20.0 -20.0 -12.3 -20.0 -16.7 -9.7 -6.6 -2.5 -6.2 -4.9 -5.7 -6.6 4.7 -14.9 -20.0 -20.0 -20.0 -15.3 -20.0 -11.1 -20.0 RICE -15.1 2.8 8.7 1.5 6.3 0.4 1.6 -2.7 0.4 -17.0 14.7 -16.5 15.3 -0.8 9.4 -7.6 -3.0 -10.5 -8.9 9.1 15.6 -14.6 14.6 -3.4 -18.6 3.4 -9.1 5.1 -6.1 4.6 -1.0 -5.9 -20.0 -5.1 5.7 13.0 5.4 -4.6 12.4 4.5 ROBUSTA -12.8 9.3 20.0 1.3 5.3 0.3 1.4 -2.3 0.4 14.5 15.7 11.1 16.2 13.3 15.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 18.2 -20.0 5.7 9.1 7.5 5.8 7.4 4.1 20.0 20.0 20.0 20.0 20.0 -20.0 -17.4 -10.3 1.0 RUSSELL 9.3 3.4 20.0 4.1 3.6 3.4 3.7 2.2 4.1 10.9 9.3 11.7 6.2 10.7 10.4 -6.4 -6.2 -6.4 -6.4 10.0 9.0 9.7 4.9 9.8 -2.1 4.4 3.2 3.9 3.7 2.4 4.2 0.3 -1.1 -2.4 -9.3 -3.0 -18.7 -19.4 -19.8 -20.0 SHATZ -20.0 -20.0 5.8 -0.5 2.6 0.2 1.3 -0.7 -0.5 1.5 -4.6 -6.4 -5.9 -7.9 -7.1 -20.0 -20.0 -20.0 -20.0 -10.7 -5.8 -5.8 -6.2 -11.7 8.0 -2.1 0.2 -0.9 -1.3 -0.9 -2.5 -20.0 -11.3 -14.0 -11.3 -7.4 -20.0 -20.0 -8.2 -20.0 SILVER-mini 14.8 0.8 -4.4 -0.1 15.1 -2.0 11.0 -1.5 4.9 16.7 -4.4 15.3 -3.9 9.2 -8.1 -6.6 -6.6 -6.8 -6.8 1.1 -3.5 20.0 -3.3 11.8 5.4 2.6 14.4 -0.1 12.4 -0.4 7.6 -1.2 8.1 11.2 10.4 3.7 -20.0 -18.1 17.3 -2.8 SMI 12.6 7.7 17.3 7.3 6.3 5.9 6.5 3.9 7.2 18.5 17.6 20.0 8.9 19.6 20.0 11.0 6.4 10.7 8.6 18.0 13.7 20.0 6.6 19.3 14.1 7.5 11.2 6.3 8.7 3.2 7.8 20.0 -4.4 -8.2 -18.7 -11.6 8.3 -5.4 17.0 -9.5 SOFR -3.7 -14.8 10.5 -0.4 4.0 0.3 2.3 -0.8 -0.1 9.4 3.5 6.0 -0.1 -4.1 -0.5 0.2 0.3 0.9 0.7 -2.0 0.1 6.5 -1.3 -0.4 -2.3 0.1 4.6 1.1 2.7 0.3 0.1 2.0 4.2 -2.7 3.0 2.1 -20.0 -20.0 -2.3 -1.8 SOYBEAN -1.9 -16.1 -20.0 1.8 7.2 0.4 1.8 -3.1 0.5 17.4 -18.4 -4.2 -5.5 -15.5 -20.0 5.9 14.2 8.4 10.7 -20.0 -20.0 0.3 -17.8 -17.7 -20.0 -7.3 4.1 -5.9 -0.0 -2.9 -4.9 20.0 5.2 -20.0 -20.0 -20.0 -7.4 -20.0 -6.7 -20.0 SOYMEAL -4.3 -20.0 -20.0 1.4 5.7 0.3 1.5 -2.4 0.4 10.5 -16.5 -8.2 -10.5 -14.9 -17.6 -5.5 10.6 -0.1 5.1 -20.0 -20.0 -5.3 -14.3 -19.2 -20.0 -6.1 1.3 -5.0 -1.1 -1.9 -4.1 17.9 -5.3 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -4.4 -5.0 -19.4 1.4 5.8 0.4 1.5 -2.5 0.4 13.1 -16.6 -7.2 -13.3 -11.3 -15.4 -6.5 3.3 -4.8 -1.2 -17.1 -20.0 1.2 -20.0 -9.0 -20.0 -5.0 8.7 -6.1 1.9 -5.5 -2.6 5.8 9.7 -2.3 -19.5 -8.5 -13.9 -7.2 -10.0 5.2 SP400 16.5 10.4 20.0 5.4 4.6 4.3 4.8 2.9 5.3 14.8 15.3 16.3 11.9 16.3 16.8 -7.1 -5.5 -6.3 -5.9 20.0 18.4 20.0 11.7 20.0 -12.0 6.0 7.0 4.9 7.0 3.3 6.5 1.5 13.1 7.4 -2.9 0.5 -17.3 -8.4 -15.0 -20.0 SP500_micro 3.1 11.3 20.0 6.3 5.4 5.1 5.6 3.3 6.2 13.5 20.0 16.1 18.7 18.7 20.0 -13.1 -11.3 -12.9 -12.3 20.0 20.0 18.1 20.0 20.0 -20.0 7.5 3.4 7.5 3.9 6.2 5.7 -9.0 -5.1 -3.7 15.7 17.5 4.5 -3.0 17.3 -6.4 SUGAR11 -13.9 4.8 -20.0 1.2 4.8 0.3 1.2 -2.1 0.3 -5.9 -5.5 -9.9 5.2 -6.6 -6.7 10.6 18.5 16.0 17.9 -8.7 -6.8 -13.9 1.0 -11.7 -20.0 -4.0 -2.6 -3.5 -5.0 0.4 -4.4 20.0 -20.0 -16.0 -9.3 -20.0 16.3 0.6 20.0 11.5 US10 -4.3 -11.3 12.4 -0.4 3.5 0.3 2.0 -0.7 -0.1 8.2 1.8 4.9 -2.6 -4.2 -0.3 -7.8 -8.0 -8.6 -8.5 -1.8 -1.1 5.8 -4.6 -0.4 2.0 0.1 4.4 0.6 2.5 -0.8 0.2 -13.1 3.9 -2.0 3.5 2.0 -20.0 -20.0 -15.4 9.4 US10U -3.6 -10.1 12.3 -0.5 4.9 0.4 2.9 -1.0 -0.1 11.6 1.8 7.0 -3.6 -6.1 -0.8 -3.0 0.0 -0.8 -0.1 -2.5 -1.9 7.9 -7.1 -0.4 -0.8 0.5 5.8 0.8 3.6 -1.3 0.6 1.3 4.8 -1.6 6.4 3.2 -20.0 -20.0 10.6 20.0 US2 -11.6 -17.1 11.5 -0.3 3.1 0.2 1.8 -0.6 -0.1 6.2 -1.3 -1.0 -5.3 -6.0 -4.0 -20.0 -20.0 -20.0 -20.0 -4.9 -3.0 0.8 -6.2 -4.6 9.4 -1.0 1.8 0.1 0.3 -1.0 -1.4 -20.0 -2.1 -8.5 -2.2 -0.8 -20.0 -20.0 -16.2 -20.0 US20 -0.7 -8.2 15.5 -0.4 3.6 0.3 2.1 -0.8 -0.1 8.6 2.3 6.4 -1.7 -2.4 1.1 0.0 -0.9 -0.1 -0.5 0.2 0.0 8.2 -4.5 1.9 -1.3 1.5 6.0 1.3 4.2 -0.9 1.7 -0.4 7.2 2.5 7.1 5.4 -20.0 -20.0 20.0 20.0 US30 2.6 -5.6 13.6 -0.5 4.4 0.3 2.6 -0.9 -0.1 9.4 1.7 8.5 -3.3 -1.5 0.8 -8.0 -5.9 -8.0 -7.1 0.4 -0.7 9.4 -6.5 3.2 -0.7 2.1 6.5 1.4 5.3 -1.5 2.8 -9.8 7.4 5.8 9.6 4.9 -14.8 -18.8 20.0 20.0 US5 -7.2 -14.8 11.3 -0.4 3.4 0.2 2.0 -0.7 -0.1 7.9 1.3 3.2 -3.3 -5.3 -1.8 -8.5 -10.1 -9.4 -10.0 -3.3 -1.6 3.9 -4.4 -2.3 4.2 -0.5 3.5 0.5 1.6 -0.6 -0.7 -16.3 1.4 -4.9 1.0 0.7 -20.0 -20.0 -20.0 -6.7 VIX 2.9 4.7 -9.2 -7.6 4.9 -10.3 -0.3 -13.8 -4.7 17.4 -20.0 -6.8 -20.0 -15.2 -20.0 -20.0 -20.0 -20.0 -20.0 -17.0 -20.0 1.4 -20.0 -6.8 NaN -8.8 6.1 -12.5 0.3 -17.1 -4.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -12.4 -9.6 -0.8 1.5 6.3 0.4 1.6 -2.7 0.4 -16.4 -19.2 -17.3 -19.3 -17.3 -16.5 -12.3 -11.0 -11.9 -11.5 -20.0 -20.0 -20.0 -20.0 -20.0 -0.1 -6.4 -6.4 -4.7 -7.1 -4.1 -7.6 -15.8 -20.0 -20.0 -20.0 -20.0 -16.4 -20.0 -11.9 -20.0 End of report for caleb_strategy_v3