******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240308_204010 produced at 2024-03-08 21:37:28.206020 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.33 0.0 0.00 0.00 0.00 0.00 -4.53 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.32 0.0 0.09 -0.09 -0.09 -0.08 -63.81 17.0 -17 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -8.13 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.34 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.39 -0.16 0.0 0.57 -0.57 -0.39 -0.35 -3.67 13.0 -9 -8 caleb_strategy_v3 BOBL False False 0.04 -0.52 -0.08 0.0 0.75 -0.75 -0.52 -0.52 -2.04 19.0 -13 -13 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.14 -0.14 -0.02 -0.02 -26.04 51.0 -6 -6 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.09 -0.09 -0.07 -0.07 -10.19 12.0 -10 -10 caleb_strategy_v3 JPY False False 0.03 -0.16 -0.07 0.0 0.45 -0.45 -0.16 -0.13 -2.78 17.0 -6 -5 caleb_strategy_v3 US5 False False 0.03 -0.30 -0.06 0.0 0.82 -0.82 -0.30 -0.30 -1.91 25.0 -9 -9 caleb_strategy_v3 CAD False False 0.02 0.00 -0.06 0.0 0.66 -0.66 0.00 0.00 -2.66 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 -4.76 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 -1.66 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 -25.81 26.0 -18 -17 caleb_strategy_v3 DX False False 0.03 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.96 999999999.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.58 -0.58 0.00 0.00 -0.81 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.20 9.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.18 9.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -1.73 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -2.43 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.48 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.09 -0.09 -0.05 -0.05 -2.27 10.0 -6 -6 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.33 7.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -1.14 19.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.05 -0.01 0.0 0.39 -0.39 0.05 0.01 -2.31 66.0 8 2 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.13 -0.13 -0.01 -0.01 -1.62 18.0 -1 -1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.45 -0.45 -0.04 -0.04 -0.15 10.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.06 0.00 0.0 0.40 -0.40 0.06 0.09 0.16 21.0 3 5 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.15 11.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.00 0.0 0.22 -0.22 0.00 -0.03 -1.39 68.0 0 -8 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.03 0.17 10.0 0 2 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.06 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.04 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.46 -0.46 0.00 0.00 0.02 13.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.24 -0.24 0.00 0.08 0.06 6.0 0 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.18 0.01 0.0 0.26 -0.26 0.18 0.18 0.52 23.0 16 16 caleb_strategy_v3 US20 False False 0.04 0.04 0.01 0.0 0.33 -0.33 0.04 0.04 0.20 9.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.72 3.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 2.49 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.23 -0.23 0.02 0.02 1.31 23.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.08 0.02 0.0 0.51 -0.51 0.08 0.10 1.08 26.0 4 5 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 0.80 0.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 0.80 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.09 0.03 0.0 0.18 -0.18 0.09 0.18 0.29 2.0 1 2 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 0.03 0.0 0.37 -0.37 -0.04 -0.01 4.02 56.0 -6 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 0.82 4.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.38 -0.38 0.03 0.04 4.21 48.0 4 5 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.10 -0.10 0.05 0.02 1.69 4.0 2 1 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.43 -0.43 0.00 0.00 1.03 10.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.25 0.04 0.0 0.33 -0.33 0.25 0.25 1.03 8.0 6 6 caleb_strategy_v3 EUR False False 0.04 0.08 0.04 0.0 0.59 -0.59 0.08 0.08 0.92 14.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.20 0.07 0.0 0.40 -0.40 0.20 0.20 1.86 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 38.88 59.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.10 0.0 0.38 -0.38 0.00 0.00 4.51 17.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.10 0.0 0.54 -0.54 0.12 0.12 3.93 22.0 5 5 caleb_strategy_v3 CAC False True 0.03 0.00 0.11 0.0 0.00 0.00 0.00 0.00 3.98 12.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.12 0.0 0.16 -0.16 0.05 0.07 9.24 13.0 4 6 caleb_strategy_v3 EUROSTX False False 0.02 0.20 0.16 0.0 0.33 -0.33 0.20 0.25 9.70 20.0 12 15 caleb_strategy_v3 SMI False False 0.04 0.08 0.17 0.0 0.36 -0.36 0.08 0.28 4.27 9.0 2 7 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.17 0.0 0.11 -0.11 0.07 0.02 7.42 5.0 3 1 caleb_strategy_v3 DAX False False 0.01 0.06 0.19 0.0 0.35 -0.35 0.06 0.12 31.13 58.0 10 20 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.20 0.0 0.29 -0.29 0.28 0.19 25.45 36.0 35 24 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.41 0.36 0.0 0.82 -0.82 0.41 0.33 4.34 10.0 5 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.27 0.39 0.0 0.48 -0.48 0.27 0.27 12.85 16.0 9 9 caleb_strategy_v3 MXP False False 0.01 0.54 0.91 0.0 0.54 -0.54 0.54 0.54 101.45 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.3 Shocked risk 89.5 Sum abs risk 61.9 Leverage 5.67 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3270609.91, 'annual_cash_vol_target': 817652.4775, 'daily_cash_vol_target': 51103.27984375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6645 0.5753 9.2040 BITCOIN 1664.3958 70175.0000 2.3718 37.9485 BOBL 0.2570 118.5400 0.2168 3.4692 BTP 0.5615 119.8200 0.4686 7.4982 BUND 0.5131 133.7300 0.3837 6.1388 BUXL 1.2169 136.2200 0.8933 14.2930 CAC 47.4402 8027.0000 0.5910 9.4561 CAD 0.0028 0.7426 0.3768 6.0291 CANOLA 6.4495 617.9000 1.0438 16.7004 CHF 0.0048 1.1408 0.4209 6.7340 COCOA 132.6483 6438.0000 2.0604 32.9663 COFFEE 3.5137 182.8500 1.9217 30.7465 COPPER 0.0364 3.9115 0.9313 14.9011 CORN 4.8276 471.7500 1.0233 16.3733 COTTON2 1.7906 95.2800 1.8793 30.0690 CRUDE_W 0.8674 73.4200 1.1814 18.9020 DAX 102.7150 18081.0000 0.5681 9.0893 DOW 207.1370 38907.0000 0.5324 8.5182 DX 0.3441 102.3300 0.3363 5.3804 EUR 0.0041 1.0986 0.3719 5.9507 EURIBOR-ICE 0.0477 97.7750 0.0487 0.7799 EUROSTX 32.9620 4953.0000 0.6655 10.6479 FEEDCOW 1.6556 267.8500 0.6181 9.8899 GASOIL 11.9536 777.7500 1.5369 24.5911 GASOLINE 0.0379 2.4972 1.5169 24.2710 GAS_US_mini 0.0874 1.9300 4.5301 72.4823 GBP 0.0053 1.2863 0.4126 6.6012 GOLD_micro 13.8552 2183.4000 0.6346 10.1531 HEATOIL 0.0384 2.5484 1.5052 24.0839 JGB-SGX-mini 0.2350 145.4900 0.1616 2.5848 JPY 0.0000 0.0069 0.5548 8.8768 LEANHOG 0.9746 101.8750 0.9566 15.3062 LIVECOW 1.1898 183.2750 0.6492 10.3874 LUMBER-new 5.9632 617.0000 0.9665 15.4636 MILK 0.2134 16.5000 1.2930 20.6886 MXP 0.0003 0.0586 0.5048 8.0773 NASDAQ_micro 147.1671 18347.5000 0.8021 12.8338 NIKKEI 374.4718 38865.0000 0.9635 15.4163 NZD 0.0038 0.6176 0.6198 9.9162 OAT 0.5065 129.0900 0.3923 6.2775 OATIES 5.7378 356.0000 1.6117 25.7877 OJ 6.9131 361.0500 1.9147 30.6355 PALLAD 30.2898 1034.0000 2.9294 46.8700 PLAT 15.0063 915.1000 1.6399 26.2377 REDWHEAT 10.1035 574.5000 1.7587 28.1386 RICE 0.1757 18.0400 0.9737 15.5795 ROBUSTA 47.3456 3296.0000 1.4365 22.9833 RUSSELL 22.3974 2112.3000 1.0603 16.9653 SHATZ 0.0880 105.9350 0.0830 1.3287 SILVER-mini 0.3285 24.8250 1.3233 21.1722 SMI 66.4092 11489.0000 0.5780 9.2484 SOFR 0.0655 96.5650 0.0679 1.0857 SOYBEAN 10.1660 1174.5000 0.8656 13.8489 SOYMEAL 4.2987 344.7000 1.2471 19.9533 SOYOIL 0.5727 46.6700 1.2271 19.6341 SP400 22.4512 2991.2000 0.7506 12.0092 SP500_micro 30.8444 5203.2500 0.5928 9.4847 SUGAR11 0.3475 20.9700 1.6573 26.5169 US10 0.3969 111.7344 0.3552 5.6830 US10U 0.5350 115.6250 0.4627 7.4034 US2 0.1120 102.6562 0.1091 1.7463 US20 0.7877 121.5000 0.6483 10.3735 US30 1.1602 130.4062 0.8896 14.2343 US5 0.2668 107.7422 0.2476 3.9619 VIX 0.3943 16.5500 2.3822 38.1154 WHEAT 8.4682 582.5000 1.4538 23.2602 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.50 0.58 382.26 1.00 382.26 51103.28 133.69 -3.30 -44.11 BITCOIN 70.18 2.37 166.44 1.00 166.44 51103.28 307.04 11.69 359.04 BOBL 1185.40 0.22 257.02 1.09 280.21 51103.28 182.38 -11.06 -201.64 BTP 1198.20 0.47 561.52 1.09 612.17 51103.28 83.48 6.54 54.62 BUND 1337.30 0.38 513.09 1.09 559.37 51103.28 91.36 -1.58 -14.44 BUXL 1362.20 0.89 1216.87 1.09 1326.63 51103.28 38.52 -1.03 -3.95 CAC 802.70 0.59 474.40 1.09 517.19 51103.28 98.81 11.81 116.73 CAD 742.60 0.38 279.83 1.00 279.83 51103.28 182.62 -5.62 -102.70 CANOLA 123.58 1.04 128.99 0.74 95.48 51103.28 535.24 -20.00 -1070.48 CHF 1426.00 0.42 600.17 1.00 600.17 51103.28 85.15 -16.62 -141.48 COCOA 643.80 2.06 1326.48 1.00 1326.48 51103.28 38.53 13.10 50.46 COFFEE 685.69 1.92 1317.65 1.00 1317.65 51103.28 38.78 -0.28 -1.10 COPPER 977.88 0.93 910.71 1.00 910.71 51103.28 56.11 -2.72 -15.29 CORN 235.88 1.02 241.38 1.00 241.38 51103.28 211.72 -19.79 -419.04 COTTON2 476.40 1.88 895.30 1.00 895.30 51103.28 57.08 1.24 7.06 CRUDE_W 734.20 1.18 867.37 1.00 867.37 51103.28 58.92 11.64 68.55 DAX 180.81 0.57 102.72 1.09 111.98 51103.28 456.36 20.00 912.72 DOW 194.54 0.53 103.57 1.00 103.57 51103.28 493.43 -2.02 -99.56 DX 1023.30 0.34 344.11 1.00 344.11 51103.28 148.51 -2.49 -36.97 EUR 1373.25 0.37 510.74 1.00 510.74 51103.28 100.06 3.56 35.58 EURIBOR-ICE 2444.38 0.05 119.14 1.09 129.89 51103.28 393.43 3.23 127.24 EUROSTX 495.30 0.67 329.62 1.09 359.35 51103.28 142.21 20.00 284.42 FEEDCOW 1339.25 0.62 827.81 1.00 827.81 51103.28 61.73 5.02 31.02 GASOIL 777.75 1.54 1195.36 1.00 1195.36 51103.28 42.75 9.12 38.98 GASOLINE 1048.82 1.52 1591.00 1.00 1591.00 51103.28 32.12 5.92 19.01 GAS_US_mini 48.25 4.53 218.58 1.00 218.58 51103.28 233.80 -10.20 -238.39 GBP 803.94 0.41 331.69 1.00 331.69 51103.28 154.07 9.84 151.56 GOLD_micro 218.34 0.63 138.55 1.00 138.55 51103.28 368.84 3.20 117.88 HEATOIL 1070.33 1.51 1611.10 1.00 1611.10 51103.28 31.72 5.80 18.40 JGB-SGX-mini 145490.00 0.16 23504.17 0.01 156.91 51103.28 325.68 3.64 118.67 JPY 863.19 0.55 478.89 1.00 478.89 51103.28 106.71 -10.04 -107.18 LEANHOG 407.50 0.96 389.83 1.00 389.83 51103.28 131.09 11.60 152.03 LIVECOW 733.10 0.65 475.94 1.00 475.94 51103.28 107.37 12.69 136.23 LUMBER-new 169.68 0.97 163.99 1.00 163.99 51103.28 311.63 3.73 116.38 MILK 330.00 1.29 426.70 1.00 426.70 51103.28 119.76 -18.55 -222.18 MXP 292.90 0.50 147.87 1.00 147.87 51103.28 345.61 20.00 691.21 NASDAQ_micro 366.95 0.80 294.33 1.00 294.33 51103.28 173.62 1.29 22.32 NIKKEI 38865.00 0.96 37447.18 0.01 252.79 51103.28 202.16 11.63 235.04 NZD 617.65 0.62 382.80 1.00 382.80 51103.28 133.50 0.45 5.99 OAT 1290.90 0.39 506.48 1.09 552.16 51103.28 92.55 3.27 30.27 OATIES 178.00 1.61 286.89 1.00 286.89 51103.28 178.13 -10.33 -184.09 OJ 541.58 1.91 1036.96 1.00 1036.96 51103.28 49.28 6.77 33.39 PALLAD 1034.00 2.93 3028.98 1.00 3028.98 51103.28 16.87 1.03 1.74 PLAT 457.55 1.64 750.32 1.00 750.32 51103.28 68.11 0.75 5.11 REDWHEAT 287.25 1.76 505.18 1.00 505.18 51103.28 101.16 -18.10 -183.09 RICE 360.80 0.97 351.32 1.00 351.32 51103.28 145.46 -4.89 -71.11 ROBUSTA 329.60 1.44 473.46 1.00 473.46 51103.28 107.94 10.39 112.18 RUSSELL 105.62 1.06 111.99 1.00 111.99 51103.28 456.33 -0.92 -41.87 SHATZ 1059.35 0.08 87.97 1.09 95.91 51103.28 532.83 -15.05 -801.89 SILVER-mini 620.62 1.32 821.25 1.00 821.25 51103.28 62.23 3.79 23.58 SMI 1148.90 0.58 664.09 1.13 753.58 51103.28 67.81 18.48 125.31 SOFR 2414.12 0.07 163.81 1.00 163.81 51103.28 311.96 -2.39 -74.59 SOYBEAN 587.25 0.87 508.30 1.00 508.30 51103.28 100.54 -14.25 -143.26 SOYMEAL 344.70 1.25 429.87 1.00 429.87 51103.28 118.88 -19.71 -234.30 SOYOIL 280.02 1.23 343.62 1.00 343.62 51103.28 148.72 -16.38 -243.67 SP400 2991.20 0.75 2245.12 1.00 2245.12 51103.28 22.76 3.81 8.67 SP500_micro 260.16 0.59 154.22 1.00 154.22 51103.28 331.36 5.47 181.34 SUGAR11 234.86 1.66 389.24 1.00 389.24 51103.28 131.29 -5.82 -76.40 US10 1117.34 0.36 396.87 1.00 396.87 51103.28 128.77 -4.96 -63.90 US10U 1156.25 0.46 535.01 1.00 535.01 51103.28 95.52 0.15 1.44 US2 2053.12 0.11 224.09 1.00 224.09 51103.28 228.05 -11.56 -263.64 US20 1215.00 0.65 787.74 1.00 787.74 51103.28 64.87 2.38 15.41 US30 1304.06 0.89 1160.15 1.00 1160.15 51103.28 44.05 1.07 4.71 US5 1077.42 0.25 266.79 1.00 266.79 51103.28 191.55 -7.87 -150.67 VIX 165.50 2.38 394.26 1.00 394.26 51103.28 129.62 -19.94 -258.52 WHEAT 291.25 1.45 423.41 1.00 423.41 51103.28 120.70 -20.00 -241.39 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -44.113 0.010 2.5 -1.145 BITCOIN 359.035 0.043 2.5 38.879 BOBL -201.635 0.004 2.5 -2.045 BTP 54.622 0.014 2.5 1.863 BUND -14.437 0.004 2.5 -0.146 BUXL -3.949 0.004 2.5 -0.040 CAC 116.732 0.014 2.5 3.982 CAD -102.704 0.010 2.5 -2.665 CANOLA -1070.480 0.010 2.5 -26.043 CHF -141.477 0.010 2.5 -3.671 COCOA 50.461 0.009 2.5 1.081 COFFEE -1.099 0.005 2.5 -0.013 COPPER -15.286 0.043 2.5 -1.655 CORN -419.038 0.010 2.5 -10.195 COTTON2 7.057 0.009 2.5 0.151 CRUDE_W 68.553 0.043 2.5 7.423 DAX 912.722 0.014 2.5 31.132 DOW -99.557 0.009 2.5 -2.314 DX -36.969 0.010 2.5 -0.959 EUR 35.582 0.010 2.5 0.923 EURIBOR-ICE 127.241 0.014 2.5 4.340 EUROSTX 284.419 0.014 2.5 9.701 FEEDCOW 31.018 0.013 2.5 1.028 GASOIL 38.981 0.017 2.5 1.690 GASOLINE 19.007 0.017 2.5 0.824 GAS_US_mini -238.387 0.043 2.5 -25.814 GBP 151.562 0.010 2.5 3.932 GOLD_micro 117.878 0.014 2.5 4.021 HEATOIL 18.400 0.017 2.5 0.798 JGB-SGX-mini 118.675 0.043 2.5 12.851 JPY -107.175 0.010 2.5 -2.781 LEANHOG 152.034 0.024 2.5 9.240 LIVECOW 136.227 0.013 2.5 4.514 LUMBER-new 116.381 0.009 2.5 2.489 MILK -222.179 0.009 2.5 -4.758 MXP 691.213 0.059 2.5 101.452 NASDAQ_micro 22.315 0.009 2.5 0.519 NIKKEI 235.036 0.043 2.5 25.452 NZD 5.991 0.010 2.5 0.155 OAT 30.274 0.014 2.5 1.033 OATIES -184.088 0.010 2.5 -4.479 OJ 33.386 0.009 2.5 0.715 PALLAD 1.742 0.014 2.5 0.059 PLAT 5.112 0.014 2.5 0.174 REDWHEAT -183.094 0.005 2.5 -2.429 RICE -71.109 0.010 2.5 -1.730 ROBUSTA 112.182 0.005 2.5 1.310 RUSSELL -41.872 0.013 2.5 -1.388 SHATZ -801.895 0.004 2.5 -8.132 SILVER-mini 23.583 0.014 2.5 0.804 SMI 125.311 0.014 2.5 4.274 SOFR -74.594 0.024 2.5 -4.533 SOYBEAN -143.264 0.004 2.5 -1.332 SOYMEAL -234.298 0.004 2.5 -2.179 SOYOIL -243.673 0.004 2.5 -2.268 SP400 8.671 0.013 2.5 0.287 SP500_micro 181.338 0.009 2.5 4.214 SUGAR11 -76.401 0.009 2.5 -1.625 US10 -63.900 0.005 2.5 -0.810 US10U 1.437 0.005 2.5 0.018 US2 -263.644 0.005 2.5 -3.341 US20 15.412 0.005 2.5 0.195 US30 4.713 0.005 2.5 0.060 US5 -150.665 0.005 2.5 -1.909 VIX -258.523 0.099 2.5 -63.814 WHEAT -241.390 0.005 2.5 -3.202 ===================== Position diags ===================== AUD 3.47 BITCOIN 33.25 BOBL 1.85 BTP 2.85 BUND 0.93 BUXL 0.39 CAC 3.37 CAD 4.74 CANOLA 13.02 CHF 2.21 COCOA 0.83 COFFEE 0.45 COPPER 6.08 CORN 5.15 COTTON2 1.22 CRUDE_W 6.38 DAX 15.57 DOW 11.47 DX 3.85 EUR 2.60 EURIBOR-ICE 13.42 EUROSTX 4.85 FEEDCOW 2.05 GASOIL 1.85 GASOLINE 1.39 GAS_US_mini 25.32 GBP 4.00 GOLD_micro 12.58 HEATOIL 1.38 JGB-SGX-mini 35.27 JPY 2.77 LEANHOG 7.97 LIVECOW 3.56 LUMBER-new 6.67 MILK 2.57 MXP 50.73 NASDAQ_micro 4.04 NIKKEI 21.89 NZD 3.46 OAT 3.16 OATIES 4.33 OJ 1.06 PALLAD 0.58 PLAT 2.32 REDWHEAT 1.34 RICE 3.54 ROBUSTA 1.26 RUSSELL 15.12 SHATZ 5.40 SILVER-mini 2.12 SMI 2.31 SOFR 18.96 SOYBEAN 0.94 SOYMEAL 1.11 SOYOIL 1.38 SP400 0.75 SP500_micro 7.70 SUGAR11 2.79 US10 1.63 US10U 1.21 US2 2.89 US20 0.82 US30 0.56 US5 2.43 VIX 32.00 WHEAT 1.60 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.1 -1.5 -0.8 0.0 0 BITCOIN 38.9 35.6 42.2 0.0 0 BOBL -2.0 -2.2 -1.9 -13.0 -13 BTP 1.9 1.6 2.1 5.0 5 BUND -0.1 -0.2 -0.1 -1.0 -1 BUXL -0.0 -0.1 -0.0 0.0 0 CAC 4.0 3.6 4.3 0.0 0 CAD -2.7 -3.1 -2.2 0.0 0 CANOLA -26.0 -27.3 -24.7 -6.0 -6 CHF -3.7 -3.9 -3.4 -9.0 -9 COCOA 1.1 1.0 1.2 4.0 4 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER -1.7 -2.3 -1.0 0.0 0 CORN -10.2 -10.7 -9.7 -10.0 -10 COTTON2 0.2 0.0 0.3 0.0 0 CRUDE_W 7.4 6.8 8.1 3.0 3 DAX 31.1 29.6 32.7 10.0 10 DOW -2.3 -3.5 -1.2 8.0 8 DX -1.0 -1.3 -0.6 NaN 0 EUR 0.9 0.7 1.2 2.0 2 EURIBOR-ICE 4.3 3.0 5.7 5.0 5 EUROSTX 9.7 9.2 10.2 12.0 12 FEEDCOW 1.0 0.8 1.2 6.0 6 GASOIL 1.7 1.5 1.9 2.0 2 GASOLINE 0.8 0.7 1.0 4.0 4 GAS_US_mini -25.8 -28.3 -23.3 -18.0 -18 GBP 3.9 3.5 4.3 5.0 5 GOLD_micro 4.0 2.8 5.3 -6.0 -6 HEATOIL 0.8 0.7 0.9 0.0 0 JGB-SGX-mini 12.9 9.3 16.4 9.0 9 JPY -2.8 -3.1 -2.5 -6.0 -6 LEANHOG 9.2 8.4 10.0 4.0 4 LIVECOW 4.5 4.2 4.9 0.0 0 LUMBER-new 2.5 1.8 3.2 NaN 0 MILK -4.8 -5.0 -4.5 NaN 0 MXP 101.5 96.4 106.5 60.0 60 NASDAQ_micro 0.5 0.1 0.9 16.0 16 NIKKEI 25.5 23.3 27.6 35.0 35 NZD 0.2 -0.2 0.5 3.0 3 OAT 1.0 0.7 1.3 0.0 0 OATIES -4.5 -4.9 -4.0 NaN 0 OJ 0.7 0.6 0.8 NaN 0 PALLAD 0.1 0.0 0.1 0.0 0 PLAT 0.2 -0.1 0.4 0.0 0 REDWHEAT -2.4 -2.6 -2.3 -3.0 -3 RICE -1.7 -2.1 -1.4 NaN 0 ROBUSTA 1.3 1.2 1.4 2.0 2 RUSSELL -1.4 -2.9 0.1 0.0 0 SHATZ -8.1 -8.7 -7.6 NaN 0 SILVER-mini 0.8 0.6 1.0 NaN 0 SMI 4.3 4.0 4.5 2.0 2 SOFR -4.5 -6.4 -2.6 NaN 0 SOYBEAN -1.3 -1.4 -1.2 -2.0 -2 SOYMEAL -2.2 -2.3 -2.1 0.0 0 SOYOIL -2.3 -2.4 -2.1 -6.0 -6 SP400 0.3 0.2 0.4 1.0 1 SP500_micro 4.2 3.4 5.0 4.0 4 SUGAR11 -1.6 -1.9 -1.3 -1.0 -1 US10 -0.8 -1.0 -0.6 0.0 0 US10U 0.0 -0.1 0.1 0.0 0 US2 -3.3 -3.6 -3.1 NaN 0 US20 0.2 0.1 0.3 1.0 1 US30 0.1 0.0 0.1 0.0 0 US5 -1.9 -2.2 -1.7 -9.0 -9 VIX -63.8 -67.0 -60.6 -17.0 -17 WHEAT -3.2 -3.4 -3.0 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.0 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.2 -0.3 0.2 -0.0 0.1 0.1 0.1 0.1 0.0 0.2 -0.1 0.2 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -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 -0.2 -0.2 -0.7 -0.4 -0.3 0.0 BITCOIN 0.6 0.4 0.4 0.0 0.1 -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 -0.3 -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 -0.3 -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 -0.0 -0.2 -0.2 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.1 -0.2 0.6 -0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.3 0.2 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 -2.3 0.0 0.1 0.1 0.1 0.1 0.1 0.6 0.3 0.5 0.5 0.3 -0.5 -0.6 0.6 0.1 BUND -0.2 -0.5 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.0 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 -0.0 -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 0.1 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 -0.7 -0.7 0.2 0.1 CAC 0.6 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.5 0.2 -1.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.0 -0.4 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 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -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 0.4 -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 0.1 -0.5 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.5 0.4 0.0 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.2 -0.6 0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 -0.0 0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.0 0.1 -0.1 -0.6 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.3 -0.6 -0.6 -0.0 -0.6 -0.6 -0.3 -0.6 COCOA -0.6 0.1 -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 0.1 0.6 0.6 0.6 0.4 0.1 0.7 0.6 COFFEE -0.2 -0.1 0.4 0.0 0.1 0.0 0.0 -0.1 0.0 0.0 0.3 0.0 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 0.0 0.1 0.0 0.2 0.0 1.1 0.1 0.1 -0.4 0.4 -0.3 -0.7 -0.1 -0.4 COPPER 0.4 0.1 0.2 0.0 0.1 -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 -0.0 0.1 -1.9 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.5 -0.2 -0.1 0.4 -0.7 -0.1 0.4 0.1 CORN 0.3 -0.0 -0.2 0.0 0.1 0.0 0.0 -0.1 0.0 0.2 -0.5 0.1 -0.7 -0.1 -0.2 -0.4 -0.1 -0.3 -0.2 -0.2 -0.2 0.1 -0.5 -0.1 -2.4 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.7 0.5 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 -0.2 0.6 0.5 0.0 0.1 0.0 0.0 -0.1 0.0 -0.0 0.2 0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 0.2 0.1 0.0 0.1 0.1 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.6 0.6 0.6 -0.6 -0.4 -0.3 0.0 CRUDE_W 0.1 0.2 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 0.1 0.3 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.1 0.0 0.3 0.1 -0.7 0.1 -0.0 0.1 0.0 0.3 0.1 -0.1 -0.0 0.6 -0.2 -0.0 0.7 0.6 0.7 0.7 DAX 0.6 0.5 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 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 0.0 0.2 0.1 0.2 0.1 -0.5 0.4 0.5 0.1 0.2 -0.1 0.5 0.1 0.7 DOW -0.2 -0.0 0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.0 0.5 0.1 -2.0 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.5 -0.5 -0.6 -0.3 0.4 -0.2 -0.2 0.0 -0.5 DX -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 -2.7 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.8 -0.5 -0.6 0.6 -0.6 0.6 0.1 0.7 0.3 EUR 0.3 -0.2 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 0.1 -0.4 0.3 0.5 0.1 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.3 -0.6 0.6 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.0 0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.1 0.1 -0.0 1.9 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.2 0.1 -0.1 -0.1 0.1 -0.7 -0.7 0.2 0.7 EUROSTX 0.5 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.2 0.2 0.5 0.2 0.1 0.1 0.0 0.2 0.1 0.2 0.1 0.9 0.1 0.4 0.6 0.3 -0.3 0.6 -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 0.0 0.2 0.2 -1.0 0.1 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.5 0.1 0.6 0.5 0.7 0.5 0.7 0.7 GASOIL -0.2 0.5 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.2 -0.1 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 -0.1 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 -0.1 0.1 -0.0 0.3 0.1 0.2 0.2 0.2 -0.1 -0.0 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 -0.2 -0.6 -0.6 -0.4 -0.0 -0.7 -0.2 GBP 0.2 -0.1 0.3 -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 0.3 0.1 0.2 0.1 0.2 0.1 0.1 0.2 0.4 0.6 0.5 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.6 0.1 0.2 0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 0.4 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 0.1 0.1 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 -0.3 0.3 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 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 0.2 0.5 0.0 JGB-SGX-mini -0.0 -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 -0.2 0.0 0.1 0.1 -0.2 -0.7 0.1 0.3 JPY 0.1 -0.4 -0.0 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.4 0.1 -0.6 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 -0.0 2.7 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -1.1 0.3 -0.2 -0.4 -0.3 -0.7 -0.5 -0.5 -0.6 LEANHOG 0.5 0.6 0.4 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 0.2 0.2 -0.4 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 0.4 0.6 0.6 0.6 -0.2 -0.3 0.3 0.4 LIVECOW 0.2 0.6 0.1 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 0.1 0.2 0.1 0.2 0.2 0.4 -0.1 0.1 -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 -0.3 0.6 0.6 0.3 0.7 0.1 0.7 0.5 LUMBER-new 0.5 0.3 0.5 0.0 0.1 0.0 0.1 -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 0.2 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 0.5 0.7 -0.4 -0.8 -0.3 -0.5 MILK -0.3 0.6 0.0 0.0 0.1 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 -0.2 1.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.2 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 0.2 0.5 0.1 1.1 0.5 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 0.0 0.5 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.2 -0.4 0.2 0.4 0.4 -0.1 0.6 -0.2 NIKKEI 0.1 0.5 0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.2 -2.2 0.1 -0.0 0.2 0.0 0.2 0.1 1.1 -0.4 0.6 0.6 0.6 -0.7 -0.2 -0.3 -0.1 NZD 0.1 -0.2 0.3 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.2 -0.4 0.0 -0.1 0.1 -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 -0.0 -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 0.1 0.0 0.0 -0.7 -0.7 0.3 0.1 OATIES -0.0 0.1 -0.4 0.0 0.1 0.0 0.0 -0.1 0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.0 0.2 -0.0 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 -0.1 -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 0.0 0.4 0.1 0.0 0.2 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 -0.5 -0.0 0.5 0.0 0.3 0.3 0.5 0.7 PALLAD 0.5 0.3 0.5 0.0 0.0 -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 0.0 -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 0.2 -0.1 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 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.4 -0.3 -0.2 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT -0.1 -0.0 -0.3 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.5 -0.1 -0.7 -0.1 -0.2 0.2 0.0 0.1 0.0 -0.2 -0.2 -0.0 -0.5 -0.1 -1.2 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 0.3 -0.1 -0.6 -0.6 -0.6 -0.5 -0.7 -0.4 -0.7 RICE -0.6 0.1 0.3 0.0 0.1 0.0 0.0 -0.1 0.0 -0.2 0.4 -0.2 0.5 -0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.2 0.4 -0.1 -2.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.3 -0.5 -0.5 0.1 0.3 0.2 -0.2 0.4 0.2 ROBUSTA -0.4 0.2 0.6 0.0 0.1 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 0.1 -0.1 -0.3 -0.1 -0.6 -0.6 -0.6 -0.7 SHATZ -0.5 -0.6 0.1 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 -0.1 -0.4 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.5 0.1 -0.1 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 0.0 -0.0 0.2 -0.1 0.2 0.7 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.2 0.3 0.3 0.1 -0.7 -0.6 0.6 -0.1 SMI 0.5 0.3 0.6 0.1 0.0 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 0.2 0.2 0.2 0.2 1.9 0.1 0.1 0.2 0.1 0.1 0.1 1.1 0.1 0.1 -0.6 -0.3 0.3 -0.2 0.6 -0.3 SOFR -0.0 -0.4 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 0.2 -0.4 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.2 -0.5 0.0 -0.2 -0.1 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 0.1 -0.4 -0.1 -2.7 -0.1 0.1 -0.2 0.0 -0.1 -0.0 1.1 0.5 -0.4 -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 -0.0 -0.4 -0.1 -0.2 -0.1 0.2 -0.0 0.1 -0.2 -0.2 0.0 -0.4 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.9 0.2 -0.4 -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 -0.5 -0.0 -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 -0.0 0.1 -0.2 0.0 -0.2 -0.0 0.3 0.3 -0.1 -0.6 -0.3 -0.5 -0.2 -0.3 0.2 SP400 0.6 0.4 0.6 0.1 0.0 0.1 0.0 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 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 -0.1 0.0 -0.6 -0.3 -0.5 -0.7 SP500_micro 0.1 0.3 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 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 -0.2 0.5 0.6 0.1 -0.1 0.6 -0.2 SUGAR11 -0.4 0.1 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -0.2 -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 -0.0 0.0 -0.0 1.1 -0.5 -0.6 -0.3 -0.6 0.6 0.0 0.7 0.4 US10 -0.1 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 -0.0 -0.0 -0.2 -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 -0.0 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.1 0.0 0.0 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 -0.3 -0.5 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 -0.0 -0.0 0.0 -0.2 -0.0 1.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 -1.1 0.0 -0.3 -0.1 -0.0 -0.7 -0.7 -0.5 -0.7 US20 0.1 -0.2 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 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.1 -0.1 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.1 -0.2 0.0 -0.1 0.0 0.0 0.0 0.1 -0.1 0.0 -0.5 0.1 0.2 0.3 0.2 -0.5 -0.6 0.7 0.7 US5 -0.1 -0.5 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 0.0 -0.1 -0.0 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.9 0.1 -0.2 0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.3 -0.4 -0.1 0.1 -0.5 0.0 -0.8 -0.1 0.3 -0.9 -0.0 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.1 -0.9 -0.1 NaN -0.1 0.1 -0.5 0.0 -1.0 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.3 -0.3 -0.1 0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.9 -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 5.4 -9.8 4.9 -0.2 11.3 2.0 6.5 3.5 1.2 17.8 -4.2 14.7 -10.3 -4.1 -8.3 -3.0 -2.9 -2.9 -2.8 -3.6 -3.0 13.2 -5.4 1.5 2.7 -1.9 15.3 -1.3 8.1 -2.0 1.0 -1.2 -2.3 4.5 -7.2 -6.4 -20.0 -10.6 -9.8 0.2 BITCOIN 20.0 12.5 12.4 0.8 15.8 -2.2 14.2 -1.8 7.4 20.0 20.0 20.0 20.0 20.0 20.0 -9.3 -7.0 -8.7 -8.1 20.0 20.0 20.0 20.0 20.0 -20.0 8.5 8.0 6.5 10.6 4.8 10.6 -2.6 20.0 20.0 20.0 20.0 -6.4 1.2 14.6 5.1 BOBL -10.0 -20.0 8.5 -0.2 3.7 0.3 2.6 -0.7 0.4 8.3 -0.3 2.3 -1.7 -6.5 -5.2 -16.5 -16.5 -20.0 -20.0 -5.6 -1.6 3.1 -2.4 -4.6 6.7 -1.6 4.0 -0.3 1.5 -0.4 -1.2 -20.0 -1.4 -7.0 -5.9 -4.9 -20.0 -20.0 3.0 -20.0 BTP 3.1 -6.6 19.0 -0.3 6.3 0.5 4.5 -1.3 0.6 14.7 10.2 14.0 9.7 6.4 7.8 4.3 6.3 4.7 5.2 9.3 12.5 20.0 9.2 11.1 -17.2 4.1 13.0 5.0 10.1 3.9 5.5 11.2 11.7 16.5 14.8 9.6 -13.7 -17.8 18.1 2.8 BUND -5.1 -16.3 13.0 -0.2 4.1 0.4 2.9 -0.8 0.4 9.2 1.4 6.1 -0.9 -5.6 -2.6 -2.8 3.6 1.1 1.9 -2.4 0.7 5.4 -1.5 -1.4 4.2 -0.8 5.2 0.5 2.9 -0.0 -0.2 5.8 -1.5 -2.2 -1.6 -1.8 -18.3 -20.0 9.1 -11.3 BUXL 0.4 -11.4 16.5 -0.3 5.2 0.4 3.6 -1.0 0.5 11.7 2.8 9.8 -4.4 -3.6 -1.0 -5.0 -0.2 -2.2 -1.0 0.1 1.8 8.9 -3.5 2.0 0.2 0.5 6.9 1.2 5.1 -0.5 1.6 0.4 -2.1 4.3 2.2 1.9 -20.0 -20.0 5.7 2.0 CAC 18.5 20.0 17.3 8.3 5.2 6.8 6.9 4.5 8.1 15.0 20.0 20.0 20.0 20.0 20.0 -7.5 -5.7 -8.1 -7.5 20.0 20.0 20.0 20.0 20.0 -10.6 8.9 4.5 7.1 6.6 5.2 8.7 -0.2 -14.7 6.1 4.0 -3.7 -4.0 15.2 -0.7 20.0 CAD -3.7 -6.7 8.9 -0.2 13.0 2.3 7.6 4.1 1.4 13.5 -2.3 2.1 -4.2 -11.8 -3.9 -2.2 -2.2 -2.1 -2.1 -4.1 -1.5 4.2 -3.7 -4.2 0.1 -2.6 9.8 -1.0 3.1 -2.0 -2.6 0.0 -14.1 -13.3 -3.6 -2.5 -15.1 -14.3 0.7 -12.6 CANOLA 12.8 -4.9 -20.0 1.1 4.6 0.3 2.1 -1.6 0.9 10.3 -11.2 8.0 -10.2 -4.7 -10.0 -15.9 -4.5 -13.4 -10.5 -15.4 -20.0 7.5 -20.0 -3.4 -20.0 -3.9 3.3 -5.2 1.6 -5.0 -1.2 -9.5 15.3 0.3 -20.0 -20.0 -20.0 -20.0 -18.2 -8.2 CHF -7.4 -20.0 0.7 -0.2 10.8 1.9 6.3 3.4 1.2 15.3 -2.5 -4.3 3.1 -16.6 -12.9 -15.2 -15.5 -15.4 -15.6 -13.9 -5.2 -1.3 1.9 -13.1 -4.7 -3.6 3.7 -0.3 -0.4 1.5 -4.1 -20.0 -11.3 -20.0 -20.0 -0.3 -19.0 -17.1 -7.8 -18.6 COCOA -18.4 2.8 -7.8 0.8 3.4 0.2 1.6 -1.2 0.6 4.3 8.8 6.8 8.8 7.9 8.3 20.0 9.6 20.0 17.2 18.9 15.5 11.4 11.2 17.7 -11.9 3.1 0.3 3.0 1.2 2.6 2.3 20.0 5.4 20.0 20.0 20.0 11.6 2.5 20.0 19.2 COFFEE -6.2 -2.7 11.6 1.9 7.9 0.5 3.6 -2.7 1.5 3.7 10.2 2.4 6.5 4.2 5.0 20.0 8.4 17.0 12.2 4.5 8.7 4.7 6.0 1.9 -20.0 2.2 3.4 5.5 3.7 5.3 1.2 20.0 4.0 3.0 -12.3 12.6 -9.4 -20.0 -3.6 -12.6 COPPER 12.9 2.5 5.6 0.7 14.6 -2.0 13.1 -1.6 6.8 7.5 0.8 15.9 -6.9 13.2 7.6 -5.0 -4.9 -5.6 -5.6 6.3 2.9 12.2 -1.8 9.8 -14.1 1.4 7.9 0.4 6.6 -1.0 3.7 1.2 -20.0 -7.4 -1.8 11.7 -20.0 -2.5 11.9 4.3 CORN 8.9 -0.4 -7.1 2.1 8.7 0.6 4.0 -2.9 1.6 18.4 -20.0 9.8 -20.0 -6.5 -16.6 -19.0 -6.7 -16.0 -12.3 -19.8 -20.0 9.2 -20.0 -7.0 -18.3 -7.0 6.6 -7.1 1.9 -6.0 -3.6 -12.8 20.0 -17.2 -20.0 -20.0 -5.2 -20.0 -3.4 -0.5 COTTON2 -6.7 20.0 13.9 1.4 5.9 0.4 2.7 -2.0 1.1 -5.4 7.0 2.1 3.6 9.1 10.5 5.4 -0.8 -0.6 -2.3 14.0 8.8 5.2 2.8 12.3 -20.0 4.8 0.3 3.2 2.1 1.5 4.3 0.1 11.6 20.0 20.0 20.0 -17.0 -13.5 -8.0 1.4 CRUDE_W 3.2 6.4 -3.6 4.0 -1.0 2.8 0.6 3.1 2.8 -2.5 0.4 13.5 8.1 15.5 9.2 11.8 9.8 9.9 9.5 5.4 4.7 4.2 9.8 6.8 -5.0 5.4 -0.1 4.5 3.8 7.7 6.3 -1.1 -0.1 17.8 -5.4 -0.2 20.0 19.4 20.0 20.0 DAX 19.6 16.1 20.0 8.1 5.1 6.6 6.7 4.3 7.9 16.5 20.0 20.0 20.0 20.0 20.0 -14.6 -11.6 -15.0 -13.6 20.0 20.0 20.0 20.0 20.0 18.0 8.8 5.2 7.1 8.7 5.0 9.7 -10.3 18.7 16.0 2.1 6.8 -3.6 13.7 3.7 20.0 DOW -5.2 -0.6 20.0 6.5 4.1 5.3 5.4 3.5 6.3 -0.1 20.0 5.6 19.1 14.5 19.5 -13.6 -10.8 -13.1 -12.2 20.0 20.0 0.8 20.0 9.5 -14.7 6.9 -0.0 9.2 -0.1 8.0 2.7 -8.5 -20.0 -20.0 -9.0 11.5 -6.0 -5.1 1.1 -14.0 DX -8.2 9.7 -3.9 -0.2 12.3 2.2 7.2 3.9 1.4 -20.0 4.6 -20.0 0.2 -0.2 6.0 6.9 6.2 6.5 6.3 2.1 2.7 -20.0 4.0 -6.8 -20.0 -0.1 -18.3 0.3 -12.2 1.9 -4.2 14.5 -20.0 -20.0 20.0 -20.0 17.0 2.5 20.0 8.7 EUR 10.6 -7.1 2.1 -0.2 13.1 2.3 7.6 4.1 1.4 20.0 -3.8 20.0 0.3 4.3 -6.8 -6.6 -6.6 -6.4 -6.3 -0.1 -2.1 20.0 -2.6 8.9 19.6 1.5 14.7 0.6 11.7 -0.1 5.7 -7.4 11.4 15.4 4.2 -5.3 -20.0 -15.2 -20.0 -11.6 EURIBOR-ICE -9.2 -20.0 17.5 -0.2 3.4 0.3 2.4 -0.7 0.3 7.6 3.7 4.5 3.0 -4.2 0.1 -1.9 -3.7 -0.6 -1.8 -0.8 4.9 6.1 4.1 -1.1 14.5 -0.0 5.4 1.9 2.7 1.6 -0.0 -3.9 2.9 -2.2 -1.8 2.7 -20.0 -20.0 7.1 20.0 EUROSTX 14.8 20.0 20.0 8.0 5.1 6.6 6.7 4.3 7.8 14.4 20.0 20.0 20.0 20.0 20.0 10.1 2.8 8.9 5.6 20.0 20.0 20.0 20.0 20.0 1.0 9.0 5.2 7.4 7.2 5.4 8.8 17.7 4.9 13.2 20.0 9.1 -8.9 16.6 -6.9 20.0 FEEDCOW 0.2 20.0 9.3 2.4 9.9 0.7 4.5 -3.4 1.8 -4.1 1.8 8.7 1.3 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.6 3.9 6.9 20.0 -7.7 5.5 -1.9 3.6 -0.2 4.1 3.3 -20.0 -20.0 3.0 20.0 16.0 20.0 13.6 20.0 20.0 GASOIL -7.4 14.4 -1.6 3.1 -0.8 2.2 0.5 2.5 2.2 -0.1 7.3 -7.1 10.3 9.5 11.6 20.0 20.0 20.0 20.0 9.6 9.9 -0.4 12.3 5.2 7.3 4.2 -2.0 4.7 -0.3 5.6 2.1 20.0 -3.9 -3.1 3.1 7.0 -10.4 -6.5 -20.0 -13.1 GASOLINE -0.5 13.2 2.0 3.5 -0.9 2.5 0.6 2.8 2.5 -12.6 3.1 -3.2 9.2 13.2 15.9 10.1 8.0 -4.9 -2.4 11.8 8.9 -0.0 9.2 8.2 -20.0 6.3 -2.8 4.6 0.7 5.6 5.0 -10.8 -2.8 16.4 6.9 14.4 20.0 15.2 19.7 14.1 GAS_US_mini 13.6 -6.0 -8.6 1.6 -0.4 1.1 0.3 1.3 1.1 -4.1 -9.7 2.7 -10.9 -6.2 -8.6 -20.0 -19.6 -11.9 -14.7 -10.3 -15.2 -1.3 -19.8 -4.1 18.7 -3.5 -1.8 -4.1 -1.0 -3.7 -2.0 -20.0 -0.1 -6.5 -20.0 -19.5 -13.4 -0.8 -20.0 -5.7 GBP 6.6 -3.1 7.8 -0.2 13.8 2.5 8.0 4.3 1.5 20.0 6.8 20.0 10.3 13.0 16.6 -0.8 -0.6 -0.5 -0.5 8.3 8.4 20.0 7.4 13.8 2.6 5.7 20.0 5.5 16.8 3.7 8.9 2.8 18.5 17.6 16.8 10.1 -20.0 -5.5 -20.0 2.7 GOLD_micro 20.0 3.5 6.1 0.7 14.0 -1.9 12.5 -1.6 6.5 19.7 13.5 20.0 9.0 15.7 9.9 -15.8 -14.6 -15.5 -15.1 18.7 10.3 20.0 7.3 20.0 -3.9 4.9 16.6 2.7 15.4 2.0 9.7 -15.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -14.4 HEATOIL -8.4 9.8 -3.6 3.4 -0.9 2.4 0.5 2.7 2.4 -0.1 1.2 -11.9 7.0 2.3 7.6 20.0 20.0 20.0 20.0 4.0 4.8 -2.3 8.6 0.5 -20.0 4.8 -1.0 5.3 0.2 7.3 2.7 20.0 -4.6 -0.8 1.9 9.1 17.5 4.5 14.3 0.8 JGB-SGX-mini -1.5 -6.6 12.4 -0.4 3.5 0.3 2.1 -0.7 -0.1 -5.4 4.8 2.2 5.9 -4.2 3.4 15.0 16.6 13.3 13.6 1.5 3.7 -1.1 3.8 -0.4 -5.4 0.4 -2.3 1.1 -0.7 0.5 -0.3 20.0 -10.1 0.6 2.7 2.2 -5.9 -20.0 2.9 10.1 JPY 2.3 -12.0 -1.5 -0.1 8.6 1.5 5.0 2.7 1.0 14.2 -14.7 5.8 -15.5 -10.4 -14.1 -16.7 -16.2 -16.3 -16.4 -11.7 -14.8 11.1 -20.0 -3.5 20.0 -3.5 11.4 -4.6 5.4 -6.8 -0.5 -20.0 12.6 -4.9 -12.1 -10.3 -19.7 -14.2 -14.6 -16.7 LEANHOG 16.5 20.0 11.1 2.6 10.7 0.7 4.9 -3.6 2.0 15.9 7.7 20.0 -12.4 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 11.1 20.0 -10.5 20.0 18.2 9.0 3.9 6.0 6.0 -0.5 8.2 -20.0 15.4 20.0 20.0 20.0 -7.2 -8.2 7.5 13.3 LIVECOW 6.9 20.0 4.2 2.4 9.7 0.7 4.4 -3.3 1.8 8.6 3.0 16.1 1.9 20.0 20.0 20.0 -4.0 3.5 -2.8 20.0 10.8 11.3 4.6 20.0 -5.0 6.2 1.2 3.2 3.0 3.3 5.8 -2.9 -11.9 20.0 20.0 8.6 20.0 4.4 20.0 13.6 LUMBER-new 14.2 7.9 13.7 2.6 10.7 0.8 4.9 -2.8 2.0 20.0 10.8 20.0 -12.5 20.0 19.2 -16.1 -15.2 -16.2 -15.6 20.0 12.8 20.0 1.3 20.0 NaN 8.7 14.4 5.7 14.1 2.4 11.7 -20.0 20.0 20.0 12.9 20.0 -10.5 -20.0 -7.6 -13.7 MILK -10.5 20.0 0.5 1.4 5.7 0.4 2.6 -1.9 1.1 -12.2 -11.6 -13.0 -13.4 -7.6 -9.7 -20.0 -20.0 -20.0 -20.0 -9.7 -13.8 -20.0 -20.0 -14.7 10.8 -2.8 -8.1 -4.0 -8.0 -6.3 -4.7 -20.0 -20.0 -20.0 -7.8 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 7.7 5.0 13.9 -0.2 13.5 2.4 7.8 4.2 1.5 20.0 20.0 20.0 20.0 20.0 20.0 17.8 16.8 16.8 16.2 19.1 20.0 20.0 20.0 20.0 -20.0 8.6 15.9 9.4 14.1 13.3 10.4 20.0 20.0 19.7 20.0 10.8 20.0 20.0 20.0 20.0 NASDAQ_micro -7.2 1.2 14.8 4.8 3.0 3.9 4.0 2.6 4.6 2.4 14.8 7.7 14.7 12.2 14.2 -11.2 -10.1 -11.5 -11.0 18.8 20.0 7.4 20.0 12.5 -20.0 5.6 0.7 6.5 2.0 6.4 3.6 -6.9 -6.4 -12.1 7.5 10.9 12.6 -2.8 19.4 -5.8 NIKKEI 1.6 16.9 16.1 6.5 4.1 5.3 5.4 3.5 6.3 -7.8 20.0 11.2 20.0 17.2 19.6 7.3 12.3 12.2 12.5 20.0 20.0 14.2 20.0 20.0 -16.2 7.3 -1.3 6.6 2.8 5.3 5.9 20.0 -14.7 20.0 20.0 20.0 -19.9 -5.1 -7.7 -4.4 NZD 3.6 -6.5 8.4 -0.2 8.8 1.6 5.1 2.8 1.0 11.4 3.3 5.0 -0.1 -2.6 0.8 0.3 0.3 0.3 0.3 0.7 2.2 4.9 0.1 0.9 0.0 0.4 7.7 1.7 2.9 0.9 0.2 4.2 -17.7 0.1 -2.3 1.6 -8.7 -9.4 -1.9 3.5 OAT -2.6 -14.2 15.3 -0.2 4.5 0.4 3.1 -0.9 0.4 10.2 3.1 7.9 0.4 -4.1 -0.5 3.8 6.2 4.5 5.0 -0.1 3.2 8.4 0.5 1.0 5.2 0.2 7.0 1.5 4.5 0.7 1.0 10.8 0.5 1.8 1.2 1.1 -20.0 -20.0 10.3 3.7 OATIES -0.2 3.5 -11.2 1.4 5.9 0.4 2.7 -2.0 1.1 -4.6 -12.6 -2.7 -10.4 -1.9 -4.5 8.9 -2.4 5.4 0.2 -5.0 -10.2 -4.3 -10.0 -2.6 -20.0 -1.5 -2.8 -3.6 -2.7 -3.9 -1.4 -0.1 -3.8 -3.0 -6.3 -5.4 -9.2 1.4 -0.5 12.9 OJ 5.4 13.3 -20.0 1.3 5.5 0.4 2.5 -1.9 1.0 -1.7 6.7 3.8 10.0 9.6 3.2 7.6 15.5 8.3 11.7 8.5 10.4 2.1 17.7 7.1 -20.0 2.6 -1.1 4.7 0.2 9.2 1.6 20.0 -19.7 -0.5 16.7 0.1 9.6 9.5 14.9 20.0 PALLAD 15.6 8.9 15.6 0.2 5.2 -0.7 4.7 -0.6 2.4 5.2 -5.6 6.2 -7.8 3.4 -3.9 -1.9 -2.1 -1.9 -2.0 -1.6 -5.5 6.8 -9.2 2.9 9.1 -0.6 5.1 -2.5 3.9 -4.0 1.5 6.8 -3.3 -1.6 -1.9 -1.8 -16.1 -9.8 -11.6 -5.2 PLAT 4.9 -4.2 0.8 0.4 7.9 -1.1 7.1 -0.9 3.7 7.1 -5.9 5.8 -8.0 -3.0 -7.3 -4.2 -3.3 -4.0 -3.8 -3.4 -4.2 4.8 -4.3 -0.2 10.1 -1.3 4.9 -1.4 3.3 -1.1 0.5 4.3 -14.6 -10.4 -6.3 1.6 -12.9 -4.3 20.0 6.9 REDWHEAT -1.8 -0.5 -7.9 1.8 7.4 0.5 3.4 -2.5 1.4 8.2 -18.6 -6.8 -18.3 -13.4 -15.7 10.1 0.6 4.6 1.5 -17.9 -20.0 -4.7 -20.0 -12.9 -9.3 -6.3 2.1 -6.2 -2.6 -5.7 -5.6 4.7 -4.4 -20.0 -20.0 -20.0 -15.1 -20.0 -10.9 -20.0 RICE -17.8 3.0 8.4 1.9 7.8 0.5 3.6 -2.6 1.4 -17.3 14.3 -17.6 15.3 -3.0 8.1 -8.0 -3.1 -10.5 -8.9 7.7 15.2 -17.4 14.7 -6.0 -18.5 2.7 -9.4 4.9 -7.4 4.5 -2.2 -6.3 -20.0 -13.9 3.3 10.7 5.4 -4.5 12.4 4.5 ROBUSTA -13.8 4.7 20.0 1.6 6.4 0.4 2.9 -2.2 1.2 9.8 15.4 10.1 15.8 12.7 14.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 18.0 -20.0 5.6 5.9 7.3 5.5 7.2 4.3 20.0 20.0 19.9 20.0 20.0 -20.0 -17.5 -10.4 1.0 RUSSELL 9.1 4.2 20.0 4.3 2.7 3.5 3.5 2.3 4.2 11.7 9.8 12.4 6.6 11.5 11.1 -6.5 -6.3 -6.4 -6.4 10.9 9.7 10.6 5.3 10.7 -2.1 4.6 3.3 4.0 3.9 2.5 4.3 0.2 3.7 -3.7 -8.8 -3.1 -18.3 -19.2 -19.4 -20.0 SHATZ -15.7 -20.0 3.6 -0.2 3.3 0.3 2.3 -0.6 0.3 6.9 -4.8 -2.9 -6.0 -7.0 -7.0 -20.0 -20.0 -20.0 -20.0 -9.5 -5.7 -0.3 -6.1 -8.4 8.1 -2.0 2.4 -1.0 0.2 -1.0 -1.9 -20.0 -3.2 -12.3 -10.5 -7.4 -20.0 -20.0 -8.3 -20.0 SILVER-mini 16.0 2.1 -3.9 0.6 12.3 -1.7 11.0 -1.4 5.7 17.3 -3.9 16.9 -3.9 11.4 -7.0 -6.6 -6.6 -6.8 -6.8 2.9 -2.9 20.0 -3.2 14.8 5.5 3.2 12.3 0.3 12.1 -0.2 8.1 -1.2 9.1 9.5 9.7 3.8 -20.0 -18.3 17.6 -2.6 SMI 14.1 8.6 17.4 7.4 4.6 6.0 6.1 4.0 7.2 19.9 18.1 20.0 9.3 20.0 20.0 8.4 6.3 9.7 8.2 19.9 14.7 20.0 7.2 20.0 14.3 7.7 13.4 6.2 10.5 3.2 8.5 20.0 5.5 2.2 -17.6 -10.7 8.7 -5.3 17.4 -9.5 SOFR -0.9 -13.7 10.5 -0.2 4.2 0.4 2.9 -0.8 0.4 9.6 3.7 7.7 -0.0 -3.1 -0.4 0.1 0.3 0.9 0.7 -1.3 0.3 8.2 -1.3 1.0 -2.4 0.4 4.9 1.2 3.4 0.3 0.7 2.0 5.2 -2.4 3.1 2.2 -20.0 -20.0 -2.1 -1.7 SOYBEAN 5.4 -11.7 -20.0 2.1 8.7 0.6 4.0 -3.0 1.6 18.7 -17.9 4.5 -5.5 -11.7 -19.9 5.7 14.1 8.2 10.5 -20.0 -20.0 10.8 -16.1 -10.3 -20.0 -6.7 9.9 -5.7 3.3 -3.0 -3.2 20.0 20.0 -11.2 -20.0 -20.0 -7.4 -20.0 -6.7 -20.0 SOYMEAL 3.0 -17.9 -20.0 1.7 7.0 0.5 3.2 -2.4 1.3 13.9 -16.3 -0.2 -10.6 -13.0 -17.1 -5.7 10.4 -0.4 4.9 -20.0 -20.0 2.7 -13.4 -13.9 -20.0 -5.8 4.7 -5.1 0.8 -2.0 -3.2 17.3 6.7 -12.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -3.1 -5.6 -19.9 1.8 7.4 0.5 3.4 -2.5 1.4 14.5 -17.0 -4.2 -13.6 -9.9 -15.3 -6.7 3.2 -4.9 -1.3 -16.6 -20.0 4.6 -20.0 -7.0 -20.0 -4.5 9.2 -6.0 3.8 -5.7 -1.5 5.4 10.4 -3.2 -19.7 -8.4 -14.1 -7.4 -10.2 5.2 SP400 17.1 11.6 20.0 5.5 3.5 4.5 4.6 3.0 5.4 14.0 15.8 16.5 12.3 16.7 17.2 -7.0 -5.5 -6.3 -5.9 20.0 19.6 20.0 12.5 20.0 -12.3 6.2 5.5 5.1 6.7 3.4 6.6 1.5 15.9 7.0 -1.9 0.9 -16.9 -8.4 -14.7 -20.0 SP500_micro 2.4 10.5 20.0 6.3 4.0 5.2 5.3 3.4 6.2 11.8 20.0 16.2 18.9 18.9 20.0 -13.1 -11.3 -12.9 -12.3 20.0 20.0 17.5 20.0 20.0 -20.0 7.5 2.6 7.6 3.8 6.3 5.7 -9.0 -4.5 -5.4 15.1 17.5 4.4 -3.0 17.2 -6.6 SUGAR11 -13.8 2.4 -19.4 1.4 5.9 0.4 2.7 -2.0 1.1 -6.4 -5.8 -9.3 5.1 -7.3 -7.0 10.3 18.4 15.7 17.7 -9.2 -7.2 -12.9 0.8 -11.9 -20.0 -4.1 -2.4 -3.6 -4.5 0.3 -4.4 20.0 -20.0 -18.5 -10.6 -20.0 16.8 0.8 20.0 11.8 US10 -1.7 -10.4 12.6 -0.2 3.6 0.3 2.5 -0.7 0.3 8.4 2.0 6.4 -2.6 -3.3 -0.2 -7.6 -8.0 -8.5 -8.4 -1.3 -1.0 7.0 -4.6 0.8 2.0 0.3 4.3 0.7 3.0 -0.8 0.7 -13.1 4.2 -2.0 3.6 2.1 -20.0 -20.0 -15.3 9.5 US10U -1.1 -9.2 12.4 -0.3 5.2 0.4 3.6 -1.0 0.5 11.7 2.0 9.1 -3.7 -5.1 -0.7 -3.0 0.0 -0.9 -0.1 -1.8 -1.7 9.2 -7.2 1.1 -0.8 0.8 5.4 0.9 4.1 -1.3 1.2 1.1 3.8 -1.9 6.7 3.3 -20.0 -20.0 10.8 20.0 US2 -8.9 -16.8 11.6 -0.2 3.2 0.3 2.2 -0.6 0.3 7.0 -1.3 0.9 -5.4 -5.5 -4.0 -20.0 -20.0 -20.0 -20.0 -4.6 -3.0 2.3 -6.3 -3.5 9.5 -0.9 2.3 0.1 0.8 -1.0 -1.1 -20.0 0.7 -8.5 -2.9 -0.8 -20.0 -20.0 -16.3 -20.0 US20 1.7 -6.8 15.7 -0.2 3.8 0.3 2.7 -0.8 0.4 7.8 2.5 7.2 -1.7 -1.5 1.2 0.2 -0.8 -0.0 -0.4 0.7 0.2 8.8 -4.5 3.0 -1.3 1.7 4.8 1.4 4.3 -0.8 2.2 -0.4 5.0 2.3 7.5 5.6 -20.0 -20.0 20.0 20.0 US30 4.6 -4.3 13.5 -0.2 4.6 0.4 3.3 -0.9 0.4 9.1 2.0 9.4 -3.3 -0.4 0.9 -7.9 -5.9 -8.0 -7.1 1.0 -0.5 9.6 -6.6 4.1 -0.7 2.4 5.0 1.6 5.2 -1.4 3.2 -9.9 2.7 4.9 10.3 5.1 -14.6 -18.8 20.0 20.0 US5 -4.6 -14.0 11.4 -0.2 3.5 0.3 2.5 -0.7 0.3 8.2 1.5 5.2 -3.3 -4.5 -1.8 -8.4 -10.1 -9.3 -9.9 -2.8 -1.6 5.3 -4.5 -1.1 4.3 -0.3 3.8 0.5 2.3 -0.6 -0.2 -16.3 3.2 -4.9 0.7 0.8 -20.0 -20.0 -20.0 -6.7 VIX 3.6 4.9 -8.3 -7.3 7.3 -10.4 1.8 -14.2 -3.6 20.0 -20.0 -1.6 -20.0 -12.6 -20.0 -20.0 -20.0 -20.0 -20.0 -15.9 -20.0 5.2 -20.0 -4.5 NaN -8.4 8.6 -12.7 2.6 -17.7 -3.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -9.7 -9.6 -2.3 1.8 7.6 0.5 3.5 -2.6 1.4 -9.6 -18.9 -14.8 -19.0 -16.6 -16.3 -12.5 -11.0 -12.0 -11.6 -20.0 -20.0 -17.8 -20.0 -20.0 0.0 -6.3 -2.6 -4.8 -5.6 -4.1 -7.0 -16.1 -20.0 -20.0 -20.0 -20.0 -15.7 -20.0 -11.3 -20.0 End of report for caleb_strategy_v3