******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240314_204011 produced at 2024-03-14 21:37:49.869157 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.49 0.0 0.00 0.00 0.00 0.00 -6.80 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.31 0.0 0.08 -0.08 -0.08 -0.08 -63.68 17.0 -16 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -8.60 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -4.07 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.47 -0.17 0.0 0.56 -0.56 -0.47 -0.43 -4.00 13.0 -11 -10 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.08 0.0 0.74 -0.74 -0.50 -0.50 -2.07 19.0 -13 -13 caleb_strategy_v3 US5 False False 0.03 -0.23 -0.07 0.0 0.80 -0.80 -0.23 -0.26 -2.28 25.0 -7 -8 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.14 -0.14 -0.02 -0.02 -23.45 51.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.07 0.0 0.44 -0.44 -0.05 -0.03 -2.63 17.0 -2 -1 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -10.43 12.0 -10 -10 caleb_strategy_v3 CAD False False 0.02 0.00 -0.06 0.0 0.65 -0.65 0.00 0.00 -2.71 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 -4.71 5.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.27 999999999.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.02 -30.96 26.0 -16 -16 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -2.49 4.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.56 -0.56 0.00 0.00 -1.00 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 -3.28 9.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.16 8.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.97 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.02 7.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.22 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.02 0.0 0.21 -0.21 -0.00 -0.04 -6.48 68.0 -1 -12 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.38 -0.38 0.00 0.00 -0.89 19.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -3.36 66.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.01 0.0 0.09 -0.09 -0.05 -0.05 -1.39 10.0 -6 -6 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.13 -0.13 -0.01 -0.01 -0.85 18.0 -1 -1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.43 -0.43 -0.04 -0.04 -0.24 10.0 -1 -1 caleb_strategy_v3 US10U False False 0.03 -0.07 -0.01 0.0 0.45 -0.45 -0.07 -0.07 -0.17 13.0 -2 -2 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.11 4.0 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 US30 False False 0.04 0.08 -0.00 0.0 0.23 -0.23 0.08 0.04 -0.01 6.0 2 1 caleb_strategy_v3 US20 False False 0.04 0.04 0.00 0.0 0.32 -0.32 0.04 0.04 0.12 9.0 1 1 caleb_strategy_v3 COTTON2 False False 0.01 -0.01 -0.00 0.0 0.16 -0.16 -0.01 -0.03 -0.19 11.0 -1 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.04 -0.00 0.0 0.25 -0.25 0.04 0.02 -0.39 23.0 4 2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.10 6.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.11 0.00 0.0 0.39 -0.39 0.11 0.11 0.23 21.0 6 6 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.59 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.75 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.18 0.01 0.0 0.18 -0.18 0.18 0.18 0.16 2.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.23 -0.23 0.01 0.01 1.25 23.0 1 1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.02 0.0 0.02 -0.02 0.00 0.00 3.22 3.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.08 0.02 0.0 0.53 -0.53 0.08 0.10 1.20 26.0 4 5 caleb_strategy_v3 EUR False False 0.04 0.16 0.03 0.0 0.58 -0.58 0.16 0.16 0.69 14.0 4 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 4.35 56.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.39 0.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.11 0.03 0.0 0.38 -0.38 0.11 0.17 4.20 48.0 14 21 caleb_strategy_v3 COPPER False False 0.03 0.09 0.04 0.0 0.18 -0.18 0.09 0.15 1.45 6.0 3 5 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.10 -0.10 0.05 0.05 1.73 4.0 2 2 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.04 0.0 0.10 -0.10 0.00 0.00 1.25 3.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.24 0.04 0.0 0.32 -0.32 0.24 0.24 0.92 8.0 6 6 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.42 -0.42 0.00 0.00 0.85 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.05 0.0 0.13 -0.13 0.13 0.13 1.50 4.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.20 0.07 0.0 0.39 -0.39 0.20 0.20 1.72 10.0 5 5 caleb_strategy_v3 GBP False False 0.02 0.12 0.08 0.0 0.53 -0.53 0.12 0.12 3.35 22.0 5 5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.08 0.0 0.00 0.00 0.00 0.00 35.77 59.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.19 0.09 0.0 0.28 -0.28 0.19 0.16 11.48 36.0 25 21 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.21 0.10 0.0 0.47 -0.47 0.21 0.21 3.48 16.0 7 7 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.11 0.0 0.38 -0.38 0.00 0.02 4.88 17.0 0 1 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.16 -0.16 0.07 0.07 8.99 13.0 6 6 caleb_strategy_v3 CAC False True 0.03 0.00 0.15 0.0 0.00 0.00 0.00 0.00 5.74 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.16 0.0 0.33 -0.33 0.29 0.31 9.81 20.0 18 19 caleb_strategy_v3 DAX False False 0.01 0.13 0.18 0.0 0.35 -0.35 0.13 0.13 30.62 58.0 22 22 caleb_strategy_v3 SMI False False 0.04 0.36 0.19 0.0 0.36 -0.36 0.36 0.36 4.72 9.0 9 9 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.21 0.0 0.11 -0.11 0.09 0.05 9.34 5.0 4 2 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.56 0.29 0.0 0.80 -0.80 0.56 0.24 3.59 10.0 7 3 caleb_strategy_v3 MXP False False 0.01 0.52 0.93 0.0 0.53 -0.53 0.52 0.53 104.64 60.0 59 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.5 Shocked risk 90.9 Sum abs risk 62.3 Leverage 5.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3319597.89, 'annual_cash_vol_target': 829899.4725, 'daily_cash_vol_target': 51868.71703125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6601 0.5709 9.1337 BITCOIN 1811.9956 71000.0000 2.5521 40.8337 BOBL 0.2586 117.5300 0.2200 3.5202 BTP 0.6059 118.4700 0.5114 8.1830 BUND 0.5118 131.9500 0.3879 6.2057 BUXL 1.2133 132.4000 0.9164 14.6626 CAC 45.9754 8170.0000 0.5627 9.0038 CAD 0.0028 0.7400 0.3741 5.9856 CANOLA 6.5438 632.4000 1.0348 16.5561 CHF 0.0047 1.1431 0.4098 6.5575 COCOA 141.8375 6828.0000 2.0773 33.2367 COFFEE 3.2441 182.2000 1.7805 28.4882 COPPER 0.0413 4.0715 1.0138 16.2209 CORN 4.6058 468.2500 0.9836 15.7379 COTTON2 1.6595 93.6500 1.7720 28.3516 CRUDE_W 0.8733 75.9100 1.1504 18.4066 DAX 105.7235 18208.0000 0.5806 9.2903 DOW 200.8007 39343.0000 0.5104 8.1662 DX 0.3405 102.9500 0.3308 5.2924 EUR 0.0042 1.0932 0.3831 6.1294 EURIBOR-ICE 0.0501 97.5650 0.0513 0.8213 EUROSTX 33.0028 4947.0000 0.6671 10.6740 FEEDCOW 1.7198 266.7500 0.6447 10.3154 GASOIL 12.3857 807.7500 1.5334 24.5338 GASOLINE 0.0380 2.6485 1.4361 22.9779 GAS_US_mini 0.0854 1.8650 4.5809 73.2945 GBP 0.0053 1.2763 0.4150 6.6397 GOLD_micro 14.5968 2167.4000 0.6735 10.7756 HEATOIL 0.0381 2.6572 1.4343 22.9494 JGB-SGX-mini 0.2217 145.0500 0.1529 2.4456 JPY 0.0000 0.0068 0.5445 8.7120 LEANHOG 0.9626 101.2250 0.9510 15.2160 LIVECOW 1.2768 183.6000 0.6954 11.1268 LUMBER-new 5.8613 611.5000 0.9585 15.3362 MILK 0.2170 16.7900 1.2927 20.6826 MXP 0.0003 0.0590 0.4928 7.8853 NASDAQ_micro 144.7299 18269.0000 0.7922 12.6755 NIKKEI 387.2381 38290.0000 1.0113 16.1813 NZD 0.0037 0.6132 0.5981 9.5697 OAT 0.5148 127.4200 0.4040 6.4641 OATIES 5.6806 363.0000 1.5649 25.0383 OJ 6.5686 360.7000 1.8211 29.1371 PALLAD 28.1893 1076.5000 2.6186 41.8978 PLAT 15.4492 933.3000 1.6553 26.4852 REDWHEAT 10.1303 568.5000 1.7819 28.5110 RICE 0.1645 18.0800 0.9097 14.5560 ROBUSTA 44.6019 3280.0000 1.3598 21.7570 RUSSELL 22.5675 2058.4000 1.0964 17.5418 SHATZ 0.0854 105.6000 0.0809 1.2938 SILVER-mini 0.3382 25.3000 1.3367 21.3869 SMI 65.8456 11619.0000 0.5667 9.0673 SOFR 0.0681 96.3100 0.0707 1.1310 SOYBEAN 9.7682 1186.5000 0.8233 13.1724 SOYMEAL 4.0906 341.6000 1.1975 19.1595 SOYOIL 0.5881 48.9100 1.2025 19.2398 SP400 22.8295 2963.8000 0.7703 12.3244 SP500_micro 30.1269 5218.5000 0.5773 9.2369 SUGAR11 0.3485 21.5300 1.6189 25.9020 US10 0.4032 110.2500 0.3657 5.8514 US10U 0.5438 113.8125 0.4778 7.6451 US2 0.1094 102.2188 0.1070 1.7124 US20 0.8139 118.8438 0.6849 10.9580 US30 1.2026 126.6875 0.9493 15.1883 US5 0.2677 106.7266 0.2508 4.0126 VIX 0.4021 16.2000 2.4821 39.7137 WHEAT 8.3889 584.0000 1.4365 22.9832 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.10 0.57 376.82 1.00 376.82 51868.72 137.65 -2.49 -34.31 BITCOIN 71.00 2.55 181.20 1.00 181.20 51868.72 286.25 11.54 330.31 BOBL 1175.30 0.22 258.58 1.09 282.62 51868.72 183.53 -11.11 -203.99 BTP 1184.70 0.51 605.90 1.09 662.22 51868.72 78.33 6.46 50.57 BUND 1319.50 0.39 511.77 1.09 559.34 51868.72 92.73 -2.60 -24.15 BUXL 1324.00 0.92 1213.33 1.09 1326.11 51868.72 39.11 -2.69 -10.51 CAC 817.00 0.56 459.75 1.09 502.49 51868.72 103.22 16.30 168.27 CAD 740.00 0.37 276.83 1.00 276.83 51868.72 187.37 -5.58 -104.52 CANOLA 126.48 1.03 130.88 0.74 97.00 51868.72 534.72 -18.02 -963.80 CHF 1428.88 0.41 585.62 1.00 585.62 51868.72 88.57 -17.40 -154.14 COCOA 682.80 2.08 1418.38 1.00 1418.38 51868.72 36.57 15.29 55.93 COFFEE 683.25 1.78 1216.53 1.00 1216.53 51868.72 42.64 -2.10 -8.96 COPPER 1017.88 1.01 1031.93 1.00 1031.93 51868.72 50.26 2.66 13.36 CORN 234.12 0.98 230.29 1.00 230.29 51868.72 225.23 -19.03 -428.58 COTTON2 468.25 1.77 829.73 1.00 829.73 51868.72 62.51 -1.44 -8.97 CRUDE_W 759.10 1.15 873.28 1.00 873.28 51868.72 59.40 14.52 86.23 DAX 182.08 0.58 105.72 1.09 115.55 51868.72 448.88 20.00 897.77 DOW 196.72 0.51 100.40 1.00 100.40 51868.72 516.62 -2.80 -144.46 DX 1029.50 0.33 340.54 1.00 340.54 51868.72 152.32 -3.22 -49.11 EUR 1366.56 0.38 523.52 1.00 523.52 51868.72 99.08 2.70 26.72 EURIBOR-ICE 2439.12 0.05 125.21 1.09 136.84 51868.72 379.04 2.78 105.34 EUROSTX 494.70 0.67 330.03 1.09 360.70 51868.72 143.80 20.00 287.60 FEEDCOW 1333.75 0.64 859.88 1.00 859.88 51868.72 60.32 4.59 27.68 GASOIL 807.75 1.53 1238.57 1.00 1238.57 51868.72 41.88 9.54 39.97 GASOLINE 1112.37 1.44 1597.50 1.00 1597.50 51868.72 32.47 10.65 34.57 GAS_US_mini 46.62 4.58 213.58 1.00 213.58 51868.72 242.85 -11.77 -285.87 GBP 797.69 0.41 331.03 1.00 331.03 51868.72 156.69 8.23 129.02 GOLD_micro 216.74 0.67 145.97 1.00 145.97 51868.72 355.34 3.59 127.67 HEATOIL 1116.02 1.43 1600.75 1.00 1600.75 51868.72 32.40 8.91 28.88 JGB-SGX-mini 145050.00 0.15 22170.92 0.01 150.14 51868.72 345.47 0.93 32.14 JPY 855.38 0.54 465.75 1.00 465.75 51868.72 111.37 -9.11 -101.40 LEANHOG 404.90 0.95 385.06 1.00 385.06 51868.72 134.70 10.98 147.97 LIVECOW 734.40 0.70 510.72 1.00 510.72 51868.72 101.56 14.51 147.32 LUMBER-new 168.16 0.96 161.19 1.00 161.19 51868.72 321.80 4.68 150.71 MILK 335.80 1.29 434.08 1.00 434.08 51868.72 119.49 -18.41 -219.99 MXP 295.25 0.49 145.51 1.00 145.51 51868.72 356.46 20.00 712.93 NASDAQ_micro 365.38 0.79 289.46 1.00 289.46 51868.72 179.19 -0.93 -16.74 NIKKEI 38290.00 1.01 38723.81 0.01 262.23 51868.72 197.80 5.36 106.01 NZD 613.25 0.60 366.79 1.00 366.79 51868.72 141.41 0.63 8.92 OAT 1274.20 0.40 514.78 1.09 562.63 51868.72 92.19 2.72 25.06 OATIES 181.50 1.56 284.03 1.00 284.03 51868.72 182.62 -8.94 -163.28 OJ 541.05 1.82 985.29 1.00 985.29 51868.72 52.64 6.62 34.86 PALLAD 1076.50 2.62 2818.93 1.00 2818.93 51868.72 18.40 0.83 1.53 PLAT 466.65 1.66 772.46 1.00 772.46 51868.72 67.15 2.60 17.44 REDWHEAT 284.25 1.78 506.52 1.00 506.52 51868.72 102.40 -15.93 -163.09 RICE 361.60 0.91 328.96 1.00 328.96 51868.72 157.67 -6.50 -102.44 ROBUSTA 328.00 1.36 446.02 1.00 446.02 51868.72 116.29 9.22 107.18 RUSSELL 102.92 1.10 112.84 1.00 112.84 51868.72 459.68 -4.25 -195.53 SHATZ 1056.00 0.08 85.39 1.09 93.33 51868.72 555.78 -15.26 -848.23 SILVER-mini 632.50 1.34 845.45 1.00 845.45 51868.72 61.35 6.66 40.83 SMI 1161.90 0.57 658.46 1.14 750.24 51868.72 69.14 20.00 138.27 SOFR 2407.75 0.07 170.19 1.00 170.19 51868.72 304.76 -3.67 -111.90 SOYBEAN 593.25 0.82 488.41 1.00 488.41 51868.72 106.20 -10.33 -109.72 SOYMEAL 341.60 1.20 409.06 1.00 409.06 51868.72 126.80 -18.81 -238.47 SOYOIL 293.46 1.20 352.88 1.00 352.88 51868.72 146.99 -10.14 -149.10 SP400 2963.80 0.77 2282.95 1.00 2282.95 51868.72 22.72 2.17 4.93 SP500_micro 260.92 0.58 150.63 1.00 150.63 51868.72 344.34 5.24 180.55 SUGAR11 241.14 1.62 390.37 1.00 390.37 51868.72 132.87 -3.00 -39.85 US10 1102.50 0.37 403.20 1.00 403.20 51868.72 128.64 -6.16 -79.30 US10U 1138.12 0.48 543.82 1.00 543.82 51868.72 95.38 -1.41 -13.42 US2 2044.38 0.11 218.80 1.00 218.80 51868.72 237.06 -13.55 -321.16 US20 1188.44 0.68 813.93 1.00 813.93 51868.72 63.73 1.53 9.76 US30 1266.88 0.95 1202.60 1.00 1202.60 51868.72 43.13 -0.13 -0.57 US5 1067.27 0.25 267.66 1.00 267.66 51868.72 193.79 -9.27 -179.73 VIX 162.00 2.48 402.10 1.00 402.10 51868.72 128.99 -20.00 -257.99 WHEAT 292.00 1.44 419.44 1.00 419.44 51868.72 123.66 -20.00 -247.32 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -34.308 0.010 2.5 -0.890 BITCOIN 330.306 0.043 2.5 35.768 BOBL -203.985 0.004 2.5 -2.069 BTP 50.569 0.014 2.5 1.725 BUND -24.154 0.004 2.5 -0.245 BUXL -10.506 0.004 2.5 -0.107 CAC 168.266 0.014 2.5 5.739 CAD -104.518 0.010 2.5 -2.712 CANOLA -963.799 0.010 2.5 -23.448 CHF -154.138 0.010 2.5 -3.999 COCOA 55.927 0.009 2.5 1.198 COFFEE -8.959 0.005 2.5 -0.105 COPPER 13.357 0.043 2.5 1.446 CORN -428.579 0.010 2.5 -10.427 COTTON2 -8.974 0.009 2.5 -0.192 CRUDE_W 86.231 0.043 2.5 9.338 DAX 897.767 0.014 2.5 30.621 DOW -144.456 0.009 2.5 -3.357 DX -49.115 0.010 2.5 -1.274 EUR 26.723 0.010 2.5 0.693 EURIBOR-ICE 105.336 0.014 2.5 3.593 EUROSTX 287.597 0.014 2.5 9.809 FEEDCOW 27.682 0.013 2.5 0.917 GASOIL 39.971 0.017 2.5 1.733 GASOLINE 34.575 0.017 2.5 1.499 GAS_US_mini -285.873 0.043 2.5 -30.957 GBP 129.020 0.010 2.5 3.348 GOLD_micro 127.674 0.014 2.5 4.355 HEATOIL 28.877 0.017 2.5 1.252 JGB-SGX-mini 32.145 0.043 2.5 3.481 JPY -101.405 0.010 2.5 -2.631 LEANHOG 147.967 0.024 2.5 8.993 LIVECOW 147.321 0.013 2.5 4.882 LUMBER-new 150.706 0.009 2.5 3.224 MILK -219.991 0.009 2.5 -4.712 MXP 712.928 0.059 2.5 104.639 NASDAQ_micro -16.743 0.009 2.5 -0.389 NIKKEI 106.012 0.043 2.5 11.480 NZD 8.921 0.010 2.5 0.231 OAT 25.056 0.014 2.5 0.855 OATIES -163.283 0.010 2.5 -3.972 OJ 34.861 0.009 2.5 0.747 PALLAD 1.527 0.014 2.5 0.052 PLAT 17.438 0.014 2.5 0.595 REDWHEAT -163.095 0.005 2.5 -2.164 RICE -102.439 0.010 2.5 -2.492 ROBUSTA 107.182 0.005 2.5 1.252 RUSSELL -195.535 0.013 2.5 -6.480 SHATZ -848.226 0.004 2.5 -8.601 SILVER-mini 40.831 0.014 2.5 1.393 SMI 138.272 0.014 2.5 4.716 SOFR -111.902 0.024 2.5 -6.801 SOYBEAN -109.723 0.004 2.5 -1.020 SOYMEAL -238.470 0.004 2.5 -2.218 SOYOIL -149.103 0.004 2.5 -1.388 SP400 4.929 0.013 2.5 0.163 SP500_micro 180.553 0.009 2.5 4.196 SUGAR11 -39.851 0.009 2.5 -0.848 US10 -79.296 0.005 2.5 -1.005 US10U -13.416 0.005 2.5 -0.170 US2 -321.157 0.005 2.5 -4.070 US20 9.765 0.005 2.5 0.124 US30 -0.569 0.005 2.5 -0.007 US5 -179.726 0.005 2.5 -2.277 VIX -257.988 0.099 2.5 -63.682 WHEAT -247.321 0.005 2.5 -3.281 ===================== Position diags ===================== AUD 3.57 BITCOIN 31.00 BOBL 1.86 BTP 2.67 BUND 0.94 BUXL 0.40 CAC 3.52 CAD 4.86 CANOLA 13.01 CHF 2.30 COCOA 0.78 COFFEE 0.50 COPPER 5.44 CORN 5.48 COTTON2 1.34 CRUDE_W 6.43 DAX 15.31 DOW 12.01 DX 3.95 EUR 2.57 EURIBOR-ICE 12.93 EUROSTX 4.90 FEEDCOW 2.00 GASOIL 1.82 GASOLINE 1.41 GAS_US_mini 26.30 GBP 4.07 GOLD_micro 12.12 HEATOIL 1.40 JGB-SGX-mini 37.41 JPY 2.89 LEANHOG 8.19 LIVECOW 3.37 LUMBER-new 6.88 MILK 2.56 MXP 52.32 NASDAQ_micro 4.16 NIKKEI 21.42 NZD 3.67 OAT 3.14 OATIES 4.44 OJ 1.13 PALLAD 0.63 PLAT 2.29 REDWHEAT 1.36 RICE 3.84 ROBUSTA 1.36 RUSSELL 15.23 SHATZ 5.64 SILVER-mini 2.09 SMI 2.36 SOFR 18.52 SOYBEAN 0.99 SOYMEAL 1.18 SOYOIL 1.37 SP400 0.75 SP500_micro 8.00 SUGAR11 2.83 US10 1.63 US10U 1.21 US2 3.00 US20 0.81 US30 0.55 US5 2.46 VIX 31.84 WHEAT 1.64 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.2 -0.5 0.0 0 BITCOIN 35.8 32.7 38.9 0.0 0 BOBL -2.1 -2.3 -1.9 -13.0 -13 BTP 1.7 1.5 2.0 5.0 5 BUND -0.2 -0.3 -0.2 -1.0 -1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 5.7 5.4 6.1 0.0 0 CAD -2.7 -3.2 -2.2 0.0 0 CANOLA -23.4 -24.7 -22.1 -6.0 -6 CHF -4.0 -4.2 -3.8 -11.0 -11 COCOA 1.2 1.1 1.3 4.0 4 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER 1.4 0.9 2.0 3.0 3 CORN -10.4 -11.0 -9.9 -10.0 -10 COTTON2 -0.2 -0.3 -0.1 -1.0 -1 CRUDE_W 9.3 8.7 10.0 4.0 4 DAX 30.6 29.1 32.2 22.0 22 DOW -3.4 -4.6 -2.2 0.0 0 DX -1.3 -1.7 -0.9 NaN 0 EUR 0.7 0.4 1.0 4.0 4 EURIBOR-ICE 3.6 2.3 4.9 7.0 7 EUROSTX 9.8 9.3 10.3 18.0 18 FEEDCOW 0.9 0.7 1.1 6.0 6 GASOIL 1.7 1.6 1.9 2.0 2 GASOLINE 1.5 1.4 1.6 4.0 4 GAS_US_mini -31.0 -33.6 -28.3 -16.0 -16 GBP 3.3 2.9 3.8 5.0 5 GOLD_micro 4.4 3.1 5.6 0.0 0 HEATOIL 1.3 1.1 1.4 0.0 0 JGB-SGX-mini 3.5 -0.3 7.2 7.0 7 JPY -2.6 -2.9 -2.3 -2.0 -2 LEANHOG 9.0 8.2 9.8 6.0 6 LIVECOW 4.9 4.5 5.2 0.0 0 LUMBER-new 3.2 2.5 3.9 NaN 0 MILK -4.7 -5.0 -4.5 NaN 0 MXP 104.6 99.4 109.9 59.0 59 NASDAQ_micro -0.4 -0.8 0.0 4.0 4 NIKKEI 11.5 9.3 13.6 25.0 25 NZD 0.2 -0.1 0.6 6.0 6 OAT 0.9 0.5 1.2 0.0 0 OATIES -4.0 -4.4 -3.5 NaN 0 OJ 0.7 0.6 0.9 NaN 0 PALLAD 0.1 -0.0 0.1 0.0 0 PLAT 0.6 0.4 0.8 0.0 0 REDWHEAT -2.2 -2.3 -2.0 -2.0 -2 RICE -2.5 -2.9 -2.1 NaN 0 ROBUSTA 1.3 1.1 1.4 1.0 1 RUSSELL -6.5 -8.0 -5.0 -1.0 -1 SHATZ -8.6 -9.2 -8.0 NaN 0 SILVER-mini 1.4 1.2 1.6 NaN 0 SMI 4.7 4.5 5.0 9.0 9 SOFR -6.8 -8.7 -4.9 NaN 0 SOYBEAN -1.0 -1.1 -0.9 -2.0 -2 SOYMEAL -2.2 -2.3 -2.1 0.0 0 SOYOIL -1.4 -1.5 -1.3 -6.0 -6 SP400 0.2 0.1 0.2 2.0 2 SP500_micro 4.2 3.4 5.0 14.0 14 SUGAR11 -0.8 -1.1 -0.6 -1.0 -1 US10 -1.0 -1.2 -0.8 0.0 0 US10U -0.2 -0.3 -0.0 -2.0 -2 US2 -4.1 -4.4 -3.8 NaN 0 US20 0.1 0.0 0.2 1.0 1 US30 -0.0 -0.1 0.0 2.0 2 US5 -2.3 -2.5 -2.0 -7.0 -7 VIX -63.7 -66.9 -60.5 -16.0 -16 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 0.2 -0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 -0.4 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.1 0.4 -0.0 0.0 -0.0 0.1 -0.1 0.0 -0.1 0.2 0.1 -0.1 -0.2 -0.7 -0.4 -0.4 -0.0 BITCOIN 0.6 0.6 0.4 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 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 0.0 0.2 0.1 0.2 0.1 -0.2 0.5 0.6 0.6 0.6 -0.2 0.0 0.5 0.2 BOBL -0.1 -0.6 0.2 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -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 -0.2 -0.1 -0.1 -0.7 -0.7 0.1 -0.7 BTP 0.2 -0.2 0.5 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.4 0.1 -0.0 0.1 0.1 0.1 0.1 0.6 0.5 0.6 0.6 0.4 -0.4 -0.6 0.7 0.1 BUND -0.0 -0.5 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -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 0.1 -0.1 0.0 -0.0 -0.6 -0.7 0.3 -0.4 BUXL 0.1 -0.3 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.1 0.1 0.2 0.1 -0.7 -0.7 0.2 0.0 CAC 0.6 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -1.5 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.4 0.6 0.3 -0.0 -0.1 0.5 -0.0 0.7 CAD -0.0 -0.2 0.2 0.0 0.0 0.1 0.1 0.2 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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 -0.5 -0.1 -0.0 -0.5 -0.5 -0.0 -0.4 CANOLA 0.6 -0.0 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 -0.2 0.1 -0.5 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.6 0.5 0.4 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.1 -0.6 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.0 0.1 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 0.0 -0.1 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.4 -0.6 -0.6 -0.1 -0.6 -0.6 -0.2 -0.6 COCOA -0.0 0.2 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.1 0.3 0.1 0.1 0.4 0.2 0.4 0.4 0.2 0.2 0.2 0.3 0.2 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.3 0.1 0.6 0.6 COFFEE -0.2 -0.1 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.3 -0.0 0.2 0.0 0.0 0.3 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 1.0 -0.1 -0.1 -0.2 0.4 -0.3 -0.7 -0.1 -0.4 COPPER 0.4 0.1 0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.1 0.2 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 -0.0 0.2 -1.9 0.0 0.2 0.0 0.2 -0.0 0.1 0.1 0.2 0.2 0.0 0.4 -0.7 -0.1 0.4 0.2 CORN 0.5 0.0 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.5 0.2 -0.7 0.0 -0.1 -0.4 -0.1 -0.3 -0.3 -0.2 -0.2 0.1 -0.5 -0.0 -2.4 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.8 0.1 -0.2 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 -0.3 0.6 0.5 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.2 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.1 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 -0.5 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.1 0.2 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.2 0.3 0.2 0.2 0.3 0.2 0.2 0.2 0.1 0.1 0.2 0.3 0.1 -0.7 0.1 0.2 0.1 0.1 0.3 0.1 -0.1 -0.0 0.5 -0.1 -0.0 0.7 0.7 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 -0.6 -0.1 0.6 0.2 0.2 -0.1 0.5 0.1 0.7 DOW -0.2 -0.2 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.0 0.5 0.1 -2.1 0.1 0.0 0.3 0.0 0.3 0.0 -0.5 -0.5 -0.6 -0.5 0.3 -0.2 -0.2 0.0 -0.5 DX -0.4 0.2 -0.1 0.0 0.0 0.1 0.1 0.1 0.0 -0.0 0.1 -0.2 0.0 -0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.1 -2.7 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.8 -0.5 -0.6 0.4 -0.6 0.5 0.1 0.7 0.3 EUR 0.4 -0.1 0.0 0.0 0.0 0.1 0.1 0.2 0.0 0.0 -0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 2.7 0.0 -0.0 0.0 0.1 0.0 0.1 -0.4 0.1 0.4 0.1 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.6 0.4 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.0 -0.0 0.1 -0.7 -0.7 0.3 0.7 EUROSTX 0.4 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.1 0.0 0.1 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 0.8 0.1 0.6 0.6 0.3 -0.3 0.6 -0.3 0.7 FEEDCOW -0.3 0.6 0.4 0.0 0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.0 0.2 0.2 -1.1 0.1 -0.0 0.1 -0.0 0.2 0.0 -1.1 -0.2 -0.1 0.6 0.6 0.7 0.5 0.7 0.7 GASOIL -0.2 0.3 0.0 0.0 0.1 0.1 0.1 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 0.1 0.3 0.1 1.0 0.0 0.1 0.1 0.0 0.2 0.0 1.1 -0.2 -0.3 0.1 0.2 -0.4 -0.2 -0.7 -0.5 GASOLINE 0.1 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.4 0.2 0.2 0.3 0.2 -0.0 -0.0 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.5 0.0 0.6 0.3 0.5 0.7 0.5 0.7 0.5 GAS_US_mini 0.3 -0.2 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.3 -0.3 -0.1 -0.2 -0.0 -0.5 -0.1 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.2 -0.6 -0.6 -0.5 -0.0 -0.7 -0.2 GBP 0.3 -0.1 0.2 0.0 0.0 0.1 0.1 0.2 0.0 0.0 0.3 0.1 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.2 0.2 0.3 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.3 0.4 0.4 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.6 0.3 0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.4 0.2 0.4 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 0.0 0.1 0.1 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL -0.1 0.2 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.2 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 -0.1 0.1 0.1 0.3 0.6 0.2 0.5 0.0 JGB-SGX-mini -0.2 -0.2 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.0 0.3 0.3 0.2 0.3 -0.0 0.0 -0.1 0.1 -0.0 -0.8 -0.0 -0.1 0.0 -0.0 0.0 -0.0 1.1 -0.2 -0.1 -0.0 0.0 -0.2 -0.7 0.1 0.3 JPY 0.3 -0.3 -0.2 0.0 0.0 0.0 0.0 0.1 0.0 0.0 -0.4 0.1 -0.6 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 0.0 2.7 -0.0 0.0 -0.1 0.0 -0.3 0.0 -1.1 0.1 0.0 -0.3 -0.3 -0.7 -0.4 -0.5 -0.5 LEANHOG 0.4 0.6 0.4 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 0.3 0.2 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.1 -0.2 0.2 2.3 0.1 0.0 0.2 0.0 -0.0 0.1 -1.1 0.1 0.6 0.6 0.6 -0.2 -0.3 0.3 0.5 LIVECOW -0.0 0.6 0.2 0.0 0.0 0.0 0.1 -0.1 0.0 -0.0 0.1 0.1 0.1 0.2 0.2 0.4 -0.1 0.2 -0.0 0.2 0.1 0.1 0.1 0.2 -0.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.3 0.5 0.6 0.4 0.7 0.2 0.7 0.5 LUMBER-new 0.6 0.3 0.5 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 0.4 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 0.1 0.2 NaN 0.1 0.0 0.2 0.1 0.1 0.1 -1.2 0.6 0.7 0.7 0.7 -0.4 -0.8 -0.3 -0.5 MILK -0.4 0.5 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.2 1.5 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.5 -0.6 -0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.4 0.3 0.4 0.0 0.0 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 0.2 0.2 0.4 0.1 1.1 0.5 0.6 0.6 0.4 0.7 0.7 0.7 0.7 NASDAQ_micro -0.1 0.0 0.4 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.4 -0.5 -0.0 0.3 0.4 -0.1 0.6 -0.2 NIKKEI -0.4 0.4 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.4 -0.1 0.6 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.2 -0.1 0.5 0.2 -1.9 0.1 -0.0 0.2 -0.0 0.2 0.0 1.1 -0.5 -0.3 0.4 0.6 -0.7 -0.2 -0.3 -0.2 NZD 0.1 -0.1 0.2 0.0 0.0 0.1 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 -0.0 0.0 0.0 0.0 0.0 0.2 -0.1 -0.1 -0.0 0.0 -0.3 -0.3 -0.0 0.1 OAT 0.0 -0.4 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 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 0.7 0.0 -0.0 0.0 -0.0 0.0 0.0 0.6 0.2 0.0 0.1 0.0 -0.6 -0.7 0.4 0.1 OATIES 0.1 0.2 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.1 -0.4 0.0 -0.0 0.2 -0.0 0.1 0.0 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.2 -0.2 -0.1 -0.2 -0.3 0.0 -0.0 0.4 OJ -0.0 0.5 -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 0.1 0.3 0.2 0.2 0.1 0.1 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.4 0.0 1.1 -0.1 -0.1 0.6 -0.2 0.3 0.3 0.5 0.7 PALLAD 0.6 0.4 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.3 0.1 1.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 0.0 -0.1 -0.1 -0.0 -0.6 -0.3 -0.4 -0.2 PLAT 0.3 -0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 1.3 0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.2 -0.3 -0.2 0.0 -0.4 -0.1 0.7 0.2 REDWHEAT 0.3 -0.0 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.5 0.1 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.5 -0.1 -1.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.0 0.2 -0.2 -0.6 -0.6 -0.6 -0.5 -0.7 -0.3 -0.7 RICE -0.6 -0.1 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.4 -0.2 0.6 -0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.0 0.2 -0.1 0.4 -0.1 -2.6 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.4 -0.5 -0.6 0.1 0.1 0.2 -0.1 0.4 0.2 ROBUSTA -0.4 -0.0 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 1.1 0.5 0.5 0.6 0.6 -0.7 -0.6 -0.4 0.0 RUSSELL 0.2 0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 -0.5 -0.5 -0.4 -0.1 -0.6 -0.6 -0.6 -0.7 SHATZ -0.3 -0.6 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.0 -0.3 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.2 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.8 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 0.5 0.5 0.3 0.2 -0.6 -0.6 0.6 -0.1 SMI 0.6 0.4 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.4 0.2 0.2 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.3 0.2 2.0 0.1 0.1 0.2 0.1 0.1 0.1 1.1 0.5 0.6 -0.4 -0.2 0.3 -0.2 0.6 -0.3 SOFR 0.1 -0.4 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 0.1 -0.7 -0.7 -0.0 -0.1 SOYBEAN 0.5 -0.3 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.4 0.2 -0.2 0.0 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 0.2 -0.4 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 1.1 0.5 0.3 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL 0.2 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.1 -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 0.8 0.3 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 0.0 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.5 0.1 -0.5 0.0 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.2 0.2 -0.5 0.1 -2.7 -0.0 0.2 -0.1 0.1 -0.2 0.1 0.2 0.5 0.3 -0.3 -0.2 -0.5 -0.3 -0.4 0.2 SP400 0.6 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.2 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.4 0.2 -1.7 0.1 -0.0 0.2 0.0 0.1 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro 0.2 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 -0.1 0.3 0.5 0.1 -0.1 0.6 -0.2 SUGAR11 -0.3 0.0 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.2 -0.0 0.2 -0.1 -0.1 0.2 0.4 0.3 0.3 -0.1 -0.1 -0.0 0.0 -0.1 -2.7 -0.0 0.0 -0.1 0.0 0.0 -0.0 1.1 -0.3 -0.4 -0.3 -0.6 0.6 0.1 0.7 0.4 US10 0.1 -0.3 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 0.1 0.0 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U 0.1 -0.3 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -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 -0.2 -0.6 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.1 -0.2 -0.1 1.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.2 -0.2 -0.0 -0.7 -0.7 -0.6 -0.7 US20 0.2 -0.2 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.1 0.2 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.2 -0.1 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.2 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.5 0.1 0.2 0.3 0.2 -0.5 -0.6 0.7 0.7 US5 -0.0 -0.5 0.2 -0.0 -0.1 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 -0.8 0.0 -0.1 -0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.4 -0.3 -0.1 -0.0 -0.5 -0.0 -0.9 -0.1 0.0 -0.9 -0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 -0.0 -0.9 -0.1 NaN -0.1 -0.0 -0.6 -0.0 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.0 -0.3 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.5 -0.0 -0.7 -0.1 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.5 -0.6 -0.6 -0.6 -0.5 -0.7 -0.3 -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 7.6 -7.1 3.5 0.9 0.6 2.3 4.2 3.6 2.6 9.3 -3.4 14.0 -10.3 7.5 -7.8 -2.8 -2.9 -2.8 -2.8 -0.9 -2.0 9.2 -5.2 4.8 2.8 -0.2 1.3 -0.7 5.6 -1.9 3.1 -1.2 9.2 3.1 -3.4 -6.0 -20.0 -10.7 -11.0 -0.3 BITCOIN 19.2 17.5 11.6 3.1 7.7 -0.5 11.3 -1.1 8.8 11.1 20.0 20.0 20.0 20.0 20.0 -10.1 -7.1 -9.1 -8.3 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 3.0 6.6 7.7 4.8 9.7 -2.9 20.0 20.0 20.0 20.0 -6.0 0.8 15.9 4.7 BOBL -3.8 -20.0 5.2 -0.5 -5.8 0.2 -2.1 -0.8 -0.9 -6.7 -0.7 -2.7 -1.8 -6.9 -6.0 -7.2 -15.6 -20.0 -20.0 -5.6 -2.1 -4.4 -2.6 -5.3 6.7 -1.7 -4.2 -0.5 -1.6 -0.5 -1.7 -20.0 3.6 -5.6 -3.9 -4.5 -20.0 -20.0 3.3 -20.0 BTP 6.7 -5.9 15.9 -0.8 -9.7 0.3 -3.5 -1.3 -1.6 3.8 10.9 10.2 10.2 8.9 8.9 4.3 6.3 4.7 5.2 10.2 12.2 9.7 9.1 10.8 -17.9 4.6 -1.6 5.1 4.7 3.9 5.3 11.4 20.0 18.3 19.6 11.1 -12.1 -16.6 19.7 2.9 BUND -0.8 -15.1 9.7 -0.6 -6.4 0.2 -2.3 -0.9 -1.0 -6.8 1.2 -0.8 -0.8 -6.2 -3.3 -5.5 3.1 -0.5 1.0 -2.6 0.4 -3.1 -1.6 -2.8 4.2 -0.9 -5.5 0.4 -1.5 -0.1 -1.0 5.0 5.0 -2.3 0.8 -1.5 -17.7 -20.0 10.3 -11.6 BUXL 2.9 -9.7 13.0 -0.7 -8.1 0.3 -2.9 -1.1 -1.3 -8.5 2.8 1.1 -4.1 -4.5 -1.8 -6.5 -0.5 -3.2 -1.6 -0.1 1.6 -2.4 -3.5 -0.4 0.1 0.4 -7.4 1.3 -1.3 -0.5 0.2 0.0 6.2 1.8 4.9 2.0 -20.0 -20.0 5.1 1.3 CAC 18.9 20.0 17.8 8.5 4.1 7.0 6.5 4.7 8.1 20.0 20.0 20.0 20.0 20.0 20.0 4.7 -4.5 -3.1 -4.9 20.0 20.0 20.0 20.0 20.0 -11.0 9.3 9.1 7.2 9.6 5.2 9.8 1.8 15.6 19.2 9.7 -1.3 -4.3 15.6 -1.1 20.0 CAD -1.3 -6.4 6.9 1.1 0.7 2.7 4.9 4.2 3.0 3.5 -1.8 7.2 -4.1 -7.3 -6.0 -2.2 -2.2 -2.1 -2.1 -3.0 -1.4 1.4 -3.8 -1.9 -0.1 -1.8 -2.4 -0.9 1.1 -2.0 -1.0 0.0 -4.2 -15.4 -3.5 -0.7 -15.4 -14.3 -0.1 -12.5 CANOLA 20.0 -0.6 -20.0 1.9 1.1 0.7 2.6 -1.5 2.2 9.9 -11.6 11.2 -10.9 0.0 -9.1 -15.2 -4.8 -13.5 -10.7 -10.8 -20.0 16.6 -20.0 4.9 -20.0 -3.0 5.4 -5.5 4.5 -5.8 1.1 -10.9 20.0 11.6 -19.1 -20.0 -20.0 -20.0 -17.9 -8.0 CHF -2.3 -20.0 -1.4 1.0 0.6 2.4 4.3 3.7 2.6 -7.7 -3.6 -0.6 2.3 -17.3 -15.9 -15.6 -15.6 -15.6 -15.7 -14.3 -6.5 -5.9 1.3 -12.2 -4.7 -4.0 -4.8 -0.7 -2.3 1.5 -4.1 -20.0 -16.8 -17.6 -20.0 -1.9 -17.0 -16.6 -6.5 -17.7 COCOA -0.1 5.9 -11.4 1.2 0.7 0.4 1.7 -1.0 1.4 7.0 8.2 7.6 8.2 7.8 8.0 20.0 10.8 20.0 19.2 18.7 15.0 19.1 10.7 19.4 -11.4 2.9 2.1 2.8 2.0 2.5 2.4 20.0 20.0 20.0 20.0 20.0 10.0 2.3 19.5 18.0 COFFEE -6.2 -3.1 10.5 2.9 1.6 1.0 4.1 -2.4 3.3 -12.1 10.1 -2.3 6.8 1.8 4.2 17.2 8.3 15.5 11.7 4.0 8.7 -1.2 6.4 0.3 -20.0 1.9 -2.4 5.1 -0.3 5.2 0.3 19.2 -4.8 -3.9 -5.7 11.5 -9.3 -20.0 -2.7 -13.1 COPPER 13.7 3.8 6.8 2.8 7.0 -0.5 10.2 -1.0 7.9 19.3 4.9 20.0 -5.9 18.7 12.4 -4.8 -4.9 -5.4 -5.6 11.5 5.3 20.0 -0.3 20.0 -14.1 4.2 20.0 1.6 15.4 -0.1 8.9 1.3 8.6 7.4 1.4 10.8 -20.0 -2.3 12.1 5.1 CORN 16.6 0.8 -7.2 3.2 1.8 1.2 4.6 -2.7 3.8 10.9 -19.4 16.2 -20.0 1.4 -13.7 -18.8 -7.1 -16.3 -12.7 -15.4 -20.0 10.1 -20.0 -0.1 -18.3 -6.1 1.3 -7.5 2.6 -6.8 -1.4 -14.4 4.6 -6.1 -20.0 -20.0 -5.7 -20.0 -4.0 -0.4 COTTON2 -10.6 20.0 16.1 1.8 1.0 0.7 2.6 -1.5 2.1 -10.1 5.8 -3.7 3.3 5.2 7.6 5.0 -0.6 0.0 -1.9 10.6 7.9 -1.8 2.9 6.3 -20.0 3.9 -1.0 3.0 0.4 1.5 2.7 -0.3 -20.0 18.9 20.0 20.0 -15.3 -13.5 -6.5 1.1 CRUDE_W 4.4 5.2 -1.7 4.9 13.9 3.3 8.0 3.3 5.6 20.0 -0.1 20.0 8.5 20.0 14.3 12.5 9.9 10.5 9.8 8.2 6.1 18.0 10.2 12.7 -5.1 6.6 18.1 5.0 11.9 7.4 9.1 -1.1 -0.1 16.4 -2.5 -0.9 20.0 19.8 20.0 20.0 DAX 19.5 14.9 19.2 8.1 4.0 6.7 6.3 4.5 7.7 15.0 20.0 20.0 20.0 20.0 20.0 -13.6 -11.6 -14.6 -13.5 20.0 20.0 20.0 20.0 20.0 17.9 9.0 4.5 7.3 7.7 5.1 9.3 -11.2 -2.3 20.0 4.8 6.5 -3.9 13.8 3.3 20.0 DOW -5.2 -4.8 20.0 6.8 3.3 5.7 5.3 3.8 6.5 6.4 20.0 6.8 20.0 15.4 20.0 -13.8 -10.9 -13.3 -12.3 20.0 20.0 4.4 20.0 9.7 -15.4 7.3 0.9 10.2 1.3 9.3 2.9 -9.7 -20.0 -20.0 -15.5 8.7 -6.1 -5.6 1.0 -14.1 DX -12.7 6.1 -2.5 1.0 0.6 2.5 4.6 4.0 2.8 -2.9 2.8 -14.1 0.4 -10.0 4.8 6.9 6.2 6.5 6.4 -1.8 1.1 -12.4 3.5 -9.9 -20.0 -2.0 1.9 -0.5 -6.6 1.6 -5.7 14.6 -20.0 -20.0 12.7 -20.0 16.5 2.8 20.0 9.1 EUR 12.6 -3.9 1.3 1.1 0.7 2.7 4.9 4.2 3.0 4.3 -1.8 16.7 0.1 12.5 -5.0 -6.8 -6.7 -6.5 -6.4 2.7 -0.7 11.0 -2.1 9.8 19.9 3.0 -0.8 1.4 6.4 0.2 6.2 -7.5 6.0 13.8 2.6 -5.5 -20.0 -15.9 -20.0 -12.3 EURIBOR-ICE -2.7 -20.0 13.0 -0.4 -5.1 0.2 -1.8 -0.7 -0.8 -4.8 3.6 0.2 3.0 -3.9 -0.1 -2.8 -3.8 -1.1 -2.0 -0.5 4.3 -1.4 3.8 -1.4 14.3 0.1 -3.9 1.9 -0.5 1.7 -0.3 -3.7 7.6 -0.5 -0.2 3.1 -20.0 -20.0 8.2 20.0 EUROSTX 12.0 20.0 19.9 8.1 3.9 6.7 6.2 4.4 7.7 18.1 20.0 20.0 20.0 20.0 20.0 4.5 2.4 6.8 4.7 20.0 20.0 20.0 20.0 20.0 0.8 9.0 4.2 7.6 6.5 5.6 8.4 15.9 4.2 17.0 20.0 9.6 -9.6 16.7 -7.7 20.0 FEEDCOW -7.9 20.0 12.2 3.7 2.1 1.3 5.3 -3.0 4.3 -10.0 2.5 -0.4 1.7 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.7 -0.5 7.7 14.3 -7.9 5.3 -3.5 4.0 -1.1 4.7 2.3 -20.0 -8.7 -4.0 20.0 19.5 20.0 14.7 20.0 20.0 GASOIL -6.9 9.6 0.6 3.9 11.0 2.6 6.4 2.6 4.5 11.3 6.9 1.4 10.7 10.0 12.5 20.0 20.0 20.0 20.0 8.9 9.7 6.8 12.1 6.1 7.2 4.3 9.3 5.1 3.5 6.1 2.9 20.0 -6.9 -9.6 3.2 5.5 -11.2 -7.2 -20.0 -13.7 GASOLINE 2.3 11.3 4.5 4.4 12.5 2.9 7.2 3.0 5.1 19.9 4.7 15.7 10.1 18.1 18.6 12.8 8.4 -1.9 -1.0 14.9 10.7 20.0 10.2 16.4 -20.0 7.0 13.9 5.0 9.2 5.5 7.6 -9.9 1.0 18.0 10.6 14.6 20.0 16.0 19.7 14.9 GAS_US_mini 10.4 -5.5 -9.2 1.9 5.3 1.2 3.1 1.3 2.1 -6.0 -9.5 -4.9 -10.4 -7.5 -8.7 -20.0 -19.9 -14.0 -15.6 -10.3 -14.8 -5.6 -19.2 -6.3 18.1 -3.5 -1.6 -4.0 -2.2 -3.6 -2.6 -20.0 -19.2 -5.0 -20.0 -19.0 -13.7 -1.2 -20.0 -6.1 GBP 9.7 -2.1 7.5 1.1 0.7 2.8 5.1 4.4 3.1 3.9 9.9 13.7 10.5 14.1 16.6 -0.7 -0.6 -0.5 -0.5 10.7 9.6 13.6 8.0 14.2 2.5 7.1 0.3 6.2 8.5 4.1 8.9 2.8 12.4 13.7 13.1 10.7 -20.0 -5.9 -20.0 1.9 GOLD_micro 20.0 9.0 7.8 2.7 6.7 -0.5 9.7 -0.9 7.5 12.4 14.7 17.9 10.0 17.2 12.9 -15.7 -14.7 -15.5 -15.2 20.0 13.9 20.0 8.7 20.0 -3.7 5.6 3.6 3.2 8.6 2.1 8.6 -15.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -14.6 HEATOIL -4.6 6.7 -1.1 4.2 11.9 2.8 6.9 2.9 4.9 18.3 0.7 8.8 7.4 5.1 9.6 20.0 20.0 20.0 20.0 5.6 5.5 11.9 8.9 6.2 -20.0 5.6 12.1 5.7 6.9 7.5 5.1 20.0 -3.1 2.0 2.3 7.8 18.2 4.9 14.9 1.4 JGB-SGX-mini -4.7 -7.3 11.0 -0.5 -5.8 0.2 -2.1 -0.8 -0.9 -8.7 4.7 -7.1 6.2 -7.0 1.7 12.7 16.3 12.4 13.0 -0.3 3.2 -6.9 3.9 -4.1 -6.0 -0.6 -5.6 0.7 -3.9 0.4 -2.3 20.0 -7.9 -4.0 -1.1 0.0 -7.0 -20.0 2.0 9.9 JPY 10.5 -8.0 -5.2 0.7 0.4 1.8 3.2 2.8 2.0 4.3 -14.2 6.8 -15.7 -4.1 -12.8 -16.9 -16.3 -16.5 -16.4 -8.5 -13.9 7.7 -20.0 0.9 20.0 -2.2 0.8 -4.4 4.0 -7.2 1.4 -20.0 6.1 0.2 -8.0 -8.3 -20.0 -13.4 -15.4 -15.6 LEANHOG 13.8 20.0 12.8 4.0 2.3 1.4 5.7 -3.3 4.6 1.4 10.4 20.0 -11.6 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.5 15.1 -8.6 20.0 17.6 9.1 0.3 6.6 3.8 -0.0 7.2 -20.0 4.3 20.0 20.0 20.0 -5.6 -8.1 8.8 13.7 LIVECOW -0.3 20.0 7.2 3.6 2.1 1.3 5.1 -2.9 4.2 -1.2 4.3 11.9 2.7 20.0 20.0 20.0 -2.7 7.7 -0.2 20.0 11.7 10.8 5.5 20.0 -5.3 6.5 1.6 3.8 3.5 3.7 5.8 -0.6 12.7 15.8 20.0 13.9 20.0 5.5 20.0 15.4 LUMBER-new 17.2 9.2 14.7 4.0 2.3 1.5 5.7 -2.4 4.6 11.7 13.9 20.0 -11.5 20.0 20.0 -16.0 -15.3 -16.2 -15.6 20.0 15.7 20.0 3.0 20.0 NaN 8.9 2.7 6.1 8.1 2.7 10.2 -20.0 20.0 20.0 20.0 20.0 -10.8 -19.5 -7.7 -12.8 MILK -13.4 14.2 2.6 2.1 1.2 0.8 3.0 -1.7 2.5 -2.8 -12.2 -10.4 -13.6 -9.4 -10.6 -20.0 -20.0 -20.0 -20.0 -11.6 -14.5 -12.1 -20.0 -14.0 11.2 -3.4 0.4 -4.2 -3.7 -6.2 -4.3 -20.0 -20.0 -20.0 -8.1 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.7 8.1 13.7 1.1 0.7 2.8 5.1 4.4 3.1 20.0 20.0 20.0 20.0 20.0 20.0 18.3 16.9 17.2 16.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.8 13.4 8.2 14.0 10.6 11.5 20.0 20.0 20.0 20.0 13.4 20.0 20.0 20.0 20.0 NASDAQ_micro -4.6 0.4 12.3 4.8 2.3 4.0 3.7 2.6 4.5 -6.9 14.6 5.5 14.7 10.6 13.6 -10.9 -10.1 -11.3 -10.9 17.4 20.0 2.7 20.0 9.5 -20.0 5.4 -0.7 6.9 0.8 6.9 2.9 -7.9 -16.0 -13.9 -0.1 8.6 11.0 -2.6 17.5 -5.5 NIKKEI -12.6 12.3 14.4 5.7 2.8 4.7 4.4 3.1 5.4 -14.5 16.7 -5.5 17.2 9.6 15.0 5.9 12.0 11.0 11.8 20.0 20.0 -5.7 20.0 14.2 -14.2 5.9 -2.7 6.1 -0.6 5.2 3.2 20.0 -20.0 -9.4 13.9 18.1 -20.0 -5.7 -8.6 -5.0 NZD 1.7 -4.6 7.0 0.8 0.5 1.9 3.4 3.0 2.1 3.6 3.9 3.0 -0.1 2.3 -1.0 0.3 0.3 0.3 0.3 1.4 2.5 1.9 0.2 1.5 -0.0 0.7 -1.5 1.8 0.9 1.0 0.7 4.2 -2.3 -3.6 -1.2 1.3 -8.3 -9.3 -1.3 3.8 OAT 1.4 -12.7 12.2 -0.6 -6.9 0.2 -2.5 -1.0 -1.1 -6.2 3.1 1.4 0.7 -4.0 -0.9 4.0 6.2 4.4 5.0 0.1 3.0 -0.7 0.5 -0.1 5.0 0.3 -5.3 1.6 -0.4 0.8 0.3 11.1 8.7 1.5 4.1 1.5 -19.3 -20.0 11.2 3.5 OATIES 2.6 5.0 -9.4 2.3 1.3 0.8 3.3 -1.9 2.7 8.4 -13.4 6.6 -11.1 3.0 -3.2 10.5 -1.9 6.6 1.1 -3.6 -10.0 3.5 -10.5 0.8 -20.0 -0.8 3.6 -3.5 2.1 -4.2 0.6 0.3 -9.0 -6.2 -3.9 -4.8 -9.7 1.2 -0.6 13.2 OJ -1.3 14.0 -20.0 2.2 1.2 0.8 3.1 -1.8 2.5 -2.9 6.8 -3.7 10.6 8.5 3.4 7.1 15.2 8.0 11.4 7.3 10.9 -1.7 19.3 3.7 -20.0 2.3 -0.5 5.1 -0.9 10.6 0.6 20.0 -4.7 -3.6 20.0 -5.8 10.2 9.4 15.8 20.0 PALLAD 18.4 12.0 0.2 1.1 2.6 -0.2 3.8 -0.4 2.9 7.3 -4.9 7.7 -7.7 6.1 -2.6 -1.8 -2.1 -1.8 -2.0 0.4 -4.8 8.7 -9.5 5.7 9.5 0.4 4.1 -1.8 4.2 -3.5 2.7 6.9 1.0 -2.5 -2.3 -0.9 -17.9 -10.2 -13.3 -5.8 PLAT 9.7 -1.2 0.5 1.6 3.9 -0.3 5.6 -0.5 4.4 7.6 -4.9 8.7 -7.8 4.4 -5.7 -4.1 -3.3 -4.0 -3.8 -0.5 -2.9 8.7 -3.8 4.4 10.0 0.5 4.7 -0.7 5.8 -0.9 3.3 4.3 -6.5 -9.4 -6.4 1.1 -13.3 -4.4 20.0 7.3 REDWHEAT 8.2 -0.1 -8.4 2.6 1.5 0.9 3.7 -2.1 3.0 3.7 -16.8 5.1 -17.0 -7.8 -12.5 9.7 0.9 5.2 2.1 -13.0 -19.9 2.2 -20.0 -5.0 -8.4 -5.4 -0.4 -6.1 0.0 -6.0 -3.1 4.5 -9.0 -17.8 -20.0 -20.0 -14.4 -20.0 -9.7 -20.0 RICE -17.8 -2.2 8.7 3.1 1.8 1.1 4.4 -2.5 3.6 -15.4 13.6 -18.1 15.8 -7.3 5.1 -9.6 -3.4 -10.9 -9.2 4.6 15.0 -13.3 16.1 -8.9 -19.2 1.4 -3.3 4.7 -5.7 5.0 -3.5 -7.8 -20.0 -20.0 2.3 4.4 5.9 -4.2 13.2 5.1 ROBUSTA -11.5 -0.3 20.0 2.3 1.3 0.8 3.3 -1.9 2.7 2.7 15.0 7.5 15.5 10.7 14.3 19.3 20.0 20.0 20.0 20.0 20.0 13.0 20.0 17.4 -20.0 5.7 1.2 7.3 3.2 7.3 4.1 20.0 20.0 15.6 20.0 20.0 -20.0 -17.8 -11.2 1.2 RUSSELL 6.8 2.9 18.0 4.6 2.2 3.8 3.5 2.5 4.3 -7.6 11.0 5.6 7.7 10.5 11.9 -6.4 -6.3 -6.4 -6.4 10.5 10.3 1.1 6.0 7.4 -2.1 4.7 -3.6 4.6 0.3 3.1 3.1 -0.7 -19.1 -14.1 -12.9 -4.5 -17.0 -18.7 -17.9 -20.0 SHATZ -8.5 -20.0 -0.8 -0.4 -5.0 0.2 -1.8 -0.7 -0.8 -6.6 -5.4 -5.3 -6.3 -7.4 -7.4 -20.0 -20.0 -20.0 -20.0 -9.7 -6.4 -5.7 -6.7 -8.6 8.1 -2.1 -2.4 -1.1 -1.5 -1.1 -2.0 -20.0 2.1 -9.4 -9.4 -6.7 -20.0 -20.0 -8.2 -20.0 SILVER-mini 20.0 6.9 -2.3 2.6 6.4 -0.4 9.3 -0.9 7.2 16.5 -1.3 18.8 -3.4 16.5 -2.1 -6.9 -6.7 -6.9 -6.9 9.0 0.1 20.0 -2.2 20.0 5.7 4.7 9.1 1.4 10.5 0.3 8.8 -1.3 19.3 15.3 8.5 5.5 -19.2 -18.6 18.8 -1.9 SMI 18.0 11.4 18.2 7.6 3.7 6.3 5.8 4.2 7.2 19.1 19.8 20.0 11.1 20.0 20.0 5.4 6.0 8.5 7.6 20.0 19.2 20.0 9.5 20.0 15.0 7.9 9.7 5.7 11.8 3.0 10.1 20.0 20.0 19.8 -13.6 -7.0 10.0 -5.1 19.3 -9.3 SOFR 3.4 -13.4 8.1 -0.6 -6.6 0.2 -2.4 -0.9 -1.1 -6.7 3.9 0.5 0.0 -3.9 -1.6 -0.3 0.2 0.6 0.6 -1.4 0.2 -2.7 -1.3 -1.1 -2.5 0.2 -6.2 1.1 -1.6 0.3 -0.4 2.2 4.1 1.4 2.1 2.3 -20.0 -20.0 -1.3 -2.2 SOYBEAN 15.8 -8.6 -20.0 3.2 1.8 1.1 4.5 -2.6 3.7 19.2 -16.6 18.1 -5.7 0.1 -15.7 5.0 13.7 7.6 10.1 -16.0 -20.0 20.0 -16.1 5.3 -20.0 -4.2 9.0 -5.2 8.1 -3.1 1.7 20.0 20.0 8.1 -20.0 -20.0 -7.7 -20.0 -7.0 -20.0 SOYMEAL 6.5 -17.0 -20.0 2.6 1.5 0.9 3.7 -2.2 3.0 7.5 -16.4 8.2 -11.2 -9.8 -16.4 -6.9 9.7 -1.6 4.0 -20.0 -20.0 5.1 -14.9 -7.8 -20.0 -5.4 1.8 -5.5 1.5 -2.5 -1.8 15.1 13.8 -5.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 11.3 0.9 -16.3 2.9 1.6 1.0 4.1 -2.4 3.3 16.8 -17.2 13.4 -14.3 3.7 -11.8 -7.4 2.8 -5.4 -1.8 -8.5 -19.9 20.0 -20.0 9.4 -20.0 -0.1 17.1 -3.6 13.6 -4.3 6.1 3.7 20.0 10.3 -9.6 -6.9 -14.8 -7.8 -10.8 5.4 SP400 17.1 10.8 20.0 5.9 2.9 4.9 4.5 3.2 5.6 2.6 17.2 14.3 13.7 16.8 18.2 -5.7 -5.5 -5.9 -5.7 20.0 20.0 15.6 14.2 20.0 -13.0 6.5 -0.0 5.6 3.9 3.8 6.0 0.7 -1.1 1.3 -4.2 0.9 -15.5 -8.5 -13.3 -20.0 SP500_micro 5.0 8.3 20.0 6.6 3.2 5.4 5.0 3.6 6.2 11.8 20.0 17.3 19.6 19.5 20.0 -12.9 -11.3 -12.9 -12.3 20.0 20.0 17.2 20.0 20.0 -20.0 7.7 2.0 8.1 3.7 6.9 5.6 -10.1 -4.9 -2.8 10.7 16.6 4.1 -3.1 16.6 -6.6 SUGAR11 -8.8 0.1 -17.9 2.2 1.2 0.8 3.1 -1.8 2.5 9.5 -6.0 -0.1 4.8 -5.1 -6.6 9.5 18.1 14.7 17.1 -7.5 -6.9 -0.3 0.5 -5.7 -20.0 -3.7 2.1 -3.8 0.2 0.2 -2.2 20.0 -11.1 -11.2 -8.0 -20.0 18.1 1.6 20.0 12.9 US10 2.6 -10.4 9.1 -0.5 -5.7 0.2 -2.0 -0.8 -0.9 -6.2 2.1 -0.0 -2.7 -4.2 -1.2 -7.7 -8.0 -8.5 -8.4 -1.5 -1.1 -2.6 -4.7 -1.2 2.1 0.1 -5.1 0.6 -1.4 -0.8 -0.4 -12.7 3.7 0.4 2.2 2.2 -20.0 -20.0 -15.1 9.3 US10U 3.2 -8.8 9.4 -0.7 -8.2 0.3 -3.0 -1.1 -1.3 -8.8 2.4 0.4 -3.8 -6.3 -2.1 -3.3 -0.1 -1.3 -0.4 -2.0 -1.9 -3.5 -7.3 -1.6 -0.8 0.5 -7.2 0.9 -1.9 -1.3 -0.3 1.1 4.7 1.7 5.3 3.7 -20.0 -20.0 11.3 20.0 US2 -5.7 -18.6 3.1 -0.4 -5.0 0.2 -1.8 -0.7 -0.8 -7.0 -1.8 -4.1 -5.7 -6.6 -5.3 -20.0 -20.0 -20.0 -20.0 -5.4 -3.7 -5.8 -6.8 -5.7 9.9 -1.3 -4.0 -0.2 -2.3 -1.1 -2.0 -20.0 -1.6 -6.3 -6.2 -0.9 -20.0 -20.0 -17.3 -20.0 US20 6.0 -5.7 12.9 -0.5 -6.0 0.2 -2.1 -0.8 -1.0 -5.7 2.9 2.1 -1.6 -1.9 0.7 -0.1 -0.8 -0.1 -0.5 0.8 0.3 -1.2 -4.3 0.9 -1.3 1.6 -5.5 1.5 -0.8 -0.7 0.9 0.3 5.5 4.8 7.1 6.1 -20.0 -20.0 20.0 20.0 US30 7.4 -3.0 10.9 -0.6 -7.2 0.2 -2.6 -1.0 -1.2 -7.7 2.5 2.2 -3.3 -1.5 -0.0 -7.1 -5.9 -7.6 -7.0 0.8 -0.4 -2.2 -6.3 1.0 -0.7 2.1 -7.8 1.7 -1.5 -1.4 1.3 -9.5 3.7 6.7 10.3 5.6 -14.2 -18.3 20.0 20.0 US5 -0.3 -14.5 6.9 -0.5 -5.6 0.2 -2.0 -0.8 -0.9 -6.8 1.3 -1.6 -3.5 -5.6 -3.0 -8.5 -10.0 -9.3 -9.9 -3.1 -1.9 -3.8 -4.7 -3.0 4.5 -0.6 -5.1 0.4 -1.9 -0.7 -1.2 -15.9 1.9 -2.2 -1.4 0.8 -20.0 -20.0 -20.0 -6.9 VIX 3.3 8.4 -4.9 -7.4 -0.9 -10.9 -1.7 -15.0 -3.9 0.7 -20.0 -6.3 -20.0 -12.4 -20.0 -20.0 -20.0 -20.0 -20.0 -14.3 -20.0 -1.8 -20.0 -4.9 NaN -8.4 -0.9 -13.3 -1.5 -18.9 -4.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -1.5 -10.1 -5.2 2.7 1.6 1.0 3.9 -2.3 3.2 2.7 -18.0 -3.7 -18.4 -13.0 -14.8 -13.6 -11.2 -12.5 -11.9 -18.8 -20.0 -5.6 -20.0 -14.2 0.4 -6.0 -0.6 -5.1 -2.1 -4.5 -5.1 -17.3 -20.0 -20.0 -20.0 -20.0 -13.6 -20.0 -9.4 -20.0 End of report for caleb_strategy_v3