******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240320_204020 produced at 2024-03-20 21:37:43.668934 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.72 0.0 0.00 0.00 0.00 0.00 -10.15 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 -64.01 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -8.92 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 -4.13 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.46 -0.20 0.0 0.55 -0.55 -0.46 -0.46 -4.84 13.0 -11 -11 caleb_strategy_v3 JPY False False 0.02 0.00 -0.09 0.0 0.42 -0.42 0.00 0.00 -3.64 17.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.25 -0.08 0.0 0.79 -0.79 -0.25 -0.25 -2.54 25.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.49 -0.08 0.0 0.72 -0.72 -0.49 -0.49 -2.17 19.0 -13 -13 caleb_strategy_v3 CAD False False 0.02 0.00 -0.07 0.0 0.64 -0.64 0.00 0.00 -2.99 29.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -9.48 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.15 -0.15 -0.02 -0.02 -19.44 51.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.08 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.0 0.04 -0.04 -0.02 -0.02 -34.67 26.0 -16 -16 caleb_strategy_v3 RICE False False 0.01 0.00 -0.04 0.0 0.04 -0.04 0.00 0.00 -3.45 4.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.56 -0.56 0.00 0.00 -1.26 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.37 -0.37 0.00 0.00 -1.85 19.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -5.37 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.38 -0.38 0.02 0.02 -1.54 21.0 1 1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -2.91 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 -2.09 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.00 8.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.21 -0.21 -0.01 -0.01 -7.81 68.0 -3 -3 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.02 0.0 0.42 -0.42 -0.04 -0.04 -0.37 10.0 -1 -1 caleb_strategy_v3 DX False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.20 999999999.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.22 4.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.78 7.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.25 -0.25 -0.01 -0.01 -0.91 23.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.39 -0.39 0.00 0.00 -2.17 66.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.07 -0.01 0.0 0.44 -0.44 -0.07 -0.07 -0.38 13.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.09 -0.09 -0.04 -0.04 -0.81 10.0 -5 -5 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.20 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.13 -0.13 -0.01 -0.01 -0.61 18.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 0.04 -0.00 0.0 0.32 -0.32 0.04 0.04 -0.00 9.0 1 1 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.33 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.08 0.00 0.0 0.57 -0.57 0.08 0.08 0.12 14.0 2 2 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.01 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.00 0.0 0.15 -0.15 -0.03 -0.03 -0.36 11.0 -2 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.22 -0.22 0.00 0.00 1.53 23.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.40 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 1.68 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 0.09 2.0 2 2 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.02 0.0 0.36 -0.36 0.00 0.00 3.26 56.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.09 0.02 0.0 0.60 -0.60 0.09 0.09 1.02 26.0 4 4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.73 0.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.15 0.03 0.0 0.38 -0.38 0.15 0.15 4.24 48.0 19 19 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.41 -0.41 0.00 0.00 0.69 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 23.89 59.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.24 0.05 0.0 0.32 -0.32 0.24 0.24 1.16 8.0 6 6 caleb_strategy_v3 GASOIL False False 0.02 0.07 0.05 0.0 0.10 -0.10 0.07 0.07 2.17 4.0 3 3 caleb_strategy_v3 HEATOIL False False 0.03 0.07 0.05 0.0 0.10 -0.10 0.07 0.07 1.46 3.0 2 2 caleb_strategy_v3 GBP False False 0.02 0.12 0.06 0.0 0.52 -0.52 0.12 0.12 2.52 22.0 5 5 caleb_strategy_v3 BTP False False 0.04 0.19 0.07 0.0 0.38 -0.38 0.19 0.19 1.86 10.0 5 5 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.06 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.08 0.0 0.15 -0.15 0.07 0.07 7.03 13.0 6 6 caleb_strategy_v3 COPPER False False 0.03 0.15 0.09 0.0 0.18 -0.18 0.15 0.15 2.88 6.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.17 0.11 0.0 0.28 -0.28 0.17 0.17 13.94 36.0 21 21 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.11 0.0 0.37 -0.37 0.02 0.02 5.25 17.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.32 0.17 0.0 0.32 -0.32 0.32 0.32 10.45 20.0 20 20 caleb_strategy_v3 SMI False False 0.04 0.35 0.18 0.0 0.35 -0.35 0.35 0.35 4.62 9.0 9 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.18 0.0 0.00 0.00 0.00 0.00 6.71 12.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.13 0.19 0.0 0.34 -0.34 0.13 0.13 32.56 58.0 22 22 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.25 0.0 0.11 -0.11 0.09 0.09 10.81 5.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.08 0.26 0.0 0.78 -0.78 0.08 0.08 3.31 10.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.17 0.31 0.0 0.46 -0.46 0.17 0.17 10.86 16.0 6 6 caleb_strategy_v3 MXP False False 0.01 0.52 0.85 0.0 0.52 -0.52 0.52 0.52 97.57 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.4 Shocked risk 91.1 Sum abs risk 63.9 Leverage 6.05 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3379344.35, 'annual_cash_vol_target': 844836.0875, 'daily_cash_vol_target': 52802.25546875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6602 0.5774 9.2388 BITCOIN 1838.5416 66710.0000 2.7560 44.0963 BOBL 0.2430 117.6900 0.2065 3.3040 BTP 0.5464 118.4600 0.4613 7.3801 BUND 0.4788 132.0000 0.3627 5.8035 BUXL 1.1327 131.7200 0.8599 13.7585 CAC 44.2745 8237.0000 0.5375 8.6001 CAD 0.0028 0.7426 0.3796 6.0728 CANOLA 6.9054 656.5000 1.0519 16.8297 CHF 0.0045 1.1384 0.3977 6.3631 COCOA 162.0737 7830.0000 2.0699 33.1185 COFFEE 3.0093 181.7000 1.6562 26.4987 COPPER 0.0420 4.1125 1.0207 16.3306 CORN 4.3990 475.2500 0.9256 14.8100 COTTON2 1.5634 92.1800 1.6961 27.1371 CRUDE_W 0.8489 76.9200 1.1036 17.6577 DAX 101.8167 18426.0000 0.5526 8.8411 DOW 214.6795 39967.0000 0.5371 8.5943 DX 0.3362 103.4850 0.3249 5.1988 EUR 0.0042 1.0960 0.3843 6.1485 EURIBOR-ICE 0.0464 97.6000 0.0475 0.7607 EUROSTX 31.7239 4998.0000 0.6347 10.1557 FEEDCOW 1.6467 269.3500 0.6114 9.7820 GASOIL 12.1926 810.5000 1.5043 24.0693 GASOLINE 0.0361 2.6842 1.3432 21.4914 GAS_US_mini 0.0833 1.8400 4.5268 72.4281 GBP 0.0052 1.2789 0.4094 6.5509 GOLD_micro 13.9448 2182.3000 0.6390 10.2239 HEATOIL 0.0384 2.6574 1.4448 23.1176 JGB-SGX-mini 0.2211 145.6200 0.1518 2.4294 JPY 0.0000 0.0067 0.5882 9.4116 LEANHOG 1.0147 100.6250 1.0084 16.1351 LIVECOW 1.2155 184.8500 0.6576 10.5213 LUMBER-new 6.0988 621.0000 0.9821 15.7135 MILK 0.2127 16.5000 1.2890 20.6236 MXP 0.0003 0.0591 0.5377 8.6034 NASDAQ_micro 146.2565 18528.2500 0.7894 12.6299 NIKKEI 385.0173 40365.0000 0.9538 15.2614 NZD 0.0037 0.6078 0.6008 9.6123 OAT 0.4749 127.5300 0.3724 5.9581 OATIES 5.3396 352.5000 1.5148 24.2365 OJ 6.5703 348.5000 1.8853 30.1649 PALLAD 29.2448 1034.0000 2.8283 45.2530 PLAT 15.9164 920.6000 1.7289 27.6626 REDWHEAT 9.7097 574.0000 1.6916 27.0655 RICE 0.1517 17.9250 0.8464 13.5428 ROBUSTA 41.7227 3230.0000 1.2917 20.6676 RUSSELL 22.3842 2102.9000 1.0644 17.0311 SHATZ 0.0819 105.6500 0.0775 1.2396 SILVER-mini 0.3651 26.0500 1.4014 22.4232 SMI 66.5313 11566.0000 0.5752 9.2037 SOFR 0.0640 96.3250 0.0664 1.0627 SOYBEAN 10.1631 1200.7500 0.8464 13.5423 SOYMEAL 4.2438 346.0000 1.2265 19.6243 SOYOIL 0.6406 49.6500 1.2902 20.6433 SP400 22.6126 3014.8000 0.7501 12.0008 SP500_micro 30.6138 5295.2500 0.5781 9.2502 SUGAR11 0.3354 21.5000 1.5599 24.9592 US10 0.3825 110.3906 0.3465 5.5445 US10U 0.5141 113.9062 0.4514 7.2221 US2 0.1080 102.3398 0.1055 1.6878 US20 0.7584 118.8125 0.6383 10.2124 US30 1.1273 126.3438 0.8922 14.2758 US5 0.2580 106.8828 0.2414 3.8617 VIX 0.4072 16.2000 2.5138 40.2201 WHEAT 8.4323 598.0000 1.4101 22.5613 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.20 0.58 381.22 1.00 381.22 52802.26 138.51 -5.15 -71.29 BITCOIN 66.71 2.76 183.85 1.00 183.85 52802.26 287.20 7.68 220.61 BOBL 1176.90 0.21 243.03 1.09 264.06 52802.26 199.96 -10.69 -213.71 BTP 1184.60 0.46 546.41 1.09 593.70 52802.26 88.94 6.14 54.59 BUND 1320.00 0.36 478.79 1.09 520.23 52802.26 101.50 -3.56 -36.09 BUXL 1317.20 0.86 1132.67 1.09 1230.70 52802.26 42.90 -4.94 -21.21 CAC 823.70 0.54 442.75 1.09 481.06 52802.26 109.76 17.91 196.60 CAD 742.55 0.38 281.84 1.00 281.84 52802.26 187.35 -6.16 -115.39 CANOLA 131.30 1.05 138.11 0.74 101.81 52802.26 518.64 -15.41 -799.07 CHF 1423.00 0.40 565.92 1.00 565.92 52802.26 93.30 -20.00 -186.60 COCOA 783.00 2.07 1620.74 1.00 1620.74 52802.26 32.58 14.57 47.47 COFFEE 681.38 1.66 1128.47 1.00 1128.47 52802.26 46.79 -3.64 -17.04 COPPER 1028.12 1.02 1049.37 1.00 1049.37 52802.26 50.32 5.29 26.60 CORN 237.62 0.93 219.95 1.00 219.95 52802.26 240.06 -16.23 -389.67 COTTON2 460.90 1.70 781.72 1.00 781.72 52802.26 67.55 -2.47 -16.67 CRUDE_W 769.20 1.10 848.89 1.00 848.89 52802.26 62.20 16.05 99.85 DAX 184.26 0.55 101.82 1.09 110.63 52802.26 477.29 20.00 954.58 DOW 199.84 0.54 107.34 1.00 107.34 52802.26 491.92 -1.90 -93.25 DX 1034.85 0.32 336.25 1.00 336.25 52802.26 157.03 -0.50 -7.84 EUR 1370.00 0.38 526.46 1.00 526.46 52802.26 100.30 0.44 4.46 EURIBOR-ICE 2440.00 0.05 116.01 1.09 126.06 52802.26 418.88 2.32 97.09 EUROSTX 499.80 0.63 317.24 1.09 344.70 52802.26 153.19 20.00 306.37 FEEDCOW 1346.75 0.61 823.37 1.00 823.37 52802.26 64.13 5.46 34.99 GASOIL 810.50 1.50 1219.26 1.00 1219.26 52802.26 43.31 11.55 50.01 GASOLINE 1127.36 1.34 1514.29 1.00 1514.29 52802.26 34.87 13.62 47.48 GAS_US_mini 46.00 4.53 208.23 1.00 208.23 52802.26 253.58 -12.63 -320.16 GBP 799.31 0.41 327.26 1.00 327.26 52802.26 161.35 6.03 97.30 GOLD_micro 218.23 0.64 139.45 1.00 139.45 52802.26 378.65 2.52 95.53 HEATOIL 1116.11 1.44 1612.61 1.00 1612.61 52802.26 32.74 10.31 33.76 JGB-SGX-mini 145620.00 0.15 22110.63 0.01 147.11 52802.26 358.92 2.79 100.26 JPY 837.38 0.59 492.56 1.00 492.56 52802.26 107.20 -13.09 -140.37 LEANHOG 402.50 1.01 405.90 1.00 405.90 52802.26 130.09 8.89 115.67 LIVECOW 739.40 0.66 486.21 1.00 486.21 52802.26 108.60 14.58 158.34 LUMBER-new 170.78 0.98 167.72 1.00 167.72 52802.26 314.83 2.49 78.34 MILK 330.00 1.29 425.36 1.00 425.36 52802.26 124.13 -19.10 -237.06 MXP 295.45 0.54 158.87 1.00 158.87 52802.26 332.37 20.00 664.74 NASDAQ_micro 370.56 0.79 292.51 1.00 292.51 52802.26 180.51 -2.18 -39.26 NIKKEI 40365.00 0.95 38501.73 0.01 256.17 52802.26 206.12 6.24 128.69 NZD 607.75 0.60 365.12 1.00 365.12 52802.26 144.62 -4.11 -59.39 OAT 1275.30 0.37 474.90 1.09 516.00 52802.26 102.33 1.98 20.24 OATIES 176.25 1.51 266.98 1.00 266.98 52802.26 197.78 -11.17 -220.89 OJ 522.75 1.89 985.54 1.00 985.54 52802.26 53.58 3.51 18.78 PALLAD 1034.00 2.83 2924.48 1.00 2924.48 52802.26 18.06 0.22 0.39 PLAT 460.30 1.73 795.82 1.00 795.82 52802.26 66.35 1.48 9.79 REDWHEAT 287.00 1.69 485.49 1.00 485.49 52802.26 108.76 -13.88 -151.00 RICE 358.50 0.85 303.44 1.00 303.44 52802.26 174.01 -8.15 -141.85 ROBUSTA 323.00 1.29 417.23 1.00 417.23 52802.26 126.56 10.34 130.86 RUSSELL 105.14 1.06 111.92 1.00 111.92 52802.26 471.78 -5.00 -235.76 SHATZ 1056.50 0.08 81.85 1.09 88.94 52802.26 593.71 -14.82 -879.99 SILVER-mini 651.25 1.40 912.69 1.00 912.69 52802.26 57.85 8.76 50.70 SMI 1156.60 0.58 665.31 1.12 748.08 52802.26 70.58 19.20 135.52 SOFR 2408.12 0.07 159.94 1.00 159.94 52802.26 330.13 -5.06 -166.94 SOYBEAN 600.38 0.85 508.15 1.00 508.15 52802.26 103.91 -8.11 -84.30 SOYMEAL 346.00 1.23 424.38 1.00 424.38 52802.26 124.42 -18.08 -224.97 SOYOIL 297.90 1.29 384.35 1.00 384.35 52802.26 137.38 -6.34 -87.10 SP400 3014.80 0.75 2261.26 1.00 2261.26 52802.26 23.35 1.17 2.73 SP500_micro 264.76 0.58 153.07 1.00 153.07 52802.26 344.96 5.28 182.24 SUGAR11 240.80 1.56 375.64 1.00 375.64 52802.26 140.57 -2.03 -28.51 US10 1103.91 0.35 382.54 1.00 382.54 52802.26 138.03 -7.22 -99.72 US10U 1139.06 0.45 514.15 1.00 514.15 52802.26 102.70 -2.94 -30.18 US2 2046.80 0.11 215.91 1.00 215.91 52802.26 244.56 -13.34 -326.26 US20 1188.12 0.64 758.35 1.00 758.35 52802.26 69.63 -0.02 -0.15 US30 1263.44 0.89 1127.29 1.00 1127.29 52802.26 46.84 -2.17 -10.16 US5 1068.83 0.24 257.97 1.00 257.97 52802.26 204.69 -9.80 -200.67 VIX 162.00 2.51 407.23 1.00 407.23 52802.26 129.66 -20.00 -259.33 WHEAT 299.00 1.41 421.61 1.00 421.61 52802.26 125.24 -17.51 -219.29 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -71.288 0.010 2.5 -1.850 BITCOIN 220.606 0.043 2.5 23.889 BOBL -213.709 0.004 2.5 -2.167 BTP 54.591 0.014 2.5 1.862 BUND -36.093 0.004 2.5 -0.366 BUXL -21.209 0.004 2.5 -0.215 CAC 196.596 0.014 2.5 6.706 CAD -115.395 0.010 2.5 -2.994 CANOLA -799.066 0.010 2.5 -19.440 CHF -186.601 0.010 2.5 -4.842 COCOA 47.465 0.009 2.5 1.017 COFFEE -17.039 0.005 2.5 -0.199 COPPER 26.600 0.043 2.5 2.880 CORN -389.669 0.010 2.5 -9.480 COTTON2 -16.674 0.009 2.5 -0.357 CRUDE_W 99.853 0.043 2.5 10.813 DAX 954.583 0.014 2.5 32.559 DOW -93.245 0.009 2.5 -2.167 DX -7.836 0.010 2.5 -0.203 EUR 4.455 0.010 2.5 0.116 EURIBOR-ICE 97.090 0.014 2.5 3.312 EUROSTX 306.370 0.014 2.5 10.450 FEEDCOW 34.995 0.013 2.5 1.160 GASOIL 50.013 0.017 2.5 2.168 GASOLINE 47.485 0.017 2.5 2.058 GAS_US_mini -320.159 0.043 2.5 -34.669 GBP 97.298 0.010 2.5 2.525 GOLD_micro 95.526 0.014 2.5 3.258 HEATOIL 33.763 0.017 2.5 1.464 JGB-SGX-mini 100.265 0.043 2.5 10.857 JPY -140.371 0.010 2.5 -3.642 LEANHOG 115.672 0.024 2.5 7.030 LIVECOW 158.339 0.013 2.5 5.247 LUMBER-new 78.341 0.009 2.5 1.676 MILK -237.063 0.009 2.5 -5.077 MXP 664.735 0.059 2.5 97.565 NASDAQ_micro -39.265 0.009 2.5 -0.913 NIKKEI 128.692 0.043 2.5 13.936 NZD -59.390 0.010 2.5 -1.541 OAT 20.243 0.014 2.5 0.690 OATIES -220.889 0.010 2.5 -5.374 OJ 18.781 0.009 2.5 0.402 PALLAD 0.392 0.014 2.5 0.013 PLAT 9.790 0.014 2.5 0.334 REDWHEAT -151.000 0.005 2.5 -2.003 RICE -141.851 0.010 2.5 -3.451 ROBUSTA 130.860 0.005 2.5 1.528 RUSSELL -235.756 0.013 2.5 -7.812 SHATZ -879.992 0.004 2.5 -8.924 SILVER-mini 50.700 0.014 2.5 1.729 SMI 135.520 0.014 2.5 4.622 SOFR -166.944 0.024 2.5 -10.146 SOYBEAN -84.298 0.004 2.5 -0.784 SOYMEAL -224.969 0.004 2.5 -2.092 SOYOIL -87.103 0.004 2.5 -0.811 SP400 2.726 0.013 2.5 0.090 SP500_micro 182.239 0.009 2.5 4.235 SUGAR11 -28.508 0.009 2.5 -0.606 US10 -99.716 0.005 2.5 -1.264 US10U -30.182 0.005 2.5 -0.382 US2 -326.260 0.005 2.5 -4.134 US20 -0.147 0.005 2.5 -0.002 US30 -10.160 0.005 2.5 -0.129 US5 -200.674 0.005 2.5 -2.543 VIX -259.325 0.099 2.5 -64.012 WHEAT -219.290 0.005 2.5 -2.909 ===================== Position diags ===================== AUD 3.59 BITCOIN 31.10 BOBL 2.03 BTP 3.03 BUND 1.03 BUXL 0.44 CAC 3.74 CAD 4.86 CANOLA 12.62 CHF 2.42 COCOA 0.70 COFFEE 0.55 COPPER 5.45 CORN 5.84 COTTON2 1.45 CRUDE_W 6.74 DAX 16.28 DOW 11.43 DX 4.07 EUR 2.60 EURIBOR-ICE 14.29 EUROSTX 5.22 FEEDCOW 2.13 GASOIL 1.88 GASOLINE 1.51 GAS_US_mini 27.46 GBP 4.19 GOLD_micro 12.92 HEATOIL 1.42 JGB-SGX-mini 38.87 JPY 2.78 LEANHOG 7.91 LIVECOW 3.60 LUMBER-new 6.73 MILK 2.66 MXP 48.78 NASDAQ_micro 4.20 NIKKEI 22.32 NZD 3.75 OAT 3.49 OATIES 4.81 OJ 1.15 PALLAD 0.62 PLAT 2.26 REDWHEAT 1.44 RICE 4.23 ROBUSTA 1.48 RUSSELL 15.63 SHATZ 6.02 SILVER-mini 1.97 SMI 2.41 SOFR 20.06 SOYBEAN 0.97 SOYMEAL 1.16 SOYOIL 1.28 SP400 0.77 SP500_micro 8.02 SUGAR11 2.99 US10 1.75 US10U 1.30 US2 3.10 US20 0.88 US30 0.59 US5 2.59 VIX 32.01 WHEAT 1.66 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.8 -2.2 -1.5 0.0 0 BITCOIN 23.9 20.8 27.0 0.0 0 BOBL -2.2 -2.4 -2.0 -13.0 -13 BTP 1.9 1.6 2.2 5.0 5 BUND -0.4 -0.5 -0.3 -1.0 -1 BUXL -0.2 -0.3 -0.2 0.0 0 CAC 6.7 6.3 7.1 0.0 0 CAD -3.0 -3.5 -2.5 0.0 0 CANOLA -19.4 -20.7 -18.2 -6.0 -6 CHF -4.8 -5.1 -4.6 -11.0 -11 COCOA 1.0 0.9 1.1 4.0 4 COFFEE -0.2 -0.3 -0.1 0.0 0 COPPER 2.9 2.3 3.4 5.0 5 CORN -9.5 -10.1 -8.9 -10.0 -10 COTTON2 -0.4 -0.5 -0.2 -2.0 -2 CRUDE_W 10.8 10.1 11.5 4.0 4 DAX 32.6 30.9 34.2 22.0 22 DOW -2.2 -3.3 -1.0 0.0 0 DX -0.2 -0.6 0.2 NaN 0 EUR 0.1 -0.1 0.4 2.0 2 EURIBOR-ICE 3.3 1.9 4.7 1.0 1 EUROSTX 10.4 9.9 11.0 20.0 20 FEEDCOW 1.2 0.9 1.4 6.0 6 GASOIL 2.2 2.0 2.4 3.0 3 GASOLINE 2.1 1.9 2.2 4.0 4 GAS_US_mini -34.7 -37.4 -31.9 -16.0 -16 GBP 2.5 2.1 2.9 5.0 5 GOLD_micro 3.3 2.0 4.5 0.0 0 HEATOIL 1.5 1.3 1.6 2.0 2 JGB-SGX-mini 10.9 7.0 14.7 6.0 6 JPY -3.6 -3.9 -3.4 0.0 0 LEANHOG 7.0 6.2 7.8 6.0 6 LIVECOW 5.2 4.9 5.6 1.0 1 LUMBER-new 1.7 1.0 2.3 NaN 0 MILK -5.1 -5.3 -4.8 NaN 0 MXP 97.6 92.7 102.4 60.0 60 NASDAQ_micro -0.9 -1.3 -0.5 -1.0 -1 NIKKEI 13.9 11.7 16.2 21.0 21 NZD -1.5 -1.9 -1.2 1.0 1 OAT 0.7 0.3 1.0 0.0 0 OATIES -5.4 -5.9 -4.9 NaN 0 OJ 0.4 0.3 0.5 NaN 0 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.3 0.1 0.6 0.0 0 REDWHEAT -2.0 -2.1 -1.9 -2.0 -2 RICE -3.5 -3.9 -3.0 NaN 0 ROBUSTA 1.5 1.4 1.7 0.0 0 RUSSELL -7.8 -9.4 -6.2 -3.0 -3 SHATZ -8.9 -9.5 -8.3 NaN 0 SILVER-mini 1.7 1.5 1.9 NaN 0 SMI 4.6 4.4 4.9 9.0 9 SOFR -10.1 -12.2 -8.1 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -2.0 -2 SOYMEAL -2.1 -2.2 -2.0 0.0 0 SOYOIL -0.8 -0.9 -0.7 -5.0 -5 SP400 0.1 0.0 0.2 2.0 2 SP500_micro 4.2 3.4 5.0 19.0 19 SUGAR11 -0.6 -0.9 -0.3 -1.0 -1 US10 -1.3 -1.4 -1.1 0.0 0 US10U -0.4 -0.5 -0.3 -2.0 -2 US2 -4.1 -4.4 -3.8 NaN 0 US20 -0.0 -0.1 0.1 1.0 1 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.5 -2.8 -2.3 -8.0 -8 VIX -64.0 -67.2 -60.8 -16.0 -16 WHEAT -2.9 -3.1 -2.7 -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 -0.1 0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.1 0.0 -0.4 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.7 -0.4 -0.4 -0.0 BITCOIN 0.4 0.6 0.3 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 -0.3 0.6 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL -0.1 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.3 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 0.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.1 -0.1 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.3 -0.1 0.5 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.3 0.1 -2.5 0.1 -0.0 0.2 0.0 0.2 0.0 0.6 0.4 0.6 0.6 0.4 -0.4 -0.5 0.7 0.1 BUND -0.0 -0.5 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 0.1 -0.0 0.1 -0.1 -0.6 -0.7 0.4 -0.4 BUXL 0.0 -0.3 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.1 0.2 0.1 -0.7 -0.7 0.1 0.0 CAC 0.6 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.3 -0.1 0.0 -0.0 0.2 0.2 0.2 0.5 0.2 -1.5 0.1 0.1 0.2 0.1 0.2 0.1 0.3 0.5 0.5 0.6 0.1 -0.2 0.5 -0.1 0.7 CAD -0.0 -0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.4 -0.1 -0.0 -0.5 -0.5 -0.0 -0.4 CANOLA 0.6 0.3 -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 -0.0 -0.2 0.2 -0.5 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.7 0.5 0.6 -0.4 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.1 -0.6 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 -0.1 -0.2 0.0 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.0 -0.2 -0.6 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.2 -0.5 -0.6 -0.2 -0.6 COCOA 0.1 0.1 -0.5 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 0.5 0.5 COFFEE -0.1 -0.2 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 -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 0.9 -0.3 -0.3 -0.2 0.3 -0.3 -0.7 -0.1 -0.4 COPPER 0.6 0.3 0.3 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.2 0.2 -0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 -1.9 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.5 0.5 0.3 0.5 -0.7 -0.1 0.4 0.2 CORN 0.6 0.1 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.5 0.2 -0.7 0.1 -0.1 -0.4 -0.2 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 0.0 -2.5 -0.1 0.0 -0.2 0.0 -0.3 0.0 -0.9 0.5 0.4 -0.6 -0.6 -0.2 -0.7 -0.2 -0.0 COTTON2 -0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 0.1 0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.3 0.3 0.6 0.6 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.4 0.3 -0.0 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 0.2 0.1 0.2 0.3 0.2 -0.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.1 0.3 0.0 -0.0 0.7 0.7 0.7 0.7 DAX 0.6 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 2.4 0.1 0.1 0.2 0.1 0.2 0.1 -0.6 0.0 0.6 0.2 0.2 -0.2 0.4 0.1 0.7 DOW -0.3 -0.1 0.6 0.1 0.1 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 0.1 0.5 0.1 -2.1 0.1 0.1 0.3 0.1 0.4 0.0 -0.5 -0.1 -0.6 -0.6 0.2 -0.2 -0.2 0.0 -0.5 DX -0.3 0.2 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.1 0.0 0.0 -0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.1 -0.0 -2.7 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.8 -0.2 -0.6 0.4 -0.6 0.5 0.1 0.7 0.3 EUR 0.3 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.1 2.7 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 -0.2 0.2 0.0 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.0 -0.6 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.9 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.1 0.0 0.0 0.1 -0.7 -0.7 0.3 0.7 EUROSTX 0.3 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.0 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 0.0 0.3 0.6 0.3 -0.4 0.5 -0.3 0.7 FEEDCOW -0.4 0.6 0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.1 0.2 0.2 -1.1 0.1 0.0 0.1 0.0 0.2 0.0 -1.1 -0.2 -0.2 0.6 0.6 0.7 0.5 0.7 0.7 GASOIL 0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.4 0.2 0.2 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.4 0.2 1.0 0.1 0.1 0.1 0.1 0.2 0.1 1.1 -0.2 -0.2 0.1 0.1 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.3 0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 0.2 0.3 0.2 0.0 0.0 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.5 0.3 0.5 0.4 0.5 0.7 0.6 0.7 0.5 GAS_US_mini 0.2 -0.1 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -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 2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.4 -0.6 -0.6 -0.5 -0.1 -0.7 -0.2 GBP 0.2 0.0 0.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.1 0.4 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.2 0.1 0.3 0.1 0.0 0.2 0.0 0.2 0.1 0.2 -0.0 0.4 0.3 0.3 -0.7 -0.2 -0.7 0.0 GOLD_micro 0.6 0.4 0.3 0.0 -0.0 0.0 0.0 -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 0.2 0.2 0.3 0.2 -0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.8 0.2 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.2 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 1.1 -0.1 -0.0 0.1 0.2 0.7 0.2 0.5 0.1 JGB-SGX-mini -0.2 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.0 0.2 0.3 0.2 0.2 -0.0 0.0 -0.0 0.1 -0.0 -0.9 -0.0 0.0 0.0 0.0 0.0 -0.0 1.1 0.2 0.1 0.1 0.0 -0.3 -0.7 0.1 0.3 JPY 0.3 -0.2 -0.2 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.5 -0.1 2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.3 -0.3 -0.3 -0.7 -0.4 -0.5 -0.5 LEANHOG 0.2 0.6 0.5 0.0 0.0 0.1 0.0 -0.1 0.1 -0.1 0.3 0.1 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.0 -0.2 0.2 2.3 0.1 -0.0 0.2 0.0 0.0 0.1 -1.1 -0.3 0.6 0.6 0.6 -0.2 -0.3 0.3 0.4 LIVECOW -0.2 0.6 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.2 0.4 -0.0 0.2 0.0 0.2 0.1 0.1 0.2 0.2 -0.7 0.1 0.0 0.1 0.0 0.2 0.1 0.0 0.1 0.2 0.6 0.6 0.7 0.2 0.7 0.6 LUMBER-new 0.5 0.4 0.5 0.1 0.0 0.1 0.0 -0.1 0.1 -0.0 0.5 0.2 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.1 0.1 0.2 NaN 0.1 0.0 0.2 0.0 0.1 0.1 -1.2 -0.2 0.7 0.7 0.7 -0.4 -0.7 -0.3 -0.4 MILK -0.6 0.0 0.2 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 -0.1 1.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.3 -0.6 -0.2 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.2 0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.4 0.6 0.6 0.5 0.7 0.7 0.7 0.7 NASDAQ_micro -0.3 -0.0 0.3 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 0.3 0.0 -0.4 -0.4 -0.5 -0.3 0.2 0.3 -0.1 0.5 -0.2 NIKKEI -0.6 0.3 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 0.2 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.2 0.0 1.1 -0.5 -0.3 0.3 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.2 -0.1 0.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.4 -0.6 -0.1 -0.0 -0.3 -0.3 -0.0 0.1 OAT 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 -0.1 -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 0.1 0.1 0.2 0.1 -0.6 -0.7 0.4 0.1 OATIES 0.1 0.1 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.4 -0.0 -0.4 -0.0 -0.0 0.2 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.2 -0.3 -0.2 -0.2 -0.4 0.0 -0.0 0.4 OJ -0.3 0.3 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.2 -0.1 0.4 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 -0.1 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.4 -0.0 1.1 -0.5 -0.4 0.6 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.6 0.5 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 1.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.4 -0.0 -0.1 -0.1 0.0 -0.7 -0.4 -0.5 -0.2 PLAT 0.3 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.3 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 1.3 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.2 -0.0 -0.3 -0.2 0.0 -0.5 -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 -0.4 0.0 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.5 -0.0 -1.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.2 0.3 -0.2 -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 -0.2 0.3 -0.2 0.6 -0.2 0.0 -0.2 -0.1 -0.2 -0.2 0.0 0.2 -0.1 0.5 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.5 -0.5 -0.6 0.1 0.0 0.2 -0.1 0.5 0.2 ROBUSTA 0.1 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 0.1 0.6 0.6 0.6 -0.7 -0.6 -0.4 0.1 RUSSELL 0.1 0.1 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.0 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.5 -0.6 -0.6 -0.2 -0.5 -0.6 -0.6 -0.7 SHATZ -0.1 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -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 0.2 -0.2 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.4 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.2 -0.1 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 0.7 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.5 0.6 0.5 0.2 -0.6 -0.6 0.6 -0.0 SMI 0.5 0.4 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.5 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 2.1 0.1 0.0 0.2 0.1 0.1 0.1 1.1 0.0 -0.2 -0.4 -0.2 0.4 -0.2 0.7 -0.3 SOFR 0.1 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 -0.7 -0.7 -0.0 -0.1 SOYBEAN 0.6 -0.1 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.4 0.2 -0.2 0.1 -0.1 0.1 0.3 0.1 0.2 -0.1 -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 0.6 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL 0.6 -0.4 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.5 0.1 -0.4 -0.1 -0.2 -0.2 0.2 -0.1 0.1 -0.2 -0.2 0.0 -0.4 -0.1 -2.7 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.7 0.3 -0.1 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.3 -0.4 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.1 -0.5 0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.2 0.2 -0.5 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.5 0.6 0.0 -0.2 -0.5 -0.3 -0.4 0.2 SP400 0.4 0.5 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.1 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.4 0.2 -1.8 0.1 0.0 0.2 0.0 0.2 0.1 0.0 -0.4 -0.1 -0.2 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro 0.0 0.4 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.0 0.3 0.1 -0.5 -0.0 -0.1 0.1 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 -0.2 -0.1 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 0.2 -0.0 -0.1 0.2 0.4 0.3 0.3 -0.1 -0.1 -0.0 0.0 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 1.1 0.1 -0.4 -0.3 -0.6 0.7 0.1 0.7 0.5 US10 0.1 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.6 0.0 0.1 0.0 0.1 -0.7 -0.7 -0.5 0.3 US10U 0.1 -0.3 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.1 0.1 -0.7 -0.7 0.4 0.7 US2 -0.1 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.1 -0.2 -0.0 -0.7 -0.7 -0.6 -0.7 US20 0.1 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -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 0.1 -0.0 0.2 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.1 -0.2 0.2 -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 -0.1 -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 0.0 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.8 0.0 -0.0 -0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.3 0.4 -0.2 -0.1 -0.1 -0.5 -0.1 -0.9 -0.1 -0.3 -0.9 -0.2 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 -0.1 -0.9 -0.1 NaN -0.1 -0.2 -0.6 -0.1 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 -0.3 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.5 0.1 -0.7 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -1.0 0.4 -0.3 -0.6 -0.6 -0.4 -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 5.6 -4.4 1.6 0.9 3.1 2.2 1.8 3.6 1.5 -2.8 -3.4 2.0 -10.4 5.6 -9.3 -2.8 -2.9 -2.8 -2.8 -1.6 -2.2 -0.6 -5.1 0.5 2.8 -0.7 -0.4 -0.9 -0.3 -1.9 0.4 -1.2 -3.3 -4.3 -3.4 -6.6 -20.0 -10.8 -12.1 -0.9 BITCOIN 11.8 17.8 10.2 3.5 -1.6 0.2 3.9 -0.7 6.3 -14.6 20.0 9.2 20.0 17.0 19.6 -9.9 -7.2 -9.2 -8.4 20.0 20.0 7.5 20.0 20.0 -20.0 7.7 -2.1 6.6 1.9 4.9 6.5 -3.1 -10.8 20.0 20.0 20.0 -5.3 0.7 17.4 4.5 BOBL -1.7 -20.0 0.6 -1.3 -2.3 -0.2 -3.2 -0.9 -2.4 -5.5 -1.4 -6.4 -2.1 -8.5 -7.5 0.4 -14.5 -16.3 -17.8 -7.3 -3.2 -6.3 -3.3 -7.7 6.8 -2.2 -1.1 -0.8 -2.3 -0.7 -2.6 -20.0 5.5 -2.5 -2.6 -4.6 -20.0 -20.0 3.4 -20.0 BTP 8.0 -2.3 14.5 -2.2 -3.8 -0.4 -5.3 -1.5 -4.0 -13.4 11.5 4.8 10.7 7.0 8.5 4.7 6.3 4.8 5.2 10.6 13.7 1.4 10.5 7.6 -19.0 4.7 -3.3 5.6 0.6 4.5 3.6 12.1 18.2 20.0 20.0 12.8 -11.0 -15.5 20.0 2.8 BUND -1.3 -14.2 5.1 -1.5 -2.6 -0.2 -3.6 -1.0 -2.7 -7.5 0.7 -7.5 -0.9 -8.9 -6.1 -7.1 2.7 -1.6 0.4 -4.5 -0.5 -7.0 -2.2 -6.3 4.2 -1.8 -2.8 -0.1 -3.4 -0.3 -2.7 4.9 3.2 -0.4 1.8 -1.7 -17.6 -20.0 11.3 -10.7 BUXL 0.1 -9.0 8.1 -1.8 -3.2 -0.3 -4.5 -1.2 -3.4 -12.6 2.4 -10.5 -4.1 -9.9 -5.0 -7.0 -0.9 -3.9 -2.1 -2.5 0.7 -9.6 -4.1 -5.8 0.0 -1.0 -6.3 0.7 -5.3 -0.6 -2.9 0.0 -0.0 1.6 5.7 1.9 -20.0 -20.0 4.2 0.9 CAC 17.9 20.0 19.1 8.6 6.9 7.3 6.7 4.9 7.9 20.0 20.0 20.0 20.0 20.0 20.0 14.0 -3.1 1.6 -2.3 20.0 20.0 20.0 20.0 20.0 -11.3 9.5 7.0 7.4 8.9 5.3 9.9 4.8 20.0 14.2 18.7 1.6 -5.2 14.5 -2.0 20.0 CAD -0.8 -5.8 4.6 1.0 3.5 2.5 2.1 4.1 1.7 2.1 -1.8 1.3 -4.3 -9.3 -10.4 -2.3 -2.2 -2.2 -2.2 -3.4 -1.8 -0.8 -3.8 -3.2 -0.2 -2.2 3.3 -1.3 -0.5 -2.2 -2.0 0.0 -4.1 -12.6 -4.3 -0.4 -16.1 -14.6 -1.0 -12.5 CANOLA 20.0 10.8 -20.0 2.3 0.2 0.9 1.8 -1.5 2.3 11.4 -11.3 12.6 -11.1 6.0 -7.0 -15.2 -5.2 -13.7 -11.0 -4.5 -17.6 20.0 -20.0 12.4 -20.0 -1.3 7.5 -4.7 6.5 -5.7 3.4 -12.8 20.0 20.0 -11.6 -20.0 -20.0 -20.0 -17.9 -7.6 CHF -4.2 -20.0 -4.7 0.9 3.2 2.3 1.9 3.8 1.5 -17.6 -5.5 -17.1 0.8 -20.0 -19.1 -16.1 -15.6 -15.8 -15.8 -18.3 -9.2 -18.6 0.1 -19.4 -4.4 -5.2 -6.6 -1.6 -6.9 1.1 -6.6 -20.0 -20.0 -20.0 -20.0 -5.3 -15.3 -16.6 -5.3 -17.2 COCOA 4.6 3.2 -16.6 1.3 0.1 0.6 1.0 -0.9 1.3 6.6 7.9 7.3 7.9 7.6 7.8 20.0 12.3 20.0 20.0 19.9 15.0 20.0 10.3 20.0 -11.3 2.8 2.5 2.6 2.7 2.3 2.7 20.0 20.0 20.0 20.0 20.0 7.7 1.7 16.1 16.3 COFFEE -2.4 -5.1 8.8 3.5 0.3 1.5 2.8 -2.3 3.5 -14.1 10.3 -5.7 7.5 -3.0 2.2 13.0 8.2 14.0 11.2 3.1 8.9 -2.9 7.0 -1.5 -20.0 1.3 -1.2 4.9 -1.4 5.3 -0.7 17.5 -12.4 -8.3 -5.3 10.0 -9.3 -20.0 -1.8 -13.4 COPPER 17.5 8.3 7.8 3.3 -1.5 0.2 3.7 -0.7 6.0 13.2 7.9 17.6 -4.3 19.0 14.8 -4.6 -4.9 -5.3 -5.5 17.7 8.7 20.0 1.4 20.0 -14.1 5.3 7.1 2.4 10.9 0.5 9.2 1.3 20.0 16.7 8.0 14.0 -20.0 -2.2 12.0 5.3 CORN 20.0 4.4 -7.7 3.9 0.3 1.6 3.1 -2.6 3.9 19.5 -18.1 20.0 -20.0 6.9 -11.8 -19.1 -7.5 -16.8 -13.2 -11.9 -20.0 12.8 -20.0 4.2 -18.7 -5.3 4.7 -8.0 4.0 -7.8 0.3 -16.5 20.0 11.6 -20.0 -20.0 -6.3 -20.0 -4.6 -0.2 COTTON2 -14.3 17.4 18.5 2.0 0.2 0.9 1.6 -1.4 2.1 -10.3 5.3 -8.6 3.3 2.2 6.1 4.0 -0.5 0.3 -1.6 8.5 7.6 -5.3 3.1 2.2 -20.0 3.6 -1.4 3.1 -0.4 1.7 1.8 -1.3 -11.9 8.8 20.0 20.0 -14.0 -13.6 -5.2 0.9 CRUDE_W 10.9 9.6 -0.2 6.2 9.5 3.7 11.1 3.1 8.7 19.4 1.3 20.0 9.5 20.0 18.7 13.7 10.2 11.2 10.3 15.3 9.6 20.0 11.8 20.0 -5.2 7.5 11.6 4.9 13.7 5.7 11.1 -1.1 4.5 8.2 0.1 -1.5 20.0 20.0 20.0 20.0 DAX 17.6 17.8 20.0 8.2 6.6 7.0 6.4 4.7 7.6 20.0 20.0 20.0 20.0 20.0 20.0 -12.9 -11.6 -14.2 -13.4 20.0 20.0 20.0 20.0 20.0 18.0 9.2 6.3 7.6 7.2 5.4 8.9 -11.2 2.0 20.0 7.0 5.8 -4.7 12.8 2.6 20.0 DOW -9.3 -4.6 20.0 7.0 5.6 5.9 5.4 4.0 6.4 15.9 20.0 9.0 20.0 15.2 20.0 -13.2 -11.0 -13.2 -12.3 20.0 20.0 13.3 20.0 11.2 -15.5 7.3 10.9 10.5 5.1 9.8 4.0 -9.9 -4.4 -20.0 -20.0 6.1 -6.1 -6.0 1.3 -14.2 DX -10.2 5.0 -1.5 0.6 -4.9 2.4 -0.7 3.9 0.8 17.4 2.6 2.6 0.9 -6.7 6.4 7.0 6.2 6.6 6.4 -0.1 1.5 5.5 3.7 -2.2 -20.0 -1.0 11.8 -0.3 3.2 1.6 -1.4 14.7 -8.5 -20.0 11.4 -17.3 16.4 3.2 20.0 9.5 EUR 9.4 -1.2 0.5 1.0 3.5 2.5 2.1 4.1 1.7 -2.9 -0.8 5.2 -0.3 11.5 -5.4 -6.9 -6.7 -6.6 -6.5 2.2 -0.4 2.8 -1.9 5.1 20.0 2.6 1.7 1.5 1.6 0.3 3.4 -7.5 -6.8 6.8 1.4 -5.8 -20.0 -16.0 -20.0 -12.5 EURIBOR-ICE -0.9 -18.8 8.7 -1.1 -2.0 -0.2 -2.8 -0.8 -2.1 -4.7 3.2 -4.3 2.9 -5.8 -2.1 -3.6 -3.8 -1.7 -2.2 -1.8 3.7 -4.4 3.7 -4.1 14.2 -0.5 -1.3 1.6 -1.8 1.7 -1.4 -3.2 5.9 0.7 0.9 2.9 -20.0 -20.0 9.3 20.0 EUROSTX 9.5 20.0 20.0 8.2 6.6 6.9 6.4 4.7 7.6 20.0 20.0 20.0 20.0 20.0 20.0 0.4 2.1 4.9 3.8 20.0 20.0 20.0 20.0 20.0 0.7 9.2 4.9 8.1 6.0 6.0 8.1 14.9 1.2 9.6 20.0 10.1 -10.9 15.4 -9.0 20.0 FEEDCOW -11.7 20.0 15.1 4.3 0.4 1.8 3.4 -2.9 4.4 11.1 3.2 5.1 2.2 19.8 20.0 -20.0 -20.0 -20.0 -20.0 20.0 15.8 5.8 9.0 13.9 -8.1 5.3 2.3 4.4 1.3 5.3 2.7 -20.0 -7.8 -7.6 20.0 20.0 20.0 16.1 20.0 20.0 GASOIL 0.0 9.8 2.3 5.0 7.7 3.0 9.0 2.5 7.0 10.6 8.0 12.9 11.7 14.7 15.6 20.0 20.0 20.0 20.0 12.8 11.6 17.4 13.3 14.2 7.3 5.6 6.8 5.3 8.1 5.9 6.4 20.0 -10.4 -6.3 3.5 4.4 -10.7 -7.9 -20.0 -14.5 GASOLINE 9.2 15.3 6.7 5.7 8.8 3.4 10.3 2.9 8.1 19.8 7.9 20.0 11.7 20.0 20.0 15.6 8.8 1.2 0.5 20.0 15.0 20.0 12.7 20.0 -20.0 7.7 8.6 5.3 10.5 5.2 9.5 -9.0 12.7 14.2 11.9 14.0 20.0 17.0 20.0 15.8 GAS_US_mini 7.3 -4.0 -9.0 2.3 3.6 1.4 4.2 1.2 3.3 -3.7 -9.6 -6.2 -10.4 -7.9 -8.9 -20.0 -20.0 -16.5 -16.8 -10.2 -14.9 -3.6 -19.6 -6.0 18.5 -3.5 -0.5 -4.2 -1.4 -3.9 -2.4 -20.0 -20.0 -12.8 -20.0 -19.9 -14.3 -1.6 -20.0 -6.4 GBP 6.9 0.5 6.9 1.0 3.7 2.7 2.2 4.3 1.8 -8.4 11.8 4.7 10.5 10.9 13.8 -0.8 -0.6 -0.6 -0.5 9.9 9.8 5.2 8.4 9.4 2.4 6.8 2.8 6.5 3.5 4.5 6.2 2.8 -0.2 11.9 9.3 9.9 -20.0 -6.3 -20.0 1.2 GOLD_micro 20.0 11.9 9.0 3.2 -3.2 0.0 4.3 -0.7 6.3 -8.4 15.4 15.1 10.7 16.5 13.8 -15.4 -14.7 -15.5 -15.1 20.0 16.4 20.0 10.2 20.0 -3.7 5.9 0.6 3.7 5.1 2.4 7.3 -15.4 7.1 20.0 18.8 20.0 -20.0 -20.0 -20.0 -14.4 HEATOIL 2.9 7.7 -0.0 5.4 8.3 3.2 9.7 2.7 7.6 10.0 1.5 14.5 8.1 11.9 13.6 19.8 20.0 20.0 20.0 10.1 7.5 18.3 9.8 14.4 -20.0 6.6 4.9 5.8 8.6 7.0 7.7 20.0 -4.7 -1.3 2.6 6.5 19.7 5.1 15.5 1.9 JGB-SGX-mini -5.7 -7.0 9.1 -1.3 -2.3 -0.2 -3.2 -0.9 -2.4 6.9 4.6 -0.7 6.3 -4.4 1.0 9.7 15.9 11.2 12.4 -0.6 2.8 -0.0 3.8 -2.6 -6.4 -0.7 3.4 0.5 0.0 0.4 -1.5 20.0 9.7 1.6 2.2 0.4 -7.8 -20.0 1.6 9.8 JPY 10.5 -7.2 -5.1 0.6 2.2 1.6 1.3 2.6 1.1 -13.3 -14.0 -8.9 -15.1 -9.2 -13.3 -16.7 -16.3 -16.5 -16.5 -9.6 -13.0 -13.1 -19.1 -7.5 20.0 -3.2 -11.8 -4.3 -6.2 -6.7 -2.9 -20.0 -20.0 -8.8 -10.3 -8.4 -20.0 -12.7 -16.0 -14.4 LEANHOG 6.0 18.2 16.3 4.6 0.4 1.9 3.7 -3.1 4.7 -16.5 12.9 10.9 -10.9 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.3 5.2 -6.4 20.0 16.9 8.9 -4.1 7.1 1.2 0.5 5.9 -20.0 -12.9 20.0 20.0 20.0 -5.4 -8.3 8.8 13.5 LIVECOW -4.7 20.0 10.6 4.1 0.4 1.7 3.3 -2.8 4.2 4.0 5.5 11.1 3.5 20.0 20.0 20.0 -1.6 10.3 1.7 20.0 13.5 11.1 6.9 19.3 -5.6 6.6 2.5 4.3 3.6 4.2 5.7 0.5 4.5 7.4 20.0 17.4 20.0 6.8 20.0 17.4 LUMBER-new 12.8 9.5 13.4 4.6 0.4 2.0 3.6 -2.2 4.7 -1.9 15.6 14.2 -10.7 19.2 20.0 -15.9 -15.3 -16.2 -15.7 20.0 15.8 10.6 3.9 20.0 NaN 8.6 1.2 6.6 3.6 3.2 7.6 -20.0 -5.4 20.0 20.0 20.0 -11.1 -18.0 -7.6 -11.6 MILK -20.0 1.1 5.9 2.4 0.2 1.0 1.9 -1.6 2.5 -5.3 -12.6 -11.7 -13.6 -11.2 -11.5 -20.0 -20.0 -20.0 -20.0 -12.8 -15.3 -10.6 -20.0 -13.6 11.4 -3.7 -1.5 -4.4 -3.2 -6.3 -4.1 -20.0 -10.9 -20.0 -5.8 -19.8 -20.0 -20.0 -20.0 -20.0 MXP 10.5 6.3 9.2 1.0 3.6 2.6 2.2 4.2 1.7 14.8 20.0 19.8 20.0 20.0 20.0 18.6 17.0 17.5 16.7 20.0 20.0 19.1 20.0 20.0 -20.0 8.9 5.9 8.3 8.0 10.2 9.7 20.0 17.1 20.0 20.0 16.6 20.0 20.0 20.0 20.0 NASDAQ_micro -9.2 -0.4 10.7 4.8 3.9 4.1 3.7 2.7 4.4 8.1 14.5 5.0 14.7 9.1 13.1 -10.8 -10.1 -11.3 -10.9 15.2 20.0 4.4 20.0 7.4 -20.0 5.3 3.0 7.2 1.3 7.6 2.5 -8.0 -16.4 -14.3 -9.9 6.4 9.3 -2.4 15.6 -4.9 NIKKEI -18.4 9.8 16.3 5.5 4.5 4.7 4.3 3.1 5.1 12.4 16.2 7.6 16.7 11.9 15.0 4.6 11.7 9.9 11.2 20.0 20.0 17.5 20.0 19.3 -14.0 5.9 4.8 6.3 3.1 5.4 3.9 20.0 -20.0 -8.1 9.0 18.6 -20.0 -6.1 -8.5 -5.5 NZD -5.8 -4.3 4.6 0.7 2.5 1.8 1.5 3.0 1.2 -11.2 3.3 -11.5 -0.6 -6.3 -6.1 0.3 0.3 0.3 0.3 -1.6 1.3 -10.4 -0.1 -5.5 -0.0 -1.3 -8.1 1.0 -7.2 0.8 -4.0 4.2 -17.5 -17.4 -2.1 -0.9 -8.3 -9.0 -1.2 4.2 OAT 1.3 -10.9 8.1 -1.5 -2.7 -0.3 -3.8 -1.0 -2.9 -8.7 2.8 -5.1 0.7 -6.9 -3.3 3.9 6.1 4.4 4.9 -1.3 2.5 -5.1 0.4 -3.4 4.9 -0.5 -3.0 1.3 -2.8 0.8 -1.6 11.6 5.7 3.3 5.5 1.7 -19.0 -20.0 11.7 3.2 OATIES 2.1 3.5 -9.5 2.9 0.3 1.2 2.3 -1.9 2.9 -11.3 -14.5 -3.3 -12.1 -1.9 -4.2 8.6 -1.7 6.4 1.4 -4.9 -11.1 -5.8 -11.9 -2.8 -20.0 -1.5 -6.8 -3.8 -3.6 -4.5 -1.6 -0.5 -7.0 -7.8 -5.0 -4.7 -10.7 1.0 -1.0 13.5 OJ -9.6 7.8 -20.0 2.6 0.2 1.1 2.1 -1.7 2.6 -10.8 6.9 -8.1 10.9 7.4 3.9 7.3 15.0 8.0 11.1 5.9 10.6 -6.6 19.5 0.7 -20.0 1.9 -5.3 5.4 -2.7 11.8 -0.3 20.0 -20.0 -11.3 20.0 -10.2 10.7 9.3 16.6 20.0 PALLAD 17.3 16.3 1.9 1.3 -0.6 0.1 1.4 -0.3 2.3 -2.5 -4.4 3.4 -7.5 5.3 -2.1 -1.6 -2.1 -1.8 -1.9 0.8 -3.9 2.1 -8.8 3.8 9.7 0.7 -1.0 -1.5 1.1 -3.4 2.0 6.9 -1.6 -2.5 -3.3 0.2 -19.5 -10.5 -14.6 -6.3 PLAT 9.2 0.7 0.3 1.8 -0.8 0.1 2.0 -0.4 3.3 -5.2 -4.5 1.3 -7.6 2.6 -5.7 -4.1 -3.4 -4.1 -3.8 -0.5 -2.5 -0.5 -3.5 1.6 9.7 0.4 -3.7 -0.6 -0.2 -0.8 1.5 4.2 -2.1 -9.8 -7.4 0.5 -13.8 -4.4 20.0 7.3 REDWHEAT 10.5 -0.8 -8.9 3.0 0.3 1.3 2.4 -2.0 3.0 1.2 -16.4 3.9 -16.9 -7.5 -12.0 8.9 1.1 5.4 2.4 -12.1 -19.9 0.8 -20.0 -4.4 -8.0 -5.2 0.8 -6.5 -0.1 -6.5 -2.7 3.7 11.0 -6.2 -20.0 -19.4 -14.1 -20.0 -8.6 -20.0 RICE -19.6 -3.6 8.3 3.8 0.3 1.6 3.0 -2.6 3.9 -19.8 12.9 -20.0 16.3 -14.1 2.0 -11.6 -3.9 -11.5 -9.7 1.2 14.7 -16.3 17.8 -12.9 -20.0 -0.2 -6.7 4.2 -7.4 5.2 -5.4 -9.9 -20.0 -20.0 2.4 0.3 6.7 -3.9 14.6 5.7 ROBUSTA 3.9 0.7 20.0 2.8 0.3 1.2 2.3 -1.9 2.9 4.1 16.0 11.6 16.4 12.2 15.5 18.9 20.0 20.0 20.0 20.0 20.0 15.9 20.0 20.0 -20.0 6.2 2.0 7.9 3.6 8.0 4.6 20.0 5.5 18.2 20.0 20.0 -20.0 -18.1 -11.1 1.5 RUSSELL 2.0 4.6 15.6 4.7 3.8 4.0 3.7 2.7 4.4 2.8 11.6 3.1 8.4 8.7 11.8 -6.5 -6.3 -6.4 -6.4 9.2 10.3 1.3 6.4 4.7 -2.1 4.4 2.8 4.9 0.5 3.5 2.2 -0.8 -20.0 -20.0 -17.5 -6.2 -15.8 -18.5 -16.5 -20.0 SHATZ -3.3 -20.0 -5.4 -1.1 -1.9 -0.2 -2.7 -0.7 -2.1 -4.0 -6.2 -5.6 -6.6 -7.9 -7.9 -20.0 -20.0 -20.0 -20.0 -10.8 -7.6 -6.0 -7.6 -9.7 8.1 -2.3 -0.3 -1.4 -1.5 -1.3 -2.3 -20.0 6.5 -5.4 -8.3 -6.6 -20.0 -20.0 -8.3 -20.0 SILVER-mini 20.0 11.7 -0.8 3.2 -1.4 0.2 3.5 -0.6 5.7 14.5 1.9 18.4 -2.3 18.2 3.4 -6.6 -6.6 -6.8 -6.8 13.4 3.2 20.0 -0.7 20.0 5.6 5.4 7.7 2.2 8.7 0.7 8.5 -1.3 20.0 20.0 16.0 7.4 -17.6 -18.3 19.4 -1.4 SMI 14.4 13.7 18.3 7.7 6.2 6.5 6.0 4.4 7.1 5.1 20.0 14.3 12.3 20.0 20.0 2.6 5.7 6.9 6.9 20.0 20.0 19.2 10.9 20.0 15.5 8.0 1.3 6.2 5.4 3.3 8.2 20.0 1.5 -5.7 -12.3 -6.3 10.9 -4.6 20.0 -8.3 SOFR 2.1 -12.9 5.0 -1.5 -2.6 -0.2 -3.6 -1.0 -2.8 -7.1 3.4 -7.1 -0.2 -7.6 -4.9 -0.7 0.1 0.3 0.4 -3.5 -0.8 -7.5 -1.8 -5.6 -2.6 -0.9 -2.8 0.6 -3.6 0.2 -2.5 2.7 0.1 2.2 0.9 1.3 -20.0 -20.0 -0.2 -2.7 SOYBEAN 20.0 -2.1 -20.0 3.7 0.3 1.6 3.0 -2.5 3.8 17.0 -15.6 18.5 -5.8 7.7 -12.5 4.3 13.4 7.0 9.6 -9.0 -18.7 20.0 -15.1 11.0 -20.0 -2.3 7.8 -4.6 7.8 -3.1 3.9 20.0 20.0 20.0 -19.4 -20.0 -8.2 -20.0 -7.4 -20.0 SOYMEAL 18.3 -12.7 -20.0 3.1 0.3 1.3 2.5 -2.1 3.2 9.8 -16.8 8.2 -12.1 -9.1 -16.3 -8.1 9.1 -2.8 3.0 -19.4 -20.0 4.9 -15.2 -5.2 -20.0 -5.2 3.8 -6.0 1.7 -3.0 -1.2 12.4 13.4 -3.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 10.4 -11.5 3.3 0.3 1.4 2.6 -2.2 3.3 11.5 -15.7 13.8 -13.6 9.8 -6.6 -7.9 2.4 -5.9 -2.3 -0.7 -14.2 20.0 -17.3 16.1 -20.0 2.4 7.3 -1.5 9.9 -2.8 7.4 1.7 20.0 20.0 1.2 -5.3 -15.3 -8.3 -10.7 5.7 SP400 11.8 14.4 20.0 6.0 4.9 5.1 4.7 3.4 5.6 8.9 17.7 13.6 14.4 16.0 18.1 -4.9 -5.4 -5.6 -5.5 20.0 20.0 13.7 15.6 20.0 -13.2 6.6 4.4 6.1 3.6 4.3 5.3 0.8 -17.9 -3.7 -7.5 0.4 -14.2 -8.8 -11.9 -20.0 SP500_micro 0.8 12.4 20.0 6.7 5.4 5.7 5.2 3.8 6.2 17.0 20.0 18.0 20.0 19.6 20.0 -13.0 -11.4 -13.0 -12.4 20.0 20.0 20.0 20.0 20.0 -20.0 7.8 6.0 8.6 4.6 7.4 5.6 -10.3 -1.1 -2.6 4.3 16.0 3.4 -3.1 15.7 -6.2 SUGAR11 -5.0 -2.0 -15.2 2.6 0.2 1.1 2.1 -1.8 2.7 4.0 -6.5 1.3 4.7 -4.3 -6.5 9.5 17.8 14.1 16.6 -7.0 -7.3 -0.5 0.2 -3.9 -20.0 -3.7 -0.5 -4.2 -0.1 0.1 -1.6 20.0 3.8 -11.0 -10.4 -20.0 19.6 2.5 20.0 14.2 US10 2.1 -11.6 6.3 -1.3 -2.2 -0.2 -3.1 -0.9 -2.4 -5.6 1.9 -5.9 -2.9 -7.0 -4.0 -7.8 -8.0 -8.5 -8.4 -3.2 -2.0 -6.1 -5.3 -4.8 2.2 -0.7 -1.9 0.2 -2.8 -0.9 -2.0 -12.0 0.5 2.0 1.1 1.7 -20.0 -20.0 -14.6 8.3 US10U 2.1 -10.5 6.3 -1.8 -3.2 -0.3 -4.5 -1.3 -3.5 -9.0 2.1 -8.9 -4.1 -10.4 -6.1 -3.5 -0.3 -1.6 -0.6 -4.4 -3.1 -8.6 -8.2 -6.6 -0.7 -0.7 -3.3 0.4 -4.2 -1.5 -2.7 1.5 0.3 3.7 4.1 3.2 -20.0 -20.0 12.1 20.0 US2 -2.0 -19.9 1.2 -1.1 -2.0 -0.2 -2.7 -0.8 -2.1 -3.1 -2.7 -4.9 -6.1 -7.3 -6.4 -20.0 -20.0 -20.0 -20.0 -6.8 -4.7 -5.8 -7.4 -7.5 10.3 -1.8 -0.0 -0.5 -2.0 -1.2 -2.5 -20.0 2.9 -3.3 -6.9 -1.5 -20.0 -20.0 -18.4 -20.0 US20 3.4 -7.2 9.6 -1.3 -2.3 -0.2 -3.2 -0.9 -2.5 -7.5 2.9 -4.6 -1.7 -5.2 -1.5 0.1 -0.8 -0.0 -0.4 -1.0 -0.4 -6.1 -4.7 -3.2 -1.3 0.5 -3.2 1.1 -3.1 -0.8 -1.3 1.1 -1.2 5.4 6.4 5.9 -20.0 -20.0 20.0 20.0 US30 3.0 -5.2 7.6 -1.6 -2.8 -0.3 -3.9 -1.1 -3.0 -10.9 2.3 -6.5 -3.4 -5.9 -3.2 -7.1 -6.0 -7.6 -7.0 -1.3 -1.2 -7.9 -6.8 -3.9 -0.6 0.7 -5.4 1.2 -4.7 -1.5 -1.8 -8.9 -3.5 6.4 9.5 5.3 -14.2 -17.4 20.0 20.0 US5 0.8 -15.3 4.2 -1.3 -2.2 -0.2 -3.1 -0.9 -2.4 -4.6 0.7 -5.6 -3.9 -7.5 -5.2 -8.6 -10.0 -9.2 -9.8 -4.9 -2.9 -6.3 -5.3 -6.2 4.7 -1.4 -1.2 -0.1 -2.8 -0.8 -2.5 -15.1 1.6 -0.2 -2.4 0.2 -20.0 -20.0 -20.0 -7.2 VIX 5.7 7.7 -4.6 -7.4 -9.0 -11.2 -4.7 -15.7 -4.5 -17.4 -20.0 -10.8 -20.0 -12.6 -20.0 -20.0 -20.0 -20.0 -20.0 -13.3 -20.0 -7.3 -20.0 -6.0 NaN -8.4 -10.5 -13.6 -5.1 -19.7 -4.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.3 -8.5 -3.9 3.2 0.3 1.4 2.6 -2.2 3.3 12.8 -17.6 5.7 -18.5 -10.1 -13.7 -14.8 -11.4 -13.2 -12.3 -15.8 -19.9 4.2 -20.0 -7.4 0.6 -5.6 3.4 -5.5 1.0 -5.0 -3.2 -19.1 15.6 -10.5 -20.0 -20.0 -11.8 -20.0 -7.8 -20.0 End of report for caleb_strategy_v3