******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240321_204013 produced at 2024-03-21 21:37:47.458205 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.74 0.0 0.00 0.00 0.00 0.00 -10.59 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 -65.88 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 -9.05 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 -4.20 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.45 -0.17 0.0 0.53 -0.53 -0.45 -0.37 -4.27 13.0 -11 -9 caleb_strategy_v3 JPY False False 0.02 0.00 -0.09 0.0 0.41 -0.41 0.00 0.00 -3.81 17.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.25 -0.08 0.0 0.78 -0.78 -0.25 -0.25 -2.60 25.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.49 -0.08 0.0 0.71 -0.71 -0.49 -0.56 -2.14 19.0 -13 -15 caleb_strategy_v3 CAD False False 0.02 0.00 -0.07 0.0 0.62 -0.62 0.00 0.00 -3.39 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 -9.50 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -21.51 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 -5.23 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.0 0.03 -0.03 -0.02 -0.02 -36.67 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 -3.94 4.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.55 -0.55 0.00 0.00 -1.31 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -1.98 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 -6.00 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.37 -0.37 0.02 0.00 -1.94 21.0 1 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.89 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 -1.98 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.21 -0.21 -0.01 -0.01 -6.51 68.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.03 8.0 -2 -2 caleb_strategy_v3 EUR False False 0.04 0.08 -0.01 0.0 0.55 -0.55 0.08 0.04 -0.25 14.0 2 1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.07 -0.01 0.0 0.43 -0.43 -0.07 -0.07 -0.40 13.0 -2 -2 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.42 -0.42 -0.04 -0.04 -0.35 10.0 -1 -1 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 SOYBEAN False False 0.02 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.02 -0.74 7.0 -2 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.21 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.25 -0.25 -0.01 0.00 -0.88 23.0 -1 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.15 -0.15 -0.03 -0.03 -0.51 11.0 -2 -2 caleb_strategy_v3 US20 False False 0.03 0.03 -0.00 0.0 0.31 -0.31 0.03 0.00 -0.00 9.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.13 -0.13 -0.01 0.00 -0.37 18.0 -1 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.01 0.35 10.0 0 1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.00 2.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.39 -0.39 0.00 0.00 -0.76 66.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 0.01 0.0 0.01 -0.01 0.00 0.00 2.07 3.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.42 3.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.02 0.0 0.51 -0.51 0.12 0.12 0.98 22.0 5 5 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.22 -0.22 0.00 0.00 1.58 23.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.18 0.02 0.0 0.18 -0.18 0.18 0.18 0.18 2.0 2 2 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.41 -0.41 0.00 0.00 0.78 10.0 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 1.48 0.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.15 0.03 0.0 0.37 -0.37 0.15 0.19 4.34 48.0 19 25 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 5.18 56.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.09 0.03 0.0 0.60 -0.60 0.09 0.12 1.18 26.0 4 5 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.47 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.23 0.04 0.0 0.31 -0.31 0.23 0.23 1.09 8.0 6 6 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.04 0.0 0.10 -0.10 0.06 0.06 1.26 3.0 2 2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 22.95 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.07 0.05 0.0 0.09 -0.09 0.07 0.05 2.18 4.0 3 2 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.06 0.0 0.15 -0.15 0.07 0.07 5.41 13.0 6 6 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.12 4.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.19 0.08 0.0 0.38 -0.38 0.19 0.19 2.03 10.0 5 5 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 LIVECOW False False 0.02 0.02 0.12 0.0 0.36 -0.36 0.02 0.02 5.38 17.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.17 0.14 0.0 0.28 -0.28 0.17 0.17 17.56 36.0 21 22 caleb_strategy_v3 CAC False True 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 6.06 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.32 0.16 0.0 0.32 -0.32 0.32 0.30 10.05 20.0 20 19 caleb_strategy_v3 SMI False False 0.04 0.34 0.18 0.0 0.34 -0.34 0.34 0.34 4.71 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.13 0.19 0.0 0.34 -0.34 0.13 0.13 33.10 58.0 22 22 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.24 0.0 0.11 -0.11 0.09 0.04 10.91 5.0 4 2 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.08 0.24 0.0 0.78 -0.78 0.08 0.00 3.07 10.0 1 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.17 0.29 0.0 0.45 -0.45 0.17 0.17 10.45 16.0 6 6 caleb_strategy_v3 MXP False False 0.01 0.51 0.85 0.0 0.51 -0.51 0.51 0.51 99.24 60.0 60 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.1 Shocked risk 90.7 Sum abs risk 63.4 Leverage 6.00 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3437831.05, 'annual_cash_vol_target': 859457.7625, 'daily_cash_vol_target': 53716.11015625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6586 0.5636 9.0169 BITCOIN 1813.9826 65520.0000 2.7686 44.2975 BOBL 0.2419 117.7800 0.2053 3.2855 BTP 0.5384 118.8800 0.4529 7.2464 BUND 0.4758 132.2500 0.3598 5.7567 BUXL 1.1197 132.5400 0.8448 13.5168 CAC 44.7250 8196.0000 0.5457 8.7311 CAD 0.0028 0.7398 0.3760 6.0156 CANOLA 6.3254 652.0000 0.9701 15.5223 CHF 0.0052 1.1242 0.4650 7.4404 COCOA 154.3851 7934.0000 1.9459 31.1339 COFFEE 3.0299 184.9000 1.6386 26.2183 COPPER 0.0417 4.0905 1.0197 16.3145 CORN 4.3377 476.7500 0.9098 14.5575 COTTON2 1.5294 92.2600 1.6577 26.5228 CRUDE_W 0.8404 76.6800 1.0960 17.5357 DAX 100.4734 18448.0000 0.5446 8.7141 DOW 214.7196 40234.0000 0.5337 8.5388 DX 0.3275 103.7150 0.3158 5.0530 EUR 0.0043 1.0896 0.3960 6.3367 EURIBOR-ICE 0.0465 97.6050 0.0477 0.7630 EUROSTX 31.5635 4999.0000 0.6314 10.1023 FEEDCOW 1.6279 268.2250 0.6069 9.7104 GASOIL 12.3097 803.7500 1.5315 24.5044 GASOLINE 0.0357 2.6730 1.3338 21.3408 GAS_US_mini 0.0821 1.8300 4.4888 71.8206 GBP 0.0059 1.2657 0.4664 7.4627 GOLD_micro 14.3073 2205.0000 0.6489 10.3817 HEATOIL 0.0382 2.6310 1.4510 23.2153 JGB-SGX-mini 0.2218 145.3900 0.1526 2.4413 JPY 0.0000 0.0067 0.5902 9.4439 LEANHOG 1.0367 99.3000 1.0440 16.7039 LIVECOW 1.1944 184.4750 0.6474 10.3592 LUMBER-new 5.9964 622.0000 0.9641 15.4249 MILK 0.2121 16.2500 1.3052 20.8832 MXP 0.0003 0.0590 0.5391 8.6250 NASDAQ_micro 143.6476 18569.7500 0.7736 12.3769 NIKKEI 380.1460 40785.0000 0.9321 14.9132 NZD 0.0037 0.6042 0.6054 9.6868 OAT 0.4701 127.7300 0.3680 5.8882 OATIES 5.2468 350.5000 1.4969 23.9511 OJ 6.8266 355.1000 1.9224 30.7590 PALLAD 28.6237 1019.0000 2.8090 44.9440 PLAT 15.6173 920.9000 1.6959 27.1340 REDWHEAT 9.5552 576.2500 1.6582 26.5308 RICE 0.1512 17.7700 0.8506 13.6096 ROBUSTA 42.3013 3288.0000 1.2865 20.5846 RUSSELL 22.1875 2125.7000 1.0438 16.7004 SHATZ 0.0816 105.6550 0.0772 1.2350 SILVER-mini 0.3988 25.2000 1.5825 25.3204 SMI 65.0984 11589.0000 0.5617 8.9876 SOFR 0.0628 96.3300 0.0652 1.0435 SOYBEAN 9.9540 1203.7500 0.8269 13.2307 SOYMEAL 4.1995 348.5000 1.2050 19.2805 SOYOIL 0.6245 49.3700 1.2650 20.2406 SP400 22.7317 3048.7000 0.7456 11.9299 SP500_micro 30.0233 5308.0000 0.5656 9.0500 SUGAR11 0.3330 21.7700 1.5296 24.4738 US10 0.3759 110.3750 0.3406 5.4489 US10U 0.5057 113.9531 0.4438 7.1010 US2 0.1074 102.2852 0.1050 1.6798 US20 0.7466 119.0312 0.6272 10.0355 US30 1.1133 126.6875 0.8788 14.0601 US5 0.2539 106.8672 0.2375 3.8008 VIX 0.4025 16.2500 2.4772 39.6348 WHEAT 8.3370 600.0000 1.3895 22.2320 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.55 0.56 371.13 1.00 371.13 53716.11 144.74 -5.27 -76.24 BITCOIN 65.52 2.77 181.40 1.00 181.40 53716.11 296.12 7.16 211.96 BOBL 1177.80 0.21 241.85 1.09 262.81 53716.11 204.39 -10.32 -210.93 BTP 1188.80 0.45 538.41 1.09 585.06 53716.11 91.81 6.49 59.60 BUND 1322.50 0.36 475.83 1.09 517.06 53716.11 103.89 -3.32 -34.46 BUXL 1325.40 0.84 1119.69 1.09 1216.72 53716.11 44.15 -4.59 -20.28 CAC 819.60 0.55 447.25 1.09 486.00 53716.11 110.53 16.08 177.71 CAD 739.85 0.38 278.17 1.00 278.17 53716.11 193.11 -6.76 -130.60 CANOLA 130.40 0.97 126.51 0.74 93.16 53716.11 576.62 -15.33 -883.96 CHF 1405.19 0.47 653.45 1.00 653.45 53716.11 82.20 -20.00 -164.41 COCOA 793.40 1.95 1543.85 1.00 1543.85 53716.11 34.79 15.88 55.24 COFFEE 693.38 1.64 1136.20 1.00 1136.20 53716.11 47.28 -2.60 -12.31 COPPER 1022.62 1.02 1042.72 1.00 1042.72 53716.11 51.52 5.16 26.59 CORN 238.38 0.91 216.88 1.00 216.88 53716.11 247.67 -15.76 -390.45 COTTON2 461.30 1.66 764.69 1.00 764.69 53716.11 70.25 -3.38 -23.71 CRUDE_W 766.80 1.10 840.40 1.00 840.40 53716.11 63.92 15.76 100.73 DAX 184.48 0.54 100.47 1.09 109.18 53716.11 492.00 19.72 970.39 DOW 201.17 0.53 107.36 1.00 107.36 53716.11 500.34 -0.65 -32.74 DX 1037.15 0.32 327.55 1.00 327.55 53716.11 163.99 3.46 56.75 EUR 1362.06 0.40 539.44 1.00 539.44 53716.11 99.58 -0.96 -9.56 EURIBOR-ICE 2440.12 0.05 116.36 1.09 126.44 53716.11 424.82 2.12 89.89 EUROSTX 499.90 0.63 315.64 1.09 342.98 53716.11 156.61 18.82 294.71 FEEDCOW 1341.12 0.61 813.93 1.00 813.93 53716.11 66.00 5.00 32.98 GASOIL 803.75 1.53 1230.97 1.00 1230.97 53716.11 43.64 11.51 50.21 GASOLINE 1122.66 1.33 1497.40 1.00 1497.40 53716.11 35.87 13.66 49.01 GAS_US_mini 45.75 4.49 205.36 1.00 205.36 53716.11 261.57 -12.95 -338.64 GBP 791.06 0.47 368.97 1.00 368.97 53716.11 145.58 2.59 37.67 GOLD_micro 220.50 0.65 143.07 1.00 143.07 53716.11 375.45 4.05 151.96 HEATOIL 1105.02 1.45 1603.34 1.00 1603.34 53716.11 33.50 8.66 29.01 JGB-SGX-mini 145390.00 0.15 22183.55 0.01 146.45 53716.11 366.79 2.63 96.50 JPY 835.19 0.59 492.96 1.00 492.96 53716.11 108.97 -13.46 -146.68 LEANHOG 397.20 1.04 414.68 1.00 414.68 53716.11 129.54 6.87 88.99 LIVECOW 737.90 0.65 477.75 1.00 477.75 53716.11 112.44 14.44 162.36 LUMBER-new 171.05 0.96 164.90 1.00 164.90 53716.11 325.75 2.98 96.98 MILK 325.00 1.31 424.19 1.00 424.19 53716.11 126.63 -19.27 -244.06 MXP 294.75 0.54 158.89 1.00 158.89 53716.11 338.07 20.00 676.15 NASDAQ_micro 371.40 0.77 287.30 1.00 287.30 53716.11 186.97 -2.02 -37.80 NIKKEI 40785.00 0.93 38014.60 0.01 250.96 53716.11 214.04 7.58 162.19 NZD 604.20 0.61 365.80 1.00 365.80 53716.11 146.85 -5.08 -74.64 OAT 1277.30 0.37 470.06 1.09 510.79 53716.11 105.16 2.18 22.91 OATIES 175.25 1.50 262.34 1.00 262.34 53716.11 204.76 -12.04 -246.45 OJ 532.65 1.92 1023.99 1.00 1023.99 53716.11 52.46 3.70 19.43 PALLAD 1019.00 2.81 2862.37 1.00 2862.37 53716.11 18.77 0.07 0.12 PLAT 460.45 1.70 780.87 1.00 780.87 53716.11 68.79 1.49 10.25 REDWHEAT 288.12 1.66 477.76 1.00 477.76 53716.11 112.43 -13.63 -153.25 RICE 355.40 0.85 302.30 1.00 302.30 53716.11 177.69 -9.11 -161.89 ROBUSTA 328.80 1.29 423.01 1.00 423.01 53716.11 126.98 10.62 134.92 RUSSELL 106.28 1.04 110.94 1.00 110.94 53716.11 484.20 -4.06 -196.48 SHATZ 1056.55 0.08 81.56 1.09 88.62 53716.11 606.13 -14.73 -892.87 SILVER-mini 630.00 1.58 996.99 1.00 996.99 53716.11 53.88 8.03 43.27 SMI 1158.90 0.56 650.98 1.12 731.93 53716.11 73.39 18.82 138.09 SOFR 2408.25 0.07 157.06 1.00 157.06 53716.11 342.00 -5.09 -174.22 SOYBEAN 601.88 0.83 497.70 1.00 497.70 53716.11 107.93 -7.35 -79.30 SOYMEAL 348.50 1.21 419.95 1.00 419.95 53716.11 127.91 -16.66 -213.13 SOYOIL 296.22 1.27 374.73 1.00 374.73 53716.11 143.35 -6.08 -87.19 SP400 3048.70 0.75 2273.17 1.00 2273.17 53716.11 23.63 2.27 5.37 SP500_micro 265.40 0.57 150.12 1.00 150.12 53716.11 357.83 5.22 186.90 SUGAR11 243.82 1.53 372.96 1.00 372.96 53716.11 144.03 -1.20 -17.34 US10 1103.75 0.34 375.89 1.00 375.89 53716.11 142.90 -7.24 -103.53 US10U 1139.53 0.44 505.74 1.00 505.74 53716.11 106.21 -2.94 -31.19 US2 2045.70 0.10 214.77 1.00 214.77 53716.11 250.11 -13.24 -331.13 US20 1190.31 0.63 746.59 1.00 746.59 53716.11 71.95 -0.04 -0.28 US30 1266.88 0.88 1113.28 1.00 1113.28 53716.11 48.25 -2.26 -10.90 US5 1068.67 0.24 253.86 1.00 253.86 53716.11 211.60 -9.71 -205.44 VIX 162.50 2.48 402.54 1.00 402.54 53716.11 133.44 -20.00 -266.89 WHEAT 300.00 1.39 416.85 1.00 416.85 53716.11 128.86 -16.92 -218.07 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -76.242 0.010 2.5 -1.978 BITCOIN 211.960 0.043 2.5 22.953 BOBL -210.933 0.004 2.5 -2.139 BTP 59.597 0.014 2.5 2.033 BUND -34.462 0.004 2.5 -0.349 BUXL -20.281 0.004 2.5 -0.206 CAC 177.707 0.014 2.5 6.061 CAD -130.598 0.010 2.5 -3.389 CANOLA -883.957 0.010 2.5 -21.506 CHF -164.408 0.010 2.5 -4.266 COCOA 55.237 0.009 2.5 1.183 COFFEE -12.306 0.005 2.5 -0.144 COPPER 26.586 0.043 2.5 2.879 CORN -390.454 0.010 2.5 -9.499 COTTON2 -23.712 0.009 2.5 -0.508 CRUDE_W 100.725 0.043 2.5 10.907 DAX 970.393 0.014 2.5 33.099 DOW -32.742 0.009 2.5 -0.761 DX 56.754 0.010 2.5 1.473 EUR -9.564 0.010 2.5 -0.248 EURIBOR-ICE 89.888 0.014 2.5 3.066 EUROSTX 294.710 0.014 2.5 10.052 FEEDCOW 32.983 0.013 2.5 1.093 GASOIL 50.207 0.017 2.5 2.176 GASOLINE 49.014 0.017 2.5 2.125 GAS_US_mini -338.643 0.043 2.5 -36.671 GBP 37.674 0.010 2.5 0.977 GOLD_micro 151.965 0.014 2.5 5.183 HEATOIL 29.009 0.017 2.5 1.257 JGB-SGX-mini 96.500 0.043 2.5 10.450 JPY -146.684 0.010 2.5 -3.806 LEANHOG 88.985 0.024 2.5 5.408 LIVECOW 162.365 0.013 2.5 5.380 LUMBER-new 96.984 0.009 2.5 2.075 MILK -244.065 0.009 2.5 -5.227 MXP 676.147 0.059 2.5 99.240 NASDAQ_micro -37.803 0.009 2.5 -0.879 NIKKEI 162.186 0.043 2.5 17.563 NZD -74.639 0.010 2.5 -1.937 OAT 22.906 0.014 2.5 0.781 OATIES -246.447 0.010 2.5 -5.996 OJ 19.430 0.009 2.5 0.416 PALLAD 0.124 0.014 2.5 0.004 PLAT 10.248 0.014 2.5 0.350 REDWHEAT -153.246 0.005 2.5 -2.033 RICE -161.891 0.010 2.5 -3.939 ROBUSTA 134.921 0.005 2.5 1.576 RUSSELL -196.475 0.013 2.5 -6.511 SHATZ -892.870 0.004 2.5 -9.054 SILVER-mini 43.265 0.014 2.5 1.476 SMI 138.092 0.014 2.5 4.710 SOFR -174.219 0.024 2.5 -10.588 SOYBEAN -79.301 0.004 2.5 -0.738 SOYMEAL -213.126 0.004 2.5 -1.982 SOYOIL -87.186 0.004 2.5 -0.812 SP400 5.367 0.013 2.5 0.178 SP500_micro 186.900 0.009 2.5 4.344 SUGAR11 -17.340 0.009 2.5 -0.369 US10 -103.528 0.005 2.5 -1.312 US10U -31.190 0.005 2.5 -0.395 US2 -331.132 0.005 2.5 -4.196 US20 -0.284 0.005 2.5 -0.004 US30 -10.899 0.005 2.5 -0.138 US5 -205.440 0.005 2.5 -2.603 VIX -266.885 0.099 2.5 -65.878 WHEAT -218.071 0.005 2.5 -2.893 ===================== Position diags ===================== AUD 3.76 BITCOIN 32.07 BOBL 2.07 BTP 3.13 BUND 1.05 BUXL 0.45 CAC 3.77 CAD 5.01 CANOLA 14.03 CHF 2.13 COCOA 0.75 COFFEE 0.55 COPPER 5.58 CORN 6.03 COTTON2 1.50 CRUDE_W 6.92 DAX 16.78 DOW 11.63 DX 4.26 EUR 2.58 EURIBOR-ICE 14.49 EUROSTX 5.34 FEEDCOW 2.19 GASOIL 1.89 GASOLINE 1.56 GAS_US_mini 28.32 GBP 3.78 GOLD_micro 12.81 HEATOIL 1.45 JGB-SGX-mini 39.72 JPY 2.83 LEANHOG 7.87 LIVECOW 3.73 LUMBER-new 6.97 MILK 2.71 MXP 49.62 NASDAQ_micro 4.35 NIKKEI 23.18 NZD 3.81 OAT 3.59 OATIES 4.98 OJ 1.12 PALLAD 0.64 PLAT 2.35 REDWHEAT 1.49 RICE 4.32 ROBUSTA 1.48 RUSSELL 16.05 SHATZ 6.15 SILVER-mini 1.84 SMI 2.50 SOFR 20.79 SOYBEAN 1.00 SOYMEAL 1.19 SOYOIL 1.33 SP400 0.78 SP500_micro 8.32 SUGAR11 3.06 US10 1.81 US10U 1.35 US2 3.17 US20 0.91 US30 0.61 US5 2.68 VIX 32.94 WHEAT 1.71 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.0 -2.4 -1.6 0.0 0 BITCOIN 23.0 19.7 26.2 0.0 0 BOBL -2.1 -2.3 -1.9 -13.0 -13 BTP 2.0 1.7 2.3 5.0 5 BUND -0.3 -0.5 -0.2 -1.0 -1 BUXL -0.2 -0.3 -0.2 0.0 0 CAC 6.1 5.7 6.4 0.0 0 CAD -3.4 -3.9 -2.9 0.0 0 CANOLA -21.5 -22.9 -20.1 -6.0 -6 CHF -4.3 -4.5 -4.1 -11.0 -11 COCOA 1.2 1.1 1.3 4.0 4 COFFEE -0.1 -0.2 -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 -0.5 -0.7 -0.4 -2.0 -2 CRUDE_W 10.9 10.2 11.6 4.0 4 DAX 33.1 31.4 34.8 22.0 22 DOW -0.8 -1.9 0.4 0.0 0 DX 1.5 1.0 1.9 NaN 0 EUR -0.2 -0.5 0.0 2.0 2 EURIBOR-ICE 3.1 1.6 4.5 1.0 1 EUROSTX 10.1 9.5 10.6 20.0 20 FEEDCOW 1.1 0.9 1.3 6.0 6 GASOIL 2.2 2.0 2.4 3.0 3 GASOLINE 2.1 2.0 2.3 4.0 4 GAS_US_mini -36.7 -39.5 -33.8 -16.0 -16 GBP 1.0 0.6 1.4 5.0 5 GOLD_micro 5.2 3.9 6.5 0.0 0 HEATOIL 1.3 1.1 1.4 2.0 2 JGB-SGX-mini 10.4 6.5 14.4 6.0 6 JPY -3.8 -4.1 -3.5 0.0 0 LEANHOG 5.4 4.6 6.2 6.0 6 LIVECOW 5.4 5.0 5.8 1.0 1 LUMBER-new 2.1 1.4 2.8 NaN 0 MILK -5.2 -5.5 -5.0 NaN 0 MXP 99.2 94.3 104.2 60.0 60 NASDAQ_micro -0.9 -1.3 -0.4 -1.0 -1 NIKKEI 17.6 15.2 19.9 21.0 21 NZD -1.9 -2.3 -1.6 1.0 1 OAT 0.8 0.4 1.1 0.0 0 OATIES -6.0 -6.5 -5.5 NaN 0 OJ 0.4 0.3 0.5 NaN 0 PALLAD 0.0 -0.1 0.1 0.0 0 PLAT 0.3 0.1 0.6 0.0 0 REDWHEAT -2.0 -2.2 -1.9 -2.0 -2 RICE -3.9 -4.4 -3.5 NaN 0 ROBUSTA 1.6 1.4 1.7 0.0 0 RUSSELL -6.5 -8.1 -4.9 -3.0 -3 SHATZ -9.1 -9.7 -8.4 NaN 0 SILVER-mini 1.5 1.3 1.7 NaN 0 SMI 4.7 4.5 5.0 9.0 9 SOFR -10.6 -12.7 -8.5 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -2.0 -2 SOYMEAL -2.0 -2.1 -1.9 0.0 0 SOYOIL -0.8 -0.9 -0.7 -5.0 -5 SP400 0.2 0.1 0.3 2.0 2 SP500_micro 4.3 3.5 5.2 19.0 19 SUGAR11 -0.4 -0.7 -0.1 -1.0 -1 US10 -1.3 -1.5 -1.1 0.0 0 US10U -0.4 -0.5 -0.3 -2.0 -2 US2 -4.2 -4.5 -3.9 NaN 0 US20 -0.0 -0.1 0.1 1.0 1 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.6 -2.9 -2.3 -8.0 -8 VIX -65.9 -69.2 -62.6 -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 0.0 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 0.3 0.6 0.3 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 -0.3 0.6 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL -0.0 -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 -0.3 -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 0.2 -0.0 -0.1 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.3 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.3 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.3 0.1 -2.6 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 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 0.1 -0.1 -0.6 -0.7 0.4 -0.4 BUXL 0.0 -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 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.2 0.1 -0.7 -0.7 0.1 0.0 CAC 0.5 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.3 -0.1 0.1 -0.0 0.2 0.2 0.2 0.5 0.2 -1.5 0.1 0.0 0.2 0.1 0.2 0.1 0.3 0.1 0.2 0.5 0.0 -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 -0.1 -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 0.2 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.7 0.5 0.6 -0.3 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.1 -0.6 -0.2 0.0 -0.0 0.1 0.0 0.1 0.0 -0.2 -0.2 -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 -0.5 -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 0.6 0.2 -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 0.3 0.4 0.4 0.2 0.2 0.2 0.3 0.2 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.2 0.1 0.5 0.5 COFFEE -0.0 -0.2 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.3 -0.0 0.3 -0.0 0.0 0.2 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 -0.4 -0.2 -0.1 0.3 -0.3 -0.7 -0.0 -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 -0.1 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 0.0 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 0.2 -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 0.1 -2.5 -0.1 0.1 -0.2 0.1 -0.3 0.0 -0.9 0.4 0.6 -0.6 -0.6 -0.2 -0.7 -0.2 -0.0 COTTON2 -0.6 0.5 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 -0.1 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.5 0.1 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 0.1 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 0.2 0.0 -0.1 0.7 0.7 0.7 0.7 DAX 0.5 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -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 -0.2 0.5 0.1 0.1 -0.2 0.4 0.1 0.7 DOW -0.2 -0.2 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.2 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.1 0.3 0.1 0.3 0.1 -0.5 0.1 -0.6 -0.6 0.2 -0.2 -0.2 0.1 -0.5 DX -0.2 0.1 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.1 0.1 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.1 0.0 -2.7 0.0 0.1 0.0 0.1 0.1 0.0 0.8 0.5 -0.4 0.4 -0.4 0.6 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 -0.1 -0.0 -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 -0.0 0.0 -0.0 0.0 0.0 -0.4 -0.2 0.2 0.1 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.0 -0.6 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -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 -0.4 0.1 0.6 0.3 -0.4 0.5 -0.3 0.7 FEEDCOW -0.3 0.6 0.5 0.0 0.0 0.1 0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.0 0.3 0.1 -1.1 0.1 -0.0 0.1 0.0 0.2 0.0 -1.1 -0.3 -0.3 0.6 0.6 0.7 0.5 0.7 0.7 GASOIL 0.1 0.3 0.1 0.1 0.0 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 0.1 0.4 0.2 1.0 0.1 0.0 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 0.4 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 -0.5 0.3 0.4 0.4 0.4 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 -0.5 -0.6 -0.6 -0.5 -0.1 -0.7 -0.2 GBP 0.1 -0.0 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.2 0.3 -0.0 0.4 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.2 0.0 0.3 0.1 -0.1 0.2 -0.0 0.2 0.0 0.2 -0.3 0.2 0.2 0.3 -0.7 -0.2 -0.7 0.0 GOLD_micro 0.6 0.5 0.3 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.4 0.2 0.4 0.2 0.2 -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 0.4 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.2 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 -0.0 0.2 0.1 0.3 0.1 1.1 -0.3 -0.2 0.0 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 0.0 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 0.3 0.0 0.1 0.0 -0.3 -0.7 0.0 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 -0.4 -0.3 -0.7 -0.4 -0.5 -0.5 LEANHOG 0.1 0.6 0.5 0.1 0.0 0.1 0.0 -0.1 0.1 -0.2 0.4 -0.0 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 -0.0 -0.2 0.2 2.2 0.1 -0.1 0.2 -0.0 0.0 0.0 -1.1 -0.5 0.4 0.6 0.6 -0.2 -0.3 0.3 0.4 LIVECOW -0.1 0.6 0.4 0.0 0.0 0.1 0.0 -0.1 0.0 -0.0 0.2 0.1 0.1 0.2 0.2 0.4 -0.0 0.2 0.0 0.2 0.2 0.1 0.2 0.2 -0.8 0.1 0.0 0.1 0.0 0.2 0.1 0.0 -0.0 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 0.1 -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 -0.1 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 -0.1 -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 -0.2 -0.6 -0.2 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.4 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 0.0 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 -0.0 0.3 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.4 -0.5 -0.5 -0.4 0.2 0.3 -0.1 0.5 -0.2 NIKKEI -0.5 0.4 0.5 0.1 0.1 0.1 0.1 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 0.1 0.2 0.0 0.2 0.0 1.1 -0.2 -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 -0.1 0.2 -0.4 -0.6 -0.1 -0.1 -0.3 -0.3 -0.0 0.1 OAT 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 -0.0 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 0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.4 -0.0 -0.1 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 -0.1 -0.2 -0.0 -0.0 -0.2 -0.3 -0.2 -0.2 -0.4 0.0 -0.0 0.4 OJ -0.2 0.2 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 0.2 -0.1 0.4 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.4 -0.0 1.1 -0.4 -0.4 0.6 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.6 0.5 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.3 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 0.4 -0.0 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.4 0.1 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.5 -0.0 -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 -0.2 0.2 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 -0.2 0.5 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.6 -0.5 -0.6 -0.0 -0.0 0.2 -0.1 0.5 0.2 ROBUSTA 0.2 -0.0 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 1.1 0.0 0.6 0.6 0.6 -0.7 -0.6 -0.4 0.1 RUSSELL 0.1 0.2 0.5 0.1 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 0.1 0.2 0.1 -0.3 0.0 0.1 0.1 0.0 0.1 0.0 -0.0 -0.5 -0.6 -0.6 -0.2 -0.5 -0.6 -0.5 -0.7 SHATZ -0.0 -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 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.1 -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 0.0 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 0.0 0.1 0.1 0.0 0.1 -0.1 0.5 0.6 0.5 0.2 -0.6 -0.6 0.7 -0.0 SMI 0.5 0.5 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.5 0.2 0.5 0.2 0.2 0.0 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 -0.2 -0.2 -0.4 -0.2 0.4 -0.1 0.7 -0.3 SOFR 0.1 -0.4 0.1 -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 -0.1 -0.1 -0.4 -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 -0.0 -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 0.1 1.1 0.5 0.6 -0.5 -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 0.1 -0.4 -0.0 -2.7 -0.1 0.1 -0.2 0.0 -0.1 -0.0 0.6 0.5 0.1 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -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 -0.1 0.2 -0.5 0.2 -2.7 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.5 0.6 0.1 -0.2 -0.5 -0.3 -0.4 0.2 SP400 0.4 0.5 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.4 0.2 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 0.0 -0.3 -0.0 -0.2 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro 0.1 0.4 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.6 -0.1 -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 0.1 -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 0.2 -0.3 -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 -0.0 0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 0.3 -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 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -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 -0.0 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.0 -0.1 -0.2 -0.1 -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 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -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 -0.0 -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 -0.0 -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 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 -0.1 -0.9 -0.1 NaN -0.1 -0.1 -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 -0.2 0.0 -0.2 -0.0 -1.0 0.5 -0.3 -0.6 -0.6 -0.4 -0.7 -0.2 -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 6.0 -3.9 1.0 0.7 -1.8 2.1 0.0 3.5 0.8 -4.3 -3.4 1.2 -10.5 5.5 -9.6 -2.8 -2.9 -2.8 -2.8 -1.7 -2.2 -0.9 -5.3 0.1 2.8 -0.8 -0.7 -0.9 -0.5 -2.0 0.2 -1.1 -2.2 -3.6 -2.8 -6.6 -20.0 -10.8 -12.5 -1.0 BITCOIN 9.5 18.2 10.1 3.5 -2.3 0.3 2.7 -0.7 5.7 -17.6 20.0 7.3 20.0 15.5 18.6 -10.2 -7.3 -9.3 -8.5 20.0 20.0 2.2 20.0 20.0 -20.0 7.5 -2.3 6.7 1.2 5.0 5.8 -3.2 -11.4 20.0 20.0 20.0 -5.2 0.6 17.7 4.4 BOBL -0.2 -20.0 -0.4 -1.4 -1.3 -0.3 -2.7 -0.9 -2.4 -4.5 -1.6 -6.0 -2.1 -8.6 -7.8 1.7 -14.2 -15.3 -17.3 -7.4 -3.4 -5.0 -3.4 -7.5 6.8 -2.3 0.0 -0.9 -1.8 -0.7 -2.5 -20.0 6.3 -1.2 -2.7 -4.8 -20.0 -20.0 3.5 -20.0 BTP 8.5 -1.7 13.9 -2.3 -2.1 -0.5 -4.5 -1.5 -4.1 -9.2 11.8 5.3 10.9 7.4 8.4 5.1 6.3 4.9 5.3 10.8 14.0 2.8 10.9 7.7 -19.3 4.8 -0.4 5.8 1.3 4.7 3.7 12.1 17.8 20.0 20.0 13.3 -10.6 -15.3 20.0 2.8 BUND -0.2 -14.2 4.2 -1.6 -1.4 -0.3 -3.1 -1.0 -2.8 -5.8 0.6 -7.0 -1.0 -9.1 -6.6 -7.5 2.6 -2.0 0.2 -4.6 -0.7 -5.4 -2.3 -6.1 4.2 -1.8 -0.7 -0.1 -2.6 -0.3 -2.7 4.6 4.8 0.3 1.9 -1.8 -17.5 -20.0 11.7 -10.6 BUXL 0.7 -8.9 7.1 -2.0 -1.8 -0.4 -3.8 -1.3 -3.4 -9.7 2.4 -9.6 -4.1 -10.1 -5.8 -7.0 -0.9 -3.9 -2.1 -2.6 0.6 -7.2 -4.3 -5.5 -0.0 -1.0 -2.7 0.7 -4.0 -0.7 -2.8 0.0 2.5 1.5 6.3 2.0 -20.0 -20.0 4.1 0.8 CAC 15.2 20.0 18.6 8.6 9.0 7.2 8.0 4.8 8.3 16.9 20.0 20.0 20.0 20.0 20.0 16.5 -2.6 3.4 -1.3 20.0 20.0 20.0 20.0 20.0 -11.4 9.5 3.6 7.6 7.1 5.4 9.4 6.1 2.6 4.7 15.9 0.7 -5.5 14.2 -2.4 20.0 CAD -0.1 -5.6 4.1 0.8 -2.1 2.5 0.0 4.1 0.9 -5.5 -1.9 -1.3 -4.4 -10.3 -11.4 -2.3 -2.2 -2.2 -2.2 -3.7 -2.0 -2.5 -3.9 -3.8 -0.2 -2.4 -1.0 -1.4 -1.6 -2.2 -2.4 0.0 -3.1 -12.2 -4.0 -0.5 -16.3 -14.7 -1.3 -12.6 CANOLA 20.0 10.4 -20.0 2.5 1.5 1.1 2.2 -1.6 2.5 12.3 -11.7 13.4 -11.6 7.8 -6.8 -15.2 -5.3 -13.8 -11.1 -4.2 -19.5 20.0 -20.0 14.3 -20.0 -1.1 6.2 -4.9 6.3 -6.0 3.7 -13.3 20.0 20.0 -10.1 -20.0 -20.0 -20.0 -17.6 -7.4 CHF -3.4 -20.0 -5.8 0.7 -1.9 2.2 0.0 3.6 0.8 -18.5 -6.0 -18.0 0.3 -20.0 -18.8 -15.9 -15.6 -15.8 -15.8 -17.0 -8.5 -20.0 -0.4 -20.0 -4.1 -5.3 -14.0 -1.7 -9.9 0.8 -7.6 -20.0 -20.0 -20.0 -20.0 -6.7 -14.7 -16.5 -4.8 -17.0 COCOA 20.0 5.0 -14.9 1.4 0.9 0.6 1.2 -0.9 1.4 6.9 8.1 7.6 8.1 7.9 8.0 20.0 12.5 20.0 20.0 20.0 16.7 20.0 11.4 20.0 -11.7 2.8 2.4 2.7 2.7 2.3 2.8 20.0 20.0 20.0 20.0 20.0 7.2 1.6 15.4 15.9 COFFEE -1.3 -5.2 8.4 3.7 2.3 1.6 3.2 -2.3 3.7 7.2 10.6 -2.7 7.7 -1.8 2.1 12.2 8.1 13.7 11.1 3.4 8.9 1.1 7.1 -0.1 -20.0 1.6 4.7 5.0 1.2 5.4 0.2 17.0 -14.7 -5.1 -3.7 8.7 -9.2 -20.0 -1.5 -13.5 COPPER 18.2 9.3 8.0 3.3 -2.2 0.3 2.6 -0.6 5.4 10.7 8.4 15.9 -4.0 18.4 15.0 -4.6 -4.9 -5.3 -5.5 18.3 9.2 20.0 1.7 20.0 -14.1 5.4 4.0 2.5 9.1 0.6 8.8 1.3 20.0 14.8 7.7 14.3 -20.0 -2.2 12.0 5.4 CORN 20.0 5.4 -7.5 4.1 2.5 1.8 3.6 -2.6 4.2 20.0 -17.7 20.0 -20.0 8.9 -11.2 -19.3 -7.6 -17.0 -13.4 -10.8 -20.0 14.7 -20.0 5.9 -18.9 -5.0 5.7 -8.1 4.8 -8.0 0.9 -17.1 17.3 17.1 -20.0 -20.0 -6.5 -20.0 -4.7 -0.1 COTTON2 -18.7 16.2 18.9 2.1 1.3 0.9 1.9 -1.3 2.2 -9.9 5.2 -9.6 3.4 1.6 5.8 6.4 -0.3 1.3 -1.1 8.0 7.6 -6.1 3.2 1.3 -20.0 3.5 -1.3 3.2 -0.6 1.8 1.6 -1.0 -20.0 4.2 20.0 20.0 -13.7 -13.6 -4.9 0.9 CRUDE_W 11.7 10.4 0.3 6.4 6.1 3.8 9.6 3.2 8.6 16.2 1.5 20.0 9.7 20.0 19.2 13.8 10.2 11.4 10.4 16.3 10.3 20.0 12.2 20.0 -5.2 7.6 6.9 5.1 11.6 5.7 10.8 -1.1 2.2 6.0 0.3 -1.7 20.0 20.0 20.0 20.0 DAX 16.1 18.9 20.0 8.3 8.6 6.9 7.7 4.6 8.0 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 18.1 9.2 6.4 7.7 7.1 5.5 8.8 -11.3 -7.7 15.5 4.1 4.6 -5.0 12.6 2.3 20.0 DOW -7.1 -4.9 20.0 6.9 7.2 5.8 6.4 3.9 6.7 18.0 20.0 13.1 20.0 16.5 20.0 -13.1 -11.0 -13.1 -12.3 20.0 20.0 20.0 20.0 15.7 -15.5 7.4 14.4 10.0 8.3 9.3 5.4 -9.9 6.2 -20.0 -20.0 5.4 -6.0 -6.1 1.5 -14.2 DX -7.3 4.3 -0.3 0.7 -2.1 2.4 0.0 3.9 0.9 20.0 2.8 13.0 1.3 -2.6 8.1 7.1 6.3 6.7 6.5 2.0 2.2 13.9 4.0 3.6 -20.0 0.2 13.5 0.1 7.6 1.7 1.7 14.7 20.0 -11.8 12.6 -12.9 16.5 3.3 20.0 9.5 EUR 8.2 -0.6 0.2 0.8 -2.1 2.4 0.0 4.0 0.9 -16.3 -0.8 -0.4 -0.5 9.9 -5.9 -6.9 -6.7 -6.6 -6.5 1.5 -0.5 -2.0 -1.9 2.8 20.0 2.2 -5.3 1.4 -1.2 0.3 2.1 -7.5 -10.3 4.9 1.8 -5.5 -20.0 -15.9 -20.0 -12.4 EURIBOR-ICE -0.0 -19.3 7.2 -1.2 -1.1 -0.2 -2.3 -0.8 -2.1 -4.7 3.2 -4.8 2.9 -6.1 -2.7 -3.7 -3.8 -1.8 -2.3 -2.1 3.5 -4.1 3.7 -4.3 14.1 -0.6 -0.6 1.5 -1.7 1.7 -1.6 -3.2 4.6 1.1 0.5 2.7 -20.0 -20.0 9.5 20.0 EUROSTX 8.0 20.0 20.0 8.2 8.6 6.9 7.6 4.6 8.0 20.0 20.0 20.0 20.0 20.0 20.0 -0.5 2.0 4.4 3.6 20.0 20.0 20.0 20.0 20.0 0.6 9.2 4.6 8.2 5.6 6.1 7.9 14.6 -15.1 2.4 20.0 9.3 -11.3 15.0 -9.5 20.0 FEEDCOW -10.0 20.0 15.8 4.5 2.8 1.9 3.9 -2.8 4.6 1.4 3.4 1.2 2.3 18.4 20.0 -20.0 -20.0 -20.0 -20.0 20.0 16.0 2.5 9.3 12.4 -8.2 5.2 -1.1 4.5 0.1 5.5 2.3 -20.0 -10.6 -8.9 20.0 20.0 20.0 16.4 20.0 20.0 GASOIL 2.2 9.6 2.3 5.2 4.9 3.1 7.8 2.6 7.0 7.2 8.2 12.3 11.9 14.9 16.1 20.0 20.0 20.0 20.0 13.2 11.9 14.8 13.4 14.4 7.2 5.8 2.1 5.4 6.8 5.9 6.4 20.0 -9.9 -5.6 3.4 4.4 -10.5 -8.1 -20.0 -14.8 GASOLINE 10.7 15.9 7.5 5.9 5.7 3.6 9.0 3.0 8.0 17.6 8.6 20.0 12.1 20.0 20.0 16.2 8.9 1.9 0.9 20.0 15.8 20.0 13.2 20.0 -20.0 7.8 5.4 5.5 9.1 5.2 9.3 -8.8 13.0 11.2 12.0 13.8 20.0 17.2 20.0 15.9 GAS_US_mini 5.5 -3.6 -8.9 2.4 2.3 1.5 3.6 1.2 3.3 -4.3 -9.7 -6.8 -10.4 -8.1 -9.1 -20.0 -20.0 -17.2 -17.1 -10.2 -15.1 -3.6 -20.0 -6.0 18.6 -3.5 -0.7 -4.2 -1.4 -3.9 -2.4 -20.0 -20.0 -14.0 -20.0 -20.0 -14.5 -1.7 -20.0 -6.5 GBP 4.3 -0.5 5.6 0.8 -2.2 2.6 0.1 4.2 0.9 -18.5 11.7 -3.9 10.3 7.3 11.5 -0.8 -0.6 -0.6 -0.5 7.4 8.2 -4.4 7.2 4.3 2.3 5.7 -12.4 6.2 -3.0 4.4 3.4 2.8 -13.3 6.4 7.5 9.3 -20.0 -6.4 -20.0 1.0 GOLD_micro 20.0 13.9 9.1 3.3 -2.2 0.3 2.6 -0.6 5.4 11.0 16.2 18.1 11.3 18.2 15.4 -15.2 -14.7 -15.4 -15.1 20.0 17.6 20.0 10.8 20.0 -3.7 6.1 3.7 3.9 5.7 2.5 7.3 -15.4 16.6 20.0 20.0 20.0 -20.0 -20.0 -20.0 -14.2 HEATOIL 3.9 7.4 0.4 5.5 5.3 3.3 8.4 2.8 7.5 3.1 1.5 10.2 8.2 10.6 13.6 18.8 20.0 20.0 20.0 9.8 7.6 11.5 9.8 12.6 -20.0 6.6 -0.8 6.0 5.6 7.2 6.9 20.0 -14.3 -6.0 1.1 5.8 19.9 5.1 15.4 2.0 JGB-SGX-mini -6.6 -7.1 8.6 -1.4 -1.2 -0.3 -2.7 -0.9 -2.4 4.0 4.6 -0.9 6.4 -4.2 0.9 9.7 15.9 11.2 12.4 -0.7 2.7 -0.7 3.8 -2.5 -6.5 -0.7 0.7 0.5 -0.4 0.4 -1.5 20.0 12.5 0.8 2.9 0.0 -8.0 -20.0 1.5 9.8 JPY 9.9 -7.3 -5.3 0.5 -1.3 1.5 0.0 2.5 0.6 -13.4 -13.9 -10.8 -14.9 -10.2 -13.4 -16.6 -16.3 -16.5 -16.4 -10.2 -13.0 -15.2 -18.8 -9.3 20.0 -3.4 -11.0 -4.3 -7.0 -6.4 -3.7 -20.0 -20.0 -8.9 -10.9 -8.5 -20.0 -12.6 -16.1 -14.2 LEANHOG 2.6 17.2 17.0 4.8 3.0 2.1 4.2 -3.0 4.9 -20.0 13.0 -1.7 -10.8 18.8 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.7 -5.1 -6.1 14.9 16.8 8.5 -9.2 7.2 -2.1 0.6 4.4 -20.0 -20.0 13.7 20.0 20.0 -5.7 -8.3 8.3 13.4 LIVECOW -3.4 20.0 11.5 4.3 2.7 1.9 3.8 -2.7 4.4 -0.1 5.8 9.9 3.7 19.6 20.0 20.0 -1.3 11.0 2.2 20.0 14.0 9.0 7.3 18.5 -5.7 6.7 0.9 4.5 2.9 4.3 5.4 0.8 -1.0 5.7 20.0 18.1 20.0 7.1 20.0 17.9 LUMBER-new 12.9 10.1 13.2 4.8 3.0 2.1 4.2 -2.1 4.9 2.5 16.1 14.9 -10.5 19.3 20.0 -15.5 -15.3 -16.1 -15.6 20.0 16.3 11.5 4.3 20.0 NaN 8.6 2.3 6.8 3.8 3.4 7.4 -20.0 -4.9 20.0 20.0 20.0 -11.1 -17.7 -7.5 -11.3 MILK -20.0 -0.6 6.9 2.5 1.6 1.1 2.2 -1.6 2.6 -10.4 -12.7 -12.6 -13.6 -11.9 -11.9 -20.0 -20.0 -20.0 -20.0 -13.5 -15.6 -13.1 -20.0 -14.6 11.5 -3.9 -3.6 -4.4 -4.0 -6.2 -4.4 -20.0 -8.2 -20.0 -6.4 -19.8 -20.0 -20.0 -20.0 -20.0 MXP 11.0 6.3 8.7 0.8 -2.2 2.5 0.0 4.2 0.9 12.3 20.0 20.0 20.0 20.0 20.0 18.6 17.0 17.5 16.7 20.0 20.0 18.5 20.0 20.0 -20.0 8.9 4.9 8.3 7.6 10.1 9.5 20.0 20.0 20.0 20.0 18.2 20.0 20.0 20.0 20.0 NASDAQ_micro -7.0 -0.5 10.4 4.8 5.0 4.0 4.5 2.7 4.7 11.6 14.7 8.5 14.8 10.4 13.5 -10.8 -10.1 -11.3 -10.9 15.9 20.0 8.0 20.0 8.9 -20.0 5.3 4.0 7.3 2.3 7.7 2.9 -8.0 -18.9 -15.8 -11.5 6.1 9.0 -2.3 15.2 -4.7 NIKKEI -15.5 11.7 16.9 5.6 5.8 4.7 5.2 3.1 5.4 14.4 16.5 10.8 16.9 13.1 15.5 4.3 11.6 9.6 11.1 20.0 20.0 20.0 20.0 20.0 -14.2 6.1 5.7 6.3 4.1 5.5 4.4 20.0 -9.4 -8.5 10.2 19.1 -20.0 -6.2 -8.3 -5.6 NZD -5.8 -4.3 3.9 0.5 -1.5 1.8 0.0 2.9 0.6 -14.5 3.0 -13.7 -0.7 -8.6 -7.3 0.3 0.3 0.3 0.3 -2.5 0.9 -12.6 -0.3 -7.2 -0.0 -1.9 -10.4 0.7 -8.7 0.7 -5.1 4.2 -18.3 -20.0 -2.6 -1.6 -8.4 -8.9 -1.3 4.3 OAT 2.1 -10.9 7.2 -1.7 -1.5 -0.3 -3.2 -1.1 -2.9 -7.1 2.8 -4.9 0.8 -7.1 -4.0 4.1 6.1 4.4 4.9 -1.4 2.5 -3.9 0.4 -3.4 4.9 -0.6 -1.0 1.3 -2.2 0.8 -1.6 11.7 6.2 3.8 5.6 1.7 -18.9 -20.0 11.9 3.1 OATIES 0.7 2.7 -9.4 3.1 1.9 1.3 2.7 -1.9 3.1 -14.1 -14.9 -6.9 -12.4 -4.3 -4.8 8.1 -1.6 6.3 1.4 -5.6 -11.6 -8.3 -12.4 -4.3 -20.0 -1.9 -8.1 -4.0 -5.2 -4.7 -2.5 -0.8 -8.5 -8.9 -4.9 -5.0 -11.0 0.9 -1.2 13.5 OJ -7.0 5.3 -20.0 2.6 1.6 1.1 2.3 -1.7 2.7 -3.2 6.7 -6.8 10.7 6.8 4.2 6.7 14.8 7.8 11.0 5.2 9.8 -4.5 18.3 0.5 -20.0 1.8 -1.8 5.4 -2.0 11.8 -0.3 20.0 -17.1 -12.8 20.0 -10.5 10.8 9.3 16.8 20.0 PALLAD 17.5 17.0 1.5 1.3 -0.9 0.1 1.0 -0.2 2.1 -3.9 -4.3 2.5 -7.5 4.9 -2.0 -1.6 -2.1 -1.8 -1.9 0.8 -3.9 1.0 -8.9 3.2 9.7 0.7 -1.4 -1.5 0.5 -3.5 1.7 6.9 -1.7 -2.7 -3.3 0.6 -19.9 -10.6 -15.0 -6.4 PLAT 9.7 1.0 -0.1 1.8 -1.2 0.1 1.4 -0.3 3.0 -4.8 -4.5 0.6 -7.6 2.1 -5.8 -4.1 -3.4 -4.1 -3.8 -0.6 -2.5 -0.9 -3.5 1.1 9.6 0.4 -2.6 -0.5 -0.4 -0.8 1.1 4.2 -1.2 -9.7 -7.0 0.4 -13.9 -4.4 20.0 7.3 REDWHEAT 11.2 -0.5 -8.7 3.1 2.0 1.4 2.8 -2.0 3.2 1.0 -16.6 4.9 -17.2 -7.0 -12.0 8.7 1.1 5.5 2.5 -12.0 -20.0 1.7 -20.0 -3.8 -8.0 -5.3 1.3 -6.7 0.2 -6.8 -2.5 3.5 11.8 -4.7 -20.0 -20.0 -14.0 -20.0 -8.3 -20.0 RICE -20.0 -5.2 7.4 4.0 2.5 1.7 3.5 -2.5 4.1 -20.0 12.5 -20.0 16.3 -16.0 0.9 -12.1 -4.0 -11.7 -9.8 -0.3 14.0 -20.0 17.7 -15.2 -20.0 -0.9 -10.8 3.7 -9.3 4.9 -6.4 -10.4 -20.0 -20.0 -0.2 -0.9 6.9 -3.8 14.9 5.9 ROBUSTA 5.4 -1.2 20.0 3.0 1.9 1.3 2.6 -1.9 3.0 10.9 16.2 13.2 16.6 13.1 15.8 19.3 20.0 20.0 20.0 20.0 20.0 17.6 20.0 20.0 -20.0 6.3 3.4 7.9 4.0 8.0 4.8 20.0 1.3 20.0 20.0 20.0 -20.0 -18.2 -11.0 1.6 RUSSELL 2.7 5.3 15.4 4.8 5.0 4.0 4.4 2.7 4.6 9.7 11.9 6.9 8.6 9.9 12.3 -6.5 -6.3 -6.5 -6.4 10.0 10.7 6.7 6.7 6.8 -2.1 4.6 6.5 5.0 2.8 3.5 3.0 -0.8 -20.0 -17.6 -18.3 -6.4 -15.5 -18.5 -16.2 -20.0 SHATZ -1.5 -20.0 -6.3 -1.2 -1.1 -0.2 -2.3 -0.8 -2.1 -4.0 -6.3 -5.6 -6.7 -7.9 -8.0 -20.0 -20.0 -20.0 -20.0 -10.9 -7.8 -5.3 -7.7 -9.5 8.2 -2.4 0.0 -1.4 -1.3 -1.3 -2.3 -20.0 6.1 -4.2 -8.6 -6.8 -20.0 -20.0 -8.4 -20.0 SILVER-mini 20.0 12.4 -0.6 3.0 -2.0 0.2 2.3 -0.6 5.0 1.9 2.3 14.8 -2.0 16.1 3.8 -6.7 -6.7 -6.9 -6.8 11.7 3.2 17.2 -0.4 19.6 5.3 5.2 2.1 2.2 6.3 0.8 7.5 -1.3 20.0 20.0 15.2 6.9 -17.3 -18.2 19.5 -1.2 SMI 14.8 14.4 18.7 7.7 8.0 6.5 7.2 4.3 7.5 4.0 20.0 14.3 12.6 19.9 20.0 2.0 5.6 6.6 6.7 20.0 20.0 18.8 11.5 20.0 15.7 8.1 2.6 6.3 5.3 3.5 8.0 20.0 -8.4 -6.1 -13.7 -7.0 11.2 -4.5 20.0 -8.0 SOFR 1.8 -12.9 4.3 -1.6 -1.4 -0.3 -3.1 -1.1 -2.8 -6.5 3.4 -7.1 -0.2 -8.0 -5.4 -0.8 0.1 0.3 0.4 -3.8 -1.0 -6.4 -1.9 -5.7 -2.6 -1.0 -1.7 0.6 -3.0 0.2 -2.5 2.7 -0.5 2.8 0.8 1.2 -20.0 -20.0 0.0 -2.7 SOYBEAN 20.0 -0.6 -20.0 3.9 2.4 1.7 3.4 -2.4 4.0 18.7 -15.2 19.6 -5.8 10.5 -11.5 4.1 13.3 6.9 9.5 -7.2 -18.2 20.0 -15.2 13.6 -20.0 -1.6 8.9 -4.3 8.7 -3.0 4.7 20.0 20.0 20.0 -16.0 -20.0 -8.3 -20.0 -7.5 -20.0 SOYMEAL 20.0 -11.4 -20.0 3.3 2.0 1.4 2.9 -2.1 3.3 14.2 -16.7 11.6 -12.1 -7.4 -15.7 -8.2 8.9 -3.0 2.7 -17.9 -20.0 10.0 -15.4 -2.3 -20.0 -4.9 5.9 -6.0 3.3 -3.0 -0.4 11.7 19.4 1.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 11.0 -11.3 3.4 2.1 1.5 3.0 -2.1 3.5 10.3 -15.5 13.6 -13.5 10.5 -5.3 -8.0 2.3 -6.0 -2.4 0.3 -13.9 20.0 -17.4 16.6 -20.0 2.7 5.4 -1.2 8.7 -2.7 7.3 1.1 20.0 20.0 3.9 -5.2 -15.5 -8.4 -10.6 5.7 SP400 12.3 15.0 20.0 6.1 6.3 5.1 5.6 3.4 5.9 14.2 17.9 15.3 14.6 16.7 18.4 -4.8 -5.4 -5.5 -5.5 20.0 20.0 20.0 16.0 20.0 -13.3 6.6 7.9 6.0 5.6 4.3 5.9 0.8 -13.2 -1.0 -7.3 0.5 -13.8 -8.9 -11.5 -20.0 SP500_micro 2.8 12.6 20.0 6.7 7.0 5.6 6.2 3.8 6.5 18.1 20.0 19.0 20.0 20.0 20.0 -13.0 -11.5 -13.0 -12.4 20.0 20.0 20.0 20.0 20.0 -20.0 7.9 6.8 8.6 5.6 7.4 6.1 -10.3 -4.0 -4.2 2.9 16.0 3.2 -3.1 15.5 -6.1 SUGAR11 -4.8 -2.1 -14.2 2.8 1.7 1.2 2.5 -1.8 2.9 9.4 -6.6 2.6 4.7 -3.6 -6.2 9.5 17.7 13.9 16.5 -6.7 -7.3 1.4 0.1 -3.0 -20.0 -3.6 2.1 -4.3 0.8 0.0 -1.2 20.0 10.2 -10.6 -10.7 -20.0 19.9 2.7 20.0 14.5 US10 2.0 -11.6 5.7 -1.4 -1.3 -0.3 -2.7 -0.9 -2.4 -5.1 1.8 -5.8 -3.0 -7.3 -4.5 -7.9 -8.0 -8.5 -8.4 -3.4 -2.1 -5.1 -5.5 -4.9 2.2 -0.8 -1.1 0.1 -2.3 -1.0 -2.0 -12.0 -0.1 2.6 1.1 1.7 -20.0 -20.0 -14.5 8.1 US10U 1.9 -10.6 5.7 -2.0 -1.8 -0.4 -3.9 -1.3 -3.5 -8.1 2.1 -8.8 -4.2 -10.8 -6.9 -3.7 -0.3 -1.8 -0.7 -4.7 -3.3 -7.3 -8.5 -6.6 -0.7 -0.9 -2.0 0.3 -3.5 -1.5 -2.7 1.4 0.3 4.2 4.1 3.2 -20.0 -20.0 12.3 20.0 US2 -1.5 -19.8 0.8 -1.2 -1.1 -0.2 -2.3 -0.8 -2.1 -2.9 -2.9 -4.3 -6.1 -7.1 -6.5 -20.0 -20.0 -20.0 -20.0 -6.8 -4.8 -4.5 -7.5 -7.1 10.3 -1.8 0.1 -0.6 -1.5 -1.2 -2.3 -20.0 1.8 -1.9 -6.9 -1.7 -20.0 -20.0 -18.7 -20.0 US20 3.2 -7.4 9.0 -1.4 -1.3 -0.3 -2.8 -0.9 -2.5 -6.5 2.9 -5.3 -1.7 -5.5 -2.2 0.0 -0.8 -0.1 -0.4 -1.2 -0.5 -5.1 -4.9 -3.3 -1.3 0.4 -1.8 1.1 -2.6 -0.8 -1.3 1.1 -1.3 5.3 6.7 6.0 -20.0 -20.0 20.0 20.0 US30 2.4 -5.3 7.0 -1.7 -1.5 -0.3 -3.3 -1.1 -3.0 -9.9 2.3 -7.9 -3.4 -6.5 -4.0 -7.1 -6.0 -7.6 -7.0 -1.7 -1.3 -7.2 -7.0 -4.3 -0.6 0.5 -3.6 1.1 -4.3 -1.5 -2.0 -8.9 -2.4 5.6 9.8 5.3 -14.4 -17.2 20.0 20.0 US5 0.8 -15.3 3.6 -1.4 -1.2 -0.3 -2.6 -0.9 -2.4 -3.9 0.7 -5.0 -3.9 -7.5 -5.5 -8.7 -10.0 -9.2 -9.8 -5.0 -3.1 -4.9 -5.5 -5.9 4.8 -1.4 -0.4 -0.1 -2.2 -0.9 -2.4 -15.1 1.1 0.8 -2.5 0.1 -20.0 -20.0 -20.0 -7.1 VIX 5.3 7.6 -4.6 -7.6 -8.5 -11.1 -5.8 -15.6 -5.1 -19.2 -20.0 -14.7 -20.0 -14.8 -20.0 -20.0 -20.0 -20.0 -20.0 -13.8 -20.0 -9.5 -20.0 -7.4 NaN -8.6 -10.0 -13.6 -6.5 -19.7 -5.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 4.3 -7.9 -3.8 3.4 2.1 1.5 3.0 -2.1 3.4 12.5 -17.5 7.5 -18.6 -9.2 -13.4 -15.1 -11.5 -13.3 -12.4 -15.2 -20.0 5.3 -20.0 -6.0 0.7 -5.5 3.3 -5.6 1.4 -5.2 -2.8 -19.6 20.0 -9.7 -20.0 -20.0 -11.4 -20.0 -7.4 -20.0 End of report for caleb_strategy_v3