******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240325_204014 produced at 2024-03-25 21:37:28.928717 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.68 0.0 0.00 0.00 0.00 0.00 -9.69 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.32 0.0 0.08 -0.08 -0.08 -0.08 -67.11 17.0 -16 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -8.46 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 -4.18 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.37 -0.18 0.0 0.53 -0.53 -0.37 -0.41 -4.41 13.0 -9 -10 caleb_strategy_v3 JPY False False 0.02 0.00 -0.10 0.0 0.41 -0.41 0.00 0.00 -4.06 17.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.62 -0.62 0.00 0.00 -4.20 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.25 -0.08 0.0 0.78 -0.78 -0.25 -0.25 -2.46 25.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.56 -0.07 0.0 0.71 -0.71 -0.56 -0.56 -1.78 19.0 -15 -15 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -10.22 12.0 -10 -10 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.06 0.0 0.04 -0.04 -0.02 -0.03 -39.46 26.0 -16 -19 caleb_strategy_v3 RICE False False 0.01 0.00 -0.05 0.0 0.04 -0.04 0.00 0.00 -4.83 4.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.43 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -18.37 51.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.36 -0.36 0.00 -0.02 -2.37 19.0 0 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.04 0.0 0.37 -0.37 0.00 0.00 -2.49 21.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.55 -0.55 0.00 0.00 -1.20 17.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -6.45 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.02 0.0 0.21 -0.21 -0.02 -0.01 -7.45 68.0 -6 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.05 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 -1.95 8.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.70 9.0 -4 -4 caleb_strategy_v3 EUR False False 0.04 0.04 -0.02 0.0 0.56 -0.56 0.04 0.00 -0.59 14.0 1 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.38 -0.38 0.00 -0.02 -3.50 66.0 0 -4 caleb_strategy_v3 US10U False False 0.03 -0.07 -0.01 0.0 0.43 -0.43 -0.07 -0.03 -0.32 13.0 -2 -1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.42 -0.42 -0.04 -0.04 -0.21 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.09 -0.09 -0.04 -0.03 -0.69 10.0 -5 -4 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.65 7.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.15 -0.15 -0.03 -0.03 -0.41 11.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.25 -0.25 0.00 0.00 -0.74 23.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.23 0.00 0.0 0.31 -0.31 0.23 0.23 0.04 8.0 6 6 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.12 6.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.00 0.00 0.0 0.31 -0.31 0.00 0.03 0.03 9.0 0 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.38 18.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.03 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 -0.02 2.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.01 0.00 0.0 0.13 -0.13 0.01 0.00 0.24 10.0 1 0 caleb_strategy_v3 GBP False False 0.02 0.12 -0.00 0.0 0.51 -0.51 0.12 0.05 -0.11 22.0 5 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.74 3.0 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 2.38 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 0.13 2.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.22 -0.22 0.00 0.00 1.80 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.19 0.03 0.0 0.37 -0.37 0.19 0.16 3.57 48.0 25 21 caleb_strategy_v3 COCOA False False 0.03 0.13 0.03 0.0 0.69 -0.69 0.13 0.11 1.01 26.0 5 4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.38 0.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 3.97 56.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.40 -0.40 0.00 0.00 0.98 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 17.25 59.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.04 0.0 0.10 -0.10 0.06 0.06 1.18 3.0 2 2 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.05 0.0 0.09 -0.09 0.02 0.05 2.30 4.0 1 2 caleb_strategy_v3 COPPER False False 0.03 0.15 0.06 0.0 0.18 -0.18 0.15 0.15 2.20 6.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.06 0.0 0.15 -0.15 0.07 0.07 5.47 13.0 6 6 caleb_strategy_v3 BTP False False 0.04 0.19 0.07 0.0 0.37 -0.37 0.19 0.22 1.98 10.0 5 6 caleb_strategy_v3 DX False False 0.03 0.00 0.08 0.0 999.00 -999.00 0.00 0.00 2.61 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.08 0.0 0.13 -0.13 0.13 0.13 2.29 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.09 0.0 0.36 -0.36 0.02 0.00 4.29 17.0 1 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.28 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.18 0.15 0.0 0.28 -0.28 0.18 0.18 19.42 36.0 23 23 caleb_strategy_v3 EUROSTX False False 0.02 0.30 0.15 0.0 0.32 -0.32 0.30 0.32 9.61 20.0 19 20 caleb_strategy_v3 SMI False False 0.04 0.34 0.16 0.0 0.34 -0.34 0.34 0.34 4.38 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.13 0.20 0.0 0.34 -0.34 0.13 0.13 34.62 58.0 22 22 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.25 0.0 0.11 -0.11 0.02 0.07 11.09 5.0 1 3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.28 0.0 0.77 -0.77 0.00 0.08 3.58 10.0 0 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.17 0.31 0.0 0.45 -0.45 0.17 0.17 11.21 16.0 6 6 caleb_strategy_v3 MXP False False 0.01 0.51 0.86 0.0 0.52 -0.52 0.51 0.51 99.34 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.3 Shocked risk 89.2 Sum abs risk 62.9 Leverage 5.97 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3427433.45, 'annual_cash_vol_target': 856858.3625, 'daily_cash_vol_target': 53553.64765625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6553 0.5804 9.2861 BITCOIN 2093.1205 71830.0000 2.9140 46.6239 BOBL 0.2509 117.9200 0.2128 3.4041 BTP 0.5389 118.7100 0.4539 7.2628 BUND 0.4948 132.6200 0.3731 5.9697 BUXL 1.1767 133.8400 0.8792 14.0669 CAC 44.2146 8173.5000 0.5410 8.6552 CAD 0.0029 0.7370 0.3868 6.1889 CANOLA 6.7076 657.3000 1.0205 16.3277 CHF 0.0050 1.1226 0.4491 7.1850 COCOA 178.0313 9081.0000 1.9605 31.3677 COFFEE 2.9163 185.2500 1.5743 25.1883 COPPER 0.0425 4.0415 1.0504 16.8066 CORN 4.2339 474.0000 0.8932 14.2915 COTTON2 1.4747 92.6300 1.5920 25.4722 CRUDE_W 0.8412 77.1400 1.0905 17.4486 DAX 97.4038 18534.0000 0.5255 8.4087 DOW 229.0596 39696.0000 0.5770 9.2326 DX 0.3334 103.9100 0.3209 5.1343 EUR 0.0044 1.0876 0.4056 6.4898 EURIBOR-ICE 0.0477 97.6200 0.0488 0.7810 EUROSTX 31.6448 4998.0000 0.6331 10.1304 FEEDCOW 1.7427 262.4750 0.6639 10.6229 GASOIL 11.6126 808.7500 1.4359 22.9738 GASOLINE 0.0346 2.6921 1.2843 20.5489 GAS_US_mini 0.0802 2.0300 3.9489 63.1823 GBP 0.0059 1.2644 0.4695 7.5124 GOLD_micro 14.2585 2194.1000 0.6499 10.3977 HEATOIL 0.0371 2.6488 1.4019 22.4300 JGB-SGX-mini 0.2202 145.4600 0.1514 2.4218 JPY 0.0000 0.0067 0.5747 9.1958 LEANHOG 1.0805 101.7250 1.0622 16.9948 LIVECOW 1.2097 181.7250 0.6657 10.6510 LUMBER-new 5.8494 623.0000 0.9389 15.0225 MILK 0.2085 17.0200 1.2249 19.5979 MXP 0.0003 0.0592 0.5351 8.5613 NASDAQ_micro 138.2516 18512.7500 0.7468 11.9487 NIKKEI 381.9239 40140.0000 0.9515 15.2237 NZD 0.0037 0.6003 0.6123 9.7966 OAT 0.4761 127.7800 0.3726 5.9615 OATIES 5.0982 354.2500 1.4392 23.0266 OJ 6.6245 367.2000 1.8041 28.8650 PALLAD 28.2037 1012.5000 2.7855 44.5687 PLAT 15.3093 916.1000 1.6711 26.7383 REDWHEAT 9.4094 586.5000 1.6043 25.6694 RICE 0.1618 17.2200 0.9394 15.0301 ROBUSTA 41.7028 3321.0000 1.2557 20.0917 RUSSELL 22.3058 2096.5000 1.0640 17.0233 SHATZ 0.0832 105.6600 0.0788 1.2605 SILVER-mini 0.3858 25.0625 1.5394 24.6307 SMI 65.0062 11538.0000 0.5634 9.0146 SOFR 0.0632 96.3600 0.0656 1.0500 SOYBEAN 10.4812 1197.2500 0.8754 14.0070 SOYMEAL 4.1759 344.6000 1.2118 19.3888 SOYOIL 0.6896 49.5600 1.3915 22.2646 SP400 22.9437 3023.2000 0.7589 12.1427 SP500_micro 29.5240 5277.7500 0.5594 8.9505 SUGAR11 0.3218 21.6900 1.4838 23.7410 US10 0.3811 110.5469 0.3448 5.5160 US10U 0.5119 114.1406 0.4484 7.1750 US2 0.1054 102.3086 0.1030 1.6486 US20 0.7520 119.4062 0.6298 10.0770 US30 1.1252 127.2500 0.8843 14.1481 US5 0.2531 106.9609 0.2367 3.7867 VIX 0.3940 16.2500 2.4245 38.7919 WHEAT 8.1995 609.2500 1.3458 21.5334 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 655.30 0.58 380.33 1.00 380.33 53553.65 140.81 -6.49 -91.32 BITCOIN 71.83 2.91 209.31 1.00 209.31 53553.65 255.86 6.22 159.26 BOBL 1179.20 0.21 250.88 1.08 271.78 53553.65 197.05 -8.93 -175.93 BTP 1187.10 0.45 538.86 1.08 583.74 53553.65 91.74 6.33 58.07 BUND 1326.20 0.37 494.81 1.08 536.03 53553.65 99.91 -2.12 -21.17 BUXL 1338.40 0.88 1176.70 1.08 1274.72 53553.65 42.01 -2.90 -12.17 CAC 817.35 0.54 442.15 1.08 478.98 53553.65 111.81 13.86 154.92 CAD 737.00 0.39 285.08 1.00 285.08 53553.65 187.86 -8.62 -161.95 CANOLA 131.46 1.02 134.15 0.74 98.93 53553.65 541.35 -13.95 -755.11 CHF 1403.19 0.45 630.12 1.00 630.12 53553.65 84.99 -20.00 -169.98 COCOA 908.10 1.96 1780.31 1.00 1780.31 53553.65 30.08 15.64 47.05 COFFEE 694.69 1.57 1093.63 1.00 1093.63 53553.65 48.97 -0.59 -2.87 COPPER 1010.38 1.05 1061.31 1.00 1061.31 53553.65 50.46 4.02 20.29 CORN 237.00 0.89 211.69 1.00 211.69 53553.65 252.98 -16.61 -420.09 COTTON2 463.15 1.59 737.34 1.00 737.34 53553.65 72.63 -2.63 -19.12 CRUDE_W 771.40 1.09 841.24 1.00 841.24 53553.65 63.66 16.08 102.37 DAX 185.34 0.53 97.40 1.08 105.52 53553.65 507.53 20.00 1015.07 DOW 198.48 0.58 114.53 1.00 114.53 53553.65 467.60 -3.22 -150.50 DX 1039.10 0.32 333.44 1.00 333.44 53553.65 160.61 6.26 100.55 EUR 1359.50 0.41 551.43 1.00 551.43 53553.65 97.12 -2.33 -22.63 EURIBOR-ICE 2440.50 0.05 119.13 1.08 129.05 53553.65 414.97 2.53 105.00 EUROSTX 499.80 0.63 316.45 1.08 342.81 53553.65 156.22 18.03 281.68 FEEDCOW 1312.38 0.66 871.33 1.00 871.33 53553.65 61.46 0.22 1.33 GASOIL 808.75 1.44 1161.26 1.00 1161.26 53553.65 46.12 11.52 53.14 GASOLINE 1130.68 1.28 1452.14 1.00 1452.14 53553.65 36.88 14.31 52.77 GAS_US_mini 50.75 3.95 200.41 1.00 200.41 53553.65 267.23 -13.64 -364.38 GBP 790.25 0.47 371.04 1.00 371.04 53553.65 144.33 -0.29 -4.23 GOLD_micro 219.41 0.65 142.59 1.00 142.59 53553.65 375.59 3.10 116.42 HEATOIL 1112.50 1.40 1559.58 1.00 1559.58 53553.65 34.34 7.95 27.31 JGB-SGX-mini 145460.00 0.15 22017.07 0.01 145.48 53553.65 368.12 2.81 103.48 JPY 836.06 0.57 480.52 1.00 480.52 53553.65 111.45 -14.04 -156.49 LEANHOG 406.90 1.06 432.20 1.00 432.20 53553.65 123.91 7.26 90.00 LIVECOW 726.90 0.67 483.89 1.00 483.89 53553.65 110.67 11.69 129.33 LUMBER-new 171.32 0.94 160.86 1.00 160.86 53553.65 332.92 3.33 111.03 MILK 340.40 1.22 416.95 1.00 416.95 53553.65 128.44 -19.76 -253.74 MXP 295.75 0.54 158.25 1.00 158.25 53553.65 338.41 20.00 676.82 NASDAQ_micro 370.26 0.75 276.50 1.00 276.50 53553.65 193.68 -1.63 -31.63 NIKKEI 40140.00 0.95 38192.39 0.01 252.36 53553.65 212.21 8.45 179.30 NZD 600.30 0.61 367.55 1.00 367.55 53553.65 145.70 -6.60 -96.11 OAT 1277.80 0.37 476.10 1.08 515.76 53553.65 103.83 2.76 28.65 OATIES 177.12 1.44 254.91 1.00 254.91 53553.65 210.09 -12.62 -265.10 OJ 550.80 1.80 993.68 1.00 993.68 53553.65 53.89 6.42 34.61 PALLAD 1012.50 2.79 2820.37 1.00 2820.37 53553.65 18.99 -0.29 -0.55 PLAT 458.05 1.67 765.47 1.00 765.47 53553.65 69.96 0.99 6.93 REDWHEAT 293.25 1.60 470.47 1.00 470.47 53553.65 113.83 -12.94 -147.30 RICE 344.40 0.94 323.52 1.00 323.52 53553.65 165.53 -12.00 -198.64 ROBUSTA 332.10 1.26 417.03 1.00 417.03 53553.65 128.42 12.02 154.41 RUSSELL 104.82 1.06 111.53 1.00 111.53 53553.65 480.18 -4.68 -224.89 SHATZ 1056.60 0.08 83.24 1.08 90.17 53553.65 593.89 -14.05 -834.44 SILVER-mini 626.56 1.54 964.54 1.00 964.54 53553.65 55.52 7.29 40.46 SMI 1153.80 0.56 650.06 1.11 723.49 53553.65 74.02 17.37 128.55 SOFR 2409.00 0.07 158.09 1.00 158.09 53553.65 338.75 -4.70 -159.38 SOYBEAN 598.62 0.88 524.06 1.00 524.06 53553.65 102.19 -6.86 -70.13 SOYMEAL 344.60 1.21 417.59 1.00 417.59 53553.65 128.25 -17.21 -220.76 SOYOIL 297.36 1.39 413.79 1.00 413.79 53553.65 129.42 -5.72 -74.09 SP400 3023.20 0.76 2294.37 1.00 2294.37 53553.65 23.34 1.74 4.05 SP500_micro 263.89 0.56 147.62 1.00 147.62 53553.65 362.78 4.23 153.60 SUGAR11 242.93 1.48 360.46 1.00 360.46 53553.65 148.57 -1.20 -17.84 US10 1105.47 0.34 381.11 1.00 381.11 53553.65 140.52 -6.74 -94.70 US10U 1141.41 0.45 511.85 1.00 511.85 53553.65 104.63 -2.39 -25.03 US2 2046.17 0.10 210.84 1.00 210.84 53553.65 254.01 -12.98 -329.70 US20 1194.06 0.63 752.04 1.00 752.04 53553.65 71.21 0.33 2.38 US30 1272.50 0.88 1125.22 1.00 1125.22 53553.65 47.59 -1.93 -9.19 US5 1069.61 0.24 253.15 1.00 253.15 53553.65 211.55 -9.18 -194.26 VIX 162.50 2.42 393.98 1.00 393.98 53553.65 135.93 -20.00 -271.86 WHEAT 304.62 1.35 409.98 1.00 409.98 53553.65 130.63 -15.56 -203.30 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -91.323 0.010 2.5 -2.369 BITCOIN 159.258 0.043 2.5 17.246 BOBL -175.935 0.004 2.5 -1.784 BTP 58.069 0.014 2.5 1.981 BUND -21.170 0.004 2.5 -0.215 BUXL -12.173 0.004 2.5 -0.123 CAC 154.918 0.014 2.5 5.284 CAD -161.947 0.010 2.5 -4.202 CANOLA -755.113 0.010 2.5 -18.371 CHF -169.979 0.010 2.5 -4.410 COCOA 47.054 0.009 2.5 1.008 COFFEE -2.867 0.005 2.5 -0.033 COPPER 20.289 0.043 2.5 2.197 CORN -420.094 0.010 2.5 -10.220 COTTON2 -19.116 0.009 2.5 -0.409 CRUDE_W 102.370 0.043 2.5 11.085 DAX 1015.066 0.014 2.5 34.622 DOW -150.501 0.009 2.5 -3.498 DX 100.546 0.010 2.5 2.609 EUR -22.627 0.010 2.5 -0.587 EURIBOR-ICE 104.997 0.014 2.5 3.581 EUROSTX 281.683 0.014 2.5 9.608 FEEDCOW 1.330 0.013 2.5 0.044 GASOIL 53.140 0.017 2.5 2.304 GASOLINE 52.772 0.017 2.5 2.288 GAS_US_mini -364.381 0.043 2.5 -39.458 GBP -4.233 0.010 2.5 -0.110 GOLD_micro 116.418 0.014 2.5 3.971 HEATOIL 27.306 0.017 2.5 1.184 JGB-SGX-mini 103.483 0.043 2.5 11.206 JPY -156.486 0.010 2.5 -4.060 LEANHOG 90.005 0.024 2.5 5.470 LIVECOW 129.326 0.013 2.5 4.286 LUMBER-new 111.030 0.009 2.5 2.375 MILK -253.745 0.009 2.5 -5.435 MXP 676.822 0.059 2.5 99.339 NASDAQ_micro -31.634 0.009 2.5 -0.735 NIKKEI 179.303 0.043 2.5 19.416 NZD -96.114 0.010 2.5 -2.494 OAT 28.650 0.014 2.5 0.977 OATIES -265.098 0.010 2.5 -6.449 OJ 34.614 0.009 2.5 0.741 PALLAD -0.546 0.014 2.5 -0.019 PLAT 6.927 0.014 2.5 0.236 REDWHEAT -147.295 0.005 2.5 -1.954 RICE -198.641 0.010 2.5 -4.833 ROBUSTA 154.412 0.005 2.5 1.803 RUSSELL -224.893 0.013 2.5 -7.452 SHATZ -834.438 0.004 2.5 -8.462 SILVER-mini 40.460 0.014 2.5 1.380 SMI 128.554 0.014 2.5 4.385 SOFR -159.379 0.024 2.5 -9.686 SOYBEAN -70.127 0.004 2.5 -0.652 SOYMEAL -220.760 0.004 2.5 -2.053 SOYOIL -74.091 0.004 2.5 -0.690 SP400 4.052 0.013 2.5 0.134 SP500_micro 153.596 0.009 2.5 3.570 SUGAR11 -17.839 0.009 2.5 -0.379 US10 -94.696 0.005 2.5 -1.200 US10U -25.026 0.005 2.5 -0.317 US2 -329.695 0.005 2.5 -4.178 US20 2.375 0.005 2.5 0.030 US30 -9.186 0.005 2.5 -0.116 US5 -194.261 0.005 2.5 -2.462 VIX -271.859 0.099 2.5 -67.106 WHEAT -203.295 0.005 2.5 -2.697 ===================== Position diags ===================== AUD 3.65 BITCOIN 27.71 BOBL 2.00 BTP 3.13 BUND 1.01 BUXL 0.43 CAC 3.81 CAD 4.87 CANOLA 13.17 CHF 2.21 COCOA 0.64 COFFEE 0.57 COPPER 5.46 CORN 6.15 COTTON2 1.56 CRUDE_W 6.89 DAX 17.31 DOW 10.87 DX 4.17 EUR 2.52 EURIBOR-ICE 14.15 EUROSTX 5.33 FEEDCOW 2.04 GASOIL 2.00 GASOLINE 1.60 GAS_US_mini 28.94 GBP 3.74 GOLD_micro 12.81 HEATOIL 1.49 JGB-SGX-mini 39.86 JPY 2.89 LEANHOG 7.53 LIVECOW 3.67 LUMBER-new 7.12 MILK 2.75 MXP 49.67 NASDAQ_micro 4.50 NIKKEI 22.98 NZD 3.78 OAT 3.54 OATIES 5.11 OJ 1.15 PALLAD 0.65 PLAT 2.39 REDWHEAT 1.51 RICE 4.03 ROBUSTA 1.50 RUSSELL 15.91 SHATZ 6.02 SILVER-mini 1.89 SMI 2.52 SOFR 20.59 SOYBEAN 0.95 SOYMEAL 1.19 SOYOIL 1.20 SP400 0.77 SP500_micro 8.43 SUGAR11 3.16 US10 1.78 US10U 1.33 US2 3.22 US20 0.90 US30 0.60 US5 2.68 VIX 33.55 WHEAT 1.73 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.4 -2.7 -2.0 0.0 0 BITCOIN 17.2 14.5 20.0 0.0 0 BOBL -1.8 -2.0 -1.6 -15.0 -15 BTP 2.0 1.7 2.3 5.0 5 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC 5.3 4.9 5.7 0.0 0 CAD -4.2 -4.7 -3.7 0.0 0 CANOLA -18.4 -19.7 -17.1 -6.0 -6 CHF -4.4 -4.6 -4.2 -9.0 -9 COCOA 1.0 0.9 1.1 5.0 5 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER 2.2 1.7 2.7 5.0 5 CORN -10.2 -10.8 -9.6 -10.0 -10 COTTON2 -0.4 -0.6 -0.3 -2.0 -2 CRUDE_W 11.1 10.4 11.8 1.0 1 DAX 34.6 32.9 36.4 22.0 22 DOW -3.5 -4.6 -2.4 0.0 0 DX 2.6 2.2 3.0 NaN 0 EUR -0.6 -0.8 -0.3 1.0 1 EURIBOR-ICE 3.6 2.2 5.0 0.0 0 EUROSTX 9.6 9.1 10.1 19.0 19 FEEDCOW 0.0 -0.2 0.2 6.0 6 GASOIL 2.3 2.1 2.5 1.0 1 GASOLINE 2.3 2.1 2.4 4.0 4 GAS_US_mini -39.5 -42.4 -36.6 -16.0 -16 GBP -0.1 -0.5 0.3 5.0 5 GOLD_micro 4.0 2.7 5.3 0.0 0 HEATOIL 1.2 1.0 1.3 2.0 2 JGB-SGX-mini 11.2 7.2 15.2 6.0 6 JPY -4.1 -4.3 -3.8 0.0 0 LEANHOG 5.5 4.7 6.2 6.0 6 LIVECOW 4.3 3.9 4.7 1.0 1 LUMBER-new 2.4 1.7 3.1 NaN 0 MILK -5.4 -5.7 -5.2 NaN 0 MXP 99.3 94.4 104.3 59.0 59 NASDAQ_micro -0.7 -1.2 -0.3 0.0 0 NIKKEI 19.4 17.1 21.7 23.0 23 NZD -2.5 -2.9 -2.1 0.0 0 OAT 1.0 0.6 1.3 0.0 0 OATIES -6.4 -7.0 -5.9 NaN 0 OJ 0.7 0.6 0.9 NaN 0 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 0.2 -0.0 0.5 1.0 1 REDWHEAT -2.0 -2.1 -1.8 -2.0 -2 RICE -4.8 -5.2 -4.4 NaN 0 ROBUSTA 1.8 1.7 2.0 0.0 0 RUSSELL -7.5 -9.0 -5.9 -6.0 -6 SHATZ -8.5 -9.1 -7.9 NaN 0 SILVER-mini 1.4 1.2 1.6 NaN 0 SMI 4.4 4.1 4.6 9.0 9 SOFR -9.7 -11.7 -7.6 NaN 0 SOYBEAN -0.7 -0.7 -0.6 -1.0 -1 SOYMEAL -2.1 -2.2 -1.9 0.0 0 SOYOIL -0.7 -0.8 -0.6 -5.0 -5 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 3.6 2.7 4.4 25.0 25 SUGAR11 -0.4 -0.7 -0.1 0.0 0 US10 -1.2 -1.4 -1.0 0.0 0 US10U -0.3 -0.4 -0.2 -2.0 -2 US2 -4.2 -4.5 -3.9 NaN 0 US20 0.0 -0.1 0.1 0.0 0 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.5 -2.7 -2.2 -8.0 -8 VIX -67.1 -70.5 -63.8 -16.0 -16 WHEAT -2.7 -2.9 -2.5 -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 -0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.7 -0.4 -0.4 -0.0 BITCOIN -0.2 0.4 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 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 -0.1 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 -0.0 -0.1 -0.1 -0.1 0.1 -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 0.1 0.1 -0.1 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.3 -0.0 0.5 -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 0.7 0.3 0.6 0.6 0.4 -0.3 -0.5 0.7 0.1 BUND 0.1 -0.4 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.1 0.1 0.1 -0.1 -0.6 -0.7 0.4 -0.3 BUXL 0.1 -0.3 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.2 0.1 0.2 0.1 -0.7 -0.7 0.1 0.0 CAC 0.4 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 -0.0 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 0.4 -0.2 -0.2 0.3 0.0 -0.2 0.5 -0.1 0.6 CAD -0.0 -0.2 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.4 -0.2 -0.0 -0.6 -0.5 -0.1 -0.4 CANOLA 0.6 0.6 -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 0.0 -0.1 0.1 -0.2 0.0 -0.8 0.5 0.6 -0.1 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.2 -0.6 -0.2 -0.0 -0.1 0.0 -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 -0.1 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.3 -0.5 -0.5 -0.1 -0.6 COCOA 0.6 0.3 -0.6 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 0.0 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 0.1 0.1 0.0 0.2 0.0 0.9 0.1 0.1 -0.1 0.2 -0.3 -0.7 -0.0 -0.4 COPPER 0.5 0.4 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 -0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 -1.9 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.5 0.4 0.2 0.4 -0.7 -0.1 0.4 0.2 CORN 0.6 0.2 -0.3 0.0 0.0 0.1 0.0 -0.1 0.0 0.1 -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 -2.6 -0.1 0.0 -0.2 0.0 -0.3 0.0 -1.0 0.1 0.6 -0.6 -0.6 -0.2 -0.7 -0.2 0.0 COTTON2 -0.5 0.4 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 0.2 0.0 0.1 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 -0.0 -0.2 -0.0 0.6 0.6 -0.4 -0.5 -0.1 0.0 CRUDE_W 0.4 0.4 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 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 0.1 -0.1 0.7 0.7 0.7 0.7 DAX 0.5 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -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 0.6 0.2 0.1 -0.2 0.4 0.1 0.7 DOW -0.3 -0.3 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.0 0.5 0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.1 -2.0 0.1 0.0 0.3 0.1 0.3 0.1 -0.5 -0.2 -0.6 -0.6 0.1 -0.2 -0.2 0.1 -0.5 DX -0.1 0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.1 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.1 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 0.8 0.5 0.1 0.6 -0.2 0.6 0.1 0.7 0.3 EUR 0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 2.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.4 -0.1 0.1 0.1 -0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE 0.1 -0.6 0.2 -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 0.0 0.1 0.0 0.1 -0.7 -0.7 0.3 0.7 EUROSTX 0.2 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.0 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 -0.2 -0.0 0.5 0.3 -0.4 0.5 -0.3 0.7 FEEDCOW -0.5 0.5 0.5 0.0 0.0 0.1 0.0 -0.1 0.0 -0.2 0.1 -0.1 0.1 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 -0.2 0.2 0.0 -1.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -1.1 -0.5 -0.6 0.5 0.6 0.7 0.6 0.7 0.7 GASOIL 0.1 0.3 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.4 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.4 0.1 1.0 0.1 -0.0 0.2 0.0 0.2 0.1 1.1 -0.1 -0.2 0.0 0.1 -0.3 -0.3 -0.7 -0.5 GASOLINE 0.4 0.5 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.3 0.2 0.5 0.2 0.2 0.3 0.2 0.1 0.0 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.4 0.3 0.3 0.5 0.4 0.7 0.6 0.7 0.5 GAS_US_mini 0.1 -0.1 -0.3 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -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 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.4 0.0 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 0.0 -0.0 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 0.0 0.1 0.1 -0.8 0.1 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 0.3 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 1.1 -0.3 -0.3 -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 -0.6 0.0 0.3 JPY 0.2 -0.3 -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 -0.1 -1.1 -0.5 -0.2 -0.4 -0.3 -0.7 -0.4 -0.5 -0.5 LEANHOG -0.1 0.5 0.6 0.1 0.0 0.1 0.0 -0.1 0.0 -0.0 0.4 -0.0 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 -0.0 -0.1 0.1 2.2 0.1 0.0 0.2 -0.0 0.0 0.0 -1.1 -0.1 0.2 0.6 0.6 -0.2 -0.3 0.3 0.4 LIVECOW -0.2 0.6 0.4 0.0 0.0 0.1 0.0 -0.1 0.0 -0.2 0.2 -0.0 0.1 0.2 0.2 0.4 -0.0 0.3 0.1 0.2 0.1 -0.1 0.2 0.1 -0.8 0.1 -0.1 0.1 -0.0 0.2 0.0 0.1 -0.2 -0.3 0.6 0.6 0.7 0.3 0.7 0.6 LUMBER-new 0.4 0.4 0.5 0.1 0.0 0.1 0.0 -0.1 0.1 0.1 0.5 0.2 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.1 0.2 0.2 NaN 0.1 0.0 0.2 0.1 0.2 0.1 -1.2 -0.3 0.7 0.7 0.7 -0.4 -0.7 -0.3 -0.4 MILK -0.6 -0.1 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 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -1.1 -0.1 -0.6 -0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.2 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 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 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 -0.0 0.4 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.4 -0.3 -0.5 -0.4 0.2 0.3 -0.1 0.5 -0.1 NIKKEI -0.4 0.4 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 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 0.2 -0.3 0.4 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.2 -0.2 0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.2 -0.0 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.5 -0.6 -0.1 -0.1 -0.3 -0.3 -0.1 0.1 OAT 0.1 -0.3 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.6 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.6 0.1 0.1 0.2 0.0 -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 -0.1 -0.5 -0.1 -0.1 0.2 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.2 -0.3 -0.1 -0.2 -0.4 0.0 -0.1 0.5 OJ -0.2 0.1 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.2 0.0 0.4 0.1 0.1 0.1 0.3 0.2 0.2 0.1 0.1 0.0 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.4 0.0 1.1 0.3 -0.5 0.6 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.5 0.5 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.3 0.0 -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 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -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 -0.1 -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 0.1 -0.5 0.1 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.1 -0.1 -0.2 0.1 -0.5 -0.0 -1.1 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.2 0.1 0.0 -0.6 -0.6 -0.5 -0.7 -0.3 -0.7 RICE -0.6 -0.4 0.1 0.0 0.0 0.1 0.0 -0.1 0.0 -0.2 0.3 -0.2 0.6 -0.2 -0.0 -0.3 -0.1 -0.2 -0.2 -0.1 0.1 -0.2 0.4 -0.2 -2.6 -0.0 -0.2 0.1 -0.2 0.1 -0.1 -0.6 -0.5 -0.6 -0.3 -0.1 0.2 -0.1 0.5 0.2 ROBUSTA 0.3 -0.1 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 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 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.4 0.1 RUSSELL 0.0 0.2 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 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 -0.5 -0.6 -0.6 -0.3 -0.5 -0.6 -0.5 -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 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -1.1 0.0 -0.0 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.5 -0.0 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 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.2 0.6 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.5 0.6 0.5 0.2 -0.6 -0.6 0.7 -0.0 SMI 0.4 0.5 0.6 0.1 0.0 0.2 0.1 0.2 0.1 -0.0 0.5 0.1 0.5 0.2 0.2 0.0 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 2.1 0.1 0.0 0.2 0.0 0.1 0.1 1.1 -0.5 -0.3 -0.6 -0.2 0.4 -0.1 0.7 -0.3 SOFR 0.0 -0.4 0.1 -0.0 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 -0.0 -0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -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 0.1 -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 0.0 -0.1 0.1 -0.1 0.0 1.0 0.5 0.6 -0.3 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.6 -0.3 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.1 -0.4 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.2 -0.2 0.1 -0.4 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.6 0.2 0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.4 0.1 -0.5 0.1 -0.0 -0.2 0.0 -0.1 -0.1 0.0 -0.1 0.1 -0.4 0.1 -2.7 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.5 0.6 0.3 -0.2 -0.5 -0.3 -0.4 0.2 SP400 0.3 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 0.2 0.4 0.2 -1.8 0.1 0.0 0.2 0.1 0.2 0.1 0.0 -0.4 -0.0 -0.2 -0.0 -0.4 -0.3 -0.4 -0.7 SP500_micro 0.1 0.4 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.6 -0.2 -0.2 0.0 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 -0.0 -0.1 -0.4 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 -0.3 -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 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.6 -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 -0.1 -0.0 -0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -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 -0.0 -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 -0.0 -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 -0.0 0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.0 -0.2 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.5 -0.0 0.1 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 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.0 -0.2 -0.0 0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.8 0.0 0.1 -0.1 -0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.3 0.4 -0.3 -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 -0.2 -0.1 -0.6 -0.1 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.5 0.2 -0.7 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -1.1 0.5 -0.1 -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 5.3 -3.0 0.5 -0.2 -6.9 1.8 -4.1 3.4 -1.4 -12.6 -3.7 -6.5 -10.5 2.0 -10.6 -2.8 -2.9 -2.8 -2.8 -2.7 -2.5 -6.3 -5.2 -2.9 2.8 -1.5 -6.0 -1.1 -4.0 -2.0 -1.8 -1.1 -2.6 -2.4 -2.1 -6.5 -20.0 -10.9 -13.0 -1.3 BITCOIN -6.7 12.8 6.7 3.1 -3.7 0.3 0.1 -0.6 4.1 -0.7 19.7 7.5 19.7 14.7 17.5 -10.0 -7.3 -9.3 -8.5 20.0 20.0 9.6 20.0 20.0 -20.0 7.3 2.2 6.7 2.1 5.1 5.4 -3.3 -2.4 20.0 20.0 20.0 -5.4 0.5 17.9 4.3 BOBL 3.4 -18.9 -0.2 -1.4 0.5 -0.3 -1.1 -1.0 -1.9 2.8 -1.7 -2.3 -2.2 -7.6 -7.7 4.1 -13.7 -13.3 -16.2 -6.2 -3.2 0.1 -3.4 -4.7 6.7 -2.1 2.1 -0.9 0.3 -0.8 -1.5 -20.0 4.7 1.9 -2.4 -5.0 -20.0 -20.0 3.7 -20.0 BTP 8.2 -1.2 14.1 -2.3 0.8 -0.6 -1.9 -1.6 -3.2 -8.1 12.1 5.7 11.2 7.9 8.1 4.9 6.3 4.9 5.2 10.8 14.2 3.0 11.1 7.3 -19.9 5.0 -0.6 6.0 1.5 4.9 3.6 12.3 11.6 18.7 20.0 13.6 -9.8 -14.8 20.0 2.8 BUND 2.3 -13.1 4.4 -1.5 0.5 -0.4 -1.3 -1.1 -2.2 3.0 0.6 -2.6 -0.9 -7.9 -6.9 -8.6 2.2 -2.9 -0.4 -3.7 -0.6 0.3 -2.2 -3.4 4.2 -1.5 2.9 -0.1 0.5 -0.3 -1.4 4.1 6.0 2.7 2.5 -1.8 -17.3 -20.0 12.5 -10.2 BUXL 1.9 -7.8 7.7 -1.9 0.7 -0.5 -1.6 -1.4 -2.7 1.7 2.4 -3.5 -4.0 -8.3 -6.6 -7.2 -1.0 -4.2 -2.3 -1.8 0.7 0.2 -4.0 -2.6 -0.1 -0.6 4.1 0.8 0.5 -0.7 -1.1 0.0 7.3 3.9 7.6 2.2 -20.0 -20.0 3.6 0.6 CAC 13.6 20.0 19.8 8.7 4.9 7.3 7.1 4.9 8.3 6.0 20.0 19.8 20.0 20.0 20.0 18.3 -2.2 4.5 -0.6 20.0 20.0 20.0 20.0 20.0 -11.5 9.5 0.8 7.8 5.1 5.7 8.6 6.9 -10.0 -4.7 8.6 0.2 -6.0 13.7 -3.0 19.4 CAD -0.2 -6.2 3.2 -0.2 -7.9 2.1 -4.7 3.9 -1.6 -15.1 -2.4 -11.6 -4.7 -14.3 -13.8 -2.3 -2.2 -2.2 -2.2 -5.2 -2.6 -10.4 -4.1 -7.5 -0.3 -3.5 -9.9 -1.8 -7.2 -2.4 -5.1 0.0 -1.1 -10.8 -5.1 -0.8 -16.8 -14.9 -2.0 -12.7 CANOLA 20.0 17.7 -19.4 2.4 0.7 1.1 1.4 -1.5 2.2 10.8 -11.0 12.5 -11.2 9.3 -4.7 -15.0 -5.4 -13.8 -11.2 -0.8 -16.2 20.0 -20.0 16.2 -20.0 -0.2 5.3 -4.1 6.2 -5.4 4.3 -14.1 20.0 20.0 -2.8 -20.0 -20.0 -20.0 -17.7 -7.1 CHF -6.7 -20.0 -7.6 -0.2 -6.8 1.8 -4.1 3.3 -1.4 -18.7 -7.1 -19.4 -0.7 -20.0 -18.9 -15.9 -15.6 -15.8 -15.8 -19.9 -10.1 -20.0 -1.3 -20.0 -3.7 -5.6 -11.1 -2.1 -10.4 0.4 -8.2 -20.0 -20.0 -20.0 -20.0 -9.1 -13.5 -16.4 -3.8 -16.7 COCOA 20.0 9.4 -17.5 1.4 0.4 0.7 0.8 -0.9 1.3 7.2 8.4 7.9 8.4 8.2 8.3 20.0 12.9 20.0 20.0 20.0 16.7 20.0 11.1 20.0 -12.3 2.9 3.5 2.7 3.3 2.3 3.1 20.0 20.0 20.0 20.0 20.0 6.1 1.3 13.8 15.1 COFFEE -0.1 -5.0 8.4 3.8 1.1 1.8 2.2 -2.4 3.4 16.3 11.0 -0.2 8.2 -0.1 1.9 10.7 8.1 13.0 10.9 4.1 9.5 4.6 7.6 1.7 -20.0 2.0 5.9 5.2 3.3 5.6 1.3 16.3 4.1 2.1 -2.2 6.5 -8.9 -20.0 -0.8 -13.4 COPPER 16.2 11.0 8.1 3.0 -3.5 0.3 0.1 -0.6 3.9 -1.6 8.6 9.3 -3.6 15.3 13.8 -4.7 -4.9 -5.3 -5.5 16.7 9.2 11.2 2.1 20.0 -13.9 5.3 -1.8 2.7 4.4 0.7 7.0 1.3 20.0 13.0 7.3 13.9 -20.0 -2.2 12.3 5.4 CORN 20.0 7.2 -8.0 4.2 1.2 2.0 2.4 -2.6 3.7 10.2 -17.2 19.6 -20.0 11.0 -10.4 -19.8 -7.9 -17.3 -13.7 -9.4 -20.0 11.8 -20.0 6.7 -19.3 -4.7 2.0 -8.3 4.0 -8.6 1.3 -18.1 5.9 20.0 -19.0 -20.0 -6.8 -20.0 -5.0 0.1 COTTON2 -14.9 13.3 19.4 2.2 0.6 1.0 1.2 -1.4 2.0 -7.4 5.2 -10.5 3.4 0.5 5.3 10.6 0.3 3.3 0.0 7.3 7.7 -6.0 3.5 -0.0 -20.0 3.5 -0.7 3.4 -0.7 2.0 1.3 -0.2 -9.9 -0.6 20.0 20.0 -13.2 -13.7 -4.3 0.8 CRUDE_W 12.2 11.1 0.8 6.6 3.0 4.1 6.9 3.3 8.0 16.2 2.0 19.3 10.1 20.0 19.9 14.3 10.3 11.7 10.6 17.2 11.2 20.0 12.6 20.0 -5.2 7.8 5.8 5.3 9.1 5.8 10.1 -1.1 5.7 4.8 2.0 -1.9 20.0 20.0 20.0 20.0 DAX 14.9 20.0 20.0 8.4 4.7 7.0 6.9 4.7 8.0 20.0 20.0 20.0 20.0 20.0 20.0 -12.7 -11.6 -14.0 -13.3 20.0 20.0 20.0 20.0 20.0 18.2 9.3 7.2 7.8 8.0 5.5 9.2 -11.2 9.1 17.1 4.9 3.8 -5.2 12.1 2.1 20.0 DOW -9.5 -9.3 18.5 6.7 3.8 5.6 5.5 3.8 6.4 2.8 20.0 7.1 19.7 13.0 19.0 -12.8 -11.0 -13.0 -12.3 19.7 20.0 13.1 20.0 13.6 -14.8 7.2 2.9 9.7 5.4 9.2 5.2 -9.9 -9.3 -20.0 -20.0 2.9 -5.7 -6.3 2.0 -14.4 DX -4.1 4.2 0.5 -0.2 -7.9 2.0 -4.7 3.8 -1.6 18.0 3.3 17.2 1.9 2.9 10.3 7.3 6.3 6.8 6.5 4.8 3.2 20.0 4.3 9.6 -20.0 1.8 14.1 0.7 11.6 2.0 5.2 14.8 20.0 3.4 17.6 -7.3 16.7 3.4 20.0 9.6 EUR 5.7 -0.1 -0.3 -0.2 -7.8 2.0 -4.7 3.8 -1.6 -14.6 -0.9 -9.8 -0.9 5.1 -7.3 -6.9 -6.7 -6.6 -6.5 -0.3 -1.0 -9.3 -2.0 -2.0 19.7 1.0 -9.4 1.0 -6.0 0.2 -0.9 -7.5 -5.6 1.6 3.2 -3.9 -20.0 -15.8 -20.0 -12.4 EURIBOR-ICE 2.3 -18.9 6.8 -1.2 0.4 -0.3 -1.0 -0.8 -1.7 -0.3 3.1 -2.7 2.9 -5.6 -3.3 -4.0 -3.9 -2.0 -2.4 -1.7 3.3 -0.5 3.5 -2.7 14.0 -0.4 1.1 1.6 -0.1 1.7 -1.0 -3.0 0.3 3.1 0.3 2.2 -20.0 -20.0 9.9 20.0 EUROSTX 5.5 20.0 20.0 8.3 4.7 6.9 6.8 4.7 7.9 15.5 20.0 20.0 20.0 20.0 20.0 -1.9 1.8 3.6 3.2 20.0 20.0 20.0 20.0 20.0 0.5 9.3 3.6 8.4 5.5 6.3 7.9 14.2 -7.5 -0.5 16.4 9.0 -12.1 14.4 -10.3 20.0 FEEDCOW -14.4 16.0 15.2 4.4 1.3 2.1 2.5 -2.8 3.9 -19.3 3.1 -12.9 2.2 6.4 20.0 -20.0 -20.0 -20.0 -20.0 16.4 13.4 -19.2 8.4 0.9 -8.1 3.3 -16.4 3.8 -8.7 5.2 -1.9 -20.0 -20.0 -20.0 16.9 20.0 20.0 17.1 20.0 20.0 GASOIL 3.5 9.2 3.8 5.4 2.5 3.4 5.6 2.7 6.6 3.7 8.6 9.3 12.3 13.8 16.6 20.0 20.0 20.0 20.0 14.2 13.1 9.7 14.6 13.9 7.2 6.0 -0.2 5.7 4.3 6.2 5.9 20.0 -2.6 -5.7 0.2 4.3 -10.5 -8.6 -20.0 -15.3 GASOLINE 11.3 16.4 8.8 6.2 2.8 3.9 6.5 3.1 7.5 18.8 9.9 20.0 12.8 20.0 20.0 17.4 9.2 3.3 1.7 20.0 17.6 20.0 14.5 20.0 -20.0 8.1 4.7 5.8 7.7 5.4 9.0 -8.3 13.3 9.3 13.9 13.8 20.0 17.7 20.0 16.3 GAS_US_mini 4.1 -2.5 -9.9 2.8 1.3 1.7 2.9 1.4 3.4 -7.5 -11.0 -9.2 -11.7 -9.5 -10.4 -20.0 -20.0 -20.0 -18.6 -11.6 -17.2 -4.5 -20.0 -6.9 20.0 -4.0 -1.3 -4.9 -1.8 -4.6 -2.7 -20.0 -19.9 -16.2 -20.0 -20.0 -15.0 -1.8 -20.0 -6.6 GBP 1.9 -1.2 5.0 -0.2 -8.2 2.1 -4.9 4.0 -1.7 -15.2 11.3 -12.6 9.8 0.4 6.7 -0.8 -0.6 -0.6 -0.5 4.4 7.0 -13.6 6.8 -2.2 2.2 3.7 -14.9 5.4 -9.4 4.1 -1.2 2.8 -18.2 0.6 6.0 8.6 -20.0 -6.6 -20.0 0.7 GOLD_micro 20.0 15.1 9.6 3.0 -3.6 0.3 0.1 -0.6 4.0 -2.8 16.5 16.9 11.8 18.0 15.8 -15.1 -14.7 -15.3 -15.1 20.0 18.4 18.0 11.4 20.0 -3.8 6.1 0.7 4.2 4.0 2.7 6.6 -15.4 4.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.9 HEATOIL 4.2 6.2 1.1 5.7 2.6 3.6 6.0 2.9 7.0 -0.3 1.4 6.4 8.4 9.1 13.9 17.3 20.0 20.0 20.0 9.8 8.0 6.5 10.2 10.6 -20.0 6.6 -0.2 6.3 3.3 7.5 6.0 20.0 -10.4 -10.7 -0.6 5.3 20.0 5.2 15.5 2.2 JGB-SGX-mini -6.1 -6.9 7.8 -1.4 0.5 -0.3 -1.1 -1.0 -1.9 5.5 4.7 0.6 6.5 -3.1 0.8 9.7 15.9 11.2 12.4 -0.4 2.6 0.4 3.8 -1.6 -6.7 -0.6 0.7 0.5 0.2 0.4 -1.0 20.0 13.9 -0.8 3.8 -0.0 -8.4 -19.5 1.2 9.8 JPY 6.5 -7.8 -7.0 -0.1 -4.9 1.3 -2.9 2.4 -1.0 -12.6 -13.9 -12.6 -14.8 -11.7 -13.7 -16.5 -16.3 -16.5 -16.4 -11.6 -13.7 -16.1 -19.2 -11.9 20.0 -3.8 -7.0 -4.2 -6.9 -6.1 -4.6 -20.0 -20.0 -7.1 -10.9 -8.7 -20.0 -12.3 -16.3 -13.7 LEANHOG -2.4 16.5 17.9 4.8 1.4 2.3 2.7 -3.0 4.3 -1.4 13.6 -2.6 -10.5 17.1 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.2 -0.4 -5.3 12.2 16.4 8.2 0.8 7.4 -0.5 0.8 3.8 -20.0 -3.2 5.8 20.0 20.0 -6.1 -8.4 7.6 13.3 LIVECOW -5.0 20.0 11.9 4.3 1.3 2.0 2.4 -2.7 3.9 -19.2 5.9 -4.0 3.8 14.9 20.0 20.0 -0.7 12.9 3.5 20.0 13.3 -6.3 7.4 10.7 -5.8 6.0 -8.3 4.5 -2.4 4.6 3.1 1.8 -8.1 -8.9 20.0 18.9 20.0 7.7 20.0 19.0 LUMBER-new 11.6 11.2 13.4 4.8 1.4 2.3 2.7 -2.1 4.3 14.3 17.1 16.7 -10.2 19.9 20.0 -15.6 -15.3 -16.1 -15.6 20.0 17.3 12.3 5.0 19.9 NaN 8.7 2.7 7.1 4.1 3.6 7.2 -20.0 -9.0 20.0 20.0 20.0 -11.1 -17.0 -7.3 -10.8 MILK -20.0 -3.4 6.4 2.6 0.8 1.2 1.5 -1.6 2.4 -8.9 -13.4 -13.0 -14.2 -12.9 -12.8 -20.0 -20.0 -20.0 -20.0 -15.1 -17.0 -14.1 -20.0 -16.1 12.1 -4.2 -2.8 -4.7 -4.2 -6.3 -4.7 -20.0 -4.5 -20.0 -10.5 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.6 6.8 8.9 -0.2 -8.2 2.1 -4.9 4.0 -1.7 16.9 20.0 20.0 20.0 20.0 20.0 18.5 17.1 17.6 16.8 20.0 20.0 17.6 20.0 20.0 -20.0 8.9 5.6 8.4 7.2 10.1 9.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -6.4 -0.9 11.7 4.9 2.8 4.1 4.0 2.8 4.7 10.8 15.0 10.7 15.0 11.8 14.0 -10.9 -10.2 -11.3 -11.0 16.8 20.0 9.0 20.0 10.3 -20.0 5.5 2.3 7.5 2.6 7.9 3.2 -8.0 -13.1 -15.6 -13.2 6.3 8.3 -2.2 14.4 -4.5 NIKKEI -12.8 12.4 16.8 5.7 3.2 4.7 4.6 3.2 5.4 9.3 16.7 10.7 17.1 13.8 15.8 3.9 11.4 9.1 10.7 20.0 20.0 20.0 20.0 20.0 -14.4 6.2 2.2 6.5 3.5 5.7 4.5 20.0 6.5 -9.4 11.4 20.0 -19.6 -6.3 -8.1 -5.7 NZD -7.6 -5.3 2.7 -0.1 -5.7 1.5 -3.4 2.8 -1.2 -14.4 2.2 -15.3 -1.1 -11.5 -9.3 0.3 0.3 0.3 0.3 -4.9 -0.2 -18.1 -0.7 -11.5 0.0 -2.9 -11.5 -0.0 -10.4 0.3 -6.7 4.2 -20.0 -20.0 -3.2 -3.0 -8.5 -8.7 -1.6 4.4 OAT 3.3 -10.1 7.2 -1.7 0.6 -0.4 -1.4 -1.2 -2.3 -1.8 2.8 -2.7 0.9 -6.5 -4.9 4.3 6.1 4.5 4.9 -1.1 2.4 -0.7 0.4 -2.1 4.8 -0.4 0.8 1.4 -0.3 0.8 -1.0 11.9 4.4 4.3 5.4 1.5 -18.4 -20.0 12.4 2.9 OATIES -1.8 2.0 -9.7 3.2 0.9 1.5 1.8 -2.0 2.9 -9.7 -15.7 -9.1 -13.1 -6.3 -5.5 8.7 -1.4 6.6 1.8 -6.4 -12.5 -6.8 -13.4 -5.1 -20.0 -2.3 -2.7 -4.3 -4.1 -5.0 -2.9 -0.8 -10.1 -9.2 -3.4 -6.6 -11.6 0.8 -1.6 13.7 OJ -4.7 3.7 -19.1 2.7 0.8 1.3 1.5 -1.7 2.4 10.6 6.9 1.8 11.0 7.0 5.7 6.6 14.7 7.6 10.8 6.1 10.5 4.0 19.2 3.4 -20.0 2.1 4.8 5.7 1.4 12.4 0.8 20.0 11.3 -13.9 20.0 -10.5 11.1 9.3 17.4 20.0 PALLAD 15.8 16.5 1.0 1.2 -1.4 0.1 0.0 -0.2 1.5 -4.9 -4.2 0.7 -7.4 3.9 -2.1 -1.6 -2.1 -1.8 -1.9 0.4 -3.9 -1.0 -8.8 1.9 9.8 0.5 -1.7 -1.6 -0.5 -3.6 1.0 6.9 1.0 -3.1 -3.4 1.5 -20.0 -10.8 -15.6 -6.6 PLAT 9.3 1.6 -0.7 1.7 -2.0 0.2 0.0 -0.3 2.2 -7.5 -4.7 -2.0 -7.7 0.4 -6.2 -4.2 -3.4 -4.1 -3.8 -1.0 -2.6 -2.7 -3.6 -0.3 9.6 0.0 -2.7 -0.6 -1.6 -0.8 0.2 4.1 -2.6 -8.5 -7.6 0.4 -14.1 -4.4 20.0 7.3 REDWHEAT 12.8 0.0 -8.9 3.3 1.0 1.6 1.9 -2.1 2.9 12.1 -16.9 11.0 -17.8 -4.6 -11.5 8.2 1.2 5.5 2.6 -10.7 -20.0 7.5 -20.0 -0.6 -8.2 -5.0 4.6 -7.2 2.5 -7.5 -1.3 3.1 3.1 1.4 -20.0 -20.0 -13.7 -20.0 -7.5 -20.0 RICE -20.0 -11.3 4.6 4.0 1.2 1.9 2.3 -2.5 3.6 -20.0 10.8 -20.0 15.7 -18.4 -2.9 -13.3 -4.2 -12.2 -10.1 -5.1 10.6 -20.0 15.6 -20.0 -19.8 -2.7 -20.0 2.0 -14.6 3.5 -8.8 -11.5 -20.0 -20.0 -8.4 -4.0 7.2 -3.6 15.6 6.3 ROBUSTA 8.0 -2.7 20.0 3.1 0.9 1.4 1.7 -1.9 2.7 13.6 16.8 15.0 17.1 14.5 16.5 20.0 20.0 20.0 20.0 20.0 20.0 19.8 20.0 20.0 -20.0 6.5 4.0 8.1 4.4 8.2 5.1 20.0 20.0 20.0 20.0 20.0 -20.0 -18.5 -10.6 1.8 RUSSELL 0.3 5.6 14.7 4.8 2.7 4.0 3.9 2.7 4.6 3.4 12.1 4.6 8.9 9.7 12.1 -6.5 -6.3 -6.5 -6.4 9.7 10.6 4.9 6.8 6.5 -2.0 4.7 1.8 5.1 2.2 3.7 3.0 -0.8 -20.0 -17.3 -19.8 -7.8 -15.0 -18.5 -15.6 -20.0 SHATZ 3.2 -20.0 -6.1 -1.2 0.4 -0.3 -0.9 -0.8 -1.6 0.9 -6.4 -3.2 -6.8 -7.4 -7.9 -20.0 -20.0 -20.0 -20.0 -10.0 -7.7 -1.8 -7.7 -7.3 8.1 -2.3 0.7 -1.5 -0.3 -1.4 -1.8 -20.0 2.0 -1.1 -8.8 -7.6 -20.0 -20.0 -8.5 -20.0 SILVER-mini 20.0 14.0 -0.3 2.6 -3.1 0.3 0.1 -0.5 3.4 -6.2 2.8 10.0 -1.7 12.8 4.5 -6.6 -6.7 -6.8 -6.8 11.0 3.5 8.1 -0.1 15.2 4.8 4.9 -0.9 2.3 3.3 0.8 6.0 -1.3 20.0 19.2 15.2 6.6 -16.6 -17.9 20.0 -0.8 SMI 13.1 15.6 19.4 7.8 4.4 6.5 6.4 4.4 7.4 -4.9 20.0 13.5 13.1 19.5 20.0 1.1 5.5 5.9 6.4 20.0 20.0 13.9 12.2 20.0 16.0 8.1 0.3 6.6 3.9 3.7 7.3 20.0 -20.0 -8.6 -18.9 -7.6 11.8 -4.2 20.0 -7.5 SOFR 1.4 -12.2 3.6 -1.6 0.6 -0.4 -1.3 -1.1 -2.2 -1.5 3.4 -5.0 -0.3 -7.7 -6.0 -0.7 0.1 0.2 0.4 -3.5 -1.1 -2.4 -2.0 -4.3 -2.7 -0.9 0.5 0.5 -1.2 0.1 -1.9 2.9 -1.3 3.2 0.7 1.1 -20.0 -20.0 0.5 -2.9 SOYBEAN 20.0 3.7 -19.5 3.8 1.1 1.8 2.1 -2.4 3.4 6.4 -14.2 16.7 -5.6 11.8 -9.9 3.6 13.1 6.5 9.2 -4.7 -15.5 17.3 -13.7 12.4 -20.0 -1.0 3.8 -3.9 6.4 -3.0 4.6 19.5 20.0 20.0 -8.9 -20.0 -8.5 -20.0 -7.7 -20.0 SOYMEAL 20.0 -8.8 -20.0 3.3 1.0 1.5 1.8 -2.0 2.9 6.7 -16.4 10.8 -12.2 -6.5 -15.0 -8.4 8.6 -3.4 2.3 -16.1 -20.0 7.5 -15.4 -1.1 -20.0 -4.6 2.4 -6.1 2.7 -3.2 -0.0 10.5 6.7 7.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 11.9 -8.0 3.2 0.9 1.5 1.8 -2.0 2.9 5.2 -14.2 11.2 -12.5 10.0 -3.2 -8.1 2.1 -6.2 -2.6 1.3 -10.8 13.6 -14.4 12.8 -20.0 2.8 3.1 -0.8 5.9 -2.3 6.2 0.2 20.0 20.0 8.2 -5.0 -15.9 -8.8 -10.7 5.7 SP400 9.7 15.2 20.0 6.0 3.4 5.1 5.0 3.4 5.8 8.0 17.9 13.4 14.8 16.2 18.1 -4.8 -5.4 -5.5 -5.5 20.0 20.0 18.3 16.3 20.0 -13.2 6.7 3.8 6.1 4.9 4.3 5.9 0.8 -14.8 -0.4 -7.5 -0.5 -13.2 -9.0 -10.8 -20.0 SP500_micro 1.8 11.8 20.0 6.9 3.9 5.7 5.6 3.9 6.5 11.6 20.0 16.9 20.0 19.9 20.0 -13.1 -11.5 -13.0 -12.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 2.9 8.8 4.7 7.7 6.1 -10.4 -6.6 -6.2 0.6 16.1 2.5 -3.2 14.7 -5.9 SUGAR11 -1.5 -3.3 -13.5 2.9 0.8 1.4 1.6 -1.8 2.6 5.4 -6.8 3.1 4.7 -3.0 -5.6 9.3 17.6 13.6 16.2 -6.5 -7.6 1.7 0.0 -2.3 -20.0 -3.5 1.4 -4.6 1.0 -0.0 -0.9 20.0 4.7 -9.7 -9.7 -20.0 20.0 3.2 20.0 15.3 US10 1.8 -10.9 5.3 -1.4 0.5 -0.3 -1.1 -1.0 -1.9 -0.5 1.9 -3.8 -3.1 -6.9 -5.0 -7.7 -8.0 -8.4 -8.4 -3.1 -2.1 -1.7 -5.5 -3.5 2.3 -0.7 0.6 0.1 -0.7 -1.0 -1.4 -11.7 -0.1 3.2 1.1 1.7 -20.0 -20.0 -14.3 7.7 US10U 1.6 -9.9 5.2 -2.0 0.7 -0.5 -1.6 -1.4 -2.8 -2.0 2.1 -6.1 -4.3 -10.5 -7.7 -3.6 -0.4 -1.9 -0.8 -4.3 -3.3 -2.8 -8.5 -5.0 -0.7 -0.8 0.5 0.2 -1.3 -1.5 -2.0 1.6 0.3 3.9 4.1 3.3 -20.0 -20.0 12.8 19.7 US2 -1.8 -19.3 -0.3 -1.2 0.4 -0.3 -1.0 -0.8 -1.7 1.3 -3.1 -2.8 -6.3 -6.7 -6.5 -20.0 -20.0 -20.0 -20.0 -6.6 -5.0 -2.2 -7.7 -5.9 10.5 -1.8 0.4 -0.7 -0.7 -1.3 -1.9 -20.0 1.3 -0.1 -6.8 -2.1 -20.0 -20.0 -19.5 -20.0 US20 2.5 -6.8 8.5 -1.4 0.5 -0.3 -1.2 -1.0 -2.0 -1.9 3.1 -4.1 -1.7 -5.2 -2.9 0.0 -0.8 -0.1 -0.4 -1.0 -0.5 -1.6 -4.9 -2.2 -1.3 0.5 0.6 1.1 -0.8 -0.8 -0.8 1.4 -0.5 4.3 6.9 6.2 -20.0 -20.0 20.0 20.0 US30 1.0 -4.8 6.6 -1.7 0.6 -0.4 -1.4 -1.2 -2.4 -4.4 2.5 -6.8 -3.4 -6.4 -4.9 -6.9 -6.0 -7.5 -7.0 -1.6 -1.4 -3.1 -6.9 -3.2 -0.6 0.5 0.1 1.1 -1.9 -1.5 -1.5 -8.6 -0.9 2.9 9.6 5.4 -14.5 -16.7 20.0 20.0 US5 0.8 -14.5 2.9 -1.3 0.5 -0.3 -1.1 -1.0 -1.9 0.8 0.6 -3.1 -4.0 -7.0 -5.8 -8.6 -10.0 -9.2 -9.7 -4.7 -3.1 -1.6 -5.6 -4.5 4.9 -1.3 0.8 -0.2 -0.7 -0.9 -1.8 -14.7 0.6 2.3 -2.4 -0.0 -20.0 -20.0 -20.0 -7.1 VIX 5.8 8.3 -5.3 -7.8 -5.6 -11.2 -5.8 -15.7 -5.7 -19.0 -20.0 -17.8 -20.0 -17.4 -20.0 -20.0 -20.0 -20.0 -20.0 -14.4 -20.0 -9.8 -20.0 -8.7 NaN -8.9 -6.6 -13.7 -6.5 -19.8 -6.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.7 -6.6 -4.4 3.5 1.0 1.6 2.0 -2.2 3.1 16.8 -17.4 14.0 -19.0 -6.4 -12.4 -15.5 -11.6 -13.6 -12.6 -13.3 -19.9 11.2 -20.0 -1.7 0.9 -5.1 5.7 -5.9 3.4 -5.7 -1.4 -20.0 19.3 -3.5 -20.0 -20.0 -10.6 -20.0 -6.7 -20.0 End of report for caleb_strategy_v3