******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240405_204013 produced at 2024-04-05 21:37:42.036740 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.05 0.0 0.00 0.00 0.00 0.00 -15.05 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -9.91 24.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.30 0.0 0.08 -0.08 -0.08 -0.08 -61.56 17.0 -17 -16 caleb_strategy_v3 US2 False True 0.06 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -4.91 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.19 0.0 0.52 -0.52 -0.40 -0.28 -4.60 13.0 -10 -7 caleb_strategy_v3 JPY False False 0.02 -0.02 -0.13 0.0 0.41 -0.41 -0.02 -0.02 -5.52 17.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.40 -0.10 0.0 0.77 -0.77 -0.40 -0.43 -3.29 25.0 -13 -14 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.62 -0.62 0.00 0.00 -4.12 29.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -6.95 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.07 0.0 0.04 -0.04 -0.03 -0.03 -45.33 26.0 -19 -19 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.54 -0.54 0.00 0.00 -1.66 17.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.05 0.0 0.08 -0.08 -0.07 -0.07 -7.74 12.0 -11 -11 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -9.76 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -4.67 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.59 -0.05 0.0 0.70 -0.70 -0.59 -0.66 -1.46 19.0 -16 -18 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.29 -0.29 0.00 0.00 -1.36 8.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -17.46 51.0 -6 -6 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.04 0.0 0.36 -0.36 -0.02 -0.02 -2.45 21.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.37 -0.37 0.00 0.00 -4.81 66.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.03 0.0 0.01 -0.01 0.00 0.00 -5.64 3.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -0.91 7.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.55 9.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.02 0.0 0.42 -0.42 -0.03 -0.03 -0.71 13.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.02 0.0 0.24 -0.24 -0.02 -0.08 -1.82 23.0 -2 -8 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.02 0.0 0.36 -0.36 -0.02 0.00 -1.26 19.0 -1 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -1.89 9.0 -4 -4 caleb_strategy_v3 EUR False False 0.04 0.00 -0.02 0.0 0.55 -0.55 0.00 0.00 -0.59 14.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.03 -0.88 11.0 -2 -2 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -0.23 6.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.03 -0.01 0.0 0.31 -0.31 0.03 0.00 -0.17 9.0 1 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.09 -0.09 -0.03 -0.03 -0.74 10.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.20 -0.20 -0.01 -0.02 -4.12 68.0 -2 -7 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.01 0.0 0.07 -0.07 -0.02 -0.01 -1.74 8.0 -2 -1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.00 0.0 0.41 -0.41 -0.04 -0.04 -0.12 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.17 2.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.00 0.0 0.50 -0.50 0.00 0.00 -0.08 22.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.46 6.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 6.90 59.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.77 18.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.21 0.01 0.0 0.36 -0.36 0.21 0.21 1.08 48.0 28 28 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.75 3.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.70 10.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.17 0.02 0.0 0.17 -0.17 0.17 0.17 0.20 2.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.24 -0.24 0.01 0.00 1.67 23.0 1 0 caleb_strategy_v3 LIVECOW False False 0.02 0.06 0.02 0.0 0.34 -0.34 0.06 0.06 1.16 17.0 3 3 caleb_strategy_v3 COCOA False False 0.03 0.14 0.03 0.0 0.71 -0.71 0.14 0.14 1.02 26.0 5 5 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.40 -0.40 0.00 0.00 0.74 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 1.83 0.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.18 0.04 0.0 0.37 -0.37 0.18 0.15 1.10 10.0 5 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.38 -0.38 0.00 0.00 7.75 56.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.07 0.05 0.0 0.10 -0.10 0.07 0.07 1.60 3.0 2 2 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.06 0.0 0.10 -0.10 0.02 0.02 2.56 4.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.09 0.0 0.13 -0.13 0.13 0.13 2.76 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.11 0.0 0.27 -0.27 0.26 0.19 14.62 36.0 35 25 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.16 -0.16 0.07 0.07 8.43 13.0 6 6 caleb_strategy_v3 COPPER False False 0.03 0.15 0.12 0.0 0.18 -0.18 0.15 0.18 3.81 6.0 5 6 caleb_strategy_v3 DX False False 0.03 0.00 0.12 0.0 999.00 -999.00 0.00 0.00 3.89 999999999.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.13 0.0 0.00 0.00 0.00 0.00 5.20 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.30 0.14 0.0 0.31 -0.31 0.30 0.30 9.24 20.0 19 19 caleb_strategy_v3 SMI False False 0.04 0.33 0.15 0.0 0.33 -0.33 0.33 0.33 4.20 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.20 0.18 0.0 0.33 -0.33 0.20 0.20 31.90 58.0 35 35 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.46 0.23 0.0 0.76 -0.76 0.46 0.15 2.99 10.0 6 2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.08 0.25 0.0 0.44 -0.44 0.08 0.08 8.90 16.0 3 3 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.34 0.0 0.12 -0.12 0.09 0.12 14.45 5.0 4 5 caleb_strategy_v3 MXP False False 0.01 0.52 0.90 0.0 0.52 -0.52 0.52 0.52 103.65 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.1 Shocked risk 91.5 Sum abs risk 66.2 Leverage 6.55 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3460062.99, 'annual_cash_vol_target': 865015.7475, 'daily_cash_vol_target': 54063.48421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6594 0.5712 9.1391 BITCOIN 2003.8805 68215.0000 2.9376 47.0015 BOBL 0.2396 117.7600 0.2035 3.2557 BTP 0.5775 117.9900 0.4894 7.8307 BUND 0.4859 132.1900 0.3676 5.8817 BUXL 1.1767 132.4800 0.8882 14.2114 CAC 46.7549 8067.0000 0.5796 9.2733 CAD 0.0027 0.7366 0.3688 5.9000 CANOLA 6.8629 651.4000 1.0536 16.8569 CHF 0.0049 1.1170 0.4368 6.9888 COCOA 182.8943 9466.0000 1.9321 30.9139 COFFEE 3.0806 211.5500 1.4562 23.2989 COPPER 0.0440 4.2670 1.0322 16.5155 CORN 5.2988 471.7500 1.1232 17.9715 COTTON2 1.4287 87.8700 1.6259 26.0141 CRUDE_W 0.8101 80.4200 1.0074 16.1182 DAX 106.6176 18431.0000 0.5785 9.2555 DOW 251.2866 39236.0000 0.6404 10.2472 DX 0.3304 104.0800 0.3175 5.0795 EUR 0.0044 1.0865 0.4024 6.4389 EURIBOR-ICE 0.0459 97.5700 0.0470 0.7526 EUROSTX 32.6915 4967.0000 0.6582 10.5308 FEEDCOW 2.1127 249.0750 0.8482 13.5712 GASOIL 11.7687 843.0000 1.3961 22.3368 GASOLINE 0.0338 2.7216 1.2402 19.8439 GAS_US_mini 0.0756 2.0000 3.7781 60.4495 GBP 0.0057 1.2639 0.4511 7.2180 GOLD_micro 15.6848 2342.5000 0.6696 10.7132 HEATOIL 0.0368 2.7383 1.3438 21.5008 JGB-SGX-mini 0.1988 145.2500 0.1369 2.1902 JPY 0.0000 0.0067 0.5242 8.3875 LEANHOG 1.1216 107.9000 1.0395 16.6321 LIVECOW 1.4067 172.1250 0.8172 13.0760 LUMBER-new 6.3206 594.0000 1.0641 17.0251 MILK 0.2256 17.0000 1.3273 21.2363 MXP 0.0003 0.0600 0.5102 8.1636 NASDAQ_micro 141.6957 18280.2500 0.7751 12.4021 NIKKEI 352.1145 39280.0000 0.8964 14.3427 NZD 0.0036 0.6012 0.5997 9.5945 OAT 0.4753 126.9900 0.3743 5.9891 OATIES 5.0076 331.7500 1.5094 24.1510 OJ 5.8237 357.3000 1.6299 26.0789 PALLAD 25.4330 1007.5000 2.5244 40.3899 PLAT 14.5933 938.8000 1.5545 24.8714 REDWHEAT 9.6177 580.5000 1.6568 26.5088 RICE 0.1588 16.3100 0.9734 15.5747 ROBUSTA 48.6855 3671.0000 1.3262 21.2195 RUSSELL 22.3378 2083.3000 1.0722 17.1557 SHATZ 0.0766 105.6100 0.0725 1.1598 SILVER-mini 0.4292 27.7250 1.5482 24.7707 SMI 74.8523 11408.0000 0.6561 10.4982 SOFR 0.0578 96.2200 0.0600 0.9608 SOYBEAN 9.7168 1186.2500 0.8191 13.1060 SOYMEAL 3.9376 336.6000 1.1698 18.7170 SOYOIL 0.6697 49.6200 1.3496 21.5930 SP400 24.2308 3015.0000 0.8037 12.8588 SP500_micro 32.2011 5247.0000 0.6137 9.8193 SUGAR11 0.3019 21.5600 1.4004 22.4061 US10 0.3632 109.5312 0.3316 5.3058 US10U 0.4917 112.8281 0.4358 6.9732 US2 0.1013 101.9883 0.0993 1.5890 US20 0.7330 117.3750 0.6245 9.9925 US30 1.0946 124.6250 0.8784 14.0537 US5 0.2380 106.2578 0.2240 3.5835 VIX 0.4063 16.9500 2.3971 38.3543 WHEAT 8.1451 622.0000 1.3095 20.9519 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 659.40 0.57 376.64 1.00 376.64 54063.48 143.54 -3.37 -48.39 BITCOIN 68.22 2.94 200.39 1.00 200.39 54063.48 269.79 2.36 63.70 BOBL 1177.60 0.20 239.62 1.08 259.79 54063.48 208.10 -6.91 -143.82 BTP 1179.90 0.49 577.47 1.08 626.09 54063.48 86.35 3.73 32.24 BUND 1321.90 0.37 485.94 1.08 526.85 54063.48 102.62 -1.11 -11.36 BUXL 1324.80 0.89 1176.71 1.08 1275.78 54063.48 42.38 -2.12 -8.99 CAC 806.70 0.58 467.55 1.08 506.92 54063.48 106.65 14.30 152.48 CAD 736.65 0.37 271.64 1.00 271.64 54063.48 199.03 -7.97 -158.72 CANOLA 130.28 1.05 137.26 0.74 101.59 54063.48 532.20 -13.49 -717.74 CHF 1396.25 0.44 609.88 1.00 609.88 54063.48 88.65 -20.00 -177.29 COCOA 946.60 1.93 1828.94 1.00 1828.94 54063.48 29.56 16.16 47.75 COFFEE 793.31 1.46 1155.21 1.00 1155.21 54063.48 46.80 8.38 39.20 COPPER 1066.75 1.03 1101.12 1.00 1101.12 54063.48 49.10 7.17 35.22 CORN 235.88 1.12 264.94 1.00 264.94 54063.48 204.06 -15.58 -318.00 COTTON2 439.35 1.63 714.33 1.00 714.33 54063.48 75.68 -5.40 -40.91 CRUDE_W 804.20 1.01 810.14 1.00 810.14 54063.48 66.73 20.00 133.47 DAX 184.31 0.58 106.62 1.08 115.59 54063.48 467.70 20.00 935.40 DOW 196.18 0.64 125.64 1.00 125.64 54063.48 430.29 -4.81 -207.02 DX 1040.80 0.32 330.42 1.00 330.42 54063.48 163.62 9.16 149.81 EUR 1358.19 0.40 546.57 1.00 546.57 54063.48 98.91 -2.30 -22.71 EURIBOR-ICE 2439.25 0.05 114.73 1.08 124.39 54063.48 434.63 2.02 87.61 EUROSTX 496.70 0.66 326.92 1.08 354.44 54063.48 152.53 17.75 270.81 FEEDCOW 1245.38 0.85 1056.33 1.00 1056.33 54063.48 51.18 -8.03 -41.07 GASOIL 843.00 1.40 1176.87 1.00 1176.87 54063.48 45.94 12.86 59.05 GASOLINE 1143.07 1.24 1417.69 1.00 1417.69 54063.48 38.14 16.69 63.64 GAS_US_mini 50.00 3.78 188.90 1.00 188.90 54063.48 286.19 -14.63 -418.56 GBP 789.94 0.45 356.36 1.00 356.36 54063.48 151.71 -0.19 -2.91 GOLD_micro 234.25 0.67 156.85 1.00 156.85 54063.48 344.69 6.59 227.16 HEATOIL 1150.09 1.34 1545.48 1.00 1545.48 54063.48 34.98 10.56 36.95 JGB-SGX-mini 145250.00 0.14 19882.49 0.01 131.12 54063.48 412.32 1.99 82.19 JPY 833.56 0.52 436.97 1.00 436.97 54063.48 123.72 -17.20 -212.82 LEANHOG 431.60 1.04 448.65 1.00 448.65 54063.48 120.50 11.51 138.69 LIVECOW 688.50 0.82 562.67 1.00 562.67 54063.48 96.08 3.63 34.90 LUMBER-new 163.35 1.06 173.82 1.00 173.82 54063.48 311.04 -8.48 -263.62 MILK 340.00 1.33 451.27 1.00 451.27 54063.48 119.80 -18.19 -217.92 MXP 300.10 0.51 153.12 1.00 153.12 54063.48 353.08 20.00 706.17 NASDAQ_micro 365.60 0.78 283.39 1.00 283.39 54063.48 190.77 -4.10 -78.30 NIKKEI 39280.00 0.90 35211.45 0.01 232.21 54063.48 232.82 5.80 134.99 NZD 601.15 0.60 360.48 1.00 360.48 54063.48 149.98 -6.31 -94.62 OAT 1269.90 0.37 475.35 1.08 515.37 54063.48 104.90 2.07 21.74 OATIES 165.88 1.51 250.38 1.00 250.38 54063.48 215.93 -18.57 -401.06 OJ 535.95 1.63 873.56 1.00 873.56 54063.48 61.89 5.64 34.90 PALLAD 1007.50 2.52 2543.30 1.00 2543.30 54063.48 21.26 -2.28 -4.85 PLAT 469.40 1.55 729.66 1.00 729.66 54063.48 74.09 2.76 20.42 REDWHEAT 290.25 1.66 480.89 1.00 480.89 54063.48 112.42 -11.70 -131.55 RICE 326.20 0.97 317.53 1.00 317.53 54063.48 170.26 -16.78 -285.65 ROBUSTA 367.10 1.33 486.85 1.00 486.85 54063.48 111.05 12.89 143.11 RUSSELL 104.16 1.07 111.69 1.00 111.69 54063.48 484.05 -2.57 -124.38 SHATZ 1056.10 0.07 76.56 1.08 83.00 54063.48 651.35 -15.01 -977.59 SILVER-mini 693.12 1.55 1073.07 1.00 1073.07 54063.48 50.38 10.66 53.71 SMI 1140.80 0.66 748.52 1.11 828.65 54063.48 65.24 18.89 123.26 SOFR 2405.50 0.06 144.45 1.00 144.45 54063.48 374.28 -6.62 -247.65 SOYBEAN 593.12 0.82 485.84 1.00 485.84 54063.48 111.28 -8.83 -98.23 SOYMEAL 336.60 1.17 393.76 1.00 393.76 54063.48 137.30 -20.00 -274.60 SOYOIL 297.72 1.35 401.79 1.00 401.79 54063.48 134.56 -5.89 -79.28 SP400 3015.00 0.80 2423.08 1.00 2423.08 54063.48 22.31 2.65 5.91 SP500_micro 262.35 0.61 161.01 1.00 161.01 54063.48 335.79 1.39 46.68 SUGAR11 241.47 1.40 338.15 1.00 338.15 54063.48 159.88 2.27 36.26 US10 1095.31 0.33 363.22 1.00 363.22 54063.48 148.84 -8.78 -130.62 US10U 1128.28 0.44 491.73 1.00 491.73 54063.48 109.95 -5.13 -56.41 US2 2039.77 0.10 202.57 1.00 202.57 54063.48 266.88 -14.53 -387.65 US20 1173.75 0.62 733.04 1.00 733.04 54063.48 73.75 -1.86 -13.73 US30 1246.25 0.88 1094.65 1.00 1094.65 54063.48 49.39 -3.75 -18.52 US5 1062.58 0.22 237.99 1.00 237.99 54063.48 227.17 -11.41 -259.24 VIX 169.50 2.40 406.32 1.00 406.32 54063.48 133.06 -18.74 -249.39 WHEAT 311.00 1.31 407.25 1.00 407.25 54063.48 132.75 -10.71 -142.13 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -48.387 0.010 2.5 -1.255 BITCOIN 63.701 0.043 2.5 6.898 BOBL -143.825 0.004 2.5 -1.458 BTP 32.243 0.014 2.5 1.100 BUND -11.364 0.004 2.5 -0.115 BUXL -8.992 0.004 2.5 -0.091 CAC 152.479 0.014 2.5 5.201 CAD -158.721 0.010 2.5 -4.118 CANOLA -717.740 0.010 2.5 -17.462 CHF -177.293 0.010 2.5 -4.600 COCOA 47.755 0.009 2.5 1.023 COFFEE 39.204 0.005 2.5 0.458 COPPER 35.222 0.043 2.5 3.814 CORN -317.997 0.010 2.5 -7.736 COTTON2 -40.907 0.009 2.5 -0.876 CRUDE_W 133.466 0.043 2.5 14.453 DAX 935.396 0.014 2.5 31.905 DOW -207.018 0.009 2.5 -4.811 DX 149.807 0.010 2.5 3.887 EUR -22.706 0.010 2.5 -0.589 EURIBOR-ICE 87.614 0.014 2.5 2.988 EUROSTX 270.814 0.014 2.5 9.237 FEEDCOW -41.073 0.013 2.5 -1.361 GASOIL 59.054 0.017 2.5 2.560 GASOLINE 63.635 0.017 2.5 2.759 GAS_US_mini -418.563 0.043 2.5 -45.325 GBP -2.907 0.010 2.5 -0.075 GOLD_micro 227.164 0.014 2.5 7.748 HEATOIL 36.955 0.017 2.5 1.602 JGB-SGX-mini 82.192 0.043 2.5 8.900 JPY -212.816 0.010 2.5 -5.522 LEANHOG 138.694 0.024 2.5 8.429 LIVECOW 34.897 0.013 2.5 1.156 LUMBER-new -263.623 0.009 2.5 -5.641 MILK -217.917 0.009 2.5 -4.667 MXP 706.169 0.059 2.5 103.647 NASDAQ_micro -78.303 0.009 2.5 -1.820 NIKKEI 134.994 0.043 2.5 14.618 NZD -94.618 0.010 2.5 -2.455 OAT 21.741 0.014 2.5 0.742 OATIES -401.063 0.010 2.5 -9.757 OJ 34.901 0.009 2.5 0.747 PALLAD -4.850 0.014 2.5 -0.165 PLAT 20.417 0.014 2.5 0.696 REDWHEAT -131.546 0.005 2.5 -1.745 RICE -285.652 0.010 2.5 -6.950 ROBUSTA 143.115 0.005 2.5 1.671 RUSSELL -124.382 0.013 2.5 -4.122 SHATZ -977.590 0.004 2.5 -9.913 SILVER-mini 53.707 0.014 2.5 1.832 SMI 123.263 0.014 2.5 4.204 SOFR -247.654 0.024 2.5 -15.051 SOYBEAN -98.228 0.004 2.5 -0.914 SOYMEAL -274.603 0.004 2.5 -2.554 SOYOIL -79.276 0.004 2.5 -0.738 SP400 5.914 0.013 2.5 0.196 SP500_micro 46.676 0.009 2.5 1.085 SUGAR11 36.264 0.009 2.5 0.771 US10 -130.624 0.005 2.5 -1.655 US10U -56.410 0.005 2.5 -0.715 US2 -387.651 0.005 2.5 -4.912 US20 -13.727 0.005 2.5 -0.174 US30 -18.523 0.005 2.5 -0.235 US5 -259.239 0.005 2.5 -3.285 VIX -249.391 0.099 2.5 -61.560 WHEAT -142.131 0.005 2.5 -1.885 ===================== Position diags ===================== AUD 3.72 BITCOIN 29.22 BOBL 2.11 BTP 2.95 BUND 1.04 BUXL 0.43 CAC 3.64 CAD 5.16 CANOLA 12.95 CHF 2.30 COCOA 0.63 COFFEE 0.55 COPPER 5.32 CORN 4.96 COTTON2 1.62 CRUDE_W 7.23 DAX 15.95 DOW 10.00 DX 4.25 EUR 2.57 EURIBOR-ICE 14.82 EUROSTX 5.20 FEEDCOW 1.70 GASOIL 1.99 GASOLINE 1.65 GAS_US_mini 30.99 GBP 3.94 GOLD_micro 11.76 HEATOIL 1.52 JGB-SGX-mini 44.65 JPY 3.21 LEANHOG 7.32 LIVECOW 3.18 LUMBER-new 6.66 MILK 2.57 MXP 51.82 NASDAQ_micro 4.43 NIKKEI 25.21 NZD 3.89 OAT 3.58 OATIES 5.25 OJ 1.33 PALLAD 0.73 PLAT 2.53 REDWHEAT 1.49 RICE 4.14 ROBUSTA 1.30 RUSSELL 16.04 SHATZ 6.61 SILVER-mini 1.72 SMI 2.23 SOFR 22.75 SOYBEAN 1.03 SOYMEAL 1.28 SOYOIL 1.25 SP400 0.74 SP500_micro 7.80 SUGAR11 3.40 US10 1.89 US10U 1.39 US2 3.38 US20 0.93 US30 0.63 US5 2.88 VIX 32.84 WHEAT 1.76 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.6 -0.9 -1.0 -1 BITCOIN 6.9 4.0 9.8 0.0 0 BOBL -1.5 -1.7 -1.2 -16.0 -16 BTP 1.1 0.8 1.4 5.0 5 BUND -0.1 -0.2 -0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 5.2 4.8 5.6 0.0 0 CAD -4.1 -4.6 -3.6 0.0 0 CANOLA -17.5 -18.8 -16.2 -6.0 -6 CHF -4.6 -4.8 -4.4 -10.0 -10 COCOA 1.0 1.0 1.1 5.0 5 COFFEE 0.5 0.4 0.5 0.0 0 COPPER 3.8 3.3 4.3 5.0 5 CORN -7.7 -8.2 -7.2 -11.0 -11 COTTON2 -0.9 -1.0 -0.7 -2.0 -2 CRUDE_W 14.5 13.7 15.2 4.0 4 DAX 31.9 30.3 33.5 35.0 35 DOW -4.8 -5.8 -3.8 0.0 0 DX 3.9 3.5 4.3 NaN 0 EUR -0.6 -0.8 -0.3 0.0 0 EURIBOR-ICE 3.0 1.5 4.5 6.0 6 EUROSTX 9.2 8.7 9.8 19.0 19 FEEDCOW -1.4 -1.5 -1.2 0.0 0 GASOIL 2.6 2.4 2.8 1.0 1 GASOLINE 2.8 2.6 2.9 4.0 4 GAS_US_mini -45.3 -48.4 -42.2 -19.0 -19 GBP -0.1 -0.5 0.3 0.0 0 GOLD_micro 7.7 6.6 8.9 0.0 0 HEATOIL 1.6 1.5 1.8 2.0 2 JGB-SGX-mini 8.9 4.4 13.4 3.0 3 JPY -5.5 -5.8 -5.2 -1.0 -1 LEANHOG 8.4 7.7 9.2 6.0 6 LIVECOW 1.2 0.8 1.5 3.0 3 LUMBER-new -5.6 -6.3 -5.0 NaN 0 MILK -4.7 -4.9 -4.4 NaN 0 MXP 103.6 98.5 108.8 60.0 60 NASDAQ_micro -1.8 -2.3 -1.4 -2.0 -2 NIKKEI 14.6 12.1 17.1 35.0 35 NZD -2.5 -2.8 -2.1 -1.0 -1 OAT 0.7 0.4 1.1 0.0 0 OATIES -9.8 -10.3 -9.2 NaN 0 OJ 0.7 0.6 0.9 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.7 0.4 0.9 0.0 0 REDWHEAT -1.7 -1.9 -1.6 -2.0 -2 RICE -6.9 -7.4 -6.5 NaN 0 ROBUSTA 1.7 1.5 1.8 1.0 1 RUSSELL -4.1 -5.7 -2.5 -2.0 -2 SHATZ -9.9 -10.6 -9.3 NaN 0 SILVER-mini 1.8 1.7 2.0 NaN 0 SMI 4.2 4.0 4.4 9.0 9 SOFR -15.1 -17.3 -12.8 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -1.0 -1 SOYMEAL -2.6 -2.7 -2.4 0.0 0 SOYOIL -0.7 -0.9 -0.6 -4.0 -4 SP400 0.2 0.1 0.3 2.0 2 SP500_micro 1.1 0.3 1.9 28.0 28 SUGAR11 0.8 0.4 1.1 1.0 1 US10 -1.7 -1.8 -1.5 0.0 0 US10U -0.7 -0.9 -0.6 -1.0 -1 US2 -4.9 -5.3 -4.6 NaN 0 US20 -0.2 -0.3 -0.1 1.0 1 US30 -0.2 -0.3 -0.2 0.0 0 US5 -3.3 -3.6 -3.0 -13.0 -13 VIX -61.6 -64.8 -58.3 -17.0 -17 WHEAT -1.9 -2.1 -1.7 -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 4.1 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 -0.1 -0.0 -0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 -0.0 0.4 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.3 0.2 0.1 -0.2 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.6 0.2 0.3 0.0 0.1 0.0 0.1 -0.0 0.1 -0.0 0.5 -0.1 0.6 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.2 -0.1 -0.2 0.6 0.6 -0.3 0.0 0.6 0.1 BOBL 0.1 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 -0.0 0.0 -0.0 0.0 -0.0 0.0 -1.0 0.2 0.3 0.0 -0.2 -0.7 -0.7 0.2 -0.7 BTP -0.3 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.4 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 -0.0 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.7 0.2 0.5 0.6 0.5 -0.2 -0.4 0.7 0.1 BUND -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 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 0.5 0.0 0.0 0.0 0.1 -0.0 0.0 0.2 0.3 0.4 0.2 -0.1 -0.6 -0.7 0.5 -0.3 BUXL -0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.5 0.6 0.4 0.0 -0.7 -0.7 -0.0 -0.0 CAC -0.2 0.6 0.6 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.5 -0.0 0.7 0.2 0.2 0.4 0.0 0.2 0.1 0.2 0.2 -0.1 0.5 0.2 -1.6 0.1 -0.0 0.2 0.0 0.2 0.1 0.7 0.5 0.5 0.4 -0.0 -0.3 0.4 -0.2 0.6 CAD -0.1 -0.2 -0.0 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.2 -0.0 -0.7 -0.5 -0.2 -0.4 CANOLA 0.6 0.6 -0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.3 -0.1 -0.3 -0.2 0.0 -0.1 0.1 -0.5 0.1 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.9 -0.0 0.6 0.4 -0.6 -0.7 -0.6 -0.5 -0.2 CHF -0.6 -0.6 -0.6 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.0 -0.3 -0.2 -0.2 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -1.1 -0.4 -0.6 -0.6 -0.5 -0.3 -0.5 -0.0 -0.5 COCOA 0.6 0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.3 0.1 0.3 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -2.1 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.1 0.0 0.3 0.4 COFFEE 0.5 0.0 0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 0.4 0.2 0.4 0.2 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.2 0.1 0.2 0.1 0.1 0.7 0.5 0.6 0.6 0.3 -0.2 -0.7 0.1 -0.4 COPPER 0.4 0.6 0.3 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.2 -0.0 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 -2.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.6 0.4 0.4 -0.7 -0.1 0.4 0.2 CORN 0.4 0.6 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -0.3 0.1 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 0.0 -0.5 0.0 -2.1 -0.0 0.0 -0.2 0.0 -0.3 0.0 -1.1 0.0 0.4 -0.2 -0.6 -0.3 -0.7 -0.3 0.0 COTTON2 -0.6 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.4 0.0 0.2 0.1 0.0 0.1 -0.1 0.1 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 -0.6 0.6 0.6 -0.4 -0.4 -0.0 0.0 CRUDE_W 0.6 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 0.3 0.2 0.2 0.2 0.2 0.4 0.2 -0.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.1 0.5 0.4 0.6 -0.0 0.7 0.7 0.7 0.7 DAX 0.2 0.6 0.6 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 2.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.6 0.5 0.6 0.6 0.2 -0.2 0.3 0.1 0.7 DOW -0.4 -0.3 0.3 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.1 0.5 -0.1 0.6 0.0 0.1 -0.2 -0.2 -0.3 -0.2 0.1 0.2 -0.1 0.5 0.0 -1.8 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.5 0.2 0.0 -0.6 -0.0 -0.2 -0.2 0.1 -0.5 DX 0.4 0.1 0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.8 -0.2 0.6 0.4 0.2 0.7 0.1 0.7 0.3 EUR -0.3 0.0 -0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 2.6 0.0 0.1 0.0 0.0 0.0 0.0 -0.4 0.1 -0.2 0.2 -0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.0 1.8 -0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 0.1 0.2 0.0 0.0 -0.7 -0.7 0.4 0.7 EUROSTX -0.1 0.6 0.6 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 -0.1 0.0 0.0 0.0 0.2 0.2 0.1 0.5 0.2 0.0 0.1 -0.0 0.2 0.0 0.2 0.1 0.7 0.5 0.6 0.6 0.4 -0.5 0.4 -0.4 0.6 FEEDCOW -0.6 -0.2 0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.0 -0.2 0.1 -0.4 -0.4 -0.4 -0.4 -0.1 0.0 -0.2 0.1 -0.2 -1.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 0.5 0.7 0.7 0.7 0.7 GASOIL 0.3 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.2 0.5 0.2 0.2 0.3 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 0.9 0.1 0.1 0.2 0.1 0.2 0.1 1.0 0.0 -0.2 -0.2 0.1 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.5 0.5 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.6 0.2 0.2 0.4 0.2 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.4 -0.1 0.3 0.6 0.4 0.7 0.7 0.7 0.6 GAS_US_mini 0.1 0.1 -0.4 0.0 0.0 0.1 0.1 0.1 0.0 -0.0 -0.4 -0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.5 -0.6 -0.6 -0.6 -0.6 -0.1 -0.7 -0.2 GBP -0.4 -0.1 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.3 -0.1 0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.3 0.2 0.3 -0.7 -0.3 -0.7 -0.0 GOLD_micro 0.6 0.6 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.5 0.2 0.5 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.4 0.2 -0.6 0.1 0.1 0.1 0.1 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 HEATOIL 0.3 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.3 0.2 0.2 0.2 0.4 0.4 0.4 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 -0.0 -0.3 -0.2 0.1 0.7 0.2 0.5 0.1 JGB-SGX-mini 0.0 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 0.0 0.3 -0.0 -0.0 0.2 0.3 0.2 0.2 -0.0 0.0 -0.0 0.1 -0.0 -1.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 0.2 0.1 0.1 -0.3 -0.5 0.0 0.3 JPY -0.4 -0.2 -0.4 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -1.1 -0.2 -0.6 -0.5 -0.5 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.0 0.6 0.6 0.0 -0.0 0.1 -0.0 -0.1 0.0 0.2 0.5 0.2 -0.3 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 -0.0 0.2 2.0 0.1 0.1 0.2 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.1 0.5 LIVECOW -0.6 0.0 0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.2 0.1 -0.2 0.1 0.4 0.0 0.4 0.2 -0.0 0.0 -0.2 0.1 -0.2 -0.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.3 -0.5 -0.6 0.1 0.5 0.7 0.4 0.7 0.7 LUMBER-new -0.5 0.2 0.4 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 0.5 -0.2 -0.4 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.2 -0.2 0.1 -0.1 NaN 0.0 -0.1 0.2 -0.2 0.2 -0.1 -1.2 -0.6 -0.7 0.7 0.6 -0.4 -0.6 -0.3 -0.3 MILK -0.3 -0.2 0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -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 1.8 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -1.1 -0.0 -0.5 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.4 0.3 -0.0 0.1 0.0 0.0 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 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.3 -0.2 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.0 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 -0.0 -0.5 -0.6 0.1 0.2 -0.1 0.4 -0.1 NIKKEI -0.1 0.1 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 0.0 0.7 0.1 0.2 0.1 0.2 0.1 0.2 0.2 0.2 -0.0 0.5 0.1 -2.2 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.2 -0.3 0.4 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.5 -0.3 -0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 -0.5 -0.3 -0.2 -0.3 -0.3 -0.1 0.2 OAT -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.7 0.2 0.3 0.2 0.0 -0.6 -0.7 0.5 0.1 OATIES -0.4 -0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.5 -0.2 -0.1 0.2 -0.0 0.1 0.1 -0.1 -0.2 -0.2 -0.4 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.4 -0.3 -0.5 -0.0 -0.1 0.5 OJ -0.0 0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.2 0.1 0.5 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.1 0.2 -0.0 0.6 -0.0 1.0 -0.2 -0.2 0.0 -0.3 0.4 0.3 0.7 0.7 PALLAD -0.0 0.4 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 -0.3 0.0 1.4 0.0 -0.0 -0.0 0.0 -0.2 0.0 0.4 -0.2 -0.2 -0.1 0.0 -0.7 -0.4 -0.6 -0.3 PLAT 0.1 0.2 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.0 1.4 0.0 0.0 0.0 0.1 -0.0 0.0 0.2 -0.1 -0.1 -0.3 -0.1 -0.5 -0.2 0.7 0.3 REDWHEAT 0.2 0.3 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.5 0.0 -0.7 -0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.2 0.0 -0.5 -0.0 -1.0 -0.0 0.0 -0.2 0.0 -0.3 -0.0 0.1 0.1 0.4 -0.6 -0.6 -0.4 -0.7 -0.1 -0.7 RICE -0.6 -0.6 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 0.4 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.0 -0.2 0.3 -0.2 -2.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.8 -0.5 -0.6 -0.6 -0.6 0.3 -0.1 0.6 0.3 ROBUSTA 0.6 -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 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.2 0.1 RUSSELL -0.1 0.2 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.0 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 -0.2 0.1 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 -0.3 -0.3 -0.3 -0.4 -0.6 -0.4 -0.7 SHATZ 0.1 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 -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 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 0.1 -0.2 -0.3 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.4 0.6 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.2 0.2 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 0.5 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.5 0.6 0.6 0.4 -0.5 -0.6 0.7 0.0 SMI -0.2 0.4 0.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.5 0.2 0.2 -0.0 0.1 0.1 0.1 0.2 0.2 -0.0 0.3 0.1 2.2 0.1 -0.0 0.2 0.0 0.2 0.1 1.0 0.5 0.3 0.0 -0.2 0.5 -0.1 0.7 -0.2 SOFR -0.3 -0.3 -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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.1 -0.0 0.1 -0.7 -0.7 0.1 -0.1 SOYBEAN 0.5 0.4 -0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.4 -0.0 -0.2 0.1 -0.1 0.0 0.2 0.1 0.2 -0.0 -0.1 0.0 -0.4 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.8 0.0 0.6 0.1 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.3 -0.1 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.5 -0.1 -0.5 -0.1 -0.2 -0.2 0.1 -0.1 0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 0.3 -0.2 0.1 -0.4 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 0.6 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 0.1 0.0 -0.2 0.0 -0.1 -0.1 0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 0.2 0.6 0.5 -0.1 -0.6 -0.3 -0.4 0.2 SP400 -0.1 0.5 0.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.5 0.0 0.5 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.5 0.2 -1.7 0.1 -0.0 0.2 0.0 0.2 0.1 0.1 0.5 0.1 0.2 0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.3 0.2 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.3 -0.0 0.3 0.0 -0.6 0.2 0.0 -0.1 0.5 -0.0 -0.1 0.3 -0.2 SUGAR11 0.3 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.2 0.0 0.2 0.0 0.0 0.2 0.3 0.3 0.3 -0.0 -0.1 -0.0 -0.0 0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 1.1 0.1 0.5 -0.2 -0.6 0.7 0.2 0.7 0.6 US10 -0.3 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.6 -0.0 0.0 -0.0 0.1 -0.7 -0.7 -0.5 0.2 US10U -0.3 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.0 0.1 -0.7 -0.7 0.5 0.6 US2 -0.2 -0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.1 -0.0 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.3 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.1 0.2 -0.7 -0.6 0.7 0.7 US30 -0.3 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.4 0.1 0.1 0.2 0.2 -0.5 -0.5 0.7 0.7 US5 -0.2 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 0.8 -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 -0.3 VIX 0.2 0.4 -0.0 -0.1 0.2 -0.5 0.1 -0.9 -0.0 0.3 -0.9 0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 0.1 -0.9 -0.0 NaN -0.1 0.1 -0.6 0.1 -1.1 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 -0.4 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 0.2 -0.0 0.1 -0.2 0.1 -0.3 0.0 -1.1 0.5 0.6 -0.6 -0.6 -0.3 -0.7 -0.1 -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 -2.4 -0.4 -2.6 -0.5 4.9 1.3 2.6 3.2 -0.1 13.9 -4.2 1.7 -11.0 1.6 -12.5 -2.7 -2.9 -2.8 -2.8 -2.9 -3.0 5.9 -5.5 -0.4 3.1 0.1 10.0 -0.8 8.3 -2.1 3.4 -1.1 12.0 4.8 4.1 -5.2 -20.0 -11.0 -14.9 -2.2 BITCOIN -17.6 5.2 10.2 4.0 7.1 1.3 6.8 -0.0 5.7 -4.0 16.9 -5.6 17.3 11.1 14.3 -8.9 -7.4 -9.0 -8.5 20.0 20.0 0.8 20.0 13.6 -20.0 6.5 0.5 6.8 1.1 5.4 3.8 -3.3 -3.2 -5.3 20.0 20.0 -7.6 0.1 17.6 3.7 BOBL 2.1 -11.7 -7.0 -1.5 -2.6 -0.6 -1.6 -1.3 -1.7 -7.4 -2.1 -1.7 -2.3 -4.3 -8.1 10.5 -11.8 -6.3 -12.1 -5.2 -3.5 -1.7 -3.9 -3.1 6.5 -1.0 0.9 -0.8 2.4 -0.9 1.0 -18.1 8.4 9.8 0.2 -4.8 -20.0 -20.0 7.1 -19.6 BTP -8.0 -1.7 8.2 -2.5 -4.2 -1.0 -2.7 -2.1 -2.7 -6.3 12.3 -7.9 11.4 1.9 2.7 5.0 6.2 5.0 5.2 6.2 11.8 -7.0 10.3 -1.2 -20.0 5.4 1.7 6.5 2.7 5.5 4.0 13.2 9.5 16.1 20.0 13.9 -6.8 -12.9 20.0 2.7 BUND -0.5 -8.0 -1.9 -1.7 -2.9 -0.7 -1.9 -1.4 -1.9 -7.6 0.4 -3.0 -0.8 -4.8 -8.3 -9.7 1.5 -4.6 -1.6 -3.1 -0.8 -2.6 -2.4 -2.7 3.9 0.5 2.3 0.5 4.7 -0.2 3.0 3.5 13.9 13.0 5.7 -1.7 -16.7 -20.0 15.3 -8.8 BUXL -3.0 -4.4 2.1 -2.1 -3.6 -0.9 -2.3 -1.8 -2.3 -8.0 2.3 -6.9 -3.6 -6.6 -9.6 -7.7 -1.4 -5.1 -3.0 -1.8 0.4 -4.3 -4.0 -3.1 -0.5 2.3 4.0 1.6 7.3 -0.3 5.2 0.0 20.0 17.5 13.1 1.4 -20.0 -20.0 -0.1 -0.5 CAC -5.2 20.0 20.0 7.9 -5.7 8.1 -1.8 5.9 4.0 -20.0 20.0 -0.7 20.0 20.0 20.0 20.0 0.3 11.8 4.0 20.0 20.0 -6.7 20.0 20.0 -11.9 9.6 -3.5 8.7 1.7 6.5 6.8 12.5 20.0 15.8 12.7 -1.1 -8.5 11.7 -5.2 16.9 CAD -3.3 -5.2 -0.5 -0.6 5.6 1.5 3.0 3.7 -0.1 -9.9 -3.4 -10.1 -5.4 -12.5 -18.1 -2.4 -2.2 -2.3 -2.2 -6.2 -3.9 -4.1 -4.8 -6.2 -0.4 -2.6 -1.1 -2.0 1.7 -2.6 -0.9 0.0 -0.2 0.8 -7.0 -1.2 -19.9 -16.1 -4.5 -13.2 CANOLA 20.0 20.0 -8.9 1.3 -0.7 0.9 -0.2 -1.3 0.3 2.7 -9.0 5.6 -9.6 8.0 -0.7 -14.2 -6.1 -13.8 -11.6 1.8 -10.5 6.1 -16.7 8.3 -20.0 0.6 2.0 -3.1 2.1 -5.2 2.7 -17.3 -0.9 20.0 11.7 -18.8 -20.0 -19.4 -16.3 -5.7 CHF -18.4 -20.0 -17.3 -0.5 4.5 1.2 2.4 3.0 -0.1 -0.6 -11.4 -15.4 -4.4 -17.9 -19.1 -15.7 -15.7 -15.8 -15.8 -20.0 -16.1 -18.9 -4.8 -20.0 -2.3 -6.2 -0.1 -3.0 -4.1 -0.5 -7.0 -20.0 -17.0 -20.0 -20.0 -16.9 -9.2 -16.5 -0.5 -15.9 COCOA 20.0 20.0 -0.1 1.0 -0.5 0.7 -0.2 -1.0 0.2 3.2 9.5 7.8 9.5 8.7 9.3 20.0 14.2 20.0 20.0 20.0 20.0 20.0 16.2 20.0 -15.4 3.3 0.7 3.1 1.7 2.6 2.9 20.0 20.0 20.0 20.0 20.0 2.4 0.3 8.3 11.7 COFFEE 16.0 1.4 8.4 2.5 -1.3 1.7 -0.4 -2.4 0.6 20.0 15.5 20.0 11.6 18.9 11.2 6.4 7.7 10.5 9.8 19.2 15.3 20.0 10.3 20.0 -20.0 6.0 20.0 4.6 17.8 3.7 11.0 13.0 20.0 20.0 20.0 8.6 -6.0 -20.0 2.9 -11.8 COPPER 13.6 17.3 9.9 4.2 7.6 1.4 7.2 -0.0 6.0 18.5 12.1 18.2 -1.2 18.1 16.2 -5.4 -5.0 -5.5 -5.5 20.0 13.1 20.0 4.5 20.0 -14.7 6.2 8.4 3.5 9.0 1.3 8.3 1.2 11.0 20.0 13.5 13.4 -20.0 -2.3 11.8 5.7 CORN 11.9 17.0 2.2 2.1 -1.1 1.4 -0.4 -2.0 0.5 4.4 -12.4 5.3 -18.2 10.7 -7.2 -19.4 -8.7 -17.9 -14.4 -4.5 -13.8 1.5 -20.0 1.6 -15.7 -3.1 2.2 -7.1 2.7 -8.2 1.4 -20.0 1.0 11.0 -6.4 -20.0 -9.7 -20.0 -8.3 0.1 COTTON2 -17.6 -1.5 20.0 1.4 -0.7 0.9 -0.2 -1.3 0.3 -11.2 4.0 -12.0 3.3 -7.8 2.5 18.2 2.0 8.6 3.3 2.2 6.0 -13.5 3.5 -7.0 -20.0 2.4 -3.8 3.6 -3.7 2.5 -1.2 1.5 -18.4 -20.0 20.0 20.0 -10.8 -13.4 -1.3 1.4 CRUDE_W 19.9 15.7 7.2 7.5 8.7 5.0 9.2 3.7 8.8 20.0 6.5 20.0 12.3 20.0 20.0 17.2 11.0 13.6 11.7 20.0 18.5 20.0 16.2 20.0 -5.3 8.9 9.7 5.8 12.4 5.1 11.9 -1.1 18.8 12.8 17.2 -1.4 20.0 20.0 20.0 20.0 DAX 5.4 20.0 20.0 7.8 -5.6 7.9 -1.8 5.8 3.9 -14.8 20.0 11.3 20.0 20.0 20.0 -13.2 -11.8 -14.0 -13.4 20.0 20.0 12.5 20.0 20.0 18.0 9.9 0.0 8.0 6.3 5.5 9.8 -11.5 20.0 20.0 20.0 7.0 -5.8 10.4 2.8 20.0 DOW -11.4 -10.0 9.0 5.5 -4.0 5.6 -1.3 4.1 2.8 -10.8 17.9 -8.2 17.6 0.6 12.0 -12.1 -11.1 -12.7 -12.2 11.6 20.0 -11.3 20.0 0.2 -13.5 6.3 -3.9 9.1 -1.3 9.0 2.6 -10.0 6.6 0.4 -20.0 -1.3 -5.4 -6.9 3.7 -15.3 DX 13.5 3.6 4.9 -0.6 5.6 1.5 3.0 3.7 -0.1 -10.2 5.6 15.9 4.3 14.4 17.3 7.5 6.4 7.1 6.7 11.3 7.0 9.1 6.1 14.0 -20.0 5.1 -0.6 2.6 4.6 2.6 7.0 15.1 -8.4 20.0 13.6 6.1 19.5 3.9 20.0 10.1 EUR -7.9 1.0 -2.9 -0.6 5.3 1.5 2.9 3.5 -0.1 14.9 -1.8 -6.9 -2.5 -5.1 -12.2 -6.9 -6.8 -6.8 -6.6 -4.9 -3.0 -3.1 -2.8 -6.7 19.8 0.1 6.2 0.5 3.0 0.1 0.1 -7.5 2.2 -6.2 4.9 -0.6 -20.0 -15.2 -20.0 -12.1 EURIBOR-ICE -3.6 -13.3 -0.4 -1.3 -2.2 -0.5 -1.4 -1.1 -1.4 -6.2 2.9 -4.3 2.9 -4.3 -5.2 -5.0 -4.0 -2.9 -2.8 -1.7 2.7 -2.6 3.3 -2.5 13.7 -0.0 -0.7 1.8 0.5 2.0 0.1 -2.5 3.2 5.1 1.4 1.0 -20.0 -20.0 11.9 20.0 EUROSTX -1.6 17.7 20.0 7.7 -5.6 7.9 -1.8 5.7 3.9 -13.8 20.0 11.9 20.0 20.0 20.0 -5.6 1.2 0.8 1.8 20.0 20.0 6.9 20.0 20.0 0.0 9.8 -0.9 9.1 4.0 6.9 7.9 12.6 20.0 19.4 20.0 10.9 -15.6 11.9 -13.4 19.2 FEEDCOW -20.0 -7.0 13.0 2.3 -1.2 1.6 -0.4 -2.3 0.6 -17.0 -0.3 -18.5 0.5 -15.0 6.4 -20.0 -20.0 -20.0 -20.0 -9.4 0.9 -20.0 3.4 -20.0 -7.1 -2.5 -7.5 0.5 -8.5 2.8 -7.4 -20.0 -20.0 -20.0 -18.4 14.2 20.0 20.0 20.0 20.0 GASOIL 7.8 4.9 7.7 6.3 7.3 4.2 7.7 3.1 7.3 17.9 10.5 16.8 13.9 15.8 18.7 16.8 20.0 20.0 20.0 16.5 14.9 20.0 15.8 18.0 7.0 6.8 11.2 6.2 9.7 6.4 7.7 19.4 1.1 -6.7 -6.0 3.6 -12.0 -9.3 -20.0 -16.8 GASOLINE 15.4 16.8 13.7 7.2 8.4 4.8 8.9 3.6 8.4 19.9 15.3 20.0 15.6 20.0 20.0 20.0 10.3 8.4 4.7 20.0 20.0 20.0 18.2 20.0 -20.0 9.0 5.9 6.6 8.8 5.8 9.8 -6.8 -2.2 9.8 18.8 12.0 20.0 19.9 20.0 17.9 GAS_US_mini 2.0 1.9 -11.7 3.8 4.4 2.5 4.7 1.9 4.4 -3.2 -13.5 -5.2 -14.1 -9.2 -12.6 -20.0 -20.0 -20.0 -20.0 -12.9 -20.0 -3.3 -20.0 -6.4 20.0 -5.1 -2.7 -6.1 -3.2 -5.9 -3.9 -20.0 -20.0 -20.0 -20.0 -20.0 -18.4 -2.6 -20.0 -7.4 GBP -11.8 -2.1 2.2 -0.6 5.6 1.5 3.0 3.7 -0.1 15.2 10.8 -11.2 8.6 -10.7 -5.0 -0.9 -0.7 -0.7 -0.6 -1.5 4.2 -5.2 5.9 -7.1 2.1 2.4 5.4 4.7 3.1 4.1 0.7 2.8 7.0 -7.9 5.9 8.4 -20.0 -7.7 -20.0 -0.9 GOLD_micro 19.8 20.0 12.2 4.3 7.7 1.4 7.3 -0.0 6.1 18.2 18.6 20.0 13.7 20.0 19.4 -14.6 -14.7 -15.1 -15.0 20.0 20.0 20.0 14.9 20.0 -4.2 7.0 7.4 4.5 9.4 2.7 9.1 -15.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -12.9 HEATOIL 9.1 5.1 4.7 6.6 7.7 4.4 8.2 3.3 7.7 20.0 2.7 19.8 9.6 16.6 17.9 9.1 20.0 18.5 20.0 14.3 10.6 20.0 11.6 19.0 -20.0 7.6 7.7 6.8 9.3 7.7 8.5 19.7 -1.5 -10.0 -6.0 2.6 19.6 5.3 16.4 2.3 JGB-SGX-mini 0.0 -5.1 4.4 -1.7 -2.9 -0.7 -1.8 -1.4 -1.8 -10.1 5.3 0.9 7.5 -0.5 -2.1 8.4 15.7 10.6 12.0 -0.5 2.7 -3.9 4.5 -2.1 -8.2 -0.7 -5.0 0.4 -2.6 0.4 -1.3 20.0 -2.2 7.2 3.8 3.2 -10.4 -16.2 0.6 9.8 JPY -12.0 -6.0 -13.7 -0.4 3.8 1.0 2.1 2.5 -0.1 -9.8 -16.5 -16.4 -16.9 -16.4 -16.9 -16.8 -16.4 -16.7 -16.6 -16.7 -18.3 -10.2 -20.0 -14.9 20.0 -5.2 -1.3 -5.3 -3.5 -6.9 -5.1 -20.0 -8.9 -19.0 -15.7 -17.0 -20.0 -11.4 -16.6 -11.9 LEANHOG -1.2 17.1 20.0 2.9 -1.5 2.0 -0.5 -2.8 0.7 20.0 18.3 20.0 -7.8 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 17.2 20.0 -1.5 20.0 14.7 9.1 15.1 8.1 10.5 1.7 8.2 -20.0 20.0 17.2 20.0 20.0 -7.9 -8.8 2.6 13.7 LIVECOW -20.0 1.4 11.9 2.3 -1.2 1.6 -0.4 -2.3 0.6 -18.5 2.7 -19.6 2.4 -13.9 7.9 20.0 2.3 20.0 8.6 -3.7 3.3 -20.0 3.9 -20.0 -5.6 1.0 -10.4 2.7 -8.4 3.9 -4.6 6.1 -20.0 -20.0 4.5 16.2 20.0 10.8 20.0 20.0 LUMBER-new -14.6 6.7 10.5 3.0 -1.6 2.1 -0.5 -1.9 0.7 -20.0 16.5 -20.0 -9.3 0.6 11.5 -17.0 -15.6 -16.7 -16.0 8.3 12.2 -20.0 4.6 -6.6 NaN 2.8 -13.9 5.6 -13.5 3.6 -5.7 -20.0 -20.0 -20.0 20.0 17.3 -11.6 -14.4 -6.7 -8.7 MILK -8.4 -7.2 14.7 1.6 -0.9 1.1 -0.3 -1.6 0.4 3.9 -14.5 -8.2 -14.9 -13.3 -13.8 -20.0 -20.0 -20.0 -20.0 -17.2 -18.1 -8.2 -20.0 -16.1 13.3 -4.8 2.6 -4.9 -2.4 -6.2 -4.8 -20.0 -0.1 -16.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 6.6 11.2 7.7 -0.6 5.8 1.6 3.1 3.9 -0.1 20.0 20.0 20.0 20.0 20.0 20.0 18.5 17.2 17.9 17.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.5 6.9 8.0 9.5 8.6 10.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -9.5 -4.7 10.5 4.7 -3.4 4.8 -1.1 3.5 2.3 -5.0 15.5 -1.9 15.7 6.5 13.6 -11.4 -10.3 -11.5 -11.1 12.5 20.0 -5.8 20.0 2.2 -20.0 4.8 -3.2 8.4 -2.9 9.7 0.3 -8.3 -1.8 -14.8 -17.8 4.6 4.7 -1.9 10.6 -3.3 NIKKEI -1.9 4.1 20.0 5.7 -4.1 5.9 -1.3 4.3 2.9 -15.0 18.3 2.0 19.0 11.1 16.8 2.7 10.8 7.3 9.5 20.0 20.0 -5.3 20.0 12.5 -16.4 6.5 -3.5 8.2 -1.2 7.7 2.5 20.0 -7.0 -9.9 12.2 20.0 -19.7 -7.0 -9.1 -7.1 NZD -15.3 -9.0 -2.9 -0.4 4.2 1.1 2.2 2.8 -0.1 8.7 -0.4 -9.4 -2.7 -12.2 -13.3 0.2 0.3 0.3 0.3 -9.6 -3.5 -5.6 -2.1 -12.2 0.3 -4.1 2.8 -1.2 -0.9 -0.2 -4.7 4.3 -0.7 -15.9 -9.0 -7.3 -10.0 -7.7 -2.7 4.9 OAT -5.9 -7.7 0.6 -1.8 -3.1 -0.8 -2.0 -1.5 -2.0 -8.2 2.5 -9.4 1.0 -8.7 -8.6 5.1 6.1 4.8 5.0 -2.8 1.4 -6.7 0.0 -5.4 4.4 0.8 1.4 1.8 3.3 1.0 2.0 13.0 9.1 9.5 6.7 0.2 -17.1 -20.0 14.3 2.2 OATIES -11.2 -2.2 -9.0 2.1 -1.1 1.4 -0.4 -2.0 0.5 -17.0 -17.7 -18.0 -14.7 -16.2 -11.2 8.5 -0.7 7.2 2.7 -12.8 -15.2 -20.0 -15.3 -17.5 -20.0 -5.5 -13.7 -4.8 -13.3 -4.6 -9.4 -1.5 -20.0 -20.0 -12.7 -7.7 -14.2 -0.1 -3.8 14.7 OJ -0.7 4.3 -9.0 2.0 -1.0 1.3 -0.3 -1.9 0.5 -8.6 8.0 9.4 13.3 6.9 10.7 6.3 14.1 7.3 10.2 8.6 14.0 0.9 20.0 5.4 -20.0 1.7 -5.8 6.6 -3.7 15.6 -1.1 19.6 -9.8 -7.6 0.1 -10.2 11.5 9.4 19.9 20.0 PALLAD -0.2 13.2 1.0 1.8 3.3 0.6 3.1 -0.0 2.6 0.5 -4.0 -3.6 -7.7 3.4 -2.2 -1.9 -2.1 -1.8 -1.9 0.3 -3.9 0.0 -9.8 1.1 10.8 0.7 -0.2 -1.6 0.7 -4.3 1.2 6.9 -8.4 -5.0 -4.5 1.4 -20.0 -12.0 -18.6 -7.5 PLAT 2.5 4.9 -3.0 2.7 4.9 0.9 4.6 -0.0 3.8 5.9 -4.4 5.2 -8.5 5.2 -5.9 -4.3 -3.5 -4.2 -3.9 0.7 -2.1 6.0 -3.8 3.7 10.6 1.7 3.4 0.0 5.4 -0.7 4.0 4.0 -2.5 -1.8 -8.5 -1.8 -14.0 -4.6 20.0 7.5 REDWHEAT 7.0 8.5 -4.0 2.0 -1.1 1.4 -0.3 -2.0 0.5 7.1 -16.7 2.9 -18.1 -0.5 -10.7 6.9 1.5 5.6 3.0 -8.9 -18.6 1.2 -20.0 -2.2 -7.7 -4.5 4.8 -8.0 2.8 -9.1 -0.2 1.5 6.0 10.9 -18.1 -20.0 -12.3 -20.0 -4.1 -20.0 RICE -20.0 -20.0 0.0 2.3 -1.2 1.6 -0.4 -2.2 0.6 -18.4 0.7 -20.0 11.0 -20.0 -13.7 -14.8 -5.1 -13.4 -11.1 -20.0 -3.2 -20.0 9.4 -20.0 -16.9 -5.6 -6.5 -1.4 -10.5 0.6 -10.1 -15.3 -20.0 -20.0 -20.0 -19.8 8.8 -3.5 19.4 7.8 ROBUSTA 18.6 -2.4 20.0 1.9 -1.0 1.3 -0.3 -1.8 0.5 12.0 17.3 15.2 17.3 16.2 17.2 19.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.9 2.7 7.2 6.2 7.0 7.0 20.0 20.0 20.0 20.0 20.0 -20.0 -19.1 -6.9 2.7 RUSSELL -4.0 6.7 11.9 4.4 -3.1 4.5 -1.0 3.2 2.2 -10.5 12.5 -1.9 9.7 6.8 10.5 -6.6 -6.3 -6.6 -6.5 8.6 10.6 -2.9 7.5 3.4 -1.8 4.8 -1.2 5.5 0.6 4.2 2.8 -1.0 17.0 -8.0 -10.4 -9.2 -13.2 -18.7 -13.2 -20.0 SHATZ 2.3 -18.8 -15.0 -1.3 -2.2 -0.5 -1.4 -1.1 -1.4 -7.0 -7.1 -3.5 -7.3 -6.3 -8.1 -20.0 -20.0 -20.0 -20.0 -9.4 -8.7 -2.4 -9.0 -5.6 8.2 -2.4 -0.8 -1.9 -0.7 -1.8 -1.5 -20.0 -0.6 2.9 -7.7 -8.9 -20.0 -20.0 -9.1 -20.0 SILVER-mini 12.7 19.7 3.3 3.3 6.0 1.1 5.7 -0.0 4.7 14.0 6.4 14.0 0.6 13.8 9.6 -6.3 -6.6 -6.7 -6.8 15.3 6.8 20.0 1.8 20.0 4.1 5.1 6.8 2.6 7.9 1.1 7.1 -1.2 20.0 20.0 19.2 11.7 -15.3 -17.1 20.0 0.6 SMI -7.5 12.1 16.8 7.1 -5.1 7.2 -1.6 5.3 3.5 -14.2 20.0 -4.7 14.7 17.2 20.0 -1.6 4.9 3.6 5.1 20.0 20.0 -4.7 12.2 11.2 16.5 8.4 -2.9 7.2 2.7 4.3 6.7 18.8 20.0 10.2 0.1 -7.3 13.8 -2.9 20.0 -5.5 SOFR -8.5 -8.3 -1.9 -2.0 -3.4 -0.8 -2.2 -1.7 -2.2 -11.5 3.1 -12.3 -0.7 -11.7 -10.5 -1.4 -0.0 -0.3 0.1 -6.4 -2.8 -10.1 -3.2 -8.7 -3.2 -0.9 -2.0 0.4 -0.8 0.1 -1.1 3.5 3.3 2.1 -0.7 2.4 -19.9 -20.0 2.0 -2.7 SOYBEAN 15.5 11.3 -16.7 2.3 -1.2 1.5 -0.4 -2.2 0.6 -4.7 -13.1 -0.4 -5.9 10.6 -7.8 0.6 12.2 4.6 7.8 -2.9 -13.5 2.1 -13.9 5.1 -20.0 -0.1 1.2 -3.6 2.1 -3.3 3.1 15.4 0.1 20.0 4.4 -20.0 -9.6 -20.0 -8.6 -20.0 SOYMEAL 10.0 -2.0 -20.0 2.1 -1.1 1.4 -0.4 -2.0 0.5 -7.7 -17.4 -9.7 -13.7 -7.6 -16.0 -8.3 7.5 -4.7 0.9 -16.7 -20.0 -8.1 -17.7 -8.4 -20.0 -4.9 -0.4 -7.1 -1.1 -4.3 -1.5 6.1 -8.0 2.7 -11.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 16.4 17.5 -2.3 1.7 -0.9 1.2 -0.3 -1.7 0.4 9.5 -11.8 8.2 -11.0 9.9 1.5 -8.2 1.4 -6.7 -3.4 3.2 -7.1 6.9 -12.1 8.6 -20.0 3.1 1.9 0.0 2.4 -1.9 4.0 -3.3 7.5 20.0 14.7 -3.1 -18.6 -10.3 -10.7 5.2 SP400 -3.1 15.6 20.0 5.3 -3.9 5.5 -1.2 4.0 2.7 -9.4 17.3 1.3 14.9 12.6 15.7 -4.5 -5.3 -5.2 -5.3 20.0 20.0 1.4 16.7 14.1 -12.8 6.5 -0.3 6.3 1.9 4.6 4.8 1.0 20.0 3.7 4.8 0.6 -11.4 -9.3 -8.5 -20.0 SP500_micro -9.1 5.2 20.0 6.3 -4.6 6.5 -1.5 4.7 3.2 -6.8 20.0 1.1 20.0 15.0 20.0 -13.4 -11.7 -13.3 -12.6 20.0 20.0 -2.8 20.0 12.8 -20.0 7.7 -2.2 9.6 -0.5 8.9 3.6 -10.8 7.7 0.1 -3.1 16.4 -0.7 -3.6 10.3 -5.4 SUGAR11 8.6 -1.5 -7.4 2.0 -1.1 1.4 -0.3 -2.0 0.5 -11.2 -7.4 3.1 5.0 1.9 0.1 11.1 17.3 13.4 15.7 -3.2 -7.1 -0.7 -0.0 1.5 -20.0 -2.1 -6.7 -4.8 -0.7 -0.1 0.9 20.0 3.1 13.9 -5.6 -18.3 20.0 5.3 20.0 19.1 US10 -8.3 -7.8 0.7 -1.7 -2.8 -0.7 -1.8 -1.4 -1.8 -9.1 1.5 -9.9 -3.7 -9.6 -8.5 -7.0 -7.9 -7.9 -8.1 -5.5 -3.6 -9.0 -6.7 -7.5 2.7 -0.9 -2.3 -0.1 -1.3 -1.2 -1.3 -10.5 -0.1 0.8 -0.8 2.4 -20.0 -20.0 -13.8 5.9 US10U -8.1 -7.0 0.3 -2.3 -3.9 -1.0 -2.5 -1.9 -2.5 -12.9 1.6 -13.9 -4.9 -13.8 -12.3 -4.1 -0.7 -2.5 -1.3 -7.4 -5.2 -12.5 -9.8 -10.3 -0.4 -1.0 -3.2 0.0 -1.9 -1.7 -1.7 1.9 0.5 1.7 0.3 3.9 -20.0 -20.0 14.9 16.6 US2 -6.4 -15.7 -3.8 -1.4 -2.3 -0.6 -1.5 -1.1 -1.5 -6.9 -4.7 -7.8 -7.3 -8.3 -8.3 -20.0 -20.0 -20.0 -20.0 -8.6 -6.8 -7.7 -9.2 -8.6 11.6 -2.2 -2.3 -1.1 -1.6 -1.7 -2.1 -20.0 -2.8 -1.4 -7.7 -2.1 -20.0 -20.0 -20.0 -20.0 US20 -9.3 -4.3 3.1 -1.7 -2.8 -0.7 -1.8 -1.4 -1.8 -9.5 3.1 -9.9 -1.9 -8.5 -7.2 -0.1 -0.7 -0.1 -0.4 -3.4 -1.6 -9.4 -5.5 -6.6 -1.3 0.4 -2.3 1.0 -1.3 -0.8 -0.7 2.4 1.1 1.7 3.8 6.3 -20.0 -18.5 20.0 20.0 US30 -9.1 -2.6 2.0 -1.9 -3.3 -0.8 -2.1 -1.6 -2.1 -11.1 2.4 -11.8 -3.7 -9.9 -9.1 -6.0 -6.0 -7.1 -6.9 -4.0 -2.5 -10.1 -7.6 -7.2 -0.6 0.4 -3.2 1.0 -1.7 -1.5 -0.9 -7.6 2.9 1.8 6.0 5.2 -15.6 -15.0 20.0 20.0 US5 -7.6 -11.1 -1.9 -1.7 -2.8 -0.7 -1.8 -1.4 -1.8 -9.2 -0.4 -10.0 -5.0 -9.9 -9.1 -11.0 -10.2 -10.2 -10.2 -7.3 -5.0 -9.0 -7.2 -8.5 5.8 -1.5 -2.4 -0.4 -1.4 -1.1 -1.7 -14.3 -1.1 0.3 -3.9 0.5 -20.0 -20.0 -20.0 -7.5 VIX 3.3 7.5 -0.5 -7.2 10.6 -11.2 3.6 -16.0 -2.7 20.0 -20.0 5.2 -20.0 -9.4 -20.0 -20.0 -20.0 -20.0 -20.0 -11.3 -20.0 7.5 -20.0 -1.7 NaN -7.8 8.7 -13.2 3.3 -19.8 -2.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 18.8 3.7 -4.1 2.3 -1.2 1.6 -0.4 -2.2 0.6 18.2 -15.8 19.6 -19.9 7.7 -8.8 -17.8 -12.2 -15.2 -13.5 -5.9 -17.5 15.0 -20.0 7.6 1.5 -3.0 7.1 -6.2 6.8 -7.0 2.9 -20.0 20.0 20.0 -17.7 -20.0 -7.7 -20.0 -3.3 -20.0 End of report for caleb_strategy_v3