******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240515_204006 produced at 2024-05-15 21:37:31.677470 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 JGB-SGX-mini False True 0.03 -0.08 -0.51 0.0 0.00 -0.08 -0.08 -0.08 -19.09 16.0 -3 -3 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -5.51 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 -9.95 24.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.25 -0.27 0.0 999.00 -999.00 -0.25 -0.26 -62.31 999999999.0 -58 -60 caleb_strategy_v3 US2 False True 0.06 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.96 13.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.38 -0.21 0.0 0.76 -0.76 -0.38 -0.23 -2.76 10.0 -5 -3 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.14 0.0 0.52 -0.52 -0.16 -0.16 -3.59 13.0 -4 -4 caleb_strategy_v3 US5 False False 0.03 -0.28 -0.06 0.0 0.77 -0.77 -0.28 -0.24 -1.86 25.0 -9 -8 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.06 0.0 0.61 -0.61 -0.04 -0.04 -3.02 29.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.03 -0.06 0.0 0.15 -0.15 -0.03 -0.06 -5.04 13.0 -3 -5 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.05 0.0 0.09 -0.09 -0.06 -0.06 -1.79 3.0 -2 -2 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.05 0.0 0.40 -0.40 -0.05 -0.05 -2.18 17.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.83 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.04 -0.04 0.0 0.26 -0.26 -0.04 -0.03 -5.91 36.0 -5 -4 caleb_strategy_v3 BOBL False False 0.04 -0.26 -0.04 0.0 0.70 -0.70 -0.26 -0.15 -1.09 19.0 -7 -4 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.08 -0.08 -0.01 -0.01 -4.55 12.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.14 -0.14 -0.02 -0.02 -11.80 51.0 -6 -6 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.41 4.0 -1 -1 caleb_strategy_v3 US10 False True 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.80 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.03 0.0 0.30 -0.30 0.00 0.00 -0.81 8.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.50 18.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.02 0.0 0.25 -0.25 -0.03 -0.09 -1.95 23.0 -3 -8 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.03 -2.01 10.0 -5 -4 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.02 0.0 0.00 -0.04 -0.04 -0.03 -9.19 26.0 -19 -17 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.41 -0.41 0.00 0.00 -0.48 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -11.29 59.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -2.23 11.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.55 7.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.01 0.0 0.21 -0.21 -0.05 -0.09 -3.20 68.0 -17 -28 caleb_strategy_v3 US10U False True 0.03 -0.16 -0.01 0.0 0.00 -0.16 -0.16 -0.16 -0.29 13.0 -5 -5 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.51 9.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.41 2.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.16 -0.16 -0.08 -0.08 -0.28 4.0 -2 -2 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.01 0.0 0.37 -0.37 -0.01 0.00 -0.82 48.0 -1 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.13 23.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.25 8.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 -0.00 0.0 0.37 -0.37 0.04 0.00 -0.07 10.0 1 0 caleb_strategy_v3 SP400 False False 0.09 -0.09 0.00 0.0 0.18 -0.18 -0.09 0.09 0.02 2.0 -1 1 caleb_strategy_v3 OAT False False 0.04 0.04 -0.00 0.0 0.40 -0.40 0.04 0.00 -0.09 10.0 1 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.27 9.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.55 -0.55 0.00 0.00 0.02 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.06 6.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.06 9.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.59 66.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.00 0.0 0.39 -0.39 0.00 0.01 0.31 56.0 0 1 caleb_strategy_v3 GBP False False 0.02 0.00 -0.00 0.0 0.50 -0.50 0.00 0.00 -0.11 22.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 2.13 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.75 5.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.12 0.01 0.0 0.55 -0.55 -0.12 -0.04 0.22 14.0 -3 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.01 0.0 999.00 -999.00 0.12 0.09 0.30 999999999.0 4 3 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.37 -0.37 0.00 0.00 1.18 19.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.02 0.0 0.37 -0.37 0.00 0.00 1.07 21.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 1.36 999999999.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 3.48 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.03 0.04 0.0 0.15 -0.15 0.03 0.03 2.55 10.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.06 -0.06 0.00 0.00 2.38 3.0 0 0 caleb_strategy_v3 DX False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.82 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.06 0.0 0.35 -0.35 0.04 0.04 3.07 17.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.09 0.0 0.32 -0.32 0.17 0.17 5.76 20.0 11 11 caleb_strategy_v3 CRUDE_W False False 0.02 0.04 0.10 0.0 0.11 -0.11 0.04 0.02 4.63 5.0 2 1 caleb_strategy_v3 DAX False False 0.01 0.09 0.12 0.0 0.34 -0.34 0.09 0.09 21.06 58.0 15 15 caleb_strategy_v3 SMI False True 0.04 0.26 0.13 0.0 0.26 0.00 0.26 0.26 3.50 9.0 7 7 caleb_strategy_v3 CAC True False 0.03 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.32 12.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.14 0.15 0.0 999.00 -999.00 0.14 0.18 4.37 999999999.0 4 5 caleb_strategy_v3 MXP False False 0.01 0.38 0.53 0.0 0.52 -0.52 0.38 0.40 61.88 60.0 44 47 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.0 Shocked risk 51.4 Sum abs risk 49.7 Leverage 4.48 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3470729.81, 'annual_cash_vol_target': 867682.4525, 'daily_cash_vol_target': 54230.15328125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6698 0.6342 10.1478 BITCOIN 1870.4439 65950.0000 2.8362 45.3785 BOBL 0.2853 117.3000 0.2432 3.8914 BTP 0.6556 118.8600 0.5516 8.8251 BUND 0.5701 131.8100 0.4325 6.9201 BUXL 1.3295 131.9200 1.0078 16.1245 CAC 49.2045 8193.0000 0.6006 9.6091 CAD 0.0028 0.7356 0.3826 6.1213 CANOLA 7.9786 668.6000 1.1933 19.0934 CHF 0.0047 1.1121 0.4239 6.7831 COCOA 446.2145 7309.0000 6.1050 97.6800 COFFEE 4.1400 197.9000 2.0920 33.4717 COPPER 0.0569 4.9060 1.1593 18.5487 CORN 5.1660 487.5000 1.0597 16.9551 COTTON2 1.4226 75.4600 1.8853 30.1641 CRUDE_W 0.8483 75.6400 1.1216 17.9449 DAX 129.8719 18969.0000 0.6847 10.9545 DOW 237.8260 39954.0000 0.5952 9.5240 DX 0.3673 104.1900 0.3526 5.6409 EUR 0.0043 1.0896 0.3988 6.3811 EURIBOR-ICE 0.0548 97.5250 0.0562 0.8988 EUROSTX 36.6923 5095.0000 0.7202 11.5226 FEEDCOW 2.1090 257.1500 0.8201 13.1223 GASOIL 9.9336 751.2500 1.3223 21.1564 GASOLINE 0.0355 2.4601 1.4442 23.1065 GAS_US_mini 0.0811 2.6300 3.0852 49.3626 GBP 0.0059 1.2682 0.4640 7.4233 GOLD_micro 20.1222 2391.1000 0.8415 13.4647 HEATOIL 0.0312 2.4575 1.2696 20.3131 JGB-SGX-mini 0.2176 144.1200 0.1510 2.4159 JPY 0.0000 0.0065 0.7438 11.9003 LEANHOG 1.1664 99.9000 1.1676 18.6818 LIVECOW 1.4146 176.7000 0.8006 12.8090 LUMBER-new 6.9898 534.5000 1.3077 20.9235 MILK 0.2617 20.1500 1.2987 20.7793 MXP 0.0004 0.0596 0.6167 9.8678 NASDAQ_micro 158.4715 18688.7500 0.8480 13.5672 NIKKEI 372.6062 38645.0000 0.9642 15.4268 NZD 0.0040 0.6122 0.6520 10.4326 OAT 0.5701 127.0500 0.4487 7.1796 OATIES 6.7114 394.2500 1.7023 27.2370 OJ 5.8806 428.5500 1.3722 21.9553 PALLAD 22.8067 1011.5000 2.2547 36.0758 PLAT 15.7091 1073.8000 1.4629 23.4071 REDWHEAT 12.4671 689.2500 1.8088 28.9408 RICE 0.1794 15.4550 1.1605 18.5680 ROBUSTA 71.5553 3338.0000 2.1437 34.2985 RUSSELL 20.7216 2114.4000 0.9800 15.6804 SHATZ 0.0839 105.3550 0.0797 1.2745 SILVER-mini 0.4849 30.2250 1.6043 25.6694 SMI 80.8149 11893.0000 0.6795 10.8723 SOFR 0.0659 96.2400 0.0685 1.0955 SOYBEAN 10.7688 1201.7500 0.8961 14.3375 SOYMEAL 5.0985 369.6000 1.3795 22.0712 SOYOIL 0.7654 44.1000 1.7357 27.7709 SP400 23.2855 3050.2000 0.7634 12.2146 SP500_micro 34.8120 5326.0000 0.6536 10.4580 SUGAR11 0.3004 18.6900 1.6070 25.7124 US10 0.3948 109.7344 0.3598 5.7569 US10U 0.5171 113.0156 0.4576 7.3213 US2 0.1022 101.8906 0.1003 1.6044 US20 0.7582 118.0625 0.6422 10.2758 US30 1.1156 125.1875 0.8912 14.2588 US5 0.2559 106.2812 0.2408 3.8521 VIX 0.4297 15.1500 2.8360 45.3766 WHEAT 10.9860 710.7500 1.5457 24.7311 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.75 0.63 424.78 1.00 424.78 54230.15 127.67 3.57 45.63 BITCOIN 65.95 2.84 187.04 1.00 187.04 54230.15 289.93 -3.60 -104.30 BOBL 1173.00 0.24 285.29 1.08 307.70 54230.15 176.24 -6.08 -107.21 BTP 1188.60 0.55 655.60 1.08 707.09 54230.15 76.69 -0.25 -1.95 BUND 1318.10 0.43 570.09 1.08 614.87 54230.15 88.20 -5.40 -47.59 BUXL 1319.20 1.01 1329.47 1.08 1433.90 54230.15 37.82 -7.24 -27.38 CAC 819.30 0.60 492.04 1.08 530.69 54230.15 102.19 15.26 155.90 CAD 735.55 0.38 281.41 1.00 281.41 54230.15 192.71 -6.03 -116.24 CANOLA 133.72 1.19 159.57 0.73 116.66 54230.15 464.86 -10.43 -484.97 CHF 1390.12 0.42 589.33 1.00 589.33 54230.15 92.02 -15.04 -138.44 COCOA 730.90 6.11 4462.15 1.00 4462.15 54230.15 12.15 0.88 1.08 COFFEE 742.12 2.09 1552.51 1.00 1552.51 54230.15 34.93 -1.84 -6.41 COPPER 1226.50 1.16 1421.87 1.00 1421.87 54230.15 38.14 10.58 40.36 CORN 243.75 1.06 258.30 1.00 258.30 54230.15 209.95 -8.91 -187.14 COTTON2 377.30 1.89 711.31 1.00 711.31 54230.15 76.24 -13.67 -104.23 CRUDE_W 756.40 1.12 848.35 1.00 848.35 54230.15 63.92 6.69 42.73 DAX 189.69 0.68 129.87 1.08 140.07 54230.15 387.16 15.95 617.58 DOW 199.77 0.60 118.91 1.00 118.91 54230.15 456.05 -0.56 -25.35 DX 1041.90 0.35 367.33 1.00 367.33 54230.15 147.64 4.74 70.00 EUR 1362.00 0.40 543.19 1.00 543.19 54230.15 99.84 0.85 8.50 EURIBOR-ICE 2438.12 0.06 136.96 1.08 147.72 54230.15 367.12 -2.21 -80.99 EUROSTX 509.50 0.72 366.92 1.08 395.75 54230.15 137.03 12.31 168.74 FEEDCOW 1285.75 0.82 1054.50 1.00 1054.50 54230.15 51.43 -4.78 -24.57 GASOIL 751.25 1.32 993.36 1.00 993.36 54230.15 54.59 -5.96 -32.56 GASOLINE 1033.24 1.44 1492.17 1.00 1492.17 54230.15 36.34 1.88 6.83 GAS_US_mini 65.75 3.09 202.85 1.00 202.85 54230.15 267.34 -3.17 -84.88 GBP 792.62 0.46 367.74 1.00 367.74 54230.15 147.47 -0.30 -4.36 GOLD_micro 239.11 0.84 201.22 1.00 201.22 54230.15 269.50 0.33 8.98 HEATOIL 1032.15 1.27 1310.38 1.00 1310.38 54230.15 41.38 -10.01 -41.41 JGB-SGX-mini 144120.00 0.15 21760.96 0.01 139.09 54230.15 389.90 -4.52 -176.29 JPY 811.06 0.74 603.24 1.00 603.24 54230.15 89.90 -9.36 -84.18 LEANHOG 399.60 1.17 466.58 1.00 466.58 54230.15 116.23 -7.13 -82.87 LIVECOW 706.80 0.80 565.84 1.00 565.84 54230.15 95.84 9.67 92.70 LUMBER-new 146.99 1.31 192.22 1.00 192.22 54230.15 282.13 -19.59 -552.66 MILK 403.00 1.30 523.38 1.00 523.38 54230.15 103.62 3.38 35.02 MXP 298.05 0.62 183.82 1.00 183.82 54230.15 295.02 14.29 421.59 NASDAQ_micro 373.78 0.85 316.94 1.00 316.94 54230.15 171.10 -4.89 -83.74 NIKKEI 38645.00 0.96 37260.62 0.01 238.15 54230.15 227.71 -2.40 -54.58 NZD 612.20 0.65 399.18 1.00 399.18 54230.15 135.85 3.02 41.09 OAT 1270.50 0.45 570.10 1.08 614.89 54230.15 88.20 -0.30 -2.64 OATIES 197.12 1.70 335.57 1.00 335.57 54230.15 161.61 5.41 87.47 OJ 642.83 1.37 882.09 1.00 882.09 54230.15 61.48 18.10 111.27 PALLAD 1011.50 2.25 2280.67 1.00 2280.67 54230.15 23.78 -5.10 -12.13 PLAT 536.90 1.46 785.45 1.00 785.45 54230.15 69.04 10.81 74.66 REDWHEAT 344.62 1.81 623.36 1.00 623.36 54230.15 87.00 2.21 19.20 RICE 309.10 1.16 358.71 1.00 358.71 54230.15 151.18 9.45 142.91 ROBUSTA 333.80 2.14 715.55 1.00 715.55 54230.15 75.79 -1.52 -11.52 RUSSELL 105.72 0.98 103.61 1.00 103.61 54230.15 523.42 -1.85 -96.71 SHATZ 1053.55 0.08 83.92 1.08 90.51 54230.15 599.15 -16.37 -980.87 SILVER-mini 755.62 1.60 1212.28 1.00 1212.28 54230.15 44.73 8.93 39.93 SMI 1189.30 0.68 808.15 1.10 889.57 54230.15 60.96 16.81 102.50 SOFR 2406.00 0.07 164.74 1.00 164.74 54230.15 329.19 -2.75 -90.59 SOYBEAN 600.88 0.90 538.44 1.00 538.44 54230.15 100.72 -5.88 -59.23 SOYMEAL 369.60 1.38 509.85 1.00 509.85 54230.15 106.37 -5.12 -54.50 SOYOIL 264.60 1.74 459.26 1.00 459.26 54230.15 118.08 -18.30 -216.14 SP400 3050.20 0.76 2328.55 1.00 2328.55 54230.15 23.29 0.21 0.48 SP500_micro 266.30 0.65 174.06 1.00 174.06 54230.15 311.56 -1.13 -35.22 SUGAR11 209.33 1.61 336.40 1.00 336.40 54230.15 161.21 -10.21 -164.52 US10 1097.34 0.36 394.83 1.00 394.83 54230.15 137.35 -4.57 -62.80 US10U 1130.16 0.46 517.14 1.00 517.14 54230.15 104.87 -2.20 -23.07 US2 2037.81 0.10 204.34 1.00 204.34 54230.15 265.39 -11.76 -312.22 US20 1180.62 0.64 758.24 1.00 758.24 54230.15 71.52 0.62 4.43 US30 1251.88 0.89 1115.64 1.00 1115.64 54230.15 48.61 -0.94 -4.58 US5 1062.81 0.24 255.88 1.00 255.88 54230.15 211.94 -6.94 -147.02 VIX 151.50 2.84 429.66 1.00 429.66 54230.15 126.22 -20.00 -252.43 WHEAT 355.38 1.55 549.30 1.00 549.30 54230.15 98.73 2.07 20.44 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 45.634 0.010 2.5 1.184 BITCOIN -104.296 0.043 2.5 -11.294 BOBL -107.207 0.004 2.5 -1.087 BTP -1.951 0.014 2.5 -0.067 BUND -47.589 0.004 2.5 -0.483 BUXL -27.383 0.004 2.5 -0.278 CAC 155.896 0.014 2.5 5.317 CAD -116.241 0.010 2.5 -3.016 CANOLA -484.970 0.010 2.5 -11.799 CHF -138.440 0.010 2.5 -3.592 COCOA 1.075 0.009 2.5 0.023 COFFEE -6.411 0.005 2.5 -0.075 COPPER 40.361 0.043 2.5 4.371 CORN -187.144 0.010 2.5 -4.553 COTTON2 -104.234 0.009 2.5 -2.232 CRUDE_W 42.734 0.043 2.5 4.628 DAX 617.581 0.014 2.5 21.065 DOW -25.351 0.009 2.5 -0.589 DX 70.002 0.010 2.5 1.816 EUR 8.504 0.010 2.5 0.221 EURIBOR-ICE -80.989 0.014 2.5 -2.762 EUROSTX 168.735 0.014 2.5 5.755 FEEDCOW -24.567 0.013 2.5 -0.814 GASOIL -32.561 0.017 2.5 -1.411 GASOLINE 6.832 0.017 2.5 0.296 GAS_US_mini -84.878 0.043 2.5 -9.191 GBP -4.360 0.010 2.5 -0.113 GOLD_micro 8.976 0.014 2.5 0.306 HEATOIL -41.408 0.017 2.5 -1.795 JGB-SGX-mini -176.286 0.043 2.5 -19.090 JPY -84.178 0.010 2.5 -2.184 LEANHOG -82.870 0.024 2.5 -5.036 LIVECOW 92.700 0.013 2.5 3.072 LUMBER-new -552.655 0.009 2.5 -11.829 MILK 35.018 0.009 2.5 0.750 MXP 421.590 0.059 2.5 61.878 NASDAQ_micro -83.740 0.009 2.5 -1.946 NIKKEI -54.585 0.043 2.5 -5.911 NZD 41.090 0.010 2.5 1.066 OAT -2.643 0.014 2.5 -0.090 OATIES 87.471 0.010 2.5 2.128 OJ 111.269 0.009 2.5 2.383 PALLAD -12.131 0.014 2.5 -0.414 PLAT 74.659 0.014 2.5 2.546 REDWHEAT 19.200 0.005 2.5 0.255 RICE 142.906 0.010 2.5 3.477 ROBUSTA -11.522 0.005 2.5 -0.135 RUSSELL -96.714 0.013 2.5 -3.205 SHATZ -980.873 0.004 2.5 -9.946 SILVER-mini 39.933 0.014 2.5 1.362 SMI 102.503 0.014 2.5 3.496 SOFR -90.587 0.024 2.5 -5.505 SOYBEAN -59.234 0.004 2.5 -0.551 SOYMEAL -54.500 0.004 2.5 -0.507 SOYOIL -216.144 0.004 2.5 -2.012 SP400 0.481 0.013 2.5 0.016 SP500_micro -35.224 0.009 2.5 -0.819 SUGAR11 -164.523 0.009 2.5 -3.499 US10 -62.799 0.005 2.5 -0.796 US10U -23.072 0.005 2.5 -0.292 US2 -312.222 0.005 2.5 -3.956 US20 4.428 0.005 2.5 0.056 US30 -4.575 0.005 2.5 -0.058 US5 -147.024 0.005 2.5 -1.863 VIX -252.433 0.099 2.5 -62.311 WHEAT 20.436 0.005 2.5 0.271 ===================== Position diags ===================== AUD 3.31 BITCOIN 31.40 BOBL 1.79 BTP 2.62 BUND 0.89 BUXL 0.38 CAC 3.49 CAD 5.00 CANOLA 11.31 CHF 2.39 COCOA 0.26 COFFEE 0.41 COPPER 4.13 CORN 5.11 COTTON2 1.63 CRUDE_W 6.92 DAX 13.21 DOW 10.60 DX 3.83 EUR 2.59 EURIBOR-ICE 12.52 EUROSTX 4.67 FEEDCOW 1.70 GASOIL 2.37 GASOLINE 1.58 GAS_US_mini 28.95 GBP 3.83 GOLD_micro 9.19 HEATOIL 1.79 JGB-SGX-mini 42.22 JPY 2.33 LEANHOG 7.06 LIVECOW 3.18 LUMBER-new 6.04 MILK 2.22 MXP 43.30 NASDAQ_micro 3.98 NIKKEI 24.66 NZD 3.52 OAT 3.01 OATIES 3.93 OJ 1.32 PALLAD 0.81 PLAT 2.35 REDWHEAT 1.15 RICE 3.68 ROBUSTA 0.89 RUSSELL 17.34 SHATZ 6.08 SILVER-mini 1.53 SMI 2.08 SOFR 20.01 SOYBEAN 0.94 SOYMEAL 0.99 SOYOIL 1.10 SP400 0.77 SP500_micro 7.24 SUGAR11 3.43 US10 1.74 US10U 1.33 US2 3.36 US20 0.91 US30 0.62 US5 2.69 VIX 31.16 WHEAT 1.31 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.2 0.9 1.5 0.0 0 BITCOIN -11.3 -14.4 -8.2 0.0 0 BOBL -1.1 -1.3 -0.9 -7.0 -7 BTP -0.1 -0.3 0.2 1.0 1 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.3 -0.3 -0.2 -2.0 -2 CAC 5.3 5.0 5.7 0.0 0 CAD -3.0 -3.5 -2.5 -2.0 -2 CANOLA -11.8 -12.9 -10.7 -6.0 -6 CHF -3.6 -3.8 -3.4 -4.0 -4 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER 4.4 4.0 4.8 4.0 4 CORN -4.6 -5.1 -4.0 -2.0 -2 COTTON2 -2.2 -2.4 -2.1 -3.0 -3 CRUDE_W 4.6 3.9 5.3 2.0 2 DAX 21.1 19.7 22.4 15.0 15 DOW -0.6 -1.6 0.5 0.0 0 DX 1.8 1.4 2.2 NaN 0 EUR 0.2 -0.0 0.5 -3.0 -3 EURIBOR-ICE -2.8 -4.0 -1.5 -5.0 -5 EUROSTX 5.8 5.3 6.2 11.0 11 FEEDCOW -0.8 -1.0 -0.6 0.0 0 GASOIL -1.4 -1.6 -1.2 -1.0 -1 GASOLINE 0.3 0.1 0.5 4.0 4 GAS_US_mini -9.2 -12.1 -6.3 -19.0 -19 GBP -0.1 -0.5 0.3 0.0 0 GOLD_micro 0.3 -0.6 1.2 0.0 0 HEATOIL -1.8 -2.0 -1.6 -2.0 -2 JGB-SGX-mini -19.1 -23.3 -14.9 -3.0 -3 JPY -2.2 -2.4 -2.0 -2.0 -2 LEANHOG -5.0 -5.7 -4.3 -3.0 -3 LIVECOW 3.1 2.8 3.4 2.0 2 LUMBER-new -11.8 -12.4 -11.2 NaN 0 MILK 0.7 0.5 1.0 NaN 0 MXP 61.9 57.5 66.2 44.0 44 NASDAQ_micro -1.9 -2.3 -1.5 -3.0 -3 NIKKEI -5.9 -8.4 -3.4 -5.0 -5 NZD 1.1 0.7 1.4 0.0 0 OAT -0.1 -0.4 0.2 1.0 1 OATIES 2.1 1.7 2.5 NaN 0 OJ 2.4 2.3 2.5 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 2.5 2.3 2.8 2.0 2 REDWHEAT 0.3 0.1 0.4 0.0 0 RICE 3.5 3.1 3.8 NaN 0 ROBUSTA -0.1 -0.2 -0.0 0.0 0 RUSSELL -3.2 -4.9 -1.5 -17.0 -17 SHATZ -9.9 -10.6 -9.3 NaN 0 SILVER-mini 1.4 1.2 1.5 0.0 0 SMI 3.5 3.3 3.7 7.0 7 SOFR -5.5 -7.5 -3.5 NaN 0 SOYBEAN -0.6 -0.6 -0.5 -1.0 -1 SOYMEAL -0.5 -0.6 -0.4 0.0 0 SOYOIL -2.0 -2.1 -1.9 -5.0 -5 SP400 0.0 -0.1 0.1 -1.0 -1 SP500_micro -0.8 -1.5 -0.1 -1.0 -1 SUGAR11 -3.5 -3.8 -3.2 -3.0 -3 US10 -0.8 -1.0 -0.6 0.0 0 US10U -0.3 -0.4 -0.2 -5.0 -5 US2 -4.0 -4.3 -3.6 NaN 0 US20 0.1 -0.0 0.1 0.0 0 US30 -0.1 -0.1 0.0 0.0 0 US5 -1.9 -2.1 -1.6 -9.0 -9 VIX -62.3 -65.4 -59.2 -58.0 -58 WHEAT 0.3 0.1 0.4 0.0 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.8 3.8 3.8 3.8 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 0.5 0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.2 -0.3 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 -0.0 0.2 0.5 0.5 0.2 -0.5 -0.3 -0.2 -0.0 BITCOIN -0.5 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.0 0.5 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.0 0.2 0.0 0.5 -0.0 -2.7 0.0 0.0 0.3 0.0 0.4 -0.0 -0.2 -0.1 -0.4 -0.6 0.6 -0.4 -0.0 0.4 0.1 BOBL 0.1 -0.2 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 0.1 -0.0 -0.7 -0.7 0.1 -0.4 BTP 0.1 -0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.2 0.1 0.3 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.2 0.0 -2.7 0.0 0.1 0.1 0.0 0.2 0.0 0.8 -0.3 -0.1 0.2 0.6 -0.3 -0.3 0.6 0.1 BUND 0.0 -0.3 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.3 0.2 0.1 -0.7 -0.7 0.2 -0.3 BUXL -0.0 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.4 0.3 0.3 -0.7 -0.7 -0.3 -0.2 CAC 0.2 -0.5 0.5 0.0 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -1.7 0.1 0.1 0.3 0.1 0.3 0.1 1.0 -0.0 0.5 0.6 0.6 -0.3 0.3 -0.4 0.4 CAD 0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.3 0.2 -0.4 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 0.1 -0.2 -0.0 0.0 -0.1 0.1 0.0 -0.1 -0.4 -0.5 -0.0 -0.3 CANOLA 0.3 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.0 -0.2 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.2 0.0 -1.1 0.3 0.2 0.2 -0.2 -0.7 -0.6 -0.3 -0.1 CHF 0.5 -0.4 -0.6 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 -0.5 0.2 -0.4 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.1 -0.4 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -1.1 0.1 -0.2 -0.6 -0.6 -0.0 -0.5 0.2 -0.5 COCOA -0.6 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.1 0.2 -0.0 -2.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.3 -0.6 0.6 0.6 0.2 0.0 0.3 0.3 COFFEE -0.6 0.2 0.3 0.0 0.0 0.1 0.0 -0.0 0.0 -0.0 0.2 -0.1 0.3 -0.0 0.0 0.2 0.2 0.2 0.2 0.0 0.1 -0.1 0.2 -0.1 -2.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.5 -0.5 -0.6 0.6 0.6 -0.0 -0.7 0.3 -0.2 COPPER -0.0 0.6 0.6 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.4 0.2 0.3 0.2 0.2 0.0 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -1.9 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.6 0.6 0.6 -0.6 -0.1 0.3 0.2 CORN 0.5 0.4 0.5 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.2 0.2 -0.6 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.1 0.1 -0.5 0.2 -2.2 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.4 0.5 0.4 -0.4 -0.5 -0.7 -0.5 0.0 COTTON2 -0.3 -0.6 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 -0.6 -0.6 0.1 -0.3 -0.5 0.1 -0.0 CRUDE_W -0.6 -0.1 0.3 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.2 -0.2 0.6 -0.2 0.1 0.3 0.2 0.3 0.3 0.0 0.1 -0.1 0.4 -0.1 -0.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 -0.1 -0.3 0.1 0.1 0.7 0.6 0.7 0.6 DAX 0.3 -0.6 0.4 0.0 0.1 0.1 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 1.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.5 -0.1 0.3 0.6 0.6 -0.0 0.2 0.1 0.5 DOW 0.5 -0.6 -0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.2 0.5 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.4 0.1 -1.7 0.0 0.1 0.1 0.1 0.3 0.1 -0.5 0.1 0.2 0.1 -0.2 0.1 -0.2 0.3 -0.5 DX -0.4 0.3 0.3 -0.0 0.1 -0.1 0.1 0.0 0.0 -0.2 0.4 -0.2 0.4 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 -0.0 -2.7 0.1 -0.1 0.1 -0.1 0.1 -0.0 0.9 -0.5 -0.6 0.6 0.6 0.4 0.2 0.6 0.4 EUR 0.4 -0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.2 0.2 -0.3 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 0.1 2.7 -0.0 0.2 -0.1 0.1 -0.1 0.1 -0.4 0.2 0.4 0.1 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE 0.1 -0.6 -0.5 -0.0 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 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 1.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.7 -0.7 0.1 0.4 EUROSTX 0.1 -0.6 0.5 0.0 0.1 0.1 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.1 -0.0 -0.1 -0.0 0.2 0.2 0.2 0.5 0.2 -0.2 0.1 0.1 0.3 0.1 0.4 0.1 0.5 -0.3 0.2 0.6 0.6 -0.5 0.2 -0.6 0.4 FEEDCOW 0.1 -0.5 -0.1 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.0 -0.1 -0.8 -0.0 0.1 -0.0 0.0 0.1 -0.0 -1.1 -0.1 -0.0 -0.6 0.1 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.4 0.1 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.1 -0.2 0.5 -0.2 -0.1 -0.0 0.4 0.1 0.3 -0.1 0.0 -0.2 0.4 -0.2 0.9 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.3 -0.5 -0.5 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 -0.2 0.3 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.4 -0.2 0.6 -0.2 0.1 0.4 0.3 0.4 0.2 -0.0 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.0 -0.5 -0.4 -0.1 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.5 0.5 0.2 -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 -0.4 -0.4 -0.4 -0.0 -0.2 0.1 -0.5 0.1 2.7 -0.0 0.1 -0.2 0.1 -0.4 0.1 -1.1 0.5 0.6 0.1 -0.6 -0.4 -0.2 -0.7 -0.3 GBP 0.3 -0.3 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 0.1 0.2 0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 0.2 -0.0 0.2 0.0 0.1 0.1 0.0 0.2 -0.1 0.2 0.1 0.3 -0.7 -0.4 -0.7 -0.2 GOLD_micro -0.5 0.3 0.6 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.3 0.0 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.3 0.1 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.1 -0.3 0.6 0.6 -0.4 -0.5 -0.1 -0.3 HEATOIL -0.6 -0.4 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.2 -0.1 -0.2 0.3 -0.2 -0.1 -0.1 0.3 0.1 0.2 -0.2 -0.0 -0.2 0.2 -0.2 -2.7 -0.1 -0.0 0.0 -0.1 0.2 -0.1 0.2 -0.3 -0.4 -0.6 -0.4 0.5 0.2 0.2 0.0 JGB-SGX-mini -0.0 -0.6 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -1.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.5 -0.3 -0.3 -0.1 -0.5 -0.3 0.0 0.4 JPY 0.5 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.3 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 -0.4 -0.4 -0.4 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.6 -0.2 0.6 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 0.3 -0.2 -0.1 -0.2 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.1 -0.2 0.1 -0.2 1.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 0.6 -0.3 -0.3 -0.0 0.4 LIVECOW 0.2 -0.4 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.0 0.4 0.2 0.4 0.3 -0.0 -0.0 0.1 0.0 0.0 -0.8 0.0 0.1 0.0 0.0 0.1 0.0 0.6 0.3 -0.0 -0.5 0.4 0.7 0.7 0.7 0.7 LUMBER-new 0.0 -0.7 -0.3 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 -0.2 0.0 -0.5 -0.2 -0.2 -0.5 -0.4 -0.5 -0.5 -0.2 -0.2 -0.1 -0.2 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -1.2 -0.2 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.5 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.4 0.1 0.1 0.2 -0.4 -0.4 -0.4 0.2 0.0 0.2 -0.3 0.2 1.9 0.0 0.0 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.2 -0.7 -0.7 -0.6 -0.7 MXP -0.0 -0.4 -0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 0.4 0.2 0.7 -0.0 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 0.2 0.1 0.4 0.0 1.1 0.1 -0.2 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.3 -0.6 -0.3 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.2 0.4 0.1 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 -0.4 -0.0 -0.3 -0.1 -0.2 -0.0 0.0 0.0 -0.0 NIKKEI -0.2 -0.6 0.0 0.0 0.1 0.1 0.1 0.2 0.0 0.0 0.3 0.1 0.5 -0.1 0.0 0.0 0.2 0.1 0.1 0.0 0.1 0.0 0.5 -0.0 -1.9 0.0 0.0 0.2 0.0 0.3 -0.0 1.1 -0.5 -0.6 -0.4 0.2 -0.3 -0.2 -0.2 -0.3 NZD 0.5 -0.1 -0.2 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.1 0.2 -0.2 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 0.3 0.3 0.1 -0.0 -0.2 -0.2 0.0 0.2 OAT 0.1 -0.4 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.9 -0.2 -0.2 0.2 0.2 -0.7 -0.7 0.2 -0.0 OATIES 0.6 0.6 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.1 -0.3 0.2 -0.5 0.2 0.2 0.4 0.1 0.3 0.2 0.2 0.0 0.2 -0.2 0.2 -2.7 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 0.5 0.6 0.6 0.2 -0.5 -0.1 -0.0 0.5 OJ 0.5 0.2 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.2 0.4 0.2 0.7 0.2 0.2 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.1 0.2 0.4 0.1 0.6 0.5 0.6 0.6 0.6 0.2 0.3 0.6 0.7 PALLAD -0.3 0.0 0.2 0.0 0.1 0.0 0.0 0.0 0.0 0.1 -0.1 -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 1.8 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.2 -0.3 -0.3 -0.3 -0.7 -0.6 -0.7 -0.4 PLAT 0.4 0.4 0.3 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.1 0.2 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 1.5 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.5 0.5 0.3 -0.1 -0.7 -0.2 0.4 0.2 REDWHEAT 0.6 0.6 0.6 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.0 0.1 -0.5 0.2 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.0 0.2 -0.3 0.2 -0.9 0.1 0.0 0.0 0.1 -0.1 0.1 -0.5 0.5 0.6 0.6 0.0 -0.3 -0.7 0.1 -0.7 RICE 0.6 0.3 -0.2 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 0.4 0.4 0.4 0.1 0.1 0.1 0.2 0.2 -1.2 0.0 0.0 0.0 0.0 0.0 0.0 1.1 -0.0 0.3 0.1 -0.0 -0.1 -0.1 0.0 0.1 ROBUSTA -0.6 -0.5 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.4 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.5 -0.5 0.6 0.6 -0.3 -0.5 0.1 0.1 RUSSELL 0.4 -0.4 0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.3 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.2 0.1 -0.3 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 -0.2 -0.0 0.1 -0.4 -0.3 -0.7 -0.4 -0.7 SHATZ 0.1 -0.2 -0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.3 -0.1 1.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.4 -0.1 -0.3 -0.7 -0.7 -0.6 -0.7 SILVER-mini -0.2 0.5 0.6 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.3 -0.1 0.4 0.5 -0.3 -0.5 0.6 0.2 SMI 0.5 -0.4 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.4 0.1 0.1 -0.1 0.1 -0.0 0.0 0.1 0.1 0.2 0.2 0.2 1.8 0.1 0.1 0.1 0.1 0.2 0.1 0.8 -0.0 0.3 0.3 -0.0 0.4 -0.0 0.6 -0.1 SOFR 0.5 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 0.0 -0.3 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.2 0.2 0.2 -0.1 -0.0 -0.3 -0.7 0.4 -0.0 SOYBEAN 0.5 0.4 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.2 0.1 0.1 -0.0 0.2 0.0 0.1 0.1 -0.0 0.1 -0.2 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.2 0.5 0.4 0.2 -0.4 -0.5 -0.7 -0.4 -0.7 SOYMEAL 0.6 0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.2 0.1 -0.3 0.1 0.0 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.2 -2.7 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.5 0.6 0.6 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.6 -0.1 -0.6 -0.6 -0.4 -0.7 -0.5 -0.3 0.1 SP400 0.4 -0.5 0.4 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.4 0.2 -1.7 0.0 0.1 0.1 0.1 0.2 0.1 0.0 -0.0 0.1 0.2 0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro 0.3 -0.6 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.3 0.0 -0.6 0.0 -0.1 -0.0 0.2 -0.0 -0.1 0.2 -0.1 SUGAR11 -0.1 -0.6 -0.6 0.0 0.0 0.1 0.1 -0.0 0.1 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.8 -0.5 -0.6 -0.6 -0.6 0.7 0.4 0.7 0.7 US10 0.4 -0.4 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 0.1 -0.0 0.0 -0.5 -0.7 -0.0 0.1 US10U 0.4 -0.4 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.2 0.2 -0.0 0.1 -0.5 -0.6 0.6 0.3 US2 0.4 -0.4 -0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.0 1.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.1 0.0 -0.1 -0.2 -0.6 -0.7 -0.4 -0.7 US20 0.4 -0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.3 0.1 0.2 0.0 0.2 -0.6 -0.5 0.7 0.5 US30 0.3 -0.4 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.1 0.1 0.0 0.2 -0.6 -0.4 0.6 0.6 US5 0.4 -0.4 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.2 0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.6 0.1 0.1 -0.1 -0.1 -0.5 -0.7 -0.2 -0.3 VIX -1.0 0.3 0.5 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.3 -0.9 -0.3 NaN -0.1 -0.1 -0.3 -0.2 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.6 0.6 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 0.1 0.2 -0.4 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.0 0.2 -0.2 0.2 0.2 0.1 0.0 0.0 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 -0.1 -0.2 -0.7 -0.0 -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 15.3 3.3 0.5 -2.4 9.0 -1.7 4.9 0.6 0.6 14.7 -3.4 15.3 -8.3 12.7 4.9 -2.5 -2.8 -2.7 -2.7 3.3 -0.7 14.1 -3.5 9.8 2.8 2.6 10.7 0.4 8.5 -1.1 6.0 -0.6 7.8 14.3 14.5 5.5 -15.3 -8.3 -5.7 -0.9 BITCOIN -15.2 -16.2 5.0 4.7 13.4 3.7 7.9 1.8 4.8 15.0 12.1 3.6 14.6 -6.3 6.5 -5.9 -7.2 -7.2 -7.6 3.3 16.4 3.0 20.0 -3.8 -20.0 3.5 4.6 9.3 1.0 10.9 -0.3 -3.4 -2.2 -12.3 -20.0 20.0 -10.5 -1.2 11.8 2.8 BOBL 1.6 -7.2 -11.7 -1.5 3.1 -1.6 1.9 -1.5 0.2 3.8 -5.5 1.3 -4.1 -4.4 -7.7 13.6 -6.4 6.2 -2.2 -5.7 -5.3 0.5 -4.7 -3.0 4.7 -2.5 2.7 -2.0 -0.2 -1.6 -1.8 -2.8 -5.7 -9.8 1.9 -0.7 -20.0 -20.0 1.9 -12.1 BTP 1.6 -14.8 -2.5 -2.4 5.0 -2.5 3.0 -2.4 0.3 5.8 9.2 7.2 9.2 -0.6 -3.2 4.6 5.9 4.8 5.0 0.6 4.2 4.5 6.0 1.4 -20.0 2.0 7.6 4.9 2.5 5.8 1.0 15.6 -10.7 -3.8 7.7 18.8 -9.6 -9.9 18.0 2.5 BUND 1.4 -8.2 -7.2 -1.6 3.4 -1.7 2.1 -1.6 0.2 4.2 -2.4 2.7 -1.9 -3.4 -7.3 -9.4 -0.8 -7.6 -4.5 -4.3 -3.4 1.4 -3.3 -1.9 2.1 -1.4 3.8 -0.6 0.5 -0.6 -1.0 2.0 -6.0 -8.4 5.6 4.4 -20.0 -20.0 6.2 -8.7 BUXL -0.3 -8.2 -1.9 -2.0 4.2 -2.1 2.5 -2.0 0.2 1.3 -0.6 1.6 -2.6 -4.1 -7.8 -8.2 -2.8 -6.9 -4.9 -4.1 -2.9 0.5 -4.1 -2.4 -1.8 -0.4 3.2 0.8 -0.3 -0.0 -1.1 0.0 -11.9 -11.3 9.3 9.6 -20.0 -20.0 -8.0 -5.3 CAC 6.8 -15.9 16.4 4.1 11.2 6.3 10.6 6.9 5.9 20.0 20.0 20.0 20.0 17.6 20.0 9.6 3.1 12.2 7.4 20.0 20.0 20.0 20.0 20.0 -12.8 8.9 8.5 9.8 10.6 9.0 9.3 18.4 -1.5 15.2 18.5 20.0 -9.3 7.7 -10.7 11.9 CAD 7.4 -6.6 -6.5 -3.2 12.4 -2.3 6.8 0.8 0.8 20.0 -12.2 18.8 -11.1 -3.6 -12.5 -3.0 -2.4 -2.7 -2.5 -8.3 -9.3 8.7 -8.2 -0.6 -0.8 -4.7 11.3 -5.3 5.8 -4.6 -0.2 0.0 -6.0 3.3 0.3 -2.8 -11.5 -13.6 -1.3 -9.9 CANOLA 9.7 17.7 18.6 2.3 2.2 1.4 3.1 -0.3 2.9 1.2 -4.7 5.8 -7.3 5.8 6.1 -15.2 -8.4 -15.4 -13.5 3.6 -2.9 5.5 -9.1 6.5 -20.0 1.6 -0.6 -1.4 2.3 -4.4 2.8 -20.0 11.2 5.5 5.9 -5.1 -20.0 -16.7 -9.1 -4.0 CHF 14.7 -12.1 -20.0 -2.8 10.7 -2.0 5.8 0.7 0.7 15.6 -17.5 14.3 -12.3 -8.5 -17.4 -16.4 -16.0 -16.3 -16.1 -19.8 -20.0 6.1 -13.8 -5.1 1.1 -5.9 3.6 -6.3 1.9 -3.4 -1.6 -20.0 4.4 -6.1 -19.9 -20.0 -0.5 -16.3 6.7 -14.3 COCOA -20.0 -20.0 -20.0 1.5 1.4 0.9 2.0 -0.2 2.0 -2.7 4.5 -5.0 5.7 -3.2 2.4 15.3 15.0 20.0 20.0 2.1 6.3 -7.3 6.1 -4.5 -14.8 1.7 -0.8 3.0 -1.0 3.2 -0.2 20.0 -13.8 -18.1 20.0 20.0 5.2 0.7 10.2 8.1 COFFEE -20.0 6.0 8.4 3.2 3.1 2.0 4.3 -0.5 4.1 -4.4 7.9 -11.3 7.8 -4.1 0.8 8.1 8.5 10.5 10.3 4.6 10.7 -12.7 8.9 -7.9 -17.4 2.6 -1.0 3.5 -2.2 2.9 -0.4 9.5 -20.0 -20.0 20.0 17.9 -0.0 -19.8 9.3 -6.6 COPPER -0.0 20.0 20.0 3.9 7.3 3.3 4.1 1.6 3.0 14.6 15.3 14.3 8.0 15.4 16.3 0.9 -4.4 -2.8 -4.0 20.0 20.0 20.0 12.1 20.0 -14.1 6.0 8.3 4.8 6.1 2.7 5.8 2.0 20.0 20.0 20.0 20.0 -18.5 -3.2 9.0 6.6 CORN 14.9 13.2 15.2 4.6 4.3 2.8 6.1 -0.7 5.8 7.4 -6.9 16.1 -17.8 16.1 10.9 -18.4 -11.1 -18.8 -16.4 7.1 -5.3 15.2 -16.8 14.8 -16.3 3.7 3.6 -2.2 7.7 -6.4 7.6 -20.0 18.1 16.3 13.1 -13.0 -16.0 -20.0 -15.6 0.3 COTTON2 -10.1 -20.0 -4.2 2.4 2.2 1.4 3.1 -0.4 3.0 -6.6 -6.1 -7.5 -2.9 -9.4 -9.2 7.0 3.9 9.1 6.1 -13.3 -6.8 -10.8 -2.3 -14.2 -18.3 -2.5 -2.2 -0.4 -2.4 0.8 -3.1 1.0 -13.4 -20.0 -20.0 3.0 -9.7 -14.3 3.7 -0.2 CRUDE_W -20.0 -2.0 7.8 -0.9 -2.9 3.4 -6.0 4.7 -6.0 -11.6 8.3 -20.0 15.5 -17.3 8.2 13.8 12.1 14.6 13.2 0.6 11.6 -15.5 16.1 -13.7 -5.5 -0.5 -3.4 4.5 -6.9 6.8 -6.5 -1.1 -5.4 -8.8 4.4 2.3 20.0 16.9 20.0 18.6 DAX 9.0 -19.0 11.3 3.4 9.2 5.1 8.7 5.6 4.9 18.2 18.9 19.4 19.0 13.8 16.2 -10.0 -11.5 -11.6 -12.1 20.0 20.0 20.0 20.0 20.0 12.9 7.5 6.2 8.5 7.2 7.5 6.8 -10.2 -2.7 8.3 20.0 20.0 -0.8 6.9 2.8 16.1 DOW 14.5 -20.0 -4.8 2.8 7.5 4.2 7.1 4.6 4.0 15.2 12.6 16.0 13.5 3.7 0.3 -10.8 -11.1 -11.6 -11.7 5.6 9.8 20.0 15.3 13.8 -12.8 3.2 9.9 5.2 9.4 7.2 5.6 -9.5 3.3 6.6 3.8 -7.7 3.6 -6.8 10.1 -14.0 DX -11.7 9.2 9.1 -3.1 11.9 -2.2 6.5 0.8 0.7 -19.6 15.2 -17.5 12.2 5.8 14.4 7.4 6.7 7.3 7.0 11.5 13.4 -16.1 10.6 -1.0 -20.0 4.7 -12.0 5.2 -6.7 4.1 -0.4 16.0 -20.0 -20.0 20.0 20.0 13.4 5.8 17.6 13.2 EUR 11.6 -5.6 -4.6 -3.2 12.1 -2.3 6.6 0.8 0.8 20.0 -8.4 20.0 -8.7 1.3 -7.7 -7.0 -6.8 -6.9 -6.7 -4.3 -7.4 18.5 -6.1 6.5 20.0 -0.6 18.0 -1.9 12.1 -1.5 5.0 -7.4 9.2 12.2 3.6 2.6 -20.0 -16.1 -20.0 -12.5 EURIBOR-ICE 4.3 -17.7 -15.3 -1.4 2.9 -1.4 1.7 -1.4 0.2 4.9 -0.1 2.9 1.2 -3.4 -6.5 -5.8 -4.4 -4.7 -3.9 -4.9 -2.5 2.5 -0.1 -2.0 12.2 -2.1 3.3 -0.8 0.7 0.4 -1.2 -0.7 -0.9 -7.0 -2.1 -0.9 -20.0 -20.0 4.0 11.8 EUROSTX 4.3 -18.6 14.1 3.6 9.8 5.5 9.3 6.0 5.2 19.9 20.0 20.0 20.0 15.1 19.8 -7.4 -0.7 -4.4 -1.8 20.0 20.0 20.0 20.0 19.9 -1.4 8.2 6.4 10.2 7.6 9.7 7.1 8.5 -11.1 5.1 20.0 20.0 -14.4 6.7 -18.4 11.0 FEEDCOW 4.2 -16.0 -2.2 4.1 3.9 2.5 5.4 -0.6 5.2 12.9 -3.1 -3.9 -2.7 -5.9 -5.8 -20.0 -20.0 -20.0 -20.0 -7.4 -5.7 1.3 -1.4 -5.0 -6.4 -2.1 6.0 -1.3 1.0 1.7 -1.3 -20.0 -4.4 -0.7 -20.0 1.6 20.0 20.0 20.0 20.0 GASOIL -20.0 -12.1 2.3 -0.8 -2.5 3.0 -5.4 4.2 -5.3 -15.0 5.4 -20.0 14.6 -20.0 -4.9 -2.2 17.6 7.2 13.3 -10.9 3.8 -19.4 14.6 -20.0 6.8 -4.4 -4.5 0.8 -7.4 4.5 -8.2 6.0 -12.0 -16.8 -16.2 -6.7 -15.5 -9.3 -20.0 -19.1 GASOLINE -20.0 -7.3 10.3 -0.8 -2.6 3.1 -5.5 4.3 -5.4 -13.3 14.0 -20.0 16.7 -17.3 7.7 20.0 13.5 18.3 12.4 -1.0 11.9 -20.0 16.2 -17.7 -20.0 -1.1 -5.1 4.1 -8.6 6.6 -7.4 -0.5 -18.8 -13.5 -3.5 7.0 20.0 20.0 20.0 20.0 GAS_US_mini 15.2 16.8 6.4 -0.7 -2.0 2.4 -4.3 3.4 -4.3 16.3 -18.0 16.6 -19.3 12.6 -10.7 -20.0 -20.0 -20.0 -20.0 -2.3 -17.2 15.6 -20.0 9.2 20.0 -2.1 10.1 -8.6 9.0 -11.3 4.7 -20.0 20.0 20.0 3.7 -20.0 -12.6 -5.3 -20.0 -10.1 GBP 9.3 -8.8 -5.0 -3.3 12.5 -2.4 6.8 0.8 0.8 20.0 4.9 19.7 4.1 0.5 -8.2 -1.1 -0.8 -1.0 -0.8 -3.7 -2.8 14.9 1.3 3.8 1.5 -0.2 19.3 0.8 10.9 2.2 3.8 2.9 -3.8 4.9 2.1 9.0 -20.0 -13.4 -20.0 -6.4 GOLD_micro -15.7 8.7 20.0 3.1 8.8 2.4 5.1 1.2 3.1 10.6 11.2 2.8 9.9 7.1 9.9 -11.8 -14.2 -13.2 -13.9 14.7 16.8 8.8 12.7 8.6 -3.4 3.8 3.0 4.5 1.8 3.5 2.0 -14.8 -4.7 -9.5 19.5 20.0 -12.8 -16.0 -2.2 -8.3 HEATOIL -19.9 -11.0 -0.8 -0.9 -2.7 3.2 -5.6 4.5 -5.6 -20.0 -3.1 -20.0 9.2 -20.0 -12.6 -6.3 17.3 3.4 11.2 -14.5 -1.6 -20.0 8.8 -20.0 -20.0 -5.2 -5.4 0.1 -7.8 4.6 -8.8 4.1 -10.5 -12.5 -20.0 -11.4 14.1 5.6 6.4 1.3 JGB-SGX-mini -1.0 -18.5 -10.1 -1.7 3.6 -1.8 2.2 -1.7 0.2 -6.1 0.2 -6.6 3.2 -8.2 -8.9 18.9 16.3 16.0 14.4 -8.1 -4.5 -7.1 -0.1 -7.8 -8.8 -3.2 -1.9 -2.2 -2.5 -1.1 -2.9 20.0 -20.0 -9.6 -9.0 -2.4 -15.0 -8.7 0.3 11.3 JPY 13.9 -1.6 -2.3 -1.3 5.0 -0.9 2.7 0.3 0.3 -3.0 -9.2 -2.5 -9.7 -6.2 -8.1 -14.2 -16.4 -15.9 -16.2 -8.8 -10.0 -2.9 -11.4 -5.9 20.0 -3.2 0.2 -3.3 -0.8 -3.4 -2.1 -20.0 -0.9 -12.6 -13.0 -12.6 -20.0 -11.4 -20.0 -10.8 LEANHOG -20.0 -6.1 19.1 5.7 5.4 3.5 7.6 -0.9 7.3 -15.2 12.9 -20.0 -2.1 -20.0 3.0 -20.0 -20.0 -20.0 -20.0 -2.6 8.5 -20.0 1.9 -20.0 9.2 -1.2 -6.5 4.7 -9.9 2.6 -8.1 -20.0 -20.0 -20.0 -17.6 18.2 -8.4 -9.5 -0.5 11.4 LIVECOW 5.4 -13.7 2.1 4.0 3.8 2.4 5.3 -0.6 5.1 14.5 -0.6 9.5 -0.3 -4.7 -4.1 20.0 7.5 20.0 15.2 -3.3 -2.6 7.0 0.2 0.2 -5.7 0.7 8.9 1.4 4.5 3.9 1.5 11.8 11.0 -0.2 -14.8 11.9 20.0 20.0 20.0 20.0 LUMBER-new 0.9 -20.0 -7.3 4.5 4.2 2.7 5.9 -0.1 5.7 -7.5 -7.0 2.9 -11.7 -13.2 -13.4 -20.0 -18.0 -20.0 -19.7 -20.0 -14.5 -6.0 -7.3 -17.7 NaN -5.2 -0.7 -3.2 -1.3 -1.2 -4.0 -20.0 -8.3 -20.0 -20.0 -20.0 -12.0 -11.1 -4.4 -6.7 MILK 20.0 20.0 16.7 3.1 2.9 1.9 4.1 -0.5 3.9 10.2 -3.6 12.5 -10.3 13.0 9.6 10.3 -20.0 -18.7 -20.0 14.2 0.6 20.0 -10.9 20.0 14.2 3.2 3.2 -0.0 5.2 -2.9 5.4 -20.0 20.0 20.0 20.0 5.2 -20.0 -20.0 -18.5 -20.0 MXP -0.3 -11.9 -1.7 -3.0 11.4 -2.1 6.2 0.8 0.7 17.5 15.6 16.6 19.7 -1.2 4.8 15.7 17.1 16.6 16.6 6.9 13.6 15.3 20.0 7.6 -20.0 3.9 9.2 6.8 6.8 9.9 3.6 20.0 5.1 -4.8 19.1 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 10.6 -20.0 -9.4 2.2 6.0 3.3 5.6 3.7 3.2 12.1 11.2 12.4 12.6 6.8 5.7 -9.6 -10.3 -10.4 -10.6 3.9 8.7 17.1 14.9 8.5 -20.0 1.3 8.6 4.1 6.3 7.5 2.8 -7.7 -0.6 -7.9 -4.6 -5.8 -1.4 0.2 0.8 -0.1 NIKKEI -5.7 -20.0 0.3 2.5 6.8 3.8 6.4 4.2 3.6 2.0 10.4 5.2 13.3 -5.7 3.1 1.7 9.0 3.9 6.6 1.7 13.6 2.0 20.0 -2.5 -14.2 0.8 2.6 5.9 0.6 9.2 -1.1 20.0 -20.0 -20.0 -11.8 5.7 -9.4 -7.0 -5.5 -8.7 NZD 15.4 -3.4 -5.8 -2.2 8.4 -1.6 4.6 0.6 0.5 14.1 -4.4 14.2 -5.0 4.5 -5.7 0.0 0.2 0.1 0.2 -1.9 -4.2 14.3 -3.7 6.3 0.8 -0.7 12.5 -1.9 8.4 -1.4 3.8 4.6 14.3 9.5 3.6 -1.0 -6.8 -4.7 0.2 7.3 OAT 3.4 -11.2 -6.8 -1.8 3.7 -1.9 2.2 -1.8 0.2 4.2 -0.6 3.7 -0.3 -2.6 -7.1 6.1 6.1 5.6 5.4 -3.8 -2.5 1.9 -1.8 -1.4 2.5 -1.1 4.7 0.1 1.1 0.3 -0.6 16.1 -7.3 -6.4 4.7 6.2 -20.0 -19.7 7.4 -0.7 OATIES 20.0 20.0 7.2 4.7 4.4 2.8 6.2 -0.7 5.9 7.7 -9.5 16.9 -14.5 18.7 14.2 20.0 2.8 13.4 7.8 16.6 0.7 20.0 -7.6 20.0 -20.0 5.0 6.6 1.1 10.5 -0.9 9.1 1.2 20.0 20.0 20.0 6.2 -15.1 -2.0 -0.3 14.6 OJ 16.9 5.0 4.9 5.3 4.9 3.2 7.0 -0.8 6.7 20.0 13.0 20.0 18.6 20.0 20.0 7.6 12.4 6.6 8.5 20.0 20.0 20.0 20.0 20.0 -20.0 5.6 20.0 5.0 18.7 9.7 10.9 11.7 20.0 20.0 20.0 20.0 5.7 8.6 19.2 20.0 PALLAD -9.8 0.8 6.1 2.4 6.8 1.9 4.0 0.9 2.4 8.3 -4.3 -0.3 -8.1 -5.1 -0.5 -2.3 -2.1 -2.1 -2.0 -2.5 -4.2 1.8 -10.3 -2.1 13.5 -1.0 4.9 -1.6 1.4 -4.1 -0.9 6.0 -7.5 -9.9 -10.8 -8.6 -20.0 -19.3 -20.0 -12.4 PLAT 12.2 13.9 7.9 3.6 10.2 2.8 6.0 1.3 3.6 13.5 2.9 14.1 -7.1 11.9 8.5 -4.9 -3.8 -4.7 -4.4 10.6 4.4 20.0 -0.5 18.7 11.2 4.1 13.1 2.2 10.0 0.8 6.6 2.5 20.0 16.3 9.2 -2.4 -19.6 -6.8 11.1 6.9 REDWHEAT 20.0 20.0 20.0 4.0 3.8 2.4 5.3 -0.6 5.1 6.3 -1.8 13.4 -13.8 14.6 11.7 -10.4 -1.2 -4.9 -2.5 16.7 2.0 20.0 -11.2 20.0 -6.8 4.7 3.3 0.8 6.0 -2.1 6.8 -9.6 20.0 20.0 20.0 0.2 -9.0 -20.0 2.6 -19.9 RICE 20.0 10.0 -5.1 2.9 2.7 1.7 3.8 -0.4 3.7 8.6 6.2 11.5 7.9 12.7 8.2 20.0 20.0 20.0 20.0 10.8 7.1 9.8 6.9 14.0 -8.7 2.0 0.9 0.9 2.3 0.8 3.1 20.0 -1.3 10.5 2.1 -0.3 -3.3 -4.3 0.3 2.6 ROBUSTA -20.0 -15.4 -4.6 1.9 1.8 1.2 2.5 -0.3 2.4 -5.9 6.3 -7.5 7.6 -3.6 1.9 20.0 20.0 20.0 20.0 4.2 12.1 -13.9 13.1 -8.7 -20.0 2.0 -0.8 3.4 -1.5 3.6 -0.3 20.0 -20.0 -16.8 17.5 20.0 -7.6 -16.0 3.6 4.2 RUSSELL 12.1 -11.4 5.5 2.5 6.8 3.8 6.5 4.2 3.6 13.6 10.3 13.8 9.6 3.4 1.4 -6.8 -6.5 -6.7 -6.6 3.6 5.4 16.6 6.3 9.0 -1.9 2.5 8.9 3.4 7.7 3.9 4.6 -0.9 -9.9 -0.7 2.4 -11.0 -10.3 -20.0 -11.6 -20.0 SHATZ 1.6 -6.5 -19.7 -1.4 3.0 -1.5 1.8 -1.4 0.2 4.0 -8.4 -0.5 -8.2 -5.4 -8.2 -20.0 -20.0 -20.0 -20.0 -9.3 -10.2 -0.8 -10.3 -5.2 7.6 -3.1 1.3 -2.9 -0.6 -2.6 -2.1 -20.0 -6.4 -12.6 -4.5 -8.8 -20.0 -20.0 -17.6 -20.0 SILVER-mini -7.4 14.9 18.3 3.3 9.4 2.6 5.5 1.2 3.4 12.1 9.4 8.5 5.8 8.7 9.9 -6.3 -6.7 -6.6 -6.7 12.6 11.1 16.7 6.5 11.9 2.7 4.1 7.0 4.0 4.6 2.7 3.4 -2.0 12.2 -1.7 13.3 15.8 -8.0 -13.8 17.9 5.3 SMI 13.9 -11.5 10.1 2.9 7.8 4.3 7.3 4.8 4.1 15.8 13.8 16.4 11.7 10.9 9.8 -2.7 3.4 -0.2 2.2 12.1 10.5 20.0 8.5 20.0 13.1 5.4 8.2 5.4 9.5 4.2 7.3 15.5 -1.8 8.2 9.5 -0.8 10.9 -0.5 16.5 -1.8 SOFR 14.5 -13.6 -12.5 -1.9 4.0 -2.0 2.4 -1.9 0.2 10.4 -3.1 10.1 -3.8 -1.9 -7.7 -3.3 -0.8 -2.3 -1.3 -6.3 -7.4 10.7 -6.1 2.0 -2.6 -1.6 6.7 -1.8 4.3 -1.2 1.2 4.6 9.2 5.9 -1.6 -0.2 -7.9 -20.0 10.9 -1.1 SOYBEAN 15.9 12.0 1.8 4.3 4.0 2.6 5.6 -0.6 5.4 -1.5 -8.3 8.6 -5.8 8.6 7.2 -1.0 9.0 0.4 3.8 5.3 -4.3 9.3 -9.0 11.6 -20.0 2.9 -0.1 -0.8 4.5 -2.3 5.6 4.6 19.9 12.5 6.8 -11.8 -15.3 -20.0 -13.0 -20.0 SOYMEAL 20.0 20.0 -0.1 3.1 2.9 1.8 4.0 -0.5 3.9 -0.8 -8.4 6.7 -9.0 8.4 3.8 0.7 5.9 -1.7 0.5 8.6 -2.2 11.0 -6.5 15.3 -20.0 3.1 1.0 0.1 3.5 -0.9 4.8 -1.0 20.0 20.0 20.0 -6.8 -20.0 -20.0 -20.0 -20.0 SOYOIL -5.9 -5.8 2.9 2.5 2.4 1.5 3.3 -0.4 3.2 -1.6 -10.1 -3.5 -9.3 -8.2 -8.2 -7.1 -0.4 -7.0 -4.8 -8.2 -8.4 -3.8 -8.8 -7.4 -20.0 -2.9 -0.9 -2.2 -1.4 -1.9 -2.8 -11.1 -4.7 -18.8 -19.0 -11.4 -20.0 -15.0 -8.0 3.3 SP400 10.9 -15.2 12.7 2.8 7.6 4.2 7.2 4.6 4.0 15.3 13.2 15.8 13.0 5.5 7.0 -6.2 -5.4 -5.6 -5.5 9.8 14.0 20.0 14.9 14.1 -12.9 4.0 8.6 5.4 8.1 5.7 5.2 0.9 -1.5 3.2 7.1 0.0 -11.1 -10.4 -10.0 -20.0 SP500_micro 9.3 -20.0 2.4 2.8 7.6 4.2 7.1 4.6 4.0 15.4 14.9 15.9 15.6 8.2 9.6 -11.4 -11.7 -12.2 -12.2 9.0 15.9 20.0 20.0 13.0 -20.0 3.4 9.9 6.6 7.9 9.0 4.3 -10.3 1.1 -2.5 -0.4 4.9 -0.1 -2.7 5.0 -2.9 SUGAR11 -1.8 -17.7 -18.8 3.6 3.4 2.2 4.8 -0.5 4.6 -12.8 -13.8 -12.4 -2.4 -14.7 -14.4 0.9 14.1 6.1 10.4 -20.0 -17.3 -16.1 -7.6 -18.3 -20.0 -5.3 -4.7 -4.6 -4.3 -2.0 -4.8 15.0 -20.0 -20.0 -20.0 -20.0 20.0 11.3 20.0 20.0 US10 13.4 -11.6 -9.5 -1.6 3.3 -1.7 2.0 -1.6 0.2 8.5 -3.2 8.4 -5.2 -1.6 -6.4 -4.7 -7.3 -5.9 -6.8 -5.0 -6.5 8.0 -7.4 1.5 2.5 -1.3 5.1 -1.6 3.5 -1.7 1.0 -6.0 5.2 4.2 -0.6 0.8 -15.5 -20.0 -0.3 2.5 US10U 12.2 -11.6 -9.2 -2.3 4.9 -2.5 3.0 -2.4 0.3 12.7 -4.6 12.2 -7.4 -2.9 -9.9 -6.0 -1.8 -4.7 -3.1 -7.8 -9.9 11.1 -11.7 1.6 0.2 -1.9 7.8 -2.3 5.3 -2.7 1.5 2.3 6.3 5.1 -0.4 3.0 -15.1 -19.1 19.1 10.2 US2 11.4 -12.6 -18.3 -1.5 3.2 -1.6 1.9 -1.5 0.2 7.9 -7.4 7.5 -8.3 -3.4 -7.5 -20.0 -20.0 -20.0 -20.0 -8.4 -10.4 5.3 -11.6 -1.4 12.1 -2.2 3.3 -2.4 1.9 -2.3 -0.2 -20.0 2.3 0.8 -4.6 -7.0 -16.6 -20.0 -11.5 -20.0 US20 12.2 -12.8 -6.1 -1.7 3.6 -1.8 2.1 -1.7 0.2 9.2 -0.6 8.9 -3.4 -1.6 -6.3 -0.6 -0.7 -0.4 -0.4 -4.4 -5.6 8.9 -7.0 2.0 -0.9 -0.7 6.4 -0.9 4.6 -1.4 1.7 5.3 5.3 5.2 1.4 5.5 -17.5 -14.4 20.0 15.8 US30 10.1 -12.1 -4.7 -2.0 4.2 -2.1 2.6 -2.0 0.2 10.9 -2.1 10.3 -5.4 -2.8 -7.9 -0.9 -4.9 -3.2 -4.5 -5.8 -7.1 9.5 -9.2 1.4 -0.4 -1.2 7.6 -1.4 5.2 -2.0 1.6 -2.1 4.9 3.6 1.0 7.1 -16.9 -12.9 17.8 18.6 US5 13.8 -12.2 -13.6 -1.6 3.5 -1.7 2.1 -1.7 0.2 8.9 -6.2 8.7 -7.1 -2.5 -7.4 -9.3 -10.0 -9.5 -9.8 -6.5 -8.3 8.2 -8.8 1.0 5.6 -1.7 4.9 -2.0 3.3 -1.8 0.7 -10.9 5.7 4.2 -2.1 -2.5 -13.6 -20.0 -4.7 -7.6 VIX -19.1 5.0 9.0 -5.9 -7.2 -5.8 -8.1 -7.7 -7.5 -18.3 -20.0 -20.0 -20.0 -20.0 -18.8 -20.0 -20.0 -20.0 -20.0 -17.7 -19.4 -20.0 -20.0 -20.0 NaN -6.6 -8.1 -6.7 -9.2 -9.3 -8.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 3.9 3.7 2.4 5.2 -0.6 5.0 9.8 4.2 14.5 -12.5 15.3 12.3 -17.5 -13.7 -17.3 -15.6 19.2 4.5 20.0 -9.1 20.0 1.4 4.6 4.6 1.2 7.2 -1.3 7.2 -20.0 20.0 20.0 20.0 -1.7 -7.5 -20.0 -1.1 -20.0 End of report for caleb_strategy_v3