******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240516_204007 produced at 2024-05-16 21:37:44.449573 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.54 0.0 0.00 -0.08 -0.08 -0.08 -20.07 16.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.34 0.0 0.00 0.00 0.00 0.00 -10.34 24.0 0 0 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -4.26 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.26 -0.28 0.0 999.00 -999.00 -0.26 -0.26 -63.07 999999999.0 -60 -60 caleb_strategy_v3 US2 False True 0.06 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.92 13.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.23 -0.21 0.0 0.76 -0.76 -0.23 -0.23 -2.74 10.0 -3 -3 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.15 0.0 0.52 -0.52 -0.16 -0.16 -3.74 13.0 -4 -4 caleb_strategy_v3 LEANHOG False False 0.01 -0.06 -0.06 0.0 0.15 -0.15 -0.06 -0.06 -4.89 13.0 -5 -5 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.06 0.0 0.61 -0.61 -0.04 -0.04 -2.93 29.0 -2 -2 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.05 0.0 0.40 -0.40 -0.05 -0.07 -2.29 17.0 -2 -3 caleb_strategy_v3 LUMBER-new False True 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -12.08 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.05 0.0 0.09 -0.09 -0.06 -0.06 -1.74 3.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.24 -0.05 0.0 0.76 -0.76 -0.24 -0.24 -1.76 25.0 -8 -8 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.01 -5.42 12.0 -2 -2 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.04 0.0 0.26 -0.26 -0.03 -0.03 -6.09 36.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.15 -0.15 -0.02 -0.02 -12.36 51.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.15 -0.04 0.0 0.70 -0.70 -0.15 -0.15 -1.09 19.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.03 0.0 0.30 -0.30 0.00 0.00 -0.73 8.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.23 4.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -2.20 11.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -11.09 59.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.09 -0.02 0.0 0.25 -0.25 -0.09 -0.05 -1.56 23.0 -8 -5 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.69 18.0 -3 -3 caleb_strategy_v3 US10 False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.70 17.0 0 0 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 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 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.60 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.88 10.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.09 -0.01 0.0 0.21 -0.21 -0.09 -0.13 -2.30 68.0 -28 -44 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.01 0.0 0.00 -0.03 -0.03 -0.03 -6.33 26.0 -17 -16 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.67 7.0 -1 -1 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 US10U False True 0.03 -0.16 -0.01 0.0 0.00 -0.16 -0.16 -0.16 -0.20 13.0 -5 -5 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 BTP False False 0.04 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.10 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.00 0.0 0.22 -0.22 0.00 -0.01 -0.15 23.0 0 -1 caleb_strategy_v3 DOW False False 0.01 0.00 0.00 0.0 0.38 -0.38 0.00 0.01 0.29 66.0 0 2 caleb_strategy_v3 US20 False True 0.03 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.13 9.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.00 0.0 0.37 -0.37 0.00 0.00 -0.07 48.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.00 0.0 0.40 -0.40 0.00 0.04 0.01 10.0 0 1 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.00 0.0 0.39 -0.39 0.01 0.00 0.57 56.0 1 0 caleb_strategy_v3 SP400 False False 0.09 0.09 0.00 0.0 0.17 -0.17 0.09 0.17 0.03 2.0 1 2 caleb_strategy_v3 US30 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.00 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.08 6.0 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 COCOA False False 0.02 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.03 26.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.01 0.0 0.50 -0.50 0.00 0.00 0.41 22.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.01 0.0 999.00 -999.00 0.09 0.09 0.44 999999999.0 3 3 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.94 5.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.85 2.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.04 0.02 0.0 0.55 -0.55 -0.04 0.00 0.46 14.0 -1 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 1.40 19.0 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 1.55 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 3.79 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 1.50 21.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.03 0.04 0.0 0.15 -0.15 0.03 0.05 2.77 10.0 2 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.45 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 1.63 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.07 0.0 0.35 -0.35 0.04 0.04 3.35 17.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.08 0.0 0.32 -0.32 0.17 0.17 5.28 20.0 11 11 caleb_strategy_v3 DAX False False 0.01 0.09 0.11 0.0 0.34 -0.34 0.09 0.09 19.07 58.0 15 15 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.12 0.0 0.11 -0.11 0.02 0.02 5.27 5.0 1 1 caleb_strategy_v3 CAC True False 0.03 0.00 0.12 0.0 0.00 0.00 0.00 0.00 4.62 12.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.27 0.15 0.0 0.27 0.00 0.27 0.27 3.89 9.0 7 7 caleb_strategy_v3 COPPER False False 0.04 0.18 0.17 0.0 999.00 -999.00 0.18 0.21 4.80 999999999.0 5 6 caleb_strategy_v3 MXP False False 0.01 0.40 0.60 0.0 0.52 -0.52 0.40 0.45 69.71 60.0 47 52 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.8 Shocked risk 53.9 Sum abs risk 50.7 Leverage 4.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3469954.44, 'annual_cash_vol_target': 867488.61, 'daily_cash_vol_target': 54218.038125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6686 0.6262 10.0195 BITCOIN 1864.0428 65945.0000 2.8267 45.2266 BOBL 0.2782 116.9900 0.2378 3.8043 BTP 0.6259 118.4500 0.5284 8.4551 BUND 0.5559 131.3100 0.4234 6.7740 BUXL 1.3068 130.7400 0.9995 15.9922 CAC 51.2484 8130.5000 0.6303 10.0852 CAD 0.0028 0.7350 0.3776 6.0423 CANOLA 7.8247 673.1000 1.1625 18.5997 CHF 0.0047 1.1083 0.4213 6.7407 COCOA 441.0273 6911.0000 6.3815 102.1044 COFFEE 4.0561 196.5000 2.0642 33.0269 COPPER 0.0557 4.9240 1.1309 18.0944 CORN 5.2094 482.0000 1.0808 17.2927 COTTON2 1.4041 75.9900 1.8477 29.5630 CRUDE_W 0.8493 76.3200 1.1129 17.8059 DAX 135.1642 18794.0000 0.7192 11.5070 DOW 235.9954 40104.0000 0.5885 9.4153 DX 0.3614 104.3650 0.3463 5.5403 EUR 0.0043 1.0884 0.3933 6.2931 EURIBOR-ICE 0.0527 97.4550 0.0541 0.8660 EUROSTX 37.2528 5058.0000 0.7365 11.7842 FEEDCOW 2.0756 258.4250 0.8032 12.8508 GASOIL 9.9422 758.2500 1.3112 20.9792 GASOLINE 0.0358 2.4962 1.4331 22.9294 GAS_US_mini 0.0809 2.6950 3.0003 48.0051 GBP 0.0058 1.2675 0.4585 7.3356 GOLD_micro 19.7802 2408.2000 0.8214 13.1419 HEATOIL 0.0311 2.4798 1.2556 20.0896 JGB-SGX-mini 0.2130 144.1500 0.1478 2.3645 JPY 0.0000 0.0065 0.7347 11.7549 LEANHOG 1.1622 100.8500 1.1524 18.4390 LIVECOW 1.3900 177.4250 0.7834 12.5345 LUMBER-new 6.9839 529.5000 1.3190 21.1035 MILK 0.2588 20.4400 1.2662 20.2585 MXP 0.0004 0.0597 0.6039 9.6623 NASDAQ_micro 155.3106 18697.5000 0.8306 13.2904 NIKKEI 362.9789 38635.0000 0.9395 15.0321 NZD 0.0039 0.6122 0.6403 10.2451 OAT 0.5576 126.6200 0.4404 7.0456 OATIES 6.9722 383.0000 1.8204 29.1267 OJ 5.8586 438.5000 1.3361 21.3770 PALLAD 22.8576 1005.0000 2.2744 36.3903 PLAT 15.7167 1071.9000 1.4662 23.4600 REDWHEAT 12.2594 687.2500 1.7838 28.5414 RICE 0.1758 15.5500 1.1303 18.0853 ROBUSTA 69.8317 3357.0000 2.0802 33.2829 RUSSELL 20.4295 2109.8000 0.9683 15.4930 SHATZ 0.0812 105.2600 0.0771 1.2337 SILVER-mini 0.4746 30.1875 1.5722 25.1553 SMI 80.0133 11969.0000 0.6685 10.6961 SOFR 0.0667 96.1900 0.0693 1.1087 SOYBEAN 10.5995 1199.2500 0.8838 14.1415 SOYMEAL 5.1106 364.5000 1.4021 22.4335 SOYOIL 0.7698 44.9800 1.7114 27.3816 SP400 23.1011 3035.5000 0.7610 12.1765 SP500_micro 34.2930 5333.7500 0.6429 10.2871 SUGAR11 0.2982 18.3700 1.6236 25.9769 US10 0.3962 109.4844 0.3619 5.7904 US10U 0.5179 112.7969 0.4592 7.3467 US2 0.1027 101.7656 0.1009 1.6147 US20 0.7622 117.9062 0.6465 10.3434 US30 1.1201 125.0625 0.8956 14.3302 US5 0.2571 106.0625 0.2424 3.8789 VIX 0.4244 15.1500 2.8014 44.8223 WHEAT 10.8638 707.0000 1.5366 24.5857 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.60 0.63 418.69 1.00 418.69 54218.04 129.50 4.16 53.92 BITCOIN 65.95 2.83 186.40 1.00 186.40 54218.04 290.86 -3.52 -102.37 BOBL 1169.90 0.24 278.16 1.08 301.19 54218.04 180.01 -5.95 -107.19 BTP 1184.50 0.53 625.94 1.08 677.77 54218.04 80.00 0.38 3.02 BUND 1313.10 0.42 555.93 1.08 601.97 54218.04 90.07 -5.26 -47.33 BUXL 1307.40 1.00 1306.76 1.08 1414.96 54218.04 38.32 -7.10 -27.22 CAC 813.05 0.63 512.48 1.08 554.92 54218.04 97.70 13.87 135.53 CAD 734.95 0.38 277.55 1.00 277.55 54218.04 195.35 -5.78 -112.96 CANOLA 134.62 1.16 156.49 0.73 114.74 54218.04 472.53 -10.75 -507.87 CHF 1385.38 0.42 583.65 1.00 583.65 54218.04 92.90 -15.52 -144.21 COCOA 691.10 6.38 4410.27 1.00 4410.27 54218.04 12.29 1.12 1.38 COFFEE 736.88 2.06 1521.05 1.00 1521.05 54218.04 35.65 -1.94 -6.92 COPPER 1231.00 1.13 1392.13 1.00 1392.13 54218.04 38.95 11.39 44.34 CORN 241.00 1.08 260.47 1.00 260.47 54218.04 208.15 -10.70 -222.72 COTTON2 379.95 1.85 702.03 1.00 702.03 54218.04 77.23 -13.28 -102.53 CRUDE_W 763.20 1.11 849.34 1.00 849.34 54218.04 63.84 7.63 48.69 DAX 187.94 0.72 135.16 1.08 146.36 54218.04 370.45 15.09 559.04 DOW 200.52 0.59 118.00 1.00 118.00 54218.04 459.48 0.27 12.27 DX 1043.65 0.35 361.38 1.00 361.38 54218.04 150.03 4.19 62.83 EUR 1360.44 0.39 535.09 1.00 535.09 54218.04 101.33 1.75 17.69 EURIBOR-ICE 2436.38 0.05 131.87 1.08 142.79 54218.04 379.72 -2.12 -80.41 EUROSTX 505.80 0.74 372.53 1.08 403.37 54218.04 134.41 11.51 154.69 FEEDCOW 1292.12 0.80 1037.81 1.00 1037.81 54218.04 52.24 -4.23 -22.11 GASOIL 758.25 1.31 994.22 1.00 994.22 54218.04 54.53 -5.19 -28.32 GASOLINE 1048.40 1.43 1502.45 1.00 1502.45 54218.04 36.09 2.84 10.24 GAS_US_mini 67.38 3.00 202.15 1.00 202.15 54218.04 268.21 -2.18 -58.50 GBP 792.19 0.46 363.20 1.00 363.20 54218.04 149.28 1.05 15.62 GOLD_micro 240.82 0.82 197.80 1.00 197.80 54218.04 274.10 0.61 16.59 HEATOIL 1041.52 1.26 1307.73 1.00 1307.73 54218.04 41.46 -9.66 -40.06 JGB-SGX-mini 144150.00 0.15 21302.23 0.01 136.28 54218.04 397.85 -4.66 -185.34 JPY 808.50 0.73 593.99 1.00 593.99 54218.04 91.28 -9.65 -88.08 LEANHOG 403.40 1.15 464.89 1.00 464.89 54218.04 116.62 -6.90 -80.43 LIVECOW 709.70 0.78 555.99 1.00 555.99 54218.04 97.52 10.37 101.13 LUMBER-new 145.61 1.32 192.06 1.00 192.06 54218.04 282.30 -20.00 -564.60 MILK 408.80 1.27 517.61 1.00 517.61 54218.04 104.75 4.18 43.75 MXP 298.60 0.60 180.32 1.00 180.32 54218.04 300.67 15.80 474.98 NASDAQ_micro 373.95 0.83 310.62 1.00 310.62 54218.04 174.55 -3.86 -67.33 NIKKEI 38635.00 0.94 36297.89 0.01 232.21 54218.04 233.48 -2.41 -56.24 NZD 612.15 0.64 391.97 1.00 391.97 54218.04 138.32 4.17 57.63 OAT 1266.20 0.44 557.57 1.08 603.74 54218.04 89.80 0.02 0.17 OATIES 191.50 1.82 348.61 1.00 348.61 54218.04 155.53 4.89 76.07 OJ 657.75 1.34 878.79 1.00 878.79 54218.04 61.70 18.54 114.41 PALLAD 1005.00 2.27 2285.76 1.00 2285.76 54218.04 23.72 -5.09 -12.07 PLAT 535.95 1.47 785.84 1.00 785.84 54218.04 68.99 11.75 81.07 REDWHEAT 343.62 1.78 612.97 1.00 612.97 54218.04 88.45 2.11 18.65 RICE 311.00 1.13 351.53 1.00 351.53 54218.04 154.23 10.10 155.72 ROBUSTA 335.70 2.08 698.32 1.00 698.32 54218.04 77.64 -1.63 -12.63 RUSSELL 105.49 0.97 102.15 1.00 102.15 54218.04 530.78 -1.31 -69.54 SHATZ 1052.60 0.08 81.16 1.08 87.88 54218.04 616.94 -16.53 -1020.00 SILVER-mini 754.69 1.57 1186.53 1.00 1186.53 54218.04 45.69 9.93 45.36 SMI 1196.90 0.67 800.13 1.10 883.47 54218.04 61.37 18.57 113.97 SOFR 2404.75 0.07 166.63 1.00 166.63 54218.04 325.38 -2.16 -70.18 SOYBEAN 599.62 0.88 529.97 1.00 529.97 54218.04 102.30 -7.03 -71.95 SOYMEAL 364.50 1.40 511.06 1.00 511.06 54218.04 106.09 -6.10 -64.75 SOYOIL 269.88 1.71 461.86 1.00 461.86 54218.04 117.39 -17.22 -202.15 SP400 3035.50 0.76 2310.11 1.00 2310.11 54218.04 23.47 0.42 0.98 SP500_micro 266.69 0.64 171.47 1.00 171.47 54218.04 316.20 -0.10 -3.08 SUGAR11 205.74 1.62 334.04 1.00 334.04 54218.04 162.31 -10.69 -173.55 US10 1094.84 0.36 396.22 1.00 396.22 54218.04 136.84 -4.05 -55.43 US10U 1127.97 0.46 517.93 1.00 517.93 54218.04 104.68 -1.49 -15.64 US2 2035.31 0.10 205.40 1.00 205.40 54218.04 263.96 -11.73 -309.73 US20 1179.06 0.65 762.22 1.00 762.22 54218.04 71.13 1.48 10.50 US30 1250.62 0.90 1120.11 1.00 1120.11 54218.04 48.40 -0.01 -0.04 US5 1060.62 0.24 257.13 1.00 257.13 54218.04 210.86 -6.57 -138.51 VIX 151.50 2.80 424.41 1.00 424.41 54218.04 127.75 -20.00 -255.50 WHEAT 353.50 1.54 543.19 1.00 543.19 54218.04 99.81 2.00 19.98 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 53.921 0.010 2.5 1.399 BITCOIN -102.367 0.043 2.5 -11.085 BOBL -107.187 0.004 2.5 -1.087 BTP 3.019 0.014 2.5 0.103 BUND -47.331 0.004 2.5 -0.480 BUXL -27.216 0.004 2.5 -0.276 CAC 135.532 0.014 2.5 4.623 CAD -112.959 0.010 2.5 -2.931 CANOLA -507.866 0.010 2.5 -12.356 CHF -144.206 0.010 2.5 -3.742 COCOA 1.377 0.009 2.5 0.029 COFFEE -6.922 0.005 2.5 -0.081 COPPER 44.341 0.043 2.5 4.802 CORN -222.717 0.010 2.5 -5.418 COTTON2 -102.525 0.009 2.5 -2.196 CRUDE_W 48.694 0.043 2.5 5.273 DAX 559.035 0.014 2.5 19.068 DOW 12.272 0.009 2.5 0.285 DX 62.829 0.010 2.5 1.630 EUR 17.685 0.010 2.5 0.459 EURIBOR-ICE -80.414 0.014 2.5 -2.743 EUROSTX 154.685 0.014 2.5 5.276 FEEDCOW -22.106 0.013 2.5 -0.733 GASOIL -28.318 0.017 2.5 -1.228 GASOLINE 10.243 0.017 2.5 0.444 GAS_US_mini -58.499 0.043 2.5 -6.335 GBP 15.623 0.010 2.5 0.405 GOLD_micro 16.588 0.014 2.5 0.566 HEATOIL -40.055 0.017 2.5 -1.736 JGB-SGX-mini -185.341 0.043 2.5 -20.070 JPY -88.076 0.010 2.5 -2.285 LEANHOG -80.427 0.024 2.5 -4.888 LIVECOW 101.133 0.013 2.5 3.351 LUMBER-new -564.599 0.009 2.5 -12.085 MILK 43.752 0.009 2.5 0.937 MXP 474.981 0.059 2.5 69.714 NASDAQ_micro -67.331 0.009 2.5 -1.565 NIKKEI -56.245 0.043 2.5 -6.091 NZD 57.632 0.010 2.5 1.495 OAT 0.167 0.014 2.5 0.006 OATIES 76.067 0.010 2.5 1.851 OJ 114.415 0.009 2.5 2.450 PALLAD -12.070 0.014 2.5 -0.412 PLAT 81.071 0.014 2.5 2.765 REDWHEAT 18.647 0.005 2.5 0.247 RICE 155.723 0.010 2.5 3.789 ROBUSTA -12.629 0.005 2.5 -0.147 RUSSELL -69.545 0.013 2.5 -2.305 SHATZ -1019.996 0.004 2.5 -10.343 SILVER-mini 45.364 0.014 2.5 1.547 SMI 113.970 0.014 2.5 3.887 SOFR -70.177 0.024 2.5 -4.265 SOYBEAN -71.952 0.004 2.5 -0.669 SOYMEAL -64.751 0.004 2.5 -0.602 SOYOIL -202.150 0.004 2.5 -1.882 SP400 0.979 0.013 2.5 0.032 SP500_micro -3.077 0.009 2.5 -0.072 SUGAR11 -173.554 0.009 2.5 -3.691 US10 -55.432 0.005 2.5 -0.702 US10U -15.638 0.005 2.5 -0.198 US2 -309.732 0.005 2.5 -3.925 US20 10.497 0.005 2.5 0.133 US30 -0.040 0.005 2.5 -0.001 US5 -138.511 0.005 2.5 -1.755 VIX -255.498 0.099 2.5 -63.067 WHEAT 19.980 0.005 2.5 0.265 ===================== Position diags ===================== AUD 3.36 BITCOIN 31.50 BOBL 1.83 BTP 2.73 BUND 0.91 BUXL 0.39 CAC 3.33 CAD 5.07 CANOLA 11.50 CHF 2.41 COCOA 0.26 COFFEE 0.42 COPPER 4.22 CORN 5.06 COTTON2 1.65 CRUDE_W 6.91 DAX 12.64 DOW 10.68 DX 3.89 EUR 2.63 EURIBOR-ICE 12.95 EUROSTX 4.58 FEEDCOW 1.73 GASOIL 2.36 GASOLINE 1.56 GAS_US_mini 29.04 GBP 3.87 GOLD_micro 9.35 HEATOIL 1.80 JGB-SGX-mini 43.08 JPY 2.37 LEANHOG 7.09 LIVECOW 3.23 LUMBER-new 6.04 MILK 2.24 MXP 44.13 NASDAQ_micro 4.06 NIKKEI 25.28 NZD 3.59 OAT 3.06 OATIES 3.78 OJ 1.32 PALLAD 0.81 PLAT 2.35 REDWHEAT 1.17 RICE 3.75 ROBUSTA 0.91 RUSSELL 17.59 SHATZ 6.26 SILVER-mini 1.56 SMI 2.09 SOFR 19.77 SOYBEAN 0.95 SOYMEAL 0.99 SOYOIL 1.09 SP400 0.78 SP500_micro 7.35 SUGAR11 3.45 US10 1.73 US10U 1.33 US2 3.34 US20 0.90 US30 0.61 US5 2.67 VIX 31.53 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.4 1.1 1.7 0.0 0 BITCOIN -11.1 -14.2 -7.9 0.0 0 BOBL -1.1 -1.3 -0.9 -4.0 -4 BTP 0.1 -0.2 0.4 0.0 0 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.3 -0.3 -0.2 -2.0 -2 CAC 4.6 4.3 5.0 0.0 0 CAD -2.9 -3.4 -2.4 -2.0 -2 CANOLA -12.4 -13.5 -11.2 -6.0 -6 CHF -3.7 -4.0 -3.5 -4.0 -4 COCOA 0.0 0.0 0.1 0.0 0 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER 4.8 4.4 5.2 5.0 5 CORN -5.4 -5.9 -4.9 -2.0 -2 COTTON2 -2.2 -2.4 -2.0 -3.0 -3 CRUDE_W 5.3 4.6 6.0 1.0 1 DAX 19.1 17.8 20.3 15.0 15 DOW 0.3 -0.8 1.4 0.0 0 DX 1.6 1.2 2.0 NaN 0 EUR 0.5 0.2 0.7 -1.0 -1 EURIBOR-ICE -2.7 -4.0 -1.4 -3.0 -3 EUROSTX 5.3 4.8 5.7 11.0 11 FEEDCOW -0.7 -0.9 -0.6 0.0 0 GASOIL -1.2 -1.5 -1.0 -1.0 -1 GASOLINE 0.4 0.3 0.6 3.0 3 GAS_US_mini -6.3 -9.2 -3.4 -17.0 -17 GBP 0.4 0.0 0.8 0.0 0 GOLD_micro 0.6 -0.4 1.5 1.0 1 HEATOIL -1.7 -1.9 -1.6 -2.0 -2 JGB-SGX-mini -20.1 -24.4 -15.8 -3.0 -3 JPY -2.3 -2.5 -2.0 -2.0 -2 LEANHOG -4.9 -5.6 -4.2 -5.0 -5 LIVECOW 3.4 3.0 3.7 2.0 2 LUMBER-new -12.1 -12.7 -11.5 NaN 0 MILK 0.9 0.7 1.2 NaN 0 MXP 69.7 65.3 74.1 47.0 47 NASDAQ_micro -1.6 -2.0 -1.2 -8.0 -8 NIKKEI -6.1 -8.6 -3.6 -4.0 -4 NZD 1.5 1.1 1.9 0.0 0 OAT 0.0 -0.3 0.3 0.0 0 OATIES 1.9 1.5 2.2 NaN 0 OJ 2.5 2.3 2.6 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 2.8 2.5 3.0 2.0 2 REDWHEAT 0.2 0.1 0.4 0.0 0 RICE 3.8 3.4 4.2 NaN 0 ROBUSTA -0.1 -0.2 -0.1 0.0 0 RUSSELL -2.3 -4.1 -0.5 -28.0 -28 SHATZ -10.3 -11.0 -9.7 NaN 0 SILVER-mini 1.5 1.4 1.7 0.0 0 SMI 3.9 3.7 4.1 7.0 7 SOFR -4.3 -6.2 -2.3 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -1.0 -1 SOYMEAL -0.6 -0.7 -0.5 0.0 0 SOYOIL -1.9 -2.0 -1.8 -4.0 -4 SP400 0.0 -0.0 0.1 1.0 1 SP500_micro -0.1 -0.8 0.7 0.0 0 SUGAR11 -3.7 -4.0 -3.3 -3.0 -3 US10 -0.7 -0.9 -0.5 0.0 0 US10U -0.2 -0.3 -0.1 -5.0 -5 US2 -3.9 -4.3 -3.6 NaN 0 US20 0.1 0.0 0.2 0.0 0 US30 -0.0 -0.1 0.1 0.0 0 US5 -1.8 -2.0 -1.5 -8.0 -8 VIX -63.1 -66.2 -59.9 -60.0 -60 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 -0.4 -0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 0.5 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.0 0.2 0.1 0.5 -0.0 -2.7 0.0 0.0 0.3 0.0 0.4 0.0 -0.2 -0.2 -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 0.0 -0.0 -0.7 -0.7 0.1 -0.4 BTP 0.1 -0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.3 0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.2 0.0 -2.7 0.0 0.1 0.1 0.0 0.2 0.0 0.8 -0.1 -0.1 0.2 0.6 -0.3 -0.3 0.6 0.1 BUND 0.1 -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 -0.2 -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 0.1 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 0.0 0.3 0.1 0.3 0.1 1.0 -0.0 0.2 0.6 0.6 -0.3 0.3 -0.4 0.4 CAD 0.3 -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 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.1 -0.0 -0.1 -0.4 -0.4 -0.0 -0.3 CANOLA 0.3 0.6 0.5 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 0.2 0.2 0.1 -0.1 -0.7 -0.6 -0.3 -0.1 CHF 0.5 -0.3 -0.6 -0.0 0.1 -0.1 0.1 0.0 0.0 0.0 -0.5 0.2 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.0 -0.4 -0.1 0.2 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -1.1 -0.1 -0.3 -0.6 -0.6 -0.0 -0.5 0.2 -0.5 COCOA -0.6 -0.6 -0.5 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 -0.1 -2.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.2 -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 -0.1 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 -0.6 0.3 -0.2 COPPER 0.1 0.6 0.6 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.4 0.2 0.3 0.2 0.2 0.0 -0.1 -0.0 -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 0.4 0.4 0.5 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 -0.2 0.1 -0.6 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.1 0.1 -0.4 0.1 -2.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 -1.1 0.1 0.5 0.4 -0.4 -0.5 -0.7 -0.5 0.0 COTTON2 -0.3 -0.6 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -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 -0.1 -2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.6 -0.6 0.1 -0.3 -0.5 0.1 -0.0 CRUDE_W -0.6 -0.1 0.2 -0.0 0.0 0.1 -0.0 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 0.3 0.0 0.1 0.1 0.1 0.2 0.1 0.1 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 0.0 0.2 0.1 0.3 0.1 -0.5 -0.0 0.1 0.6 0.6 -0.0 0.2 0.1 0.5 DOW 0.6 -0.6 -0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.4 0.2 -1.7 0.0 0.1 0.1 0.1 0.2 0.1 -0.5 0.1 0.2 0.1 -0.3 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 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.3 -0.0 -2.7 0.0 -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 -0.1 -0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.2 0.2 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 0.1 2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 0.3 0.4 0.1 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE 0.2 -0.6 -0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -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 0.4 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.0 -0.1 -0.0 0.2 0.2 0.2 0.5 0.2 -0.2 0.1 0.0 0.3 0.1 0.4 0.1 0.4 -0.2 -0.0 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 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.0 -0.0 -0.9 -0.0 0.1 -0.0 0.0 0.1 -0.0 -1.1 -0.0 -0.1 -0.6 0.0 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.4 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.1 -0.0 0.1 -0.2 0.5 -0.2 -0.1 -0.0 0.3 0.1 0.3 -0.1 0.0 -0.1 0.4 -0.2 0.9 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.5 -0.5 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 -0.3 0.3 -0.0 0.0 0.1 -0.0 0.2 -0.1 0.0 0.4 -0.2 0.6 -0.2 0.1 0.4 0.3 0.4 0.3 -0.0 0.1 -0.1 0.4 -0.2 -2.7 -0.0 0.0 0.1 -0.1 0.2 -0.1 -0.0 -0.4 -0.4 -0.1 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.5 0.6 0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.5 0.2 -0.7 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 0.2 -0.5 0.1 2.7 -0.0 0.1 -0.2 0.1 -0.4 0.1 -1.1 0.5 0.6 0.2 -0.6 -0.4 -0.2 -0.7 -0.3 GBP 0.4 -0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 0.1 0.2 0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.0 0.1 0.2 0.0 0.2 0.0 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.3 -0.7 -0.5 -0.7 -0.2 GOLD_micro -0.4 0.3 0.6 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.4 0.1 -0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.1 -0.4 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 -0.0 0.2 -0.1 -0.1 -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 -0.2 -0.4 -0.6 -0.4 0.4 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 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -1.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.4 -0.4 -0.3 -0.1 -0.5 -0.3 0.0 0.4 JPY 0.5 -0.0 -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 -0.3 -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 -0.0 0.3 -0.2 -0.1 -0.2 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.1 -0.2 0.0 -0.2 1.2 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.5 0.5 -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 -0.0 -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 0.1 0.1 0.0 0.6 0.3 0.0 -0.5 0.4 0.7 0.7 0.7 0.7 LUMBER-new 0.2 -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 -0.1 -0.1 -1.2 -0.4 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.4 0.1 0.1 0.3 -0.4 -0.3 -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 0.1 -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 0.2 0.2 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.4 0.1 1.1 0.3 0.0 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.5 -0.6 -0.2 0.0 0.0 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 0.1 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 -0.2 -0.1 -0.2 -0.0 0.0 0.0 -0.0 NIKKEI -0.1 -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 0.2 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 0.6 -0.1 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.2 -0.2 0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.2 -0.1 0.1 0.1 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.4 0.3 0.2 -0.0 -0.2 -0.2 0.0 0.2 OAT 0.2 -0.3 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 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 0.9 -0.1 -0.2 0.1 0.2 -0.7 -0.7 0.2 -0.0 OATIES 0.6 0.6 0.3 0.0 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.5 0.2 0.1 0.4 0.1 0.3 0.2 0.2 0.0 0.2 -0.2 0.2 -2.7 0.1 0.0 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 0.6 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 0.3 0.1 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.1 0.2 0.3 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 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 1.8 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.2 -0.3 -0.4 -0.3 -0.7 -0.7 -0.7 -0.4 PLAT 0.5 0.5 0.3 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.1 0.2 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 -0.0 0.2 1.5 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.5 0.6 0.3 -0.0 -0.7 -0.2 0.3 0.2 REDWHEAT 0.6 0.6 0.6 0.0 0.0 0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.5 0.1 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 0.4 -0.1 0.0 0.0 0.1 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 0.1 0.3 0.1 -0.0 -0.1 -0.1 -0.0 0.1 ROBUSTA -0.6 -0.6 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -0.1 0.3 -0.0 0.0 0.4 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 -0.4 -0.6 0.5 0.6 -0.2 -0.5 0.1 0.1 RUSSELL 0.5 -0.3 0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.2 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.1 -0.3 0.0 0.1 0.1 0.1 0.1 0.1 -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 -0.1 -0.4 -0.2 -0.3 -0.7 -0.7 -0.6 -0.7 SILVER-mini -0.1 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 0.2 0.1 0.2 0.2 0.2 0.4 0.0 0.1 0.1 0.1 0.1 0.0 -0.1 0.3 -0.0 0.5 0.5 -0.3 -0.5 0.6 0.2 SMI 0.6 -0.3 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 0.2 0.1 0.2 0.2 0.2 1.8 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.3 0.3 0.4 -0.0 0.4 -0.0 0.5 -0.1 SOFR 0.6 -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 0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.2 -0.0 -0.0 -0.2 -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 -0.1 -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 0.1 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 0.1 0.0 -0.0 0.0 -0.1 -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 0.1 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.6 0.6 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.1 -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 0.0 -0.5 -0.6 -0.3 -0.7 -0.5 -0.3 0.1 SP400 0.4 -0.4 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 -1.8 0.0 0.1 0.1 0.1 0.2 0.1 0.0 -0.1 0.1 0.2 -0.0 -0.3 -0.3 -0.3 -0.7 SP500_micro 0.4 -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 0.2 -2.7 0.0 0.1 0.2 0.1 0.3 0.1 -0.5 0.1 -0.0 0.0 0.1 0.0 -0.1 0.2 -0.1 SUGAR11 -0.1 -0.6 -0.6 0.0 0.0 0.1 0.0 -0.0 0.0 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.8 -0.5 -0.6 -0.6 -0.6 0.7 0.4 0.7 0.7 US10 0.5 -0.3 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -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 0.5 -0.3 -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 0.0 -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 -0.0 0.0 -0.2 -0.2 -0.5 -0.7 -0.4 -0.7 US20 0.5 -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 0.1 -0.0 0.0 0.3 0.2 0.2 0.1 0.2 -0.6 -0.5 0.7 0.5 US30 0.4 -0.3 -0.1 -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 0.2 0.1 0.1 0.2 -0.6 -0.4 0.6 0.6 US5 0.5 -0.3 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -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 -0.4 -0.7 -0.1 -0.3 VIX -1.0 0.2 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 0.1 -0.4 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 -0.2 0.2 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 -0.0 -0.3 -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 16.4 4.2 0.9 -1.9 8.2 -1.6 5.8 0.6 1.4 13.4 -3.0 15.7 -8.2 13.6 6.2 -2.5 -2.8 -2.6 -2.7 4.3 -0.3 15.4 -3.4 11.1 2.8 3.0 9.3 0.6 8.8 -1.0 6.4 -0.5 7.1 14.9 14.7 6.0 -14.4 -8.2 -5.2 -0.8 BITCOIN -12.9 -14.3 4.0 4.9 11.2 3.7 8.5 1.8 5.5 12.1 12.2 6.6 14.7 -5.0 6.7 -6.0 -7.2 -7.2 -7.6 3.8 16.5 5.9 20.0 -1.8 -20.0 3.8 4.6 9.5 2.0 11.2 0.3 -3.6 -9.0 -12.1 -20.0 20.0 -10.7 -1.3 11.6 2.8 BOBL 2.7 -7.4 -11.9 -1.4 2.1 -1.5 1.8 -1.5 0.3 1.6 -5.5 1.7 -4.2 -4.3 -7.6 13.6 -6.2 6.5 -1.9 -5.7 -5.4 0.3 -4.8 -2.8 4.7 -2.5 1.4 -2.0 -0.1 -1.6 -1.6 -2.2 -2.7 -10.0 1.4 -0.8 -20.0 -20.0 1.5 -11.9 BTP 3.4 -13.6 -2.1 -2.2 3.4 -2.5 3.0 -2.4 0.5 8.2 9.3 8.9 9.3 0.2 -2.7 4.6 5.9 4.8 5.0 1.0 4.5 5.3 6.3 2.1 -20.0 2.1 6.4 4.9 3.2 5.8 1.4 15.7 -4.2 -4.5 7.4 18.7 -9.8 -9.9 17.5 2.5 BUND 2.9 -7.9 -7.3 -1.5 2.3 -1.7 2.0 -1.7 0.4 2.4 -2.5 3.2 -1.9 -3.2 -7.1 -9.4 -0.8 -7.6 -4.6 -4.1 -3.4 1.5 -3.3 -1.6 2.1 -1.3 2.4 -0.6 0.6 -0.6 -0.8 1.9 -2.3 -8.9 5.3 4.4 -20.0 -20.0 5.7 -8.8 BUXL 1.3 -7.8 -2.0 -1.9 2.9 -2.1 2.5 -2.0 0.4 -0.4 -0.7 1.9 -2.6 -3.9 -7.6 -8.3 -2.9 -7.0 -5.0 -4.0 -2.9 0.4 -4.1 -2.2 -1.8 -0.4 1.7 0.8 -0.1 -0.0 -1.0 0.0 -7.6 -12.3 9.0 9.5 -20.0 -20.0 -8.3 -5.5 CAC 5.7 -16.8 14.7 4.6 9.6 6.3 10.5 6.8 6.5 15.8 20.0 20.0 20.0 17.5 20.0 7.9 3.0 11.5 7.1 20.0 20.0 20.0 20.0 20.0 -12.9 9.0 2.9 9.9 8.2 9.1 8.8 18.1 -1.9 5.7 18.9 20.0 -9.1 7.7 -11.1 11.8 CAD 8.1 -6.2 -6.5 -2.7 11.3 -2.2 8.0 0.9 1.9 18.8 -12.1 19.5 -11.2 -1.4 -11.7 -3.0 -2.4 -2.7 -2.5 -7.4 -9.1 10.2 -8.3 1.0 -0.8 -4.2 10.0 -5.2 6.8 -4.7 0.9 0.0 -6.3 1.7 -0.1 -2.8 -10.9 -13.4 -1.2 -9.7 CANOLA 9.8 17.7 17.0 2.4 1.8 1.5 2.9 -0.3 2.9 -0.7 -4.6 5.5 -7.3 5.7 6.3 -15.1 -8.4 -15.3 -13.5 3.8 -2.8 4.8 -9.2 6.3 -20.0 1.6 -0.1 -1.3 2.0 -4.4 2.7 -20.0 8.0 6.2 4.3 -4.4 -20.0 -16.7 -8.9 -4.0 CHF 15.8 -10.5 -20.0 -2.3 9.8 -1.9 6.9 0.8 1.7 5.4 -17.7 14.0 -12.5 -7.2 -17.4 -16.5 -16.0 -16.4 -16.1 -19.5 -20.0 4.8 -14.2 -4.8 1.3 -5.9 1.6 -6.5 1.5 -3.6 -1.5 -20.0 -3.8 -9.2 -18.1 -20.0 -0.1 -16.2 7.0 -14.1 COCOA -20.0 -20.0 -15.0 1.6 1.2 1.0 1.9 -0.2 1.9 -3.9 4.3 -5.3 5.6 -3.7 2.1 14.8 15.0 20.0 20.0 1.6 6.1 -7.5 6.1 -5.0 -14.9 1.6 -0.9 3.0 -1.1 3.3 -0.3 20.0 -8.5 -20.0 18.1 20.0 5.4 0.8 10.3 8.0 COFFEE -20.0 5.4 8.3 3.4 2.5 2.1 4.0 -0.4 4.2 -2.2 7.7 -11.7 7.7 -4.7 0.2 7.6 8.5 10.2 10.1 3.9 10.6 -12.6 9.0 -8.4 -17.6 2.5 -1.3 3.6 -2.2 3.0 -0.5 9.4 -20.0 -20.0 20.0 18.1 0.2 -19.5 9.5 -6.5 COPPER 4.5 20.0 20.0 4.1 11.7 3.2 6.9 1.5 4.2 15.2 15.5 15.4 8.3 15.9 16.6 2.4 -4.2 -2.1 -3.7 20.0 20.0 20.0 12.9 20.0 -14.2 6.1 8.0 4.7 6.7 2.7 6.2 2.2 20.0 20.0 20.0 20.0 -18.0 -3.3 9.1 6.6 CORN 13.9 13.0 16.3 4.7 3.5 2.9 5.6 -0.6 5.8 -6.2 -6.7 11.7 -17.6 14.3 10.8 -18.4 -11.2 -18.8 -16.5 6.6 -5.0 8.3 -16.3 12.3 -16.1 3.6 -2.3 -2.1 4.6 -6.4 6.6 -20.0 2.2 15.7 11.3 -12.2 -16.4 -20.0 -16.0 0.1 COTTON2 -8.9 -20.0 -5.6 2.4 1.8 1.5 2.9 -0.3 3.0 -5.3 -6.2 -7.2 -3.1 -9.3 -9.1 6.4 3.9 8.9 6.0 -13.3 -7.1 -9.7 -2.5 -13.9 -18.0 -2.5 -1.4 -0.5 -2.2 0.7 -3.0 0.9 -6.7 -20.0 -20.0 2.1 -9.4 -14.2 4.0 -0.2 CRUDE_W -20.0 -3.3 7.4 -1.0 1.7 3.3 -3.9 4.8 -5.3 11.0 8.3 -18.9 15.5 -17.2 7.9 13.6 12.1 14.5 13.2 0.5 11.2 -10.0 15.9 -11.9 -5.5 -0.5 1.1 4.5 -4.7 6.9 -5.8 -1.1 -3.3 -8.4 4.4 2.5 20.0 16.9 20.0 18.6 DAX 8.4 -20.0 9.9 3.7 7.8 5.2 8.6 5.6 5.3 12.9 19.0 17.3 19.1 13.8 16.3 -10.0 -11.5 -11.5 -12.1 19.9 20.0 20.0 20.0 20.0 12.9 7.5 2.6 8.6 5.8 7.6 6.5 -10.1 -1.9 2.7 20.0 19.9 -0.6 6.9 2.5 15.8 DOW 17.2 -18.0 -4.5 3.1 6.5 4.3 7.1 4.6 4.4 15.5 13.1 16.6 13.8 6.4 1.9 -10.9 -11.1 -11.6 -11.7 7.5 10.7 20.0 15.8 16.9 -13.0 3.6 10.2 5.1 9.9 6.9 6.3 -9.4 4.2 7.2 4.2 -7.7 3.8 -6.7 10.2 -13.8 DX -13.8 8.1 9.0 -2.5 10.7 -2.1 7.6 0.8 1.8 -16.8 14.9 -18.1 12.2 2.4 13.3 7.4 6.7 7.3 7.0 10.1 13.1 -18.4 10.7 -3.6 -20.0 4.1 -10.6 5.0 -7.7 4.1 -1.5 16.0 -20.0 -20.0 20.0 20.0 12.6 5.9 16.5 13.4 EUR 13.2 -4.5 -4.4 -2.6 11.0 -2.1 7.8 0.8 1.9 18.8 -8.1 20.0 -8.7 5.1 -6.2 -7.0 -6.9 -6.9 -6.7 -2.9 -6.9 20.0 -6.1 8.8 20.0 0.3 15.3 -1.5 12.8 -1.3 6.2 -7.4 13.6 12.6 4.4 3.2 -20.0 -16.2 -20.0 -12.6 EURIBOR-ICE 5.9 -17.6 -15.2 -1.3 2.0 -1.4 1.7 -1.4 0.3 2.7 -0.2 3.4 1.1 -3.3 -6.4 -5.9 -4.4 -4.7 -3.9 -4.8 -2.6 2.1 -0.2 -1.8 12.2 -2.1 1.8 -0.8 0.6 0.3 -1.1 -0.6 1.5 -7.0 -2.4 -1.1 -20.0 -20.0 3.6 11.5 EUROSTX 4.2 -19.2 12.9 4.0 8.4 5.6 9.2 6.0 5.7 14.9 20.0 18.9 20.0 15.3 20.0 -7.5 -0.7 -4.5 -1.9 20.0 20.0 20.0 20.0 19.1 -1.4 8.3 2.7 10.3 6.2 9.9 6.9 8.4 -9.2 -1.2 20.0 20.0 -14.3 6.5 -18.9 10.7 FEEDCOW 4.1 -14.1 -2.7 4.3 3.2 2.6 5.1 -0.5 5.3 15.4 -2.9 -0.7 -2.7 -4.1 -5.5 -20.0 -20.0 -20.0 -20.0 -6.6 -5.6 5.9 -1.4 -2.7 -6.4 -1.7 8.1 -1.3 3.1 1.7 -0.3 -20.0 -2.0 -2.0 -20.0 1.0 20.0 20.0 20.0 20.0 GASOIL -20.0 -12.2 1.6 -0.9 1.5 3.0 -3.5 4.3 -4.8 -3.8 5.2 -18.1 14.6 -20.0 -6.3 -2.4 17.5 6.8 13.0 -11.1 3.4 -14.9 14.4 -20.0 6.8 -4.6 -0.6 0.7 -5.7 4.4 -7.8 5.6 -5.7 -14.9 -16.5 -7.0 -15.8 -9.4 -20.0 -19.4 GASOLINE -20.0 -8.4 9.6 -0.9 1.6 3.0 -3.5 4.4 -4.9 3.1 13.8 -17.8 16.7 -16.6 7.4 20.0 13.6 18.3 12.5 -1.2 11.4 -14.5 15.9 -15.6 -20.0 -1.2 0.2 4.0 -6.0 6.6 -6.8 -0.3 -15.0 -12.5 -3.7 6.8 20.0 20.0 20.0 20.0 GAS_US_mini 15.8 17.9 7.5 -0.7 1.3 2.4 -2.8 3.5 -3.9 17.1 -18.2 17.8 -19.6 14.2 -9.2 -20.0 -20.0 -20.0 -20.0 -0.9 -16.8 19.2 -20.0 11.6 20.0 -1.2 12.4 -7.9 10.5 -10.8 5.8 -20.0 20.0 20.0 6.1 -20.0 -11.8 -5.4 -20.0 -10.2 GBP 11.0 -7.7 -4.9 -2.7 11.4 -2.2 8.0 0.9 1.9 19.9 5.4 20.0 4.2 4.8 -6.9 -1.1 -0.8 -1.0 -0.8 -2.3 -2.3 18.3 1.4 6.6 1.5 0.8 18.3 1.1 13.0 2.3 5.6 2.9 4.2 6.0 4.1 9.0 -20.0 -13.7 -20.0 -6.6 GOLD_micro -13.6 8.1 20.0 3.3 7.4 2.5 5.6 1.2 3.6 10.4 11.6 4.7 10.2 8.0 10.4 -11.8 -14.2 -13.2 -13.9 15.5 17.5 10.3 13.3 9.9 -3.5 4.0 2.7 4.7 2.1 3.7 2.2 -15.0 -4.9 -11.1 18.6 20.0 -12.2 -15.8 -1.8 -8.1 HEATOIL -18.9 -11.6 -1.4 -0.9 1.6 3.1 -3.6 4.5 -5.0 -9.6 -3.4 -20.0 9.1 -20.0 -13.6 -6.7 17.1 2.9 10.9 -14.7 -2.1 -16.8 8.5 -20.0 -20.0 -5.4 -1.7 -0.1 -6.2 4.5 -8.3 3.6 -8.5 -11.7 -20.0 -11.8 13.4 5.7 5.8 1.3 JGB-SGX-mini -0.5 -19.0 -10.5 -1.6 2.5 -1.8 2.2 -1.8 0.4 -5.5 0.1 -6.9 3.1 -8.6 -9.2 19.4 16.4 16.5 14.8 -8.6 -4.9 -6.5 -0.3 -8.2 -8.9 -3.3 -0.9 -2.3 -2.3 -1.1 -3.0 20.0 -16.9 -11.5 -9.9 -2.7 -15.2 -8.5 0.2 11.4 JPY 15.1 -1.2 -2.2 -1.0 4.4 -0.9 3.1 0.3 0.8 -3.6 -9.1 -2.2 -9.6 -5.8 -8.0 -14.0 -16.4 -15.8 -16.2 -8.7 -10.0 -2.4 -11.5 -5.6 20.0 -3.1 0.1 -3.3 -0.7 -3.5 -2.0 -20.0 -10.6 -13.0 -12.4 -12.6 -20.0 -11.3 -19.9 -10.8 LEANHOG -20.0 -7.5 18.8 5.9 4.4 3.6 7.1 -0.8 7.3 -1.8 12.6 -20.0 -2.1 -19.7 2.1 -20.0 -20.0 -20.0 -20.0 -3.1 8.0 -19.7 1.8 -19.0 9.2 -1.4 -1.4 4.5 -7.5 2.6 -7.6 -20.0 -20.0 -20.0 -15.6 16.7 -8.6 -9.6 -0.6 11.2 LIVECOW 6.7 -12.2 1.7 4.2 3.2 2.6 5.0 -0.5 5.2 15.8 -0.4 12.3 -0.3 -2.8 -3.8 19.9 7.6 20.0 15.2 -2.4 -2.4 10.6 0.3 2.4 -5.9 1.2 10.8 1.6 6.6 4.1 2.7 11.9 10.5 0.6 -14.0 12.0 20.0 20.0 20.0 20.0 LUMBER-new 4.4 -20.0 -7.9 4.6 3.5 2.8 5.5 -0.0 5.7 -13.6 -7.5 2.7 -11.9 -13.6 -13.7 -20.0 -18.0 -20.0 -19.7 -20.0 -14.9 -7.9 -7.6 -17.9 NaN -5.3 -1.6 -3.3 -1.7 -1.2 -4.0 -20.0 -15.1 -20.0 -20.0 -20.0 -12.2 -11.0 -4.5 -6.7 MILK 20.0 20.0 17.9 3.2 2.4 2.0 3.9 -0.4 4.0 11.9 -3.0 13.2 -10.2 13.5 10.2 14.4 -20.0 -16.3 -20.0 15.7 1.5 20.0 -10.7 20.0 14.5 3.4 4.2 0.2 5.4 -2.7 5.6 -20.0 20.0 20.0 20.0 6.6 -20.0 -20.0 -18.3 -20.0 MXP 2.6 -11.8 -1.6 -2.4 10.4 -2.0 7.3 0.8 1.8 19.1 16.0 18.6 19.9 0.8 5.7 15.8 17.1 16.7 16.6 8.2 14.4 18.7 20.0 10.2 -20.0 4.4 10.4 6.9 8.2 10.0 4.6 20.0 12.2 0.7 18.9 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 14.4 -20.0 -7.3 2.4 5.2 3.4 5.6 3.7 3.5 12.3 11.5 12.9 12.8 8.2 6.6 -9.7 -10.3 -10.4 -10.6 5.3 9.4 19.5 15.5 10.8 -20.0 1.7 8.2 4.2 7.0 7.4 3.5 -7.7 1.2 -5.4 -3.6 -6.3 -1.3 0.3 0.5 -0.0 NIKKEI -4.5 -20.0 0.8 2.8 6.0 4.0 6.5 4.2 4.1 2.6 10.7 6.4 13.6 -5.5 3.1 1.7 8.9 3.8 6.5 1.8 14.2 2.7 20.0 -2.1 -14.6 0.8 2.7 6.2 0.9 9.7 -1.0 20.0 -20.0 -20.0 -13.7 4.8 -9.1 -7.0 -5.7 -8.8 NZD 17.5 -1.9 -5.7 -1.8 7.5 -1.4 5.3 0.6 1.3 14.3 -4.0 14.8 -4.9 6.7 -4.3 0.1 0.2 0.2 0.2 -0.6 -3.7 17.0 -3.6 8.5 0.8 -0.0 11.9 -1.5 9.4 -1.2 4.7 4.6 16.7 10.7 5.2 -0.4 -6.2 -4.7 0.7 7.3 OAT 4.9 -10.4 -6.8 -1.6 2.5 -1.8 2.2 -1.8 0.4 3.4 -0.6 4.5 -0.3 -2.2 -6.8 5.8 6.1 5.6 5.4 -3.6 -2.5 2.3 -1.9 -0.9 2.4 -1.0 3.6 0.1 1.5 0.3 -0.2 16.2 -2.7 -6.8 4.5 6.1 -20.0 -19.6 6.9 -0.9 OATIES 20.0 20.0 8.0 4.4 3.3 2.7 5.3 -0.6 5.4 -2.7 -8.2 10.8 -13.2 15.4 12.5 18.3 2.8 13.0 7.7 14.5 1.0 20.0 -6.5 20.0 -20.0 4.6 0.5 1.1 6.9 -0.8 7.6 1.1 20.0 20.0 20.0 6.7 -14.7 -2.0 -0.0 14.3 OJ 20.0 6.9 5.0 5.4 4.1 3.3 6.5 -0.7 6.7 20.0 13.7 20.0 18.8 20.0 20.0 9.7 12.6 7.4 8.9 20.0 20.0 20.0 20.0 20.0 -20.0 5.8 20.0 4.7 18.0 8.5 11.2 12.1 20.0 20.0 20.0 20.0 5.4 8.6 18.7 20.0 PALLAD -8.2 1.1 7.0 2.5 5.7 1.9 4.3 0.9 2.8 5.4 -4.3 0.6 -8.2 -4.7 -0.3 -2.3 -2.1 -2.1 -2.1 -2.3 -4.2 2.1 -10.3 -1.5 13.6 -0.9 3.4 -1.6 1.6 -4.1 -0.5 5.7 -8.3 -10.6 -11.4 -8.9 -20.0 -19.6 -20.0 -12.6 PLAT 16.9 14.9 8.7 3.7 8.5 2.8 6.4 1.4 4.2 12.7 3.5 14.1 -6.8 12.5 9.2 -4.9 -3.9 -4.7 -4.4 12.4 5.2 20.0 -0.1 20.0 11.2 4.2 10.6 2.2 9.7 0.9 6.8 2.3 20.0 20.0 10.6 -1.5 -19.7 -6.9 10.5 6.8 REDWHEAT 20.0 20.0 20.0 4.0 3.0 2.5 4.8 -0.5 5.0 2.0 -1.1 12.0 -13.3 13.8 11.5 -10.5 -1.3 -5.2 -2.7 16.9 2.5 18.3 -10.8 20.0 -6.7 4.7 1.9 0.9 5.0 -2.0 6.3 -9.8 20.0 20.0 20.0 0.6 -9.1 -20.0 2.6 -19.7 RICE 19.6 13.5 -3.9 3.1 2.3 1.9 3.7 -0.4 3.8 11.0 6.8 12.5 8.4 13.3 9.0 20.0 20.0 20.0 20.0 11.7 7.8 10.4 7.5 14.8 -9.0 2.1 1.5 1.0 2.5 0.9 3.2 20.0 2.7 8.2 3.7 -0.0 -3.6 -4.4 -0.2 2.4 ROBUSTA -20.0 -17.6 -5.2 2.0 1.5 1.2 2.3 -0.3 2.4 -3.4 6.1 -7.5 7.5 -4.1 1.5 19.3 20.0 20.0 20.0 3.6 11.9 -12.4 13.3 -8.8 -20.0 2.0 -0.6 3.4 -1.3 3.6 -0.3 20.0 -15.4 -19.2 16.5 20.0 -7.0 -15.6 3.9 4.2 RUSSELL 13.9 -9.4 5.7 2.8 6.0 3.9 6.5 4.2 4.1 12.4 10.7 14.2 9.9 4.7 2.4 -6.8 -6.5 -6.7 -6.6 4.7 6.0 17.4 6.6 10.6 -1.9 2.9 7.4 3.5 7.8 3.9 5.1 -0.9 -10.4 -0.8 2.9 -11.3 -9.7 -20.0 -11.0 -20.0 SHATZ 2.2 -7.5 -20.0 -1.3 2.1 -1.5 1.8 -1.5 0.3 1.1 -8.4 -0.4 -8.3 -5.5 -8.2 -20.0 -20.0 -20.0 -20.0 -9.5 -10.6 -1.2 -10.8 -5.2 7.6 -3.2 0.4 -3.0 -0.7 -2.6 -2.1 -20.0 -3.9 -12.9 -5.1 -9.1 -20.0 -20.0 -17.7 -20.0 SILVER-mini -4.2 15.9 18.8 3.5 7.9 2.6 6.0 1.3 3.9 12.5 9.9 10.5 6.2 9.9 10.6 -6.3 -6.7 -6.6 -6.7 14.1 12.1 19.9 7.0 14.5 2.7 4.3 6.6 4.1 5.2 2.7 4.0 -2.2 14.0 -0.7 13.9 16.3 -7.9 -13.7 18.0 5.5 SMI 17.6 -9.8 10.7 3.2 6.7 4.5 7.4 4.8 4.6 16.1 14.3 17.2 12.1 12.6 10.9 -2.8 3.3 -0.4 2.0 14.9 11.9 20.0 9.1 20.0 13.4 5.7 8.5 5.3 9.6 4.0 7.7 15.3 11.6 9.9 11.9 -0.1 10.8 -0.4 15.9 -1.8 SOFR 17.5 -12.0 -11.9 -1.8 2.7 -2.0 2.4 -1.9 0.4 6.6 -2.9 9.6 -3.8 -0.9 -7.1 -3.3 -0.8 -2.3 -1.4 -5.3 -7.0 11.0 -5.9 3.2 -2.6 -1.3 5.3 -1.7 4.6 -1.2 1.7 4.7 9.1 6.9 -0.9 -0.0 -7.3 -20.0 11.1 -1.1 SOYBEAN 15.4 12.1 2.2 4.4 3.3 2.7 5.2 -0.6 5.4 -12.0 -8.1 6.7 -5.8 8.0 7.3 -0.7 9.0 0.4 3.8 5.3 -4.1 6.3 -9.0 10.5 -20.0 3.0 -1.5 -0.7 3.1 -2.3 5.1 4.5 6.1 13.8 4.7 -11.0 -15.5 -20.0 -13.2 -20.0 SOYMEAL 20.0 20.0 0.3 3.1 2.3 1.9 3.7 -0.4 3.8 -8.4 -8.1 4.9 -8.8 7.5 3.9 1.0 5.8 -1.5 0.6 8.3 -2.0 7.0 -6.3 13.3 -20.0 3.0 -0.6 0.1 2.5 -0.9 4.4 -0.9 5.7 20.0 20.0 -5.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -4.0 -6.0 3.4 2.5 1.9 1.5 3.0 -0.3 3.1 2.6 -9.8 -1.7 -9.0 -7.4 -7.7 -7.0 -0.4 -7.0 -4.9 -7.6 -8.0 -1.5 -8.5 -6.1 -20.0 -2.7 0.9 -2.1 -0.7 -1.9 -2.4 -11.1 0.6 -15.2 -18.8 -10.7 -20.0 -15.2 -8.1 3.2 SP400 12.3 -12.8 12.9 3.1 6.6 4.3 7.2 4.7 4.5 12.6 13.6 15.7 13.3 6.7 7.7 -6.4 -5.5 -5.8 -5.6 10.9 14.6 20.0 15.4 15.2 -13.1 4.3 6.0 5.5 7.5 5.8 5.4 0.9 -4.2 3.1 6.7 -0.1 -10.4 -10.4 -9.4 -20.0 SP500_micro 12.9 -20.0 3.3 3.1 6.5 4.3 7.1 4.6 4.5 15.6 15.3 16.5 15.9 10.1 10.6 -11.5 -11.7 -12.2 -12.2 10.8 16.8 20.0 20.0 15.9 -20.0 3.8 9.7 6.6 8.7 8.8 5.1 -10.3 4.4 -0.1 0.4 4.5 0.3 -2.6 5.1 -2.8 SUGAR11 -2.5 -19.1 -19.3 3.7 2.8 2.3 4.4 -0.5 4.6 -13.7 -13.9 -13.4 -2.6 -15.0 -14.5 0.7 14.0 5.8 10.2 -20.0 -17.7 -19.3 -7.9 -20.0 -20.0 -5.3 -5.7 -4.5 -5.0 -2.0 -5.1 14.8 -20.0 -20.0 -20.0 -20.0 20.0 11.6 20.0 20.0 US10 16.0 -10.1 -9.0 -1.5 2.3 -1.6 2.0 -1.6 0.3 5.4 -3.2 8.1 -5.2 -0.9 -6.1 -4.7 -7.3 -5.9 -6.8 -4.3 -6.2 8.2 -7.3 2.4 2.5 -1.1 4.1 -1.5 3.7 -1.7 1.4 -5.9 5.7 4.6 -0.2 0.8 -14.8 -20.0 0.1 2.5 US10U 15.0 -10.2 -8.7 -2.2 3.4 -2.5 2.9 -2.4 0.5 9.2 -4.5 12.1 -7.4 -1.8 -9.4 -6.1 -1.9 -4.7 -3.2 -6.7 -9.5 12.0 -11.6 3.0 0.2 -1.5 6.7 -2.2 5.8 -2.6 2.1 2.3 9.1 5.8 0.3 3.2 -14.5 -18.9 19.1 10.1 US2 13.4 -11.1 -17.6 -1.4 2.2 -1.6 1.9 -1.5 0.3 2.9 -7.4 6.7 -8.3 -3.1 -7.3 -20.0 -20.0 -20.0 -20.0 -7.9 -10.2 4.6 -11.6 -1.0 12.1 -2.1 1.9 -2.4 1.7 -2.4 -0.1 -20.0 -0.6 0.5 -4.7 -7.2 -16.2 -20.0 -11.2 -20.0 US20 15.3 -11.3 -5.5 -1.6 2.4 -1.8 2.1 -1.7 0.4 7.6 -0.4 9.0 -3.4 -0.6 -5.8 -0.6 -0.7 -0.4 -0.4 -3.5 -5.2 10.0 -6.8 3.3 -0.9 -0.3 5.9 -0.7 5.1 -1.3 2.3 5.4 9.1 6.0 2.0 5.8 -17.0 -14.2 20.0 15.6 US30 13.2 -10.7 -4.1 -1.9 2.9 -2.1 2.5 -2.1 0.4 9.4 -2.0 10.6 -5.4 -1.6 -7.3 -0.9 -4.9 -3.1 -4.5 -4.8 -6.7 11.0 -9.1 2.9 -0.4 -0.7 7.1 -1.2 5.9 -1.9 2.4 -1.9 10.2 4.6 1.9 7.5 -16.8 -12.8 17.2 18.4 US5 16.3 -10.6 -13.0 -1.5 2.4 -1.7 2.1 -1.7 0.4 5.0 -6.1 8.2 -7.1 -1.8 -7.1 -9.4 -10.1 -9.5 -9.8 -5.8 -7.9 8.1 -8.7 1.8 5.6 -1.5 3.6 -1.9 3.3 -1.9 1.0 -10.8 4.8 4.6 -1.9 -2.5 -13.0 -20.0 -4.2 -7.6 VIX -19.5 3.0 8.8 -6.0 -6.4 -5.7 -7.9 -7.5 -7.5 -18.5 -20.0 -20.0 -20.0 -20.0 -19.3 -20.0 -20.0 -20.0 -20.0 -18.9 -20.0 -20.0 -20.0 -20.0 NaN -6.7 -7.3 -6.7 -8.9 -9.0 -8.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 3.9 3.0 2.4 4.7 -0.5 4.9 6.0 4.6 13.1 -12.0 14.4 12.1 -17.3 -13.8 -17.3 -15.6 19.5 5.1 20.0 -8.6 20.0 1.3 4.6 2.7 1.3 6.0 -1.2 6.7 -20.0 20.0 20.0 20.0 -0.8 -7.7 -20.0 -1.3 -20.0 End of report for caleb_strategy_v3