******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240521_204008 produced at 2024-05-21 21:37:58.161943 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.66 0.0 0.00 -0.08 -0.08 -0.08 -25.40 16.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.36 0.0 0.00 0.00 0.00 0.00 -11.05 24.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.23 -0.30 0.0 0.75 -0.75 -0.23 -0.23 -4.03 10.0 -3 -3 caleb_strategy_v3 VIX False False 0.00 -0.26 -0.28 0.0 999.00 -999.00 -0.26 -0.27 -66.38 999999999.0 -61 -63 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -3.98 11.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -4.25 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.18 0.0 0.51 -0.51 -0.16 -0.16 -4.65 13.0 -4 -4 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.08 0.0 0.60 -0.60 -0.04 -0.04 -3.63 29.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.06 -0.07 0.0 0.15 -0.15 -0.06 -0.07 -6.62 13.0 -5 -6 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.39 -0.39 -0.07 -0.07 -2.67 17.0 -3 -3 caleb_strategy_v3 US5 False False 0.03 -0.21 -0.05 0.0 0.75 -0.75 -0.21 -0.21 -1.80 25.0 -7 -7 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -12.00 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 -1.63 3.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 -0.11 -0.04 0.0 0.68 -0.68 -0.11 -0.11 -1.23 19.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.01 -6.34 12.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -12.02 51.0 -6 -6 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.03 -2.31 11.0 -3 -3 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.68 18.0 -3 -3 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -0.57 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.02 0.0 0.25 -0.25 -0.03 -0.03 -2.17 36.0 -4 -4 caleb_strategy_v3 US10 False False 0.03 0.00 -0.02 0.0 0.53 -0.53 0.00 0.00 -0.69 17.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.99 4.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 0.00 -0.01 0.0 0.39 -0.39 0.00 0.00 -0.15 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 -0.37 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.62 10.0 -4 -4 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.01 0.0 0.42 -0.42 -0.16 -0.16 -0.21 13.0 -5 -5 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.71 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.61 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 -0.31 4.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -6.80 59.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.01 0.0 0.25 -0.25 -0.02 -0.02 -0.61 23.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 0.17 0.00 0.0 0.17 -0.17 0.17 0.17 0.02 2.0 2 2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.28 8.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 -0.01 0.00 0.0 0.24 -0.24 -0.01 -0.01 0.00 23.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.13 -0.00 0.0 0.20 -0.20 -0.13 -0.13 -0.46 68.0 -45 -45 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.51 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.33 9.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.01 0.00 0.0 0.00 -0.01 -0.01 -0.01 1.89 26.0 -6 -6 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.00 0.0 0.30 -0.30 0.00 0.00 -0.13 8.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.00 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.14 -0.14 0.02 0.02 0.04 6.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.01 26.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.00 0.0 0.36 -0.36 0.04 0.04 0.10 10.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 1.07 5.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.01 0.0 0.37 -0.37 0.02 0.02 1.51 66.0 4 4 caleb_strategy_v3 US20 False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.16 9.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.01 0.0 0.36 -0.36 0.01 0.01 1.70 48.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.01 0.0 999.00 -999.00 0.09 0.09 0.46 999999999.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.02 0.0 0.39 -0.39 0.01 0.01 2.34 56.0 2 2 caleb_strategy_v3 EUR False False 0.04 0.00 0.02 0.0 0.54 -0.54 0.00 0.00 0.54 14.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 1.56 19.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 1.77 21.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.70 999999999.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 4.65 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.05 0.04 0.0 0.15 -0.15 0.05 0.05 2.38 10.0 3 3 caleb_strategy_v3 GBP False False 0.02 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 1.71 22.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.36 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.73 3.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.09 0.0 0.31 -0.31 0.17 0.17 5.50 20.0 11 11 caleb_strategy_v3 LIVECOW False False 0.02 0.08 0.10 0.0 0.35 -0.35 0.08 0.10 4.74 17.0 4 5 caleb_strategy_v3 CAC True False 0.03 0.00 0.11 0.0 0.00 0.00 0.00 0.00 4.26 12.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.09 0.12 0.0 0.34 -0.34 0.09 0.09 20.65 58.0 15 15 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.13 0.0 0.11 -0.11 0.02 0.02 6.00 5.0 1 1 caleb_strategy_v3 SMI False True 0.04 0.26 0.16 0.0 0.26 0.00 0.26 0.26 4.33 9.0 7 7 caleb_strategy_v3 COPPER False False 0.04 0.25 0.17 0.0 999.00 -999.00 0.25 0.25 4.61 999999999.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.48 0.70 0.0 0.51 -0.51 0.48 0.49 82.67 60.0 57 58 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.5 Shocked risk 60.1 Sum abs risk 51.6 Leverage 5.00 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3521855.34, 'annual_cash_vol_target': 880463.835, 'daily_cash_vol_target': 55028.9896875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6670 0.6076 9.7212 BITCOIN 1831.0418 70675.0000 2.5908 41.4527 BOBL 0.2707 116.6900 0.2320 3.7120 BTP 0.6040 118.0700 0.5116 8.1850 BUND 0.5431 130.7900 0.4153 6.6445 BUXL 1.2778 129.7600 0.9848 15.7564 CAC 49.0778 8123.0000 0.6042 9.6669 CAD 0.0027 0.7326 0.3671 5.8734 CANOLA 7.7733 684.5000 1.1356 18.1698 CHF 0.0045 1.1009 0.4094 6.5504 COCOA 405.9823 6959.0000 5.8339 93.3427 COFFEE 4.5115 216.8500 2.0805 33.2876 COPPER 0.0608 5.1035 1.1905 19.0475 CORN 5.2903 482.5000 1.0964 17.5431 COTTON2 1.3387 76.4900 1.7502 28.0026 CRUDE_W 0.8252 76.3600 1.0807 17.2912 DAX 126.8389 18811.0000 0.6743 10.7885 DOW 228.0368 39954.0000 0.5707 9.1320 DX 0.3454 104.1550 0.3316 5.3062 EUR 0.0041 1.0864 0.3799 6.0777 EURIBOR-ICE 0.0518 97.3950 0.0532 0.8508 EUROSTX 35.2073 5059.0000 0.6959 11.1350 FEEDCOW 2.0073 261.1000 0.7688 12.3005 GASOIL 9.8075 761.2500 1.2883 20.6136 GASOLINE 0.0353 2.4753 1.4253 22.8049 GAS_US_mini 0.0830 2.8400 2.9226 46.7609 GBP 0.0056 1.2712 0.4393 7.0294 GOLD_micro 19.5950 2448.0000 0.8005 12.8072 HEATOIL 0.0308 2.4953 1.2341 19.7453 JGB-SGX-mini 0.2097 143.8000 0.1459 2.3337 JPY 0.0000 0.0064 0.7037 11.2584 LEANHOG 1.1204 98.8250 1.1338 18.1403 LIVECOW 1.3643 180.3250 0.7566 12.1048 LUMBER-new 6.8723 546.5000 1.2575 20.1203 MILK 0.2770 19.6300 1.4113 22.5816 MXP 0.0004 0.0598 0.5865 9.3835 NASDAQ_micro 146.7067 18773.0000 0.7815 12.5036 NIKKEI 355.7367 38845.0000 0.9158 14.6526 NZD 0.0038 0.6093 0.6291 10.0657 OAT 0.5407 126.1800 0.4285 6.8564 OATIES 7.5239 369.7500 2.0349 32.5579 OJ 5.6452 439.0000 1.2859 20.5749 PALLAD 22.4542 1041.0000 2.1570 34.5117 PLAT 17.0131 1064.5000 1.5982 25.5716 REDWHEAT 13.2254 717.0000 1.8446 29.5128 RICE 0.1654 15.6150 1.0594 16.9502 ROBUSTA 77.9572 3673.0000 2.1224 33.9590 RUSSELL 19.4619 2105.7000 0.9243 14.7880 SHATZ 0.0794 105.1650 0.0755 1.2081 SILVER-mini 0.5393 32.4500 1.6620 26.5920 SMI 78.8736 12027.0000 0.6558 10.4929 SOFR 0.0644 96.1550 0.0670 1.0720 SOYBEAN 10.4136 1213.0000 0.8585 13.7359 SOYMEAL 4.8875 366.6000 1.3332 21.3310 SOYOIL 0.7612 46.3000 1.6440 26.3036 SP400 22.1875 3022.2000 0.7341 11.7464 SP500_micro 32.4360 5339.0000 0.6075 9.7205 SUGAR11 0.3012 18.6000 1.6194 25.9102 US10 0.3838 109.5000 0.3505 5.6087 US10U 0.5039 112.4688 0.4480 7.1679 US2 0.0981 101.6797 0.0965 1.5435 US20 0.7432 117.3438 0.6334 10.1338 US30 1.1019 124.3125 0.8864 14.1823 US5 0.2481 105.8828 0.2343 3.7492 VIX 0.4093 14.9000 2.7468 43.9495 WHEAT 12.0507 740.2500 1.6279 26.0467 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.00 0.61 405.25 1.00 405.25 55028.99 135.79 4.43 60.11 BITCOIN 70.68 2.59 183.10 1.00 183.10 55028.99 300.53 -2.09 -62.83 BOBL 1166.90 0.23 270.72 1.09 294.58 55028.99 186.80 -6.48 -121.02 BTP 1180.70 0.51 604.00 1.09 657.24 55028.99 83.73 0.36 3.01 BUND 1307.90 0.42 543.14 1.09 591.02 55028.99 93.11 -6.08 -56.64 BUXL 1297.60 0.98 1277.84 1.09 1390.49 55028.99 39.58 -7.79 -30.82 CAC 812.30 0.60 490.78 1.09 534.04 55028.99 103.04 12.11 124.76 CAD 732.65 0.37 268.95 1.00 268.95 55028.99 204.61 -6.84 -140.05 CANOLA 136.90 1.14 155.47 0.73 114.26 55028.99 481.62 -10.25 -493.87 CHF 1376.06 0.41 563.36 1.00 563.36 55028.99 97.68 -18.35 -179.20 COCOA 695.90 5.83 4059.82 1.00 4059.82 55028.99 13.55 0.37 0.51 COFFEE 813.19 2.08 1691.82 1.00 1691.82 55028.99 32.53 1.07 3.48 COPPER 1275.88 1.19 1518.89 1.00 1518.89 55028.99 36.23 11.76 42.59 CORN 241.25 1.10 264.52 1.00 264.52 55028.99 208.04 -12.53 -260.61 COTTON2 382.45 1.75 669.35 1.00 669.35 55028.99 82.21 -13.15 -108.07 CRUDE_W 763.60 1.08 825.22 1.00 825.22 55028.99 66.68 8.31 55.39 DAX 188.11 0.67 126.84 1.09 138.02 55028.99 398.70 15.19 605.55 DOW 199.77 0.57 114.02 1.00 114.02 55028.99 482.63 1.34 64.91 DX 1041.55 0.33 345.42 1.00 345.42 55028.99 159.31 3.29 52.48 EUR 1358.06 0.38 515.87 1.00 515.87 55028.99 106.67 1.96 20.92 EURIBOR-ICE 2434.88 0.05 129.47 1.09 140.89 55028.99 390.59 -3.03 -118.26 EUROSTX 505.90 0.70 352.07 1.09 383.11 55028.99 143.64 11.23 161.35 FEEDCOW 1305.50 0.77 1003.65 1.00 1003.65 55028.99 54.83 -0.71 -3.90 GASOIL 761.25 1.29 980.75 1.00 980.75 55028.99 56.11 -4.07 -22.85 GASOLINE 1039.63 1.43 1481.79 1.00 1481.79 55028.99 37.14 2.87 10.67 GAS_US_mini 71.00 2.92 207.50 1.00 207.50 55028.99 265.20 0.66 17.48 GBP 794.50 0.44 349.05 1.00 349.05 55028.99 157.65 4.19 66.10 GOLD_micro 244.80 0.80 195.95 1.00 195.95 55028.99 280.83 2.45 68.67 HEATOIL 1048.03 1.23 1293.35 1.00 1293.35 55028.99 42.55 -8.84 -37.62 JGB-SGX-mini 143800.00 0.15 20974.00 0.01 134.70 55028.99 408.54 -5.74 -234.60 JPY 803.50 0.70 565.38 1.00 565.38 55028.99 97.33 -10.59 -103.03 LEANHOG 395.30 1.13 448.18 1.00 448.18 55028.99 122.78 -8.88 -108.98 LIVECOW 721.30 0.76 545.70 1.00 545.70 55028.99 100.84 14.19 143.10 LUMBER-new 150.29 1.26 188.99 1.00 188.99 55028.99 291.18 -19.26 -560.73 MILK 392.60 1.41 554.10 1.00 554.10 55028.99 99.31 5.04 50.03 MXP 299.25 0.59 175.50 1.00 175.50 55028.99 313.55 17.96 563.28 NASDAQ_micro 375.46 0.78 293.41 1.00 293.41 55028.99 187.55 -1.40 -26.20 NIKKEI 38845.00 0.92 35573.67 0.01 228.46 55028.99 240.87 -0.83 -19.99 NZD 609.35 0.63 383.35 1.00 383.35 55028.99 143.55 4.76 68.29 OAT 1261.80 0.43 540.71 1.09 588.38 55028.99 93.53 -0.48 -4.45 OATIES 184.88 2.03 376.20 1.00 376.20 55028.99 146.28 1.45 21.14 OJ 658.50 1.29 846.78 1.00 846.78 55028.99 64.99 19.64 127.60 PALLAD 1041.00 2.16 2245.42 1.00 2245.42 55028.99 24.51 -4.38 -10.74 PLAT 532.25 1.60 850.66 1.00 850.66 55028.99 64.69 10.80 69.88 REDWHEAT 358.50 1.84 661.27 1.00 661.27 55028.99 83.22 2.55 21.25 RICE 312.30 1.06 330.85 1.00 330.85 55028.99 166.33 11.49 191.15 ROBUSTA 367.30 2.12 779.57 1.00 779.57 55028.99 70.59 0.00 0.00 RUSSELL 105.28 0.92 97.31 1.00 97.31 55028.99 565.50 -0.25 -13.92 SHATZ 1051.65 0.08 79.41 1.09 86.40 55028.99 636.88 -17.11 -1089.63 SILVER-mini 811.25 1.66 1348.30 1.00 1348.30 55028.99 40.81 12.20 49.79 SMI 1202.70 0.66 788.74 1.10 867.69 55028.99 63.42 20.00 126.84 SOFR 2403.88 0.07 161.06 1.00 161.06 55028.99 341.67 -1.91 -65.42 SOYBEAN 606.50 0.86 520.68 1.00 520.68 55028.99 105.69 -6.25 -66.10 SOYMEAL 366.60 1.33 488.75 1.00 488.75 55028.99 112.59 -6.75 -75.97 SOYOIL 277.80 1.64 456.70 1.00 456.70 55028.99 120.49 -14.42 -173.80 SP400 3022.20 0.73 2218.75 1.00 2218.75 55028.99 24.80 0.27 0.68 SP500_micro 266.95 0.61 162.18 1.00 162.18 55028.99 339.31 2.16 73.28 SUGAR11 208.32 1.62 337.35 1.00 337.35 55028.99 163.12 -10.61 -173.05 US10 1095.00 0.35 383.84 1.00 383.84 55028.99 143.36 -3.80 -54.55 US10U 1124.69 0.45 503.85 1.00 503.85 55028.99 109.22 -1.49 -16.25 US2 2033.59 0.10 196.18 1.00 196.18 55028.99 280.50 -11.95 -335.20 US20 1173.44 0.63 743.21 1.00 743.21 55028.99 74.04 1.74 12.92 US30 1243.12 0.89 1101.90 1.00 1101.90 55028.99 49.94 0.01 0.07 US5 1058.83 0.23 248.11 1.00 248.11 55028.99 221.79 -6.41 -142.13 VIX 149.00 2.75 409.28 1.00 409.28 55028.99 134.45 -20.00 -268.91 WHEAT 370.12 1.63 602.53 1.00 602.53 55028.99 91.33 2.69 24.55 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 60.106 0.010 2.5 1.560 BITCOIN -62.834 0.043 2.5 -6.804 BOBL -121.018 0.004 2.5 -1.227 BTP 3.012 0.014 2.5 0.103 BUND -56.639 0.004 2.5 -0.574 BUXL -30.823 0.004 2.5 -0.313 CAC 124.755 0.014 2.5 4.255 CAD -140.047 0.010 2.5 -3.634 CANOLA -493.874 0.010 2.5 -12.015 CHF -179.201 0.010 2.5 -4.650 COCOA 0.508 0.009 2.5 0.011 COFFEE 3.481 0.005 2.5 0.041 COPPER 42.591 0.043 2.5 4.612 CORN -260.613 0.010 2.5 -6.340 COTTON2 -108.073 0.009 2.5 -2.315 CRUDE_W 55.385 0.043 2.5 5.998 DAX 605.547 0.014 2.5 20.654 DOW 64.912 0.009 2.5 1.509 DX 52.483 0.010 2.5 1.362 EUR 20.923 0.010 2.5 0.543 EURIBOR-ICE -118.264 0.014 2.5 -4.034 EUROSTX 161.345 0.014 2.5 5.503 FEEDCOW -3.897 0.013 2.5 -0.129 GASOIL -22.855 0.017 2.5 -0.991 GASOLINE 10.675 0.017 2.5 0.463 GAS_US_mini 17.478 0.043 2.5 1.893 GBP 66.097 0.010 2.5 1.715 GOLD_micro 68.669 0.014 2.5 2.342 HEATOIL -37.624 0.017 2.5 -1.631 JGB-SGX-mini -234.595 0.043 2.5 -25.404 JPY -103.030 0.010 2.5 -2.673 LEANHOG -108.976 0.024 2.5 -6.623 LIVECOW 143.100 0.013 2.5 4.742 LUMBER-new -560.732 0.009 2.5 -12.002 MILK 50.026 0.009 2.5 1.071 MXP 563.275 0.059 2.5 82.673 NASDAQ_micro -26.200 0.009 2.5 -0.609 NIKKEI -19.994 0.043 2.5 -2.165 NZD 68.290 0.010 2.5 1.772 OAT -4.448 0.014 2.5 -0.152 OATIES 21.143 0.010 2.5 0.514 OJ 127.604 0.009 2.5 2.733 PALLAD -10.743 0.014 2.5 -0.366 PLAT 69.883 0.014 2.5 2.384 REDWHEAT 21.254 0.005 2.5 0.282 RICE 191.153 0.010 2.5 4.650 ROBUSTA 0.001 0.005 2.5 0.000 RUSSELL -13.916 0.013 2.5 -0.461 SHATZ -1089.628 0.004 2.5 -11.049 SILVER-mini 49.792 0.014 2.5 1.698 SMI 126.840 0.014 2.5 4.326 SOFR -65.418 0.024 2.5 -3.976 SOYBEAN -66.103 0.004 2.5 -0.615 SOYMEAL -75.973 0.004 2.5 -0.707 SOYOIL -173.803 0.004 2.5 -1.618 SP400 0.679 0.013 2.5 0.022 SP500_micro 73.285 0.009 2.5 1.703 SUGAR11 -173.047 0.009 2.5 -3.680 US10 -54.546 0.005 2.5 -0.691 US10U -16.254 0.005 2.5 -0.206 US2 -335.196 0.005 2.5 -4.248 US20 12.918 0.005 2.5 0.164 US30 0.074 0.005 2.5 0.001 US5 -142.130 0.005 2.5 -1.801 VIX -268.907 0.099 2.5 -66.377 WHEAT 24.548 0.005 2.5 0.326 ===================== Position diags ===================== AUD 3.52 BITCOIN 32.54 BOBL 1.89 BTP 2.86 BUND 0.94 BUXL 0.40 CAC 3.51 CAD 5.31 CANOLA 11.72 CHF 2.53 COCOA 0.29 COFFEE 0.38 COPPER 3.92 CORN 5.06 COTTON2 1.76 CRUDE_W 7.22 DAX 13.60 DOW 11.22 DX 4.13 EUR 2.77 EURIBOR-ICE 13.32 EUROSTX 4.90 FEEDCOW 1.82 GASOIL 2.43 GASOLINE 1.61 GAS_US_mini 28.72 GBP 4.09 GOLD_micro 9.58 HEATOIL 1.84 JGB-SGX-mini 44.24 JPY 2.53 LEANHOG 7.46 LIVECOW 3.34 LUMBER-new 6.23 MILK 2.13 MXP 46.02 NASDAQ_micro 4.36 NIKKEI 26.08 NZD 3.72 OAT 3.19 OATIES 3.56 OJ 1.39 PALLAD 0.84 PLAT 2.21 REDWHEAT 1.10 RICE 4.05 ROBUSTA 0.82 RUSSELL 18.74 SHATZ 6.46 SILVER-mini 1.39 SMI 2.16 SOFR 20.76 SOYBEAN 0.98 SOYMEAL 1.05 SOYOIL 1.12 SP400 0.82 SP500_micro 7.89 SUGAR11 3.47 US10 1.82 US10U 1.38 US2 3.55 US20 0.94 US30 0.63 US5 2.81 VIX 33.19 WHEAT 1.21 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.6 1.2 1.9 0.0 0 BITCOIN -6.8 -10.1 -3.5 0.0 0 BOBL -1.2 -1.4 -1.0 -3.0 -3 BTP 0.1 -0.2 0.4 1.0 1 BUND -0.6 -0.7 -0.5 0.0 0 BUXL -0.3 -0.4 -0.3 -2.0 -2 CAC 4.3 3.9 4.6 0.0 0 CAD -3.6 -4.2 -3.1 -2.0 -2 CANOLA -12.0 -13.2 -10.8 -6.0 -6 CHF -4.6 -4.9 -4.4 -4.0 -4 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE 0.0 0.0 0.1 1.0 1 COPPER 4.6 4.2 5.0 7.0 7 CORN -6.3 -6.8 -5.8 -2.0 -2 COTTON2 -2.3 -2.5 -2.1 -3.0 -3 CRUDE_W 6.0 5.3 6.7 1.0 1 DAX 20.7 19.3 22.0 15.0 15 DOW 1.5 0.4 2.6 4.0 4 DX 1.4 0.9 1.8 NaN 0 EUR 0.5 0.3 0.8 0.0 0 EURIBOR-ICE -4.0 -5.4 -2.7 -3.0 -3 EUROSTX 5.5 5.0 6.0 11.0 11 FEEDCOW -0.1 -0.3 0.1 0.0 0 GASOIL -1.0 -1.2 -0.7 -1.0 -1 GASOLINE 0.5 0.3 0.6 3.0 3 GAS_US_mini 1.9 -1.0 4.8 -6.0 -6 GBP 1.7 1.3 2.1 0.0 0 GOLD_micro 2.3 1.4 3.3 2.0 2 HEATOIL -1.6 -1.8 -1.4 -2.0 -2 JGB-SGX-mini -25.4 -29.8 -21.0 -3.0 -3 JPY -2.7 -2.9 -2.4 -3.0 -3 LEANHOG -6.6 -7.4 -5.9 -5.0 -5 LIVECOW 4.7 4.4 5.1 4.0 4 LUMBER-new -12.0 -12.6 -11.4 NaN 0 MILK 1.1 0.9 1.3 NaN 0 MXP 82.7 78.1 87.3 57.0 57 NASDAQ_micro -0.6 -1.0 -0.2 -2.0 -2 NIKKEI -2.2 -4.8 0.4 -4.0 -4 NZD 1.8 1.4 2.1 0.0 0 OAT -0.2 -0.5 0.2 0.0 0 OATIES 0.5 0.2 0.9 NaN 0 OJ 2.7 2.6 2.9 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 2.4 2.2 2.6 3.0 3 REDWHEAT 0.3 0.2 0.4 0.0 0 RICE 4.7 4.2 5.1 NaN 0 ROBUSTA 0.0 -0.1 0.1 -1.0 -1 RUSSELL -0.5 -2.3 1.4 -45.0 -45 SHATZ -11.0 -11.7 -10.4 NaN 0 SILVER-mini 1.7 1.6 1.8 0.0 0 SMI 4.3 4.1 4.5 7.0 7 SOFR -4.0 -6.1 -1.9 NaN 0 SOYBEAN -0.6 -0.7 -0.5 -1.0 -1 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL -1.6 -1.7 -1.5 -4.0 -4 SP400 0.0 -0.1 0.1 2.0 2 SP500_micro 1.7 0.9 2.5 1.0 1 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 -4.2 -4.6 -3.9 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.0 -0.1 0.1 0.0 0 US5 -1.8 -2.1 -1.5 -7.0 -7 VIX -66.4 -69.7 -63.1 -61.0 -61 WHEAT 0.3 0.2 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 0.2 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.1 -0.1 0.2 -0.3 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.4 0.5 0.2 -0.4 -0.3 -0.1 -0.0 BITCOIN -0.2 -0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.6 0.0 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.1 0.1 0.3 0.1 0.4 0.0 -0.2 -0.4 -0.6 -0.6 0.6 -0.4 -0.1 0.4 0.1 BOBL 0.1 -0.2 -0.4 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -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 -0.0 -0.1 -0.3 0.0 -0.0 -0.7 -0.6 0.0 -0.4 BTP 0.2 -0.3 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 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 0.0 0.1 0.0 0.2 0.0 0.9 0.1 -0.2 0.2 0.6 -0.4 -0.3 0.5 0.1 BUND 0.2 -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 0.1 0.1 -0.7 -0.7 0.1 -0.3 BUXL 0.1 -0.2 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.4 0.2 0.3 -0.7 -0.7 -0.3 -0.2 CAC 0.3 -0.3 0.5 0.1 0.0 0.2 0.1 0.3 0.1 -0.0 0.5 0.2 0.7 0.2 0.2 0.0 0.1 0.2 0.1 0.2 0.2 0.1 0.5 0.2 -1.8 0.1 -0.0 0.3 0.0 0.3 0.1 0.9 -0.1 -0.2 0.6 0.6 -0.3 0.2 -0.4 0.4 CAD 0.3 -0.2 -0.2 -0.0 0.0 -0.0 0.1 0.0 0.0 0.1 -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 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.1 -0.3 -0.0 -0.1 -0.3 -0.4 -0.0 -0.3 CANOLA 0.4 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.3 -0.3 0.1 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.2 0.0 -1.1 -0.0 0.2 0.1 -0.1 -0.7 -0.6 -0.3 -0.1 CHF 0.5 -0.3 -0.6 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.2 -0.5 0.0 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 0.2 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.5 -0.6 0.0 -0.5 0.3 -0.5 COCOA -0.6 -0.6 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 -0.1 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 0.3 0.6 0.2 0.0 0.4 0.3 COFFEE -0.6 -0.0 0.2 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.2 -0.0 0.3 -0.0 0.0 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.2 -0.0 -2.4 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 0.1 0.1 0.4 0.2 0.3 0.2 0.2 0.1 -0.1 -0.0 -0.1 0.2 0.2 0.2 0.4 0.2 -1.8 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.6 -0.1 0.3 0.2 CORN 0.3 0.4 0.6 0.1 0.1 0.1 0.1 -0.0 0.1 -0.0 -0.2 0.0 -0.6 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.0 0.0 -0.4 0.1 -2.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.3 0.3 0.3 -0.3 -0.6 -0.7 -0.6 -0.0 COTTON2 -0.2 -0.6 -0.3 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 0.0 -0.1 -0.6 -0.6 0.0 -0.3 -0.5 0.2 -0.0 CRUDE_W -0.6 -0.2 0.2 -0.0 0.0 0.1 0.0 0.2 -0.0 0.1 0.2 -0.1 0.6 -0.2 0.1 0.3 0.2 0.3 0.3 0.0 0.1 -0.0 0.4 -0.1 -0.7 -0.0 0.0 0.1 -0.0 0.3 -0.0 -0.1 -0.0 -0.3 0.1 0.1 0.7 0.6 0.7 0.6 DAX 0.4 -0.4 0.4 0.0 0.0 0.1 0.1 0.2 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 1.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.5 -0.1 -0.1 0.6 0.6 -0.0 0.2 0.1 0.5 DOW 0.6 -0.3 -0.1 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.4 0.2 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.5 0.2 -1.8 0.0 0.0 0.1 0.1 0.3 0.1 -0.5 0.2 0.1 0.2 -0.3 0.2 -0.2 0.3 -0.4 DX -0.6 0.2 0.3 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.1 0.4 -0.2 0.4 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 -0.1 -2.7 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.9 -0.5 -0.6 0.6 0.6 0.3 0.2 0.5 0.5 EUR 0.5 -0.1 -0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.1 -0.2 0.2 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.2 0.1 2.7 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 0.2 0.4 0.2 0.2 -0.7 -0.6 -0.7 -0.4 EURIBOR-ICE 0.3 -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 -0.1 -0.2 -0.1 -0.1 -0.7 -0.7 0.1 0.4 EUROSTX 0.3 -0.4 0.4 0.1 0.0 0.2 0.1 0.2 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.2 -0.0 -0.1 -0.0 0.2 0.2 0.1 0.5 0.2 -0.2 0.1 0.0 0.3 0.0 0.4 0.1 0.4 -0.2 -0.2 0.6 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.1 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.0 0.1 -0.9 -0.0 0.1 -0.0 0.1 0.1 0.0 -1.1 0.5 -0.1 -0.4 -0.0 0.7 0.7 0.7 0.7 GASOIL -0.5 -0.5 0.0 -0.0 0.0 0.1 0.0 0.2 -0.0 0.1 0.1 -0.1 0.5 -0.2 -0.1 -0.1 0.3 0.1 0.2 -0.1 0.0 -0.0 0.4 -0.2 0.9 -0.0 0.0 0.0 -0.0 0.2 -0.1 0.2 -0.1 -0.3 -0.5 -0.3 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.6 -0.4 0.3 -0.0 0.0 0.1 0.0 0.2 -0.0 0.0 0.4 -0.1 0.6 -0.2 0.1 0.4 0.3 0.4 0.3 -0.0 0.1 -0.1 0.4 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.0 -0.3 -0.5 -0.2 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.3 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 -0.5 0.2 -0.7 0.2 -0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.2 0.2 -0.5 0.2 2.7 0.0 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.6 0.5 -0.6 -0.3 -0.2 -0.6 -0.3 GBP 0.4 -0.2 -0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.2 0.2 0.2 0.2 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.1 0.1 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.5 0.3 0.3 -0.7 -0.5 -0.7 -0.2 GOLD_micro -0.3 0.2 0.6 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.4 0.2 -0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.1 -0.2 0.5 0.6 -0.3 -0.5 -0.0 -0.2 HEATOIL -0.5 -0.5 -0.1 -0.0 0.0 0.1 0.0 0.2 -0.0 0.1 -0.1 -0.1 0.3 -0.2 -0.2 -0.1 0.3 0.0 0.2 -0.1 -0.0 -0.0 0.2 -0.2 -2.7 -0.1 0.0 -0.0 -0.0 0.2 -0.1 0.1 -0.2 -0.4 -0.6 -0.4 0.4 0.2 0.1 0.0 JGB-SGX-mini -0.0 -0.6 -0.4 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.4 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 -0.4 -0.1 -0.5 -0.3 -0.0 0.4 JPY 0.3 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -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 -0.6 -0.4 LEANHOG -0.6 -0.4 0.6 0.1 0.1 0.1 0.1 -0.0 0.1 -0.2 0.3 -0.2 -0.1 -0.2 -0.0 -0.3 -0.4 -0.4 -0.4 -0.1 0.1 -0.2 0.0 -0.2 1.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 0.3 -0.3 -0.3 -0.1 0.3 LIVECOW 0.3 -0.2 0.0 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 0.0 0.2 0.0 0.1 -0.0 0.4 0.2 0.4 0.3 0.0 -0.0 0.2 0.0 0.1 -0.8 0.0 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.2 -0.2 0.4 0.7 0.7 0.7 0.7 LUMBER-new 0.1 -0.7 -0.3 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 -0.3 0.0 -0.5 -0.2 -0.2 -0.5 -0.4 -0.5 -0.5 -0.2 -0.2 -0.1 -0.3 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.3 -0.4 -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 -0.0 -0.0 0.1 -0.3 0.1 0.1 0.4 -0.4 -0.2 -0.4 0.2 0.0 0.1 -0.2 0.2 2.0 0.0 0.0 0.0 0.0 -0.1 0.1 -1.1 0.5 0.6 0.6 0.3 -0.7 -0.7 -0.6 -0.7 MXP 0.4 -0.4 -0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.1 0.5 0.2 0.7 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.5 0.4 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.5 -0.2 0.0 0.0 0.1 0.0 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 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 -0.4 0.1 0.2 -0.0 -0.2 -0.0 0.0 -0.0 0.0 NIKKEI 0.1 -0.6 -0.0 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.5 -0.0 0.0 0.0 0.2 0.1 0.1 0.0 0.2 0.1 0.5 0.0 -2.1 0.0 0.0 0.2 0.0 0.4 0.0 1.1 -0.4 -0.5 -0.5 0.1 -0.3 -0.2 -0.2 -0.3 NZD 0.6 0.0 -0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.2 0.4 0.3 0.0 -0.2 -0.2 0.1 0.2 OAT 0.2 -0.3 -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 -0.1 -0.0 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.9 -0.0 -0.2 0.1 0.2 -0.7 -0.6 0.2 -0.0 OATIES 0.6 0.6 0.3 0.0 0.0 0.1 0.0 -0.0 0.0 -0.1 -0.2 -0.0 -0.4 0.1 0.1 0.3 0.1 0.2 0.1 0.1 0.0 -0.0 -0.1 0.1 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.6 0.5 0.2 -0.4 -0.1 0.1 0.5 OJ 0.6 0.5 0.3 0.1 0.1 0.1 0.1 -0.0 0.1 0.2 0.4 0.2 0.7 0.2 0.2 0.3 0.3 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.2 0.2 0.1 0.7 0.5 0.6 0.6 0.6 0.2 0.3 0.6 0.7 PALLAD -0.0 0.1 0.2 0.0 0.0 0.1 0.1 0.0 0.0 0.1 -0.1 0.1 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.0 1.9 0.0 0.1 -0.0 0.0 -0.1 0.0 0.3 -0.4 -0.4 -0.4 -0.3 -0.7 -0.7 -0.7 -0.4 PLAT 0.6 0.5 0.3 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 1.4 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.1 0.6 0.3 -0.0 -0.7 -0.2 0.3 0.2 REDWHEAT 0.5 0.6 0.6 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 0.0 0.1 -0.4 0.1 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.0 0.2 -0.2 0.2 -0.8 0.0 0.0 0.0 0.1 -0.1 0.1 -0.6 0.5 0.6 0.6 0.1 -0.3 -0.7 0.1 -0.6 RICE 0.5 0.6 -0.1 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.2 0.2 0.4 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.3 0.2 -1.3 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 0.2 0.4 0.0 -0.1 -0.1 -0.1 0.1 ROBUSTA -0.6 -0.6 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 -0.1 0.3 -0.0 0.0 0.3 0.4 0.4 0.4 0.0 0.1 -0.0 0.3 -0.0 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.3 -0.6 0.5 0.6 -0.2 -0.5 0.2 0.1 RUSSELL 0.6 -0.2 0.2 0.0 0.0 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 0.1 0.2 0.1 -0.3 0.0 0.0 0.1 0.1 0.2 0.1 -0.0 -0.2 -0.1 0.2 -0.4 -0.3 -0.7 -0.3 -0.7 SHATZ 0.1 -0.2 -0.6 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.3 -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 -0.6 SILVER-mini 0.1 0.4 0.6 0.0 0.1 0.1 0.1 0.0 0.1 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 0.3 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.4 0.6 0.6 -0.3 -0.5 0.5 0.2 SMI 0.6 -0.0 0.4 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.4 0.2 0.5 0.2 0.1 -0.1 0.1 -0.0 0.0 0.2 0.2 0.2 0.3 0.2 1.9 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.4 0.6 0.0 0.4 -0.0 0.5 -0.1 SOFR 0.6 -0.3 -0.4 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 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 0.1 0.1 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 0.1 -0.1 0.1 0.2 -0.2 0.5 0.1 -0.2 -0.5 -0.7 -0.5 -0.7 SOYMEAL 0.6 0.6 0.1 0.0 0.0 0.1 0.0 -0.0 0.0 -0.1 -0.2 0.0 -0.3 0.1 0.0 0.1 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.2 0.1 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.4 0.6 0.6 -0.1 -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 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.6 0.2 -0.2 -0.6 -0.3 -0.7 -0.5 -0.3 0.1 SP400 0.5 -0.3 0.4 0.0 0.0 0.1 0.1 0.2 0.1 0.0 0.4 0.2 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.1 0.5 0.2 -1.8 0.1 0.0 0.2 0.1 0.2 0.1 0.0 -0.2 -0.0 0.2 -0.0 -0.3 -0.4 -0.3 -0.7 SP500_micro 0.6 -0.5 0.2 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.4 0.2 0.6 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.5 0.2 0.2 0.1 0.1 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 0.7 -0.5 -0.6 -0.6 -0.6 0.7 0.4 0.7 0.7 US10 0.6 -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 0.0 -0.2 0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.2 0.1 0.0 0.0 -0.4 -0.7 0.0 0.1 US10U 0.6 -0.3 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -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 0.0 -0.1 0.0 -0.1 0.0 0.1 0.2 0.2 0.0 0.1 -0.4 -0.6 0.6 0.3 US2 0.5 -0.3 -0.6 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.0 1.7 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.1 -0.0 -0.2 -0.2 -0.5 -0.7 -0.3 -0.7 US20 0.6 -0.3 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -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 0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.2 0.1 0.2 -0.5 -0.5 0.7 0.5 US30 0.6 -0.3 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 0.1 0.1 0.2 -0.6 -0.4 0.5 0.6 US5 0.6 -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 0.0 -0.2 0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.6 0.2 0.1 -0.1 -0.1 -0.4 -0.7 -0.1 -0.2 VIX -1.0 -0.1 0.4 -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 -0.1 -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 0.2 0.1 -0.4 0.1 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 0.1 -0.3 -0.7 -0.1 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 16.2 5.1 2.0 -1.1 2.2 -1.3 4.9 0.7 2.5 8.5 -2.0 14.8 -7.8 15.0 9.1 -2.6 -2.8 -2.7 -2.7 6.5 0.9 13.0 -3.1 12.8 3.0 3.8 2.8 1.2 6.7 -0.7 6.7 -0.5 1.4 13.6 15.9 7.4 -12.1 -7.9 -3.8 -0.6 BITCOIN -5.0 -14.2 2.3 5.6 10.7 3.7 10.5 1.8 7.6 17.8 13.5 16.5 15.7 2.7 8.8 -6.4 -7.2 -7.3 -7.6 8.2 18.4 20.0 20.0 8.9 -20.0 5.0 9.5 10.2 7.0 12.0 3.5 -3.6 -17.9 -18.4 -20.0 20.0 -11.1 -1.5 11.8 2.9 BOBL 4.5 -7.6 -11.8 -1.3 -0.1 -1.6 0.7 -1.6 0.2 -5.7 -5.9 -2.0 -4.3 -5.3 -7.7 13.8 -5.7 7.2 -1.1 -5.9 -5.6 -2.9 -5.0 -3.8 4.5 -2.6 -2.0 -2.1 -1.8 -1.7 -2.1 -0.8 -4.3 -10.6 0.0 -1.2 -20.0 -19.4 0.5 -11.5 BTP 4.9 -9.9 -1.9 -2.1 -0.2 -2.6 1.1 -2.7 0.3 1.4 9.4 7.6 9.4 0.9 -2.0 4.6 5.9 4.8 5.0 1.3 4.6 2.5 6.5 1.9 -20.0 2.1 0.7 4.8 1.5 5.8 1.3 16.0 3.3 -6.8 7.7 18.2 -10.6 -9.9 15.6 2.5 BUND 5.0 -7.8 -7.2 -1.4 -0.2 -1.7 0.8 -1.8 0.2 -5.4 -2.7 0.6 -2.0 -3.9 -7.1 -9.4 -1.1 -7.8 -4.9 -4.2 -3.6 -1.7 -3.5 -2.4 2.0 -1.5 -1.9 -0.7 -1.3 -0.6 -1.4 1.9 -3.1 -9.3 4.0 4.2 -20.0 -20.0 4.3 -9.2 BUXL 3.3 -7.6 -2.1 -1.7 -0.2 -2.1 0.9 -2.2 0.2 -6.4 -1.0 -0.9 -2.6 -4.9 -7.7 -8.5 -3.1 -7.2 -5.2 -4.3 -3.1 -2.8 -4.3 -3.2 -1.9 -0.7 -2.6 0.6 -2.1 -0.1 -1.7 0.0 -6.0 -12.4 7.3 9.4 -20.0 -20.0 -9.2 -6.2 CAC 8.6 -10.7 14.5 5.4 4.5 6.7 8.1 7.0 6.9 -0.5 20.0 17.9 20.0 17.9 20.0 2.1 2.5 8.7 6.0 20.0 20.0 15.1 20.0 20.0 -13.2 9.1 -0.4 10.3 4.6 9.6 7.6 17.2 -3.7 -5.9 20.0 18.0 -8.8 7.5 -12.3 11.5 CAD 7.8 -5.4 -6.4 -1.4 2.9 -1.8 6.5 1.0 3.4 7.8 -12.2 15.7 -11.6 1.7 -10.3 -3.1 -2.4 -2.8 -2.6 -6.0 -8.8 5.8 -8.6 2.1 -0.9 -3.4 -1.1 -5.1 3.8 -5.0 1.6 0.0 -2.5 -9.1 -0.8 -3.9 -9.1 -12.7 -0.8 -8.9 CANOLA 12.3 17.3 18.6 2.7 3.1 1.7 3.2 -0.2 3.2 6.1 -4.2 7.8 -7.3 7.1 7.2 -14.9 -8.5 -15.2 -13.5 4.7 -2.3 8.0 -9.1 7.7 -20.0 1.8 1.8 -1.2 2.6 -4.5 2.9 -20.0 -0.8 6.3 2.4 -2.0 -20.0 -16.6 -7.7 -4.1 CHF 14.5 -8.9 -20.0 -1.2 2.6 -1.6 5.8 0.9 3.0 -18.5 -18.7 3.5 -13.5 -7.4 -18.2 -16.7 -16.1 -16.5 -16.2 -20.0 -20.0 -6.2 -15.8 -8.4 1.7 -6.4 -4.9 -7.2 -2.3 -4.1 -2.9 -20.0 -20.0 -18.9 -16.7 -20.0 0.9 -15.9 7.7 -13.6 COCOA -20.0 -20.0 -13.5 1.7 2.0 1.1 2.1 -0.1 2.1 -4.5 3.7 -5.8 5.2 -4.9 1.3 13.5 14.8 20.0 20.0 0.5 5.7 -6.9 6.4 -5.9 -15.1 1.4 -0.5 3.1 -0.9 3.5 -0.4 20.0 -8.7 -20.0 8.2 20.0 6.0 1.0 10.6 8.0 COFFEE -20.0 -0.4 6.5 3.7 4.4 2.3 4.5 -0.2 4.5 12.7 7.6 -3.0 7.7 -3.1 0.5 6.3 8.4 9.5 9.8 4.7 9.6 6.5 8.4 -0.4 -17.9 2.8 5.5 3.9 1.8 3.2 1.0 9.0 20.0 -20.0 20.0 19.6 0.4 -18.6 10.0 -6.3 COPPER 4.1 20.0 20.0 4.3 8.3 2.9 8.1 1.4 5.9 14.5 15.2 15.6 8.7 15.9 16.1 5.3 -3.6 -0.3 -2.6 20.0 20.0 20.0 13.2 20.0 -13.6 5.8 5.9 4.3 6.7 2.5 6.4 3.5 20.0 20.0 20.0 20.0 -17.6 -3.6 8.2 6.3 CORN 10.7 13.5 17.1 4.9 5.8 3.0 6.0 -0.3 5.9 -5.0 -6.1 4.0 -16.9 10.3 10.3 -18.4 -11.4 -18.8 -16.6 5.4 -4.3 1.4 -15.1 7.4 -15.6 3.3 -1.5 -1.9 1.2 -6.4 4.5 -20.0 -11.3 8.2 8.4 -9.7 -17.5 -20.0 -17.3 -0.2 COTTON2 -6.4 -20.0 -8.4 2.6 3.1 1.6 3.2 -0.2 3.2 -3.5 -6.8 -6.1 -3.6 -9.2 -9.4 4.9 3.8 8.0 5.7 -13.8 -8.0 -6.5 -3.1 -12.7 -17.9 -2.6 -0.2 -0.7 -1.4 0.6 -2.8 0.7 -4.7 -19.7 -20.0 0.9 -8.6 -13.8 4.9 -0.4 CRUDE_W -19.3 -7.5 7.3 -0.4 3.8 3.5 1.2 5.2 -2.6 12.0 8.5 -11.9 15.7 -15.5 7.8 13.2 12.1 14.3 13.2 0.9 10.9 -1.4 16.1 -7.1 -5.5 -0.4 2.0 4.5 -0.8 7.4 -3.8 -1.1 -1.8 -7.8 1.9 2.7 20.0 16.7 20.0 18.7 DAX 11.8 -12.2 10.9 4.5 3.7 5.5 6.7 5.8 5.8 2.7 19.8 15.0 19.7 14.7 17.3 -10.1 -11.5 -11.5 -12.1 20.0 20.0 16.0 20.0 20.0 13.1 7.8 0.7 9.1 3.8 8.2 5.9 -9.9 -5.0 -1.7 20.0 19.9 -0.1 6.7 1.5 15.2 DOW 20.0 -10.2 -4.1 3.8 3.1 4.7 5.7 4.9 4.9 10.9 14.3 16.1 14.7 10.9 5.3 -11.2 -11.2 -11.7 -11.8 11.1 12.8 20.0 17.4 19.6 -13.7 4.5 3.8 5.4 7.4 7.0 6.6 -9.4 8.7 2.1 7.1 -8.7 4.5 -6.4 10.4 -13.1 DX -17.7 6.7 8.7 -1.3 2.8 -1.7 6.1 0.9 3.2 -11.3 14.4 -17.5 12.5 -4.1 10.7 7.3 6.7 7.3 7.0 6.9 12.3 -15.4 10.9 -7.2 -20.0 2.8 -3.6 4.8 -6.6 4.3 -3.0 16.1 -20.0 -20.0 20.0 20.0 10.3 6.3 13.7 14.2 EUR 15.4 -3.0 -3.7 -1.4 2.9 -1.8 6.4 1.0 3.3 13.8 -7.5 20.0 -8.8 12.5 -2.6 -7.2 -6.9 -7.0 -6.8 0.1 -5.8 16.9 -6.0 11.8 20.0 2.0 4.8 -0.7 9.9 -1.0 7.5 -7.4 8.7 11.0 6.5 5.0 -20.0 -16.7 -20.0 -12.9 EURIBOR-ICE 8.1 -17.4 -15.4 -1.2 -0.1 -1.5 0.6 -1.5 0.2 -4.7 -0.4 0.4 1.0 -4.0 -6.4 -6.0 -4.5 -4.9 -4.1 -4.9 -2.9 -1.6 -0.4 -2.8 12.0 -2.2 -1.3 -1.0 -0.9 0.2 -1.5 -0.4 -2.3 -7.3 -3.1 -1.6 -20.0 -20.0 2.6 10.8 EUROSTX 7.9 -12.9 12.9 4.8 4.0 6.0 7.2 6.3 6.2 4.5 20.0 17.9 20.0 17.0 20.0 -7.8 -0.9 -4.9 -2.2 20.0 20.0 14.8 20.0 19.1 -1.6 8.6 0.5 10.9 4.1 10.6 6.4 8.1 -7.7 -7.0 19.9 20.0 -14.2 6.2 -20.0 10.1 FEEDCOW 4.1 -7.6 -3.8 4.9 5.8 3.0 5.9 -0.3 5.9 16.4 -2.1 10.4 -2.8 5.0 -3.8 -20.0 -20.0 -20.0 -20.0 -3.3 -4.8 16.2 -1.2 5.0 -6.7 -0.1 9.7 -0.7 7.7 1.9 3.2 -20.0 20.0 -2.1 -11.1 -0.1 20.0 20.0 20.0 20.0 GASOIL -15.9 -15.1 0.4 -0.3 3.4 3.2 1.1 4.7 -2.3 10.2 4.9 -9.3 14.7 -19.0 -9.1 -2.7 17.0 5.8 12.2 -10.5 2.5 -4.1 14.1 -14.6 6.9 -4.5 2.3 0.4 -1.4 4.5 -5.7 4.5 -5.1 -10.2 -16.4 -9.2 -16.0 -9.6 -20.0 -20.0 GASOLINE -20.0 -12.4 8.9 -0.3 3.4 3.2 1.1 4.7 -2.4 0.9 13.3 -13.3 16.7 -15.1 6.5 20.0 13.7 18.2 12.7 -1.6 10.5 -7.4 15.8 -11.6 -20.0 -1.4 -1.3 3.9 -3.3 6.9 -5.4 -0.0 -11.6 -14.6 -6.8 6.1 20.0 20.0 20.0 20.0 GAS_US_mini 20.0 20.0 9.1 -0.3 2.9 2.7 0.9 4.0 -2.0 15.5 -18.1 18.9 -20.0 17.3 -2.1 -20.0 -20.0 -20.0 -20.0 5.0 -14.1 20.0 -20.0 20.0 20.0 1.6 12.7 -5.0 13.0 -8.1 8.5 -20.0 20.0 20.0 14.6 -20.0 -9.9 -5.4 -18.4 -10.3 GBP 13.5 -5.2 -4.3 -1.4 3.0 -1.8 6.6 1.0 3.4 20.0 7.0 20.0 4.5 14.4 -2.4 -1.1 -0.8 -1.0 -0.8 2.2 -0.6 20.0 2.0 13.8 1.5 3.2 12.3 2.0 13.8 2.4 8.8 3.0 20.0 16.5 9.8 10.3 -20.0 -14.6 -20.0 -7.3 GOLD_micro -8.2 5.7 20.0 3.7 7.0 2.5 6.9 1.2 5.0 11.5 12.5 10.7 11.0 10.9 11.9 -11.8 -14.2 -13.1 -13.8 18.4 19.4 18.3 14.8 15.7 -3.7 4.4 3.9 5.0 3.7 4.0 3.4 -14.9 -2.6 -7.1 16.8 20.0 -10.5 -15.2 -0.4 -7.4 HEATOIL -14.8 -15.0 -2.2 -0.3 3.6 3.3 1.1 4.9 -2.4 8.7 -3.6 -11.8 9.0 -20.0 -14.9 -7.3 16.4 1.8 9.9 -13.6 -2.8 -4.6 8.1 -15.8 -20.0 -5.2 1.8 -0.4 -1.5 4.6 -6.0 2.2 -6.5 -11.4 -20.0 -13.0 11.7 5.8 4.1 1.2 JGB-SGX-mini -0.9 -20.0 -12.1 -1.5 -0.2 -1.9 0.8 -2.0 0.2 -9.4 -0.5 -9.6 2.7 -9.9 -9.9 20.0 16.8 17.6 15.7 -9.6 -5.7 -8.8 -0.8 -9.7 -9.2 -3.5 -2.6 -2.5 -2.9 -1.3 -3.3 20.0 -17.9 -12.6 -11.8 -3.4 -16.2 -8.0 -0.3 11.8 JPY 9.3 -1.1 -2.2 -0.5 1.1 -0.7 2.5 0.4 1.3 -7.6 -9.1 -4.3 -9.6 -6.3 -8.2 -13.8 -16.3 -15.6 -16.0 -9.0 -10.6 -3.9 -12.2 -6.0 20.0 -3.2 -1.0 -3.5 -1.1 -3.7 -2.0 -20.0 -13.4 -13.9 -12.9 -13.0 -20.0 -11.2 -19.3 -10.7 LEANHOG -20.0 -11.1 17.6 6.5 7.7 4.0 7.9 -0.4 7.8 -20.0 11.1 -20.0 -2.1 -20.0 -2.2 -12.7 -20.0 -20.0 -20.0 -7.2 5.9 -20.0 1.2 -20.0 8.9 -2.8 -7.1 3.4 -8.9 2.2 -8.5 -20.0 -20.0 -20.0 -20.0 10.5 -9.6 -10.0 -1.8 10.4 LIVECOW 9.2 -5.4 1.3 4.8 5.7 3.0 5.9 -0.3 5.8 16.6 0.7 16.9 0.0 6.8 -1.2 19.6 7.9 20.0 15.4 1.9 -0.9 20.0 0.8 10.9 -6.3 3.1 14.2 2.2 11.5 3.9 6.5 12.4 20.0 7.4 -4.7 13.2 20.0 20.0 20.0 20.0 LUMBER-new 3.0 -20.0 -9.3 5.2 6.2 3.3 6.3 0.2 6.3 -3.8 -9.1 4.0 -12.8 -14.5 -14.8 -20.0 -17.9 -20.0 -19.5 -20.0 -16.4 -6.4 -8.8 -17.2 NaN -5.6 0.1 -3.8 -1.4 -1.6 -4.0 -20.0 -10.4 -10.8 -20.0 -20.0 -12.7 -10.9 -4.8 -6.7 MILK 20.0 20.0 20.0 3.5 4.2 2.2 4.3 -0.2 4.2 -1.3 -1.4 11.4 -9.6 13.3 11.1 20.0 -20.0 -10.8 -20.0 16.6 3.3 16.6 -9.0 20.0 14.8 3.7 0.3 0.6 3.8 -2.3 5.1 -20.0 20.0 20.0 20.0 8.2 -20.0 -20.0 -17.5 -20.0 MXP 10.9 -12.4 -1.8 -1.3 2.7 -1.7 6.1 0.9 3.2 15.2 17.2 20.0 20.0 7.1 8.8 16.0 17.1 16.7 16.6 12.4 16.5 20.0 20.0 16.7 -20.0 5.6 7.2 7.2 9.4 9.8 6.9 20.0 19.0 13.1 17.1 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 19.3 -14.7 -5.8 3.0 2.5 3.7 4.4 3.9 3.8 12.5 12.4 13.7 13.5 11.1 8.9 -10.0 -10.3 -10.5 -10.6 8.6 11.3 20.0 17.2 14.9 -20.0 2.6 5.7 4.4 6.7 7.4 4.6 -7.6 5.1 5.2 -1.1 -7.0 -1.1 0.6 -0.3 0.3 NIKKEI 2.1 -20.0 -0.5 3.6 2.9 4.4 5.3 4.6 4.6 10.1 11.4 12.1 14.5 -2.3 3.8 1.6 8.7 3.6 6.3 3.8 15.3 8.7 20.0 2.5 -15.7 1.6 3.6 6.9 3.2 10.9 0.7 20.0 -17.1 -14.7 -14.2 4.1 -8.0 -7.0 -6.0 -9.1 NZD 19.8 0.9 -5.3 -0.9 1.9 -1.2 4.3 0.6 2.3 6.9 -3.0 12.9 -4.5 9.7 -1.2 0.1 0.2 0.1 0.2 2.0 -2.5 14.1 -3.3 10.9 0.9 1.3 3.4 -0.8 7.1 -0.9 5.5 4.6 9.3 11.4 8.9 1.2 -4.6 -4.6 1.8 7.2 OAT 6.4 -9.2 -6.8 -1.5 -0.2 -1.9 0.8 -2.0 0.2 -3.3 -0.8 2.5 -0.4 -2.5 -6.6 5.8 6.1 5.6 5.4 -3.6 -2.6 -0.6 -2.0 -1.5 2.3 -1.0 -1.3 0.0 -0.5 0.3 -0.7 16.5 -1.9 -7.3 4.2 5.9 -20.0 -19.2 5.6 -1.4 OATIES 17.2 20.0 8.7 3.6 4.3 2.2 4.4 -0.2 4.4 -9.8 -5.6 -2.4 -10.0 6.5 7.1 13.2 2.7 11.5 7.2 7.6 0.6 -4.0 -4.4 7.6 -20.0 3.2 -3.6 1.0 0.2 -0.6 3.6 0.7 -2.5 20.0 15.2 5.5 -12.5 -1.8 1.7 13.9 OJ 20.0 14.5 9.5 6.0 7.1 3.7 7.3 -0.4 7.2 20.0 15.6 20.0 19.7 20.0 20.0 13.7 12.9 9.2 9.7 20.0 20.0 20.0 20.0 20.0 -20.0 6.6 12.5 4.6 14.6 6.7 11.3 13.0 20.0 20.0 20.0 20.0 4.7 8.6 17.5 20.0 PALLAD -0.6 2.0 7.4 2.8 5.3 1.9 5.2 0.9 3.8 9.0 -4.1 6.9 -8.4 -2.3 0.8 -2.3 -2.1 -2.1 -2.1 -0.9 -3.8 6.7 -10.5 1.8 14.3 0.0 6.2 -1.3 4.6 -4.1 1.5 5.7 -14.7 -13.5 -13.6 -10.4 -20.0 -20.0 -20.0 -13.0 PLAT 20.0 16.2 10.4 3.9 7.4 2.6 7.2 1.2 5.2 6.4 4.7 11.4 -5.7 11.7 9.7 -4.8 -3.9 -4.7 -4.4 14.0 6.5 20.0 0.8 20.0 10.7 4.3 3.3 2.4 6.4 1.0 6.2 2.2 2.3 20.0 9.6 -1.2 -19.9 -7.1 9.4 6.8 REDWHEAT 14.5 20.0 20.0 4.0 4.7 2.5 4.9 -0.2 4.8 12.0 1.2 12.5 -11.6 13.3 11.6 -10.6 -1.6 -5.8 -3.1 15.8 3.8 18.2 -8.1 20.0 -6.2 4.5 4.5 1.3 4.8 -1.5 5.7 -10.4 19.8 20.0 20.0 3.2 -10.2 -20.0 1.8 -19.4 RICE 16.6 20.0 -2.6 3.7 4.4 2.3 4.5 -0.2 4.5 13.2 8.6 14.6 9.8 15.2 11.2 20.0 20.0 20.0 20.0 14.4 10.1 11.0 9.3 16.4 -9.9 2.7 1.8 1.4 2.7 1.2 3.6 20.0 5.8 7.6 11.1 0.4 -4.5 -4.4 -1.6 1.9 ROBUSTA -20.0 -20.0 -13.5 2.1 2.5 1.3 2.6 -0.1 2.6 6.8 5.8 -4.9 7.3 -4.1 1.1 16.6 20.0 20.0 20.0 3.1 10.1 -0.2 11.7 -3.9 -20.0 2.0 2.4 3.6 0.5 3.9 0.3 20.0 14.4 -17.0 15.4 20.0 -5.4 -14.5 4.6 4.2 RUSSELL 17.2 -7.5 6.4 3.5 2.9 4.4 5.3 4.6 4.5 9.9 12.0 14.7 10.9 7.3 4.6 -7.1 -6.5 -6.8 -6.7 7.1 7.5 14.9 7.7 12.6 -2.1 3.7 3.5 4.0 6.3 4.2 5.6 -0.8 -8.5 -2.2 5.1 -12.1 -8.0 -20.0 -9.3 -20.0 SHATZ 4.4 -6.7 -20.0 -1.3 -0.1 -1.6 0.7 -1.6 0.2 -6.0 -8.6 -4.0 -8.4 -6.6 -8.5 -20.0 -20.0 -20.0 -20.0 -9.8 -11.0 -4.3 -11.2 -6.2 7.6 -3.2 -1.6 -3.1 -1.7 -2.8 -2.3 -20.0 -5.1 -13.8 -6.3 -9.8 -20.0 -20.0 -18.0 -19.1 SILVER-mini 4.3 13.6 19.5 3.6 6.9 2.4 6.8 1.2 4.9 12.0 10.2 12.4 6.6 11.5 11.3 -6.1 -6.7 -6.5 -6.6 17.2 12.5 20.0 7.1 20.0 2.5 4.4 7.7 3.6 7.3 2.3 5.3 -2.2 20.0 12.9 17.4 17.6 -8.6 -13.6 16.3 5.3 SMI 20.0 -1.3 11.2 4.0 3.3 4.9 5.9 5.1 5.1 16.3 15.7 18.4 13.2 15.7 13.3 -2.8 3.2 -0.6 1.9 20.0 14.9 20.0 10.7 20.0 14.2 6.2 8.8 5.4 9.8 4.1 8.3 15.2 20.0 11.5 19.2 0.8 10.8 -0.2 14.5 -1.5 SOFR 20.0 -9.5 -11.7 -1.7 -0.2 -2.1 0.9 -2.1 0.2 0.4 -2.8 7.0 -3.8 -0.1 -6.4 -3.4 -0.9 -2.5 -1.5 -4.0 -6.6 6.6 -6.0 3.4 -2.6 -0.8 1.5 -1.5 3.0 -1.2 1.8 4.9 10.1 7.0 -0.1 0.0 -5.9 -20.0 11.5 -0.9 SOYBEAN 15.8 13.2 3.8 4.9 5.8 3.0 5.9 -0.3 5.9 6.2 -7.5 9.4 -5.7 9.8 9.2 0.1 8.8 0.6 3.7 6.8 -3.1 10.4 -8.8 11.9 -20.0 3.6 4.2 -0.2 4.9 -2.1 5.7 4.3 -10.0 16.4 3.8 -7.4 -16.1 -20.0 -13.7 -20.0 SOYMEAL 20.0 20.0 1.9 3.4 4.0 2.1 4.2 -0.2 4.1 -6.9 -7.8 3.4 -8.7 6.7 4.5 2.7 5.9 -0.6 0.9 8.6 -1.2 4.6 -6.1 11.4 -20.0 3.1 -0.0 0.4 1.7 -0.8 3.8 -0.7 -15.2 20.0 18.7 -2.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 3.1 -6.3 4.5 2.6 3.1 1.6 3.2 -0.2 3.2 7.6 -8.8 5.5 -8.6 -4.2 -5.9 -6.6 -0.6 -6.8 -4.9 -5.3 -7.2 6.2 -8.1 -1.0 -20.0 -2.1 3.9 -2.1 2.2 -1.9 -0.7 -11.3 8.4 -7.5 -17.1 -8.4 -20.0 -15.7 -8.2 2.7 SP400 15.3 -10.5 13.6 3.8 3.2 4.7 5.7 4.9 4.9 4.6 14.6 14.1 14.1 8.5 9.3 -7.0 -5.6 -6.0 -5.7 12.9 16.3 14.8 17.0 15.3 -13.8 4.9 1.4 6.0 4.9 6.3 5.3 0.8 -9.8 -0.3 6.6 -0.4 -8.5 -10.5 -7.7 -20.0 SP500_micro 17.9 -15.3 4.8 3.8 3.2 4.7 5.7 4.9 4.9 16.2 16.5 17.8 16.9 14.2 13.2 -11.8 -11.8 -12.3 -12.3 15.0 19.7 20.0 20.0 20.0 -20.0 4.7 5.9 6.9 7.8 8.9 6.1 -10.2 7.0 6.8 3.0 4.0 1.1 -2.3 5.4 -2.4 SUGAR11 -4.1 -20.0 -20.0 3.9 4.6 2.4 4.8 -0.2 4.7 -6.9 -13.9 -10.5 -3.5 -14.2 -14.3 0.4 13.7 5.2 9.7 -20.0 -18.0 -14.6 -8.4 -19.4 -20.0 -5.3 -1.6 -4.6 -3.7 -2.1 -4.9 14.0 -20.0 -20.0 -20.0 -20.0 20.0 12.3 20.0 20.0 US10 19.2 -8.0 -8.8 -1.4 -0.2 -1.7 0.8 -1.8 0.2 -1.3 -3.2 5.8 -5.3 -0.4 -5.7 -4.5 -7.2 -5.7 -6.6 -3.6 -6.1 4.3 -7.6 2.2 2.6 -0.8 0.7 -1.5 2.1 -1.8 1.3 -5.4 6.3 3.9 0.1 0.7 -13.0 -20.0 1.4 2.4 US10U 18.4 -8.0 -8.4 -2.1 -0.2 -2.6 1.1 -2.7 0.3 -0.2 -4.4 9.2 -7.6 -0.9 -8.8 -6.2 -2.0 -4.9 -3.3 -5.5 -9.3 6.9 -11.9 3.2 0.3 -1.0 1.5 -2.1 3.6 -2.8 2.2 2.4 10.3 5.2 1.1 3.1 -12.7 -18.4 18.8 9.8 US2 16.4 -10.7 -18.4 -1.3 -0.2 -1.7 0.7 -1.7 0.2 -5.5 -7.5 3.6 -8.5 -3.2 -7.3 -20.0 -20.0 -20.0 -20.0 -7.8 -10.6 0.6 -12.4 -1.7 12.4 -2.1 -0.6 -2.6 0.3 -2.7 -0.4 -20.0 2.1 -1.2 -5.0 -7.7 -15.3 -20.0 -10.1 -20.0 US20 19.2 -8.5 -5.1 -1.5 -0.2 -1.9 0.8 -1.9 0.2 0.9 -0.3 7.1 -3.4 0.3 -5.1 -0.7 -0.7 -0.5 -0.5 -2.5 -4.9 6.1 -7.0 3.5 -0.9 0.2 1.4 -0.5 3.2 -1.3 2.4 5.7 9.0 5.7 2.8 5.9 -15.8 -13.8 20.0 15.2 US30 17.2 -8.1 -3.5 -1.8 -0.2 -2.2 1.0 -2.3 0.2 1.5 -1.9 8.3 -5.5 -0.7 -6.5 -0.9 -4.8 -2.9 -4.3 -3.6 -6.3 6.5 -9.1 3.2 -0.4 -0.2 1.8 -1.0 3.8 -2.0 2.5 -1.3 10.4 4.3 3.0 7.6 -16.9 -12.5 15.3 17.8 US5 19.8 -8.7 -13.0 -1.5 -0.2 -1.8 0.8 -1.9 0.2 -2.3 -6.2 5.4 -7.3 -1.5 -6.8 -9.7 -10.1 -9.7 -9.8 -5.1 -7.9 4.0 -9.1 1.5 5.8 -1.3 0.5 -2.0 1.8 -2.0 0.9 -10.5 6.4 3.7 -1.7 -2.7 -11.5 -20.0 -2.7 -7.4 VIX -19.4 -2.1 7.0 -6.3 -4.7 -5.8 -7.0 -7.1 -7.4 -18.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -7.1 -5.4 -6.7 -7.9 -8.7 -8.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 19.7 20.0 20.0 3.9 4.6 2.4 4.8 -0.2 4.7 12.3 5.7 13.0 -10.1 13.7 12.1 -16.4 -13.8 -16.9 -15.5 18.3 6.1 20.0 -5.9 20.0 1.2 4.5 4.9 1.6 5.5 -0.8 6.0 -20.0 20.0 20.0 20.0 3.0 -8.6 -20.0 -2.5 -20.0 End of report for caleb_strategy_v3