******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240524_204004 produced at 2024-05-24 21:38:02.555991 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.78 0.0 0.00 -0.08 -0.08 -0.08 -29.28 16.0 -3 -3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.23 -0.43 0.0 0.77 -0.77 -0.23 -0.23 -5.66 10.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -11.43 24.0 0 0 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -5.40 11.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -4.82 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.28 -0.29 0.0 999.00 -999.00 -0.28 -0.28 -65.78 999999999.0 -63 -63 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.20 0.0 0.52 -0.52 -0.16 -0.16 -5.09 13.0 -4 -4 caleb_strategy_v3 CAD False False 0.02 -0.06 -0.10 0.0 0.62 -0.62 -0.06 -0.06 -4.80 29.0 -3 -3 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.09 0.0 0.15 -0.15 -0.07 -0.07 -7.99 13.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.21 -0.07 0.0 0.77 -0.77 -0.21 -0.21 -2.12 25.0 -7 -7 caleb_strategy_v3 JPY False False 0.02 -0.09 -0.07 0.0 0.40 -0.40 -0.09 -0.09 -2.98 17.0 -4 -4 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.09 -0.09 -0.06 -0.06 -2.05 3.0 -2 -2 caleb_strategy_v3 BOBL False True 0.04 -0.11 -0.05 0.0 0.00 -0.11 -0.11 -0.11 -1.34 19.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -12.28 3.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.09 -0.09 -0.01 -0.01 -6.23 12.0 -2 -2 caleb_strategy_v3 BUND False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.68 10.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.01 -10.78 51.0 -4 -4 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.54 -0.54 0.00 0.00 -0.80 17.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.42 4.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.75 18.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 0.01 -0.02 0.0 0.38 -0.38 0.01 0.01 -3.24 66.0 1 1 caleb_strategy_v3 OAT False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.54 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -1.93 11.0 -3 -3 caleb_strategy_v3 SP400 False False 0.09 0.09 -0.02 0.0 0.17 -0.17 0.09 0.09 -0.19 2.0 1 1 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.01 0.0 0.43 -0.43 -0.16 -0.16 -0.28 13.0 -5 -5 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -1.66 10.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 -0.01 0.0 0.38 -0.38 0.01 0.01 -1.71 56.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.41 7.0 -1 -1 caleb_strategy_v3 BUXL False True 0.04 -0.08 -0.01 0.0 0.00 -0.08 -0.08 -0.08 -0.35 4.0 -2 -2 caleb_strategy_v3 BTP False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.35 10.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.10 -0.01 0.0 0.20 -0.20 -0.10 -0.10 -3.27 68.0 -34 -34 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.44 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.00 0.0 0.10 -0.10 0.00 0.00 -0.43 9.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.09 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.39 8.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.26 -0.26 0.00 0.00 0.10 23.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.41 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.01 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 0.08 6.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.58 -0.58 0.00 0.00 0.01 26.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 0.00 0.0 0.25 -0.25 -0.01 0.00 0.24 23.0 -1 0 caleb_strategy_v3 GASOLINE False False 0.03 0.06 0.00 0.0 999.00 -999.00 0.06 0.06 0.16 999999999.0 2 2 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 0.01 0.0 0.26 -0.26 -0.01 0.01 1.86 36.0 -1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.99 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 3.44 26.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.01 0.0 0.30 -0.30 0.04 0.04 0.29 8.0 1 1 caleb_strategy_v3 EUR False False 0.04 0.00 0.01 0.0 0.55 -0.55 0.00 0.00 0.23 14.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.18 9.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 3.75 59.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.04 0.02 0.0 0.37 -0.37 0.04 0.04 2.02 48.0 5 5 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.37 -0.37 0.00 0.00 0.79 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 1.33 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.05 0.03 0.0 0.15 -0.15 0.05 0.05 1.94 10.0 3 3 caleb_strategy_v3 NZD False False 0.02 0.00 0.04 0.0 0.37 -0.37 0.00 0.00 2.20 21.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.04 -0.04 0.00 0.00 4.99 4.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.05 0.0 0.51 -0.51 0.00 0.00 2.13 22.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.05 0.0 999.00 -999.00 0.00 0.00 1.49 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.06 0.0 0.06 -0.06 0.02 0.02 2.89 3.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.08 0.0 0.32 -0.32 0.17 0.19 5.05 20.0 11 12 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.08 0.0 0.11 -0.11 0.02 0.02 3.71 5.0 1 1 caleb_strategy_v3 COPPER False False 0.03 0.17 0.08 0.0 999.00 -999.00 0.17 0.17 2.17 999999999.0 5 5 caleb_strategy_v3 CAC True False 0.03 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.40 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 20.70 58.0 15 15 caleb_strategy_v3 LIVECOW False False 0.02 0.13 0.12 0.0 0.36 -0.36 0.13 0.13 5.87 17.0 6 6 caleb_strategy_v3 SMI False True 0.04 0.27 0.17 0.0 0.27 0.00 0.27 0.27 4.38 9.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.51 0.68 0.0 0.52 -0.52 0.51 0.51 77.95 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.2 Shocked risk 56.2 Sum abs risk 50.8 Leverage 5.42 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3435889.85, 'annual_cash_vol_target': 858972.4625, 'daily_cash_vol_target': 53685.77890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6633 0.6125 9.7996 BITCOIN 1814.1809 69845.0000 2.5974 41.5590 BOBL 0.2733 116.1800 0.2353 3.7644 BTP 0.5913 117.2700 0.5042 8.0670 BUND 0.5398 130.0300 0.4152 6.6427 BUXL 1.2435 128.6400 0.9666 15.4660 CAC 47.6094 8084.5000 0.5889 9.4223 CAD 0.0028 0.7320 0.3843 6.1487 CANOLA 7.5867 684.6000 1.1082 17.7312 CHF 0.0044 1.0962 0.3995 6.3915 COCOA 385.2254 7648.0000 5.0369 80.5911 COFFEE 4.2980 217.1500 1.9793 31.6682 COPPER 0.0788 4.7585 1.6567 26.5064 CORN 5.0569 488.5000 1.0352 16.5632 COTTON2 1.3548 77.9000 1.7391 27.8256 CRUDE_W 0.8376 75.1800 1.1142 17.8269 DAX 120.3913 18746.0000 0.6422 10.2756 DOW 247.7492 39140.0000 0.6330 10.1277 DX 0.3452 104.2500 0.3311 5.2975 EUR 0.0041 1.0860 0.3820 6.1127 EURIBOR-ICE 0.0531 97.2700 0.0546 0.8729 EUROSTX 33.8549 5040.0000 0.6717 10.7476 FEEDCOW 1.9467 261.9500 0.7432 11.8908 GASOIL 9.6223 745.5000 1.2907 20.6515 GASOLINE 0.0344 2.4488 1.4032 22.4511 GAS_US_mini 0.0949 2.7850 3.4067 54.5071 GBP 0.0055 1.2737 0.4307 6.8913 GOLD_micro 21.9783 2356.7000 0.9326 14.9214 HEATOIL 0.0301 2.4475 1.2297 19.6745 JGB-SGX-mini 0.2041 143.6400 0.1421 2.2737 JPY 0.0000 0.0064 0.6728 10.7655 LEANHOG 1.0769 97.0500 1.1097 17.7549 LIVECOW 1.3059 181.3250 0.7202 11.5228 LUMBER-new 6.8050 540.0000 1.2602 20.1629 MILK 0.2565 19.9700 1.2847 20.5548 MXP 0.0003 0.0597 0.5722 9.1547 NASDAQ_micro 142.7446 18860.0000 0.7569 12.1098 NIKKEI 352.4771 38760.0000 0.9094 14.5501 NZD 0.0037 0.6121 0.6027 9.6439 OAT 0.5339 125.4200 0.4257 6.8110 OATIES 7.2570 367.7500 1.9733 31.5736 OJ 5.3118 456.7500 1.1630 18.6074 PALLAD 22.7345 974.0000 2.3341 37.3461 PLAT 16.9998 1034.0000 1.6441 26.3053 REDWHEAT 12.6962 739.0000 1.7180 27.4883 RICE 0.1588 15.6600 1.0143 16.2285 ROBUSTA 79.6679 3818.0000 2.0866 33.3862 RUSSELL 19.8188 2070.7000 0.9571 15.3137 SHATZ 0.0803 104.9450 0.0765 1.2245 SILVER-mini 0.5847 30.7000 1.9045 30.4717 SMI 76.5286 11953.0000 0.6402 10.2439 SOFR 0.0631 96.0650 0.0657 1.0515 SOYBEAN 9.9545 1220.2500 0.8158 13.0524 SOYMEAL 4.8278 378.6000 1.2752 20.4026 SOYOIL 0.7278 45.3400 1.6052 25.6837 SP400 22.7129 2981.0000 0.7619 12.1908 SP500_micro 32.4122 5316.2500 0.6097 9.7549 SUGAR11 0.2927 18.4300 1.5879 25.4072 US10 0.3727 109.0625 0.3418 5.4681 US10U 0.4877 112.5312 0.4334 6.9342 US2 0.0959 101.8047 0.0942 1.5075 US20 0.7190 117.0938 0.6141 9.8249 US30 1.0623 124.1875 0.8554 13.6860 US5 0.2427 105.4688 0.2301 3.6814 VIX 0.4029 15.0000 2.6859 42.9746 WHEAT 11.4654 744.2500 1.5405 24.6486 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.30 0.61 406.26 1.00 406.26 53685.78 132.15 2.30 30.34 BITCOIN 69.84 2.60 181.42 1.00 181.42 53685.78 295.92 1.17 34.63 BOBL 1161.80 0.24 273.34 1.08 295.88 53685.78 181.44 -7.27 -132.00 BTP 1172.70 0.50 591.26 1.08 640.01 53685.78 83.88 -1.22 -10.26 BUND 1300.30 0.42 539.85 1.08 584.36 53685.78 91.87 -7.28 -66.85 BUXL 1286.40 0.97 1243.47 1.08 1345.99 53685.78 39.89 -8.70 -34.70 CAC 808.45 0.59 476.09 1.08 515.35 53685.78 104.17 9.56 99.57 CAD 732.05 0.38 281.32 1.00 281.32 53685.78 190.83 -9.69 -184.84 CANOLA 136.92 1.11 151.73 0.73 110.89 53685.78 484.14 -9.15 -443.16 CHF 1370.19 0.40 547.35 1.00 547.35 53685.78 98.08 -20.00 -196.17 COCOA 764.80 5.04 3852.25 1.00 3852.25 53685.78 13.94 0.50 0.69 COFFEE 814.31 1.98 1611.74 1.00 1611.74 53685.78 33.31 2.03 6.76 COPPER 1189.62 1.66 1970.79 1.00 1970.79 53685.78 27.24 7.35 20.03 CORN 244.25 1.04 252.85 1.00 252.85 53685.78 212.32 -12.06 -256.11 COTTON2 389.50 1.74 677.38 1.00 677.38 53685.78 79.26 -11.35 -89.96 CRUDE_W 751.80 1.11 837.64 1.00 837.64 53685.78 64.09 5.34 34.22 DAX 187.46 0.64 120.39 1.08 130.32 53685.78 411.96 14.73 606.95 DOW 195.70 0.63 123.87 1.00 123.87 53685.78 433.39 -3.22 -139.53 DX 1042.50 0.33 345.17 1.00 345.17 53685.78 155.54 3.70 57.56 EUR 1357.44 0.38 518.60 1.00 518.60 53685.78 103.52 0.86 8.89 EURIBOR-ICE 2431.75 0.05 132.66 1.08 143.60 53685.78 373.85 -4.44 -166.01 EUROSTX 504.00 0.67 338.55 1.08 366.46 53685.78 146.50 10.11 148.07 FEEDCOW 1309.75 0.74 973.37 1.00 973.37 53685.78 55.15 1.60 8.83 GASOIL 745.50 1.29 962.23 1.00 962.23 53685.78 55.79 -5.89 -32.84 GASOLINE 1028.50 1.40 1443.18 1.00 1443.18 53685.78 37.20 1.01 3.76 GAS_US_mini 69.62 3.41 237.19 1.00 237.19 53685.78 226.34 1.40 31.74 GBP 796.06 0.43 342.87 1.00 342.87 53685.78 156.58 5.25 82.25 GOLD_micro 235.67 0.93 219.78 1.00 219.78 53685.78 244.27 -2.06 -50.22 HEATOIL 1027.95 1.23 1264.03 1.00 1264.03 53685.78 42.47 -11.11 -47.18 JGB-SGX-mini 143640.00 0.14 20411.84 0.01 130.26 53685.78 412.13 -6.56 -270.39 JPY 799.19 0.67 537.73 1.00 537.73 53685.78 99.84 -11.49 -114.71 LEANHOG 388.20 1.11 430.78 1.00 430.78 53685.78 124.63 -10.55 -131.47 LIVECOW 725.30 0.72 522.34 1.00 522.34 53685.78 102.78 17.24 177.21 LUMBER-new 148.50 1.26 187.14 1.00 187.14 53685.78 286.88 -19.99 -573.57 MILK 399.40 1.28 513.10 1.00 513.10 53685.78 104.63 4.42 46.26 MXP 298.30 0.57 170.68 1.00 170.68 53685.78 314.54 16.88 531.10 NASDAQ_micro 377.20 0.76 285.49 1.00 285.49 53685.78 188.05 0.56 10.48 NIKKEI 38760.00 0.91 35247.71 0.01 224.94 53685.78 238.67 0.72 17.16 NZD 612.10 0.60 368.94 1.00 368.94 53685.78 145.51 5.83 84.87 OAT 1254.20 0.43 533.90 1.08 577.92 53685.78 92.90 -1.69 -15.74 OATIES 183.88 1.97 362.85 1.00 362.85 53685.78 147.96 -0.25 -3.76 OJ 685.12 1.16 796.78 1.00 796.78 53685.78 67.38 20.00 134.76 PALLAD 974.00 2.33 2273.45 1.00 2273.45 53685.78 23.61 -5.41 -12.77 PLAT 517.00 1.64 849.99 1.00 849.99 53685.78 63.16 9.02 56.95 REDWHEAT 369.50 1.72 634.81 1.00 634.81 53685.78 84.57 3.52 29.77 RICE 313.20 1.01 317.67 1.00 317.67 53685.78 169.00 12.14 205.17 ROBUSTA 381.80 2.09 796.68 1.00 796.68 53685.78 67.39 1.22 8.25 RUSSELL 103.54 0.96 99.09 1.00 99.09 53685.78 541.77 -1.82 -98.75 SHATZ 1049.45 0.08 80.32 1.08 86.94 53685.78 617.50 -18.26 -1127.43 SILVER-mini 767.50 1.90 1461.69 1.00 1461.69 53685.78 36.73 10.62 39.01 SMI 1195.30 0.64 765.29 1.09 836.34 53685.78 64.19 20.00 128.38 SOFR 2401.62 0.07 157.83 1.00 157.83 53685.78 340.15 -2.61 -88.87 SOYBEAN 610.12 0.82 497.72 1.00 497.72 53685.78 107.86 -4.10 -44.22 SOYMEAL 378.60 1.28 482.78 1.00 482.78 53685.78 111.20 -4.15 -46.11 SOYOIL 272.04 1.61 436.69 1.00 436.69 53685.78 122.94 -14.47 -177.89 SP400 2981.00 0.76 2271.29 1.00 2271.29 53685.78 23.64 -2.38 -5.62 SP500_micro 265.81 0.61 162.06 1.00 162.06 53685.78 331.27 2.63 86.97 SUGAR11 206.42 1.59 327.78 1.00 327.78 53685.78 163.79 -10.76 -176.27 US10 1090.62 0.34 372.73 1.00 372.73 53685.78 144.03 -4.41 -63.47 US10U 1125.31 0.43 487.70 1.00 487.70 53685.78 110.08 -2.01 -22.09 US2 2036.09 0.09 191.84 1.00 191.84 53685.78 279.85 -13.60 -380.47 US20 1170.94 0.61 719.02 1.00 719.02 53685.78 74.67 1.92 14.31 US30 1241.88 0.86 1062.27 1.00 1062.27 53685.78 50.54 0.12 0.61 US5 1054.69 0.23 242.67 1.00 242.67 53685.78 221.23 -7.56 -167.34 VIX 150.00 2.69 402.89 1.00 402.89 53685.78 133.25 -20.00 -266.51 WHEAT 372.12 1.54 573.27 1.00 573.27 53685.78 93.65 3.33 31.16 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 30.341 0.010 2.5 0.787 BITCOIN 34.627 0.043 2.5 3.750 BOBL -131.996 0.004 2.5 -1.338 BTP -10.265 0.014 2.5 -0.350 BUND -66.847 0.004 2.5 -0.678 BUXL -34.696 0.004 2.5 -0.352 CAC 99.572 0.014 2.5 3.396 CAD -184.835 0.010 2.5 -4.796 CANOLA -443.159 0.010 2.5 -10.781 CHF -196.167 0.010 2.5 -5.090 COCOA 0.693 0.009 2.5 0.015 COFFEE 6.760 0.005 2.5 0.079 COPPER 20.025 0.043 2.5 2.168 CORN -256.112 0.010 2.5 -6.231 COTTON2 -89.957 0.009 2.5 -1.927 CRUDE_W 34.215 0.043 2.5 3.705 DAX 606.948 0.014 2.5 20.702 DOW -139.532 0.009 2.5 -3.243 DX 57.564 0.010 2.5 1.494 EUR 8.894 0.010 2.5 0.231 EURIBOR-ICE -166.008 0.014 2.5 -5.662 EUROSTX 148.071 0.014 2.5 5.050 FEEDCOW 8.825 0.013 2.5 0.292 GASOIL -32.841 0.017 2.5 -1.424 GASOLINE 3.764 0.017 2.5 0.163 GAS_US_mini 31.742 0.043 2.5 3.437 GBP 82.245 0.010 2.5 2.134 GOLD_micro -50.219 0.014 2.5 -1.713 HEATOIL -47.183 0.017 2.5 -2.045 JGB-SGX-mini -270.389 0.043 2.5 -29.280 JPY -114.710 0.010 2.5 -2.976 LEANHOG -131.466 0.024 2.5 -7.990 LIVECOW 177.205 0.013 2.5 5.872 LUMBER-new -573.574 0.009 2.5 -12.278 MILK 46.262 0.009 2.5 0.991 MXP 531.103 0.059 2.5 77.951 NASDAQ_micro 10.479 0.009 2.5 0.244 NIKKEI 17.164 0.043 2.5 1.859 NZD 84.872 0.010 2.5 2.202 OAT -15.735 0.014 2.5 -0.537 OATIES -3.757 0.010 2.5 -0.091 OJ 134.758 0.009 2.5 2.886 PALLAD -12.766 0.014 2.5 -0.435 PLAT 56.950 0.014 2.5 1.942 REDWHEAT 29.770 0.005 2.5 0.395 RICE 205.167 0.010 2.5 4.991 ROBUSTA 8.250 0.005 2.5 0.096 RUSSELL -98.746 0.013 2.5 -3.272 SHATZ -1127.430 0.004 2.5 -11.433 SILVER-mini 39.012 0.014 2.5 1.331 SMI 128.382 0.014 2.5 4.379 SOFR -88.874 0.024 2.5 -5.401 SOYBEAN -44.220 0.004 2.5 -0.411 SOYMEAL -46.108 0.004 2.5 -0.429 SOYOIL -177.890 0.004 2.5 -1.656 SP400 -5.622 0.013 2.5 -0.186 SP500_micro 86.968 0.009 2.5 2.021 SUGAR11 -176.267 0.009 2.5 -3.749 US10 -63.467 0.005 2.5 -0.804 US10U -22.095 0.005 2.5 -0.280 US2 -380.469 0.005 2.5 -4.821 US20 14.311 0.005 2.5 0.181 US30 0.606 0.005 2.5 0.008 US5 -167.339 0.005 2.5 -2.120 VIX -266.505 0.099 2.5 -65.784 WHEAT 31.158 0.005 2.5 0.413 ===================== Position diags ===================== AUD 3.43 BITCOIN 32.04 BOBL 1.84 BTP 2.86 BUND 0.93 BUXL 0.40 CAC 3.55 CAD 4.95 CANOLA 11.78 CHF 2.54 COCOA 0.30 COFFEE 0.39 COPPER 2.95 CORN 5.17 COTTON2 1.70 CRUDE_W 6.94 DAX 14.05 DOW 10.07 DX 4.04 EUR 2.69 EURIBOR-ICE 12.75 EUROSTX 5.00 FEEDCOW 1.83 GASOIL 2.42 GASOLINE 1.61 GAS_US_mini 24.51 GBP 4.06 GOLD_micro 8.33 HEATOIL 1.84 JGB-SGX-mini 44.63 JPY 2.59 LEANHOG 7.57 LIVECOW 3.41 LUMBER-new 6.14 MILK 2.24 MXP 46.17 NASDAQ_micro 4.37 NIKKEI 25.84 NZD 3.78 OAT 3.17 OATIES 3.60 OJ 1.44 PALLAD 0.81 PLAT 2.15 REDWHEAT 1.12 RICE 4.11 ROBUSTA 0.79 RUSSELL 17.95 SHATZ 6.26 SILVER-mini 1.25 SMI 2.19 SOFR 20.67 SOYBEAN 1.00 SOYMEAL 1.03 SOYOIL 1.14 SP400 0.78 SP500_micro 7.70 SUGAR11 3.48 US10 1.83 US10U 1.39 US2 3.55 US20 0.95 US30 0.64 US5 2.80 VIX 32.89 WHEAT 1.24 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.4 1.1 0.0 0 BITCOIN 3.7 0.5 7.0 0.0 0 BOBL -1.3 -1.5 -1.2 -3.0 -3 BTP -0.4 -0.6 -0.1 0.0 0 BUND -0.7 -0.8 -0.6 0.0 0 BUXL -0.4 -0.4 -0.3 -2.0 -2 CAC 3.4 3.0 3.8 0.0 0 CAD -4.8 -5.3 -4.3 -3.0 -3 CANOLA -10.8 -12.0 -9.6 -4.0 -4 CHF -5.1 -5.3 -4.8 -4.0 -4 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE 0.1 0.0 0.1 1.0 1 COPPER 2.2 1.9 2.5 5.0 5 CORN -6.2 -6.7 -5.7 -2.0 -2 COTTON2 -1.9 -2.1 -1.8 -3.0 -3 CRUDE_W 3.7 3.0 4.4 1.0 1 DAX 20.7 19.3 22.1 15.0 15 DOW -3.2 -4.2 -2.2 1.0 1 DX 1.5 1.1 1.9 NaN 0 EUR 0.2 -0.0 0.5 0.0 0 EURIBOR-ICE -5.7 -6.9 -4.4 -3.0 -3 EUROSTX 5.1 4.6 5.6 11.0 11 FEEDCOW 0.3 0.1 0.5 1.0 1 GASOIL -1.4 -1.7 -1.2 -1.0 -1 GASOLINE 0.2 0.0 0.3 2.0 2 GAS_US_mini 3.4 1.0 5.9 0.0 0 GBP 2.1 1.7 2.5 0.0 0 GOLD_micro -1.7 -2.5 -0.9 1.0 1 HEATOIL -2.0 -2.2 -1.9 -2.0 -2 JGB-SGX-mini -29.3 -33.7 -24.8 -3.0 -3 JPY -3.0 -3.2 -2.7 -4.0 -4 LEANHOG -8.0 -8.7 -7.2 -6.0 -6 LIVECOW 5.9 5.5 6.2 6.0 6 LUMBER-new -12.3 -12.9 -11.7 NaN 0 MILK 1.0 0.8 1.2 NaN 0 MXP 78.0 73.3 82.6 59.0 59 NASDAQ_micro 0.2 -0.2 0.7 -1.0 -1 NIKKEI 1.9 -0.7 4.4 -1.0 -1 NZD 2.2 1.8 2.6 0.0 0 OAT -0.5 -0.9 -0.2 0.0 0 OATIES -0.1 -0.5 0.3 NaN 0 OJ 2.9 2.7 3.0 1.0 1 PALLAD -0.4 -0.5 -0.4 0.0 0 PLAT 1.9 1.7 2.2 3.0 3 REDWHEAT 0.4 0.3 0.5 0.0 0 RICE 5.0 4.6 5.4 NaN 0 ROBUSTA 0.1 0.0 0.2 0.0 0 RUSSELL -3.3 -5.1 -1.5 -34.0 -34 SHATZ -11.4 -12.1 -10.8 NaN 0 SILVER-mini 1.3 1.2 1.5 0.0 0 SMI 4.4 4.2 4.6 7.0 7 SOFR -5.4 -7.5 -3.3 NaN 0 SOYBEAN -0.4 -0.5 -0.3 -1.0 -1 SOYMEAL -0.4 -0.5 -0.3 0.0 0 SOYOIL -1.7 -1.8 -1.5 -3.0 -3 SP400 -0.2 -0.3 -0.1 1.0 1 SP500_micro 2.0 1.3 2.8 5.0 5 SUGAR11 -3.7 -4.1 -3.4 -3.0 -3 US10 -0.8 -1.0 -0.6 0.0 0 US10U -0.3 -0.4 -0.1 -5.0 -5 US2 -4.8 -5.2 -4.5 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.0 -0.1 0.1 0.0 0 US5 -2.1 -2.4 -1.8 -7.0 -7 VIX -65.8 -69.1 -62.5 -63.0 -63 WHEAT 0.4 0.3 0.5 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 0.4 0.1 0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 0.5 0.3 -0.3 -0.3 -0.1 -0.0 BITCOIN 0.2 -0.4 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.2 0.6 0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.3 0.1 0.5 0.0 -0.2 0.4 -0.2 -0.6 0.6 -0.4 -0.1 0.4 0.1 BOBL 0.1 -0.3 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.3 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.7 -0.6 -0.0 -0.4 BTP 0.1 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.0 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 -0.2 0.3 0.6 -0.4 -0.3 0.5 0.1 BUND 0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.2 -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 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -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 -0.3 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 0.0 0.3 0.1 -0.2 0.5 0.1 0.7 0.2 0.2 0.0 0.0 0.2 0.1 0.2 0.2 0.0 0.5 0.1 -1.8 0.1 -0.0 0.3 0.0 0.4 0.1 0.9 -0.4 -0.3 0.6 0.5 -0.3 0.2 -0.4 0.4 CAD 0.2 -0.1 -0.2 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.3 0.0 -0.4 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.3 -0.5 -0.2 -0.2 -0.3 -0.4 -0.0 -0.3 CANOLA 0.6 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.3 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 -0.1 0.3 0.1 0.0 -0.7 -0.5 -0.2 -0.1 CHF 0.2 -0.3 -0.6 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.2 -0.5 -0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.5 -0.6 0.1 -0.5 0.3 -0.4 COCOA -0.6 -0.6 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.2 -0.1 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.0 0.2 -0.0 -2.0 0.0 0.0 0.1 -0.0 0.1 -0.0 1.1 -0.3 -0.6 0.0 0.6 0.2 0.0 0.4 0.3 COFFEE -0.5 -0.1 0.3 0.0 0.1 0.1 0.1 0.0 0.1 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 0.3 0.1 -2.5 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 0.4 -0.2 COPPER -0.1 0.3 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.2 0.0 0.2 0.2 -1.4 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.5 0.6 0.6 -0.5 -0.1 0.3 0.2 CORN 0.3 0.5 0.5 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.1 0.1 -0.6 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.0 0.1 -0.4 0.1 -2.1 0.0 0.0 -0.0 0.0 -0.2 0.1 -1.1 -0.3 0.3 0.2 -0.3 -0.6 -0.7 -0.6 -0.0 COTTON2 0.1 -0.6 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.0 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.1 -0.1 -2.4 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.4 -0.6 -0.0 -0.3 -0.4 0.2 -0.0 CRUDE_W -0.5 -0.4 0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.2 -0.2 0.6 -0.2 0.1 0.3 0.2 0.3 0.3 -0.0 0.1 -0.1 0.4 -0.1 -0.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.0 -0.4 -0.0 0.1 0.7 0.6 0.7 0.6 DAX 0.5 -0.2 0.4 0.1 -0.0 0.2 0.0 0.2 0.0 -0.2 0.5 0.1 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 1.8 0.1 -0.0 0.3 0.0 0.3 0.1 -0.5 -0.2 -0.1 0.6 0.6 0.0 0.2 0.0 0.5 DOW 0.6 -0.3 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.4 0.1 -1.8 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.5 -0.3 -0.2 0.1 -0.3 0.2 -0.2 0.4 -0.4 DX -0.5 0.2 0.3 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 0.4 -0.1 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.3 -0.0 -2.7 0.0 0.0 0.1 -0.0 0.2 -0.0 0.9 -0.5 -0.6 0.6 0.6 0.3 0.2 0.4 0.5 EUR 0.5 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.1 2.7 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.4 0.1 0.3 0.3 0.2 -0.7 -0.6 -0.7 -0.4 EURIBOR-ICE 0.2 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 1.6 -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 EUROSTX 0.3 -0.3 0.5 0.1 -0.0 0.2 0.0 0.2 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.0 -0.1 -0.1 0.2 0.2 0.0 0.5 0.2 -0.2 0.1 -0.0 0.3 0.0 0.4 0.1 0.4 -0.2 -0.3 0.6 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.3 -0.0 -0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.0 0.2 -0.1 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.2 -0.0 0.1 -0.9 0.0 0.1 0.0 0.1 0.1 0.1 -1.1 0.5 -0.0 -0.1 -0.1 0.7 0.7 0.7 0.7 GASOIL -0.4 -0.6 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 0.1 -0.2 0.5 -0.2 -0.1 -0.1 0.3 0.1 0.2 -0.1 0.0 -0.1 0.4 -0.2 0.9 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 -0.4 -0.3 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.6 -0.5 0.3 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 0.3 -0.2 0.6 -0.2 0.0 0.4 0.3 0.4 0.3 -0.1 0.1 -0.1 0.4 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.0 -0.0 -0.6 -0.2 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.5 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 -0.4 0.2 -0.7 0.2 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 0.2 -0.5 0.2 2.7 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.6 0.6 -0.6 -0.3 -0.2 -0.5 -0.3 GBP 0.5 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.2 0.1 0.2 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.5 0.4 -0.7 -0.5 -0.7 -0.3 GOLD_micro -0.2 -0.2 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.2 -0.0 0.3 0.1 -0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 -0.4 -0.3 0.3 0.6 -0.3 -0.5 0.0 -0.2 HEATOIL -0.4 -0.6 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 -0.1 -0.2 0.3 -0.2 -0.2 -0.2 0.3 0.0 0.2 -0.2 -0.1 -0.1 0.2 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.2 -0.6 -0.4 0.3 0.2 0.1 0.0 JGB-SGX-mini -0.1 -0.6 -0.5 -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 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.2 -0.5 -0.4 -0.1 -0.6 -0.2 -0.0 0.4 JPY -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.3 -0.4 -0.5 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.6 -0.5 0.5 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.2 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.1 0.0 -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 0.1 -0.4 -0.3 -0.1 0.3 LIVECOW 0.6 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.0 0.4 0.2 0.4 0.3 0.1 0.0 0.2 0.0 0.2 -0.9 0.0 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.5 0.1 0.5 0.7 0.7 0.7 0.7 LUMBER-new 0.2 -0.7 -0.4 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 -0.3 -0.1 -0.5 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -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 -0.6 -0.3 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.6 0.0 0.1 0.1 0.1 0.0 0.1 0.0 -0.0 0.1 -0.3 0.1 0.1 0.4 -0.4 -0.2 -0.4 0.2 0.1 0.1 -0.2 0.2 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 0.0 0.6 0.6 0.2 -0.7 -0.7 -0.6 -0.7 MXP 0.4 -0.4 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 0.5 0.2 0.7 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.4 0.1 1.1 0.2 0.6 0.4 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.4 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 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 -2.7 0.0 0.0 0.1 0.1 0.3 0.1 -0.4 0.5 0.3 0.1 -0.2 -0.0 0.0 -0.0 0.0 NIKKEI 0.1 -0.6 -0.1 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 -0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.2 0.1 0.5 0.0 -2.2 0.0 0.0 0.2 0.0 0.4 0.0 1.1 0.3 -0.4 -0.4 0.1 -0.2 -0.2 -0.2 -0.3 NZD 0.6 0.1 -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 0.3 0.4 0.4 0.1 -0.1 -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 -0.1 -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 -0.1 -0.0 -0.0 0.0 -0.0 0.9 -0.0 -0.2 0.1 0.2 -0.7 -0.6 0.1 -0.1 OATIES 0.3 0.6 0.3 0.0 0.0 0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.0 -0.0 -0.1 0.0 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.3 0.5 0.4 0.1 -0.4 -0.1 0.1 0.4 OJ 0.6 0.6 0.4 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.5 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 0.1 0.2 0.1 0.7 0.5 0.6 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD 0.1 -0.0 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 1.9 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 -0.3 -0.3 -0.5 -0.4 -0.7 -0.7 -0.7 -0.5 PLAT 0.6 0.5 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.2 1.3 0.0 -0.0 0.1 0.0 0.0 0.0 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 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.2 -0.4 0.2 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.2 0.2 -0.9 0.1 0.0 0.0 0.1 -0.0 0.1 -0.6 0.5 0.6 0.6 0.2 -0.4 -0.7 0.0 -0.6 RICE 0.5 0.6 -0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.4 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.3 0.2 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 1.1 -0.0 0.3 0.6 0.0 -0.2 -0.2 -0.1 0.0 ROBUSTA -0.6 -0.6 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.2 -0.0 0.3 -0.0 0.0 0.3 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.0 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 -0.4 0.5 0.6 -0.1 -0.5 0.2 0.1 RUSSELL 0.5 -0.2 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 -0.1 -0.2 0.1 -0.4 -0.2 -0.7 -0.3 -0.7 SHATZ 0.1 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -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 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.5 -0.3 -0.3 -0.7 -0.7 -0.6 -0.6 SILVER-mini 0.2 0.3 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 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 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.5 0.6 0.6 -0.3 -0.4 0.5 0.2 SMI 0.6 0.1 0.4 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 0.5 0.2 0.5 0.2 0.2 -0.1 0.1 -0.0 0.0 0.2 0.2 0.2 0.3 0.2 2.0 0.1 0.0 0.2 0.1 0.2 0.1 0.8 0.5 0.5 0.6 0.1 0.4 0.0 0.4 -0.0 SOFR 0.6 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.4 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.2 0.2 0.0 -0.0 -0.2 -0.7 0.4 -0.0 SOYBEAN 0.5 0.5 0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.2 -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 0.2 -2.7 0.0 0.0 0.0 0.1 -0.1 0.1 0.2 -0.0 0.6 0.1 -0.1 -0.6 -0.7 -0.5 -0.7 SOYMEAL 0.6 0.6 0.2 0.0 0.1 0.1 0.1 0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 0.1 0.1 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 -0.0 -0.0 0.6 0.6 -0.0 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 -0.2 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.6 0.0 -0.2 -0.6 -0.2 -0.7 -0.5 -0.3 0.1 SP400 0.5 -0.3 0.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.0 0.4 0.1 -1.9 0.0 -0.1 0.2 -0.0 0.2 0.0 0.0 -0.3 -0.3 0.1 -0.0 -0.2 -0.4 -0.2 -0.7 SP500_micro 0.6 -0.4 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.5 0.4 0.2 0.2 0.1 0.1 -0.1 0.2 -0.1 SUGAR11 -0.1 -0.6 -0.6 0.0 0.1 0.1 0.1 0.0 0.1 -0.1 -0.4 -0.1 -0.2 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.1 -0.3 -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 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 0.1 0.1 0.0 0.0 -0.4 -0.7 0.1 0.1 US10U 0.6 -0.2 -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 0.0 -0.3 0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 0.2 0.2 0.1 0.1 -0.4 -0.6 0.6 0.3 US2 0.4 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.1 1.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.1 -0.3 -0.5 -0.7 -0.3 -0.7 US20 0.6 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.3 0.1 0.2 -0.5 -0.4 0.7 0.5 US30 0.6 -0.2 -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 0.0 -0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.3 0.3 0.1 0.3 -0.6 -0.4 0.5 0.6 US5 0.6 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.0 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.0 0.1 -0.0 -0.1 -0.3 -0.7 -0.1 -0.2 VIX -0.9 -0.3 0.4 -0.1 -0.0 -0.3 -0.1 -0.4 -0.1 -0.2 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.0 -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 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.2 -0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 -0.1 0.2 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.2 -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 12.6 4.4 2.6 -1.0 -0.0 -1.4 1.8 0.8 1.7 -9.2 -1.7 7.3 -7.5 11.9 8.9 -2.6 -2.8 -2.7 -2.7 5.6 1.1 1.9 -2.9 7.8 3.0 3.6 -3.2 1.4 0.8 -0.6 4.3 -0.4 -4.5 5.9 15.2 8.4 -10.1 -7.7 -2.6 -0.4 BITCOIN 5.5 -13.0 4.5 5.7 -3.2 4.2 3.1 2.1 5.7 12.7 14.2 16.2 16.2 6.2 10.1 -6.6 -7.2 -7.3 -7.6 10.3 19.4 16.7 20.0 11.1 -20.0 5.7 3.7 10.9 5.3 13.0 4.2 -3.6 18.6 -6.7 -20.0 20.0 -11.6 -1.8 10.5 2.7 BOBL 3.2 -8.3 -11.4 -1.5 -2.7 -1.7 -1.4 -1.7 -0.7 -6.8 -6.4 -5.8 -4.7 -6.7 -8.1 13.8 -5.2 7.9 -0.3 -6.7 -6.0 -7.4 -5.2 -6.1 4.4 -2.8 -4.7 -2.1 -3.8 -1.6 -3.0 -0.3 -5.2 -10.3 -1.7 -1.9 -20.0 -18.6 -0.2 -11.1 BTP 3.4 -9.6 -1.9 -2.5 -4.6 -2.8 -2.3 -2.9 -1.2 -10.5 9.4 -3.2 9.4 -0.4 -3.1 4.6 5.9 4.8 5.0 0.3 4.2 -4.0 6.5 -1.0 -20.0 1.3 -6.2 4.6 -3.2 5.9 -0.8 15.7 2.6 -6.5 8.4 18.6 -11.3 -9.9 13.9 2.5 BUND 3.9 -8.2 -7.3 -1.7 -3.0 -1.9 -1.5 -1.9 -0.8 -7.1 -3.2 -4.8 -2.3 -6.0 -7.7 -9.4 -1.3 -8.0 -5.1 -5.0 -4.0 -5.8 -3.7 -4.6 1.9 -2.2 -5.3 -1.1 -4.1 -0.8 -2.9 1.1 -2.6 -8.1 2.4 3.7 -20.0 -20.0 3.2 -9.4 BUXL 2.0 -8.2 -2.8 -2.1 -3.8 -2.3 -1.9 -2.4 -1.0 -8.2 -1.5 -6.6 -2.7 -6.9 -8.5 -8.7 -3.2 -7.4 -5.4 -5.2 -3.7 -6.0 -4.7 -5.1 -2.0 -1.6 -4.6 0.2 -4.3 -0.3 -3.1 -0.6 -1.2 -9.5 5.6 9.2 -20.0 -20.0 -9.9 -6.7 CAC 9.9 -7.8 14.5 5.6 -2.5 7.1 2.9 7.5 5.4 -20.0 20.0 11.4 20.0 14.6 20.0 0.1 2.3 7.5 5.5 20.0 20.0 1.8 20.0 13.7 -13.4 8.8 -3.5 10.9 0.4 10.5 5.3 16.8 -17.8 -9.7 20.0 16.9 -9.0 7.3 -13.3 11.1 CAD 6.0 -4.5 -6.0 -1.3 -0.0 -1.8 2.4 1.0 2.3 -5.1 -12.8 0.7 -12.1 -2.2 -11.0 -3.2 -2.5 -2.9 -2.6 -6.7 -8.7 -4.1 -8.5 -2.6 -0.9 -4.3 -4.8 -5.5 -3.7 -5.3 -2.1 0.0 -11.9 -15.6 -4.7 -5.4 -7.7 -12.1 -0.6 -8.2 CANOLA 17.5 18.3 20.0 3.0 4.4 1.8 4.4 0.0 3.9 5.0 -3.7 9.3 -7.4 8.9 8.6 -14.8 -8.7 -15.2 -13.6 6.5 -1.4 8.7 -9.1 9.6 -20.0 2.4 0.9 -0.9 2.9 -4.3 3.5 -20.0 -4.9 8.1 2.0 0.8 -20.0 -16.4 -6.2 -4.1 CHF 7.5 -9.4 -20.0 -1.2 -0.0 -1.6 2.2 0.9 2.1 -19.5 -20.0 -10.9 -14.7 -12.9 -20.0 -17.0 -16.2 -16.7 -16.3 -20.0 -20.0 -16.1 -17.6 -14.7 2.3 -7.2 -6.5 -7.7 -5.7 -4.5 -5.0 -20.0 -20.0 -20.0 -16.4 -20.0 1.6 -15.7 8.3 -13.1 COCOA -20.0 -20.0 -8.7 1.8 2.7 1.1 2.7 0.0 2.4 3.7 3.4 -3.4 5.0 -4.7 1.0 13.1 14.8 19.9 19.8 0.3 5.5 -1.8 6.5 -4.1 -15.3 1.4 0.4 3.2 -0.3 3.8 -0.3 20.0 -11.0 -20.0 1.3 20.0 6.5 1.3 10.8 7.9 COFFEE -16.4 -3.6 8.0 4.1 6.1 2.5 6.1 0.0 5.3 11.0 8.0 3.6 8.1 -0.8 1.6 5.4 8.2 8.9 9.4 7.5 11.0 13.6 9.4 6.2 -18.6 3.4 4.0 4.3 3.4 3.6 2.4 8.8 19.1 -18.8 20.0 20.0 0.6 -17.7 10.6 -6.1 COPPER -4.6 9.1 20.0 3.3 -1.8 2.4 1.8 1.2 3.3 -8.4 11.1 2.6 6.8 8.8 11.0 4.5 -3.5 -0.1 -2.4 17.2 14.1 3.5 8.2 14.2 -10.6 4.3 -1.9 3.5 1.2 2.1 3.6 3.9 7.6 15.0 20.0 20.0 -14.2 -3.1 9.5 6.7 CORN 10.3 14.3 15.9 5.3 7.8 3.2 7.9 0.1 6.9 5.9 -5.4 7.9 -16.9 11.4 11.6 -18.4 -11.6 -18.8 -16.7 6.4 -3.6 6.5 -15.3 8.5 -15.8 3.7 4.4 -1.5 3.6 -6.3 5.0 -20.0 -13.8 8.4 6.0 -7.9 -18.8 -20.0 -18.5 -0.5 COTTON2 4.3 -20.0 -10.9 2.8 4.2 1.7 4.2 0.0 3.7 7.1 -7.0 0.4 -4.0 -7.7 -9.0 1.4 3.5 6.4 4.9 -11.7 -7.9 2.4 -3.4 -7.3 -18.1 -2.4 2.1 -0.8 0.6 0.6 -1.7 0.1 -2.4 -12.7 -20.0 -0.1 -7.7 -13.4 5.9 -0.5 CRUDE_W -14.3 -12.4 6.1 -1.8 -8.0 2.7 -6.2 4.8 -5.3 -15.2 7.4 -20.0 15.4 -20.0 4.8 12.8 12.1 14.1 13.1 -2.7 8.6 -14.6 15.0 -12.8 -5.5 -2.0 -6.7 3.5 -7.0 6.9 -6.4 -0.2 -1.0 -11.3 -0.9 4.3 20.0 16.5 20.0 18.8 DAX 14.5 -6.2 12.8 4.7 -2.1 6.1 2.5 6.4 4.6 -19.0 20.0 12.1 20.0 14.0 17.8 -10.4 -11.5 -11.5 -12.0 20.0 20.0 7.7 20.0 17.4 13.4 7.9 -1.1 9.9 1.7 9.1 4.9 -9.8 -8.8 -3.8 20.0 20.0 0.0 6.5 0.6 14.4 DOW 19.4 -9.5 -7.2 3.8 -1.7 4.8 2.0 5.1 3.7 -14.1 14.0 7.2 14.3 7.8 4.8 -11.4 -11.2 -11.8 -11.8 8.2 11.1 -1.8 15.5 8.7 -13.4 3.8 -8.7 5.4 -1.2 7.2 3.2 -9.3 -14.4 -5.4 3.3 -10.6 5.2 -6.0 10.8 -12.4 DX -16.3 5.9 8.1 -1.2 -0.0 -1.7 2.3 1.0 2.2 0.5 14.6 -11.8 13.0 -4.2 10.2 7.3 6.7 7.3 7.0 6.2 11.8 -5.3 11.1 -4.3 -20.0 2.7 0.0 5.0 -2.5 4.7 -2.0 16.2 -20.0 -20.0 18.4 20.0 8.3 6.7 11.4 15.0 EUR 14.7 -2.1 -3.3 -1.3 -0.0 -1.8 2.4 1.0 2.3 1.1 -7.5 13.8 -9.0 13.2 -1.4 -7.3 -6.9 -7.1 -6.8 0.7 -5.1 7.1 -5.9 8.5 20.0 2.2 0.7 -0.4 4.4 -1.0 5.8 -7.4 5.8 8.5 8.8 6.3 -20.0 -17.3 -20.0 -13.2 EURIBOR-ICE 6.5 -16.1 -15.8 -1.4 -2.6 -1.6 -1.3 -1.6 -0.7 -6.7 -0.8 -4.5 0.7 -5.6 -6.9 -6.5 -4.6 -5.2 -4.3 -5.7 -3.3 -7.0 -0.7 -5.3 11.9 -2.5 -4.5 -1.2 -3.3 0.1 -2.5 -1.0 -5.0 -8.4 -4.5 -2.2 -20.0 -20.0 2.1 10.0 EUROSTX 10.2 -9.1 14.1 5.1 -2.3 6.5 2.7 6.8 4.9 -16.3 20.0 13.6 20.0 15.1 20.0 -8.1 -1.1 -5.3 -2.6 20.0 20.0 5.2 20.0 14.6 -1.8 8.6 -1.7 11.7 1.3 11.7 5.0 7.8 -8.8 -10.6 19.3 20.0 -14.6 5.8 -20.0 9.4 FEEDCOW 9.6 -0.9 -5.0 5.5 8.1 3.3 8.1 0.1 7.1 13.7 -0.9 14.8 -2.7 11.4 -1.4 -20.0 -20.0 -20.0 -20.0 0.8 -3.4 20.0 -0.8 11.7 -7.0 1.6 6.6 0.0 8.8 2.1 5.7 -20.0 20.0 -0.4 -2.2 -2.0 20.0 20.0 20.0 20.0 GASOIL -11.7 -18.1 -1.2 -1.6 -7.3 2.4 -5.7 4.4 -4.9 -18.4 4.1 -18.1 14.6 -20.0 -13.1 -3.3 16.4 4.8 11.4 -12.4 0.9 -13.3 13.5 -17.0 7.0 -5.1 -6.3 -0.2 -5.4 4.2 -6.7 3.2 -3.2 -3.6 -13.0 -10.5 -16.3 -10.1 -20.0 -20.0 GASOLINE -18.6 -16.6 8.1 -1.6 -7.3 2.4 -5.7 4.4 -4.9 -16.8 12.1 -20.0 16.3 -19.4 3.6 19.0 13.7 17.9 12.9 -4.7 8.6 -15.0 15.3 -15.5 -20.0 -2.6 -4.6 2.9 -6.2 6.4 -6.7 -0.0 -0.2 -17.7 -7.3 7.1 20.0 20.0 20.0 20.0 GAS_US_mini 20.0 20.0 15.5 -1.3 -6.0 2.0 -4.7 3.6 -4.0 5.3 -16.4 14.8 -19.4 15.9 2.5 -20.0 -20.0 -20.0 -20.0 8.0 -9.4 20.0 -20.0 20.0 20.0 2.9 3.2 -3.1 9.1 -6.3 8.3 -20.0 20.0 20.0 20.0 -20.0 -8.3 -5.5 -16.2 -10.5 GBP 14.9 -2.3 -4.1 -1.3 -0.0 -1.8 2.5 1.0 2.3 20.0 8.4 20.0 4.9 19.4 1.0 -1.1 -0.8 -1.0 -0.8 5.3 0.9 20.0 2.6 16.1 1.4 4.5 8.0 2.7 11.0 2.6 9.3 3.0 20.0 18.2 14.6 12.0 -20.0 -15.6 -20.0 -7.7 GOLD_micro -7.3 -5.6 19.9 3.3 -1.8 2.4 1.8 1.2 3.3 -9.2 11.1 0.1 10.1 5.1 10.1 -11.6 -14.1 -12.9 -13.6 12.6 15.2 -2.9 12.1 5.9 -3.4 3.7 -3.7 4.7 -0.7 4.0 1.6 -14.7 -17.2 -9.0 8.7 20.0 -8.9 -14.6 0.5 -6.9 HEATOIL -11.1 -17.7 -2.9 -1.7 -7.6 2.5 -5.9 4.6 -5.1 -20.0 -4.7 -20.0 8.6 -20.0 -18.2 -8.0 15.8 0.7 8.9 -16.0 -4.7 -15.5 7.2 -19.5 -20.0 -5.9 -6.2 -1.1 -6.0 4.1 -7.3 0.7 -3.4 -7.2 -17.7 -13.2 10.1 5.8 2.7 1.1 JGB-SGX-mini -4.4 -20.0 -13.9 -1.9 -3.5 -2.1 -1.7 -2.2 -0.9 -7.6 -1.1 -10.0 2.3 -10.7 -10.7 19.8 16.9 17.8 16.0 -11.2 -6.9 -10.1 -1.4 -11.5 -9.6 -3.8 -2.3 -2.7 -3.2 -1.4 -3.7 20.0 -9.0 -14.9 -13.4 -3.7 -17.1 -7.5 -0.6 12.2 JPY -1.1 -2.3 -2.3 -0.5 -0.0 -0.7 1.0 0.4 0.9 -8.8 -9.6 -7.6 -10.1 -8.0 -9.0 -13.8 -16.3 -15.4 -16.0 -10.1 -11.8 -5.9 -13.5 -7.3 20.0 -3.4 -1.6 -3.8 -1.7 -4.0 -2.4 -20.0 -9.8 -8.5 -13.8 -14.1 -20.0 -11.0 -18.7 -10.5 LEANHOG -20.0 -15.3 15.5 7.0 10.3 4.2 10.4 0.1 9.1 -20.0 9.1 -20.0 -2.5 -20.0 -7.5 -7.2 -20.0 -20.0 -20.0 -13.1 2.8 -20.0 0.1 -20.0 8.7 -4.4 -9.7 1.9 -11.2 1.5 -10.0 -20.0 -20.0 -20.0 -20.0 3.3 -10.7 -10.4 -3.1 9.7 LIVECOW 17.0 1.0 0.7 5.5 8.1 3.3 8.1 0.1 7.1 16.6 2.3 18.7 0.5 13.0 2.4 19.7 8.2 20.0 15.6 7.2 1.3 20.0 1.7 19.3 -6.8 4.5 9.5 2.8 11.4 3.7 8.3 13.1 20.0 14.5 2.7 14.4 20.0 20.0 20.0 20.0 LUMBER-new 5.9 -20.0 -10.6 5.7 8.3 3.5 8.4 0.5 7.3 -12.3 -10.1 -5.9 -13.3 -14.5 -15.2 -20.0 -17.9 -20.0 -19.4 -20.0 -17.1 -5.7 -9.6 -14.8 NaN -5.6 -1.5 -4.2 -1.3 -1.9 -3.6 -20.0 -20.0 -8.2 -20.0 -20.0 -13.5 -10.9 -5.2 -6.8 MILK 20.0 20.0 20.0 3.8 5.6 2.3 5.6 0.0 4.9 1.7 -0.1 10.2 -9.1 12.7 11.5 18.5 -20.0 -8.6 -20.0 18.1 5.0 12.5 -8.6 20.0 15.0 3.8 0.8 0.9 2.6 -2.1 4.5 -20.0 0.8 20.0 20.0 7.7 -20.0 -20.0 -16.8 -20.0 MXP 12.3 -12.3 -1.8 -1.2 -0.0 -1.7 2.3 1.0 2.2 2.6 18.0 15.6 20.0 8.2 10.0 16.2 17.1 16.7 16.7 13.5 17.6 12.3 20.0 14.7 -20.0 6.1 0.4 7.8 4.9 10.6 6.1 20.0 6.6 20.0 12.6 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 20.0 -11.7 -4.9 3.2 -1.4 4.0 1.7 4.3 3.1 11.9 13.3 13.9 14.1 12.9 10.7 -10.5 -10.4 -10.6 -10.7 11.3 13.0 18.3 18.6 17.0 -20.0 3.3 4.0 4.6 5.7 7.4 5.0 -7.5 20.0 8.0 4.1 -6.6 -0.9 0.9 -0.8 0.7 NIKKEI 3.7 -20.0 -2.9 3.8 -1.7 4.9 2.0 5.2 3.7 7.4 12.1 11.6 15.1 -0.1 4.2 1.6 8.6 3.4 6.1 4.8 15.9 6.8 20.0 3.7 -16.6 2.1 1.3 7.6 2.7 12.2 1.3 20.0 11.7 -12.0 -12.2 3.3 -7.1 -7.1 -6.2 -9.4 NZD 20.0 2.5 -5.4 -0.9 -0.0 -1.2 1.7 0.7 1.6 8.4 -2.4 12.6 -4.4 11.3 0.8 0.0 0.2 0.1 0.2 3.6 -1.7 11.5 -3.2 11.3 0.9 2.0 3.7 -0.3 5.7 -0.8 5.6 4.7 12.6 13.7 13.0 2.5 -3.2 -4.8 2.7 6.8 OAT 4.8 -8.9 -7.1 -1.8 -3.3 -2.1 -1.7 -2.1 -0.9 -7.6 -1.1 -4.5 -0.6 -4.5 -7.3 5.7 6.1 5.6 5.5 -4.4 -3.0 -5.4 -2.3 -3.9 2.2 -1.8 -5.9 -0.4 -4.1 0.1 -2.5 16.2 -1.4 -6.4 3.8 5.6 -20.0 -18.9 4.4 -1.8 OATIES 10.6 20.0 9.4 3.4 4.7 2.1 4.8 -0.0 4.3 -9.4 -4.6 -5.2 -8.8 3.8 5.1 10.8 2.6 10.8 7.0 5.6 0.4 -5.5 -3.9 3.7 -20.0 2.7 -2.2 0.9 -0.5 -0.5 2.4 0.7 -12.5 16.2 11.3 4.3 -10.7 -1.7 2.9 13.4 OJ 20.0 20.0 12.9 6.6 9.7 4.0 9.8 0.1 8.6 20.0 17.7 20.0 20.0 20.0 20.0 16.1 13.2 10.6 10.4 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 10.0 4.8 12.6 6.1 11.3 13.9 20.0 20.0 20.0 20.0 4.2 8.9 16.8 20.0 PALLAD 2.5 -1.4 9.2 2.7 -1.5 2.0 1.5 1.0 2.7 -7.5 -4.2 0.2 -8.2 -3.9 0.4 -2.8 -2.2 -2.4 -2.2 -1.5 -3.8 -2.3 -10.1 -0.9 14.3 -0.4 -5.3 -1.4 -1.5 -4.0 -0.3 5.6 -11.1 -9.7 -14.0 -11.0 -20.0 -20.0 -20.0 -13.8 PLAT 19.4 14.2 11.5 3.6 -2.0 2.6 1.9 1.3 3.6 -4.6 4.8 5.5 -4.9 8.2 8.4 -4.9 -3.9 -4.8 -4.4 12.5 6.7 6.7 1.2 14.4 9.9 4.0 -1.3 2.5 2.3 1.1 4.5 2.2 3.2 20.0 9.6 -0.5 -20.0 -7.2 7.6 6.5 REDWHEAT 17.0 20.0 20.0 4.3 6.4 2.6 6.4 0.0 5.6 14.3 3.5 15.0 -11.1 15.0 13.2 -10.8 -1.8 -6.3 -3.5 19.3 6.1 20.0 -7.3 20.0 -6.4 4.8 5.1 1.7 5.4 -1.2 5.9 -10.8 20.0 20.0 20.0 6.4 -10.9 -20.0 1.1 -19.1 RICE 15.1 20.0 -1.6 4.4 6.5 2.7 6.5 0.0 5.7 7.6 10.6 13.8 11.4 16.7 13.6 20.0 20.0 20.0 20.0 17.4 12.8 12.4 11.4 18.7 -10.9 3.4 1.6 1.9 3.2 1.5 4.2 20.0 -1.3 8.3 20.0 1.0 -5.3 -4.5 -2.8 1.4 ROBUSTA -20.0 -20.0 -11.5 2.3 3.3 1.4 3.3 0.0 2.9 6.3 5.7 -0.1 7.1 -1.9 1.7 14.9 20.0 19.2 20.0 4.7 10.0 8.6 11.4 2.3 -20.0 2.3 2.8 3.7 2.0 4.0 1.3 20.0 18.2 -13.5 14.7 20.0 -4.3 -13.6 4.9 4.1 RUSSELL 15.6 -5.7 5.1 3.7 -1.7 4.7 1.9 5.0 3.6 -8.6 12.2 8.1 11.2 6.4 4.4 -7.2 -6.6 -6.9 -6.7 6.0 7.3 0.7 7.7 6.7 -2.1 3.4 -5.1 4.2 -0.2 4.6 3.1 -0.8 -3.2 -7.5 2.6 -11.8 -6.7 -20.0 -7.8 -20.0 SHATZ 2.6 -7.8 -18.9 -1.5 -2.7 -1.7 -1.3 -1.7 -0.7 -7.9 -8.8 -7.4 -8.5 -7.9 -8.8 -20.0 -20.0 -20.0 -20.0 -10.7 -11.4 -10.2 -11.4 -9.0 7.6 -3.3 -4.2 -3.0 -3.4 -2.6 -3.0 -20.0 -9.2 -14.8 -7.8 -10.5 -20.0 -20.0 -18.3 -18.0 SILVER-mini 6.9 9.0 19.6 3.3 -1.4 2.3 2.8 1.2 3.7 2.8 9.5 8.3 6.3 9.6 10.3 -6.3 -6.7 -6.6 -6.7 15.2 11.3 16.7 6.4 18.0 2.3 4.1 1.1 3.4 4.3 2.2 4.5 -2.2 16.2 15.9 17.7 17.3 -8.9 -13.4 13.9 4.9 SMI 20.0 2.9 12.2 4.2 -1.9 5.4 2.2 5.7 4.1 8.1 16.8 16.7 14.1 16.6 15.1 -2.8 3.0 -0.8 1.6 20.0 18.0 20.0 12.5 20.0 14.7 6.9 2.1 5.8 6.1 4.2 7.8 15.0 20.0 16.2 20.0 3.2 10.6 0.0 13.1 -1.3 SOFR 20.0 -7.6 -11.2 -2.0 -3.7 -2.3 -1.8 -2.3 -1.0 -8.2 -2.9 3.8 -4.0 0.4 -6.0 -3.8 -1.0 -2.7 -1.7 -3.9 -6.5 0.5 -6.2 1.5 -2.7 -0.8 -2.4 -1.6 0.3 -1.4 1.0 4.3 7.5 7.4 0.7 -0.1 -4.7 -20.0 11.8 -0.7 SOYBEAN 16.8 14.7 6.9 5.5 8.1 3.3 8.1 0.1 7.1 16.9 -6.9 13.3 -5.7 12.9 11.7 1.1 8.7 1.0 3.8 9.1 -1.9 13.0 -8.8 14.3 -20.0 4.4 4.7 0.4 5.8 -1.8 6.4 4.3 -1.1 18.2 3.4 -4.3 -16.6 -20.0 -14.0 -20.0 SOYMEAL 19.0 20.0 5.9 3.9 5.8 2.4 5.8 0.0 5.1 12.3 -7.6 7.1 -8.9 8.6 6.4 4.7 6.0 0.5 1.4 10.5 -0.0 11.2 -6.0 13.7 -20.0 3.6 3.7 0.8 3.3 -0.7 4.3 -0.1 -0.9 20.0 20.0 -0.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 10.5 -6.5 6.0 2.8 4.2 1.7 4.2 0.0 3.7 1.4 -8.6 4.6 -8.7 -3.5 -5.3 -6.0 -0.7 -6.6 -4.9 -4.6 -7.2 2.7 -8.4 -0.5 -20.0 -1.9 -0.4 -2.2 0.9 -2.1 -0.5 -11.2 0.0 -7.4 -18.1 -7.0 -20.0 -16.2 -8.5 2.3 SP400 14.2 -9.0 11.3 3.9 -1.8 5.0 2.1 5.3 3.8 -11.3 14.7 6.8 14.2 6.8 8.8 -7.5 -5.7 -6.4 -5.9 10.6 15.4 -1.6 16.6 7.4 -13.9 4.4 -5.7 6.3 -1.2 6.8 2.7 0.8 -11.9 -8.6 1.7 -0.5 -7.0 -10.7 -6.3 -20.0 SP500_micro 20.0 -12.7 4.4 4.0 -1.8 5.2 2.1 5.5 3.9 6.2 17.4 15.6 17.6 15.2 14.4 -12.2 -11.8 -12.4 -12.3 16.4 20.0 15.3 20.0 18.8 -20.0 5.2 0.8 7.4 4.6 9.4 5.6 -10.2 15.7 4.9 5.1 3.9 1.8 -2.0 5.8 -2.0 SUGAR11 -3.6 -20.0 -20.0 4.2 6.1 2.5 6.2 0.0 5.4 -6.7 -14.1 -12.1 -4.4 -14.6 -14.6 0.2 13.3 4.7 9.2 -20.0 -19.3 -13.7 -9.4 -19.6 -20.0 -5.3 -1.5 -4.7 -3.3 -2.3 -4.8 13.5 -20.0 -20.0 -20.0 -20.0 20.0 13.1 20.0 20.0 US10 17.7 -7.2 -8.4 -1.7 -3.2 -1.9 -1.6 -2.0 -0.8 -7.8 -3.3 3.1 -5.6 -0.1 -5.6 -5.1 -7.2 -5.8 -6.6 -3.6 -6.2 -0.2 -8.1 0.6 2.7 -0.9 -2.2 -1.6 -0.1 -2.0 0.6 -5.7 4.3 4.3 0.8 0.5 -11.5 -20.0 2.4 2.2 US10U 18.2 -7.0 -8.2 -2.6 -4.7 -2.9 -2.3 -3.0 -1.2 -8.3 -4.6 6.1 -8.0 0.2 -8.4 -5.9 -2.1 -4.9 -3.4 -5.3 -9.4 1.6 -12.6 1.6 0.3 -0.9 -1.9 -2.1 0.9 -3.0 1.4 2.0 9.6 7.1 2.6 2.8 -11.2 -17.9 18.4 9.6 US2 12.0 -13.1 -17.6 -1.6 -3.0 -1.9 -1.5 -1.9 -0.8 -8.8 -8.0 -1.8 -8.9 -4.7 -7.8 -20.0 -20.0 -20.0 -20.0 -8.7 -11.2 -6.2 -13.2 -4.7 12.9 -2.5 -4.3 -2.8 -2.4 -2.9 -1.6 -20.0 -4.1 -3.7 -4.6 -8.2 -14.5 -20.0 -9.3 -20.0 US20 20.0 -6.4 -5.0 -1.9 -3.4 -2.1 -1.7 -2.1 -0.9 -2.4 -0.2 5.7 -3.6 1.7 -4.5 -0.6 -0.7 -0.4 -0.4 -2.0 -4.8 3.2 -7.3 3.1 -1.0 0.4 -0.6 -0.4 1.7 -1.3 2.1 5.4 9.8 8.1 4.0 6.1 -14.9 -13.4 20.0 14.9 US30 18.9 -6.4 -4.2 -2.2 -4.0 -2.5 -2.0 -2.5 -1.1 -1.0 -1.9 7.2 -5.7 1.1 -5.8 -1.6 -4.8 -3.1 -4.3 -2.9 -6.2 4.1 -9.6 3.1 -0.4 0.2 0.2 -0.9 2.4 -2.1 2.4 -1.7 12.7 8.0 4.5 7.9 -17.2 -12.2 13.7 17.4 US5 17.1 -8.8 -12.3 -1.8 -3.3 -2.0 -1.6 -2.1 -0.9 -9.0 -6.6 1.6 -7.6 -1.9 -6.9 -10.1 -10.1 -9.8 -9.9 -5.4 -8.1 -2.1 -9.5 -0.9 6.0 -1.5 -3.3 -2.2 -0.9 -2.3 -0.1 -10.9 1.7 2.6 -1.1 -3.0 -10.2 -20.0 -1.5 -7.3 VIX -18.1 -5.3 7.1 -6.5 -1.9 -6.2 -4.7 -7.5 -6.8 -14.1 -20.0 -19.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.7 -20.0 -20.0 NaN -7.4 -2.2 -7.1 -5.3 -9.0 -7.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 4.1 6.0 2.5 6.1 0.0 5.3 13.2 7.1 14.2 -9.0 14.3 12.9 -15.4 -13.8 -16.5 -15.4 20.0 8.3 20.0 -4.9 20.0 1.1 4.6 3.2 1.9 4.7 -0.5 5.7 -20.0 19.0 20.0 20.0 6.5 -9.3 -20.0 -3.4 -20.0 End of report for caleb_strategy_v3