******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240528_204005 produced at 2024-05-28 21:37:31.069259 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.96 0.0 0.00 -0.08 -0.08 -0.08 -34.77 16.0 -3 -3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.24 -0.51 0.0 0.80 -0.80 -0.24 -0.24 -6.41 10.0 -3 -3 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.49 0.0 0.00 0.00 0.00 0.00 -6.70 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -11.04 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -4.81 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.29 -0.29 0.0 999.00 -999.00 -0.29 -0.29 -63.09 999999999.0 -63 -63 caleb_strategy_v3 CHF False False 0.04 -0.17 -0.21 0.0 0.54 -0.54 -0.17 -0.25 -4.99 13.0 -4 -6 caleb_strategy_v3 CAD False False 0.02 -0.07 -0.09 0.0 0.64 -0.64 -0.07 -0.07 -4.11 29.0 -3 -3 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.09 0.0 0.15 -0.15 -0.07 -0.09 -8.13 13.0 -6 -8 caleb_strategy_v3 US5 False False 0.03 -0.22 -0.07 0.0 0.80 -0.80 -0.22 -0.25 -2.17 25.0 -7 -8 caleb_strategy_v3 JPY False False 0.02 -0.10 -0.07 0.0 0.41 -0.41 -0.10 -0.10 -3.10 17.0 -4 -4 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.10 -0.10 -0.06 -0.06 -1.88 3.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.84 3.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.05 0.0 0.09 -0.09 -0.01 -0.01 -6.39 12.0 -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 CANOLA False False 0.00 -0.01 -0.03 0.0 0.16 -0.16 -0.01 -0.01 -10.09 51.0 -4 -4 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.56 -0.56 0.00 0.00 -0.85 17.0 0 0 caleb_strategy_v3 BUND False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.71 10.0 0 0 caleb_strategy_v3 OAT False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.69 10.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.09 -0.02 0.0 0.18 -0.18 0.09 0.00 -0.23 2.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.42 18.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.92 4.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.01 -0.02 0.0 0.39 -0.39 0.01 0.00 -4.22 66.0 1 0 caleb_strategy_v3 BUXL False True 0.04 -0.08 -0.02 0.0 0.00 -0.08 -0.08 -0.08 -0.37 4.0 -2 -2 caleb_strategy_v3 BTP False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.43 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.01 -1.75 11.0 -3 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.54 10.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.13 -0.13 -0.02 -0.02 -0.45 7.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.38 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.45 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.11 -0.01 0.0 0.21 -0.21 -0.11 -0.09 -3.41 68.0 -34 -30 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 -0.01 0.0 0.40 -0.40 0.01 -0.01 -1.36 56.0 1 -1 caleb_strategy_v3 US10U False False 0.03 -0.17 -0.01 0.0 0.44 -0.44 -0.17 -0.17 -0.41 13.0 -5 -5 caleb_strategy_v3 US20 False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.12 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.01 0.34 8.0 0 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.63 -0.63 0.00 0.00 0.05 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.03 0.00 0.0 0.16 -0.16 0.03 0.03 0.13 6.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.52 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.32 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.28 -0.28 0.00 0.00 0.15 23.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 0.01 0.0 0.26 -0.26 -0.01 0.00 0.58 23.0 -1 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.85 5.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.06 0.01 0.0 999.00 -999.00 0.06 0.06 0.23 999999999.0 2 2 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 3.58 26.0 0 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 6.77 59.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.01 0.0 0.32 -0.32 0.04 0.04 0.36 8.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.04 0.02 0.0 0.39 -0.39 0.04 0.05 2.22 48.0 5 6 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 0.93 19.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 0.02 0.0 0.27 -0.27 -0.01 0.00 2.12 36.0 -1 0 caleb_strategy_v3 EUR False False 0.04 0.00 0.02 0.0 0.58 -0.58 0.00 0.00 0.38 14.0 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 1.38 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.05 0.03 0.0 0.16 -0.16 0.05 0.05 1.82 10.0 3 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 4.24 4.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.22 999999999.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.05 0.0 0.39 -0.39 0.00 0.00 2.70 21.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 0.06 0.0 0.00 0.00 0.00 0.00 2.44 12.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.06 0.0 0.06 -0.06 0.02 0.02 2.78 3.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.18 0.06 0.0 999.00 -999.00 0.18 0.15 1.65 999999999.0 5 4 caleb_strategy_v3 GBP False False 0.02 0.00 0.06 0.0 0.53 -0.53 0.00 0.00 2.55 22.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.18 0.08 0.0 0.33 -0.33 0.18 0.22 4.87 20.0 11 13 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.10 0.0 0.12 -0.12 0.02 0.02 4.46 5.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.09 0.12 0.0 0.36 -0.36 0.09 0.09 20.08 58.0 15 15 caleb_strategy_v3 LIVECOW False False 0.02 0.13 0.13 0.0 0.37 -0.37 0.13 0.13 5.87 17.0 6 6 caleb_strategy_v3 SMI False True 0.04 0.08 0.16 0.0 0.08 0.00 0.08 0.08 4.04 9.0 2 2 caleb_strategy_v3 MXP False False 0.01 0.53 0.62 0.0 0.54 -0.54 0.53 0.54 69.28 60.0 59 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.4 Shocked risk 56.5 Sum abs risk 51.4 Leverage 5.81 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3305176.89, 'annual_cash_vol_target': 826294.2225, 'daily_cash_vol_target': 51643.38890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6652 0.5936 9.4982 BITCOIN 1764.1769 68595.0000 2.5719 41.1500 BOBL 0.2705 116.1000 0.2330 3.7276 BTP 0.5902 117.1300 0.5039 8.0618 BUND 0.5379 129.6900 0.4148 6.6366 BUXL 1.2356 127.5600 0.9687 15.4987 CAC 50.2128 8029.5000 0.6254 10.0057 CAD 0.0027 0.7330 0.3742 5.9875 CANOLA 7.2626 689.8000 1.0528 16.8456 CHF 0.0043 1.0989 0.3909 6.2546 COCOA 386.2163 7966.0000 4.8483 77.5730 COFFEE 4.3013 228.4500 1.8828 30.1249 COPPER 0.0788 4.8520 1.6249 25.9992 CORN 5.0539 485.7500 1.0404 16.6468 COTTON2 1.3531 79.0900 1.7109 27.3736 CRUDE_W 0.8396 77.4200 1.0845 17.3516 DAX 119.1126 18708.0000 0.6367 10.1871 DOW 247.7725 38866.0000 0.6375 10.2001 DX 0.3347 104.1550 0.3214 5.1416 EUR 0.0040 1.0870 0.3715 5.9446 EURIBOR-ICE 0.0524 97.2500 0.0539 0.8627 EUROSTX 33.3329 5035.0000 0.6620 10.5924 FEEDCOW 1.9508 265.4500 0.7349 11.7585 GASOIL 10.1270 765.5000 1.3229 21.1668 GASOLINE 0.0344 2.4877 1.3837 22.1384 GAS_US_mini 0.0968 2.8600 3.3851 54.1608 GBP 0.0054 1.2762 0.4195 6.7121 GOLD_micro 21.9878 2380.4000 0.9237 14.7792 HEATOIL 0.0301 2.5080 1.1996 19.1936 JGB-SGX-mini 0.1983 143.4300 0.1382 2.2116 JPY 0.0000 0.0064 0.6515 10.4237 LEANHOG 1.0756 96.1250 1.1190 17.9038 LIVECOW 1.3067 181.6250 0.7195 11.5116 LUMBER-new 6.7891 545.0000 1.2457 19.9312 MILK 0.2566 19.7000 1.3024 20.8382 MXP 0.0003 0.0593 0.5701 9.1209 NASDAQ_micro 143.1541 18879.2500 0.7583 12.1322 NIKKEI 348.1499 38895.0000 0.8951 14.3216 NZD 0.0036 0.6142 0.5850 9.3607 OAT 0.5389 125.0500 0.4310 6.8953 OATIES 7.2141 375.7500 1.9199 30.7187 OJ 5.3087 467.3000 1.1360 18.1766 PALLAD 22.7220 997.0000 2.2790 36.4647 PLAT 17.0151 1065.5000 1.5969 25.5506 REDWHEAT 12.6207 746.5000 1.6907 27.0504 RICE 0.1595 15.5650 1.0247 16.3959 ROBUSTA 79.4433 4003.0000 1.9846 31.7535 RUSSELL 20.0012 2067.6000 0.9674 15.4778 SHATZ 0.0803 104.9700 0.0765 1.2235 SILVER-mini 0.5715 32.4000 1.7639 28.2230 SMI 79.6969 11842.0000 0.6730 10.7680 SOFR 0.0631 96.0000 0.0658 1.0522 SOYBEAN 9.9461 1211.0000 0.8213 13.1410 SOYMEAL 4.7910 370.4000 1.2935 20.6955 SOYOIL 0.7273 45.9300 1.5835 25.3362 SP400 22.8723 2962.6000 0.7720 12.3526 SP500_micro 32.5502 5308.5000 0.6132 9.8108 SUGAR11 0.2917 18.6800 1.5614 24.9816 US10 0.3732 108.6250 0.3435 5.4967 US10U 0.4869 111.8438 0.4354 6.9658 US2 0.0960 101.7656 0.0943 1.5092 US20 0.7197 115.9062 0.6210 9.9355 US30 1.0608 122.3750 0.8668 13.8693 US5 0.2428 105.2656 0.2306 3.6904 VIX 0.4041 15.2000 2.6586 42.5374 WHEAT 11.4739 744.7500 1.5406 24.6502 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 665.20 0.59 394.89 1.00 394.89 51643.39 130.78 2.75 35.94 BITCOIN 68.60 2.57 176.42 1.00 176.42 51643.39 292.73 2.14 62.54 BOBL 1161.00 0.23 270.48 1.08 293.38 51643.39 176.03 -7.51 -132.23 BTP 1171.30 0.50 590.17 1.08 640.13 51643.39 80.68 -1.56 -12.62 BUND 1296.90 0.41 537.94 1.08 583.48 51643.39 88.51 -7.90 -69.93 BUXL 1275.60 0.97 1235.64 1.08 1340.23 51643.39 38.53 -9.55 -36.80 CAC 802.95 0.63 502.13 1.08 544.63 51643.39 94.82 7.56 71.68 CAD 733.00 0.37 274.30 1.00 274.30 51643.39 188.27 -8.42 -158.59 CANOLA 137.96 1.05 145.25 0.73 106.30 51643.39 485.84 -8.54 -414.86 CHF 1373.62 0.39 536.96 1.00 536.96 51643.39 96.18 -20.00 -192.35 COCOA 796.60 4.85 3862.16 1.00 3862.16 51643.39 13.37 1.75 2.34 COFFEE 856.69 1.88 1612.98 1.00 1612.98 51643.39 32.02 3.44 11.00 COPPER 1213.00 1.62 1971.06 1.00 1971.06 51643.39 26.20 5.80 15.21 CORN 242.88 1.04 252.69 1.00 252.69 51643.39 204.37 -12.84 -262.47 COTTON2 395.45 1.71 676.56 1.00 676.56 51643.39 76.33 -10.71 -81.78 CRUDE_W 774.20 1.08 839.60 1.00 839.60 51643.39 61.51 6.70 41.20 DAX 187.08 0.64 119.11 1.08 129.20 51643.39 399.73 14.73 588.81 DOW 194.33 0.64 123.89 1.00 123.89 51643.39 416.86 -4.35 -181.46 DX 1041.55 0.32 334.70 1.00 334.70 51643.39 154.30 3.04 46.86 EUR 1358.69 0.37 504.80 1.00 504.80 51643.39 102.30 1.44 14.77 EURIBOR-ICE 2431.25 0.05 131.09 1.08 142.19 51643.39 363.20 -5.17 -187.87 EUROSTX 503.50 0.66 333.33 1.08 361.54 51643.39 142.84 10.00 142.84 FEEDCOW 1327.25 0.73 975.40 1.00 975.40 51643.39 52.95 2.08 10.99 GASOIL 765.50 1.32 1012.70 1.00 1012.70 51643.39 51.00 -4.16 -21.22 GASOLINE 1044.83 1.38 1445.69 1.00 1445.69 51643.39 35.72 1.46 5.23 GAS_US_mini 71.50 3.39 242.03 1.00 242.03 51643.39 213.37 1.55 33.09 GBP 797.62 0.42 334.61 1.00 334.61 51643.39 154.34 6.36 98.18 GOLD_micro 238.04 0.92 219.88 1.00 219.88 51643.39 234.87 -1.70 -39.82 HEATOIL 1053.36 1.20 1263.61 1.00 1263.61 51643.39 40.87 -10.60 -43.33 JGB-SGX-mini 143430.00 0.14 19825.59 0.01 126.46 51643.39 408.39 -7.86 -321.14 JPY 798.00 0.65 519.88 1.00 519.88 51643.39 99.34 -12.02 -119.45 LEANHOG 384.50 1.12 430.25 1.00 430.25 51643.39 120.03 -11.14 -133.74 LIVECOW 726.50 0.72 522.70 1.00 522.70 51643.39 98.80 17.92 177.05 LUMBER-new 149.88 1.25 186.70 1.00 186.70 51643.39 276.61 -20.00 -553.23 MILK 394.00 1.30 513.14 1.00 513.14 51643.39 100.64 3.96 39.83 MXP 296.65 0.57 169.11 1.00 169.11 51643.39 305.39 15.46 472.03 NASDAQ_micro 377.58 0.76 286.31 1.00 286.31 51643.39 180.38 1.39 25.05 NIKKEI 38895.00 0.90 34814.99 0.01 222.06 51643.39 232.56 0.84 19.59 NZD 614.25 0.59 359.36 1.00 359.36 51643.39 143.71 7.24 103.98 OAT 1250.50 0.43 538.91 1.08 584.53 51643.39 88.35 -2.28 -20.12 OATIES 187.88 1.92 360.70 1.00 360.70 51643.39 143.17 -1.48 -21.25 OJ 700.95 1.14 796.31 1.00 796.31 51643.39 64.85 20.00 129.71 PALLAD 997.00 2.28 2272.20 1.00 2272.20 51643.39 22.73 -4.86 -11.04 PLAT 532.75 1.60 850.75 1.00 850.75 51643.39 60.70 8.81 53.48 REDWHEAT 373.25 1.69 631.04 1.00 631.04 51643.39 81.84 3.15 25.79 RICE 311.30 1.02 319.00 1.00 319.00 51643.39 161.89 10.76 174.13 ROBUSTA 400.30 1.98 794.43 1.00 794.43 51643.39 65.01 1.96 12.71 RUSSELL 103.38 0.97 100.01 1.00 100.01 51643.39 516.40 -2.00 -103.04 SHATZ 1049.70 0.08 80.27 1.08 87.06 51643.39 593.18 -18.36 -1088.86 SILVER-mini 810.00 1.76 1428.79 1.00 1428.79 51643.39 36.14 11.18 40.41 SMI 1184.20 0.67 796.97 1.09 871.56 51643.39 59.25 20.00 118.51 SOFR 2400.00 0.07 157.83 1.00 157.83 51643.39 327.21 -3.37 -110.28 SOYBEAN 605.50 0.82 497.31 1.00 497.31 51643.39 103.85 -4.68 -48.62 SOYMEAL 370.40 1.29 479.10 1.00 479.10 51643.39 107.79 -4.52 -48.76 SOYOIL 275.58 1.58 436.39 1.00 436.39 51643.39 118.34 -14.02 -165.92 SP400 2962.60 0.77 2287.23 1.00 2287.23 51643.39 22.58 -3.08 -6.96 SP500_micro 265.42 0.61 162.75 1.00 162.75 51643.39 317.31 3.01 95.46 SUGAR11 209.22 1.56 326.66 1.00 326.66 51643.39 158.10 -10.16 -160.63 US10 1086.25 0.34 373.17 1.00 373.17 51643.39 138.39 -4.87 -67.33 US10U 1118.44 0.44 486.93 1.00 486.93 51643.39 106.06 -3.07 -32.56 US2 2035.31 0.09 191.98 1.00 191.98 51643.39 269.00 -14.10 -379.21 US20 1159.06 0.62 719.74 1.00 719.74 51643.39 71.75 1.28 9.18 US30 1223.75 0.87 1060.78 1.00 1060.78 51643.39 48.68 -1.09 -5.33 US5 1052.66 0.23 242.79 1.00 242.79 51643.39 212.70 -8.05 -171.29 VIX 152.00 2.66 404.11 1.00 404.11 51643.39 127.80 -20.00 -255.59 WHEAT 372.38 1.54 573.70 1.00 573.70 51643.39 90.02 2.67 24.05 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 35.938 0.010 2.5 0.932 BITCOIN 62.541 0.043 2.5 6.772 BOBL -132.234 0.004 2.5 -1.341 BTP -12.621 0.014 2.5 -0.430 BUND -69.932 0.004 2.5 -0.709 BUXL -36.795 0.004 2.5 -0.373 CAC 71.678 0.014 2.5 2.445 CAD -158.589 0.010 2.5 -4.115 CANOLA -414.859 0.010 2.5 -10.093 CHF -192.353 0.010 2.5 -4.991 COCOA 2.337 0.009 2.5 0.050 COFFEE 11.000 0.005 2.5 0.128 COPPER 15.208 0.043 2.5 1.647 CORN -262.467 0.010 2.5 -6.385 COTTON2 -81.784 0.009 2.5 -1.752 CRUDE_W 41.205 0.043 2.5 4.462 DAX 588.807 0.014 2.5 20.083 DOW -181.456 0.009 2.5 -4.217 DX 46.864 0.010 2.5 1.216 EUR 14.773 0.010 2.5 0.383 EURIBOR-ICE -187.869 0.014 2.5 -6.408 EUROSTX 142.841 0.014 2.5 4.872 FEEDCOW 10.994 0.013 2.5 0.364 GASOIL -21.220 0.017 2.5 -0.920 GASOLINE 5.228 0.017 2.5 0.227 GAS_US_mini 33.089 0.043 2.5 3.583 GBP 98.178 0.010 2.5 2.547 GOLD_micro -39.820 0.014 2.5 -1.358 HEATOIL -43.330 0.017 2.5 -1.878 JGB-SGX-mini -321.135 0.043 2.5 -34.775 JPY -119.445 0.010 2.5 -3.099 LEANHOG -133.742 0.024 2.5 -8.128 LIVECOW 177.046 0.013 2.5 5.867 LUMBER-new -553.226 0.009 2.5 -11.842 MILK 39.828 0.009 2.5 0.853 MXP 472.034 0.059 2.5 69.282 NASDAQ_micro 25.048 0.009 2.5 0.582 NIKKEI 19.591 0.043 2.5 2.121 NZD 103.982 0.010 2.5 2.698 OAT -20.118 0.014 2.5 -0.686 OATIES -21.253 0.010 2.5 -0.517 OJ 129.707 0.009 2.5 2.778 PALLAD -11.045 0.014 2.5 -0.377 PLAT 53.483 0.014 2.5 1.824 REDWHEAT 25.787 0.005 2.5 0.342 RICE 174.134 0.010 2.5 4.236 ROBUSTA 12.711 0.005 2.5 0.148 RUSSELL -103.043 0.013 2.5 -3.415 SHATZ -1088.861 0.004 2.5 -11.042 SILVER-mini 40.407 0.014 2.5 1.378 SMI 118.507 0.014 2.5 4.042 SOFR -110.280 0.024 2.5 -6.702 SOYBEAN -48.618 0.004 2.5 -0.452 SOYMEAL -48.756 0.004 2.5 -0.453 SOYOIL -165.918 0.004 2.5 -1.545 SP400 -6.957 0.013 2.5 -0.231 SP500_micro 95.465 0.009 2.5 2.219 SUGAR11 -160.625 0.009 2.5 -3.416 US10 -67.329 0.005 2.5 -0.853 US10U -32.559 0.005 2.5 -0.413 US2 -379.208 0.005 2.5 -4.805 US20 9.178 0.005 2.5 0.116 US30 -5.327 0.005 2.5 -0.068 US5 -171.286 0.005 2.5 -2.170 VIX -255.594 0.099 2.5 -63.091 WHEAT 24.053 0.005 2.5 0.319 ===================== Position diags ===================== AUD 3.39 BITCOIN 31.70 BOBL 1.79 BTP 2.75 BUND 0.90 BUXL 0.39 CAC 3.23 CAD 4.88 CANOLA 11.82 CHF 2.50 COCOA 0.29 COFFEE 0.37 COPPER 2.84 CORN 4.97 COTTON2 1.63 CRUDE_W 6.66 DAX 13.63 DOW 9.69 DX 4.00 EUR 2.65 EURIBOR-ICE 12.39 EUROSTX 4.87 FEEDCOW 1.75 GASOIL 2.21 GASOLINE 1.55 GAS_US_mini 23.11 GBP 4.00 GOLD_micro 8.01 HEATOIL 1.77 JGB-SGX-mini 44.22 JPY 2.58 LEANHOG 7.29 LIVECOW 3.27 LUMBER-new 5.92 MILK 2.16 MXP 44.82 NASDAQ_micro 4.19 NIKKEI 25.18 NZD 3.73 OAT 3.01 OATIES 3.48 OJ 1.39 PALLAD 0.78 PLAT 2.07 REDWHEAT 1.09 RICE 3.94 ROBUSTA 0.76 RUSSELL 17.11 SHATZ 6.02 SILVER-mini 1.23 SMI 2.02 SOFR 19.89 SOYBEAN 0.97 SOYMEAL 1.00 SOYOIL 1.10 SP400 0.75 SP500_micro 7.37 SUGAR11 3.36 US10 1.75 US10U 1.34 US2 3.41 US20 0.91 US30 0.62 US5 2.70 VIX 31.55 WHEAT 1.19 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.9 0.6 1.3 0.0 0 BITCOIN 6.8 3.6 9.9 0.0 0 BOBL -1.3 -1.5 -1.2 -3.0 -3 BTP -0.4 -0.7 -0.2 0.0 0 BUND -0.7 -0.8 -0.6 0.0 0 BUXL -0.4 -0.4 -0.3 -2.0 -2 CAC 2.4 2.1 2.8 0.0 0 CAD -4.1 -4.6 -3.6 -3.0 -3 CANOLA -10.1 -11.3 -8.9 -4.0 -4 CHF -5.0 -5.2 -4.7 -4.0 -4 COCOA 0.1 0.0 0.1 0.0 0 COFFEE 0.1 0.1 0.2 1.0 1 COPPER 1.6 1.4 1.9 5.0 5 CORN -6.4 -6.9 -5.9 -2.0 -2 COTTON2 -1.8 -1.9 -1.6 -3.0 -3 CRUDE_W 4.5 3.8 5.1 1.0 1 DAX 20.1 18.7 21.4 15.0 15 DOW -4.2 -5.2 -3.2 1.0 1 DX 1.2 0.8 1.6 NaN 0 EUR 0.4 0.1 0.6 0.0 0 EURIBOR-ICE -6.4 -7.6 -5.2 -3.0 -3 EUROSTX 4.9 4.4 5.4 11.0 11 FEEDCOW 0.4 0.2 0.5 1.0 1 GASOIL -0.9 -1.1 -0.7 -1.0 -1 GASOLINE 0.2 0.1 0.4 2.0 2 GAS_US_mini 3.6 1.3 5.9 0.0 0 GBP 2.5 2.1 2.9 0.0 0 GOLD_micro -1.4 -2.2 -0.6 1.0 1 HEATOIL -1.9 -2.1 -1.7 -2.0 -2 JGB-SGX-mini -34.8 -39.2 -30.4 -3.0 -3 JPY -3.1 -3.4 -2.8 -4.0 -4 LEANHOG -8.1 -8.9 -7.4 -6.0 -6 LIVECOW 5.9 5.5 6.2 6.0 6 LUMBER-new -11.8 -12.4 -11.3 NaN 0 MILK 0.9 0.6 1.1 NaN 0 MXP 69.3 64.8 73.8 59.0 59 NASDAQ_micro 0.6 0.2 1.0 -1.0 -1 NIKKEI 2.1 -0.4 4.6 -1.0 -1 NZD 2.7 2.3 3.1 0.0 0 OAT -0.7 -1.0 -0.4 0.0 0 OATIES -0.5 -0.9 -0.2 NaN 0 OJ 2.8 2.6 2.9 1.0 1 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 1.8 1.6 2.0 3.0 3 REDWHEAT 0.3 0.2 0.5 0.0 0 RICE 4.2 3.8 4.6 NaN 0 ROBUSTA 0.1 0.1 0.2 0.0 0 RUSSELL -3.4 -5.1 -1.7 -34.0 -34 SHATZ -11.0 -11.6 -10.4 NaN 0 SILVER-mini 1.4 1.3 1.5 0.0 0 SMI 4.0 3.8 4.2 2.0 2 SOFR -6.7 -8.7 -4.7 NaN 0 SOYBEAN -0.5 -0.5 -0.4 -1.0 -1 SOYMEAL -0.5 -0.6 -0.4 0.0 0 SOYOIL -1.5 -1.7 -1.4 -3.0 -3 SP400 -0.2 -0.3 -0.2 1.0 1 SP500_micro 2.2 1.5 3.0 5.0 5 SUGAR11 -3.4 -3.8 -3.1 -3.0 -3 US10 -0.9 -1.0 -0.7 0.0 0 US10U -0.4 -0.5 -0.3 -5.0 -5 US2 -4.8 -5.1 -4.5 NaN 0 US20 0.1 0.0 0.2 0.0 0 US30 -0.1 -0.1 -0.0 0.0 0 US5 -2.2 -2.4 -1.9 -7.0 -7 VIX -63.1 -66.2 -59.9 -63.0 -63 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 0.3 0.2 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -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 0.1 0.5 0.3 -0.3 -0.3 -0.1 -0.0 BITCOIN 0.2 -0.4 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 0.0 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 0.0 0.5 0.0 -0.2 0.5 0.1 -0.6 0.6 -0.4 -0.1 0.3 0.1 BOBL 0.0 -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 0.0 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.2 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.8 0.1 -0.2 0.3 0.6 -0.4 -0.3 0.4 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 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.3 0.0 0.1 -0.7 -0.7 0.1 -0.3 BUXL 0.0 -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 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 0.1 0.3 -0.7 -0.7 -0.4 -0.2 CAC 0.3 -0.3 0.4 0.1 -0.0 0.2 0.0 0.3 0.0 -0.2 0.5 0.1 0.7 0.1 0.2 -0.1 0.0 0.1 0.1 0.2 0.2 -0.0 0.5 0.1 -1.8 0.1 -0.1 0.3 -0.0 0.4 0.0 0.9 -0.5 -0.4 0.5 0.5 -0.3 0.2 -0.5 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 -0.4 -0.2 -0.2 -0.2 -0.4 -0.0 -0.3 CANOLA 0.5 0.6 0.6 0.0 0.0 0.1 0.1 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 -0.3 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.2 0.0 -1.1 -0.0 0.3 0.1 0.1 -0.7 -0.5 -0.2 -0.1 CHF 0.1 -0.3 -0.6 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.5 -0.1 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 0.4 -0.1 -0.0 -0.2 -0.0 -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 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.0 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 0.0 0.2 -0.0 -2.1 0.0 0.0 0.1 -0.0 0.1 -0.0 1.1 0.0 -0.6 -0.1 0.6 0.2 0.0 0.4 0.3 COFFEE -0.2 -0.2 0.3 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.3 0.0 0.0 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.3 0.1 -2.6 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 -0.2 0.2 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.0 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.2 0.1 -1.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 -0.2 0.3 0.6 0.6 -0.4 -0.1 0.3 0.2 CORN 0.2 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 0.0 -0.4 0.1 -2.1 0.0 0.0 -0.0 0.0 -0.2 0.1 -1.1 -0.4 0.2 0.2 -0.2 -0.7 -0.7 -0.6 -0.0 COTTON2 0.2 -0.6 -0.4 0.0 0.0 0.0 0.1 0.0 0.0 0.1 -0.2 0.1 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 0.1 -0.1 -0.1 -2.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.1 -0.4 -0.6 -0.0 -0.2 -0.4 0.2 -0.0 CRUDE_W -0.3 -0.5 0.2 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.2 0.2 -0.0 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 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.4 -0.4 -0.1 0.2 0.7 0.5 0.7 0.6 DAX 0.5 -0.1 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 0.0 0.5 0.2 1.8 0.1 -0.0 0.3 0.0 0.4 0.0 -0.5 -0.1 -0.1 0.5 0.6 0.0 0.2 0.0 0.5 DOW 0.5 -0.2 -0.3 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.0 0.5 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.1 0.4 0.0 -1.8 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.5 -0.3 -0.2 -0.0 -0.4 0.2 -0.2 0.4 -0.4 DX -0.5 0.1 0.3 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.4 -0.1 0.5 -0.1 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 -0.0 0.2 -0.0 0.9 -0.5 -0.6 0.4 0.6 0.2 0.2 0.3 0.5 EUR 0.4 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.2 0.2 -0.3 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.2 0.1 2.7 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 0.0 0.3 0.3 0.2 -0.7 -0.6 -0.7 -0.4 EURIBOR-ICE 0.1 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -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 -0.2 -0.1 -0.7 -0.7 0.1 0.3 EUROSTX 0.3 -0.2 0.4 0.1 -0.0 0.2 0.0 0.3 0.0 -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 0.1 -0.3 0.1 -0.0 0.3 0.0 0.4 0.0 0.4 -0.1 -0.3 0.5 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.4 0.1 -0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.2 -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 0.2 -1.0 0.0 0.1 0.0 0.1 0.1 0.1 -1.1 0.4 -0.1 -0.0 -0.1 0.7 0.7 0.7 0.7 GASOIL -0.2 -0.6 -0.1 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.0 0.1 -0.1 0.5 -0.2 -0.2 -0.1 0.3 0.1 0.2 -0.1 0.0 -0.0 0.3 -0.1 0.9 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.0 -0.2 -0.4 -0.4 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.5 -0.6 0.2 -0.0 0.1 0.1 -0.0 0.2 -0.0 -0.0 0.3 -0.1 0.6 -0.2 0.0 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 -0.1 0.2 -0.1 -0.0 -0.2 -0.6 -0.3 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.5 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 -0.4 0.1 -0.7 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 0.1 -0.5 0.2 2.7 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.4 0.6 0.6 -0.6 -0.2 -0.2 -0.5 -0.3 GBP 0.5 0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.2 0.3 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 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.5 0.5 0.4 -0.6 -0.5 -0.6 -0.3 GOLD_micro -0.2 -0.2 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.3 -0.0 0.3 0.0 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.2 -0.0 0.3 0.1 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 -0.2 -0.2 0.2 0.6 -0.3 -0.5 0.0 -0.2 HEATOIL -0.2 -0.6 -0.1 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.1 -0.1 -0.0 0.3 -0.2 -0.2 -0.2 0.3 0.0 0.2 -0.2 -0.1 -0.0 0.2 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.4 -0.4 -0.6 -0.5 0.3 0.2 0.1 0.0 JGB-SGX-mini -0.3 -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 -0.1 -0.1 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.2 -0.6 -0.5 -0.2 -0.6 -0.2 -0.0 0.4 JPY -0.1 -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 -0.2 -0.0 -1.1 -0.2 -0.3 -0.5 -0.5 -0.7 -0.4 -0.6 -0.3 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 -0.2 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 -0.0 -0.4 -0.4 -0.1 0.3 LIVECOW 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.1 0.2 0.0 0.2 0.0 0.4 0.2 0.4 0.3 0.1 0.0 0.2 0.1 0.2 -0.9 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.5 0.1 0.4 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 -0.0 -0.3 -0.1 -0.6 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -0.2 -0.2 -0.0 -0.3 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.6 -0.5 -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 0.1 0.0 0.1 -0.1 0.0 0.1 -0.3 0.1 0.1 0.3 -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 -0.5 -0.7 MXP 0.4 -0.3 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 0.5 0.1 0.7 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.4 0.1 1.1 -0.0 0.5 0.3 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.2 -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 0.2 -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 0.6 0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.2 0.1 0.5 0.0 -2.3 0.0 0.0 0.2 0.0 0.5 0.0 1.1 0.4 -0.5 -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 -0.0 0.2 -0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.3 0.4 0.5 0.5 0.1 -0.1 -0.2 0.1 0.2 OAT 0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.3 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.8 -0.0 -0.2 0.1 0.2 -0.7 -0.6 0.1 -0.1 OATIES 0.1 0.6 0.3 0.0 0.0 0.1 0.1 0.0 0.0 -0.0 -0.1 -0.1 -0.3 0.0 0.0 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 -0.5 0.3 0.3 0.1 -0.3 -0.1 0.1 0.4 OJ 0.6 0.6 0.6 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 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 0.8 0.5 0.6 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD 0.1 -0.1 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 -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 -0.1 -0.3 -0.4 -0.4 -0.7 -0.7 -0.7 -0.5 PLAT 0.6 0.4 0.4 0.0 -0.0 0.1 0.0 0.1 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 -0.0 0.6 0.3 -0.0 -0.7 -0.2 0.2 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 0.2 -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 0.3 0.6 0.6 0.3 -0.4 -0.7 0.0 -0.6 RICE 0.4 0.6 -0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 0.3 0.1 0.4 0.2 0.2 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 -0.1 0.1 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 0.1 -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 -0.4 0.2 0.1 RUSSELL 0.4 -0.1 0.1 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 -0.0 -0.3 0.0 -0.3 -0.2 -0.7 -0.2 -0.7 SHATZ -0.0 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -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 -0.4 -0.3 -0.3 -0.7 -0.7 -0.6 -0.6 SILVER-mini 0.5 0.2 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.2 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 0.5 0.6 0.6 0.6 -0.3 -0.4 0.4 0.2 SMI 0.6 0.1 0.4 0.0 -0.0 0.2 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 0.1 0.3 0.2 2.0 0.1 -0.0 0.2 0.0 0.2 0.1 0.8 0.4 0.4 0.6 0.1 0.4 0.0 0.4 -0.0 SOFR 0.5 -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 0.1 0.2 0.0 -0.0 -0.1 -0.7 0.4 -0.0 SOYBEAN 0.4 0.5 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.0 -0.2 0.1 -0.2 0.1 0.1 0.0 0.2 0.0 0.1 0.1 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 0.0 0.1 -0.1 0.1 0.2 -0.0 0.6 0.1 -0.1 -0.6 -0.7 -0.5 -0.7 SOYMEAL 0.4 0.6 0.3 0.0 0.1 0.1 0.1 0.0 0.1 0.0 -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 0.4 -0.2 0.2 0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.2 0.1 -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 -0.6 -0.3 0.1 SP400 0.3 -0.2 0.3 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.0 0.5 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.2 -0.1 0.4 0.0 -1.9 0.0 -0.0 0.2 -0.0 0.2 0.0 0.0 -0.3 -0.3 -0.0 0.0 -0.2 -0.4 -0.2 -0.7 SP500_micro 0.6 -0.3 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 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 0.1 0.3 0.1 -0.5 0.5 0.2 0.1 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 0.5 0.7 0.7 US10 0.4 -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 0.2 0.0 0.0 -0.4 -0.7 0.1 0.1 US10U 0.4 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -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 0.1 0.2 0.1 0.1 -0.3 -0.6 0.6 0.3 US2 0.3 -0.4 -0.5 -0.0 -0.0 -0.1 -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 -0.4 -0.1 1.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.1 -0.2 -0.3 -0.5 -0.7 -0.3 -0.7 US20 0.5 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -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 0.5 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -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 0.2 0.3 0.1 0.3 -0.6 -0.4 0.4 0.6 US5 0.4 -0.2 -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 -0.1 -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 -0.0 -0.2 VIX -0.8 -0.5 0.4 -0.1 -0.0 -0.3 -0.1 -0.4 -0.1 0.1 -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 0.0 -0.0 0.1 -1.1 0.1 0.6 0.6 0.3 -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 9.7 5.4 3.0 -0.6 2.8 -1.2 2.9 0.8 2.2 -3.2 -1.4 7.1 -7.3 11.9 9.6 -2.7 -2.8 -2.7 -2.7 6.0 1.5 3.1 -2.9 7.5 3.1 3.8 0.9 1.6 1.6 -0.6 4.2 -0.4 -4.0 4.3 15.0 9.1 -8.9 -7.6 -1.9 -0.3 BITCOIN 7.5 -11.7 5.9 5.6 -5.1 4.4 0.2 2.3 4.4 5.5 14.7 16.3 16.6 7.8 10.8 -6.4 -7.2 -7.2 -7.6 11.6 20.0 13.2 20.0 11.7 -20.0 6.1 1.0 11.4 4.2 13.7 4.3 -3.5 20.0 4.1 -20.0 20.0 -11.9 -1.9 9.8 2.7 BOBL 0.6 -9.8 -11.0 -1.6 -2.5 -1.8 -1.6 -1.8 -1.0 -6.4 -6.6 -6.1 -4.9 -7.0 -8.1 13.8 -4.9 8.3 0.2 -7.0 -6.2 -6.9 -5.4 -6.5 4.4 -2.9 -3.3 -2.2 -3.4 -1.7 -3.1 -0.3 -3.5 -9.7 -3.0 -2.1 -20.0 -18.1 -0.5 -10.9 BTP 1.3 -7.5 -2.6 -2.7 -4.2 -3.0 -2.7 -3.1 -1.7 -10.8 9.4 -6.8 9.5 -0.4 -3.6 4.7 5.8 4.8 5.0 -0.1 4.0 -4.2 6.4 -1.8 -20.0 0.9 -5.0 4.4 -3.4 5.9 -1.4 14.9 5.9 -7.4 8.2 18.6 -11.8 -10.0 12.8 2.5 BUND 1.8 -8.6 -7.1 -1.8 -2.8 -2.0 -1.8 -2.0 -1.2 -7.5 -3.4 -6.4 -2.4 -6.8 -8.1 -9.4 -1.4 -8.1 -5.3 -5.4 -4.3 -6.1 -3.9 -5.2 1.8 -2.4 -4.8 -1.2 -4.2 -0.9 -3.2 0.1 -1.7 -8.1 1.0 3.4 -20.0 -20.0 2.6 -9.5 BUXL 0.1 -8.6 -2.7 -2.2 -3.5 -2.4 -2.2 -2.5 -1.4 -9.4 -1.8 -8.6 -2.8 -8.1 -9.0 -8.8 -3.3 -7.6 -5.6 -5.7 -4.0 -6.8 -4.9 -5.9 -2.1 -2.0 -5.8 -0.1 -4.9 -0.4 -3.7 -1.6 -0.5 -10.5 3.9 9.1 -20.0 -20.0 -10.5 -6.9 CAC 8.0 -9.3 10.9 5.6 -3.2 7.4 1.4 7.8 4.5 -19.8 20.0 8.1 20.0 12.4 20.0 -2.7 2.0 5.7 4.6 18.5 20.0 -4.0 20.0 8.8 -13.6 8.4 -6.4 11.2 -1.7 11.1 3.9 16.0 -20.0 -11.5 15.9 16.5 -8.9 7.2 -13.8 10.9 CAD 5.7 -3.0 -5.9 -0.7 3.6 -1.6 3.7 1.0 2.8 4.9 -12.9 4.2 -12.3 -1.1 -10.0 -3.2 -2.5 -2.9 -2.7 -6.1 -8.6 0.4 -8.7 -1.4 -0.9 -3.9 2.8 -5.4 -0.1 -5.3 -1.1 0.0 -10.7 -11.9 -6.1 -5.7 -6.9 -11.7 -0.5 -7.8 CANOLA 16.4 17.3 20.0 3.2 4.6 1.9 5.1 0.2 4.3 7.8 -3.3 10.4 -7.7 10.1 9.6 -14.8 -8.8 -15.2 -13.6 7.9 -0.7 9.2 -9.6 11.0 -20.0 2.8 1.2 -0.6 2.9 -4.3 3.8 -20.0 -2.0 10.6 1.8 2.4 -20.0 -16.3 -5.5 -4.1 CHF 3.9 -8.2 -20.0 -0.7 3.4 -1.5 3.5 1.0 2.7 -15.1 -20.0 -13.5 -15.6 -14.2 -20.0 -17.2 -16.2 -16.8 -16.4 -20.0 -20.0 -12.6 -18.9 -15.2 2.7 -7.6 -2.0 -8.1 -4.5 -4.9 -5.2 -20.0 -20.0 -19.4 -16.4 -20.0 2.0 -15.6 8.8 -12.8 COCOA -20.0 -20.0 -2.8 1.9 2.6 1.1 2.9 0.1 2.5 5.7 3.3 -0.5 4.9 -4.2 1.0 13.3 14.8 19.7 19.7 0.6 5.5 0.9 6.5 -2.8 -15.5 1.4 0.6 3.2 -0.2 3.8 -0.3 20.0 1.3 -17.2 -1.8 20.0 6.8 1.4 11.0 7.8 COFFEE -5.9 -6.4 8.5 4.4 6.2 2.6 6.9 0.2 5.9 13.9 8.6 9.0 8.5 1.3 2.7 5.1 8.2 8.7 9.3 9.7 12.0 20.0 10.0 11.8 -19.3 3.6 4.3 4.4 3.5 3.7 2.5 8.8 20.0 -17.4 20.0 20.0 1.1 -17.2 11.2 -5.9 COPPER -6.2 6.9 20.0 2.8 -2.6 2.2 0.1 1.2 2.2 -5.0 9.7 2.1 6.1 7.2 9.6 4.0 -3.5 -0.1 -2.4 15.0 12.6 3.4 7.4 11.8 -9.6 3.8 -1.7 3.1 1.1 1.9 3.2 3.9 -6.6 8.6 20.0 19.4 -12.3 -2.9 9.9 6.8 CORN 6.6 14.1 15.6 5.5 7.8 3.2 8.7 0.3 7.4 9.6 -5.2 6.9 -17.0 11.6 11.9 -18.4 -11.7 -18.8 -16.7 6.5 -3.3 5.3 -15.2 8.2 -16.0 3.7 4.3 -1.5 3.6 -6.3 5.0 -20.0 -18.5 7.0 5.0 -7.4 -19.7 -20.0 -19.5 -0.6 COTTON2 6.2 -20.0 -12.5 3.0 4.2 1.8 4.7 0.2 4.0 9.4 -7.1 4.9 -4.1 -6.9 -9.0 0.5 3.4 5.9 4.7 -11.1 -8.0 5.6 -3.5 -5.2 -18.5 -2.4 2.2 -0.8 0.7 0.6 -1.7 -0.1 5.3 -11.8 -20.0 -1.2 -7.2 -13.0 6.5 -0.4 CRUDE_W -9.1 -14.2 5.8 -1.7 6.2 2.5 -1.2 4.8 -4.0 18.3 7.7 -0.0 15.5 -16.2 5.3 12.8 12.1 14.0 13.1 -1.2 8.8 4.4 15.0 -6.6 -5.5 -2.0 -6.4 3.5 -6.9 6.9 -6.4 -0.2 -16.7 -13.9 -2.9 4.7 20.0 16.5 20.0 19.0 DAX 14.0 -4.3 12.0 4.8 -2.8 6.4 1.2 6.8 4.0 -17.3 20.0 11.8 20.0 14.1 18.2 -10.7 -11.5 -11.5 -12.0 20.0 20.0 5.3 20.0 15.6 13.6 8.0 -1.6 10.4 1.1 9.7 4.5 -9.7 -3.2 -4.0 16.0 20.0 0.2 6.3 0.0 14.0 DOW 14.8 -7.0 -8.7 3.7 -2.1 4.9 0.9 5.2 3.0 -15.3 13.6 2.1 14.0 5.4 3.8 -11.4 -11.2 -11.8 -11.8 6.5 10.5 -10.9 15.0 3.7 -13.2 3.7 -8.5 5.3 -1.2 7.0 3.2 -9.2 -12.9 -6.9 -0.6 -11.4 5.6 -5.8 11.1 -11.9 DX -15.2 3.8 8.1 -0.7 3.5 -1.5 3.6 1.0 2.7 -2.6 14.6 -12.7 13.3 -6.0 9.4 7.2 6.7 7.3 7.0 5.2 11.6 -7.2 11.4 -5.3 -20.0 2.3 -2.7 4.9 -3.5 4.9 -2.5 16.2 -20.0 -20.0 13.6 20.0 7.1 7.0 9.9 15.6 EUR 13.7 -0.0 -3.1 -0.7 3.6 -1.6 3.7 1.0 2.8 6.6 -7.3 15.3 -9.1 15.5 0.0 -7.4 -6.9 -7.2 -6.9 1.8 -4.6 8.8 -5.8 9.3 20.0 2.8 4.0 -0.0 5.5 -0.9 6.2 -7.4 0.5 9.2 9.9 7.2 -20.0 -17.6 -20.0 -13.3 EURIBOR-ICE 2.3 -15.3 -16.3 -1.5 -2.3 -1.7 -1.5 -1.7 -1.0 -6.7 -1.1 -5.9 0.6 -6.3 -7.2 -6.8 -4.6 -5.4 -4.4 -6.2 -3.7 -7.1 -0.9 -6.1 11.8 -2.6 -3.3 -1.3 -3.2 -0.0 -2.7 -1.9 -5.4 -8.3 -5.8 -2.6 -20.0 -20.0 2.2 9.6 EUROSTX 10.4 -7.5 12.8 5.2 -3.0 6.9 1.3 7.3 4.2 -16.4 20.0 13.5 20.0 15.1 20.0 -8.3 -1.3 -5.6 -2.8 20.0 20.0 3.8 20.0 13.1 -1.9 8.7 -1.5 12.3 0.9 12.5 4.5 7.6 -4.9 -10.1 16.2 20.0 -14.8 5.5 -20.0 9.0 FEEDCOW 12.8 2.9 -5.6 5.7 8.2 3.4 9.1 0.3 7.8 18.0 -0.2 17.5 -2.7 13.8 -0.1 -20.0 -20.0 -20.0 -20.0 2.9 -2.6 20.0 -0.6 15.8 -7.2 1.6 6.4 0.0 8.9 2.2 5.8 -20.0 16.6 -3.6 -0.8 -4.1 20.0 20.0 20.0 20.0 GASOIL -6.9 -19.5 -1.6 -1.6 5.7 2.3 -1.1 4.4 -3.7 4.9 3.8 -6.8 14.5 -20.0 -14.5 -3.5 16.1 4.2 10.9 -11.3 0.3 -4.4 12.4 -13.2 7.0 -5.1 4.2 -0.4 -1.7 4.2 -5.6 2.5 1.6 -4.9 -12.7 -11.0 -16.5 -10.4 -20.0 -20.0 GASOLINE -14.4 -18.8 7.5 -1.6 5.7 2.3 -1.1 4.5 -3.7 -0.0 12.0 -10.2 16.4 -18.5 2.7 18.4 13.7 17.7 12.9 -4.5 8.4 -6.6 15.2 -12.9 -20.0 -2.6 -4.3 3.0 -6.1 6.5 -6.7 -0.0 -9.9 -20.0 -8.8 6.7 20.0 20.0 20.0 20.0 GAS_US_mini 20.0 20.0 16.2 -1.2 4.5 1.8 -0.9 3.5 -2.9 0.5 -15.3 11.8 -18.3 13.7 3.0 -20.0 -20.0 -20.0 -20.0 7.8 -8.2 15.0 -20.0 17.9 20.0 2.7 2.3 -3.0 8.4 -6.0 7.8 -20.0 16.8 20.0 20.0 -20.0 -7.4 -5.6 -14.8 -10.5 GBP 15.8 0.4 -3.8 -0.8 3.7 -1.6 3.9 1.1 2.9 20.0 9.6 20.0 5.2 20.0 3.6 -1.1 -0.8 -1.0 -0.8 7.7 2.2 20.0 3.1 18.4 1.4 5.4 8.7 3.1 10.9 2.7 9.7 3.0 20.0 16.2 16.6 13.4 -18.6 -16.2 -18.1 -8.0 GOLD_micro -6.4 -5.1 19.8 3.1 -2.8 2.4 0.1 1.3 2.4 -5.4 10.6 -1.0 9.7 3.7 9.6 -11.5 -14.1 -12.8 -13.6 11.6 14.4 -2.3 11.6 4.8 -3.3 3.6 -3.5 4.5 -0.7 3.8 1.5 -14.7 -8.5 -6.9 5.0 19.4 -7.9 -14.1 1.2 -6.5 HEATOIL -6.8 -18.1 -3.1 -1.6 5.9 2.4 -1.2 4.6 -3.9 11.2 -4.7 -4.4 8.6 -20.0 -18.1 -8.1 15.6 0.3 8.5 -15.1 -4.8 -3.2 7.1 -15.5 -20.0 -5.9 -6.3 -1.1 -6.1 4.1 -7.4 0.2 -17.1 -11.7 -19.5 -14.6 9.0 5.8 1.8 1.0 JGB-SGX-mini -10.1 -19.9 -15.4 -2.1 -3.3 -2.3 -2.1 -2.4 -1.4 -10.3 -1.7 -11.2 2.0 -11.5 -11.3 19.9 17.1 18.3 16.5 -12.8 -8.0 -12.3 -1.9 -13.4 -10.0 -4.0 -3.3 -2.9 -3.7 -1.5 -4.0 20.0 -7.0 -18.7 -15.1 -4.7 -17.3 -7.2 -0.3 12.5 JPY -4.2 -1.6 -2.6 -0.3 1.5 -0.7 1.6 0.4 1.2 -9.2 -10.2 -9.2 -10.5 -9.1 -9.7 -13.9 -16.3 -15.4 -15.9 -10.9 -12.8 -6.3 -14.7 -8.1 20.0 -3.6 -1.4 -4.0 -1.8 -4.3 -2.5 -20.0 -9.1 -8.1 -15.1 -15.3 -20.0 -10.9 -18.5 -10.5 LEANHOG -20.0 -14.8 14.4 7.2 10.2 4.2 11.3 0.4 9.7 -20.0 8.3 -20.0 -2.6 -20.0 -9.6 -5.7 -20.0 -20.0 -20.0 -15.5 1.5 -20.0 -0.4 -20.0 8.6 -4.4 -10.2 1.9 -11.4 1.5 -10.0 -20.0 -20.0 -20.0 -20.0 -0.1 -11.4 -10.5 -4.1 9.1 LIVECOW 18.4 4.1 0.2 5.8 8.2 3.4 9.1 0.3 7.8 18.2 2.9 19.8 0.7 15.1 3.7 19.9 8.3 20.0 15.7 8.9 2.1 20.0 2.0 20.0 -7.1 4.7 9.3 2.8 11.5 3.8 8.5 13.4 20.0 15.0 4.3 13.5 20.0 20.0 20.0 20.0 LUMBER-new 5.2 -20.0 -11.2 5.8 8.3 3.5 9.2 0.7 7.9 -1.6 -10.5 -5.5 -13.5 -14.3 -15.3 -19.8 -17.9 -20.0 -19.3 -20.0 -17.3 -3.6 -9.9 -13.7 NaN -5.7 -1.3 -4.2 -1.2 -1.9 -3.6 -20.0 -20.0 -14.6 -20.0 -20.0 -13.8 -10.9 -5.4 -6.8 MILK 19.2 20.0 20.0 3.9 5.5 2.3 6.1 0.2 5.2 -10.2 0.2 8.2 -9.0 12.4 11.5 16.5 -20.0 -8.3 -20.0 17.9 5.4 8.2 -8.4 19.3 15.2 3.8 0.8 0.9 2.6 -2.2 4.5 -20.0 -0.6 20.0 20.0 6.6 -19.6 -20.0 -16.2 -20.0 MXP 11.0 -8.5 -2.2 -0.7 3.5 -1.5 3.6 1.0 2.7 -13.3 18.4 10.2 20.0 7.8 10.2 16.3 17.1 16.8 16.7 13.3 18.0 5.3 20.0 12.0 -20.0 6.2 -3.8 8.2 2.0 11.2 5.1 20.0 -0.5 15.2 8.5 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 20.0 -6.6 -5.8 3.2 -1.8 4.3 0.8 4.5 2.6 13.2 13.6 14.5 14.3 13.6 11.4 -10.6 -10.4 -10.7 -10.7 12.3 13.5 18.8 19.0 17.9 -20.0 3.4 4.2 4.7 5.9 7.5 5.1 -7.5 20.0 10.3 5.6 -6.2 -0.8 1.1 -1.2 1.1 NIKKEI 4.6 -20.0 -4.5 3.9 -2.2 5.2 1.0 5.5 3.2 7.2 12.3 11.0 15.4 1.6 4.2 1.6 8.5 3.3 5.9 5.2 16.1 6.1 20.0 4.0 -17.0 2.3 1.7 8.0 2.5 12.9 1.5 20.0 18.3 -15.4 -12.1 3.4 -6.4 -7.1 -6.3 -9.6 NZD 19.1 4.6 -4.9 -0.5 2.6 -1.1 2.7 0.7 2.0 13.9 -1.8 15.2 -4.2 13.7 2.7 0.0 0.2 0.1 0.2 5.2 -0.9 13.6 -3.0 13.0 1.0 2.7 5.3 0.0 6.4 -0.7 6.1 4.7 14.7 16.3 15.5 3.5 -2.5 -4.9 3.3 6.4 OAT 2.7 -8.5 -7.0 -2.0 -3.0 -2.2 -2.0 -2.2 -1.3 -8.1 -1.3 -6.4 -0.7 -5.4 -7.6 5.7 6.1 5.6 5.5 -4.7 -3.2 -5.8 -2.4 -4.5 2.2 -2.2 -5.9 -0.6 -4.6 0.0 -3.1 15.5 -0.3 -7.4 2.9 5.4 -20.0 -18.7 3.7 -2.0 OATIES 3.1 20.0 9.7 3.2 4.5 1.9 5.0 0.2 4.3 -2.7 -3.6 -5.2 -7.9 3.1 4.2 9.2 2.6 10.2 6.8 4.9 0.5 -0.8 -3.4 3.4 -20.0 2.4 -0.5 0.9 -0.1 -0.4 2.1 0.7 -20.0 8.2 9.6 3.9 -9.5 -1.6 3.6 13.2 OJ 20.0 20.0 18.2 6.9 9.8 4.1 10.9 0.4 9.3 20.0 18.5 20.0 20.0 20.0 20.0 18.2 13.4 11.5 10.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.4 10.1 4.9 12.8 6.2 11.5 14.5 20.0 20.0 20.0 20.0 4.2 8.9 16.5 20.0 PALLAD 3.3 -1.9 10.4 2.6 -2.4 2.1 0.1 1.1 2.1 -3.8 -4.2 0.4 -8.2 -3.9 0.4 -2.8 -2.2 -2.4 -2.2 -1.5 -3.8 -1.4 -10.1 -1.0 14.4 -0.4 -5.2 -1.4 -1.4 -4.1 -0.3 5.6 -4.9 -8.5 -13.6 -11.5 -20.0 -20.0 -20.0 -14.3 PLAT 18.9 13.2 12.3 3.4 -3.1 2.7 0.1 1.4 2.7 0.9 5.1 6.4 -4.6 8.4 8.5 -4.9 -3.9 -4.8 -4.4 12.9 7.0 10.7 1.5 15.0 9.7 4.0 -1.2 2.4 2.3 1.1 4.4 2.1 -0.8 19.1 10.1 -0.1 -20.0 -7.3 6.6 6.2 REDWHEAT 15.3 20.0 20.0 4.6 6.5 2.7 7.3 0.2 6.2 15.0 4.4 16.1 -11.2 16.0 14.2 -10.9 -1.9 -6.5 -3.7 20.0 7.3 20.0 -7.1 20.0 -6.7 5.0 4.9 1.7 5.5 -1.2 6.1 -10.9 11.1 20.0 20.0 8.3 -11.3 -20.0 0.6 -18.9 RICE 12.0 20.0 -1.5 4.7 6.7 2.8 7.4 0.2 6.3 -3.4 11.3 10.4 11.9 16.9 14.3 20.0 20.0 20.0 20.0 17.7 13.4 8.3 11.9 17.5 -11.3 3.5 1.3 1.9 3.1 1.5 4.3 20.0 -5.2 1.9 20.0 -0.4 -5.8 -4.6 -3.6 1.0 ROBUSTA -20.0 -20.0 -11.3 2.3 3.3 1.4 3.7 0.1 3.1 7.4 5.9 3.5 7.2 -0.5 2.2 14.6 20.0 19.0 20.0 5.9 10.4 14.5 11.7 5.5 -20.0 2.4 2.8 3.7 2.0 4.1 1.3 20.0 18.7 -11.3 14.9 20.0 -3.7 -13.0 5.2 4.0 RUSSELL 12.1 -4.3 4.4 3.7 -2.1 4.9 0.9 5.2 3.0 -9.1 12.3 6.3 11.3 6.7 4.3 -7.3 -6.6 -7.0 -6.8 5.6 7.2 -1.1 7.6 5.4 -2.1 3.5 -4.1 4.2 0.3 4.6 3.3 -0.7 -1.5 -7.9 0.8 -10.7 -5.8 -20.0 -7.0 -20.0 SHATZ -0.6 -11.1 -17.7 -1.6 -2.5 -1.8 -1.6 -1.8 -1.0 -6.3 -8.8 -6.8 -8.6 -7.8 -8.8 -20.0 -20.0 -20.0 -20.0 -10.9 -11.5 -8.6 -11.6 -9.1 7.6 -3.3 -2.3 -3.1 -2.8 -2.6 -3.0 -20.0 -6.8 -13.1 -8.8 -10.8 -20.0 -20.0 -18.6 -17.3 SILVER-mini 14.4 7.6 20.0 3.0 -2.7 2.4 0.1 1.2 2.4 7.9 9.1 8.6 6.2 9.2 9.8 -6.2 -6.7 -6.5 -6.6 15.5 11.5 17.5 6.6 17.9 2.2 3.9 0.4 3.3 3.2 2.1 4.1 -2.1 20.0 18.3 17.4 17.6 -9.2 -13.3 12.4 4.6 SMI 20.0 4.0 11.6 4.3 -2.5 5.6 1.1 6.0 3.5 -9.2 17.2 14.8 14.5 15.9 15.5 -2.9 2.9 -1.0 1.4 20.0 18.3 14.2 12.7 20.0 14.9 6.9 -2.1 6.1 3.1 4.5 6.5 14.9 17.8 13.5 20.0 4.6 10.7 0.2 12.3 -1.1 SOFR 15.3 -5.5 -10.9 -2.2 -3.4 -2.4 -2.2 -2.4 -1.4 -10.6 -3.0 0.1 -4.1 -0.2 -6.2 -3.9 -1.0 -2.8 -1.7 -4.3 -6.7 -4.0 -6.4 -0.4 -2.7 -0.9 -2.5 -1.6 0.3 -1.4 1.0 3.6 3.6 7.7 0.3 -0.2 -3.9 -20.0 12.1 -0.6 SOYBEAN 11.8 14.8 8.3 5.7 8.1 3.4 9.0 0.3 7.7 5.2 -6.8 11.8 -5.7 13.0 12.3 1.3 8.7 1.0 3.7 9.3 -1.6 8.5 -8.8 13.2 -20.0 4.5 4.6 0.4 5.8 -1.9 6.5 4.3 -1.9 17.3 3.6 -2.8 -17.1 -20.0 -14.4 -20.0 SOYMEAL 11.6 20.0 8.0 4.1 5.9 2.4 6.5 0.2 5.6 0.6 -7.7 6.1 -9.0 8.7 6.8 5.0 6.0 0.8 1.6 10.8 0.3 7.7 -6.0 13.1 -20.0 3.7 3.6 0.8 3.3 -0.7 4.4 0.1 1.2 20.0 20.0 1.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 13.3 -5.8 6.7 2.9 4.2 1.7 4.6 0.2 4.0 3.5 -8.6 5.2 -8.8 -3.1 -5.1 -5.9 -0.7 -6.5 -4.9 -4.3 -7.1 3.4 -8.5 0.1 -20.0 -1.9 -0.3 -2.2 1.0 -2.1 -0.5 -11.2 -0.8 -5.1 -19.4 -6.9 -20.0 -16.7 -8.1 2.0 SP400 10.2 -7.7 9.8 3.9 -2.3 5.2 1.0 5.5 3.2 -15.5 14.6 3.5 14.2 6.1 8.3 -7.8 -5.7 -6.6 -6.0 9.6 15.0 -6.5 16.4 4.5 -13.9 4.4 -5.0 6.3 -0.8 6.8 2.8 0.7 -10.5 -8.6 -1.3 0.3 -6.0 -10.8 -5.4 -20.0 SP500_micro 20.0 -8.2 2.6 4.1 -2.4 5.4 1.0 5.8 3.3 -2.3 17.7 15.3 17.9 15.5 14.8 -12.3 -11.9 -12.4 -12.4 16.7 20.0 12.8 20.0 17.9 -20.0 5.3 1.2 7.4 4.8 9.5 5.7 -10.1 19.3 6.8 4.6 3.8 2.3 -1.8 6.1 -1.8 SUGAR11 -2.3 -20.0 -20.0 4.3 6.1 2.5 6.8 0.2 5.8 10.0 -14.3 -10.1 -4.7 -14.3 -14.7 0.2 13.2 4.5 9.0 -20.0 -19.6 -8.4 -9.8 -17.9 -20.0 -5.4 -1.7 -4.7 -3.5 -2.3 -4.9 13.3 -20.0 -20.0 -20.0 -20.0 20.0 13.7 20.0 20.0 US10 13.4 -5.3 -7.8 -1.9 -2.9 -2.1 -1.9 -2.1 -1.2 -9.2 -3.5 -0.5 -5.8 -0.7 -5.7 -5.1 -7.2 -5.8 -6.6 -4.1 -6.4 -4.1 -8.2 -1.0 2.7 -0.9 -2.0 -1.6 0.0 -2.1 0.6 -6.4 2.5 5.1 0.9 0.5 -10.6 -20.0 3.0 2.2 US10U 13.7 -5.3 -7.7 -2.8 -4.4 -3.1 -2.8 -3.2 -1.8 -13.6 -4.8 0.4 -8.2 -0.8 -8.7 -5.8 -2.1 -4.9 -3.4 -5.9 -9.7 -5.1 -12.9 -1.0 0.4 -1.0 -2.7 -2.2 0.6 -3.1 1.3 1.2 4.8 7.4 2.4 2.7 -10.4 -17.5 18.1 9.4 US2 7.9 -11.0 -16.9 -1.8 -2.8 -2.0 -1.8 -2.0 -1.2 -9.0 -8.2 -5.5 -9.1 -5.6 -8.2 -20.0 -20.0 -20.0 -20.0 -9.3 -11.6 -8.7 -13.5 -6.2 13.2 -2.6 -4.5 -2.8 -2.5 -2.9 -1.6 -20.0 -7.2 -3.2 -5.5 -8.7 -14.2 -20.0 -8.9 -20.0 US20 15.9 -4.6 -4.5 -2.1 -3.2 -2.2 -2.0 -2.3 -1.3 -9.1 -0.3 1.9 -3.7 1.4 -4.6 -0.5 -0.7 -0.4 -0.4 -2.4 -4.9 -2.3 -7.5 1.1 -1.0 0.5 -0.3 -0.4 1.9 -1.4 2.2 4.8 8.0 8.9 4.4 6.2 -14.7 -13.1 20.0 14.7 US30 15.0 -4.8 -3.9 -2.4 -3.7 -2.6 -2.4 -2.7 -1.5 -10.8 -2.0 2.5 -5.8 0.5 -6.0 -2.2 -4.8 -3.2 -4.4 -3.4 -6.4 -2.4 -9.8 0.8 -0.4 0.2 -0.4 -0.9 2.2 -2.1 2.4 -2.4 8.2 8.5 4.5 7.9 -17.7 -11.9 12.5 17.1 US5 12.8 -6.7 -11.7 -2.0 -3.0 -2.1 -2.0 -2.2 -1.2 -9.7 -6.8 -2.1 -7.8 -2.6 -7.1 -10.2 -10.1 -9.9 -9.9 -5.8 -8.3 -5.6 -9.7 -2.5 6.1 -1.6 -3.1 -2.2 -0.9 -2.3 -0.1 -11.7 -0.8 3.3 -1.4 -3.2 -9.5 -20.0 -0.8 -7.2 VIX -15.0 -9.0 7.2 -6.6 -2.0 -6.3 -4.4 -7.6 -6.5 9.1 -20.0 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.3 -20.0 -20.0 NaN -7.4 -2.6 -7.2 -5.6 -9.1 -7.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 19.7 20.0 20.0 4.2 6.0 2.5 6.6 0.2 5.7 13.6 7.6 14.7 -8.7 14.7 13.3 -15.2 -13.8 -16.4 -15.3 20.0 9.0 20.0 -4.5 20.0 1.0 4.6 2.8 1.9 4.6 -0.5 5.6 -20.0 3.2 20.0 20.0 8.2 -9.8 -20.0 -4.1 -20.0 End of report for caleb_strategy_v3