******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240716_203935 produced at 2024-07-16 21:38:29.783867 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.01 -0.30 -0.39 0.0 999.00 -999.00 -0.30 -0.30 -72.27 999999999.0 -56 -56 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -4.18 24.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.09 -0.09 0.0 0.56 -0.56 -0.09 -0.09 -2.10 13.0 -2 -2 caleb_strategy_v3 CAD False False 0.02 0.00 -0.06 0.0 0.65 -0.65 0.00 0.00 -2.75 29.0 0 0 caleb_strategy_v3 JPY False False 0.02 -0.12 -0.06 0.0 0.41 -0.41 -0.12 -0.10 -2.66 17.0 -5 -4 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.06 0.0 0.74 -0.74 0.00 -0.04 -1.43 19.0 0 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -22.76 59.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.08 -0.05 0.0 0.11 -0.11 -0.08 -0.06 -5.86 13.0 -9 -7 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.05 0.0 0.07 -0.07 -0.06 -0.06 -7.88 12.0 -9 -9 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.04 0.0 0.42 -0.42 -0.04 -0.04 -0.97 10.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.61 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.04 0.0 0.14 -0.14 -0.01 -0.01 -16.13 51.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.10 -0.10 -0.06 -0.06 -1.17 3.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.03 0.0 0.32 -0.32 0.00 0.00 -0.64 8.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.03 0.0 0.12 -0.12 -0.07 -0.07 -2.59 11.0 -6 -6 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.03 0.0 0.00 -0.02 -0.02 -0.02 -16.16 26.0 -11 -10 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.02 -1.85 8.0 -3 -2 caleb_strategy_v3 LUMBER-new False True 0.00 -0.01 -0.02 0.0 0.00 -0.01 -0.01 -0.01 -4.65 3.0 -2 -2 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.90 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -1.82 9.0 -3 -3 caleb_strategy_v3 DX False False 0.03 0.10 -0.02 0.0 999.00 -999.00 0.10 0.03 -0.62 999999999.0 3 1 caleb_strategy_v3 BTP False False 0.04 -0.08 -0.02 0.0 0.39 -0.39 -0.08 -0.08 -0.56 10.0 -2 -2 caleb_strategy_v3 US2 False True 0.06 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.33 13.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.11 -0.11 -0.06 -0.08 -1.48 7.0 -4 -5 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 -0.01 -1.87 9.0 0 -1 caleb_strategy_v3 BUND False False 0.04 0.00 -0.01 0.0 0.44 -0.44 0.00 -0.04 -0.32 10.0 0 -1 caleb_strategy_v3 BUXL False False 0.04 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.04 -0.25 4.0 -2 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -0.70 10.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.30 4.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.01 0.0 0.33 -0.33 -0.05 -0.03 -0.61 20.0 -3 -2 caleb_strategy_v3 US30 False False 0.04 0.04 0.00 0.0 0.23 -0.23 0.04 0.04 0.05 6.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 -0.00 0.0 0.12 -0.12 0.02 0.01 -0.07 18.0 3 1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.05 2.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.55 -0.55 0.00 0.00 0.13 26.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.39 5.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.51 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.23 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.00 0.0 0.39 -0.39 0.02 0.00 -0.25 21.0 1 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.03 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 0.01 0.0 0.24 -0.24 -0.05 -0.02 4.13 68.0 -15 -6 caleb_strategy_v3 US10U False False 0.04 0.11 0.01 0.0 0.46 -0.46 0.11 0.11 0.33 13.0 3 3 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.31 -0.31 0.00 0.00 0.81 23.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.06 0.01 0.0 0.44 -0.44 -0.06 -0.03 0.21 16.0 -2 -1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.28 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.09 0.01 0.0 0.29 -0.29 0.09 0.06 0.86 23.0 7 5 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 0.01 0.0 0.81 -0.81 -0.65 -0.24 0.08 10.0 -8 -3 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.42 -0.42 0.00 0.03 1.50 66.0 0 5 caleb_strategy_v3 US5 False False 0.03 0.03 0.01 0.0 0.82 -0.82 0.03 0.03 0.22 25.0 1 1 caleb_strategy_v3 COFFEE False False 0.03 0.03 0.01 0.0 0.17 -0.17 0.03 0.00 0.25 6.0 1 0 caleb_strategy_v3 US10 False False 0.03 0.00 0.01 0.0 0.58 -0.58 0.00 0.00 0.23 17.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.80 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.14 0.02 0.0 0.36 -0.36 0.14 0.14 2.81 58.0 22 22 caleb_strategy_v3 COPPER False False 0.03 0.07 0.02 0.0 999.00 -999.00 0.07 0.03 0.53 999999999.0 2 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.06 -0.06 0.02 0.02 0.81 3.0 1 1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 0.03 0.0 0.42 -0.42 -0.01 0.00 3.40 56.0 -1 0 caleb_strategy_v3 MXP False False 0.01 0.03 0.04 0.0 0.51 -0.51 0.03 0.03 5.22 60.0 3 4 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.04 0.0 999.00 -999.00 0.12 0.12 1.39 999999999.0 4 4 caleb_strategy_v3 EUR False False 0.04 0.00 0.04 0.0 0.58 -0.58 0.00 0.00 1.05 14.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.06 0.06 0.0 0.42 -0.42 0.06 0.03 6.36 48.0 7 3 caleb_strategy_v3 AUD False False 0.02 0.21 0.07 0.0 0.39 -0.39 0.21 0.21 3.35 19.0 10 10 caleb_strategy_v3 GBP False False 0.02 0.02 0.10 0.0 0.54 -0.54 0.02 0.07 4.13 22.0 1 3 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.11 0.0 0.38 -0.38 0.18 0.18 4.93 17.0 8 8 caleb_strategy_v3 SMI False True 0.04 0.00 0.12 0.0 0.00 0.00 0.00 0.00 2.88 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.12 0.15 0.0 0.12 -0.12 0.12 0.12 6.32 5.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.24 0.16 0.0 0.29 -0.29 0.24 0.21 19.65 36.0 30 26 caleb_strategy_v3 SOFR False True 0.07 0.00 0.61 0.0 0.00 0.00 0.00 0.00 8.33 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.9 Shocked risk 58.4 Sum abs risk 43.8 Leverage 3.15 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3276261.52, 'annual_cash_vol_target': 819065.38, 'daily_cash_vol_target': 51191.58625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6744 0.5110 8.1767 BITCOIN 1832.3580 65455.0000 2.7994 44.7907 BOBL 0.2600 116.7800 0.2226 3.5619 BTP 0.5643 118.5100 0.4761 7.6181 BUND 0.5410 132.5300 0.4082 6.5315 BUXL 1.3182 132.3400 0.9961 15.9373 CAC 68.6411 7617.5000 0.9011 14.4176 CAD 0.0024 0.7323 0.3344 5.3504 CANOLA 7.8681 620.9000 1.2672 20.2753 CHF 0.0044 1.1265 0.3919 6.2707 COCOA 290.6726 6883.0000 4.2231 67.5688 COFFEE 4.7537 242.1500 1.9631 31.4101 COPPER 0.0612 4.4545 1.3730 21.9682 CORN 6.3245 409.2500 1.5454 24.7262 COTTON2 1.0526 71.3000 1.4762 23.6197 CRUDE_W 0.8967 77.1600 1.1622 18.5945 DAX 142.1341 18703.0000 0.7600 12.1593 DOW 242.3575 41251.0000 0.5875 9.4003 DX 0.3382 103.9650 0.3253 5.2045 EUR 0.0041 1.0929 0.3731 5.9696 EURIBOR-ICE 0.0498 97.6100 0.0511 0.8171 EUROSTX 44.6640 4991.0000 0.8949 14.3183 FEEDCOW 1.7647 259.2500 0.6807 10.8909 GASOIL 10.4791 762.7500 1.3739 21.9817 GASOLINE 0.0305 2.2543 1.3517 21.6277 GAS_US_mini 0.0922 2.2000 4.1890 67.0234 GBP 0.0055 1.2974 0.4236 6.7782 GOLD_micro 21.3000 2470.4000 0.8622 13.7953 HEATOIL 0.0331 2.4998 1.3244 21.1910 JGB-SGX-mini 0.2401 143.4300 0.1674 2.6787 JPY 0.0000 0.0064 0.6345 10.1525 LEANHOG 1.3223 72.2250 1.8308 29.2931 LIVECOW 1.1685 184.5750 0.6331 10.1289 LUMBER-new 9.4077 466.0000 2.0188 32.3010 MILK 0.2711 20.3500 1.3322 21.3153 MXP 0.0005 0.0561 0.8931 14.2889 NASDAQ_micro 150.9280 20587.5000 0.7331 11.7297 NIKKEI 371.2993 41485.0000 0.8950 14.3203 NZD 0.0035 0.6048 0.5718 9.1489 OAT 0.5249 125.2000 0.4193 6.7083 OATIES 6.4994 308.5000 2.1068 33.7082 OJ 8.5927 446.3500 1.9251 30.8017 PALLAD 23.5049 959.0000 2.4510 39.2156 PLAT 15.5009 1015.2000 1.5269 24.4300 REDWHEAT 11.3222 565.5000 2.0022 32.0345 RICE 0.1491 14.6400 1.0184 16.2939 ROBUSTA 77.6671 4397.0000 1.7664 28.2619 RUSSELL 25.5443 2279.6000 1.1206 17.9290 SHATZ 0.0857 105.7900 0.0810 1.2962 SILVER-mini 0.5402 32.0875 1.6837 26.9385 SMI 76.3273 12312.0000 0.6199 9.9191 SOFR 0.0633 96.5600 0.0656 1.0492 SOYBEAN 12.2351 1044.5000 1.1714 18.7421 SOYMEAL 4.3758 311.0000 1.4070 22.5119 SOYOIL 0.7873 44.8700 1.7547 28.0752 SP400 27.2787 3135.0000 0.8701 13.9221 SP500_micro 27.0304 5713.0000 0.4731 7.5702 SUGAR11 0.2982 20.0200 1.4896 23.8332 US10 0.3861 111.3281 0.3468 5.5489 US10U 0.5436 115.0469 0.4725 7.5598 US2 0.0921 102.6094 0.0898 1.4361 US20 0.8451 120.2500 0.7028 11.2440 US30 1.2941 127.8125 1.0125 16.2004 US5 0.2427 107.5938 0.2255 3.6085 VIX 0.3497 17.6000 1.9868 31.7887 WHEAT 11.1861 554.2500 2.0182 32.2918 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.40 0.51 344.65 1.00 344.65 51191.59 148.53 8.70 129.21 BITCOIN 65.46 2.80 183.24 1.00 183.24 51191.59 279.38 -7.52 -210.15 BOBL 1167.80 0.22 259.97 1.09 283.23 51191.59 180.75 -7.79 -140.72 BTP 1185.10 0.48 564.27 1.09 614.74 51191.59 83.27 -1.97 -16.37 BUND 1325.30 0.41 541.01 1.09 589.40 51191.59 86.85 -3.59 -31.20 BUXL 1323.40 1.00 1318.22 1.09 1436.13 51191.59 35.65 -7.04 -25.10 CAC 761.75 0.90 686.41 1.09 747.81 51191.59 68.46 -6.89 -47.20 CAD 732.30 0.33 244.88 1.00 244.88 51191.59 209.05 -5.06 -105.80 CANOLA 124.18 1.27 157.36 0.73 115.24 51191.59 444.23 -14.92 -662.96 CHF 1408.12 0.39 551.87 1.00 551.87 51191.59 92.76 -8.71 -80.77 COCOA 688.30 4.22 2906.73 1.00 2906.73 51191.59 17.61 3.33 5.87 COFFEE 908.06 1.96 1782.65 1.00 1782.65 51191.59 28.72 7.44 21.36 COPPER 1113.63 1.37 1529.02 1.00 1529.02 51191.59 33.48 1.45 4.86 CORN 204.62 1.55 316.22 1.00 316.22 51191.59 161.88 -20.00 -323.77 COTTON2 356.50 1.48 526.28 1.00 526.28 51191.59 97.27 -12.42 -120.79 CRUDE_W 771.60 1.16 896.72 1.00 896.72 51191.59 57.09 10.23 58.40 DAX 187.03 0.76 142.13 1.09 154.85 51191.59 330.59 2.49 82.24 DOW 206.26 0.59 121.18 1.00 121.18 51191.59 422.45 1.52 64.40 DX 1039.65 0.33 338.18 1.00 338.18 51191.59 151.37 -1.58 -23.96 EUR 1366.06 0.37 509.68 1.00 509.68 51191.59 100.44 4.02 40.35 EURIBOR-ICE 2440.25 0.05 124.62 1.09 135.76 51191.59 377.06 0.06 2.33 EUROSTX 499.10 0.89 446.64 1.09 486.59 51191.59 105.20 -1.71 -17.99 FEEDCOW 1296.25 0.68 882.33 1.00 882.33 51191.59 58.02 -3.31 -19.21 GASOIL 762.75 1.37 1047.91 1.00 1047.91 51191.59 48.85 -1.43 -6.98 GASOLINE 946.81 1.35 1279.83 1.00 1279.83 51191.59 40.00 8.02 32.06 GAS_US_mini 55.00 4.19 230.39 1.00 230.39 51191.59 222.19 -6.72 -149.27 GBP 810.88 0.42 343.52 1.00 343.52 51191.59 149.02 10.68 159.15 GOLD_micro 247.04 0.86 213.00 1.00 213.00 51191.59 240.34 4.15 99.69 HEATOIL 1049.92 1.32 1390.55 1.00 1390.55 51191.59 36.81 -7.33 -26.97 JGB-SGX-mini 143430.00 0.17 24012.61 0.01 152.06 51191.59 336.66 0.06 1.96 JPY 796.62 0.63 505.49 1.00 505.49 51191.59 101.27 -10.13 -102.63 LEANHOG 288.90 1.83 528.92 1.00 528.92 51191.59 96.78 -9.96 -96.40 LIVECOW 738.30 0.63 467.39 1.00 467.39 51191.59 109.53 13.58 148.74 LUMBER-new 128.15 2.02 258.71 1.00 258.71 51191.59 197.87 -10.97 -217.14 MILK 407.00 1.33 542.21 1.00 542.21 51191.59 94.41 -1.92 -18.13 MXP 280.55 0.89 250.55 1.00 250.55 51191.59 204.32 1.74 35.54 NASDAQ_micro 411.75 0.73 301.86 1.00 301.86 51191.59 169.59 2.19 37.15 NIKKEI 41485.00 0.90 37129.93 0.01 235.12 51191.59 217.73 8.34 181.48 NZD 604.85 0.57 345.86 1.00 345.86 51191.59 148.01 -0.65 -9.59 OAT 1252.00 0.42 524.93 1.09 571.88 51191.59 89.51 -3.18 -28.48 OATIES 154.25 2.11 324.97 1.00 324.97 51191.59 157.53 -10.19 -160.49 OJ 669.52 1.93 1288.91 1.00 1288.91 51191.59 39.72 9.49 37.69 PALLAD 959.00 2.45 2350.49 1.00 2350.49 51191.59 21.78 -0.38 -0.84 PLAT 507.60 1.53 775.04 1.00 775.04 51191.59 66.05 1.04 6.88 REDWHEAT 282.75 2.00 566.11 1.00 566.11 51191.59 90.43 -15.42 -139.43 RICE 292.80 1.02 298.18 1.00 298.18 51191.59 171.68 -1.22 -21.01 ROBUSTA 439.70 1.77 776.67 1.00 776.67 51191.59 65.91 10.52 69.34 RUSSELL 113.98 1.12 127.72 1.00 127.72 51191.59 400.81 3.11 124.74 SHATZ 1057.90 0.08 85.70 1.09 93.37 51191.59 548.28 -7.52 -412.50 SILVER-mini 802.19 1.68 1350.61 1.00 1350.61 51191.59 37.90 6.18 23.44 SMI 1231.20 0.62 763.27 1.12 852.46 51191.59 60.05 14.07 84.48 SOFR 2414.00 0.07 158.30 1.00 158.30 51191.59 323.39 4.24 137.06 SOYBEAN 522.25 1.17 611.75 1.00 611.75 51191.59 83.68 -18.97 -158.75 SOYMEAL 311.00 1.41 437.58 1.00 437.58 51191.59 116.99 -17.16 -200.73 SOYOIL 269.22 1.75 472.40 1.00 472.40 51191.59 108.36 -6.98 -75.65 SP400 3135.00 0.87 2727.87 1.00 2727.87 51191.59 18.77 -0.76 -1.43 SP500_micro 285.65 0.47 135.15 1.00 135.15 51191.59 378.77 7.22 273.48 SUGAR11 224.22 1.49 334.00 1.00 334.00 51191.59 153.27 -0.22 -3.32 US10 1113.28 0.35 386.09 1.00 386.09 51191.59 132.59 1.35 17.84 US10U 1150.47 0.47 543.58 1.00 543.58 51191.59 94.17 2.73 25.68 US2 2052.19 0.09 184.19 1.00 184.19 51191.59 277.93 -0.94 -26.05 US20 1202.50 0.70 845.06 1.00 845.06 51191.59 60.58 3.67 22.22 US30 1278.12 1.01 1294.13 1.00 1294.13 51191.59 39.56 1.04 4.13 US5 1075.94 0.23 242.66 1.00 242.66 51191.59 210.96 0.84 17.69 VIX 176.00 1.99 349.68 1.00 349.68 51191.59 146.40 -20.00 -292.79 WHEAT 277.12 2.02 559.30 1.00 559.30 51191.59 91.53 -14.96 -136.95 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 129.211 0.010 2.5 3.353 BITCOIN -210.150 0.043 2.5 -22.756 BOBL -140.719 0.004 2.5 -1.427 BTP -16.371 0.014 2.5 -0.558 BUND -31.195 0.004 2.5 -0.316 BUXL -25.105 0.004 2.5 -0.255 CAC -47.198 0.014 2.5 -1.610 CAD -105.802 0.010 2.5 -2.745 CANOLA -662.958 0.010 2.5 -16.129 CHF -80.773 0.010 2.5 -2.096 COCOA 5.866 0.009 2.5 0.126 COFFEE 21.362 0.005 2.5 0.249 COPPER 4.856 0.043 2.5 0.526 CORN -323.767 0.010 2.5 -7.877 COTTON2 -120.787 0.009 2.5 -2.587 CRUDE_W 58.399 0.043 2.5 6.324 DAX 82.241 0.014 2.5 2.805 DOW 64.404 0.009 2.5 1.497 DX -23.957 0.010 2.5 -0.622 EUR 40.349 0.010 2.5 1.047 EURIBOR-ICE 2.333 0.014 2.5 0.080 EUROSTX -17.990 0.014 2.5 -0.614 FEEDCOW -19.215 0.013 2.5 -0.637 GASOIL -6.980 0.017 2.5 -0.303 GASOLINE 32.060 0.017 2.5 1.390 GAS_US_mini -149.266 0.043 2.5 -16.164 GBP 159.149 0.010 2.5 4.129 GOLD_micro 99.687 0.014 2.5 3.400 HEATOIL -26.968 0.017 2.5 -1.169 JGB-SGX-mini 1.962 0.043 2.5 0.212 JPY -102.634 0.010 2.5 -2.663 LEANHOG -96.396 0.024 2.5 -5.858 LIVECOW 148.737 0.013 2.5 4.929 LUMBER-new -217.145 0.009 2.5 -4.649 MILK -18.126 0.009 2.5 -0.388 MXP 35.541 0.059 2.5 5.216 NASDAQ_micro 37.150 0.009 2.5 0.863 NIKKEI 181.476 0.043 2.5 19.651 NZD -9.593 0.010 2.5 -0.249 OAT -28.475 0.014 2.5 -0.971 OATIES -160.492 0.010 2.5 -3.905 OJ 37.686 0.009 2.5 0.807 PALLAD -0.837 0.014 2.5 -0.029 PLAT 6.881 0.014 2.5 0.235 REDWHEAT -139.428 0.005 2.5 -1.850 RICE -21.011 0.010 2.5 -0.511 ROBUSTA 69.340 0.005 2.5 0.810 RUSSELL 124.744 0.013 2.5 4.134 SHATZ -412.499 0.004 2.5 -4.183 SILVER-mini 23.442 0.014 2.5 0.800 SMI 84.477 0.014 2.5 2.881 SOFR 137.062 0.024 2.5 8.330 SOYBEAN -158.753 0.004 2.5 -1.476 SOYMEAL -200.729 0.004 2.5 -1.867 SOYOIL -75.646 0.004 2.5 -0.704 SP400 -1.428 0.013 2.5 -0.047 SP500_micro 273.479 0.009 2.5 6.356 SUGAR11 -3.322 0.009 2.5 -0.071 US10 17.844 0.005 2.5 0.226 US10U 25.678 0.005 2.5 0.325 US2 -26.052 0.005 2.5 -0.330 US20 22.219 0.005 2.5 0.282 US30 4.129 0.005 2.5 0.052 US5 17.685 0.005 2.5 0.224 VIX -292.794 0.099 2.5 -72.273 WHEAT -136.949 0.005 2.5 -1.817 ===================== Position diags ===================== AUD 3.85 BITCOIN 30.25 BOBL 1.83 BTP 2.84 BUND 0.88 BUXL 0.36 CAC 2.33 CAD 5.42 CANOLA 10.81 CHF 2.41 COCOA 0.38 COFFEE 0.34 COPPER 3.63 CORN 3.94 COTTON2 2.08 CRUDE_W 6.18 DAX 11.28 DOW 9.82 DX 3.93 EUR 2.61 EURIBOR-ICE 12.86 EUROSTX 3.59 FEEDCOW 1.92 GASOIL 2.12 GASOLINE 1.73 GAS_US_mini 24.06 GBP 3.87 GOLD_micro 8.20 HEATOIL 1.60 JGB-SGX-mini 36.46 JPY 2.63 LEANHOG 5.88 LIVECOW 3.63 LUMBER-new 4.24 MILK 2.02 MXP 29.99 NASDAQ_micro 3.94 NIKKEI 23.58 NZD 3.84 OAT 3.05 OATIES 3.83 OJ 0.85 PALLAD 0.74 PLAT 2.25 REDWHEAT 1.20 RICE 4.18 ROBUSTA 0.77 RUSSELL 13.28 SHATZ 5.56 SILVER-mini 1.29 SMI 2.05 SOFR 19.65 SOYBEAN 0.78 SOYMEAL 1.09 SOYOIL 1.01 SP400 0.62 SP500_micro 8.80 SUGAR11 3.26 US10 1.68 US10U 1.19 US2 3.52 US20 0.77 US30 0.50 US5 2.67 VIX 36.14 WHEAT 1.21 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 3.4 3.0 3.7 10.0 10 BITCOIN -22.8 -25.8 -19.7 0.0 0 BOBL -1.4 -1.6 -1.2 0.0 0 BTP -0.6 -0.8 -0.3 -2.0 -2 BUND -0.3 -0.4 -0.2 0.0 0 BUXL -0.3 -0.3 -0.2 -2.0 -2 CAC -1.6 -1.8 -1.4 0.0 0 CAD -2.7 -3.3 -2.2 0.0 0 CANOLA -16.1 -17.2 -15.0 -2.0 -2 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA 0.1 0.1 0.2 0.0 0 COFFEE 0.2 0.2 0.3 1.0 1 COPPER 0.5 0.2 0.9 2.0 2 CORN -7.9 -8.3 -7.5 -9.0 -9 COTTON2 -2.6 -2.8 -2.4 -6.0 -6 CRUDE_W 6.3 5.7 6.9 5.0 5 DAX 2.8 1.7 3.9 22.0 22 DOW 1.5 0.5 2.5 0.0 0 DX -0.6 -1.0 -0.2 3.0 3 EUR 1.0 0.8 1.3 0.0 0 EURIBOR-ICE 0.1 -1.2 1.4 -8.0 -8 EUROSTX -0.6 -1.0 -0.3 -3.0 -3 FEEDCOW -0.6 -0.8 -0.4 0.0 0 GASOIL -0.3 -0.5 -0.1 0.0 0 GASOLINE 1.4 1.2 1.6 4.0 4 GAS_US_mini -16.2 -18.6 -13.8 -11.0 -11 GBP 4.1 3.7 4.5 1.0 1 GOLD_micro 3.4 2.6 4.2 -1.0 -1 HEATOIL -1.2 -1.3 -1.0 -2.0 -2 JGB-SGX-mini 0.2 -3.4 3.9 -2.0 -2 JPY -2.7 -2.9 -2.4 -5.0 -5 LEANHOG -5.9 -6.4 -5.3 -9.0 -9 LIVECOW 4.9 4.6 5.3 8.0 8 LUMBER-new -4.6 -5.1 -4.2 -2.0 -2 MILK -0.4 -0.6 -0.2 NaN 0 MXP 5.2 2.2 8.2 3.0 3 NASDAQ_micro 0.9 0.5 1.3 7.0 7 NIKKEI 19.7 17.3 22.0 30.0 30 NZD -0.2 -0.6 0.1 1.0 1 OAT -1.0 -1.3 -0.7 -1.0 -1 OATIES -3.9 -4.3 -3.5 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 0.2 0.0 0.5 0.0 0 REDWHEAT -1.8 -2.0 -1.7 -3.0 -3 RICE -0.5 -0.9 -0.1 NaN 0 ROBUSTA 0.8 0.7 0.9 0.0 0 RUSSELL 4.1 2.8 5.5 -15.0 -15 SHATZ -4.2 -4.7 -3.6 NaN 0 SILVER-mini 0.8 0.7 0.9 0.0 0 SMI 2.9 2.7 3.1 0.0 0 SOFR 8.3 6.4 10.3 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -4.0 -4 SOYMEAL -1.9 -2.0 -1.8 0.0 0 SOYOIL -0.7 -0.8 -0.6 -2.0 -2 SP400 -0.0 -0.1 0.0 0.0 0 SP500_micro 6.4 5.5 7.2 7.0 7 SUGAR11 -0.1 -0.4 0.3 3.0 3 US10 0.2 0.1 0.4 0.0 0 US10U 0.3 0.2 0.4 3.0 3 US2 -0.3 -0.7 0.0 NaN 0 US20 0.3 0.2 0.4 0.0 0 US30 0.1 0.0 0.1 1.0 1 US5 0.2 -0.0 0.5 1.0 1 VIX -72.3 -75.9 -68.7 -56.0 -56 WHEAT -1.8 -1.9 -1.7 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.3 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.0 0.1 0.2 -0.1 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.0 0.2 0.5 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.6 0.4 0.6 0.2 -0.2 0.2 -0.1 BITCOIN -0.4 -0.6 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 0.2 0.0 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.4 -0.1 -2.7 -0.0 0.1 0.1 0.0 0.3 -0.0 -0.2 0.5 -0.2 0.6 -0.2 -0.6 -0.2 -0.1 -0.0 BOBL 0.0 0.3 -0.2 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.2 0.0 -0.0 -0.4 -0.2 -0.4 -0.3 -0.0 -0.0 0.0 -0.1 0.0 0.5 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.8 -0.1 -0.1 -0.1 -0.1 -0.7 -0.5 -0.3 -0.4 BTP 0.3 -0.1 -0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 0.1 0.2 0.3 0.1 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.1 0.1 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 0.6 0.2 0.3 -0.3 0.0 -0.6 -0.5 -0.1 0.1 BUND -0.0 0.2 -0.1 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 0.0 0.2 -0.1 -0.1 -0.2 0.0 -0.7 -0.7 -0.3 -0.4 BUXL -0.1 0.1 -0.1 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -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 0.0 -0.1 -0.2 -0.3 0.0 -0.7 -0.7 -0.5 -0.4 CAC -0.1 -0.6 -0.6 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 0.0 0.0 0.4 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 -0.1 -1.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.5 -0.5 -0.6 -0.6 -0.6 0.1 0.2 -0.0 0.3 CAD 0.2 0.1 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 -0.5 0.1 -0.6 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.5 0.2 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 CANOLA 0.0 -0.5 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -0.0 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.3 -0.4 -0.1 -0.1 -0.5 0.2 -0.1 CHF -0.2 0.5 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 -0.5 -0.1 -0.6 -0.0 -0.0 -0.4 -0.3 -0.4 -0.3 -0.0 -0.1 0.0 -0.4 -0.0 0.8 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.6 0.3 -0.3 0.3 -0.4 -0.0 -0.4 COCOA -0.5 -0.2 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.4 0.3 0.4 0.4 0.0 0.1 0.0 0.2 -0.0 -2.4 0.0 -0.0 0.1 0.0 0.3 -0.0 1.1 0.1 -0.1 0.3 0.5 0.4 0.1 0.6 0.3 COFFEE 0.1 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.4 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 0.6 0.5 0.6 0.6 0.6 0.1 -0.4 0.4 -0.1 COPPER -0.0 -0.4 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.2 -0.0 -1.5 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 0.1 0.1 -0.0 0.6 0.1 0.0 0.5 0.3 CORN -0.6 -0.6 0.2 -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 -0.2 -0.1 -0.1 -0.3 -0.2 -1.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.3 -0.6 -0.6 -0.2 -0.7 -0.5 -0.6 -0.1 COTTON2 0.2 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.4 -0.1 -0.4 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.2 -0.2 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.1 0.3 0.2 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.2 0.1 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.4 -0.1 0.6 0.2 0.2 0.3 0.3 0.3 0.3 0.1 0.1 -0.1 0.4 0.1 -0.6 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 0.4 0.2 0.2 -0.2 -0.1 0.7 0.7 0.7 0.7 DAX 0.1 -0.6 -0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.3 0.1 0.6 0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.4 0.1 1.5 0.0 0.0 0.2 0.1 0.4 0.0 -0.4 -0.5 -0.6 -0.6 -0.1 0.2 0.2 -0.2 0.3 DOW 0.4 0.1 -0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.4 0.2 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.4 0.2 -2.0 0.0 0.2 0.1 0.2 0.3 0.1 -0.5 0.3 -0.2 -0.6 -0.3 0.5 -0.1 0.4 -0.2 DX -0.3 -0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.2 0.4 -0.2 0.6 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.6 0.0 0.6 -0.2 0.2 -0.2 0.4 EUR 0.3 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 -0.3 0.2 -0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.1 2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 0.3 0.6 0.0 0.1 -0.0 -0.7 -0.1 -0.6 EURIBOR-ICE 0.2 0.3 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 1.6 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX 0.0 -0.6 -0.4 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 0.4 0.0 0.6 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.0 0.4 0.0 -0.3 0.0 -0.0 0.2 0.0 0.5 0.0 0.3 -0.5 -0.6 -0.6 -0.2 -0.2 0.1 -0.5 0.1 FEEDCOW -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.2 -0.1 -0.1 -0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -1.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -1.1 0.1 0.1 0.5 -0.1 0.1 0.7 0.4 0.7 GASOIL 0.2 0.1 -0.4 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.1 -0.2 0.5 0.1 0.0 -0.0 0.2 0.0 0.1 0.0 0.0 -0.1 0.2 0.0 0.8 0.0 -0.1 0.0 -0.1 0.1 0.0 0.0 -0.0 0.2 0.3 -0.2 -0.7 -0.5 -0.7 -0.7 GASOLINE 0.3 -0.0 -0.2 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.3 -0.1 0.6 0.2 0.0 0.4 0.4 0.4 0.4 0.1 0.1 -0.1 0.3 0.0 -2.7 -0.0 -0.1 0.0 -0.0 0.2 0.0 1.1 0.3 0.3 -0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.0 0.6 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.2 2.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.1 0.2 -0.6 -0.1 0.1 -0.1 -0.3 -0.3 -0.5 GBP 0.3 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.4 0.2 0.2 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.2 0.5 0.6 0.6 0.6 0.1 -0.7 0.0 -0.4 GOLD_micro 0.3 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.1 0.3 0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.2 0.3 0.1 -0.5 0.0 0.1 0.1 0.1 0.2 0.0 -0.7 0.5 0.6 0.4 0.6 0.2 -0.2 0.4 -0.0 HEATOIL 0.2 0.2 -0.3 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 0.3 0.1 -0.0 -0.1 0.2 -0.1 0.0 0.0 -0.0 -0.1 0.1 0.0 -2.7 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.2 -0.2 0.1 -0.2 -0.6 0.0 0.2 -0.2 0.1 JGB-SGX-mini -0.2 0.2 -0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 -0.0 -0.3 -0.3 -0.4 -0.2 -0.1 0.1 0.6 JPY 0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.0 0.1 -0.4 0.0 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 -0.1 2.7 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.1 -0.4 -0.5 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.0 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.4 -0.2 0.4 0.3 -0.2 -0.2 -0.1 -0.3 -0.2 0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -0.3 -0.4 -0.6 -0.6 -0.3 -0.3 -0.1 0.1 LIVECOW 0.3 0.5 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.5 0.0 0.3 0.2 0.2 0.0 0.2 0.3 0.3 0.2 0.2 0.0 0.3 0.2 -1.5 0.1 0.0 0.2 0.0 0.2 0.0 1.1 -0.1 0.6 0.6 0.6 0.1 0.7 0.2 0.7 LUMBER-new -0.1 -0.3 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 NaN -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.1 -0.0 -0.2 -0.7 -0.1 -0.3 0.2 -0.1 MILK -0.5 0.2 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 -0.1 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 0.0 0.0 1.8 0.0 -0.0 0.1 -0.0 -0.0 -0.0 -1.1 0.1 -0.2 0.6 0.6 -0.3 -0.7 -0.1 -0.7 MXP 0.4 -0.6 -0.6 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.2 -0.0 -0.0 0.2 0.3 0.2 0.3 -0.1 -0.0 0.1 0.1 0.0 -2.7 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.1 0.4 -0.6 -0.3 0.5 0.5 0.7 0.7 NASDAQ_micro 0.2 0.6 0.3 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 0.4 0.1 0.6 0.1 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 0.1 0.0 0.2 0.1 -0.4 -0.5 -0.3 0.6 0.5 -0.0 0.2 -0.3 0.1 NIKKEI 0.6 0.2 -0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.5 0.1 0.7 0.2 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 1.1 -0.1 0.6 0.4 -0.1 0.1 -0.2 -0.2 -0.4 NZD -0.3 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.3 -0.5 -0.5 0.1 0.3 0.3 -0.2 0.3 0.0 OAT 0.2 -0.1 -0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 0.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.6 0.0 0.0 -0.4 -0.2 -0.7 -0.6 -0.3 -0.1 OATIES -0.3 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.3 -0.4 -0.1 0.1 -0.0 0.4 0.4 OJ -0.0 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.3 0.1 0.4 0.0 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.0 0.3 0.5 0.6 0.6 0.3 0.3 0.7 0.7 PALLAD 0.5 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.5 0.4 -0.1 -0.7 -0.7 -0.7 -0.6 PLAT 0.0 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.1 0.0 1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.3 0.2 0.3 -0.7 -0.3 -0.2 0.1 REDWHEAT -0.6 -0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.5 -0.6 -0.6 0.3 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.5 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.4 -0.2 0.6 -0.2 0.1 0.4 0.4 0.4 0.4 -0.1 0.1 -0.2 0.4 -0.2 -1.8 -0.0 -0.1 0.1 -0.1 0.1 -0.0 1.1 -0.1 -0.3 0.5 0.5 -0.6 -0.3 -0.6 -0.2 ROBUSTA 0.1 0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.6 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL 0.5 -0.1 -0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.3 0.2 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.1 0.2 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.5 0.4 -0.3 -0.2 0.1 -0.7 0.1 -0.7 SHATZ 0.1 0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.0 -0.2 0.0 0.9 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.1 -0.0 -0.0 -0.1 -0.7 -0.5 -0.5 -0.4 SILVER-mini 0.1 -0.2 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.1 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 0.3 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 0.5 0.3 0.4 0.6 -0.0 -0.3 0.2 0.2 SMI -0.1 0.2 0.5 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.5 0.1 0.7 0.1 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.2 0.5 0.2 2.1 0.1 0.1 0.3 0.1 0.3 0.1 0.6 -0.4 -0.6 -0.1 0.5 0.2 0.1 -0.0 0.0 SOFR 0.2 0.6 0.1 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.0 0.1 0.2 0.2 0.2 -0.5 0.7 0.1 SOYBEAN -0.5 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.5 -0.6 -0.6 -0.2 -0.5 -0.7 -0.3 -0.7 SOYMEAL -0.6 -0.6 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.2 0.2 0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.6 -0.5 -0.6 -0.4 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.3 0.3 -0.1 -0.4 -0.5 -0.1 -0.1 SP400 0.2 -0.3 -0.3 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.3 0.1 0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.2 0.3 0.1 -1.7 0.0 0.2 0.1 0.1 0.2 0.1 0.0 0.5 0.0 -0.5 -0.2 0.2 -0.3 0.1 -0.7 SP500_micro 0.4 0.6 0.5 0.1 0.1 0.2 0.1 0.3 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.6 -0.2 -0.1 0.6 0.6 0.3 0.1 -0.0 0.0 SUGAR11 0.5 0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.0 -0.3 0.1 -0.1 -0.1 0.2 -0.0 0.1 0.0 -0.1 -0.0 -0.3 0.0 -2.7 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.6 -0.2 0.6 0.6 -0.4 0.1 0.7 0.3 0.7 US10 0.1 0.5 0.1 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.0 0.1 0.1 0.1 -0.6 0.4 0.1 US10U 0.0 0.5 0.1 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.2 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 -0.1 0.1 0.1 0.1 -0.5 0.6 0.4 US2 0.5 0.6 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.3 0.1 2.0 0.0 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.0 0.2 0.1 -0.1 0.0 -0.7 0.1 -0.4 US20 -0.1 0.4 0.2 0.0 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 -0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.1 -0.1 0.1 0.2 0.1 -0.3 0.7 0.6 US30 -0.2 0.4 0.2 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 -0.2 -0.2 0.1 0.1 -0.0 -0.3 0.4 0.6 US5 0.3 0.6 0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 -0.0 0.1 -0.2 0.1 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 -0.0 0.1 0.1 0.0 0.1 -0.7 0.3 -0.2 VIX -0.1 -0.1 -0.6 -0.1 -0.0 -0.4 -0.1 -0.7 -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 -0.1 -0.9 -0.3 NaN -0.2 -0.0 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.6 -0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.5 -0.5 0.3 -0.5 -0.7 -0.4 -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 8.5 6.9 7.7 -0.2 8.7 -1.3 9.2 0.5 4.1 -2.5 3.8 15.4 -2.5 18.8 20.0 -2.2 -2.7 -2.4 -2.6 13.6 8.6 12.4 1.1 15.9 3.9 7.4 -0.3 4.9 7.1 1.7 8.9 -0.0 -5.1 19.8 11.2 20.0 5.9 -6.2 7.4 -1.5 BITCOIN -12.6 -20.0 -9.6 -4.8 -0.6 -1.9 -3.6 -0.0 -5.6 15.2 6.0 1.2 12.2 -11.6 -11.7 -6.4 -7.3 -7.1 -7.4 -9.7 3.4 7.3 15.2 -9.8 -20.0 -3.3 11.9 3.0 2.9 8.9 -3.7 -3.4 20.0 -4.7 17.0 -5.1 -18.3 -6.1 -3.6 -0.1 BOBL 0.9 10.4 -6.0 1.4 5.6 0.0 4.3 -1.2 2.7 8.2 -6.8 3.7 -6.2 2.6 -1.9 -20.0 -11.6 -19.0 -13.8 -0.7 -3.7 5.3 -5.5 2.2 4.0 -0.0 5.6 -1.4 3.2 -2.0 1.4 -15.8 -5.3 -2.9 -4.1 -2.2 -20.0 -16.1 -9.8 -11.3 BTP 8.1 -3.2 -6.5 2.4 9.5 0.1 7.3 -2.0 4.6 14.7 2.7 14.9 8.9 7.7 -2.4 0.8 4.4 1.6 2.8 1.8 1.3 18.9 4.3 9.6 -20.0 1.4 13.3 1.4 11.3 3.2 5.8 11.8 10.3 8.5 -10.3 0.1 -18.6 -14.7 -3.0 2.3 BUND -0.7 7.1 -4.3 1.5 5.8 0.0 4.5 -1.2 2.8 8.5 -6.0 4.1 -3.2 2.1 -1.7 4.9 0.2 1.0 -0.7 -0.4 -2.3 5.4 -3.7 2.0 1.0 0.2 6.2 -0.5 3.6 -0.9 1.4 4.7 -3.8 -3.7 -5.1 0.2 -20.0 -20.0 -8.8 -12.3 BUXL -3.5 3.2 -3.9 1.7 6.7 0.0 5.1 -1.4 3.2 9.8 -6.6 1.2 -2.8 -1.9 -4.7 -0.8 -2.7 -2.8 -3.4 -2.2 -3.1 4.4 -4.4 0.1 -2.6 -0.7 6.4 -0.6 3.1 -0.7 0.4 0.3 -5.0 -7.6 -8.3 0.3 -20.0 -20.0 -14.7 -10.9 CAC -3.1 -20.0 -20.0 5.5 7.8 5.2 8.3 5.2 6.9 -1.2 1.3 0.3 9.9 -12.2 -11.7 -8.4 -0.8 -4.3 -1.4 -12.3 -3.7 -3.3 6.6 -10.3 -9.1 -4.1 -1.0 -0.5 -1.2 3.1 -3.6 9.6 -20.0 -20.0 -20.0 -20.0 2.8 6.8 -1.1 9.6 CAD 6.0 2.4 -3.1 -0.2 9.4 -1.4 9.9 0.5 4.4 -16.6 -16.7 6.9 -15.8 8.1 -4.3 -4.3 -3.0 -3.9 -3.4 -0.9 -6.4 -1.4 -9.7 2.6 -1.1 -0.5 -9.4 -4.3 -1.8 -6.4 1.9 -0.9 -20.0 6.2 -2.3 -2.2 5.2 -6.7 -3.3 -4.6 CANOLA 1.4 -15.0 10.7 -2.3 -1.2 -1.2 -1.7 -0.7 -2.4 -6.8 -5.1 -3.1 -6.9 -4.9 -4.0 -17.1 -10.5 -15.8 -14.5 -5.5 -5.2 -6.7 -7.5 -6.1 -19.2 -2.8 -1.9 -2.2 -2.8 -2.6 -3.2 -20.0 -14.0 -8.3 -10.8 -2.7 -2.7 -14.1 6.4 -4.0 CHF -6.9 14.0 -6.0 -0.1 8.3 -1.3 8.7 0.5 3.9 18.4 -17.0 -7.7 -15.7 -1.5 -4.3 -18.0 -16.7 -17.5 -17.0 -4.0 -12.0 2.1 -14.4 -1.0 6.2 -1.1 3.9 -4.4 1.4 -5.3 0.0 -20.0 -6.8 -19.2 9.6 -9.2 8.5 -12.8 -0.5 -12.3 COCOA -15.7 -5.6 -19.1 -1.7 -0.9 -0.9 -1.2 -0.5 -1.7 0.0 2.5 -1.5 3.9 -2.0 -1.8 19.1 15.8 18.9 19.2 0.1 4.6 0.1 7.7 -1.3 -18.0 1.0 -0.5 4.4 0.1 7.4 -0.2 20.0 5.1 -4.4 8.5 16.8 13.1 4.3 17.0 8.7 COFFEE 3.1 5.1 5.7 -4.1 -2.1 -2.2 -3.0 -1.3 -4.2 8.9 13.2 10.1 12.2 12.8 13.1 3.5 6.9 4.9 6.5 16.1 16.2 14.9 13.6 16.3 -20.0 5.1 2.0 6.9 4.5 7.1 4.7 11.9 20.0 20.0 20.0 20.0 1.7 -10.8 10.9 -2.9 COPPER -0.5 -12.8 9.0 -2.5 -0.3 -1.0 -1.9 -0.0 -2.9 -6.8 3.4 1.0 4.0 -5.5 -0.1 1.4 -2.5 0.6 -1.0 1.7 6.7 -1.2 7.8 -0.2 -11.4 -0.3 -2.9 2.6 -1.9 3.3 -1.9 6.0 3.4 2.1 -0.1 18.7 4.3 0.9 13.7 9.5 CORN -20.0 -20.0 5.4 -3.0 -1.5 -1.6 -2.2 -0.9 -3.1 -5.9 -9.7 -10.6 -11.5 -11.7 -10.8 -15.5 -12.9 -17.0 -16.5 -17.8 -12.2 -13.7 -10.8 -20.0 -9.3 -3.9 -1.4 -2.5 -3.3 -2.2 -4.7 -20.0 -13.9 -20.0 -17.3 -5.2 -20.0 -15.0 -19.4 -2.0 COTTON2 4.8 -11.7 -20.0 -3.7 -1.9 -2.0 -2.7 -1.1 -3.8 -0.4 -14.3 -9.4 -11.1 -12.4 -14.7 -10.2 0.1 -4.9 -1.6 -16.0 -17.8 -4.0 -12.7 -9.2 -20.0 -4.2 0.7 -3.9 0.1 -1.2 -1.7 -1.2 4.6 9.7 5.0 -20.0 -3.9 -9.3 11.8 -0.6 CRUDE_W 7.2 2.7 -4.5 0.1 -14.0 1.0 -8.6 3.1 -2.1 -20.0 13.9 -9.8 16.9 16.6 13.9 15.1 12.6 14.1 13.4 10.6 10.3 -7.0 13.0 6.9 -4.4 -0.8 -9.5 -0.3 -4.1 3.6 -0.2 6.7 8.4 6.4 -5.5 -2.3 20.0 20.0 20.0 20.0 DAX 3.8 -19.5 -7.9 5.9 8.4 5.6 8.9 5.6 7.4 6.0 12.8 9.7 15.9 0.4 -1.7 -9.3 -11.2 -10.2 -11.0 2.5 9.2 10.1 16.1 4.8 11.5 1.9 4.1 7.4 5.5 12.0 2.4 -8.2 -20.0 -20.0 -20.0 -2.7 5.9 5.1 -4.6 7.6 DOW 13.2 2.1 -7.0 6.2 8.8 5.9 9.3 5.8 7.8 18.4 13.8 19.3 16.0 12.2 7.4 -11.8 -11.4 -11.7 -11.7 11.3 10.2 20.0 15.2 20.0 -14.7 4.6 20.0 4.8 14.6 7.3 8.6 -8.8 11.8 -4.9 -20.0 -10.7 13.5 -1.6 11.2 -4.6 DX -9.0 -2.5 4.3 -0.1 8.5 -1.3 8.9 0.5 4.0 -20.0 16.6 -20.0 16.6 -6.7 4.3 7.1 7.0 7.3 7.2 0.9 8.2 -20.0 10.9 -11.1 -20.0 0.1 -12.6 4.1 -12.7 5.6 -6.5 16.7 -20.0 -19.8 0.8 20.0 -6.7 7.2 -7.0 10.9 EUR 10.0 0.8 -1.4 -0.2 8.8 -1.3 9.2 0.5 4.1 17.2 -11.3 20.0 -11.4 10.4 3.5 -7.5 -7.2 -7.5 -7.2 2.6 -3.2 20.0 -5.5 12.8 20.0 2.3 11.2 -0.1 12.8 -0.9 7.9 -7.7 11.3 19.5 0.2 3.1 -1.0 -19.9 -3.5 -16.6 EURIBOR-ICE 7.5 8.8 -10.8 1.3 5.2 0.0 3.9 -1.1 2.5 7.8 -4.6 6.9 -0.2 5.8 -1.4 -4.1 -4.8 -5.1 -4.8 0.9 -1.7 9.4 -1.5 5.2 11.7 0.5 7.1 -0.7 5.2 -0.4 2.8 -2.4 2.7 2.5 -2.6 -4.0 -20.0 -20.0 -7.8 3.0 EUROSTX 0.7 -20.0 -13.4 5.7 8.1 5.4 8.6 5.4 7.2 -0.3 14.2 4.5 16.6 0.3 -1.4 -5.1 -2.5 -5.7 -4.2 1.3 8.7 3.5 16.4 1.3 -2.3 1.4 -0.7 8.2 2.2 14.2 0.6 5.6 -20.0 -20.0 -20.0 -6.0 -5.0 2.4 -16.1 2.4 FEEDCOW -5.7 0.3 -1.0 -5.6 -2.9 -3.1 -4.2 -1.8 -5.9 -1.4 6.6 -5.8 -3.3 -7.8 1.3 -2.3 -20.0 -13.5 -20.0 -2.4 -1.9 -6.0 -0.6 -6.0 -8.1 -2.1 4.6 -1.6 -0.9 1.5 -2.4 -20.0 2.2 1.9 14.7 -2.8 3.7 20.0 11.8 20.0 GASOIL 6.9 3.8 -12.2 0.1 -12.6 0.9 -7.7 2.8 -1.9 -20.0 4.7 -15.1 13.4 9.7 0.1 -1.2 11.7 0.4 5.4 3.0 2.2 -11.2 8.2 0.9 5.8 1.1 -10.6 0.5 -5.5 3.0 0.5 0.1 -1.6 5.0 8.5 -6.0 -20.0 -13.7 -20.0 -20.0 GASOLINE 9.6 -0.2 -7.0 0.1 -13.3 0.9 -8.2 3.0 -2.0 -20.0 10.0 -6.6 15.4 15.1 0.7 20.0 20.0 20.0 20.0 4.7 5.9 -5.9 12.5 4.3 -20.0 -0.8 -8.4 0.0 -3.4 4.6 0.1 20.0 10.7 9.6 -2.0 -5.6 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -1.5 20.0 0.0 -6.8 0.5 -4.2 1.5 -1.0 -10.4 -9.0 -12.2 -10.7 -11.7 -7.2 -5.0 -20.0 -20.0 -20.0 -7.5 -5.6 -15.6 -13.1 -14.5 20.0 -1.4 -4.5 -1.4 -5.0 -3.6 -4.0 -20.0 7.1 -18.8 -2.5 3.2 -2.4 -7.7 -8.2 -15.5 GBP 9.5 6.7 3.3 -0.2 9.4 -1.4 9.9 0.5 4.4 19.5 16.4 20.0 6.8 20.0 19.8 -0.6 -0.8 -0.8 -0.8 16.0 9.9 20.0 7.0 20.0 0.7 7.2 13.4 5.1 15.1 3.8 11.1 3.2 20.0 20.0 20.0 19.4 2.0 -20.0 0.4 -11.9 GOLD_micro 8.6 -10.2 1.5 -2.9 -0.3 -1.1 -2.2 -0.0 -3.4 11.1 8.7 11.0 9.5 4.1 6.5 -11.4 -13.5 -11.8 -12.6 7.3 9.9 16.8 11.3 10.4 -3.8 0.8 8.6 3.8 5.3 5.7 1.6 -13.2 20.0 17.4 11.7 18.2 4.9 -6.7 12.5 -0.3 HEATOIL 7.4 5.7 -9.9 0.1 -13.2 0.9 -8.1 2.9 -2.0 -20.0 -1.3 -16.4 7.1 10.6 -0.3 -6.3 10.0 -4.6 1.7 2.0 -0.9 -12.4 3.4 0.5 -20.0 -2.4 -8.9 -3.0 -5.1 0.9 -1.4 -4.6 -6.5 2.1 -4.9 -17.8 1.4 7.1 -7.4 2.7 JGB-SGX-mini -5.2 5.6 -14.8 1.4 5.4 0.0 4.1 -1.1 2.6 7.9 -5.3 -0.1 -1.6 -1.8 -5.2 20.0 18.8 20.0 19.5 -4.0 -4.9 4.3 -3.0 -0.8 -8.6 -1.9 4.3 -2.6 1.9 -2.2 -0.3 20.0 -0.1 -10.2 -8.2 -11.2 -4.5 -4.4 2.4 17.2 JPY 3.4 -0.9 -1.2 -0.1 5.0 -0.8 5.3 0.3 2.3 8.0 -14.0 2.9 -14.4 -7.4 -12.1 -15.5 -16.3 -15.6 -15.8 -13.3 -18.2 6.1 -20.0 -4.8 20.0 -4.4 4.3 -5.8 2.6 -6.5 -1.4 -20.0 3.9 -10.8 -14.5 -20.0 -20.0 -12.8 -20.0 -12.1 LEANHOG -0.4 -20.0 -19.6 -3.5 -1.8 -1.9 -2.6 -1.1 -3.6 1.6 -10.1 -7.0 -7.2 -12.1 -13.7 20.0 -11.6 20.0 13.2 -20.0 -16.5 -10.6 -9.6 -20.0 4.0 -4.9 0.9 -3.2 -2.0 -1.6 -4.1 -7.9 -11.7 -12.2 -20.0 -20.0 -8.6 -9.6 -3.5 3.6 LIVECOW 8.2 16.4 10.7 -5.9 -3.0 -3.2 -4.4 -1.8 -6.1 -8.7 18.1 2.6 7.1 14.1 18.5 0.8 10.0 14.1 14.7 20.0 18.2 3.3 11.2 16.5 -11.2 7.3 0.9 6.4 0.7 5.7 4.4 20.0 -5.5 20.0 20.0 20.0 2.4 20.0 7.5 20.0 LUMBER-new -1.5 -7.4 -20.0 -2.3 -1.2 -1.2 -1.7 -0.6 -2.4 -6.8 -8.2 -7.3 -7.7 -8.0 -8.8 -14.8 -17.3 -16.7 -17.4 -11.2 -10.4 -5.8 -7.1 -8.5 NaN -3.2 -1.3 -3.5 -0.8 -2.4 -1.6 -20.0 -2.8 -0.5 -4.6 -20.0 -1.3 -6.9 5.1 -3.5 MILK -14.4 5.9 20.0 -3.1 -1.6 -1.7 -2.3 -1.0 -3.2 -3.7 7.2 -5.7 -2.7 -2.7 8.1 -20.0 -20.0 -20.0 -20.0 8.0 8.9 -2.6 0.1 1.0 13.6 2.4 -1.0 2.9 -1.4 -0.3 -0.3 -20.0 3.0 -7.0 18.4 20.0 -7.8 -20.0 -3.9 -20.0 MXP 12.3 -20.0 -20.0 -0.1 4.0 -0.6 4.2 0.2 1.9 8.1 -2.1 9.5 4.3 -1.5 -3.7 9.9 15.5 12.1 13.7 -4.7 -4.1 10.1 2.1 3.0 -20.0 -1.9 2.2 -1.3 2.2 0.7 0.1 20.0 5.6 13.3 -20.0 -8.7 16.1 14.1 20.0 20.0 NASDAQ_micro 6.1 20.0 8.1 5.0 7.0 4.7 7.4 4.7 6.2 -1.9 16.4 8.8 16.6 13.6 15.6 -12.2 -11.0 -11.9 -11.4 20.0 20.0 13.4 20.0 20.0 -20.0 5.8 -0.0 5.5 2.0 5.6 4.7 -8.2 -20.0 -9.6 20.0 14.6 -1.4 4.8 -9.0 4.3 NIKKEI 20.0 5.8 -9.1 6.3 8.9 6.0 9.5 6.0 8.0 0.6 16.8 13.2 18.3 16.2 12.7 15.0 10.2 11.6 10.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.4 1.8 5.9 6.8 7.6 8.3 20.0 -4.9 20.0 13.4 -4.5 4.0 -5.7 -7.0 -10.9 NZD -8.4 2.9 4.4 -0.1 7.5 -1.1 7.8 0.4 3.5 -16.2 0.2 -12.3 -1.1 -9.9 8.2 -0.1 0.2 0.0 0.1 1.2 2.3 -9.1 -0.3 -3.8 0.4 0.5 -11.2 1.6 -6.6 0.7 -3.0 4.8 -20.0 -15.0 1.5 8.3 7.8 -5.4 9.3 0.9 OAT 7.0 -3.0 -10.1 1.7 6.6 0.0 5.0 -1.4 3.2 10.0 -7.7 9.3 -3.2 0.4 -6.2 -1.9 4.1 0.4 2.2 -3.8 -5.3 8.4 -4.7 2.0 1.8 -1.8 6.6 -2.1 4.9 -1.4 1.2 11.2 1.5 0.4 -13.3 -5.2 -20.0 -18.7 -7.8 -3.2 OATIES -10.3 -20.0 2.5 -2.1 -1.1 -1.2 -1.6 -0.7 -2.2 -3.2 -6.6 -4.2 -7.2 -7.9 -7.6 -4.1 0.3 -0.9 1.0 -11.8 -8.6 -5.3 -6.2 -10.6 -20.0 -2.4 -0.9 -1.3 -1.6 -0.8 -2.6 1.1 -8.6 -9.8 -13.8 -2.8 2.2 -1.2 12.1 11.0 OJ -0.1 -7.9 -2.8 -3.4 -1.8 -1.9 -2.6 -1.1 -3.6 2.7 9.9 7.0 11.8 4.3 8.4 9.5 12.4 9.6 10.0 13.3 15.8 9.0 17.9 10.6 -20.0 3.6 0.6 5.2 1.6 7.4 2.0 19.0 10.6 14.3 18.0 20.0 10.1 9.9 20.0 20.0 PALLAD 14.3 2.2 3.4 -2.3 -0.3 -0.9 -1.7 -0.0 -2.6 -7.1 -5.6 0.1 -8.2 1.4 -2.8 -1.1 -2.1 -1.7 -1.9 -0.1 -3.2 -2.1 -8.3 1.2 14.4 -1.2 -2.8 -2.2 -1.0 -3.4 -0.1 5.9 0.2 16.4 11.3 -2.6 -20.0 -20.0 -20.0 -19.3 PLAT 1.4 -7.5 9.0 -3.1 -0.4 -1.2 -2.3 -0.0 -3.6 -4.0 1.9 -0.8 -3.2 -4.0 -0.1 -5.0 -4.3 -5.0 -4.7 2.3 3.7 1.0 2.1 1.0 7.7 -1.6 -0.5 0.6 -1.9 1.2 -2.8 1.6 2.2 10.5 7.0 9.4 -20.0 -8.7 -5.6 2.9 REDWHEAT -19.3 -20.0 19.7 -3.2 -1.6 -1.7 -2.4 -1.0 -3.3 -11.1 -6.0 -11.8 -9.6 -12.6 -10.1 -10.6 -4.2 -9.5 -6.8 -14.5 -7.2 -16.1 -7.9 -18.9 -5.3 -3.1 -3.5 -1.3 -3.9 -1.3 -4.4 -9.2 -20.0 -18.4 -17.9 8.6 -15.0 -20.0 -8.9 -17.5 RICE -20.0 -14.0 12.1 -5.3 -2.7 -2.9 -3.9 -1.6 -5.5 -14.7 13.5 -18.1 16.3 -17.4 11.0 20.0 20.0 20.0 20.0 -7.4 7.0 -20.0 14.2 -20.0 -13.2 -0.2 -8.6 3.1 -6.0 4.1 -4.5 20.0 -4.0 -9.9 14.1 15.8 -17.4 -8.3 -17.8 -6.1 ROBUSTA 4.4 7.3 -6.0 -2.6 -1.4 -1.4 -2.0 -0.8 -2.7 7.7 9.8 8.4 9.9 9.2 9.1 20.0 20.0 20.0 20.0 15.6 17.1 17.5 18.0 16.7 -20.0 3.8 2.9 5.1 4.4 6.2 4.0 20.0 20.0 20.0 20.0 20.0 3.5 -6.5 10.8 4.0 RUSSELL 15.6 -3.2 -3.9 5.0 7.1 4.7 7.5 4.7 6.3 14.7 9.5 14.2 10.9 6.5 3.7 -7.3 -6.9 -7.3 -7.1 7.4 4.5 20.0 4.9 18.8 -1.1 3.7 16.4 2.3 12.5 2.3 7.6 -0.9 20.0 13.0 -7.7 -6.0 3.8 -20.0 1.9 -20.0 SHATZ 2.4 20.0 -1.1 1.3 5.0 0.0 3.8 -1.1 2.4 7.2 -6.5 3.6 -7.4 3.1 -0.3 -20.0 -20.0 -20.0 -20.0 0.2 -4.5 5.5 -8.6 3.1 6.8 0.3 4.1 -1.6 2.6 -2.9 1.6 -20.0 -5.6 -1.2 -0.2 -4.3 -20.0 -14.9 -16.4 -11.4 SILVER-mini 2.9 -4.9 12.0 -2.7 -0.3 -1.1 -2.0 -0.0 -3.1 6.4 7.8 8.0 7.1 2.7 6.8 -5.8 -6.5 -6.0 -6.2 7.9 10.0 7.1 8.6 6.8 2.4 0.7 2.0 3.3 1.3 4.1 -0.1 -1.6 19.3 9.1 11.1 17.6 -1.0 -7.9 5.8 4.6 SMI -4.2 4.7 14.2 6.5 9.2 6.1 9.8 6.1 8.2 10.8 19.4 11.5 18.4 13.3 17.4 -4.1 1.1 -3.2 -1.0 20.0 20.0 20.0 20.0 17.0 15.8 7.2 7.3 9.3 8.0 8.7 6.3 11.5 -15.6 -20.0 -1.7 14.1 6.1 2.5 -0.6 0.1 SOFR 5.8 18.9 2.3 1.8 6.9 0.1 5.3 -1.5 3.4 10.2 -0.8 10.8 -2.8 10.9 8.1 -1.6 -1.4 -2.4 -2.0 7.4 1.9 12.2 -2.6 10.8 -3.2 3.3 3.9 1.8 3.6 0.3 3.6 2.9 -1.8 2.1 7.2 4.8 6.7 -14.8 19.9 2.7 SOYBEAN -14.7 -20.0 0.2 -3.2 -1.6 -1.7 -2.4 -1.0 -3.3 -10.6 -11.1 -12.0 -7.7 -12.7 -11.7 -3.0 6.0 -1.4 1.1 -17.4 -12.0 -20.0 -8.8 -20.0 -20.0 -4.2 -4.6 -2.6 -5.5 -1.6 -5.5 6.0 -20.0 -20.0 -17.5 -5.8 -15.1 -20.0 -8.3 -20.0 SOYMEAL -20.0 -20.0 6.7 -3.2 -1.6 -1.7 -2.4 -1.0 -3.3 -9.4 -11.1 -12.0 -9.9 -12.9 -11.3 11.1 7.6 8.8 6.2 -17.3 -11.3 -20.0 -8.9 -20.0 -20.0 -3.4 -3.4 -1.5 -5.2 -0.9 -5.5 11.1 -20.0 -20.0 -12.5 6.6 -20.0 -20.0 -20.0 -20.0 SOYOIL 16.7 8.0 3.6 -2.4 -1.2 -1.3 -1.8 -0.7 -2.5 -8.3 -5.9 -1.1 -8.3 0.1 -2.5 5.6 0.4 1.1 -0.9 0.3 -3.5 -2.3 -6.3 1.8 -20.0 -0.7 -3.3 -2.0 -1.3 -2.5 0.1 -1.1 -8.7 9.3 8.0 -4.6 -13.3 -15.1 -1.6 -1.7 SP400 7.4 -10.4 -7.9 5.2 7.4 4.9 7.8 4.9 6.6 15.3 10.0 12.4 12.2 3.2 -0.5 -5.1 -5.9 -6.0 -6.0 3.9 5.7 20.0 9.7 12.4 -12.7 3.6 17.1 3.6 12.7 4.7 7.2 0.9 20.0 0.3 -15.3 -6.9 5.1 -9.2 4.3 -20.0 SP500_micro 12.6 20.0 16.8 7.4 10.4 7.0 11.1 7.0 9.3 20.0 20.0 20.0 20.0 20.0 20.0 -15.7 -12.8 -14.6 -13.7 20.0 20.0 20.0 20.0 20.0 -20.0 9.3 6.5 9.1 7.4 9.3 8.9 -11.6 -6.3 -2.2 20.0 18.8 8.7 1.6 -0.5 1.4 SUGAR11 14.1 20.0 -11.8 -4.3 -2.2 -2.3 -3.2 -1.3 -4.5 -5.9 -12.3 -1.1 -9.7 7.0 -5.2 -4.3 9.4 -0.8 3.9 0.4 -9.5 -2.1 -9.9 3.8 -20.0 0.4 -0.1 -4.2 0.7 -4.2 2.7 11.9 -7.2 20.0 20.0 -11.1 4.4 20.0 10.2 20.0 US10 3.9 16.9 2.9 1.5 5.9 0.0 4.5 -1.3 2.9 8.6 -2.0 8.7 -5.0 8.8 5.6 -6.9 -7.3 -6.9 -7.0 4.5 0.1 8.4 -4.7 7.1 2.5 2.6 3.3 1.3 2.8 -0.4 2.7 -6.7 -4.0 -0.5 4.0 3.0 3.3 -18.5 12.6 2.6 US10U 0.9 15.9 3.8 2.0 7.9 0.1 6.0 -1.7 3.8 11.2 -3.2 10.8 -6.4 10.7 6.8 -4.5 -2.8 -4.7 -4.0 4.5 -0.3 8.9 -6.3 7.2 0.2 3.2 4.1 1.8 3.1 -0.6 3.0 0.0 -7.4 -3.2 3.9 4.0 3.8 -15.1 19.5 11.0 US2 14.5 20.0 -4.3 1.6 6.4 0.0 4.9 -1.4 3.1 9.9 -6.7 10.4 -9.5 10.1 1.7 -20.0 -20.0 -20.0 -20.0 4.5 -4.2 15.6 -11.8 11.8 15.0 1.9 6.1 -0.8 5.7 -2.8 4.2 -20.0 1.2 6.0 1.7 -3.5 0.6 -20.0 4.4 -12.1 US20 -3.7 13.2 4.7 1.4 5.4 0.0 4.1 -1.1 2.6 7.4 -0.8 5.7 -2.3 5.7 4.8 -0.7 -0.8 -0.7 -0.7 2.6 0.5 4.7 -2.9 3.5 -1.2 2.2 2.4 1.8 1.5 0.4 1.6 4.5 -5.2 -3.8 3.6 4.8 2.2 -9.8 20.0 17.5 US30 -4.9 12.6 5.2 1.5 6.1 0.0 4.6 -1.3 2.9 8.0 -2.0 4.4 -3.7 4.7 3.9 -4.4 -5.2 -4.8 -5.0 1.9 -0.2 3.9 -3.9 2.7 -0.6 2.2 2.5 1.8 1.3 0.1 1.5 -3.2 -7.6 -5.7 2.6 4.3 -1.1 -9.3 12.1 18.6 US5 8.0 18.9 0.9 1.6 6.4 0.0 4.9 -1.4 3.1 9.5 -3.8 10.2 -7.6 10.1 5.1 -10.8 -10.3 -10.4 -10.2 5.4 -0.7 11.8 -6.5 9.7 6.3 2.7 4.4 0.9 4.1 -1.0 3.6 -12.0 -1.9 2.4 4.1 1.4 3.5 -19.8 10.0 -4.7 VIX -2.1 -2.0 -12.2 -8.7 -1.2 -10.0 -4.1 -11.7 -6.6 4.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -9.1 -20.0 -15.3 NaN -10.4 -0.9 -11.7 -4.2 -13.8 -7.8 NaN NaN NaN NaN NaN -15.3 -20.0 NaN NaN WHEAT -18.4 -20.0 20.0 -2.4 -1.3 -1.3 -1.8 -0.8 -2.5 -8.7 -3.8 -9.1 -6.5 -9.4 -7.5 -15.1 -14.3 -15.8 -15.4 -11.1 -5.0 -14.4 -4.9 -15.0 0.8 -2.3 -3.3 -0.8 -3.4 -0.7 -3.5 -20.0 -20.0 -16.2 -15.6 8.1 -14.4 -20.0 -11.8 -20.0 End of report for caleb_strategy_v3