******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240819_203929 produced at 2024-08-19 21:37:44.795543 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 DX False True 0.04 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -3.35 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.89 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.07 0.0 0.32 -0.32 -0.08 -0.08 -1.87 8.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.07 -1.63 3.0 -2 -2 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.05 0.0 0.55 -0.55 -0.06 -0.06 -5.66 60.0 -7 -6 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -26.43 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.04 0.0 0.08 -0.08 -0.02 -0.02 -6.37 12.0 -3 -3 caleb_strategy_v3 COPPER False False 0.04 -0.04 -0.04 0.0 999.00 -999.00 -0.04 0.00 -1.00 999999999.0 -1 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.13 -0.13 -0.06 -0.07 -3.23 11.0 -5 -6 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.85 -0.85 0.00 0.00 -0.86 19.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.21 12.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.03 0.0 0.74 -0.74 0.00 0.00 -1.04 29.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -10.77 51.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.03 0.0 0.32 -0.32 -0.02 -0.02 -2.89 36.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.03 0.0 0.10 -0.10 0.00 -0.02 -1.35 4.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -2.68 8.0 -2 -2 caleb_strategy_v3 VIX False False 0.01 -0.01 -0.03 0.0 999.00 -999.00 -0.01 -0.02 -4.72 999999999.0 -2 -3 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -2.42 18.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.84 2.0 0 0 caleb_strategy_v3 SP400 False False 0.11 -0.11 -0.02 0.0 0.21 -0.21 -0.11 0.00 -0.15 2.0 -1 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.31 -0.31 -0.01 0.00 -1.42 23.0 -1 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.02 0.0 0.47 -0.47 0.00 0.00 -1.90 48.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -2.18 9.0 -4 -4 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.02 0.0 0.00 -0.03 -0.03 -0.02 -10.57 26.0 -14 -11 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.12 -0.12 -0.08 -0.10 -1.11 7.0 -5 -6 caleb_strategy_v3 EUROSTX False False 0.02 -0.04 -0.02 0.0 0.37 -0.37 -0.04 -0.02 -1.06 20.0 -2 -1 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.17 -0.17 -0.02 -0.02 -0.49 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.23 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.10 9.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.26 -0.26 -0.01 -0.05 -2.28 68.0 -3 -12 caleb_strategy_v3 BTP False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.29 10.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.36 4.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.00 0.0 0.41 -0.41 0.00 0.00 -0.06 58.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.38 3.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.11 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 -0.03 -0.00 0.0 999.00 -999.00 -0.03 -0.03 -0.06 999999999.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 0.00 -0.10 2.0 -1 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.00 0.0 0.48 -0.48 0.00 0.00 0.07 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.47 -0.47 0.00 0.00 -0.59 66.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.03 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.36 -0.36 0.00 0.02 0.64 23.0 0 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.66 -0.66 0.00 0.00 0.26 26.0 0 0 caleb_strategy_v3 US30 False True 0.05 0.18 0.01 0.0 0.18 0.00 0.18 0.14 0.20 6.0 4 3 caleb_strategy_v3 JPY False False 0.03 0.06 0.01 0.0 0.50 -0.50 0.06 0.03 0.27 17.0 2 1 caleb_strategy_v3 NZD False False 0.02 0.00 0.01 0.0 0.44 -0.44 0.00 0.00 0.60 21.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.15 0.01 0.0 0.65 -0.65 0.15 0.10 0.13 13.0 3 2 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.45 9.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.31 13.0 0 0 caleb_strategy_v3 US10 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.62 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.02 0.0 0.44 -0.44 0.05 0.07 0.93 19.0 2 3 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 1.03 3.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.02 0.0 0.07 -0.07 0.00 0.00 1.06 5.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.12 -0.12 0.01 0.01 1.81 13.0 1 1 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.00 3.69 56.0 1 0 caleb_strategy_v3 US10U False True 0.04 0.04 0.03 0.0 0.04 0.00 0.04 0.04 0.65 13.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.11 0.03 0.0 0.94 -0.94 0.11 0.11 0.69 25.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.03 0.0 0.42 -0.42 0.10 0.10 1.11 17.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.04 0.0 0.13 -0.13 0.08 0.05 1.44 5.0 3 2 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.09 9.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.06 0.0 0.62 -0.62 0.00 0.03 1.97 22.0 0 1 caleb_strategy_v3 EUR False False 0.05 0.10 0.09 0.0 0.67 -0.67 0.10 0.10 1.96 14.0 2 2 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.36 0.0 0.14 0.00 0.14 0.14 10.57 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.50 0.0 0.93 -0.93 0.00 0.00 5.33 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.00 0.0 0.00 0.00 0.00 0.00 11.98 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.1 Shocked risk 13.7 Sum abs risk 33.1 Leverage 3.45 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2896013.86, 'annual_cash_vol_target': 724003.465, 'daily_cash_vol_target': 45250.2165625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6734 0.5850 9.3601 BITCOIN 2058.1670 59700.0000 3.4475 55.1603 BOBL 0.2475 117.7300 0.2103 3.3641 BTP 0.4827 119.3000 0.4046 6.4740 BUND 0.4990 134.2600 0.3717 5.9467 BUXL 1.2256 136.2200 0.8997 14.3954 CAC 68.0849 7529.0000 0.9043 14.4688 CAD 0.0024 0.7340 0.3251 5.2024 CANOLA 9.1901 581.4000 1.5807 25.2910 CHF 0.0063 1.1631 0.5387 8.6188 COCOA 233.1260 7340.0000 3.1761 50.8177 COFFEE 4.7536 243.9500 1.9486 31.1776 COPPER 0.0594 4.1910 1.4163 22.6604 CORN 5.6956 400.5000 1.4221 22.7541 COTTON2 0.9830 68.7800 1.4292 22.8678 CRUDE_W 1.1946 72.6000 1.6454 26.3265 DAX 164.2854 18500.0000 0.8880 14.2085 DOW 324.2118 40982.0000 0.7911 12.6577 DX 0.3871 101.7300 0.3805 6.0878 EUR 0.0045 1.1096 0.4074 6.5191 EURIBOR-ICE 0.0441 97.7900 0.0450 0.7207 EUROSTX 49.8827 4894.0000 1.0193 16.3082 FEEDCOW 2.1122 231.8000 0.9112 14.5795 GASOIL 11.8295 701.0000 1.6875 27.0003 GASOLINE 0.0374 2.0583 1.8182 29.0912 GAS_US_mini 0.0855 2.3550 3.6290 58.0637 GBP 0.0061 1.2996 0.4719 7.5499 GOLD_micro 21.5208 2519.6000 0.8541 13.6662 HEATOIL 0.0390 2.3019 1.6936 27.0968 JGB-SGX-mini 0.3823 144.7400 0.2641 4.2261 JPY 0.0001 0.0068 0.8060 12.8959 LEANHOG 1.2527 68.6500 1.8248 29.1965 LIVECOW 1.3917 178.8750 0.7780 12.4485 LUMBER-new 8.7275 538.5000 1.6207 25.9314 MILK 0.2825 21.6100 1.3074 20.9185 MXP 0.0005 0.0533 0.9476 15.1615 NASDAQ_micro 252.4717 19769.0000 1.2771 20.4337 NIKKEI 897.3701 37805.0000 2.3737 37.9789 NZD 0.0041 0.6110 0.6753 10.8053 OAT 0.4441 126.3300 0.3516 5.6250 OATIES 5.2052 307.5000 1.6928 27.0842 OJ 7.2471 444.6000 1.6300 26.0806 PALLAD 23.2812 923.0000 2.5223 40.3575 PLAT 16.3978 966.2000 1.6971 27.1544 REDWHEAT 8.9457 556.2500 1.6082 25.7315 RICE 0.1695 14.9750 1.1319 18.1106 ROBUSTA 74.2091 4485.0000 1.6546 26.4737 RUSSELL 30.5876 2173.7000 1.4072 22.5147 SHATZ 0.0856 106.1800 0.0807 1.2904 SILVER-mini 0.5198 29.8000 1.7441 27.9061 SMI 99.9291 12291.0000 0.8130 13.0084 SOFR 0.0650 96.8350 0.0672 1.0747 SOYBEAN 13.4312 976.2500 1.3758 22.0128 SOYMEAL 5.2316 310.7000 1.6838 26.9410 SOYOIL 0.7005 39.1300 1.7901 28.6417 SP400 33.1122 3046.0000 1.0871 17.3931 SP500_micro 51.2867 5614.2500 0.9135 14.6162 SUGAR11 0.2884 18.3700 1.5700 25.1205 US10 0.4211 113.2031 0.3720 5.9523 US10U 0.5713 117.5938 0.4858 7.7735 US2 0.1245 103.1289 0.1207 1.9313 US20 0.8734 124.1562 0.7034 11.2549 US30 1.3051 132.6875 0.9836 15.7373 US5 0.2803 108.7812 0.2577 4.1227 VIX 1.1559 17.4000 6.6434 106.2938 WHEAT 8.7380 552.2500 1.5822 25.3160 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.40 0.59 393.94 1.00 393.94 45250.22 114.86 3.13 35.91 BITCOIN 59.70 3.45 205.82 1.00 205.82 45250.22 219.86 -11.10 -244.06 BOBL 1177.30 0.21 247.54 1.10 271.94 45250.22 166.40 -5.10 -84.84 BTP 1193.00 0.40 482.72 1.10 530.32 45250.22 85.33 -1.00 -8.57 BUND 1342.60 0.37 499.01 1.10 548.21 45250.22 82.54 0.41 3.41 BUXL 1362.20 0.90 1225.59 1.10 1346.43 45250.22 33.61 -3.36 -11.30 CAC 752.90 0.90 680.85 1.10 747.98 45250.22 60.50 -5.84 -35.35 CAD 734.00 0.33 238.66 1.00 238.66 45250.22 189.60 -2.12 -40.12 CANOLA 116.28 1.58 183.80 0.73 133.97 45250.22 337.77 -13.10 -442.63 CHF 1453.94 0.54 783.20 1.00 783.20 45250.22 57.78 0.84 4.88 COCOA 734.00 3.18 2331.26 1.00 2331.26 45250.22 19.41 6.25 12.13 COFFEE 914.81 1.95 1782.61 1.00 1782.61 45250.22 25.38 3.74 9.49 COPPER 1047.75 1.42 1483.90 1.00 1483.90 45250.22 30.49 -3.04 -9.26 CORN 200.25 1.42 284.78 1.00 284.78 45250.22 158.89 -16.48 -261.81 COTTON2 343.90 1.43 491.51 1.00 491.51 45250.22 92.06 -16.40 -150.97 CRUDE_W 726.00 1.65 1194.57 1.00 1194.57 45250.22 37.88 3.52 13.33 DAX 185.00 0.89 164.29 1.10 180.48 45250.22 250.72 -0.06 -1.62 DOW 204.91 0.79 162.11 1.00 162.11 45250.22 279.14 -0.90 -25.22 DX 1017.30 0.38 387.07 1.00 387.07 45250.22 116.91 -11.06 -129.25 EUR 1387.06 0.41 565.15 1.00 565.15 45250.22 80.07 9.45 75.66 EURIBOR-ICE 2444.75 0.05 110.13 1.10 120.98 45250.22 374.02 4.18 156.39 EUROSTX 489.40 1.02 498.83 1.10 548.01 45250.22 82.57 -3.76 -31.06 FEEDCOW 1159.00 0.91 1056.10 1.00 1056.10 45250.22 42.85 -13.18 -56.48 GASOIL 701.00 1.69 1182.95 1.00 1182.95 45250.22 38.25 -8.14 -31.12 GASOLINE 864.49 1.82 1571.81 1.00 1571.81 45250.22 28.79 1.87 5.39 GAS_US_mini 58.88 3.63 213.66 1.00 213.66 45250.22 211.79 -4.61 -97.58 GBP 812.25 0.47 383.28 1.00 383.28 45250.22 118.06 6.42 75.75 GOLD_micro 251.96 0.85 215.21 1.00 215.21 45250.22 210.26 5.15 108.19 HEATOIL 966.80 1.69 1637.32 1.00 1637.32 45250.22 27.64 -13.62 -37.64 JGB-SGX-mini 144740.00 0.26 38230.15 0.01 256.70 45250.22 176.28 5.54 97.64 JPY 855.81 0.81 689.78 1.00 689.78 45250.22 65.60 1.57 10.29 LEANHOG 274.60 1.82 501.09 1.00 501.09 45250.22 90.30 3.30 29.77 LIVECOW 715.50 0.78 556.68 1.00 556.68 45250.22 81.29 4.13 33.59 LUMBER-new 148.09 1.62 240.01 1.00 240.01 45250.22 188.54 -0.95 -17.94 MILK 432.20 1.31 565.06 1.00 565.06 45250.22 80.08 6.20 49.64 MXP 266.35 0.95 252.39 1.00 252.39 45250.22 179.29 -2.15 -38.58 NASDAQ_micro 395.38 1.28 504.94 1.00 504.94 45250.22 89.61 -6.82 -61.13 NIKKEI 37805.00 2.37 89737.01 0.01 602.55 45250.22 75.10 -3.56 -26.73 NZD 611.00 0.68 412.63 1.00 412.63 45250.22 109.66 2.09 22.97 OAT 1263.30 0.35 444.13 1.10 487.92 45250.22 92.74 0.24 2.18 OATIES 153.75 1.69 260.26 1.00 260.26 45250.22 173.86 -9.07 -157.64 OJ 666.90 1.63 1087.07 1.00 1087.07 45250.22 41.63 11.54 48.03 PALLAD 923.00 2.52 2328.12 1.00 2328.12 45250.22 19.44 -1.53 -2.98 PLAT 483.10 1.70 819.89 1.00 819.89 45250.22 55.19 -2.59 -14.29 REDWHEAT 278.12 1.61 447.29 1.00 447.29 45250.22 101.17 -20.00 -202.33 RICE 299.50 1.13 339.01 1.00 339.01 45250.22 133.48 -1.12 -14.93 ROBUSTA 448.50 1.65 742.09 1.00 742.09 45250.22 60.98 9.01 54.96 RUSSELL 108.68 1.41 152.94 1.00 152.94 45250.22 295.87 -2.33 -68.89 SHATZ 1061.80 0.08 85.64 1.10 94.08 45250.22 480.97 -3.86 -185.89 SILVER-mini 745.00 1.74 1299.38 1.00 1299.38 45250.22 34.82 -0.46 -1.62 SMI 1229.10 0.81 999.29 1.15 1147.04 45250.22 39.45 8.07 31.84 SOFR 2420.87 0.07 162.61 1.00 162.61 45250.22 278.27 7.08 197.07 SOYBEAN 488.12 1.38 671.56 1.00 671.56 45250.22 67.38 -17.74 -119.54 SOYMEAL 310.70 1.68 523.16 1.00 523.16 45250.22 86.49 -13.66 -118.12 SOYOIL 234.78 1.79 420.28 1.00 420.28 45250.22 107.67 -12.32 -132.61 SP400 3046.00 1.09 3311.22 1.00 3311.22 45250.22 13.67 -3.36 -4.59 SP500_micro 280.71 0.91 256.43 1.00 256.43 45250.22 176.46 -4.64 -81.89 SUGAR11 205.74 1.57 323.03 1.00 323.03 45250.22 140.08 -8.12 -113.79 US10 1132.03 0.37 421.14 1.00 421.14 45250.22 107.45 4.53 48.73 US10U 1175.94 0.49 571.32 1.00 571.32 45250.22 79.20 6.47 51.22 US2 2062.58 0.12 248.96 1.00 248.96 45250.22 181.76 1.33 24.18 US20 1241.56 0.70 873.35 1.00 873.35 45250.22 51.81 6.93 35.90 US30 1326.88 0.98 1305.09 1.00 1305.09 45250.22 34.67 4.50 15.59 US5 1087.81 0.26 280.30 1.00 280.30 45250.22 161.44 3.36 54.22 VIX 174.00 6.64 1155.95 1.00 1155.95 45250.22 39.15 -4.89 -19.13 WHEAT 276.12 1.58 436.90 1.00 436.90 45250.22 103.57 -15.85 -164.17 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 35.908 0.010 2.5 0.932 BITCOIN -244.061 0.043 2.5 -26.429 BOBL -84.843 0.004 2.5 -0.860 BTP -8.573 0.014 2.5 -0.292 BUND 3.405 0.004 2.5 0.035 BUXL -11.300 0.004 2.5 -0.115 CAC -35.348 0.014 2.5 -1.206 CAD -40.123 0.010 2.5 -1.041 CANOLA -442.632 0.010 2.5 -10.769 CHF 4.882 0.010 2.5 0.127 COCOA 12.131 0.009 2.5 0.260 COFFEE 9.492 0.005 2.5 0.111 COPPER -9.262 0.043 2.5 -1.003 CORN -261.808 0.010 2.5 -6.369 COTTON2 -150.966 0.009 2.5 -3.233 CRUDE_W 13.332 0.043 2.5 1.444 DAX -1.618 0.014 2.5 -0.055 DOW -25.219 0.009 2.5 -0.586 DX -129.247 0.010 2.5 -3.353 EUR 75.660 0.010 2.5 1.963 EURIBOR-ICE 156.386 0.014 2.5 5.334 EUROSTX -31.061 0.014 2.5 -1.059 FEEDCOW -56.477 0.013 2.5 -1.871 GASOIL -31.122 0.017 2.5 -1.349 GASOLINE 5.393 0.017 2.5 0.234 GAS_US_mini -97.583 0.043 2.5 -10.567 GBP 75.750 0.010 2.5 1.965 GOLD_micro 108.187 0.014 2.5 3.690 HEATOIL -37.637 0.017 2.5 -1.632 JGB-SGX-mini 97.644 0.043 2.5 10.574 JPY 10.291 0.010 2.5 0.267 LEANHOG 29.767 0.024 2.5 1.809 LIVECOW 33.592 0.013 2.5 1.113 LUMBER-new -17.938 0.009 2.5 -0.384 MILK 49.640 0.009 2.5 1.063 MXP -38.580 0.059 2.5 -5.662 NASDAQ_micro -61.126 0.009 2.5 -1.421 NIKKEI -26.727 0.043 2.5 -2.894 NZD 22.972 0.010 2.5 0.596 OAT 2.181 0.014 2.5 0.074 OATIES -157.638 0.010 2.5 -3.835 OJ 48.026 0.009 2.5 1.029 PALLAD -2.980 0.014 2.5 -0.102 PLAT -14.293 0.014 2.5 -0.487 REDWHEAT -202.333 0.005 2.5 -2.684 RICE -14.930 0.010 2.5 -0.363 ROBUSTA 54.959 0.005 2.5 0.642 RUSSELL -68.886 0.013 2.5 -2.283 SHATZ -185.891 0.004 2.5 -1.885 SILVER-mini -1.617 0.014 2.5 -0.055 SMI 31.838 0.014 2.5 1.086 SOFR 197.072 0.024 2.5 11.977 SOYBEAN -119.543 0.004 2.5 -1.112 SOYMEAL -118.118 0.004 2.5 -1.099 SOYOIL -132.612 0.004 2.5 -1.234 SP400 -4.586 0.013 2.5 -0.152 SP500_micro -81.890 0.009 2.5 -1.903 SUGAR11 -113.791 0.009 2.5 -2.420 US10 48.726 0.005 2.5 0.617 US10U 51.224 0.005 2.5 0.649 US2 24.185 0.005 2.5 0.306 US20 35.904 0.005 2.5 0.455 US30 15.593 0.005 2.5 0.198 US5 54.216 0.005 2.5 0.687 VIX -19.126 0.099 2.5 -4.721 WHEAT -164.171 0.005 2.5 -2.178 ===================== Position diags ===================== AUD 2.98 BITCOIN 23.81 BOBL 1.69 BTP 2.91 BUND 0.84 BUXL 0.34 CAC 2.06 CAD 4.92 CANOLA 8.22 CHF 1.50 COCOA 0.42 COFFEE 0.30 COPPER 3.30 CORN 3.87 COTTON2 1.97 CRUDE_W 4.10 DAX 8.55 DOW 6.49 DX 3.03 EUR 2.08 EURIBOR-ICE 12.76 EUROSTX 2.82 FEEDCOW 1.42 GASOIL 1.66 GASOLINE 1.25 GAS_US_mini 22.93 GBP 3.06 GOLD_micro 7.17 HEATOIL 1.20 JGB-SGX-mini 19.09 JPY 1.70 LEANHOG 5.49 LIVECOW 2.69 LUMBER-new 4.04 MILK 1.72 MXP 26.31 NASDAQ_micro 2.08 NIKKEI 8.13 NZD 2.85 OAT 3.16 OATIES 4.23 OJ 0.89 PALLAD 0.66 PLAT 1.88 REDWHEAT 1.34 RICE 3.25 ROBUSTA 0.71 RUSSELL 9.80 SHATZ 4.88 SILVER-mini 1.19 SMI 1.35 SOFR 16.91 SOYBEAN 0.63 SOYMEAL 0.80 SOYOIL 1.00 SP400 0.45 SP500_micro 4.10 SUGAR11 2.98 US10 1.36 US10U 1.00 US2 2.30 US20 0.66 US30 0.44 US5 2.05 VIX 9.66 WHEAT 1.37 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.9 0.6 1.2 2.0 2 BITCOIN -26.4 -28.8 -24.0 0.0 0 BOBL -0.9 -1.0 -0.7 0.0 0 BTP -0.3 -0.6 -0.0 0.0 0 BUND 0.0 -0.0 0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -1.2 -1.4 -1.0 0.0 0 CAD -1.0 -1.5 -0.5 0.0 0 CANOLA -10.8 -11.6 -9.9 -1.0 -1 CHF 0.1 -0.0 0.3 3.0 3 COCOA 0.3 0.2 0.3 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER -1.0 -1.3 -0.7 -1.0 -1 CORN -6.4 -6.8 -6.0 -3.0 -3 COTTON2 -3.2 -3.4 -3.0 -5.0 -5 CRUDE_W 1.4 1.0 1.9 3.0 3 DAX -0.1 -0.9 0.8 0.0 0 DOW -0.6 -1.2 0.1 0.0 0 DX -3.4 -3.7 -3.1 0.0 0 EUR 2.0 1.8 2.2 2.0 2 EURIBOR-ICE 5.3 4.1 6.6 0.0 0 EUROSTX -1.1 -1.3 -0.8 -2.0 -2 FEEDCOW -1.9 -2.0 -1.7 -2.0 -2 GASOIL -1.3 -1.5 -1.2 0.0 0 GASOLINE 0.2 0.1 0.4 0.0 0 GAS_US_mini -10.6 -12.9 -8.3 -14.0 -14 GBP 2.0 1.7 2.3 0.0 0 GOLD_micro 3.7 3.0 4.4 1.0 1 HEATOIL -1.6 -1.8 -1.5 -2.0 -2 JGB-SGX-mini 10.6 8.7 12.5 4.0 4 JPY 0.3 0.1 0.4 2.0 2 LEANHOG 1.8 1.3 2.4 1.0 1 LIVECOW 1.1 0.8 1.4 4.0 4 LUMBER-new -0.4 -0.8 0.0 -2.0 -2 MILK 1.1 0.9 1.2 NaN 0 MXP -5.7 -8.3 -3.0 -7.0 -7 NASDAQ_micro -1.4 -1.6 -1.2 -1.0 -1 NIKKEI -2.9 -3.7 -2.1 -2.0 -2 NZD 0.6 0.3 0.9 0.0 0 OAT 0.1 -0.2 0.4 0.0 0 OATIES -3.8 -4.3 -3.4 NaN 0 OJ 1.0 0.9 1.1 1.0 1 PALLAD -0.1 -0.2 -0.0 -1.0 -1 PLAT -0.5 -0.7 -0.3 -1.0 -1 REDWHEAT -2.7 -2.8 -2.5 -2.0 -2 RICE -0.4 -0.7 -0.0 NaN 0 ROBUSTA 0.6 0.6 0.7 0.0 0 RUSSELL -2.3 -3.3 -1.3 -3.0 -3 SHATZ -1.9 -2.4 -1.4 NaN 0 SILVER-mini -0.1 -0.2 0.1 -1.0 -1 SMI 1.1 1.0 1.2 0.0 0 SOFR 12.0 10.3 13.7 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -5.0 -5 SOYMEAL -1.1 -1.2 -1.0 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 0.0 0 SP400 -0.2 -0.2 -0.1 -1.0 -1 SP500_micro -1.9 -2.3 -1.5 0.0 0 SUGAR11 -2.4 -2.7 -2.1 0.0 0 US10 0.6 0.5 0.8 0.0 0 US10U 0.6 0.5 0.7 1.0 1 US2 0.3 0.1 0.5 NaN 0 US20 0.5 0.4 0.5 0.0 0 US30 0.2 0.2 0.2 4.0 4 US5 0.7 0.5 0.9 3.0 3 VIX -4.7 -5.7 -3.8 -2.0 -2 WHEAT -2.2 -2.3 -2.0 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.1 -0.2 0.1 -0.0 0.2 -0.1 0.1 -0.0 0.0 0.2 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.0 0.4 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 0.5 -0.2 -0.1 0.1 0.4 -0.2 0.4 -0.0 BITCOIN -0.3 -0.4 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.1 -0.3 -0.6 0.1 0.2 -0.4 -0.2 -0.1 -0.0 BOBL 0.6 0.6 0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 -0.0 -0.1 -0.2 -0.7 -0.7 -0.3 -0.3 BTP 0.3 0.5 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.3 0.1 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 0.6 0.4 -0.6 -0.2 -0.5 -0.7 -0.5 -0.1 0.2 BUND 0.5 0.5 0.2 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.1 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 0.4 -0.1 -0.1 -0.2 -0.3 -0.7 -0.7 -0.3 -0.3 BUXL 0.5 0.4 0.2 0.0 -0.0 0.1 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 0.1 0.0 0.0 -0.1 0.1 -0.4 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.2 -0.3 -0.4 -0.7 -0.7 -0.4 -0.3 CAC -0.2 -0.5 -0.6 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 -0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.0 -0.1 -1.0 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.4 -0.0 0.0 -0.6 -0.6 0.3 0.2 0.1 0.2 CAD 0.2 -0.1 -0.1 -0.0 0.2 -0.1 0.1 -0.0 0.0 0.2 -0.5 0.2 -0.7 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.3 0.1 -0.2 -0.0 0.2 -0.1 0.1 -0.2 0.0 -0.1 0.5 0.2 -0.1 -0.3 0.3 -0.2 0.0 -0.1 CANOLA -0.6 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.4 0.3 -0.1 CHF 0.5 0.6 0.5 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.0 -0.1 0.1 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.5 0.6 0.6 0.5 0.1 -0.4 -0.2 -0.4 COCOA 0.0 -0.3 0.2 -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 0.4 0.4 0.4 -0.0 0.0 0.0 0.2 0.0 -2.6 0.0 0.0 0.1 0.0 0.4 0.0 1.1 0.3 0.2 0.1 0.0 0.6 0.2 0.7 0.4 COFFEE -0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.5 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.1 0.2 0.1 0.3 0.0 0.4 0.5 0.5 0.6 0.5 -0.1 -0.3 0.1 -0.1 COPPER -0.2 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.1 -1.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.3 -0.0 -0.2 -0.2 0.1 0.4 0.1 0.6 0.5 CORN -0.0 -0.5 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.0 -0.4 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 0.1 -0.6 -0.3 -0.2 -0.3 -0.1 -0.0 COTTON2 0.1 -0.2 -0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.5 -0.1 -0.5 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.1 -0.0 -0.5 0.2 -0.1 0.1 -0.5 -0.3 -0.3 0.1 -0.1 CRUDE_W -0.2 -0.4 -0.4 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.4 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.5 0.1 -0.1 -0.0 -0.3 0.4 0.7 0.5 0.7 DAX -0.3 -0.4 -0.6 0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.4 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 0.2 -0.0 1.2 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.4 0.2 0.2 -0.3 -0.5 0.3 0.1 -0.1 0.1 DOW -0.3 -0.0 -0.4 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.3 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 0.1 0.2 0.0 -1.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.4 0.1 0.3 0.3 0.0 0.4 -0.0 0.0 -0.1 DX -0.4 -0.6 -0.3 -0.0 0.2 -0.1 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.4 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.0 -0.2 0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.9 -0.5 -0.6 -0.6 -0.5 -0.2 0.2 -0.3 0.3 EUR 0.3 0.4 0.2 -0.0 0.2 -0.1 0.1 -0.0 0.0 0.2 -0.0 0.2 -0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 2.7 0.1 0.1 0.1 0.1 0.0 0.1 -0.4 0.1 0.6 0.6 0.5 0.1 -0.6 -0.1 -0.6 EURIBOR-ICE 0.6 0.6 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 -0.1 -0.0 -0.1 0.1 0.1 0.0 0.1 0.1 1.7 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.7 -0.7 -0.2 0.0 EUROSTX -0.3 -0.6 -0.6 0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 0.0 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 -0.0 -0.2 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.3 0.1 0.1 -0.5 -0.6 0.1 0.0 -0.5 -0.0 FEEDCOW -0.6 -0.6 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.2 -0.4 -0.0 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.9 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.4 -0.6 -0.6 -0.3 0.1 0.7 0.3 0.7 GASOIL -0.3 -0.4 -0.5 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 0.3 -0.1 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.6 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.3 -0.1 -0.1 -0.4 -0.5 -0.7 -0.7 GASOLINE -0.2 -0.2 -0.4 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.4 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 1.1 -0.2 -0.0 0.2 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.2 -0.5 0.3 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.3 0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.5 -0.0 2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.5 0.3 -0.2 0.5 -0.1 -0.4 -0.3 -0.6 GBP -0.3 0.1 0.2 -0.0 0.2 -0.1 0.1 -0.0 0.0 0.2 0.4 0.1 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.2 0.1 -0.1 0.0 0.2 0.1 0.1 0.2 0.0 0.2 0.2 -0.2 0.5 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.2 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -0.7 0.0 0.1 0.1 0.1 0.2 0.0 -0.7 0.2 0.5 0.6 0.5 0.3 -0.1 0.6 0.1 HEATOIL -0.3 -0.3 -0.4 -0.0 -0.1 -0.1 -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 -0.1 -0.1 -0.1 -0.0 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 -0.3 -0.1 0.2 -0.5 0.1 JGB-SGX-mini 0.6 0.6 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.3 0.4 0.4 0.4 0.0 0.0 0.0 -0.0 0.1 -0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 1.1 0.0 0.2 -0.1 -0.2 -0.2 -0.2 -0.1 0.4 JPY 0.6 0.6 0.5 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.0 -0.2 0.1 2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.4 0.6 0.6 0.1 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.3 0.2 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.2 0.0 -0.1 0.4 0.2 0.4 0.4 -0.1 -0.1 0.0 -0.2 -0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 0.0 0.4 0.2 -0.5 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.3 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 0.3 -0.1 0.1 0.4 0.2 0.3 0.3 -0.0 0.1 -0.1 0.2 -0.1 -1.6 -0.0 -0.1 0.1 -0.1 0.2 -0.1 1.0 -0.1 -0.2 0.4 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 0.5 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.4 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.3 0.1 NaN 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.4 0.7 0.7 -0.1 0.1 -0.1 0.3 -0.0 MILK 0.0 0.1 0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.1 0.1 0.1 -0.3 -0.4 -0.4 -0.4 0.1 0.1 0.2 0.1 0.2 2.2 0.0 0.1 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.0 -0.7 MXP -0.3 -0.2 -0.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.0 -0.0 -0.0 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 0.0 -0.0 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.1 -0.5 -0.2 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro -0.5 -0.6 -0.5 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 0.1 0.2 -0.0 -2.1 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.4 0.1 -0.0 -0.3 0.1 0.1 0.2 -0.2 0.1 NIKKEI -0.6 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.2 -0.0 -0.0 0.2 0.2 0.2 0.2 -0.0 -0.0 0.0 0.1 -0.0 -1.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.6 -0.4 -0.3 0.3 -0.1 0.1 -0.1 NZD 0.3 -0.3 0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.3 0.2 -0.3 0.1 0.3 -0.2 0.3 0.0 OAT 0.5 0.5 -0.1 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.0 -0.1 0.1 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 0.6 0.2 -0.4 -0.2 -0.5 -0.6 -0.7 -0.1 -0.0 OATIES -0.2 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.0 0.1 0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.7 0.3 OJ -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 0.1 0.5 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 0.1 0.2 0.1 0.5 0.0 0.7 0.5 0.6 0.6 0.6 0.5 0.4 0.7 0.7 PALLAD 0.1 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.1 -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 0.1 0.1 0.3 0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.1 -0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.1 0.0 0.3 -0.3 -0.3 -0.2 0.1 REDWHEAT -0.0 -0.6 -0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.8 -0.3 0.0 -0.4 -0.0 -0.7 -0.7 -0.5 -0.6 RICE 0.1 -0.6 -0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.0 -0.0 -0.1 0.4 0.4 0.4 -0.0 0.0 -0.1 0.2 -0.1 -1.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 1.1 -0.4 0.6 0.2 0.6 -0.7 -0.4 -0.7 -0.4 ROBUSTA -0.3 -0.2 0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.5 0.4 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.6 0.1 -0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.1 -0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.2 0.1 0.4 0.1 0.1 -0.6 -0.1 -0.7 SHATZ 0.6 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.2 0.1 0.1 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.3 -0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 0.1 -0.0 0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.0 0.3 0.1 -0.2 0.2 0.2 SMI -0.5 -0.5 0.1 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.1 0.4 0.0 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 0.1 0.2 0.0 1.2 0.0 0.1 0.1 0.1 0.2 0.0 0.5 0.2 0.6 0.3 0.4 0.1 0.1 -0.3 -0.1 SOFR 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.2 0.1 0.1 0.1 0.1 0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.1 0.1 -0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.0 0.1 0.0 0.2 0.3 -0.5 0.7 0.2 SOYBEAN -0.4 -0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.2 -2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.3 -0.5 -0.3 -0.2 -0.7 -0.0 -0.7 SOYMEAL 0.1 -0.3 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.2 -0.2 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.4 -0.1 -0.2 -0.2 -0.3 0.1 -0.1 SP400 -0.4 -0.1 -0.5 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.0 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 0.1 -0.0 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.2 0.3 -0.0 0.2 -0.3 -0.0 -0.7 SP500_micro -0.5 -0.6 -0.4 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.1 0.3 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.3 0.0 -1.8 0.0 0.1 0.1 0.0 0.2 0.0 -0.6 0.2 0.0 -0.1 0.2 0.3 0.1 -0.1 0.0 SUGAR11 -0.2 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.1 0.0 0.2 -0.0 -0.1 0.6 -0.0 0.7 US10 0.5 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 0.1 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.1 0.1 0.1 0.0 -0.0 0.1 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.4 -0.0 0.1 0.0 0.1 0.2 -0.7 0.6 0.1 US10U 0.5 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 -0.6 0.7 0.5 US2 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 1.5 0.0 -0.0 0.0 0.0 0.0 0.0 -1.1 -0.1 0.3 0.3 0.1 0.1 -0.7 0.2 -0.4 US20 0.5 0.5 0.6 0.0 -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 0.1 0.1 0.1 -0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.0 0.0 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.5 0.4 0.5 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.1 -0.3 0.5 0.7 US5 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.1 0.0 -0.0 0.1 0.7 0.0 -0.0 0.1 0.0 0.0 0.0 -0.7 -0.1 0.1 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 0.6 1.0 1.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.5 -0.1 -0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.0 -0.1 -0.1 0.0 NaN 0.0 -0.0 -0.0 0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.7 -1.1 NaN NaN WHEAT 0.0 -0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.3 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 0.2 -0.3 0.0 -0.6 -0.7 -0.5 -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 -2.9 -6.3 3.1 -1.3 18.8 -2.1 10.7 -0.4 2.8 19.1 -2.3 11.4 -3.8 -4.1 -1.9 -2.0 -2.6 -2.2 -2.4 -2.5 -0.7 20.0 -1.3 3.6 3.2 -1.6 16.5 -0.5 9.7 -0.2 1.6 -0.0 20.0 -6.0 -3.6 4.6 11.4 -4.6 13.1 -0.6 BITCOIN -10.8 -11.6 -16.2 -3.5 3.2 -2.8 1.5 -1.3 -1.5 4.1 2.0 -5.2 6.9 -5.3 -6.2 -5.3 -7.0 -6.2 -6.8 -5.8 -0.4 -5.7 6.6 -7.4 -20.0 -2.8 -0.7 0.6 -2.9 5.0 -3.7 -2.8 -13.4 -17.9 3.6 6.7 -12.3 -6.3 -4.5 -0.5 BOBL 17.1 20.0 8.5 3.0 -0.1 1.7 1.7 0.3 3.2 -8.3 -2.6 5.0 -4.7 8.0 7.9 -20.0 -16.5 -20.0 -20.0 9.7 3.5 2.3 -2.7 9.8 4.2 3.1 -1.6 1.4 0.7 -0.1 3.0 -20.0 -6.0 -1.5 -2.0 -6.8 -20.0 -20.0 -9.2 -10.2 BTP 8.9 15.0 0.8 5.4 -0.2 3.0 3.0 0.5 5.6 3.9 9.7 12.0 13.7 17.9 16.7 1.4 3.9 1.5 2.3 13.8 10.2 8.6 9.4 14.4 -20.0 5.9 1.2 4.6 3.9 4.3 6.2 11.0 15.5 -20.0 -6.5 -16.3 -20.0 -16.1 -3.3 4.5 BUND 15.6 16.7 7.0 3.3 -0.1 1.9 1.9 0.3 3.5 -7.6 -1.5 6.0 -1.5 9.2 9.0 6.8 1.4 4.3 1.9 9.8 4.3 3.6 -1.1 10.1 1.0 3.5 -1.1 2.0 1.2 0.6 3.5 7.8 -3.5 -4.4 -4.8 -8.0 -20.0 -20.0 -7.9 -9.7 BUXL 16.6 13.0 4.6 3.9 -0.1 2.2 2.2 0.3 4.1 -3.6 -2.8 7.3 -1.1 10.1 8.2 -0.7 -2.3 -1.6 -2.5 8.7 3.0 5.0 -2.6 10.4 -3.3 3.8 -0.5 2.1 1.9 0.6 4.2 1.3 -2.2 -7.4 -9.9 -13.0 -20.0 -20.0 -11.5 -9.4 CAC -5.1 -15.4 -20.0 0.0 7.2 2.8 2.7 4.5 -0.9 14.5 -8.1 1.6 3.1 -5.8 -12.6 -5.2 -1.8 -5.1 -2.9 -15.9 -11.0 7.0 -0.3 -8.8 -7.7 -4.7 5.7 -2.8 1.9 0.7 -2.6 6.9 -1.3 1.4 -20.0 -20.0 8.6 5.1 2.1 5.3 CAD 5.7 -1.6 -2.4 -1.6 20.0 -2.5 12.6 -0.5 3.3 20.0 -18.8 20.0 -19.0 2.9 -5.1 -5.1 -3.4 -4.6 -4.0 -4.8 -9.5 19.1 -11.6 5.8 -1.3 -2.9 16.9 -5.1 11.7 -5.5 3.4 -2.0 19.1 6.2 -2.7 -8.3 9.9 -6.3 0.7 -3.9 CANOLA -20.0 -6.5 2.2 -2.3 0.1 -1.7 -1.3 -1.1 -2.1 -4.6 -5.0 -6.9 -6.3 -6.7 -5.8 -10.7 -10.3 -12.2 -12.7 -8.0 -5.7 -10.3 -5.9 -10.8 -14.8 -2.4 -1.6 -2.2 -2.3 -2.6 -2.4 -20.0 -3.5 -5.2 -1.7 -2.8 0.2 -11.0 8.7 -4.1 CHF 14.6 20.0 15.9 -0.8 10.8 -1.2 6.2 -0.2 1.6 -3.1 -4.0 2.7 -6.0 5.7 7.0 -14.4 -16.5 -16.0 -16.3 9.5 3.1 4.6 -1.9 9.9 3.4 3.5 0.8 1.4 1.8 -0.1 3.7 -20.0 -20.0 20.0 18.1 14.7 3.4 -10.9 -6.6 -12.0 COCOA 0.3 -8.4 4.7 -2.1 0.1 -1.5 -1.2 -1.0 -1.9 3.7 1.9 2.4 3.2 -0.4 -2.7 20.0 19.7 20.0 20.0 -0.2 3.2 2.6 7.7 0.5 -19.5 0.8 2.6 5.2 1.6 11.3 0.5 20.0 10.6 6.8 2.1 0.5 17.4 6.8 20.0 10.9 COFFEE -6.9 -4.1 7.3 -4.9 0.2 -3.6 -2.9 -2.3 -4.6 13.4 12.4 10.3 12.8 4.4 10.6 3.4 6.3 4.0 5.4 8.5 12.9 10.4 13.6 6.7 -20.0 3.6 8.6 7.2 6.0 9.5 3.3 6.6 20.0 14.0 19.5 15.6 -3.2 -10.5 3.9 -3.8 COPPER -5.4 -20.0 -14.7 -2.5 2.3 -2.0 1.1 -0.9 -1.1 8.6 -2.4 3.6 0.4 -6.2 -7.8 -2.2 -2.6 -1.4 -1.7 -8.6 -2.8 3.1 2.7 -6.0 -11.1 -2.4 2.5 -0.8 0.8 0.8 -1.6 5.5 -0.9 -5.5 -6.5 4.3 10.9 3.8 19.2 14.1 CORN -0.3 -14.8 -13.1 -3.6 0.2 -2.7 -2.1 -1.7 -3.4 -0.2 -11.4 -8.6 -12.1 -11.1 -11.8 -20.0 -14.4 -19.3 -18.0 -15.4 -16.2 -5.0 -15.1 -10.3 -8.3 -4.0 -0.1 -4.1 -1.3 -3.7 -2.7 -20.0 -2.3 2.5 -18.9 -9.1 -6.2 -8.9 -4.3 -1.1 COTTON2 2.4 -6.9 -20.0 -5.0 0.2 -3.7 -2.9 -2.3 -4.7 3.0 -17.2 -7.3 -14.8 -14.5 -16.4 -11.2 -2.1 -8.8 -5.1 -18.2 -20.0 -3.5 -18.8 -10.7 -20.0 -5.8 2.7 -5.9 -1.2 -3.2 -3.7 -9.7 9.0 -2.5 2.5 -15.7 -9.7 -9.5 2.2 -2.7 CRUDE_W -6.3 -11.6 -11.4 -4.6 -6.7 -2.6 -3.6 0.2 -4.3 -2.8 1.1 0.1 11.2 -7.8 -6.2 12.1 12.7 13.3 13.2 -7.0 -2.0 -5.8 3.9 -7.3 -2.4 -5.2 -5.5 -3.7 -2.5 0.0 -3.9 9.8 5.4 -3.3 -0.8 -8.4 13.0 19.8 14.4 20.0 DAX -10.3 -13.7 -19.6 0.0 6.4 2.5 2.4 4.0 -0.8 12.9 3.3 4.8 9.9 -1.9 -5.3 -7.2 -10.6 -8.7 -9.8 -5.8 -0.3 10.5 6.8 -2.8 8.7 -2.4 8.3 0.7 3.3 4.1 -1.6 -7.3 7.5 5.4 -9.3 -15.1 10.5 4.2 -2.7 3.7 DOW -9.7 -0.6 -11.4 0.0 5.2 2.0 2.0 3.3 -0.7 10.6 4.0 6.2 9.1 0.9 2.1 -8.5 -11.0 -10.0 -10.7 2.9 4.4 11.0 6.7 4.0 -8.4 1.8 6.7 2.8 3.9 4.1 1.7 -8.3 3.3 8.8 9.6 0.4 11.4 -0.2 1.2 -3.9 DX -13.8 -19.6 -8.7 -1.2 16.7 -1.9 9.5 -0.4 2.5 -16.0 3.7 -17.7 11.2 -18.2 -15.5 6.5 7.0 7.1 7.1 -14.4 -4.4 -20.0 3.1 -20.0 -20.0 -5.6 -9.0 -1.9 -8.5 0.9 -8.0 16.5 -20.0 -20.0 -20.0 -15.9 -6.9 5.3 -8.2 8.0 EUR 7.9 11.9 5.3 -1.4 19.5 -2.2 11.1 -0.4 2.9 19.4 -0.7 20.0 -8.6 20.0 16.9 -7.1 -7.2 -7.4 -7.3 11.4 4.0 20.0 -1.3 18.5 20.0 6.1 14.5 2.9 12.4 0.8 9.5 -8.1 5.8 20.0 20.0 13.9 2.7 -17.3 -1.7 -18.3 EURIBOR-ICE 17.0 20.0 6.6 2.6 -0.1 1.5 1.5 0.2 2.7 -6.7 -0.0 5.2 1.7 8.1 7.9 -0.2 -4.0 -2.3 -3.2 11.2 6.0 3.9 1.9 11.1 12.4 2.9 -1.0 1.6 1.0 0.7 2.9 -0.6 0.7 -1.4 2.9 -4.1 -20.0 -20.0 -5.1 1.4 EUROSTX -8.6 -18.3 -20.0 0.0 6.3 2.5 2.3 3.9 -0.8 12.6 3.4 4.3 9.4 -4.2 -7.2 -3.7 -2.8 -4.6 -4.1 -8.4 -2.3 9.1 6.2 -4.6 -1.7 -3.0 7.1 -0.1 2.8 3.6 -1.9 4.8 6.0 4.3 -14.7 -17.8 2.3 0.9 -13.9 -1.4 FEEDCOW -20.0 -20.0 -8.8 -5.2 0.2 -3.8 -3.0 -2.4 -4.8 -14.0 -7.4 -14.7 -6.7 -15.3 -12.1 9.7 -20.0 -0.2 -10.8 -20.0 -14.6 -20.0 -6.6 -20.0 -6.4 -5.1 -4.0 -3.0 -5.4 -1.0 -6.4 -20.0 -17.7 -20.0 -20.0 -10.5 2.2 20.0 9.2 20.0 GASOIL -9.0 -10.8 -14.0 -4.3 -6.2 -2.4 -3.4 0.2 -4.0 -11.3 -5.9 -9.0 8.8 -13.3 -11.7 2.5 9.9 1.2 4.1 -11.2 -6.1 -12.4 1.6 -12.6 4.2 -5.3 -8.3 -3.1 -5.5 0.1 -5.9 0.1 -8.7 -8.7 -2.6 -2.5 -10.5 -14.3 -20.0 -20.0 GASOLINE -6.0 -7.6 -11.2 -4.3 -6.4 -2.5 -3.4 0.2 -4.1 -13.2 2.3 -8.8 9.8 -10.2 -8.7 20.0 20.0 20.0 20.0 -6.5 -1.9 -10.6 4.7 -8.4 -20.0 -4.9 -10.0 -3.0 -5.9 1.5 -5.0 20.0 -7.1 -0.7 5.4 -5.4 20.0 20.0 20.0 20.0 GAS_US_mini 6.1 -16.9 10.0 -3.3 -4.8 -1.9 -2.6 0.1 -3.1 11.1 -12.4 8.9 -13.7 -8.7 -11.4 -20.0 -20.0 -20.0 -20.0 -10.0 -11.9 3.9 -18.2 -3.6 20.0 -2.6 2.6 -3.5 2.3 -5.2 -0.4 -20.0 19.6 10.6 -7.0 14.3 -3.7 -12.2 -8.2 -18.1 GBP -8.8 4.0 6.0 -1.4 20.0 -2.3 11.6 -0.4 3.0 20.0 13.4 12.9 8.4 5.8 12.0 -0.5 -0.7 -0.6 -0.7 7.2 8.1 18.9 7.2 8.1 -0.8 4.1 18.0 5.3 10.1 5.0 4.1 3.1 6.9 -4.7 16.3 20.0 8.4 -20.0 8.0 -14.1 GOLD_micro 4.8 2.8 -3.9 -3.2 3.0 -2.6 1.4 -1.2 -1.4 10.6 10.6 9.9 10.7 8.9 7.2 -11.4 -13.2 -11.7 -12.3 8.8 10.5 14.0 12.0 10.3 -5.1 2.7 8.6 4.0 7.0 6.1 4.3 -12.7 7.2 15.1 20.0 15.5 9.8 -3.8 17.1 2.3 HEATOIL -9.0 -8.9 -11.2 -4.4 -6.5 -2.5 -3.5 0.2 -4.2 -12.1 -10.2 -10.3 3.2 -13.4 -11.8 -5.3 7.2 -4.9 -0.6 -11.9 -8.0 -14.0 -1.8 -13.4 -20.0 -6.0 -8.9 -5.0 -5.7 -1.5 -5.7 -6.3 -9.2 -7.5 -3.7 -10.6 -3.3 5.6 -13.7 2.2 JGB-SGX-mini 20.0 19.3 0.8 1.9 -0.1 1.1 1.1 0.2 2.0 -5.7 -1.0 3.5 -0.3 4.0 2.4 14.3 18.3 17.7 17.9 4.6 1.1 3.8 -0.3 6.8 -6.9 1.6 -0.3 0.2 1.5 -0.5 2.4 20.0 1.2 5.0 -2.4 -7.4 -5.5 -5.0 -3.6 11.4 JPY 20.0 20.0 15.9 -0.5 7.0 -0.8 4.0 -0.2 1.0 -1.4 -2.8 3.4 -6.3 5.1 3.8 -11.9 -15.6 -13.7 -14.6 7.5 0.4 4.8 -5.8 9.6 20.0 1.9 0.4 0.1 1.3 -1.3 2.5 -20.0 -16.1 20.0 18.0 2.7 -20.0 -16.1 -20.0 -15.9 LEANHOG 9.1 5.6 -20.0 -3.5 0.2 -2.6 -2.0 -1.6 -3.2 7.1 -6.9 -0.2 -6.0 3.9 -6.4 20.0 9.7 20.0 20.0 -6.6 -9.8 1.9 -8.8 -1.2 3.3 -2.4 2.6 -3.3 0.7 -2.7 -0.5 20.0 2.1 12.2 6.5 -14.9 -0.5 -6.4 3.8 3.2 LIVECOW -20.0 -7.8 9.8 -6.2 0.3 -4.6 -3.6 -2.9 -5.8 -10.9 12.0 -14.8 8.0 -11.6 6.2 17.7 10.7 14.7 14.4 -1.0 7.3 -16.3 8.2 -12.7 -11.9 -0.8 -6.1 3.0 -6.6 4.7 -5.4 18.0 -2.1 -5.0 12.7 20.0 -1.2 20.0 3.8 20.0 LUMBER-new 19.2 12.8 -8.5 -3.7 0.2 -2.7 -2.1 -1.6 -3.4 10.1 -7.7 11.4 -9.0 10.4 -0.7 -17.2 -17.4 -17.1 -17.4 0.3 -7.3 8.6 -8.9 7.7 NaN 0.6 2.2 -3.1 3.7 -3.9 3.6 -20.0 15.9 20.0 20.0 -1.9 3.6 -3.6 8.6 -1.0 MILK 1.2 2.3 20.0 -4.7 0.2 -3.4 -2.7 -2.1 -4.4 11.6 12.0 12.9 2.4 10.7 12.5 -12.9 -20.0 -17.7 -20.0 12.6 11.9 19.5 3.7 14.2 16.7 4.6 8.9 4.4 8.1 1.0 5.5 -20.0 20.0 20.0 19.4 20.0 -3.4 -20.0 1.2 -20.0 MXP -8.1 -7.2 -20.0 -0.6 9.0 -1.0 5.1 -0.2 1.3 8.7 -5.7 0.8 -0.3 -3.2 -6.6 10.1 14.6 11.1 12.6 -9.2 -7.6 2.7 -1.3 -5.1 -20.0 -3.0 1.9 -2.5 0.6 -0.4 -1.7 20.0 5.1 -15.5 -6.8 -19.4 17.5 12.6 20.0 19.1 NASDAQ_micro -15.6 -20.0 -13.9 0.0 4.0 1.6 1.5 2.5 -0.5 8.1 3.2 4.2 6.9 -1.8 -0.1 -7.1 -10.3 -9.2 -10.0 -1.4 2.8 8.3 6.5 -0.4 -15.5 -0.3 3.6 1.5 1.9 3.2 -0.4 -7.1 5.6 -0.9 -8.4 3.7 2.5 5.6 -6.3 3.4 NIKKEI -17.2 -20.0 -20.0 0.0 3.3 1.3 1.2 2.0 -0.4 5.9 1.8 2.7 4.4 -0.9 -1.2 8.3 10.1 10.2 9.8 -3.3 -0.5 2.2 2.4 -3.0 -7.3 -1.7 0.2 -0.1 -1.5 1.2 -2.5 20.0 -5.3 -20.0 -12.1 -10.6 8.8 -1.5 4.1 -4.3 NZD 8.7 -8.7 1.7 -1.0 14.3 -1.6 8.1 -0.3 2.1 12.0 -5.6 10.4 -3.7 1.4 -3.2 -0.2 0.1 -0.2 -0.1 -3.0 -3.0 11.8 -2.3 2.8 0.2 -1.6 9.4 -1.6 6.1 -0.9 1.5 4.3 11.5 5.8 -10.3 2.5 9.3 -4.8 7.7 0.1 OAT 16.2 16.8 -2.4 3.8 -0.1 2.1 2.1 0.3 3.9 -3.1 -5.1 8.2 -2.9 11.7 8.5 0.7 3.6 0.8 1.8 7.2 0.4 5.5 -3.8 10.3 2.5 3.2 -0.5 0.9 2.3 -0.2 4.4 10.4 6.7 -11.0 -6.5 -16.7 -18.0 -19.6 -4.0 -1.3 OATIES -4.8 -11.2 -20.0 -3.7 0.2 -2.8 -2.2 -1.7 -3.5 -8.2 -11.0 -11.3 -11.4 -10.6 -11.8 12.0 2.4 6.5 4.7 -13.4 -15.0 -7.0 -13.4 -9.4 -20.0 -3.7 -1.0 -3.5 -2.2 -2.7 -2.9 2.0 -2.7 -1.0 -2.8 -0.9 7.7 -0.7 19.8 8.8 OJ -1.4 -3.4 -4.2 -5.4 0.3 -4.0 -3.2 -2.5 -5.1 12.2 12.7 11.4 15.1 3.0 9.1 8.7 11.6 8.8 9.3 10.3 17.6 16.0 20.0 9.4 -20.0 3.6 7.7 7.3 7.0 13.7 3.7 14.0 20.0 20.0 20.0 20.0 14.2 10.8 20.0 20.0 PALLAD 2.4 -1.2 3.9 -2.3 2.1 -1.9 1.0 -0.8 -1.0 5.8 -6.2 6.3 -8.2 -2.4 -4.2 -1.9 -2.1 -1.9 -1.9 -2.9 -4.4 3.7 -8.0 0.0 14.2 -1.9 1.7 -2.7 1.9 -3.6 -0.1 5.9 2.8 3.3 10.2 2.9 -20.0 -20.0 -20.0 -20.0 PLAT -2.6 -11.9 -2.5 -3.0 2.7 -2.4 1.3 -1.1 -1.3 10.0 -4.1 0.9 -4.1 -6.3 -7.9 -4.6 -4.4 -4.9 -4.8 -5.0 -2.1 2.1 -0.4 -3.8 5.6 -3.2 2.7 -2.0 0.5 -0.5 -2.1 1.3 -4.2 -3.7 0.8 9.1 -9.7 -9.0 -5.0 2.0 REDWHEAT -1.5 -20.0 -14.9 -5.8 0.3 -4.3 -3.4 -2.7 -5.4 -11.8 -16.3 -15.0 -16.9 -17.8 -18.9 -11.3 -5.5 -10.5 -8.3 -20.0 -20.0 -12.8 -20.0 -17.8 -6.4 -5.7 -2.8 -4.8 -3.7 -4.2 -4.7 -15.5 -13.1 0.1 -13.3 -0.6 -20.0 -20.0 -15.2 -19.2 RICE 3.0 -17.5 -5.4 -4.9 0.2 -3.6 -2.9 -2.3 -4.6 -6.6 8.7 -5.2 11.6 -2.9 -0.1 -7.4 20.0 20.0 20.0 -2.9 1.8 -8.2 7.1 -5.5 -9.7 0.3 -3.6 1.9 -4.9 2.9 -2.3 20.0 -15.7 20.0 6.8 20.0 -20.0 -13.3 -20.0 -12.4 ROBUSTA -8.7 -5.1 10.1 -3.4 0.2 -2.5 -2.0 -1.6 -3.2 9.9 10.1 8.2 10.4 6.7 8.9 20.0 20.0 20.0 20.0 10.9 16.2 12.2 19.6 8.9 -20.0 3.7 4.9 6.2 3.9 8.8 2.9 20.0 20.0 11.1 20.0 20.0 2.4 -5.6 9.0 2.1 RUSSELL -20.0 4.6 -3.6 0.0 4.2 1.6 1.6 2.6 -0.5 8.2 2.9 -1.3 6.2 -2.2 0.2 -5.0 -6.6 -6.1 -6.4 1.2 2.9 2.1 3.2 -0.9 -0.8 1.4 2.5 2.0 0.6 2.0 0.3 -0.7 -7.1 1.6 13.2 3.4 4.3 -18.4 -3.4 -20.0 SHATZ 18.4 20.0 20.0 2.4 -0.1 1.3 1.3 0.2 2.5 -7.1 -2.5 3.5 -5.0 5.9 6.6 -20.0 -20.0 -20.0 -20.0 9.5 3.0 1.5 -4.5 9.1 6.8 2.5 -1.4 1.0 0.4 -0.6 2.4 -20.0 -7.2 2.1 1.6 -3.3 -20.0 -16.4 -16.9 -11.0 SILVER-mini -10.3 -15.3 -0.8 -2.7 2.5 -2.2 1.2 -1.0 -1.2 9.3 3.1 4.0 4.7 -4.9 -4.7 -5.4 -6.3 -5.7 -6.0 -3.8 1.9 5.2 5.4 -3.4 2.2 -2.3 4.8 -0.4 1.7 1.5 -1.5 -1.3 1.4 -5.8 -0.3 7.9 3.2 -5.1 7.4 6.3 SMI -16.0 -16.3 3.3 0.0 5.5 2.2 2.1 3.5 -0.7 11.3 8.7 6.7 10.4 2.7 6.1 -2.5 0.4 -2.9 -1.6 1.8 6.7 9.9 8.7 1.4 9.0 4.3 7.5 5.3 6.3 5.5 4.5 9.8 8.7 20.0 10.0 13.0 3.1 1.6 -7.8 -1.7 SOFR 12.2 20.0 19.0 3.3 -0.1 1.8 1.8 0.3 3.4 -0.8 5.7 6.1 1.5 9.0 10.5 0.5 -1.0 -0.7 -1.1 14.3 9.2 6.6 2.3 13.2 -3.9 3.9 0.0 2.9 1.9 1.4 3.6 3.7 -1.1 2.2 1.3 7.3 9.9 -13.9 20.0 5.8 SOYBEAN -13.6 -17.1 -15.2 -2.8 0.1 -2.1 -1.6 -1.3 -2.6 -4.9 -9.0 -7.9 -7.4 -8.8 -9.2 -9.7 3.4 -5.6 -2.1 -15.3 -12.8 -12.6 -9.3 -15.2 -16.5 -3.3 -1.3 -2.7 -2.7 -1.8 -3.2 -2.7 -17.7 -9.4 -16.6 -10.0 -5.1 -20.0 -0.1 -20.0 SOYMEAL 2.6 -9.5 -8.4 -2.8 0.1 -2.0 -1.6 -1.3 -2.6 -2.9 -8.0 -5.0 -7.8 -6.5 -7.8 -3.3 5.3 1.2 2.5 -8.3 -8.1 -5.7 -7.0 -7.3 -17.7 -2.5 -0.1 -2.1 -1.9 -1.5 -2.3 2.6 -13.4 5.5 -7.5 2.6 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -10.4 -4.4 -2.5 0.1 -1.9 -1.5 -1.2 -2.4 -4.8 -7.3 -7.5 -7.9 -8.0 -7.6 6.3 1.5 4.0 1.5 -10.1 -8.0 -10.6 -7.8 -12.2 -18.0 -2.7 -1.3 -2.2 -2.7 -1.8 -3.1 -2.0 -5.1 -12.5 -4.3 -5.5 -5.1 -10.3 4.2 -2.0 SP400 -11.2 -3.2 -14.2 0.0 4.8 1.9 1.8 3.0 -0.6 9.6 4.0 0.9 7.8 -1.6 -1.2 -5.4 -5.8 -5.6 -5.7 -0.0 2.3 5.0 4.7 -0.1 -8.3 1.3 4.4 2.6 1.8 3.4 0.5 0.7 -3.9 5.0 7.9 -0.6 6.5 -8.2 -1.2 -20.0 SP500_micro -16.1 -20.0 -13.2 0.0 4.8 1.9 1.8 3.0 -0.6 9.9 6.9 6.9 9.7 0.6 3.1 -9.1 -12.3 -11.6 -12.3 1.1 5.7 11.7 9.5 2.1 -13.4 0.5 5.6 2.9 3.1 4.8 0.2 -10.7 8.6 1.1 -2.6 5.5 9.6 3.3 -3.6 1.0 SUGAR11 -6.1 -3.5 -5.2 -4.5 0.2 -3.3 -2.6 -2.1 -4.2 -6.8 -13.0 -11.1 -11.3 -12.4 -11.6 -4.2 6.9 -2.8 1.1 -10.9 -12.4 -8.1 -10.9 -10.6 -20.0 -4.1 -1.7 -5.1 -3.3 -4.7 -3.9 3.5 2.7 0.7 6.0 -1.3 -4.1 17.6 -0.4 20.0 US10 14.9 20.0 19.9 2.6 -0.1 1.4 1.4 0.2 2.7 -0.9 3.5 4.7 -2.0 6.7 7.7 -8.3 -7.6 -7.8 -7.5 10.2 5.9 5.2 -0.3 10.1 2.0 3.0 0.1 2.0 1.6 0.7 2.9 -7.3 -1.8 3.2 0.7 4.4 5.0 -20.0 19.4 4.3 US10U 15.7 18.2 19.4 3.6 -0.1 2.0 2.0 0.3 3.7 3.2 4.0 7.6 -2.9 9.5 10.7 -3.3 -2.9 -3.9 -3.7 12.7 6.9 8.4 -1.1 13.3 -0.1 4.1 0.9 2.8 2.7 0.9 4.2 0.0 -0.3 2.0 -2.6 3.8 5.3 -17.5 20.0 13.8 US2 12.9 20.0 20.0 2.3 -0.1 1.3 1.3 0.2 2.4 -5.5 -0.1 2.8 -4.9 5.4 6.2 -20.0 -20.0 -20.0 -20.0 9.5 4.3 2.7 -2.6 9.1 11.4 2.5 -0.5 1.3 1.1 0.0 2.5 -20.0 -4.6 8.5 8.0 3.4 2.3 -20.0 6.4 -10.9 US20 16.7 14.5 17.4 2.5 -0.1 1.4 1.4 0.2 2.6 4.4 3.2 5.5 -0.0 6.3 7.1 -1.1 -0.8 -1.0 -0.8 8.2 4.7 6.8 -0.1 9.1 -1.6 2.9 1.2 2.2 2.2 1.0 3.0 4.3 0.7 0.6 -3.9 3.4 5.0 -10.4 20.0 20.0 US30 15.7 11.8 16.1 2.9 -0.1 1.6 1.6 0.2 3.0 5.7 2.3 6.1 -1.4 6.6 7.3 -3.9 -4.9 -4.1 -4.5 7.6 3.9 7.1 -1.3 8.9 -1.0 3.2 1.6 2.4 2.7 0.9 3.4 -2.5 1.4 -2.5 -7.6 0.8 1.9 -9.7 16.4 20.0 US5 13.3 20.0 20.0 2.6 -0.1 1.4 1.5 0.2 2.7 -5.5 2.9 3.9 -3.5 6.5 7.7 -12.6 -10.9 -11.8 -11.1 10.9 6.0 4.2 -0.7 10.2 5.3 3.0 -0.3 1.9 1.4 0.6 2.9 -13.2 -3.6 4.6 3.6 4.9 5.5 -20.0 15.4 -2.5 VIX 11.3 20.0 20.0 1.5 -0.4 -0.0 0.9 -1.2 2.1 -7.6 -5.0 -5.4 -7.8 -3.3 -3.7 -20.0 -20.0 -20.0 -20.0 1.4 -0.5 -4.0 -3.3 0.3 NaN 1.6 -0.5 -0.0 1.0 -1.4 2.2 NaN NaN NaN NaN NaN -13.1 -20.0 NaN NaN WHEAT 1.5 -20.0 -15.7 -4.1 0.2 -3.0 -2.4 -1.9 -3.8 -7.9 -11.0 -7.7 -11.2 -11.6 -13.0 -16.9 -14.9 -16.5 -16.0 -16.2 -14.5 -5.7 -12.9 -10.6 2.0 -3.7 -1.2 -3.1 -1.6 -2.4 -2.6 -20.0 -2.8 4.8 -9.9 1.1 -17.4 -20.0 -15.3 -20.0 End of report for caleb_strategy_v3