******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240821_203929 produced at 2024-08-21 21:37:47.418874 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 False 0.03 0.00 -0.12 0.0 999.00 -999.00 0.00 0.00 -3.38 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.08 0.0 0.31 -0.31 -0.08 -0.08 -1.96 8.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.98 24.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.08 0.0 0.53 -0.53 -0.05 -0.04 -9.55 60.0 -6 -5 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.06 0.0 0.10 -0.10 -0.07 -0.07 -1.86 3.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -26.35 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.05 0.0 0.08 -0.08 -0.02 -0.02 -6.69 12.0 -3 -3 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.04 0.0 0.86 -0.86 0.00 0.00 -0.86 19.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.04 0.0 0.10 -0.10 -0.02 -0.02 -1.51 4.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.03 0.0 0.32 -0.32 -0.02 -0.03 -2.84 36.0 -2 -3 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.14 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -2.69 8.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.03 0.0 0.13 -0.13 -0.07 -0.06 -2.73 11.0 -6 -5 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.03 0.0 999.00 -999.00 -0.02 -0.02 -4.73 999999999.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -11.03 51.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.74 2.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.02 0.0 0.00 -0.02 -0.02 -0.02 -10.20 26.0 -11 -11 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.02 0.0 0.38 -0.38 -0.02 -0.02 -1.01 20.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.23 9.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.02 0.0 0.12 -0.12 -0.10 -0.10 -1.15 7.0 -6 -6 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.67 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -2.79 18.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.32 -0.32 0.00 0.00 -1.20 23.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.01 0.0 0.25 -0.25 -0.04 -0.06 -2.25 68.0 -12 -17 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.15 9.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.30 10.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.68 4.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.14 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -1.36 48.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.17 -0.17 -0.02 -0.02 -0.47 10.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 0.00 -0.01 0.0 0.74 -0.74 0.00 0.00 -0.49 29.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.10 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.19 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.12 2.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 -0.03 0.00 0.0 999.00 -999.00 -0.03 0.00 0.16 999999999.0 -1 0 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.00 0.0 0.41 -0.41 0.10 0.07 0.15 17.0 4 3 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.00 0.0 0.01 -0.01 -0.01 -0.01 -0.91 3.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.41 -0.41 0.00 0.01 0.28 58.0 0 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.00 0.0 0.47 -0.47 0.00 0.01 0.10 66.0 0 2 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.06 999999999.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.06 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.37 -0.37 0.02 0.02 0.78 23.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.69 -0.69 0.00 0.00 0.32 26.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.14 0.01 0.0 0.28 -0.28 0.14 0.18 0.25 6.0 3 4 caleb_strategy_v3 COFFEE False False 0.03 -0.03 0.01 0.0 0.19 -0.19 -0.03 0.00 0.17 6.0 -1 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.01 0.0 0.49 -0.49 0.00 0.00 0.24 10.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.51 -0.51 0.03 0.03 0.43 17.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.02 0.0 0.12 -0.12 0.05 0.02 0.74 5.0 2 1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.12 -0.12 0.01 0.01 1.83 13.0 1 1 caleb_strategy_v3 MILK False False 0.02 0.00 0.02 0.0 0.08 -0.08 0.00 0.00 1.39 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.02 0.0 0.45 -0.45 0.00 0.00 1.17 21.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.35 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.10 0.02 0.0 0.66 -0.66 0.10 0.20 0.32 13.0 2 4 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.53 9.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.67 -0.67 0.00 0.00 0.73 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.11 0.03 0.0 0.94 -0.94 0.11 0.11 0.80 25.0 3 3 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.53 -0.53 0.04 0.04 0.76 13.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.03 0.0 0.07 -0.07 0.02 0.02 1.08 3.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.07 0.04 0.0 0.44 -0.44 0.07 0.07 1.66 19.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 5.02 56.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.13 9.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.08 0.0 0.62 -0.62 0.03 0.03 2.73 22.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.10 0.11 0.0 0.67 -0.67 0.10 0.10 2.32 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 10.38 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.56 0.0 0.94 -0.94 0.00 0.00 5.94 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.14 0.0 0.00 0.00 0.00 0.00 13.71 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.8 Shocked risk 15.9 Sum abs risk 33.4 Leverage 3.75 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2906266.17, 'annual_cash_vol_target': 726566.5425, 'daily_cash_vol_target': 45410.40890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6758 0.5682 9.0913 BITCOIN 1980.3152 61275.0000 3.2318 51.7096 BOBL 0.2438 118.1100 0.2064 3.3024 BTP 0.4743 119.8100 0.3959 6.3339 BUND 0.4907 134.9000 0.3637 5.8197 BUXL 1.2025 137.3800 0.8753 14.0047 CAC 66.0196 7559.0000 0.8734 13.9742 CAD 0.0024 0.7368 0.3204 5.1258 CANOLA 9.2035 586.9000 1.5682 25.0905 CHF 0.0063 1.1792 0.5378 8.6042 COCOA 225.2662 7686.0000 2.9309 46.8938 COFFEE 4.5833 248.5500 1.8440 29.5043 COPPER 0.0582 4.2470 1.3707 21.9311 CORN 5.4938 398.5000 1.3786 22.0579 COTTON2 0.9804 70.4100 1.3924 22.2788 CRUDE_W 1.1635 70.8300 1.6426 26.2823 DAX 159.2778 18534.0000 0.8594 13.7501 DOW 310.2261 41008.0000 0.7565 12.1040 DX 0.4078 100.5800 0.4055 6.4880 EUR 0.0045 1.1174 0.3996 6.3938 EURIBOR-ICE 0.0437 97.8850 0.0447 0.7150 EUROSTX 48.3129 4907.0000 0.9846 15.7531 FEEDCOW 2.0867 227.6750 0.9165 14.6646 GASOIL 11.7095 692.0000 1.6921 27.0740 GASOLINE 0.0364 1.9814 1.8361 29.3779 GAS_US_mini 0.0842 2.3150 3.6372 58.1953 GBP 0.0061 1.3111 0.4658 7.4525 GOLD_micro 20.5863 2530.1000 0.8137 13.0185 HEATOIL 0.0377 2.2759 1.6558 26.4920 JGB-SGX-mini 0.3659 144.9700 0.2524 4.0386 JPY 0.0001 0.0069 0.7776 12.4409 LEANHOG 1.2105 67.8750 1.7834 28.5341 LIVECOW 1.4394 174.6750 0.8240 13.1843 LUMBER-new 9.1259 521.5000 1.7499 27.9989 MILK 0.2711 21.8700 1.2396 19.8328 MXP 0.0005 0.0515 1.0378 16.6054 NASDAQ_micro 242.4434 19912.7500 1.2175 19.4805 NIKKEI 874.9186 37850.0000 2.3115 36.9847 NZD 0.0041 0.6168 0.6592 10.5469 OAT 0.4396 127.0100 0.3461 5.5373 OATIES 5.4184 321.2500 1.6867 26.9864 OJ 7.2617 457.0000 1.5890 25.4239 PALLAD 23.0920 946.0000 2.4410 39.0563 PLAT 16.2672 976.3000 1.6662 26.6594 REDWHEAT 8.9500 552.5000 1.6199 25.9187 RICE 0.1665 14.8300 1.1225 17.9593 ROBUSTA 73.5234 4620.0000 1.5914 25.4626 RUSSELL 29.7742 2173.8000 1.3697 21.9150 SHATZ 0.0844 106.3350 0.0793 1.2694 SILVER-mini 0.5022 30.1500 1.6656 26.6490 SMI 96.3900 12264.0000 0.7860 12.5753 SOFR 0.0635 96.9450 0.0655 1.0472 SOYBEAN 13.0115 982.0000 1.3250 21.1999 SOYMEAL 5.0371 309.5000 1.6275 26.0399 SOYOIL 0.6807 39.5400 1.7217 27.5467 SP400 32.2896 3054.3000 1.0572 16.9150 SP500_micro 49.1592 5637.7500 0.8720 13.9514 SUGAR11 0.2901 18.0500 1.6070 25.7125 US10 0.4122 114.4531 0.3601 5.7619 US10U 0.5592 118.3906 0.4723 7.5568 US2 0.1223 103.3828 0.1183 1.8932 US20 0.8517 125.3125 0.6796 10.8742 US30 1.2764 134.1875 0.9512 15.2196 US5 0.2745 109.2734 0.2512 4.0198 VIX 1.1056 18.0000 6.1421 98.2732 WHEAT 8.8293 545.0000 1.6201 25.9209 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 675.80 0.57 384.00 1.00 384.00 45410.41 118.26 5.41 63.94 BITCOIN 61.28 3.23 198.03 1.00 198.03 45410.41 229.31 -10.61 -243.35 BOBL 1181.10 0.21 243.78 1.11 270.01 45410.41 168.18 -5.07 -85.20 BTP 1198.10 0.40 474.29 1.11 525.33 45410.41 86.44 -0.64 -5.50 BUND 1349.00 0.36 490.68 1.11 543.47 45410.41 83.56 0.73 6.13 BUXL 1373.80 0.88 1202.48 1.11 1331.86 45410.41 34.10 -2.98 -10.14 CAC 755.90 0.87 660.20 1.11 731.23 45410.41 62.10 -5.39 -33.50 CAD 736.80 0.32 236.04 1.00 236.04 45410.41 192.38 -0.98 -18.88 CANOLA 117.38 1.57 184.07 0.73 134.98 45410.41 336.43 -13.47 -453.18 CHF 1474.06 0.54 792.70 1.00 792.70 45410.41 57.29 2.17 12.42 COCOA 768.60 2.93 2252.66 1.00 2252.66 45410.41 20.16 7.45 15.02 COFFEE 932.06 1.84 1718.74 1.00 1718.74 45410.41 26.42 5.35 14.14 COPPER 1061.75 1.37 1455.33 1.00 1455.33 45410.41 31.20 -1.99 -6.22 CORN 199.25 1.38 274.69 1.00 274.69 45410.41 165.32 -16.63 -274.85 COTTON2 352.05 1.39 490.20 1.00 490.20 45410.41 92.64 -13.78 -127.66 CRUDE_W 708.30 1.64 1163.49 1.00 1163.49 45410.41 39.03 1.74 6.80 DAX 185.34 0.86 159.28 1.11 176.42 45410.41 257.41 0.32 8.20 DOW 205.04 0.76 155.11 1.00 155.11 45410.41 292.76 0.15 4.37 DX 1005.80 0.41 407.85 1.00 407.85 45410.41 111.34 -11.71 -130.35 EUR 1396.81 0.40 558.18 1.00 558.18 45410.41 81.35 11.00 89.52 EURIBOR-ICE 2447.12 0.04 109.35 1.11 121.12 45410.41 374.94 4.65 174.23 EUROSTX 490.70 0.98 483.13 1.11 535.11 45410.41 84.86 -3.47 -29.47 FEEDCOW 1138.38 0.92 1043.36 1.00 1043.36 45410.41 43.52 -13.60 -59.18 GASOIL 692.00 1.69 1170.95 1.00 1170.95 45410.41 38.78 -8.98 -34.82 GASOLINE 832.19 1.84 1528.00 1.00 1528.00 45410.41 29.72 0.49 1.46 GAS_US_mini 57.88 3.64 210.50 1.00 210.50 45410.41 215.72 -4.37 -94.20 GBP 819.44 0.47 381.68 1.00 381.68 45410.41 118.97 8.84 105.13 GOLD_micro 253.01 0.81 205.86 1.00 205.86 45410.41 220.59 6.67 147.05 HEATOIL 955.88 1.66 1582.70 1.00 1582.70 45410.41 28.69 -14.96 -42.91 JGB-SGX-mini 144970.00 0.25 36591.92 0.01 248.50 45410.41 182.74 5.25 95.90 JPY 866.38 0.78 673.65 1.00 673.65 45410.41 67.41 2.43 16.41 LEANHOG 271.50 1.78 484.19 1.00 484.19 45410.41 93.79 3.21 30.10 LIVECOW 698.70 0.82 575.74 1.00 575.74 45410.41 78.87 0.56 4.40 LUMBER-new 143.41 1.75 250.96 1.00 250.96 45410.41 180.95 -2.35 -42.58 MILK 437.40 1.24 542.18 1.00 542.18 45410.41 83.76 7.77 65.08 MXP 257.30 1.04 267.04 1.00 267.04 45410.41 170.05 -3.82 -65.04 NASDAQ_micro 398.26 1.22 484.89 1.00 484.89 45410.41 93.65 -5.51 -51.60 NIKKEI 37850.00 2.31 87491.86 0.01 594.17 45410.41 76.43 -3.43 -26.25 NZD 616.80 0.66 406.58 1.00 406.58 45410.41 111.69 4.02 44.94 OAT 1270.10 0.35 439.56 1.11 486.85 45410.41 93.27 0.75 7.01 OATIES 160.62 1.69 270.92 1.00 270.92 45410.41 167.62 -6.72 -112.64 OJ 685.50 1.59 1089.26 1.00 1089.26 45410.41 41.69 12.13 50.59 PALLAD 946.00 2.44 2309.20 1.00 2309.20 45410.41 19.66 -1.85 -3.63 PLAT 488.15 1.67 813.36 1.00 813.36 45410.41 55.83 -2.46 -13.73 REDWHEAT 276.25 1.62 447.50 1.00 447.50 45410.41 101.48 -20.00 -202.95 RICE 296.60 1.12 332.92 1.00 332.92 45410.41 136.40 -2.04 -27.87 ROBUSTA 462.00 1.59 735.23 1.00 735.23 45410.41 61.76 10.87 67.11 RUSSELL 108.69 1.37 148.87 1.00 148.87 45410.41 305.03 -2.23 -68.04 SHATZ 1063.35 0.08 84.37 1.11 93.44 45410.41 485.97 -4.02 -195.34 SILVER-mini 753.75 1.67 1255.42 1.00 1255.42 45410.41 36.17 1.28 4.63 SMI 1226.40 0.79 963.90 1.16 1118.17 45410.41 40.61 8.16 33.14 SOFR 2423.62 0.07 158.63 1.00 158.63 45410.41 286.27 7.88 225.62 SOYBEAN 491.00 1.32 650.57 1.00 650.57 45410.41 69.80 -17.68 -123.39 SOYMEAL 309.50 1.63 503.71 1.00 503.71 45410.41 90.15 -13.70 -123.55 SOYOIL 237.24 1.72 408.45 1.00 408.45 45410.41 111.18 -12.51 -139.12 SP400 3054.30 1.06 3228.96 1.00 3228.96 45410.41 14.06 -2.95 -4.14 SP500_micro 281.89 0.87 245.80 1.00 245.80 45410.41 184.75 -3.17 -58.55 SUGAR11 202.16 1.61 324.88 1.00 324.88 45410.41 139.78 -9.38 -131.16 US10 1144.53 0.36 412.16 1.00 412.16 45410.41 110.18 5.25 57.79 US10U 1183.91 0.47 559.16 1.00 559.16 45410.41 81.21 7.43 60.35 US2 2067.66 0.12 244.65 1.00 244.65 45410.41 185.61 1.47 27.24 US20 1253.12 0.68 851.67 1.00 851.67 45410.41 53.32 7.82 41.70 US30 1341.88 0.95 1276.42 1.00 1276.42 45410.41 35.58 5.48 19.48 US5 1092.73 0.25 274.54 1.00 274.54 45410.41 165.41 3.81 63.10 VIX 180.00 6.14 1105.57 1.00 1105.57 45410.41 41.07 -4.67 -19.18 WHEAT 272.50 1.62 441.46 1.00 441.46 45410.41 102.86 -16.35 -168.18 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 63.938 0.010 2.5 1.659 BITCOIN -243.347 0.043 2.5 -26.351 BOBL -85.198 0.004 2.5 -0.864 BTP -5.503 0.014 2.5 -0.188 BUND 6.131 0.004 2.5 0.062 BUXL -10.144 0.004 2.5 -0.103 CAC -33.502 0.014 2.5 -1.143 CAD -18.875 0.010 2.5 -0.490 CANOLA -453.181 0.010 2.5 -11.025 CHF 12.421 0.010 2.5 0.322 COCOA 15.021 0.009 2.5 0.322 COFFEE 14.139 0.005 2.5 0.165 COPPER -6.224 0.043 2.5 -0.674 CORN -274.850 0.010 2.5 -6.687 COTTON2 -127.659 0.009 2.5 -2.734 CRUDE_W 6.801 0.043 2.5 0.736 DAX 8.197 0.014 2.5 0.280 DOW 4.369 0.009 2.5 0.102 DX -130.346 0.010 2.5 -3.382 EUR 89.523 0.010 2.5 2.323 EURIBOR-ICE 174.225 0.014 2.5 5.943 EUROSTX -29.469 0.014 2.5 -1.005 FEEDCOW -59.183 0.013 2.5 -1.961 GASOIL -34.825 0.017 2.5 -1.510 GASOLINE 1.463 0.017 2.5 0.063 GAS_US_mini -94.196 0.043 2.5 -10.200 GBP 105.127 0.010 2.5 2.728 GOLD_micro 147.046 0.014 2.5 5.015 HEATOIL -42.914 0.017 2.5 -1.860 JGB-SGX-mini 95.897 0.043 2.5 10.384 JPY 16.414 0.010 2.5 0.426 LEANHOG 30.099 0.024 2.5 1.829 LIVECOW 4.405 0.013 2.5 0.146 LUMBER-new -42.584 0.009 2.5 -0.912 MILK 65.077 0.009 2.5 1.394 MXP -65.037 0.059 2.5 -9.546 NASDAQ_micro -51.596 0.009 2.5 -1.199 NIKKEI -26.248 0.043 2.5 -2.842 NZD 44.945 0.010 2.5 1.166 OAT 7.008 0.014 2.5 0.239 OATIES -112.641 0.010 2.5 -2.740 OJ 50.589 0.009 2.5 1.083 PALLAD -3.634 0.014 2.5 -0.124 PLAT -13.733 0.014 2.5 -0.468 REDWHEAT -202.951 0.005 2.5 -2.692 RICE -27.866 0.010 2.5 -0.678 ROBUSTA 67.114 0.005 2.5 0.784 RUSSELL -68.038 0.013 2.5 -2.255 SHATZ -195.344 0.004 2.5 -1.981 SILVER-mini 4.626 0.014 2.5 0.158 SMI 33.143 0.014 2.5 1.130 SOFR 225.623 0.024 2.5 13.712 SOYBEAN -123.385 0.004 2.5 -1.148 SOYMEAL -123.549 0.004 2.5 -1.149 SOYOIL -139.124 0.004 2.5 -1.295 SP400 -4.142 0.013 2.5 -0.137 SP500_micro -58.554 0.009 2.5 -1.361 SUGAR11 -131.164 0.009 2.5 -2.790 US10 57.794 0.005 2.5 0.732 US10U 60.353 0.005 2.5 0.765 US2 27.237 0.005 2.5 0.345 US20 41.703 0.005 2.5 0.528 US30 19.485 0.005 2.5 0.247 US5 63.095 0.005 2.5 0.800 VIX -19.177 0.099 2.5 -4.734 WHEAT -168.181 0.005 2.5 -2.231 ===================== Position diags ===================== AUD 3.07 BITCOIN 24.83 BOBL 1.71 BTP 2.95 BUND 0.85 BUXL 0.35 CAC 2.12 CAD 4.99 CANOLA 8.18 CHF 1.49 COCOA 0.43 COFFEE 0.31 COPPER 3.38 CORN 4.02 COTTON2 1.98 CRUDE_W 4.23 DAX 8.78 DOW 6.80 DX 2.89 EUR 2.11 EURIBOR-ICE 12.79 EUROSTX 2.89 FEEDCOW 1.44 GASOIL 1.68 GASOLINE 1.29 GAS_US_mini 23.36 GBP 3.09 GOLD_micro 7.52 HEATOIL 1.24 JGB-SGX-mini 19.79 JPY 1.75 LEANHOG 5.70 LIVECOW 2.61 LUMBER-new 3.87 MILK 1.79 MXP 24.96 NASDAQ_micro 2.18 NIKKEI 8.28 NZD 2.90 OAT 3.18 OATIES 4.08 OJ 0.89 PALLAD 0.67 PLAT 1.90 REDWHEAT 1.35 RICE 3.32 ROBUSTA 0.72 RUSSELL 10.11 SHATZ 4.93 SILVER-mini 1.23 SMI 1.39 SOFR 17.40 SOYBEAN 0.65 SOYMEAL 0.84 SOYOIL 1.03 SP400 0.47 SP500_micro 4.29 SUGAR11 2.97 US10 1.40 US10U 1.03 US2 2.35 US20 0.68 US30 0.45 US5 2.10 VIX 10.14 WHEAT 1.36 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.7 1.4 2.0 3.0 3 BITCOIN -26.4 -28.8 -23.9 0.0 0 BOBL -0.9 -1.0 -0.7 0.0 0 BTP -0.2 -0.5 0.1 0.0 0 BUND 0.1 -0.0 0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -1.1 -1.4 -0.9 0.0 0 CAD -0.5 -1.0 0.0 0.0 0 CANOLA -11.0 -11.8 -10.2 -1.0 -1 CHF 0.3 0.2 0.5 2.0 2 COCOA 0.3 0.3 0.4 0.0 0 COFFEE 0.2 0.1 0.2 -1.0 -1 COPPER -0.7 -1.0 -0.3 0.0 0 CORN -6.7 -7.1 -6.3 -3.0 -3 COTTON2 -2.7 -2.9 -2.5 -6.0 -6 CRUDE_W 0.7 0.3 1.2 2.0 2 DAX 0.3 -0.6 1.2 0.0 0 DOW 0.1 -0.6 0.8 0.0 0 DX -3.4 -3.7 -3.1 0.0 0 EUR 2.3 2.1 2.5 2.0 2 EURIBOR-ICE 5.9 4.7 7.2 0.0 0 EUROSTX -1.0 -1.3 -0.7 -1.0 -1 FEEDCOW -2.0 -2.1 -1.8 -2.0 -2 GASOIL -1.5 -1.7 -1.3 -1.0 -1 GASOLINE 0.1 -0.1 0.2 0.0 0 GAS_US_mini -10.2 -12.5 -7.9 -11.0 -11 GBP 2.7 2.4 3.0 1.0 1 GOLD_micro 5.0 4.3 5.8 0.0 0 HEATOIL -1.9 -2.0 -1.7 -2.0 -2 JGB-SGX-mini 10.4 8.4 12.4 4.0 4 JPY 0.4 0.3 0.6 1.0 1 LEANHOG 1.8 1.3 2.4 1.0 1 LIVECOW 0.1 -0.1 0.4 4.0 4 LUMBER-new -0.9 -1.3 -0.5 -2.0 -2 MILK 1.4 1.2 1.6 NaN 0 MXP -9.5 -12.0 -7.0 -6.0 -6 NASDAQ_micro -1.2 -1.4 -1.0 0.0 0 NIKKEI -2.8 -3.7 -2.0 -2.0 -2 NZD 1.2 0.9 1.5 0.0 0 OAT 0.2 -0.1 0.6 0.0 0 OATIES -2.7 -3.1 -2.3 NaN 0 OJ 1.1 1.0 1.2 1.0 1 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT -0.5 -0.7 -0.3 -1.0 -1 REDWHEAT -2.7 -2.8 -2.6 -2.0 -2 RICE -0.7 -1.0 -0.3 NaN 0 ROBUSTA 0.8 0.7 0.9 1.0 1 RUSSELL -2.3 -3.3 -1.2 -12.0 -12 SHATZ -2.0 -2.5 -1.5 NaN 0 SILVER-mini 0.2 0.0 0.3 -1.0 -1 SMI 1.1 1.0 1.3 0.0 0 SOFR 13.7 12.0 15.5 NaN 0 SOYBEAN -1.1 -1.2 -1.1 -6.0 -6 SOYMEAL -1.1 -1.2 -1.1 -1.0 -1 SOYOIL -1.3 -1.4 -1.2 0.0 0 SP400 -0.1 -0.2 -0.1 0.0 0 SP500_micro -1.4 -1.8 -0.9 0.0 0 SUGAR11 -2.8 -3.1 -2.5 0.0 0 US10 0.7 0.6 0.9 0.0 0 US10U 0.8 0.7 0.9 1.0 1 US2 0.3 0.1 0.6 NaN 0 US20 0.5 0.5 0.6 0.0 0 US30 0.2 0.2 0.3 3.0 3 US5 0.8 0.6 1.0 3.0 3 VIX -4.7 -5.7 -3.7 -3.0 -3 WHEAT -2.2 -2.4 -2.1 -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 0.2 -0.2 0.1 0.0 0.2 -0.0 0.2 -0.0 0.1 0.2 -0.0 0.2 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.2 -0.0 0.1 0.4 0.0 0.1 0.0 0.1 0.0 0.1 -0.0 0.5 0.1 -0.1 0.1 0.4 -0.2 0.4 -0.0 BITCOIN -0.4 -0.3 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.0 -0.0 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 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 0.5 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.4 -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 -0.2 -0.1 -0.2 -0.7 -0.7 -0.3 -0.3 BTP 0.3 0.5 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.2 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.2 0.1 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 0.6 0.2 -0.6 -0.2 -0.6 -0.7 -0.5 -0.1 0.2 BUND 0.4 0.6 0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.4 -0.1 -0.2 -0.2 -0.3 -0.7 -0.7 -0.2 -0.3 BUXL 0.5 0.5 0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 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 0.1 0.0 0.0 0.0 0.1 -0.1 -0.3 -0.4 -0.4 -0.7 -0.7 -0.4 -0.3 CAC -0.0 -0.5 -0.6 0.0 0.1 0.1 0.0 0.2 0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.0 -0.0 -1.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.4 -0.2 0.0 -0.6 -0.6 0.3 0.2 0.1 0.2 CAD 0.4 -0.0 -0.1 0.0 0.2 -0.0 0.2 -0.0 0.1 0.2 -0.5 0.2 -0.7 0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.3 0.1 -0.2 -0.0 0.2 -0.1 0.2 -0.2 0.1 -0.1 -0.0 0.3 -0.2 -0.3 0.3 -0.2 0.0 -0.1 CANOLA -0.6 -0.3 0.0 -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 -0.3 -0.1 -0.1 0.0 -0.4 0.3 -0.1 CHF 0.5 0.6 0.6 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.0 0.1 0.4 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 -0.4 0.6 0.6 0.5 0.1 -0.4 -0.2 -0.4 COCOA 0.1 -0.2 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 0.1 0.2 0.0 -2.6 0.0 0.0 0.1 0.0 0.4 0.0 1.1 0.3 0.3 0.1 0.1 0.6 0.2 0.7 0.4 COFFEE -0.1 -0.1 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.2 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.4 0.1 -2.7 0.0 0.1 0.2 0.1 0.3 0.1 0.3 0.4 0.6 0.6 0.6 -0.1 -0.3 0.1 -0.1 COPPER 0.0 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.0 -1.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.3 -0.0 -0.1 -0.2 0.1 0.4 0.1 0.7 0.5 CORN -0.0 -0.5 -0.5 -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 -0.0 -0.0 -0.6 -0.3 -0.2 -0.3 -0.1 -0.0 COTTON2 0.2 -0.1 -0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.5 0.1 -0.5 -0.1 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 0.1 -0.5 -0.1 -2.7 -0.1 0.1 -0.2 0.0 -0.1 -0.0 -0.5 0.5 0.3 0.0 -0.4 -0.3 -0.3 0.1 -0.1 CRUDE_W -0.2 -0.5 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.4 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.5 0.1 -0.1 -0.0 -0.3 0.4 0.6 0.4 0.7 DAX -0.2 -0.4 -0.6 0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.4 0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 0.1 0.2 0.0 1.2 -0.0 0.1 0.0 0.0 0.2 -0.0 -0.4 -0.0 0.1 -0.3 -0.5 0.4 0.1 -0.1 0.1 DOW -0.3 0.0 -0.2 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 0.1 0.1 0.2 0.1 -1.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 0.1 0.3 0.3 0.0 0.4 -0.0 0.0 -0.1 DX -0.5 -0.6 -0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.2 0.4 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.1 -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 -0.6 -0.2 0.2 -0.3 0.3 EUR 0.5 0.4 0.2 0.0 0.2 -0.0 0.2 -0.0 0.1 0.2 0.0 0.2 -0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 -0.0 0.2 2.7 0.1 0.1 0.1 0.2 0.0 0.1 -0.4 0.2 0.6 0.6 0.5 0.1 -0.6 -0.1 -0.6 EURIBOR-ICE 0.5 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.1 0.1 1.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.7 -0.7 -0.1 0.0 EUROSTX -0.1 -0.6 -0.6 0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.1 0.1 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 -0.1 FEEDCOW -0.6 -0.6 -0.4 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.2 -0.3 -0.2 -0.1 0.2 -0.4 0.0 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.4 0.1 0.7 0.3 0.7 GASOIL -0.3 -0.4 -0.5 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.3 -0.2 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.2 0.0 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.3 -0.1 -0.1 -0.3 -0.5 -0.6 -0.7 GASOLINE -0.2 -0.3 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.0 -0.2 0.3 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.2 0.1 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 1.1 -0.1 -0.1 0.2 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.3 -0.5 0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -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 0.5 -0.1 0.5 -0.1 -0.4 -0.3 -0.6 GBP -0.1 0.2 0.2 0.0 0.2 -0.0 0.2 -0.0 0.1 0.2 0.4 0.2 0.3 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.2 0.2 -0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.2 0.5 -0.1 0.6 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.3 0.2 0.0 -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 0.4 0.1 -0.7 0.0 0.1 0.1 0.1 0.2 0.1 -0.7 0.3 0.5 0.6 0.5 0.3 -0.1 0.6 0.1 HEATOIL -0.3 -0.4 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.3 -0.2 0.1 -0.2 -0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.2 -0.3 -0.1 -0.3 -0.1 0.2 -0.5 0.1 JGB-SGX-mini 0.6 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.3 0.4 0.3 0.3 0.1 0.0 0.0 -0.0 0.1 -0.9 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 -0.1 0.4 JPY 0.6 0.6 0.6 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.1 0.1 2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.3 0.6 0.6 0.1 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.2 0.3 -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 0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 0.1 0.2 0.2 -0.5 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.4 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.3 -0.2 0.3 -0.2 0.0 0.4 0.2 0.3 0.3 -0.1 0.1 -0.2 0.2 -0.2 -1.5 -0.0 -0.1 0.1 -0.1 0.1 -0.1 1.0 -0.5 -0.6 0.0 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.6 0.6 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.4 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.1 NaN 0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.2 0.0 0.7 0.7 -0.0 0.1 -0.1 0.3 -0.0 MILK 0.1 0.1 0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.2 0.1 0.1 0.1 0.0 -0.4 -0.2 -0.4 0.2 0.1 0.2 0.1 0.2 2.2 0.1 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 -0.1 -0.2 -0.6 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -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 -0.3 -0.6 -0.3 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro -0.2 -0.6 -0.5 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.3 -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 0.2 0.1 -0.3 0.1 0.1 0.2 -0.2 0.1 NIKKEI -0.4 -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 -0.9 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.3 -0.6 -0.5 -0.4 0.3 -0.0 0.2 -0.1 NZD 0.6 -0.2 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.1 0.4 -0.3 0.1 0.3 -0.2 0.2 0.0 OAT 0.5 0.6 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 -0.4 -0.2 -0.6 -0.6 -0.6 -0.1 -0.0 OATIES -0.0 -0.2 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.4 -0.1 -0.1 0.2 0.1 0.1 0.1 -0.1 -0.2 0.0 -0.4 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.0 -0.1 0.3 -0.0 0.7 0.3 OJ 0.1 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.1 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.5 0.1 0.7 0.5 0.6 0.6 0.6 0.5 0.4 0.7 0.7 PALLAD 0.2 -0.1 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 0.0 0.3 0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.0 -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 -0.0 -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 -0.1 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 -0.0 -0.1 -0.5 -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 -0.8 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.4 -0.1 -0.4 -0.1 -0.7 -0.7 -0.5 -0.6 RICE -0.1 -0.5 -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 0.0 -0.0 0.1 -0.0 1.1 -0.5 0.5 0.2 0.6 -0.7 -0.5 -0.7 -0.4 ROBUSTA -0.1 -0.1 0.4 -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 0.2 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.3 0.0 1.1 0.5 0.6 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.6 0.2 -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 0.5 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -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 -0.0 0.0 -0.1 -0.7 -0.6 -0.6 -0.4 SILVER-mini -0.1 -0.5 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.1 0.2 0.0 0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 0.2 -0.1 0.0 0.3 0.1 -0.2 0.3 0.2 SMI -0.4 -0.5 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 0.1 0.3 0.0 1.2 0.0 0.0 0.1 0.1 0.2 0.1 0.5 -0.1 0.6 0.4 0.4 0.1 0.1 -0.3 -0.1 SOFR 0.4 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 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 0.2 -0.5 0.0 0.0 0.1 0.0 0.1 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 -0.6 -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 -0.1 -0.2 -0.1 -0.1 -0.3 -0.1 -2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.4 -0.5 -0.3 -0.1 -0.7 0.0 -0.7 SOYMEAL 0.0 -0.3 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 -0.5 -0.2 -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 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.4 -0.2 -0.2 -0.1 -0.3 0.2 -0.1 SP400 -0.4 -0.0 -0.4 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 0.1 0.1 0.0 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.1 0.3 -0.0 0.2 -0.3 -0.1 -0.7 SP500_micro -0.3 -0.6 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.4 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.3 0.1 -1.8 0.0 0.0 0.1 0.0 0.2 0.0 -0.6 0.3 0.2 -0.1 0.2 0.3 0.1 -0.1 0.0 SUGAR11 -0.3 -0.2 -0.1 -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 -0.1 -0.2 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.2 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 0.1 0.1 0.1 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.1 0.1 0.1 0.1 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 0.7 0.1 US10U 0.5 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 -0.0 0.2 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 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 0.1 0.0 -0.1 0.1 1.5 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 -0.2 0.2 0.3 0.1 0.1 -0.7 0.2 -0.4 US20 0.6 0.5 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.5 0.4 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.0 0.1 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.1 -0.0 -0.3 0.0 0.1 -0.3 0.6 0.7 US5 0.4 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.1 0.1 -0.0 0.1 0.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 -0.1 0.2 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 0.5 1.0 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 0.0 -0.0 -0.0 -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 0.1 -0.6 -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 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 0.1 -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 5.8 -5.8 3.4 1.0 18.9 -0.9 14.2 -0.1 6.4 19.5 -0.3 17.2 -3.2 2.7 1.6 -1.9 -2.6 -2.2 -2.4 1.5 0.7 20.0 -0.8 11.5 3.1 0.3 14.5 0.1 12.2 0.0 4.8 -0.0 20.0 2.2 -4.0 4.4 11.5 -4.6 13.1 -0.6 BITCOIN -12.3 -9.5 -16.4 -3.3 3.5 -2.9 2.3 -1.4 -0.8 9.5 1.8 -3.6 6.9 -4.7 -6.3 -4.8 -7.0 -6.0 -6.7 -5.9 -0.6 -2.0 6.8 -6.1 -20.0 -2.9 1.3 0.5 -1.5 5.1 -3.2 -2.6 -12.1 -20.0 3.5 7.4 -11.2 -6.0 -4.1 -0.3 BOBL 14.0 20.0 9.4 3.1 1.8 1.8 2.2 0.3 3.2 1.7 -2.1 5.6 -4.5 8.1 8.1 -20.0 -16.9 -20.0 -20.0 9.8 3.9 4.5 -2.4 9.5 4.2 3.1 1.2 1.6 1.3 0.0 2.9 -20.0 -6.1 -4.8 -3.4 -6.9 -20.0 -20.0 -8.8 -9.8 BTP 8.1 15.6 1.7 5.6 3.2 3.2 4.0 0.6 5.8 15.1 10.9 15.5 14.1 18.8 17.6 1.4 3.8 1.5 2.3 14.9 11.1 11.9 10.0 15.6 -20.0 6.2 5.4 4.8 5.3 4.4 6.6 10.9 7.1 -20.0 -7.0 -17.6 -20.0 -16.0 -2.9 4.6 BUND 13.3 17.9 8.1 3.4 2.0 2.0 2.4 0.4 3.5 3.6 -0.7 7.3 -1.3 9.7 9.4 6.9 1.5 4.5 2.0 10.1 4.9 5.8 -0.8 10.2 1.0 3.6 1.7 2.1 1.9 0.7 3.5 8.1 -4.0 -7.2 -6.1 -8.3 -20.0 -20.0 -7.5 -9.2 BUXL 15.1 14.3 5.7 4.0 2.3 2.3 2.9 0.5 4.2 8.5 -1.8 9.1 -0.9 11.0 9.1 -0.7 -2.3 -1.6 -2.4 9.3 3.6 7.1 -2.4 10.8 -3.3 4.0 2.3 2.3 2.8 0.7 4.3 1.4 -4.5 -9.5 -11.0 -13.8 -20.0 -20.0 -10.8 -9.0 CAC -0.6 -14.3 -20.0 0.6 6.5 3.1 4.2 4.9 0.5 15.0 -8.2 8.6 3.0 -2.8 -11.8 -4.9 -1.8 -5.1 -3.0 -14.4 -11.2 11.6 -0.5 -4.2 -7.9 -4.4 5.5 -3.0 3.3 0.7 -1.4 6.8 -9.9 1.2 -20.0 -20.0 9.1 5.1 2.1 5.0 CAD 12.7 -0.6 -1.8 1.3 20.0 -1.1 17.1 -0.1 7.6 20.0 -17.0 20.0 -18.6 10.4 0.3 -5.1 -3.4 -4.7 -4.1 -0.8 -8.0 20.0 -11.2 13.1 -1.3 -0.4 19.6 -3.8 15.7 -4.8 7.2 -2.1 -0.6 9.0 -5.3 -8.1 10.4 -6.1 1.2 -3.7 CANOLA -20.0 -8.9 1.4 -2.3 0.8 -1.8 -0.5 -1.1 -1.8 -2.9 -5.2 -6.6 -6.4 -6.7 -6.1 -11.0 -10.3 -12.2 -12.7 -8.3 -6.1 -7.8 -6.1 -10.1 -14.7 -2.4 -0.4 -2.3 -1.7 -2.7 -2.3 -20.0 -5.0 -9.8 -1.5 -2.8 0.6 -10.9 9.3 -4.2 CHF 16.2 20.0 17.9 0.6 10.7 -0.5 8.1 -0.1 3.6 9.6 -3.0 7.2 -5.4 7.6 7.8 -14.2 -16.5 -15.9 -16.2 10.6 3.9 12.8 -1.3 12.7 3.3 3.6 4.3 1.6 3.6 0.0 4.1 -20.0 -16.9 20.0 18.1 15.2 2.7 -10.8 -7.0 -12.0 COCOA 4.6 -5.8 5.6 -2.0 0.8 -1.6 -0.5 -1.0 -1.6 5.9 2.0 4.9 3.2 2.1 -2.1 20.0 20.0 20.0 20.0 0.7 3.6 6.3 8.0 2.7 -19.7 1.2 4.4 4.9 3.2 10.5 1.5 20.0 11.1 8.5 4.4 1.5 17.8 7.0 20.0 11.2 COFFEE -1.8 -2.4 7.9 -5.0 1.9 -3.9 -1.1 -2.5 -3.9 15.0 13.5 14.2 13.5 9.0 12.3 3.1 6.2 3.8 5.3 10.8 14.4 16.2 14.9 11.0 -20.0 4.3 9.5 7.1 8.2 9.1 5.1 6.1 18.2 20.0 20.0 17.2 -3.1 -10.4 3.8 -3.8 COPPER 1.4 -20.0 -10.1 -2.4 2.6 -2.1 1.7 -1.0 -0.5 8.7 -2.6 6.8 0.3 -5.4 -7.8 -2.3 -2.6 -1.5 -1.7 -8.0 -2.9 4.9 2.8 -3.9 -11.7 -2.4 2.3 -0.9 1.3 0.9 -1.1 5.4 -0.2 -1.9 -6.4 3.2 11.5 4.0 19.5 14.6 CORN -0.5 -15.6 -14.6 -3.6 1.4 -2.9 -0.8 -1.8 -2.8 3.1 -11.6 -7.8 -12.3 -10.5 -11.9 -20.0 -14.7 -20.0 -18.3 -15.5 -16.9 -3.7 -16.0 -9.5 -8.3 -4.0 0.0 -4.3 -1.0 -4.0 -2.5 -20.0 -1.1 -1.0 -17.7 -9.6 -5.6 -8.5 -3.6 -1.0 COTTON2 5.2 -4.3 -20.0 -5.0 1.9 -3.9 -1.1 -2.5 -3.9 13.7 -17.1 5.3 -15.0 -11.4 -15.3 -10.9 -2.3 -8.8 -5.3 -16.0 -20.0 6.8 -19.0 -5.3 -20.0 -5.1 9.2 -5.9 3.6 -3.4 -1.5 -10.2 20.0 8.7 0.7 -12.8 -9.9 -9.6 1.6 -2.7 CRUDE_W -5.0 -14.0 -11.3 -4.9 -9.4 -2.8 -6.8 -0.0 -5.6 -16.6 -0.7 -9.9 10.7 -11.7 -8.7 11.7 12.7 13.0 13.1 -9.2 -3.1 -16.7 3.4 -12.5 -2.3 -5.6 -10.2 -3.8 -6.6 -0.2 -5.5 9.9 3.0 -2.1 -0.8 -8.2 11.8 19.2 13.1 20.0 DAX -6.7 -13.3 -20.0 0.5 5.7 2.7 3.7 4.3 0.4 13.0 3.7 8.9 10.2 0.9 -3.8 -7.2 -10.5 -8.6 -9.8 -4.1 0.2 13.5 7.2 1.3 8.9 -1.8 6.7 0.8 4.5 4.4 -0.1 -7.2 -0.1 2.5 -7.9 -16.0 10.7 4.2 -2.0 3.4 DOW -7.8 0.5 -7.6 0.4 4.6 2.2 3.0 3.5 0.4 11.0 4.5 9.1 9.4 3.2 3.2 -8.5 -11.0 -9.9 -10.6 4.4 5.2 12.7 7.3 6.9 -8.6 2.2 4.9 3.0 4.4 4.2 2.6 -8.2 5.8 10.1 10.7 0.7 10.9 -0.0 0.6 -4.0 DX -16.8 -20.0 -10.2 0.9 16.0 -0.7 12.1 -0.1 5.4 -16.3 1.5 -17.6 9.9 -17.8 -15.5 6.5 7.0 7.0 7.1 -15.6 -5.5 -20.0 2.0 -20.0 -20.0 -5.5 -11.3 -2.1 -9.5 0.5 -8.0 16.4 -20.0 -20.0 -20.0 -20.0 -6.3 5.3 -7.6 8.0 EUR 14.2 13.6 6.3 1.1 19.9 -0.9 15.0 -0.1 6.7 20.0 1.8 20.0 -7.8 20.0 18.4 -7.1 -7.2 -7.4 -7.3 15.7 6.1 20.0 -0.5 20.0 20.0 6.5 15.7 3.1 14.0 1.0 10.4 -8.1 9.3 20.0 20.0 14.6 2.6 -17.2 -2.0 -18.7 EURIBOR-ICE 14.5 20.0 8.2 2.7 1.5 1.5 1.9 0.3 2.8 5.1 0.6 7.0 1.9 8.5 8.2 -0.1 -4.0 -2.1 -3.1 11.6 6.5 7.1 2.3 11.5 12.4 2.9 1.8 1.7 1.8 0.8 2.9 -0.4 1.5 -3.1 2.5 -3.7 -20.0 -20.0 -4.4 1.4 EUROSTX -3.8 -18.0 -20.0 0.5 5.6 2.7 3.6 4.2 0.4 12.7 3.6 9.6 9.6 -1.8 -5.8 -3.7 -2.8 -4.6 -4.1 -6.8 -2.0 12.2 6.5 -0.7 -1.8 -2.6 6.0 0.0 4.0 3.9 -0.6 4.8 -4.0 3.0 -14.2 -18.9 2.7 0.9 -13.8 -1.7 FEEDCOW -20.0 -20.0 -11.0 -4.9 1.8 -3.9 -1.1 -2.5 -3.9 -14.8 -8.3 -15.6 -7.0 -15.7 -12.8 9.8 -20.0 0.6 -10.1 -20.0 -16.2 -20.0 -7.5 -20.0 -6.3 -5.1 -5.1 -3.1 -6.0 -1.1 -6.4 -20.0 -20.0 -20.0 -20.0 -12.7 2.4 20.0 9.4 20.0 GASOIL -9.1 -13.1 -14.0 -4.5 -8.7 -2.6 -6.3 -0.0 -5.2 -15.5 -7.1 -13.2 8.2 -14.8 -12.8 2.4 9.8 1.2 4.0 -12.7 -7.0 -18.6 1.0 -15.7 4.1 -5.5 -9.6 -3.2 -7.5 -0.2 -6.6 0.1 -7.6 -9.4 -3.0 -2.4 -9.5 -14.0 -18.6 -20.0 GASOLINE -6.6 -10.1 -11.5 -4.6 -8.9 -2.6 -6.4 -0.0 -5.3 -16.8 0.9 -14.6 9.1 -13.4 -10.7 20.0 20.0 20.0 20.0 -8.8 -3.0 -19.0 4.2 -13.3 -20.0 -5.3 -12.3 -3.1 -9.1 1.0 -6.6 20.0 -6.2 -2.0 4.7 -5.4 20.0 20.0 20.0 20.0 GAS_US_mini 8.6 -14.7 5.4 -3.6 -6.9 -2.0 -5.0 -0.0 -4.1 3.4 -12.2 9.8 -13.8 -7.5 -11.1 -20.0 -20.0 -20.0 -20.0 -9.2 -11.8 3.4 -18.5 -2.6 20.0 -2.4 1.1 -3.6 2.1 -5.5 -0.0 -20.0 18.8 14.0 -2.6 15.2 -3.9 -12.6 -7.9 -18.2 GBP -3.2 4.7 6.3 1.1 20.0 -1.0 15.7 -0.1 7.0 20.0 14.7 19.2 9.1 12.2 14.6 -0.5 -0.7 -0.6 -0.7 11.2 9.6 20.0 7.9 17.0 -0.9 5.3 20.0 5.2 14.6 4.6 7.6 3.0 20.0 -4.1 17.6 20.0 8.7 -20.0 8.5 -14.3 GOLD_micro 9.1 5.2 1.4 -3.0 3.3 -2.7 2.2 -1.3 -0.7 11.9 11.3 12.0 11.2 10.8 8.7 -11.4 -13.2 -11.7 -12.3 10.9 12.0 16.5 13.2 13.4 -5.4 3.2 6.7 3.9 7.1 5.7 5.1 -12.7 11.9 16.4 20.0 16.8 10.1 -3.6 17.0 2.4 HEATOIL -8.7 -12.0 -11.5 -4.8 -9.1 -2.7 -6.6 -0.0 -5.4 -17.2 -11.2 -15.6 2.8 -15.7 -13.5 -5.5 7.0 -5.0 -0.8 -14.2 -9.3 -20.0 -2.4 -17.7 -20.0 -6.2 -9.2 -4.9 -7.7 -1.6 -6.7 -6.5 -7.1 -10.3 -4.2 -10.3 -3.9 5.4 -14.4 2.2 JGB-SGX-mini 20.0 20.0 2.2 2.0 1.1 1.1 1.4 0.2 2.0 -3.7 -0.7 3.3 -0.1 3.9 2.7 13.3 18.0 16.8 17.4 4.8 1.4 3.0 -0.1 6.2 -6.9 1.6 0.1 0.3 1.2 -0.4 2.2 20.0 -4.3 4.1 -2.5 -7.6 -5.8 -5.0 -4.2 10.7 JPY 20.0 20.0 18.3 0.4 7.1 -0.3 5.3 -0.0 2.4 6.4 -2.1 4.8 -6.0 5.8 4.4 -11.7 -15.6 -13.6 -14.5 8.3 1.0 8.2 -5.5 10.7 20.0 2.0 1.5 0.3 1.8 -1.2 2.5 -20.0 -13.4 20.0 18.4 3.7 -20.0 -16.4 -20.0 -16.2 LEANHOG 7.1 8.1 -20.0 -3.5 1.3 -2.7 -0.8 -1.7 -2.7 6.7 -6.9 0.4 -6.1 4.6 -6.0 20.0 10.8 20.0 20.0 -6.2 -10.0 2.2 -9.2 -0.5 3.4 -2.3 1.1 -3.5 0.9 -2.9 -0.2 20.0 4.0 6.1 7.1 -14.6 -0.3 -6.2 3.9 3.2 LIVECOW -20.0 -11.8 7.7 -5.8 2.2 -4.6 -1.3 -2.9 -4.5 -16.8 9.9 -17.2 7.2 -14.2 2.7 20.0 11.2 16.5 15.3 -4.9 4.8 -20.0 6.9 -18.6 -11.6 -2.0 -12.0 1.9 -9.9 3.7 -6.9 18.9 -20.0 -20.0 0.3 20.0 -1.3 20.0 3.8 20.0 LUMBER-new 15.7 15.2 -6.8 -3.5 1.3 -2.7 -0.8 -1.7 -2.7 -3.0 -7.4 3.3 -8.6 8.1 -0.7 -17.8 -17.5 -17.4 -17.5 -0.2 -6.6 0.3 -8.1 4.1 NaN 0.3 -3.5 -3.1 0.1 -4.0 2.2 -20.0 0.6 18.1 19.1 -0.8 3.6 -3.4 8.5 -0.8 MILK 3.4 4.5 20.0 -4.5 1.7 -3.6 -1.0 -2.3 -3.6 13.5 12.5 14.3 3.1 12.4 13.2 1.6 -20.0 -12.0 -17.9 15.0 13.3 20.0 4.4 17.9 16.6 4.8 7.5 4.3 8.0 1.1 6.0 -20.0 20.0 20.0 20.0 20.0 -3.3 -20.0 1.3 -20.0 MXP -4.2 -6.7 -20.0 0.5 9.0 -0.4 6.8 -0.0 3.0 -5.4 -5.9 -1.3 -0.7 -4.1 -6.7 10.0 14.5 11.1 12.5 -9.0 -7.4 -5.3 -1.5 -6.7 -20.0 -3.1 -3.3 -2.5 -1.6 -0.5 -2.2 20.0 -13.2 -20.0 -10.7 -20.0 17.4 12.5 20.0 19.1 NASDAQ_micro -6.0 -20.0 -14.1 0.3 3.5 1.7 2.3 2.6 0.3 8.3 3.3 7.2 7.1 -0.1 0.6 -7.0 -10.3 -9.0 -9.9 -0.0 3.3 10.7 6.9 2.6 -15.8 0.1 3.2 1.7 2.6 3.4 0.4 -7.0 9.3 3.3 -8.5 4.1 2.3 5.5 -6.6 3.2 NIKKEI -11.6 -20.0 -20.0 0.2 2.8 1.3 1.8 2.1 0.2 5.7 1.7 3.8 4.2 -0.2 -0.7 7.9 10.1 9.9 9.7 -2.8 -0.5 2.8 2.3 -1.7 -7.1 -1.7 0.2 -0.2 -1.0 1.1 -2.2 20.0 -10.9 -20.0 -13.9 -11.5 8.8 -1.3 4.5 -3.8 NZD 17.0 -7.2 2.1 0.8 13.9 -0.6 10.5 -0.1 4.7 14.1 -3.9 13.4 -3.1 6.5 -0.1 -0.3 0.1 -0.2 -0.1 0.2 -1.8 20.0 -1.9 8.7 0.1 -0.1 11.2 -0.9 9.0 -0.6 3.9 4.3 5.0 11.1 -8.6 2.8 9.2 -4.7 7.4 0.1 OAT 15.2 17.3 -1.4 3.9 2.2 2.3 2.8 0.4 4.0 9.0 -4.4 10.6 -2.7 12.4 9.6 0.6 3.5 0.7 1.8 8.0 1.1 8.6 -3.5 11.1 2.6 3.5 3.8 1.2 3.7 -0.1 4.6 10.3 1.5 -11.0 -7.0 -17.3 -17.2 -19.3 -3.3 -1.0 OATIES -0.0 -7.2 -19.8 -3.9 1.5 -3.0 -0.9 -1.9 -3.0 9.5 -11.6 -2.8 -12.1 -8.0 -12.2 12.4 2.7 7.0 5.1 -11.9 -14.7 2.6 -13.5 -5.3 -20.0 -3.5 5.0 -3.8 1.2 -3.0 -1.6 2.2 7.4 1.9 0.0 -1.8 8.3 -0.8 20.0 8.7 OJ 2.1 -3.5 -8.1 -5.5 2.1 -4.3 -1.3 -2.8 -4.3 14.6 13.6 13.8 15.7 6.7 10.5 8.7 11.6 8.8 9.3 12.2 18.5 19.3 20.0 12.7 -20.0 4.3 10.1 7.5 8.3 13.6 5.0 13.7 20.0 20.0 20.0 20.0 14.4 11.0 20.0 20.0 PALLAD 6.1 -2.6 3.0 -2.1 2.3 -1.9 1.5 -0.9 -0.5 6.4 -6.0 6.8 -8.3 -1.9 -3.7 -1.8 -2.1 -1.8 -1.9 -2.5 -4.3 3.5 -8.1 0.6 14.5 -1.8 2.2 -2.8 1.9 -3.8 0.2 5.9 -4.1 0.7 8.7 3.1 -20.0 -20.0 -20.0 -20.0 PLAT -0.4 -11.8 -3.3 -2.8 3.0 -2.5 2.0 -1.2 -0.6 9.9 -4.2 3.6 -4.1 -5.2 -7.7 -4.5 -4.4 -4.9 -4.8 -4.3 -2.0 3.9 -0.5 -2.1 5.6 -3.0 3.1 -2.0 1.3 -0.6 -1.5 1.3 -5.7 -3.0 -1.7 8.3 -8.9 -8.7 -5.0 2.0 REDWHEAT 0.2 -20.0 -16.3 -5.8 2.2 -4.5 -1.3 -2.9 -4.5 -11.3 -17.0 -14.0 -17.5 -17.7 -19.5 -11.4 -5.6 -10.6 -8.5 -20.0 -20.0 -10.9 -20.0 -17.2 -6.4 -5.9 -2.5 -5.1 -3.3 -4.5 -4.7 -16.0 -15.3 -2.2 -12.5 -3.0 -20.0 -20.0 -15.6 -19.5 RICE -1.9 -14.4 -6.7 -4.8 1.8 -3.7 -1.1 -2.4 -3.7 -7.0 8.3 -7.1 11.3 -3.1 -1.3 -6.5 20.0 20.0 20.0 -3.3 1.4 -7.1 6.9 -5.8 -9.6 -0.1 -4.0 1.7 -4.3 2.8 -2.6 20.0 -20.0 14.9 5.0 19.7 -20.0 -13.9 -20.0 -13.0 ROBUSTA -1.7 -2.6 12.3 -3.4 1.3 -2.7 -0.8 -1.7 -2.7 10.4 10.7 10.2 10.9 8.7 9.8 20.0 20.0 20.0 20.0 13.2 17.5 18.7 20.0 13.5 -20.0 4.0 5.9 6.0 5.2 8.3 3.9 20.0 20.0 20.0 20.0 20.0 2.6 -5.5 9.3 2.0 RUSSELL -20.0 5.5 -2.9 0.3 3.7 1.8 2.4 2.8 0.3 8.0 2.9 -0.1 6.3 -1.4 0.3 -5.0 -6.6 -6.0 -6.4 1.6 3.1 3.5 3.4 0.5 -0.8 1.6 2.0 2.2 1.0 2.1 0.6 -0.6 -6.5 -1.9 13.4 3.0 4.3 -17.9 -3.8 -20.0 SHATZ 14.8 20.0 20.0 2.5 1.4 1.4 1.8 0.3 2.5 0.8 -2.1 3.6 -4.8 6.0 6.6 -20.0 -20.0 -20.0 -20.0 9.5 3.4 3.7 -4.2 8.8 6.8 2.5 0.8 1.1 0.9 -0.5 2.3 -20.0 -7.1 -1.0 0.2 -3.1 -20.0 -16.7 -16.7 -11.0 SILVER-mini -3.3 -14.8 0.0 -2.6 2.9 -2.4 1.9 -1.1 -0.6 10.4 3.5 8.4 5.0 -2.8 -4.1 -5.5 -6.3 -5.7 -6.0 -2.5 2.4 10.1 6.0 0.3 2.3 -2.0 5.2 -0.3 3.4 1.6 -0.3 -1.3 7.2 -3.0 1.4 8.8 3.6 -4.9 7.7 6.5 SMI -13.0 -14.8 2.9 0.4 4.9 2.4 3.2 3.7 0.4 10.6 9.2 9.1 10.7 5.1 7.2 -2.7 0.3 -2.9 -1.7 3.2 7.4 11.3 9.3 4.3 9.1 4.5 4.6 5.3 5.7 5.4 4.9 9.7 -2.5 20.0 11.4 13.3 2.7 1.5 -8.2 -1.8 SOFR 12.0 20.0 20.0 3.4 1.9 2.0 2.4 0.4 3.5 9.5 6.5 8.6 2.0 10.0 10.9 0.6 -1.0 -0.6 -1.1 15.4 10.2 10.2 2.9 14.4 -4.0 4.0 2.3 3.0 2.7 1.5 3.8 3.8 0.3 2.6 1.2 7.6 9.8 -13.8 20.0 6.0 SOYBEAN -12.0 -20.0 -17.3 -2.7 1.0 -2.2 -0.6 -1.4 -2.2 -1.0 -9.0 -6.6 -7.5 -8.2 -9.0 -10.6 3.1 -6.2 -2.6 -15.5 -13.4 -8.3 -9.9 -13.8 -16.4 -3.2 -0.0 -2.8 -1.7 -1.9 -2.9 -3.6 -12.1 -11.5 -16.5 -10.3 -4.5 -20.0 0.4 -20.0 SOYMEAL 1.4 -9.9 -10.0 -2.7 1.0 -2.1 -0.6 -1.4 -2.1 0.8 -7.9 -4.2 -7.8 -5.8 -7.7 -3.5 5.2 0.8 2.3 -8.3 -8.4 -3.5 -7.3 -6.5 -17.5 -2.5 0.3 -2.2 -1.1 -1.6 -2.1 2.0 -8.5 3.0 -7.8 1.9 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -15.3 -5.3 -2.6 1.0 -2.0 -0.6 -1.3 -2.0 -2.2 -7.6 -6.7 -8.1 -8.0 -7.8 6.8 1.7 4.3 1.8 -10.6 -8.7 -7.3 -8.5 -11.5 -18.5 -2.8 -0.0 -2.3 -1.8 -1.9 -2.9 -2.0 -4.4 -12.8 -4.7 -5.1 -4.3 -10.0 4.9 -2.0 SP400 -11.4 -1.5 -12.7 0.4 4.3 2.1 2.8 3.2 0.3 9.6 4.3 2.7 8.0 -0.1 -0.5 -5.5 -5.8 -5.6 -5.8 0.8 2.6 6.6 5.0 1.9 -8.4 1.6 3.7 2.7 2.5 3.7 1.2 0.6 -3.1 3.6 8.4 -0.8 6.6 -7.9 -1.6 -20.0 SP500_micro -8.3 -20.0 -11.8 0.4 4.3 2.1 2.8 3.2 0.3 10.2 7.3 9.4 10.0 3.1 4.2 -9.0 -12.3 -11.4 -12.2 2.9 6.5 14.3 10.3 5.7 -13.8 1.0 4.7 3.1 3.9 5.1 1.2 -10.6 13.5 5.5 -2.6 6.1 9.0 3.3 -4.1 0.8 SUGAR11 -9.1 -5.8 -4.3 -4.4 1.7 -3.5 -1.0 -2.2 -3.5 -10.2 -13.4 -12.5 -11.6 -13.3 -12.4 -4.4 6.7 -2.9 0.9 -11.8 -12.9 -11.2 -11.2 -12.1 -20.0 -4.3 -4.3 -5.1 -4.7 -4.6 -4.6 2.8 -5.4 3.4 1.6 -1.2 -4.6 17.1 -1.0 20.0 US10 14.7 20.0 20.0 2.7 1.5 1.5 1.9 0.3 2.7 7.6 4.2 6.5 -1.6 7.4 8.1 -7.8 -7.5 -7.6 -7.4 11.0 6.6 8.0 0.1 11.0 2.0 3.1 1.8 2.2 2.2 0.8 3.0 -7.2 -0.3 4.1 0.8 4.6 4.9 -20.0 20.0 4.5 US10U 16.0 19.2 20.0 3.7 2.1 2.2 2.7 0.4 3.8 11.1 5.1 10.3 -2.5 10.9 11.4 -3.4 -2.9 -3.9 -3.7 14.1 7.9 11.9 -0.7 14.9 -0.2 4.3 3.0 3.0 3.5 1.1 4.4 0.0 2.1 3.7 -2.6 4.0 5.2 -17.6 20.0 14.0 US2 12.3 20.0 20.0 2.3 1.3 1.3 1.6 0.3 2.4 3.7 0.4 3.9 -4.5 5.6 6.2 -20.0 -20.0 -20.0 -20.0 9.7 4.7 5.3 -2.3 9.2 11.3 2.5 1.0 1.4 1.4 0.1 2.4 -20.0 -6.8 7.5 7.9 3.7 2.0 -20.0 6.1 -10.9 US20 17.7 16.0 18.5 2.6 1.5 1.5 1.9 0.3 2.7 8.0 3.9 7.5 0.3 7.4 7.8 -1.2 -0.8 -1.0 -0.8 9.3 5.5 9.4 0.3 10.5 -1.7 3.1 2.5 2.4 2.8 1.1 3.2 4.3 3.6 2.6 -3.8 3.6 5.1 -10.3 20.0 20.0 US30 16.9 13.2 17.2 3.0 1.7 1.7 2.1 0.3 3.1 9.4 3.3 8.5 -1.1 8.1 8.2 -4.2 -4.9 -4.2 -4.6 8.8 4.7 10.0 -1.0 10.6 -1.1 3.5 3.2 2.6 3.5 1.0 3.8 -2.5 3.8 -0.2 -7.8 0.9 2.0 -9.6 17.1 20.0 US5 12.6 20.0 20.0 2.7 1.5 1.5 1.9 0.3 2.7 5.9 3.4 5.4 -3.1 7.0 7.9 -12.9 -10.9 -12.0 -11.2 11.3 6.5 6.8 -0.4 10.7 5.3 3.0 1.5 2.0 1.8 0.6 2.9 -13.3 -3.5 4.6 3.6 5.0 5.3 -20.0 15.8 -2.3 VIX 9.0 20.0 20.0 1.4 0.1 0.1 0.8 -1.1 1.8 -5.4 -4.7 -5.5 -7.3 -3.7 -3.7 -16.2 -20.0 -20.0 -20.0 1.1 -0.5 -2.5 -3.2 -0.0 NaN 1.6 0.1 0.1 0.9 -1.3 2.0 NaN NaN NaN NaN NaN -12.7 -20.0 NaN NaN WHEAT 4.0 -20.0 -17.1 -4.1 1.5 -3.2 -0.9 -2.1 -3.2 -9.0 -11.7 -8.7 -11.7 -12.2 -13.6 -17.3 -15.0 -16.7 -16.1 -16.1 -14.9 -6.0 -13.4 -10.4 2.2 -3.9 -2.1 -3.4 -1.8 -2.6 -2.7 -20.0 -8.1 2.5 -8.4 -0.3 -17.7 -20.0 -15.6 -20.0 End of report for caleb_strategy_v3