******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240827_203930 produced at 2024-08-27 21:37:36.253807 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -3.49 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.63 24.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.10 0.0 0.52 -0.52 -0.06 -0.06 -11.64 60.0 -7 -7 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.08 0.0 0.32 -0.32 -0.08 -0.08 -1.93 8.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.06 0.0 0.10 -0.10 -0.07 -0.07 -1.65 3.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -21.97 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.05 0.0 0.08 -0.08 -0.02 -0.03 -7.18 12.0 -3 -5 caleb_strategy_v3 BOBL False True 0.05 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.14 19.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.04 0.0 999.00 -999.00 -0.02 -0.02 -5.99 999999999.0 -3 -4 caleb_strategy_v3 BTP False True 0.05 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.75 10.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.03 0.0 0.00 -0.02 -0.02 -0.02 -16.79 26.0 -11 -11 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.30 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.07 -0.07 -0.02 -0.02 -2.73 8.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -2.40 11.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.16 -0.16 -0.00 -0.00 -9.21 51.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.31 -0.31 0.00 0.00 -1.28 23.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.02 0.0 0.33 -0.33 -0.02 -0.01 -1.78 36.0 -2 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.03 -2.58 9.0 -4 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.02 0.0 0.12 -0.12 -0.10 -0.10 -1.08 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 -0.48 999999999.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.63 12.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -1.19 18.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.01 0.0 0.38 -0.38 -0.02 0.00 -0.45 20.0 -1 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.20 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 -1.04 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.17 -0.17 -0.02 -0.02 -0.55 10.0 -1 -1 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.06 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.87 3.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.59 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.01 0.0 0.46 -0.46 0.00 -0.01 -0.95 48.0 0 -1 caleb_strategy_v3 OAT False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.21 10.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.19 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.07 2.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.46 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.00 0.0 0.26 -0.26 -0.05 -0.05 -0.52 68.0 -14 -14 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.00 0.0 0.42 -0.42 0.02 0.05 0.13 17.0 1 2 caleb_strategy_v3 BUND False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.08 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 0.38 17.0 1 1 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.22 6.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.18 0.01 0.0 0.27 -0.27 0.18 0.18 0.23 6.0 4 4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.69 -0.69 0.00 0.03 0.42 26.0 0 1 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.38 -0.38 0.02 0.00 0.90 23.0 1 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.47 -0.47 0.01 0.02 1.24 66.0 1 3 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.84 3.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.51 9.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.01 0.02 0.0 0.42 -0.42 0.01 0.06 3.43 58.0 2 8 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 US10U False False 0.04 0.04 0.03 0.0 0.53 -0.53 0.04 0.04 0.70 13.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.67 -0.67 0.00 0.00 0.70 17.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.20 0.03 0.0 0.66 -0.66 0.20 0.26 0.61 13.0 4 5 caleb_strategy_v3 US5 False False 0.04 0.07 0.03 0.0 0.94 -0.94 0.07 0.07 0.82 25.0 2 2 caleb_strategy_v3 NZD False True 0.02 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.52 21.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.41 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.13 -0.13 0.02 0.03 3.73 13.0 2 3 caleb_strategy_v3 AUD False False 0.02 0.09 0.04 0.0 0.44 -0.44 0.09 0.14 1.77 19.0 4 6 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.04 0.0 0.13 -0.13 0.05 0.08 1.62 5.0 2 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 5.09 56.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.04 0.0 0.74 -0.74 0.00 0.00 1.59 29.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.08 0.0 0.00 0.00 0.00 0.00 1.55 9.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.10 0.0 0.63 -0.63 0.03 0.03 3.39 22.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.10 0.11 0.0 0.67 -0.67 0.10 0.14 2.37 14.0 2 3 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.33 0.0 0.14 0.00 0.14 0.14 9.60 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.48 0.0 0.94 -0.94 0.00 0.00 5.11 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.24 0.0 0.00 0.00 0.00 0.00 14.87 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.7 Shocked risk 14.8 Sum abs risk 35.2 Leverage 3.94 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2917080.28, 'annual_cash_vol_target': 729270.07, 'daily_cash_vol_target': 45579.379375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6796 0.6119 9.7898 BITCOIN 1921.4996 62500.0000 3.0744 49.1904 BOBL 0.2360 117.7100 0.2005 3.2074 BTP 0.4898 118.9400 0.4118 6.5884 BUND 0.4816 133.9500 0.3595 5.7521 BUXL 1.1878 134.5000 0.8831 14.1297 CAC 61.5881 7600.0000 0.8104 12.9659 CAD 0.0025 0.7440 0.3422 5.4759 CANOLA 9.5207 609.2000 1.5628 25.0052 CHF 0.0060 1.1911 0.5066 8.1061 COCOA 209.1435 7776.0000 2.6896 43.0336 COFFEE 4.5111 255.8000 1.7635 28.2162 COPPER 0.0561 4.3040 1.3045 20.8713 CORN 5.4554 392.5000 1.3899 22.2386 COTTON2 0.9996 70.0300 1.4274 22.8381 CRUDE_W 1.2082 73.6800 1.6398 26.2372 DAX 148.5564 18756.0000 0.7920 12.6728 DOW 294.2181 41349.0000 0.7115 11.3848 DX 0.4162 100.0850 0.4159 6.6541 EUR 0.0046 1.1198 0.4123 6.5962 EURIBOR-ICE 0.0422 97.8300 0.0431 0.6897 EUROSTX 44.7389 4921.0000 0.9091 14.5463 FEEDCOW 2.0784 232.9000 0.8924 14.2782 GASOIL 11.3467 709.2500 1.5998 25.5971 GASOLINE 0.0365 2.0394 1.7883 28.6133 GAS_US_mini 0.0841 2.0850 4.0335 64.5353 GBP 0.0063 1.3262 0.4755 7.6085 GOLD_micro 20.0413 2536.4000 0.7901 12.6424 HEATOIL 0.0385 2.3377 1.6466 26.3463 JGB-SGX-mini 0.3420 144.7000 0.2363 3.7814 JPY 0.0001 0.0070 0.7663 12.2611 LEANHOG 1.2116 71.6250 1.6916 27.0651 LIVECOW 1.4476 178.4000 0.8115 12.9832 LUMBER-new 9.1793 505.5000 1.8159 29.0541 MILK 0.3043 22.1000 1.3769 22.0302 MXP 0.0006 0.0506 1.1076 17.7215 NASDAQ_micro 231.0757 19653.7500 1.1757 18.8117 NIKKEI 789.8433 38310.0000 2.0617 32.9875 NZD 0.0043 0.6250 0.6871 10.9933 OAT 0.4375 126.1100 0.3470 5.5512 OATIES 5.6812 315.5000 1.8007 28.8111 OJ 8.7376 444.6000 1.9653 31.4445 PALLAD 23.3702 968.0000 2.4143 38.6284 PLAT 15.8031 968.2000 1.6322 26.1155 REDWHEAT 8.8728 545.2500 1.6273 26.0367 RICE 0.1564 15.3300 1.0205 16.3283 ROBUSTA 73.9085 4851.0000 1.5236 24.3772 RUSSELL 29.8151 2212.7000 1.3475 21.5593 SHATZ 0.0806 106.2400 0.0759 1.2146 SILVER-mini 0.5105 30.5250 1.6724 26.7591 SMI 90.4089 12313.0000 0.7343 11.7481 SOFR 0.0613 96.9400 0.0632 1.0116 SOYBEAN 12.9721 987.7500 1.3133 21.0127 SOYMEAL 4.8747 312.4000 1.5604 24.9665 SOYOIL 0.7096 40.4300 1.7550 28.0802 SP400 31.6490 3085.0000 1.0259 16.4144 SP500_micro 46.4104 5642.5000 0.8225 13.1602 SUGAR11 0.3316 19.9900 1.6590 26.5436 US10 0.4001 114.1094 0.3507 5.6105 US10U 0.5548 118.1875 0.4694 7.5112 US2 0.1183 103.9219 0.1139 1.8221 US20 0.8196 124.3438 0.6592 10.5467 US30 1.2349 133.4062 0.9257 14.8111 US5 0.2646 109.1797 0.2424 3.8780 VIX 1.0138 17.4000 5.8267 93.2269 WHEAT 8.8266 535.0000 1.6498 26.3972 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 679.65 0.61 415.85 1.00 415.85 45579.38 109.60 6.23 68.28 BITCOIN 62.50 3.07 192.15 1.00 192.15 45579.38 237.21 -8.55 -202.89 BOBL 1177.10 0.20 235.96 1.12 263.87 45579.38 172.74 -6.53 -112.77 BTP 1189.40 0.41 489.77 1.12 547.68 45579.38 83.22 -2.64 -21.94 BUND 1339.50 0.36 481.56 1.12 538.50 45579.38 84.64 -0.88 -7.41 BUXL 1345.00 0.88 1187.77 1.12 1328.23 45579.38 34.32 -5.36 -18.39 CAC 760.00 0.81 615.88 1.12 688.71 45579.38 66.18 -2.78 -18.40 CAD 743.95 0.34 254.61 1.00 254.61 45579.38 179.02 3.42 61.21 CANOLA 121.84 1.56 190.41 0.74 140.95 45579.38 323.38 -11.70 -378.44 CHF 1488.88 0.51 754.31 1.00 754.31 45579.38 60.43 3.92 23.70 COCOA 777.60 2.69 2091.43 1.00 2091.43 45579.38 21.79 8.99 19.59 COFFEE 959.25 1.76 1691.65 1.00 1691.65 45579.38 26.94 7.06 19.01 COPPER 1076.00 1.30 1403.59 1.00 1403.59 45579.38 32.47 -1.38 -4.48 CORN 196.25 1.39 272.77 1.00 272.77 45579.38 167.10 -17.66 -295.13 COTTON2 350.15 1.43 499.80 1.00 499.80 45579.38 91.20 -12.31 -112.23 CRUDE_W 736.80 1.64 1208.23 1.00 1208.23 45579.38 37.72 3.96 14.94 DAX 187.56 0.79 148.56 1.12 166.12 45579.38 274.37 3.66 100.54 DOW 206.74 0.71 147.11 1.00 147.11 45579.38 309.83 1.73 53.54 DX 1000.85 0.42 416.23 1.00 416.23 45579.38 109.50 -12.29 -134.60 EUR 1399.69 0.41 577.04 1.00 577.04 45579.38 78.99 11.55 91.22 EURIBOR-ICE 2445.75 0.04 105.43 1.12 117.90 45579.38 386.60 3.88 149.84 EUROSTX 492.10 0.91 447.39 1.12 500.29 45579.38 91.11 -1.46 -13.28 FEEDCOW 1164.50 0.89 1039.18 1.00 1039.18 45579.38 43.86 -13.29 -58.29 GASOIL 709.25 1.60 1134.67 1.00 1134.67 45579.38 40.17 -7.45 -29.91 GASOLINE 856.55 1.79 1531.79 1.00 1531.79 45579.38 29.76 1.53 4.56 GAS_US_mini 52.12 4.03 210.24 1.00 210.24 45579.38 216.79 -7.15 -155.09 GBP 828.88 0.48 394.16 1.00 394.16 45579.38 115.64 11.31 130.73 GOLD_micro 253.64 0.79 200.41 1.00 200.41 45579.38 227.43 6.56 149.23 HEATOIL 981.83 1.65 1616.73 1.00 1616.73 45579.38 28.19 -13.50 -38.07 JGB-SGX-mini 144700.00 0.24 34197.92 0.01 237.57 45579.38 191.86 4.62 88.62 JPY 870.50 0.77 667.08 1.00 667.08 45579.38 68.33 2.13 14.56 LEANHOG 286.50 1.69 484.63 1.00 484.63 45579.38 94.05 6.52 61.32 LIVECOW 713.60 0.81 579.05 1.00 579.05 45579.38 78.71 0.51 4.02 LUMBER-new 139.01 1.82 252.43 1.00 252.43 45579.38 180.56 -4.85 -87.48 MILK 442.00 1.38 608.58 1.00 608.58 45579.38 74.89 8.66 64.89 MXP 252.85 1.11 280.06 1.00 280.06 45579.38 162.75 -4.87 -79.29 NASDAQ_micro 393.08 1.18 462.15 1.00 462.15 45579.38 98.62 -5.57 -54.97 NIKKEI 38310.00 2.06 78984.33 0.01 548.69 45579.38 83.07 -1.98 -16.44 NZD 624.95 0.69 429.39 1.00 429.39 45579.38 106.15 5.52 58.59 OAT 1261.10 0.35 437.54 1.12 489.28 45579.38 93.16 -0.67 -6.28 OATIES 157.75 1.80 284.06 1.00 284.06 45579.38 160.46 -6.62 -106.28 OJ 666.90 1.97 1310.65 1.00 1310.65 45579.38 34.78 11.26 39.14 PALLAD 968.00 2.41 2337.02 1.00 2337.02 45579.38 19.50 -1.07 -2.08 PLAT 484.10 1.63 790.16 1.00 790.16 45579.38 57.68 -2.79 -16.08 REDWHEAT 272.62 1.63 443.64 1.00 443.64 45579.38 102.74 -20.00 -205.48 RICE 306.60 1.02 312.89 1.00 312.89 45579.38 145.67 -1.30 -18.90 ROBUSTA 485.10 1.52 739.08 1.00 739.08 45579.38 61.67 12.51 77.13 RUSSELL 110.64 1.35 149.08 1.00 149.08 45579.38 305.75 -0.51 -15.56 SHATZ 1062.40 0.08 80.65 1.12 90.19 45579.38 505.39 -5.13 -259.18 SILVER-mini 763.12 1.67 1276.28 1.00 1276.28 45579.38 35.71 2.81 10.03 SMI 1231.30 0.73 904.09 1.18 1067.32 45579.38 42.70 10.63 45.38 SOFR 2423.50 0.06 153.22 1.00 153.22 45579.38 297.47 8.22 244.64 SOYBEAN 493.88 1.31 648.60 1.00 648.60 45579.38 70.27 -16.55 -116.27 SOYMEAL 312.40 1.56 487.47 1.00 487.47 45579.38 93.50 -13.77 -128.73 SOYOIL 242.58 1.76 425.73 1.00 425.73 45579.38 107.06 -10.46 -111.99 SP400 3085.00 1.03 3164.90 1.00 3164.90 45579.38 14.40 -1.22 -1.75 SP500_micro 282.12 0.82 232.05 1.00 232.05 45579.38 196.42 -2.09 -41.03 SUGAR11 223.89 1.66 371.42 1.00 371.42 45579.38 122.72 -4.55 -55.87 US10 1141.09 0.35 400.13 1.00 400.13 45579.38 113.91 4.86 55.41 US10U 1181.88 0.47 554.83 1.00 554.83 45579.38 82.15 6.75 55.43 US2 2078.44 0.11 236.70 1.00 236.70 45579.38 192.57 1.66 32.05 US20 1243.44 0.66 819.63 1.00 819.63 45579.38 55.61 7.20 40.06 US30 1334.06 0.93 1234.94 1.00 1234.94 45579.38 36.91 4.86 17.93 US5 1091.80 0.24 264.62 1.00 264.62 45579.38 172.24 3.77 64.93 VIX 174.00 5.83 1013.84 1.00 1013.84 45579.38 44.96 -5.39 -24.25 WHEAT 267.50 1.65 441.33 1.00 441.33 45579.38 103.28 -18.85 -194.71 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 68.280 0.010 2.5 1.772 BITCOIN -202.886 0.043 2.5 -21.970 BOBL -112.775 0.004 2.5 -1.144 BTP -21.944 0.014 2.5 -0.748 BUND -7.411 0.004 2.5 -0.075 BUXL -18.391 0.004 2.5 -0.186 CAC -18.398 0.014 2.5 -0.628 CAD 61.211 0.010 2.5 1.588 CANOLA -378.440 0.010 2.5 -9.207 CHF 23.702 0.010 2.5 0.615 COCOA 19.589 0.009 2.5 0.420 COFFEE 19.010 0.005 2.5 0.222 COPPER -4.475 0.043 2.5 -0.485 CORN -295.129 0.010 2.5 -7.180 COTTON2 -112.228 0.009 2.5 -2.404 CRUDE_W 14.936 0.043 2.5 1.617 DAX 100.538 0.014 2.5 3.429 DOW 53.542 0.009 2.5 1.244 DX -134.604 0.010 2.5 -3.492 EUR 91.223 0.010 2.5 2.367 EURIBOR-ICE 149.841 0.014 2.5 5.111 EUROSTX -13.285 0.014 2.5 -0.453 FEEDCOW -58.287 0.013 2.5 -1.931 GASOIL -29.906 0.017 2.5 -1.296 GASOLINE 4.559 0.017 2.5 0.198 GAS_US_mini -155.086 0.043 2.5 -16.794 GBP 130.730 0.010 2.5 3.392 GOLD_micro 149.230 0.014 2.5 5.090 HEATOIL -38.070 0.017 2.5 -1.650 JGB-SGX-mini 88.619 0.043 2.5 9.596 JPY 14.559 0.010 2.5 0.378 LEANHOG 61.322 0.024 2.5 3.727 LIVECOW 4.023 0.013 2.5 0.133 LUMBER-new -87.484 0.009 2.5 -1.873 MILK 64.885 0.009 2.5 1.390 MXP -79.292 0.059 2.5 -11.638 NASDAQ_micro -54.969 0.009 2.5 -1.277 NIKKEI -16.436 0.043 2.5 -1.780 NZD 58.586 0.010 2.5 1.520 OAT -6.282 0.014 2.5 -0.214 OATIES -106.283 0.010 2.5 -2.586 OJ 39.145 0.009 2.5 0.838 PALLAD -2.078 0.014 2.5 -0.071 PLAT -16.075 0.014 2.5 -0.548 REDWHEAT -205.479 0.005 2.5 -2.726 RICE -18.897 0.010 2.5 -0.460 ROBUSTA 77.130 0.005 2.5 0.901 RUSSELL -15.561 0.013 2.5 -0.516 SHATZ -259.179 0.004 2.5 -2.628 SILVER-mini 10.028 0.014 2.5 0.342 SMI 45.379 0.014 2.5 1.548 SOFR 244.635 0.024 2.5 14.867 SOYBEAN -116.272 0.004 2.5 -1.081 SOYMEAL -128.731 0.004 2.5 -1.197 SOYOIL -111.987 0.004 2.5 -1.042 SP400 -1.755 0.013 2.5 -0.058 SP500_micro -41.032 0.009 2.5 -0.954 SUGAR11 -55.869 0.009 2.5 -1.188 US10 55.407 0.005 2.5 0.702 US10U 55.428 0.005 2.5 0.702 US2 32.049 0.005 2.5 0.406 US20 40.061 0.005 2.5 0.508 US30 17.934 0.005 2.5 0.227 US5 64.929 0.005 2.5 0.823 VIX -24.250 0.099 2.5 -5.986 WHEAT -194.710 0.005 2.5 -2.583 ===================== Position diags ===================== AUD 2.84 BITCOIN 25.69 BOBL 1.75 BTP 2.84 BUND 0.86 BUXL 0.35 CAC 2.26 CAD 4.64 CANOLA 7.87 CHF 1.57 COCOA 0.47 COFFEE 0.31 COPPER 3.52 CORN 4.07 COTTON2 1.95 CRUDE_W 4.09 DAX 9.36 DOW 7.20 DX 2.84 EUR 2.05 EURIBOR-ICE 13.19 EUROSTX 3.11 FEEDCOW 1.45 GASOIL 1.74 GASOLINE 1.29 GAS_US_mini 23.48 GBP 3.00 GOLD_micro 7.76 HEATOIL 1.22 JGB-SGX-mini 20.78 JPY 1.77 LEANHOG 5.72 LIVECOW 2.61 LUMBER-new 3.87 MILK 1.60 MXP 23.89 NASDAQ_micro 2.29 NIKKEI 9.00 NZD 2.75 OAT 3.18 OATIES 3.90 OJ 0.74 PALLAD 0.67 PLAT 1.97 REDWHEAT 1.36 RICE 3.54 ROBUSTA 0.72 RUSSELL 10.13 SHATZ 5.12 SILVER-mini 1.22 SMI 1.46 SOFR 18.08 SOYBEAN 0.65 SOYMEAL 0.87 SOYOIL 1.00 SP400 0.48 SP500_micro 4.56 SUGAR11 2.61 US10 1.44 US10U 1.04 US2 2.44 US20 0.70 US30 0.47 US5 2.18 VIX 11.10 WHEAT 1.37 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.8 1.5 2.1 4.0 4 BITCOIN -22.0 -24.5 -19.4 0.0 0 BOBL -1.1 -1.3 -1.0 0.0 0 BTP -0.7 -1.0 -0.5 0.0 0 BUND -0.1 -0.2 0.0 0.0 0 BUXL -0.2 -0.2 -0.2 0.0 0 CAC -0.6 -0.9 -0.4 0.0 0 CAD 1.6 1.1 2.1 0.0 0 CANOLA -9.2 -10.0 -8.4 -1.0 -1 CHF 0.6 0.5 0.8 4.0 4 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -0.5 -0.8 -0.1 0.0 0 CORN -7.2 -7.6 -6.8 -3.0 -3 COTTON2 -2.4 -2.6 -2.2 -5.0 -5 CRUDE_W 1.6 1.2 2.0 2.0 2 DAX 3.4 2.5 4.4 2.0 2 DOW 1.2 0.5 2.0 1.0 1 DX -3.5 -3.8 -3.2 0.0 0 EUR 2.4 2.2 2.6 2.0 2 EURIBOR-ICE 5.1 3.8 6.4 0.0 0 EUROSTX -0.5 -0.8 -0.1 -1.0 -1 FEEDCOW -1.9 -2.1 -1.8 -2.0 -2 GASOIL -1.3 -1.5 -1.1 -1.0 -1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -16.8 -19.1 -14.4 -11.0 -11 GBP 3.4 3.1 3.7 1.0 1 GOLD_micro 5.1 4.3 5.9 0.0 0 HEATOIL -1.7 -1.8 -1.5 -2.0 -2 JGB-SGX-mini 9.6 7.5 11.7 4.0 4 JPY 0.4 0.2 0.6 1.0 1 LEANHOG 3.7 3.2 4.3 2.0 2 LIVECOW 0.1 -0.1 0.4 1.0 1 LUMBER-new -1.9 -2.3 -1.5 -2.0 -2 MILK 1.4 1.2 1.6 NaN 0 MXP -11.6 -14.0 -9.2 -7.0 -7 NASDAQ_micro -1.3 -1.5 -1.0 0.0 0 NIKKEI -1.8 -2.7 -0.9 -2.0 -2 NZD 1.5 1.2 1.8 0.0 0 OAT -0.2 -0.5 0.1 0.0 0 OATIES -2.6 -3.0 -2.2 NaN 0 OJ 0.8 0.8 0.9 1.0 1 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT -0.5 -0.7 -0.4 -1.0 -1 REDWHEAT -2.7 -2.9 -2.6 -2.0 -2 RICE -0.5 -0.8 -0.1 NaN 0 ROBUSTA 0.9 0.8 1.0 1.0 1 RUSSELL -0.5 -1.5 0.5 -14.0 -14 SHATZ -2.6 -3.1 -2.1 NaN 0 SILVER-mini 0.3 0.2 0.5 0.0 0 SMI 1.5 1.4 1.7 0.0 0 SOFR 14.9 13.1 16.7 NaN 0 SOYBEAN -1.1 -1.1 -1.0 -6.0 -6 SOYMEAL -1.2 -1.3 -1.1 -1.0 -1 SOYOIL -1.0 -1.1 -0.9 0.0 0 SP400 -0.1 -0.1 -0.0 0.0 0 SP500_micro -1.0 -1.4 -0.5 0.0 0 SUGAR11 -1.2 -1.4 -0.9 0.0 0 US10 0.7 0.6 0.8 0.0 0 US10U 0.7 0.6 0.8 1.0 1 US2 0.4 0.2 0.7 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.2 0.3 4.0 4 US5 0.8 0.6 1.0 2.0 2 VIX -6.0 -7.1 -4.9 -3.0 -3 WHEAT -2.6 -2.7 -2.4 -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 0.6 -0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.2 -0.1 0.1 0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.2 0.0 0.2 0.4 0.0 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.3 -0.2 0.1 0.4 -0.2 0.4 -0.0 BITCOIN -0.1 -0.2 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.1 0.0 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.2 -0.0 -2.7 -0.0 0.0 0.0 0.0 0.2 -0.0 -0.1 -0.2 -0.6 0.2 0.3 -0.3 -0.2 -0.1 -0.0 BOBL 0.0 0.6 0.4 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.2 0.1 0.1 -0.4 -0.4 -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 -0.2 -0.3 -0.2 -0.2 -0.7 -0.7 -0.3 -0.3 BTP 0.1 0.5 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.3 0.1 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.1 0.1 0.0 0.3 0.1 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 0.6 -0.1 -0.6 -0.3 -0.6 -0.7 -0.5 -0.1 0.2 BUND 0.0 0.6 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.5 -0.2 -0.4 -0.2 -0.3 -0.7 -0.7 -0.2 -0.3 BUXL 0.1 0.5 0.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.0 -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 -0.3 -0.5 -0.4 -0.5 -0.7 -0.7 -0.3 -0.3 CAC 0.3 -0.4 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 -0.2 0.2 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 0.0 -1.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.4 0.0 0.2 -0.5 -0.6 0.3 0.2 0.1 0.1 CAD 0.6 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 -0.3 0.2 -0.6 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.2 -0.2 0.2 -0.2 0.0 0.2 -0.0 0.2 -0.1 0.1 -0.1 0.4 0.6 -0.2 -0.2 0.4 -0.2 0.1 -0.1 CANOLA -0.5 -0.2 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 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 0.0 -0.2 -0.1 -1.9 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.1 -0.1 -0.1 -0.1 0.0 -0.4 0.3 -0.1 CHF 0.4 0.6 0.6 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 -0.0 0.2 0.5 0.0 0.0 0.1 0.0 0.0 0.1 -1.1 0.0 0.6 0.6 0.5 0.0 -0.4 -0.3 -0.4 COCOA 0.5 -0.1 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 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 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.1 0.4 0.3 0.1 0.6 0.3 0.7 0.4 COFFEE 0.2 -0.0 0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.4 0.2 0.5 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 0.3 0.5 0.6 0.6 0.6 -0.1 -0.3 0.1 -0.1 COPPER 0.2 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.0 -1.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.3 0.1 -0.0 -0.2 0.0 0.4 0.2 0.7 0.5 CORN 0.0 -0.4 -0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.5 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.4 -0.2 -0.5 -0.4 -0.1 -0.3 -0.1 -0.0 COTTON2 0.5 0.1 -0.6 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.5 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.5 0.0 -2.7 -0.0 0.0 -0.2 0.1 -0.1 0.0 -0.6 0.1 0.4 0.1 -0.2 -0.3 -0.3 0.0 -0.1 CRUDE_W -0.0 -0.5 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.4 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.5 0.2 0.2 0.0 -0.2 0.3 0.6 0.4 0.7 DAX 0.3 -0.3 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.1 0.2 0.4 0.1 -0.0 -0.1 -0.2 -0.2 -0.2 0.0 0.0 0.2 0.2 0.1 1.3 -0.0 0.1 0.0 0.1 0.2 0.0 -0.4 0.2 0.1 -0.2 -0.5 0.4 0.1 -0.0 0.1 DOW 0.2 0.1 -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 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.2 0.1 -1.2 0.0 0.0 0.1 0.1 0.2 0.0 -0.4 0.1 0.2 0.4 0.0 0.3 0.0 -0.0 -0.1 DX -0.6 -0.6 -0.4 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 -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 -0.1 -0.0 -0.1 0.9 -0.5 -0.6 -0.6 -0.6 -0.2 0.2 -0.2 0.3 EUR 0.6 0.5 0.2 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 -0.2 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 0.1 0.0 0.1 -0.4 0.1 0.6 0.6 0.5 0.1 -0.6 -0.1 -0.6 EURIBOR-ICE 0.1 0.6 0.4 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 0.0 0.1 0.1 1.7 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 -0.2 0.1 -0.1 -0.7 -0.7 -0.1 0.1 EUROSTX 0.3 -0.5 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.2 0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 0.2 0.1 -0.3 -0.0 0.0 0.0 0.1 0.2 0.0 0.2 0.0 0.1 -0.4 -0.6 0.1 0.0 -0.5 -0.1 FEEDCOW -0.6 -0.6 -0.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.1 0.2 -0.4 0.0 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.8 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.5 -0.6 -0.6 -0.5 0.1 0.7 0.3 0.7 GASOIL -0.2 -0.5 -0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 0.3 -0.2 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 -0.3 -0.2 -0.1 -0.2 -0.4 -0.5 -0.7 GASOLINE -0.2 -0.4 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.3 -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 0.0 -0.1 -0.0 0.0 -0.1 1.1 -0.1 -0.1 0.1 -0.2 0.6 0.7 0.7 0.7 GAS_US_mini 0.3 -0.4 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.1 2.7 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 0.1 0.0 0.4 -0.2 -0.5 -0.3 -0.6 GBP 0.4 0.2 0.2 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.4 0.2 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 0.2 0.2 -0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.2 0.5 0.2 0.6 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.3 0.2 0.1 -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 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.4 0.2 -0.8 0.0 0.0 0.1 0.1 0.2 0.1 -0.7 0.0 0.5 0.6 0.6 0.4 -0.1 0.6 0.1 HEATOIL -0.2 -0.4 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 0.1 -0.2 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.4 -0.1 -0.2 -0.2 -0.3 -0.2 0.2 -0.5 0.1 JGB-SGX-mini 0.4 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.3 0.3 0.3 0.0 0.0 0.0 0.0 0.0 -0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 1.1 -0.1 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.3 JPY 0.4 0.6 0.6 0.0 0.0 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -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 -0.2 0.4 0.6 0.1 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.3 0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.2 0.1 -0.0 0.4 0.3 0.4 0.4 -0.0 -0.1 0.1 -0.3 0.1 0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 1.1 0.5 0.4 0.4 -0.4 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.5 0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.2 -0.1 0.2 -0.1 -0.0 0.4 0.2 0.4 0.3 -0.1 0.0 -0.1 0.2 -0.2 -1.6 -0.0 0.0 0.0 -0.0 0.1 -0.1 1.1 -0.5 -0.6 -0.3 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.3 0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.1 -0.2 -0.0 NaN -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -1.2 -0.6 0.2 0.5 0.0 0.1 -0.1 0.3 -0.0 MILK 0.3 0.1 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.3 0.1 0.1 0.1 0.1 0.4 -0.4 -0.1 -0.3 0.2 0.1 0.2 0.1 0.2 2.0 0.1 0.0 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.1 -0.7 MXP 0.0 -0.3 -0.6 0.0 0.0 0.0 0.1 0.0 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.5 -0.6 -0.5 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro 0.2 -0.6 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.0 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 -2.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.4 -0.2 0.2 -0.4 0.1 0.1 0.2 -0.2 0.1 NIKKEI 0.1 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.0 0.0 0.1 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 -0.2 -0.5 -0.5 -0.4 0.3 -0.0 0.2 -0.1 NZD 0.6 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 0.2 -0.0 0.2 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.0 0.6 -0.2 0.1 0.3 -0.2 0.2 0.0 OAT 0.2 0.5 0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.0 -0.1 0.1 0.4 0.0 -0.0 0.0 0.0 0.0 0.0 0.5 -0.1 -0.4 -0.2 -0.6 -0.5 -0.6 -0.1 -0.0 OATIES 0.1 -0.1 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.4 -0.1 -0.1 0.2 0.1 0.2 0.1 -0.1 -0.1 0.0 -0.3 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.1 0.1 -0.0 -0.1 0.3 -0.0 0.7 0.3 OJ 0.3 -0.1 -0.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.4 0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.1 0.4 0.1 0.7 0.5 0.6 0.6 0.6 0.5 0.4 0.7 0.7 PALLAD 0.4 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.0 2.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 -0.1 0.0 0.2 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 0.1 -0.1 -0.0 -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 -0.3 -0.1 0.2 -0.2 -0.3 -0.2 0.1 REDWHEAT -0.1 -0.6 -0.6 -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 -0.2 -0.5 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.9 -0.5 -0.3 -0.6 -0.3 -0.7 -0.7 -0.6 -0.7 RICE -0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.2 -0.0 0.4 0.0 -0.0 -0.2 0.4 0.4 0.4 -0.0 0.0 0.0 0.2 -0.0 -1.4 0.0 0.0 0.0 0.0 0.1 -0.0 1.1 -0.1 -0.1 0.3 0.6 -0.7 -0.5 -0.7 -0.5 ROBUSTA 0.4 0.1 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 0.2 0.2 0.2 0.5 0.2 -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 -0.2 0.2 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.1 0.1 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.0 -0.2 0.5 0.1 0.1 -0.6 -0.2 -0.7 SHATZ 0.1 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 0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 -0.1 -0.0 -0.1 -0.7 -0.6 -0.5 -0.4 SILVER-mini 0.2 -0.5 -0.1 -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 0.1 0.3 0.1 -0.1 0.3 0.2 SMI 0.1 -0.4 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 0.3 0.1 1.3 0.1 0.0 0.2 0.1 0.2 0.1 0.5 -0.0 0.6 0.5 0.5 0.1 0.0 -0.3 -0.1 SOFR 0.2 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 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.1 0.1 0.1 0.3 0.3 -0.4 0.7 0.2 SOYBEAN -0.3 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.3 -0.1 -2.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.3 -0.5 -0.4 -0.1 -0.7 0.1 -0.6 SOYMEAL -0.1 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -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 0.0 -0.1 -0.2 -0.0 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.3 -0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 0.0 -0.2 -0.1 -2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.1 -0.1 -0.3 0.2 -0.1 SP400 0.1 0.0 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.1 0.1 -1.2 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.0 -0.0 0.4 -0.0 0.2 -0.3 -0.1 -0.7 SP500_micro 0.3 -0.6 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -2.0 0.0 0.0 0.1 0.0 0.2 0.0 -0.6 -0.0 0.3 -0.1 0.2 0.3 0.1 -0.2 0.0 SUGAR11 0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.1 -0.3 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 0.3 0.3 -0.1 0.1 -0.2 0.5 -0.1 0.6 US10 0.2 0.6 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 -0.1 -0.1 -0.1 -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 0.2 0.2 -0.7 0.7 0.2 US10U 0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.0 0.1 -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 0.2 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 -0.0 0.1 1.5 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 0.0 0.3 0.2 0.1 0.1 -0.7 0.2 -0.4 US20 0.3 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 0.0 0.0 0.1 -0.3 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 0.3 0.5 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 -0.0 0.1 -0.2 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.1 -0.0 -0.2 0.0 0.1 -0.3 0.6 0.7 US5 0.2 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 0.0 0.0 0.1 0.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 0.0 0.2 0.1 0.2 0.2 -0.7 0.6 -0.1 VIX -0.2 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 -0.3 -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 -0.6 -1.1 NaN NaN WHEAT 0.0 -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 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.4 -0.2 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.1 -0.5 -0.2 -0.6 -0.7 -0.6 -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 19.3 -5.5 4.2 3.1 11.3 0.5 11.7 0.3 7.8 16.3 3.2 17.7 -2.0 10.8 6.8 -1.9 -2.6 -2.1 -2.3 6.3 2.7 20.0 0.1 16.0 2.7 2.4 8.6 0.9 10.2 0.3 6.7 -0.0 2.8 8.8 -7.3 2.6 11.1 -4.7 12.6 -0.6 BITCOIN -3.7 -5.4 -18.2 -2.8 4.0 -3.2 3.5 -1.7 0.6 8.8 2.0 3.9 7.4 -1.2 -5.3 -4.9 -6.9 -5.9 -6.6 -4.2 -0.3 5.5 7.4 -0.8 -20.0 -2.6 2.4 0.6 1.6 6.0 -1.4 -2.5 -8.9 -20.0 5.7 8.1 -9.1 -5.5 -3.5 -0.0 BOBL 1.1 20.0 11.8 3.1 0.0 2.0 1.3 0.5 2.7 -7.7 -1.3 -0.6 -4.2 7.4 8.1 -20.0 -17.6 -20.0 -20.0 9.1 4.4 0.2 -2.0 6.6 4.3 3.0 -1.2 1.8 0.0 0.2 2.1 -20.0 -8.2 -9.0 -5.0 -6.6 -20.0 -20.0 -8.0 -9.1 BTP 2.0 14.1 2.5 5.6 0.1 3.7 2.3 0.9 4.9 -9.7 12.3 7.7 14.6 17.9 17.9 1.2 3.7 1.4 2.2 13.6 11.2 2.9 10.1 11.3 -20.0 6.1 -3.8 5.2 1.3 4.8 5.1 10.8 -4.7 -20.0 -7.9 -17.6 -20.0 -15.7 -2.4 4.9 BUND 1.2 18.0 9.8 3.5 0.1 2.3 1.4 0.6 3.1 -9.5 0.3 -0.6 -1.0 8.7 9.3 6.9 1.7 4.9 2.4 9.2 5.3 -0.4 -0.4 6.6 1.1 3.5 -2.3 2.4 -0.2 0.9 2.4 8.6 -8.1 -11.3 -7.4 -8.4 -20.0 -20.0 -6.7 -8.3 BUXL 2.5 14.7 6.8 4.2 0.1 2.7 1.7 0.7 3.6 -12.4 -0.7 -2.5 -0.6 9.2 9.0 -0.7 -2.3 -1.5 -2.3 8.0 3.9 -2.5 -2.0 5.7 -3.3 3.7 -4.7 2.6 -1.3 0.9 2.4 1.6 -10.8 -14.7 -12.5 -14.5 -20.0 -20.0 -9.8 -8.2 CAC 9.7 -11.6 -20.0 1.8 4.9 3.8 5.4 5.7 2.7 15.8 -8.3 16.4 3.0 2.8 -10.3 -4.7 -1.9 -5.0 -3.0 -11.1 -11.5 16.7 -0.7 3.6 -8.6 -3.6 4.7 -3.1 5.1 0.8 1.0 6.6 1.8 5.8 -15.8 -20.0 10.2 5.2 2.3 4.4 CAD 20.0 3.3 0.4 4.0 14.5 0.6 15.1 0.4 10.0 20.0 -12.0 20.0 -17.2 19.3 8.9 -5.1 -3.5 -4.7 -4.1 8.4 -3.2 20.0 -8.7 20.0 -1.4 3.6 19.5 -1.0 17.9 -2.8 11.2 -2.2 17.2 20.0 -4.8 -5.7 10.6 -6.0 1.9 -3.3 CANOLA -16.3 -7.1 0.6 -2.2 1.8 -1.9 0.2 -1.3 -1.3 6.4 -5.3 -2.1 -6.5 -5.4 -5.8 -11.5 -10.4 -12.3 -12.7 -7.0 -5.9 0.7 -6.0 -5.5 -14.4 -2.2 2.8 -2.4 0.8 -2.9 -1.2 -20.0 2.4 -3.3 -1.7 -3.3 0.9 -10.9 9.9 -4.5 CHF 13.3 20.0 20.0 2.0 7.2 0.3 7.4 0.2 4.9 11.5 -0.7 11.6 -4.5 10.7 9.8 -14.2 -16.4 -15.7 -16.1 14.3 6.2 19.2 -0.4 18.1 3.4 4.0 4.4 2.0 4.4 0.3 4.6 -20.0 1.1 18.7 20.0 16.7 1.4 -10.7 -7.6 -11.9 COCOA 14.5 -2.1 7.5 -2.0 1.6 -1.7 0.2 -1.1 -1.2 4.4 2.2 5.8 3.3 4.5 -0.9 20.0 20.0 20.0 20.0 2.6 4.4 7.8 8.7 5.5 -20.0 1.7 2.2 4.4 3.2 9.1 2.4 20.0 6.2 11.3 8.3 4.6 18.8 7.5 20.0 11.7 COFFEE 6.9 -0.8 7.3 -5.1 4.2 -4.4 0.5 -3.0 -3.0 15.6 15.1 16.1 14.8 13.4 14.7 3.7 6.2 4.0 5.3 13.9 16.4 19.1 16.6 15.3 -20.0 5.3 10.1 7.1 8.7 8.9 6.5 6.1 20.0 20.0 20.0 20.0 -3.0 -10.2 4.0 -3.6 COPPER 7.2 -20.0 -11.6 -2.0 2.9 -2.3 2.6 -1.2 0.4 10.1 -3.0 10.2 0.0 -4.1 -7.8 -3.3 -2.7 -2.1 -2.0 -6.5 -2.9 7.9 2.9 -0.3 -12.9 -2.1 3.0 -1.0 2.3 1.0 -0.1 5.1 4.8 -0.6 -6.3 1.5 12.8 4.6 20.0 15.7 CORN 0.8 -11.1 -16.7 -3.6 2.9 -3.1 0.3 -2.1 -2.1 -4.5 -12.1 -9.0 -12.6 -11.2 -12.4 -20.0 -15.2 -20.0 -19.2 -16.0 -17.6 -7.7 -16.9 -11.0 -8.3 -4.3 -1.5 -4.6 -2.2 -4.3 -3.0 -20.0 -15.0 -6.8 -14.2 -12.2 -4.5 -7.8 -2.4 -0.9 COTTON2 13.9 1.9 -20.0 -4.7 3.9 -4.1 0.4 -2.7 -2.8 8.9 -16.4 9.5 -14.7 -4.2 -12.9 -10.7 -2.5 -9.0 -5.6 -11.4 -19.2 8.6 -18.0 0.4 -20.0 -3.6 4.1 -5.6 4.8 -3.6 1.1 -10.7 4.6 12.1 2.5 -6.6 -9.8 -9.9 1.0 -3.1 CRUDE_W -0.9 -15.5 -11.8 -5.0 0.2 -3.1 -2.2 -0.3 -4.5 5.8 -2.1 -0.4 10.2 -10.1 -8.9 12.2 12.7 13.1 13.1 -7.8 -3.4 -0.3 2.7 -6.9 -2.1 -5.2 3.5 -4.1 -0.0 -0.5 -3.5 10.3 6.4 6.5 0.1 -6.9 9.6 18.1 10.6 20.0 DAX 8.4 -9.5 -19.3 1.6 4.3 3.3 4.7 4.9 2.3 14.6 5.0 14.8 11.2 7.0 -0.3 -7.5 -10.5 -8.6 -9.7 0.3 1.7 19.6 8.5 9.5 9.6 -0.3 6.9 1.3 6.8 4.9 2.9 -7.1 9.0 3.4 -5.5 -16.6 11.0 4.3 -0.7 3.0 DOW 6.2 1.7 -3.2 1.2 3.4 2.6 3.7 3.9 1.9 11.6 6.0 12.2 10.3 7.3 5.9 -8.6 -10.9 -9.8 -10.5 7.6 6.9 14.6 8.5 11.2 -9.1 3.1 4.3 3.4 4.8 4.5 3.8 -8.1 3.4 5.9 12.6 1.1 10.2 0.3 -0.5 -4.1 DX -20.0 -20.0 -12.3 2.5 9.2 0.4 9.5 0.2 6.3 -14.5 -2.1 -15.8 7.4 -16.1 -14.8 6.1 7.0 6.8 7.0 -18.1 -7.7 -20.0 0.3 -20.0 -20.0 -5.2 -6.0 -2.3 -7.3 -0.0 -7.1 16.2 -20.0 -20.0 -20.0 -20.0 -5.2 5.4 -6.6 8.0 EUR 18.8 15.3 7.7 3.5 12.6 0.5 13.1 0.3 8.7 18.0 5.6 20.0 -6.1 20.0 19.5 -7.0 -7.2 -7.3 -7.2 19.9 8.9 20.0 1.1 20.0 20.0 6.9 7.5 3.6 10.3 1.3 9.9 -8.1 3.8 20.0 20.0 14.9 2.4 -17.3 -2.4 -19.1 EURIBOR-ICE 3.9 20.0 11.4 2.7 0.0 1.8 1.1 0.4 2.4 -0.5 1.5 4.4 2.3 8.4 8.5 0.4 -3.8 -1.7 -2.8 11.4 7.3 3.7 2.9 9.5 12.4 3.0 -0.1 1.9 0.9 0.9 2.5 -0.1 -3.0 -5.0 1.9 -2.9 -20.0 -20.0 -3.2 1.6 EUROSTX 8.5 -14.9 -20.0 1.5 4.2 3.2 4.6 4.8 2.3 13.9 4.4 14.7 10.4 2.1 -3.2 -3.9 -2.9 -4.5 -4.1 -3.9 -1.3 13.6 7.5 4.9 -2.0 -1.6 3.9 0.3 4.6 4.5 1.3 4.6 0.7 3.7 -13.0 -20.0 3.6 0.9 -13.7 -2.2 FEEDCOW -20.0 -20.0 -14.2 -4.7 3.9 -4.1 0.4 -2.7 -2.8 -2.2 -9.5 -12.3 -7.9 -14.4 -13.3 10.5 -19.8 2.0 -8.6 -20.0 -18.0 -14.8 -8.9 -20.0 -6.4 -5.1 0.7 -3.4 -2.7 -1.4 -5.2 -20.0 -20.0 -20.0 -20.0 -14.3 3.0 20.0 10.2 20.0 GASOIL -6.0 -14.4 -13.6 -4.6 0.2 -2.9 -2.1 -0.3 -4.2 -4.5 -8.8 -7.8 7.7 -14.4 -13.4 2.5 9.6 1.4 4.0 -13.0 -8.1 -8.0 0.3 -13.1 4.1 -5.7 -0.7 -3.7 -3.4 -0.5 -5.6 0.1 -0.6 -9.4 -4.9 -1.7 -7.4 -13.2 -15.1 -20.0 GASOLINE -5.7 -12.1 -11.8 -4.7 0.2 -2.9 -2.1 -0.3 -4.2 -0.8 -1.0 -7.7 8.3 -11.8 -10.8 20.0 20.0 20.0 20.0 -9.0 -3.8 -6.4 3.4 -10.3 -20.0 -5.4 0.2 -3.5 -3.1 0.7 -5.2 20.0 -3.5 -1.8 3.8 -4.6 18.9 20.0 20.0 20.0 GAS_US_mini 10.5 -11.7 -1.0 -3.4 0.1 -2.1 -1.5 -0.2 -3.1 -12.2 -11.6 -4.6 -12.9 -9.0 -11.1 -20.0 -20.0 -20.0 -20.0 -9.6 -11.3 -9.0 -17.2 -7.3 20.0 -3.0 -7.5 -3.5 -4.6 -5.1 -2.9 -20.0 -2.7 2.7 1.4 11.1 -4.8 -13.5 -7.9 -18.7 GBP 11.1 6.0 7.1 3.6 13.3 0.6 13.8 0.3 9.1 20.0 16.5 20.0 10.5 18.8 18.0 -0.5 -0.7 -0.6 -0.7 19.0 12.8 20.0 9.1 20.0 -1.1 6.6 14.7 4.9 14.6 3.8 10.3 3.0 20.0 5.4 20.0 20.0 9.0 -20.0 9.3 -14.8 GOLD_micro 9.9 6.0 2.2 -2.5 3.6 -2.9 3.1 -1.5 0.5 12.2 12.4 12.9 12.1 12.5 10.7 -11.6 -13.2 -11.8 -12.2 13.0 13.7 13.6 14.7 14.4 -5.9 3.8 4.1 4.3 5.4 5.8 5.2 -12.7 1.5 14.4 20.0 18.5 10.8 -3.4 16.5 2.5 HEATOIL -5.6 -12.8 -11.6 -4.9 0.2 -3.1 -2.2 -0.3 -4.4 -0.8 -12.2 -8.3 2.1 -14.6 -13.8 -5.4 6.6 -5.1 -1.1 -13.7 -9.9 -6.7 -3.1 -13.3 -20.0 -6.2 0.5 -5.3 -2.5 -2.0 -5.2 -6.8 -2.2 -7.3 -6.1 -9.7 -4.6 5.3 -14.9 2.3 JGB-SGX-mini 13.7 20.0 4.8 2.0 0.0 1.3 0.8 0.3 1.7 -4.0 -0.1 2.3 0.1 3.3 2.8 12.4 17.5 15.4 16.4 4.6 1.7 0.6 0.1 4.3 -7.0 1.6 -0.3 0.4 0.5 -0.4 1.7 20.0 -3.8 3.2 -1.1 -7.5 -6.3 -5.0 -5.1 9.4 JPY 13.9 20.0 20.0 1.3 4.6 0.2 4.8 0.1 3.1 7.1 -0.8 6.1 -5.5 6.7 5.5 -11.6 -15.5 -13.3 -14.3 9.1 2.2 8.3 -4.8 10.8 20.0 2.1 1.3 0.5 1.7 -1.1 2.4 -20.0 -8.0 11.1 18.9 3.9 -20.0 -17.0 -20.0 -17.1 LEANHOG 10.6 12.9 -19.6 -3.6 2.9 -3.1 0.3 -2.1 -2.1 11.2 -6.8 10.0 -6.3 9.3 -4.4 20.0 13.2 20.0 20.0 -2.9 -8.9 11.8 -9.3 5.9 3.6 -1.0 6.0 -3.1 4.9 -3.0 2.5 20.0 19.6 12.3 11.3 -11.5 -0.1 -5.9 4.0 3.2 LIVECOW -20.0 -15.8 5.5 -5.4 4.5 -4.7 0.5 -3.2 -3.2 -0.7 7.4 -11.6 6.6 -13.1 -1.1 20.0 12.0 18.8 16.6 -7.1 2.5 -10.3 5.8 -15.6 -11.7 -2.8 2.8 1.0 -3.8 3.2 -5.7 20.0 -20.0 -20.0 -9.1 20.0 -1.3 20.0 4.1 20.0 LUMBER-new 9.2 16.9 -5.3 -3.1 2.6 -2.7 0.3 -1.7 -1.9 -9.5 -7.0 -5.5 -8.0 4.3 -1.2 -17.7 -17.5 -17.4 -17.5 -1.4 -6.0 -6.6 -7.5 -0.6 NaN -0.3 -6.2 -3.1 -3.4 -4.0 -0.1 -20.0 -20.0 6.1 14.2 0.4 3.6 -3.0 8.3 -0.4 MILK 9.6 3.8 20.0 -4.0 3.3 -3.5 0.4 -2.3 -2.4 9.7 11.9 11.9 4.0 11.6 12.4 18.3 -20.0 -3.5 -13.1 13.9 11.9 16.8 4.4 15.7 15.3 4.6 5.2 3.9 5.8 1.2 5.4 -20.0 20.0 20.0 20.0 20.0 -3.1 -20.0 1.7 -20.0 MXP 1.3 -9.2 -20.0 1.5 5.5 0.2 5.7 0.1 3.7 -7.6 -6.2 -5.3 -1.5 -6.2 -7.2 9.7 14.4 10.8 12.3 -9.3 -7.3 -10.0 -1.9 -8.9 -20.0 -3.1 -3.5 -2.5 -2.8 -0.6 -2.8 20.0 -20.0 -20.0 -16.9 -20.0 16.8 12.5 20.0 19.0 NASDAQ_micro 6.8 -20.0 -13.1 0.9 2.5 2.0 2.8 2.9 1.4 2.8 3.4 7.2 7.3 1.0 1.0 -7.0 -10.2 -8.8 -9.7 1.1 3.8 5.6 7.5 3.3 -16.3 0.3 0.4 1.9 1.3 3.9 0.6 -6.8 -6.9 7.3 -11.6 3.8 1.9 5.1 -7.1 2.5 NIKKEI 2.3 -20.0 -20.0 0.7 1.9 1.4 2.0 2.1 1.0 5.5 1.7 5.1 3.9 1.0 0.2 7.3 10.0 9.4 9.4 -1.7 -0.3 3.4 2.4 0.3 -6.8 -1.6 0.3 -0.4 -0.4 1.0 -1.6 20.0 -6.4 -16.3 -16.4 -11.8 8.9 -0.8 5.4 -3.0 NZD 20.0 -2.9 2.8 2.3 8.2 0.3 8.6 0.2 5.7 12.5 -0.6 13.5 -2.0 10.7 4.5 -0.2 0.1 -0.2 -0.1 4.9 0.5 20.0 -0.9 14.3 0.1 1.8 8.1 0.1 8.5 -0.2 5.6 4.2 1.2 17.6 -6.4 2.8 8.3 -4.7 6.2 0.0 OAT 7.0 16.8 0.3 4.0 0.1 2.6 1.6 0.6 3.4 -8.4 -3.5 3.2 -2.5 11.7 10.4 0.1 3.4 0.5 1.6 7.6 1.8 1.6 -3.1 7.9 2.8 3.5 -2.8 1.5 0.6 0.1 3.4 10.1 -5.7 -12.6 -7.1 -17.4 -15.9 -18.6 -2.1 -0.5 OATIES 3.5 -3.1 -19.4 -3.5 2.9 -3.1 0.3 -2.1 -2.1 0.3 -11.2 -2.6 -11.5 -7.8 -11.7 12.4 3.0 7.7 5.5 -9.8 -12.9 0.1 -12.3 -4.1 -20.0 -3.3 1.5 -3.8 0.2 -3.2 -1.5 3.0 -2.3 1.9 -0.8 -4.1 9.6 -0.8 20.0 8.7 OJ 8.6 -4.0 -14.3 -5.0 4.1 -4.4 0.5 -2.9 -3.0 -3.7 13.6 8.2 15.1 7.9 11.5 10.1 11.7 9.4 9.6 13.3 16.0 12.9 20.0 15.0 -20.0 4.7 -1.7 5.9 5.5 9.8 5.8 14.0 20.0 20.0 20.0 20.0 14.1 11.4 20.0 20.0 PALLAD 10.9 -2.0 4.1 -1.7 2.4 -2.0 2.1 -1.0 0.4 8.3 -5.4 8.5 -8.3 -0.3 -2.3 -1.8 -2.1 -1.8 -1.9 -1.1 -3.7 5.5 -7.8 2.4 14.8 -1.1 4.1 -2.7 3.2 -4.0 1.3 5.9 -3.1 0.9 5.3 3.6 -20.0 -20.0 -20.0 -20.0 PLAT 2.1 -11.7 -4.6 -2.2 3.1 -2.5 2.8 -1.3 0.5 7.9 -4.5 4.9 -4.1 -4.2 -7.5 -4.5 -4.4 -4.8 -4.8 -3.5 -2.0 3.3 -0.6 -0.6 5.5 -2.8 1.4 -2.2 1.2 -0.8 -0.9 1.3 -5.4 -7.8 -3.9 6.4 -7.5 -8.4 -5.0 1.8 REDWHEAT -3.1 -19.2 -20.0 -5.6 4.6 -4.9 0.5 -3.3 -3.3 -9.6 -17.9 -15.9 -18.0 -18.6 -20.0 -10.9 -5.8 -10.6 -8.6 -20.0 -20.0 -16.8 -20.0 -20.0 -6.0 -6.3 -2.9 -5.4 -5.0 -4.7 -5.8 -16.2 -20.0 -9.1 -18.8 -9.4 -20.0 -20.0 -17.0 -20.0 RICE -4.5 -9.8 -7.7 -4.8 4.0 -4.2 0.5 -2.8 -2.9 12.7 8.7 -2.2 11.8 0.4 -1.8 -8.3 20.0 20.0 20.0 -2.8 1.4 1.4 7.4 -2.6 -10.2 0.1 4.3 1.8 0.8 3.0 -0.8 20.0 -2.8 -1.9 8.1 19.8 -20.0 -15.2 -20.0 -14.5 ROBUSTA 10.8 2.8 10.4 -3.5 2.9 -3.1 0.3 -2.1 -2.1 11.1 11.7 11.8 11.8 10.8 11.2 20.0 20.0 20.0 20.0 17.4 19.9 20.0 20.0 20.0 -20.0 4.4 5.6 6.2 5.6 8.4 4.5 20.0 20.0 20.0 20.0 20.0 3.2 -5.4 10.0 1.9 RUSSELL -4.8 5.5 -1.8 1.0 2.6 2.1 2.9 3.0 1.4 7.6 3.5 4.0 6.7 1.7 1.7 -5.0 -6.5 -5.9 -6.3 3.4 3.7 8.2 3.7 4.6 -0.7 2.1 2.7 2.5 2.6 2.4 1.8 -0.6 -1.0 -5.3 14.2 2.9 3.7 -17.0 -4.9 -20.0 SHATZ 2.1 20.0 20.0 2.5 0.0 1.6 1.0 0.4 2.2 -2.5 -1.4 0.6 -4.4 5.7 6.6 -20.0 -20.0 -20.0 -20.0 9.2 4.0 1.7 -3.9 7.0 6.9 2.5 -0.2 1.3 0.4 -0.4 1.9 -20.0 -5.6 -4.4 -1.3 -2.2 -20.0 -17.2 -16.4 -10.9 SILVER-mini 5.9 -15.2 -2.5 -2.2 3.1 -2.5 2.7 -1.3 0.5 10.6 4.0 10.8 5.2 0.1 -2.7 -5.5 -6.3 -5.7 -6.0 -0.0 3.0 11.2 6.1 4.4 2.4 -1.2 4.4 -0.2 4.1 1.8 1.2 -1.3 10.2 1.7 2.7 9.4 4.4 -4.5 7.9 6.9 SMI 4.1 -12.0 3.2 1.3 3.7 2.9 4.0 4.3 2.0 9.6 10.8 12.8 12.0 9.6 9.7 -2.7 0.2 -2.9 -1.7 6.4 9.4 12.3 11.1 8.8 9.8 5.1 2.2 5.6 4.6 5.5 5.2 9.4 -1.5 20.0 15.1 15.4 2.1 1.3 -9.0 -2.2 SOFR 5.8 20.0 20.0 3.5 0.1 2.3 1.4 0.6 3.1 11.1 7.9 9.6 3.1 11.2 11.8 1.0 -0.9 -0.3 -0.9 16.4 11.8 9.0 3.9 14.1 -4.3 4.3 1.5 3.4 2.3 1.8 3.6 4.1 5.2 4.0 1.7 8.3 9.6 -13.5 20.0 6.4 SOYBEAN -7.9 -16.8 -19.7 -2.6 2.2 -2.3 0.3 -1.5 -1.6 7.1 -8.9 -4.5 -7.6 -7.7 -8.8 -12.3 2.5 -7.5 -3.5 -14.7 -13.7 -3.5 -10.4 -10.8 -16.1 -3.2 0.8 -3.0 -0.8 -2.1 -2.3 -4.8 -2.0 -9.8 -16.9 -12.4 -3.4 -20.0 1.7 -18.3 SOYMEAL -2.8 -4.3 -13.1 -2.6 2.2 -2.3 0.3 -1.5 -1.6 6.6 -8.1 -3.9 -8.1 -5.1 -7.9 -3.5 4.9 0.3 1.9 -8.2 -8.9 -1.2 -7.9 -5.4 -17.6 -2.5 1.5 -2.4 -0.3 -1.8 -1.7 1.5 1.7 -2.2 -6.9 -1.3 -20.0 -20.0 -20.0 -20.0 SOYOIL -9.0 -16.7 -4.2 -2.5 2.1 -2.2 0.2 -1.5 -1.5 5.7 -7.5 -1.7 -8.3 -7.0 -7.4 6.5 1.8 4.6 2.1 -9.0 -8.5 0.3 -8.4 -6.6 -18.6 -2.7 1.8 -2.5 0.3 -2.2 -1.8 -1.5 0.0 -5.1 -7.2 -3.5 -3.2 -9.6 5.6 -2.1 SP400 1.7 1.4 -10.8 1.1 3.1 2.4 3.4 3.5 1.7 7.9 5.3 7.5 8.6 3.9 2.1 -5.6 -5.8 -5.7 -5.8 3.3 3.6 10.6 5.5 6.5 -8.7 2.4 3.5 3.1 4.0 3.9 2.8 0.6 -1.0 -0.7 11.1 -0.8 6.5 -7.5 -2.6 -20.0 SP500_micro 8.6 -20.0 -9.0 1.2 3.2 2.5 3.5 3.6 1.7 9.6 8.3 11.2 10.8 6.3 5.9 -8.9 -12.2 -11.1 -12.0 5.6 8.1 12.4 11.8 8.9 -14.7 1.8 2.4 3.6 3.5 5.7 2.2 -10.4 -0.7 10.5 -3.6 6.6 8.0 3.1 -5.0 0.3 SUGAR11 3.0 -2.3 0.1 -4.3 3.5 -3.7 0.4 -2.5 -2.5 12.7 -12.7 4.6 -11.6 -7.0 -9.2 -4.3 6.3 -3.1 0.5 -6.4 -10.1 14.9 -9.5 0.5 -20.0 -2.4 15.6 -4.4 7.1 -4.3 0.7 2.2 13.8 7.7 -1.6 2.4 -5.7 16.2 -2.3 19.2 US10 6.4 20.0 20.0 2.8 0.0 1.8 1.1 0.5 2.4 4.4 5.2 5.3 -1.0 7.8 8.5 -7.0 -7.5 -7.3 -7.3 11.4 7.6 5.1 0.7 9.7 2.0 3.2 0.3 2.5 1.4 1.0 2.7 -7.0 1.5 3.9 0.8 4.9 4.6 -20.0 20.0 4.8 US10U 6.8 19.0 20.0 3.8 0.1 2.5 1.5 0.6 3.3 2.0 6.7 8.7 -1.7 11.4 12.0 -3.6 -2.9 -3.9 -3.8 14.2 9.0 6.8 0.1 12.7 -0.3 4.5 0.3 3.4 2.0 1.4 3.8 -0.0 3.6 3.7 -2.3 4.4 5.1 -17.6 20.0 14.3 US2 6.6 20.0 20.0 2.3 0.0 1.5 0.9 0.4 2.0 6.1 1.2 4.1 -3.9 5.8 6.4 -20.0 -20.0 -20.0 -20.0 9.8 5.4 5.1 -1.7 8.5 11.2 2.5 0.8 1.6 1.2 0.3 2.2 -20.0 0.9 9.4 7.4 4.3 1.6 -20.0 5.8 -10.9 US20 8.4 16.8 19.9 2.7 0.0 1.8 1.1 0.4 2.4 1.0 5.0 5.8 0.9 7.8 8.3 -1.4 -0.9 -1.1 -0.9 9.9 6.5 4.8 0.8 9.1 -1.9 3.2 -0.0 2.7 1.4 1.4 2.8 4.3 3.4 2.3 -3.4 3.8 5.2 -10.2 20.0 20.0 US30 8.2 14.0 18.3 3.2 0.0 2.1 1.3 0.5 2.8 -1.7 4.7 6.0 -0.7 8.6 9.0 -4.7 -4.9 -4.4 -4.6 9.4 5.7 4.6 -0.5 9.0 -1.3 3.7 -0.3 3.0 1.6 1.3 3.3 -2.6 4.2 -0.3 -7.7 1.1 2.1 -9.4 18.5 20.0 US5 5.5 20.0 20.0 2.7 0.0 1.8 1.1 0.4 2.4 6.8 4.5 4.9 -2.3 7.4 8.2 -13.4 -11.1 -12.4 -11.5 11.7 7.5 5.5 0.3 9.9 5.3 3.1 0.7 2.3 1.4 0.8 2.6 -13.6 1.2 5.4 3.3 5.5 5.1 -20.0 16.7 -1.9 VIX -4.2 20.0 20.0 1.3 -0.3 0.2 0.3 -1.0 1.3 -5.9 -4.6 -5.9 -6.7 -4.3 -4.0 -7.9 -20.0 -20.0 -20.0 0.5 -0.6 -2.4 -3.1 -0.8 NaN 1.5 -0.3 0.2 0.3 -1.2 1.5 NaN NaN NaN NaN NaN -12.1 -20.0 NaN NaN WHEAT 0.2 -19.9 -20.0 -3.9 3.2 -3.4 0.4 -2.3 -2.3 -7.0 -12.1 -10.5 -11.9 -12.7 -13.8 -18.4 -15.2 -17.3 -16.4 -17.4 -15.7 -12.8 -14.0 -14.3 2.4 -4.3 -2.8 -3.5 -3.8 -2.7 -3.9 -20.0 -20.0 -3.8 -14.0 -5.1 -18.5 -20.0 -16.6 -20.0 End of report for caleb_strategy_v3