******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240828_203934 produced at 2024-08-28 21:38:06.074729 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.32 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 -2.67 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 -12.05 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 -1.94 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 -1.74 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 -23.23 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.05 0.0 0.08 -0.08 -0.03 -0.03 -7.42 12.0 -5 -5 caleb_strategy_v3 BOBL False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.19 19.0 0 0 caleb_strategy_v3 BTP False True 0.05 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.89 10.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.04 0.0 999.00 -999.00 -0.02 -0.02 -6.03 999999999.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.03 0.0 0.05 -0.05 -0.02 -0.02 -16.68 26.0 -11 -11 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.37 4.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -2.49 11.0 -5 -5 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -2.66 8.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.16 -0.16 -0.00 -0.00 -9.10 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 -1.39 23.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.02 0.0 0.32 -0.32 -0.01 -0.01 -1.74 36.0 -1 -1 caleb_strategy_v3 OAT False True 0.05 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.40 10.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.57 9.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.02 0.0 0.12 -0.12 -0.10 -0.10 -1.11 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 -0.60 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 -0.62 12.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.63 4.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.37 -0.37 0.00 0.00 -0.30 20.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.09 -0.09 -0.01 -0.01 -1.24 9.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.68 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.03 10.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.99 2.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.05 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.01 0.0 0.46 -0.46 -0.01 -0.01 -1.04 48.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.20 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.97 18.0 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 -2.17 3.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.08 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.00 0.0 0.26 -0.26 -0.05 -0.05 -0.29 68.0 -14 -14 caleb_strategy_v3 LIVECOW False False 0.02 0.05 0.00 0.0 0.41 -0.41 0.05 0.05 0.15 17.0 2 2 caleb_strategy_v3 BUND False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.09 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.50 -0.50 0.03 0.03 0.30 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 0.25 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 COCOA False False 0.03 0.03 0.01 0.0 0.68 -0.68 0.03 0.03 0.42 26.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.02 0.01 0.0 0.46 -0.46 0.02 0.02 1.10 66.0 3 3 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.29 999999999.0 0 0 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 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.83 3.0 1 1 caleb_strategy_v3 MILK False False 0.02 0.00 0.02 0.0 0.08 -0.08 0.00 0.00 1.46 5.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.02 0.0 0.39 -0.39 0.00 0.00 0.96 23.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.66 -0.66 0.00 0.00 0.72 17.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.25 0.03 0.0 0.66 -0.66 0.25 0.25 0.65 13.0 5 5 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.52 -0.52 0.04 0.04 0.70 13.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.42 13.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.07 0.03 0.0 0.93 -0.93 0.07 0.07 0.86 25.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.06 0.03 0.0 0.41 -0.41 0.06 0.06 4.63 58.0 8 8 caleb_strategy_v3 CAD False False 0.03 0.00 0.04 0.0 0.74 -0.74 0.00 0.00 1.71 29.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.04 0.0 0.13 -0.13 0.03 0.03 4.11 13.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.14 0.04 0.0 0.44 -0.44 0.14 0.14 1.87 19.0 6 6 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 5.08 56.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.70 21.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.04 0.0 0.12 -0.12 0.07 0.07 1.51 5.0 3 3 caleb_strategy_v3 SMI False True 0.05 0.00 0.08 0.0 0.00 0.00 0.00 0.00 1.66 9.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.62 -0.62 0.03 0.03 3.25 22.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.14 0.10 0.0 0.66 -0.66 0.14 0.14 2.03 14.0 3 3 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.34 0.0 0.14 0.00 0.14 0.14 9.99 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.49 0.0 0.93 -0.93 0.00 0.00 5.25 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.28 0.0 0.00 0.00 0.00 0.00 15.49 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.7 Shocked risk 15.0 Sum abs risk 35.6 Leverage 4.03 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2929692.23, 'annual_cash_vol_target': 732423.0575, 'daily_cash_vol_target': 45776.44109375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6780 0.6077 9.7235 BITCOIN 1928.9494 59860.0000 3.2224 51.5590 BOBL 0.2329 117.7300 0.1978 3.1655 BTP 0.4870 119.0400 0.4091 6.5460 BUND 0.4769 134.0400 0.3558 5.6921 BUXL 1.1852 135.0200 0.8778 14.0446 CAC 60.6254 7576.5000 0.8002 12.8028 CAD 0.0026 0.7426 0.3474 5.5586 CANOLA 9.3145 607.7000 1.5327 24.5239 CHF 0.0059 1.1898 0.4999 7.9979 COCOA 205.6130 7627.0000 2.6959 43.1337 COFFEE 4.3942 256.8000 1.7112 27.3785 COPPER 0.0573 4.2135 1.3597 21.7560 CORN 5.3619 390.5000 1.3731 21.9694 COTTON2 1.0264 68.5500 1.4974 23.9576 CRUDE_W 1.1979 72.6700 1.6484 26.3742 DAX 145.5675 18794.0000 0.7745 12.3927 DOW 293.2975 41087.0000 0.7138 11.4215 DX 0.4302 100.7000 0.4272 6.8346 EUR 0.0048 1.1126 0.4339 6.9419 EURIBOR-ICE 0.0416 97.8350 0.0425 0.6803 EUROSTX 43.8636 4917.0000 0.8921 14.2733 FEEDCOW 2.0440 233.6500 0.8748 13.9973 GASOIL 11.5521 693.5000 1.6658 26.6523 GASOLINE 0.0362 2.0098 1.8003 28.8050 GAS_US_mini 0.0833 2.1150 3.9404 63.0470 GBP 0.0065 1.3187 0.4945 7.9115 GOLD_micro 19.9789 2518.6000 0.7933 12.6921 HEATOIL 0.0386 2.2899 1.6877 27.0033 JGB-SGX-mini 0.3356 144.6200 0.2320 3.7125 JPY 0.0001 0.0069 0.7662 12.2600 LEANHOG 1.1890 71.9500 1.6525 26.4401 LIVECOW 1.4198 177.8000 0.7985 12.7763 LUMBER-new 8.9972 507.0000 1.7746 28.3935 MILK 0.2991 22.0100 1.3592 21.7464 MXP 0.0006 0.0507 1.1036 17.6582 NASDAQ_micro 228.2248 19429.7500 1.1746 18.7938 NIKKEI 770.1606 38030.0000 2.0251 32.4022 NZD 0.0043 0.6242 0.6825 10.9201 OAT 0.4389 126.0700 0.3481 5.5701 OATIES 5.7816 323.5000 1.7872 28.5954 OJ 8.4807 446.5500 1.8992 30.3865 PALLAD 23.6291 938.5000 2.5178 40.2840 PLAT 16.3760 938.4000 1.7451 27.9216 REDWHEAT 9.1484 557.2500 1.6417 26.2673 RICE 0.1539 15.2700 1.0081 16.1299 ROBUSTA 73.0066 4944.0000 1.4767 23.6267 RUSSELL 29.3175 2198.1000 1.3338 21.3403 SHATZ 0.0794 106.6600 0.0745 1.1916 SILVER-mini 0.5202 29.6750 1.7529 28.0463 SMI 88.7864 12322.0000 0.7206 11.5288 SOFR 0.0604 96.9350 0.0623 0.9966 SOYBEAN 12.8339 976.5000 1.3143 21.0284 SOYMEAL 4.8366 308.3000 1.5688 25.1008 SOYOIL 0.6980 40.6900 1.7153 27.4451 SP400 31.1160 3071.0000 1.0132 16.2115 SP500_micro 45.8073 5612.7500 0.8161 13.0581 SUGAR11 0.3223 19.8800 1.6213 25.9404 US10 0.3935 114.0625 0.3450 5.5201 US10U 0.5460 118.0781 0.4624 7.3985 US2 0.1163 103.8984 0.1119 1.7903 US20 0.8066 124.1562 0.6497 10.3946 US30 1.2118 133.3750 0.9086 14.5370 US5 0.2604 109.1562 0.2386 3.8168 VIX 0.9942 17.7500 5.6011 89.6182 WHEAT 8.8116 541.2500 1.6280 26.0482 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 678.00 0.61 412.03 1.00 412.03 45776.44 111.10 6.49 72.14 BITCOIN 59.86 3.22 192.89 1.00 192.89 45776.44 237.31 -9.04 -214.51 BOBL 1177.30 0.20 232.92 1.12 260.07 45776.44 176.02 -6.67 -117.42 BTP 1190.40 0.41 487.02 1.12 543.79 45776.44 84.18 -3.08 -25.95 BUND 1340.40 0.36 476.85 1.12 532.43 45776.44 85.98 -1.06 -9.12 BUXL 1350.20 0.88 1185.19 1.12 1323.32 45776.44 34.59 -5.65 -19.56 CAC 757.65 0.80 606.25 1.12 676.91 45776.44 67.63 -2.68 -18.15 CAD 742.60 0.35 257.99 1.00 257.99 45776.44 177.44 3.72 66.07 CANOLA 121.54 1.53 186.29 0.74 138.18 45776.44 331.29 -11.29 -374.15 CHF 1487.19 0.50 743.40 1.00 743.40 45776.44 61.58 4.06 24.98 COCOA 762.70 2.70 2056.13 1.00 2056.13 45776.44 22.26 8.88 19.76 COFFEE 963.00 1.71 1647.84 1.00 1647.84 45776.44 27.78 7.73 21.47 COPPER 1053.38 1.36 1432.33 1.00 1432.33 45776.44 31.96 -1.73 -5.52 CORN 195.25 1.37 268.10 1.00 268.10 45776.44 170.75 -17.87 -305.11 COTTON2 342.75 1.50 513.22 1.00 513.22 45776.44 89.20 -13.01 -116.08 CRUDE_W 726.70 1.65 1197.89 1.00 1197.89 45776.44 38.21 3.64 13.93 DAX 187.94 0.77 145.57 1.12 162.53 45776.44 281.64 4.82 135.72 DOW 205.44 0.71 146.65 1.00 146.65 45776.44 312.15 1.51 47.15 DX 1007.00 0.43 430.15 1.00 430.15 45776.44 106.42 -12.03 -127.98 EUR 1390.75 0.43 603.40 1.00 603.40 45776.44 75.86 10.31 78.21 EURIBOR-ICE 2445.87 0.04 103.99 1.12 116.11 45776.44 394.24 3.90 153.80 EUROSTX 491.70 0.89 438.64 1.12 489.76 45776.44 93.47 -0.93 -8.70 FEEDCOW 1168.25 0.87 1022.02 1.00 1022.02 45776.44 44.79 -13.10 -58.68 GASOIL 693.50 1.67 1155.21 1.00 1155.21 45776.44 39.63 -7.99 -31.66 GASOLINE 844.12 1.80 1519.68 1.00 1519.68 45776.44 30.12 1.22 3.69 GAS_US_mini 52.88 3.94 208.35 1.00 208.35 45776.44 219.71 -7.01 -154.08 GBP 824.19 0.49 407.54 1.00 407.54 45776.44 112.32 11.14 125.14 GOLD_micro 251.86 0.79 199.79 1.00 199.79 45776.44 229.12 6.50 148.90 HEATOIL 961.76 1.69 1623.16 1.00 1623.16 45776.44 28.20 -14.20 -40.06 JGB-SGX-mini 144620.00 0.23 33556.57 0.01 231.75 45776.44 197.53 4.67 92.24 JPY 866.50 0.77 663.95 1.00 663.95 45776.44 68.95 1.70 11.71 LEANHOG 287.80 1.65 475.59 1.00 475.59 45776.44 96.25 7.03 67.66 LIVECOW 711.20 0.80 567.91 1.00 567.91 45776.44 80.61 0.54 4.38 LUMBER-new 139.43 1.77 247.42 1.00 247.42 45776.44 185.01 -5.48 -101.41 MILK 440.20 1.36 598.30 1.00 598.30 45776.44 76.51 8.92 68.28 MXP 253.60 1.10 279.88 1.00 279.88 45776.44 163.56 -5.02 -82.10 NASDAQ_micro 388.60 1.17 456.45 1.00 456.45 45776.44 100.29 -5.96 -59.81 NIKKEI 38030.00 2.03 77016.06 0.01 531.89 45776.44 86.06 -1.87 -16.06 NZD 624.15 0.68 425.99 1.00 425.99 45776.44 107.46 6.10 65.59 OAT 1260.70 0.35 438.89 1.12 490.04 45776.44 93.41 -1.27 -11.87 OATIES 161.75 1.79 289.08 1.00 289.08 45776.44 158.35 -5.15 -81.60 OJ 669.82 1.90 1272.10 1.00 1272.10 45776.44 35.98 10.80 38.85 PALLAD 938.50 2.52 2362.91 1.00 2362.91 45776.44 19.37 -1.27 -2.46 PLAT 469.20 1.75 818.80 1.00 818.80 45776.44 55.91 -3.58 -20.00 REDWHEAT 278.62 1.64 457.42 1.00 457.42 45776.44 100.08 -20.00 -200.15 RICE 305.40 1.01 307.88 1.00 307.88 45776.44 148.68 -1.74 -25.91 ROBUSTA 494.40 1.48 730.07 1.00 730.07 45776.44 62.70 13.16 82.53 RUSSELL 109.90 1.33 146.59 1.00 146.59 45776.44 312.28 -0.28 -8.65 SHATZ 1066.60 0.07 79.43 1.12 88.69 45776.44 516.13 -5.10 -263.15 SILVER-mini 741.88 1.75 1300.43 1.00 1300.43 45776.44 35.20 2.44 8.57 SMI 1232.20 0.72 887.86 1.18 1047.50 45776.44 43.70 11.12 48.58 SOFR 2423.38 0.06 150.94 1.00 150.94 45776.44 303.28 8.40 254.89 SOYBEAN 488.25 1.31 641.70 1.00 641.70 45776.44 71.34 -16.73 -119.33 SOYMEAL 308.30 1.57 483.66 1.00 483.66 45776.44 94.65 -14.06 -133.10 SOYOIL 244.14 1.72 418.78 1.00 418.78 45776.44 109.31 -10.09 -110.34 SP400 3071.00 1.01 3111.60 1.00 3111.60 45776.44 14.71 -1.05 -1.54 SP500_micro 280.64 0.82 229.04 1.00 229.04 45776.44 199.87 -2.23 -44.54 SUGAR11 222.66 1.62 360.99 1.00 360.99 45776.44 126.81 -3.59 -45.52 US10 1140.62 0.35 393.53 1.00 393.53 45776.44 116.32 4.85 56.43 US10U 1180.78 0.46 546.00 1.00 546.00 45776.44 83.84 6.56 55.04 US2 2077.97 0.11 232.51 1.00 232.51 45776.44 196.88 1.69 33.22 US20 1241.56 0.65 806.60 1.00 806.60 45776.44 56.75 7.05 40.01 US30 1333.75 0.91 1211.80 1.00 1211.80 45776.44 37.78 4.84 18.29 US5 1091.56 0.24 260.39 1.00 260.39 45776.44 175.80 3.84 67.56 VIX 177.50 5.60 994.20 1.00 994.20 45776.44 46.04 -5.30 -24.41 WHEAT 270.62 1.63 440.58 1.00 440.58 45776.44 103.90 -18.63 -193.54 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 72.142 0.010 2.5 1.872 BITCOIN -214.510 0.043 2.5 -23.229 BOBL -117.419 0.004 2.5 -1.191 BTP -25.955 0.014 2.5 -0.885 BUND -9.121 0.004 2.5 -0.092 BUXL -19.561 0.004 2.5 -0.198 CAC -18.153 0.014 2.5 -0.619 CAD 66.068 0.010 2.5 1.714 CANOLA -374.152 0.010 2.5 -9.103 CHF 24.976 0.010 2.5 0.648 COCOA 19.762 0.009 2.5 0.423 COFFEE 21.469 0.005 2.5 0.251 COPPER -5.522 0.043 2.5 -0.598 CORN -305.109 0.010 2.5 -7.423 COTTON2 -116.079 0.009 2.5 -2.486 CRUDE_W 13.926 0.043 2.5 1.508 DAX 135.720 0.014 2.5 4.629 DOW 47.146 0.009 2.5 1.096 DX -127.983 0.010 2.5 -3.321 EUR 78.214 0.010 2.5 2.029 EURIBOR-ICE 153.799 0.014 2.5 5.246 EUROSTX -8.704 0.014 2.5 -0.297 FEEDCOW -58.685 0.013 2.5 -1.945 GASOIL -31.657 0.017 2.5 -1.372 GASOLINE 3.685 0.017 2.5 0.160 GAS_US_mini -154.080 0.043 2.5 -16.685 GBP 125.143 0.010 2.5 3.247 GOLD_micro 148.903 0.014 2.5 5.079 HEATOIL -40.058 0.017 2.5 -1.736 JGB-SGX-mini 92.242 0.043 2.5 9.989 JPY 11.712 0.010 2.5 0.304 LEANHOG 67.663 0.024 2.5 4.112 LIVECOW 4.378 0.013 2.5 0.145 LUMBER-new -101.412 0.009 2.5 -2.172 MILK 68.280 0.009 2.5 1.462 MXP -82.105 0.059 2.5 -12.051 NASDAQ_micro -59.813 0.009 2.5 -1.390 NIKKEI -16.058 0.043 2.5 -1.739 NZD 65.587 0.010 2.5 1.702 OAT -11.866 0.014 2.5 -0.405 OATIES -81.605 0.010 2.5 -1.985 OJ 38.855 0.009 2.5 0.832 PALLAD -2.458 0.014 2.5 -0.084 PLAT -19.997 0.014 2.5 -0.682 REDWHEAT -200.150 0.005 2.5 -2.655 RICE -25.912 0.010 2.5 -0.630 ROBUSTA 82.530 0.005 2.5 0.964 RUSSELL -8.650 0.013 2.5 -0.287 SHATZ -263.149 0.004 2.5 -2.668 SILVER-mini 8.572 0.014 2.5 0.292 SMI 48.579 0.014 2.5 1.657 SOFR 254.893 0.024 2.5 15.491 SOYBEAN -119.330 0.004 2.5 -1.110 SOYMEAL -133.105 0.004 2.5 -1.238 SOYOIL -110.343 0.004 2.5 -1.027 SP400 -1.540 0.013 2.5 -0.051 SP500_micro -44.543 0.009 2.5 -1.035 SUGAR11 -45.517 0.009 2.5 -0.968 US10 56.431 0.005 2.5 0.715 US10U 55.039 0.005 2.5 0.697 US2 33.219 0.005 2.5 0.421 US20 40.006 0.005 2.5 0.507 US30 18.293 0.005 2.5 0.232 US5 67.563 0.005 2.5 0.856 VIX -24.412 0.099 2.5 -6.026 WHEAT -193.540 0.005 2.5 -2.567 ===================== Position diags ===================== AUD 2.88 BITCOIN 25.70 BOBL 1.78 BTP 2.87 BUND 0.87 BUXL 0.35 CAC 2.31 CAD 4.60 CANOLA 8.06 CHF 1.60 COCOA 0.48 COFFEE 0.32 COPPER 3.46 CORN 4.15 COTTON2 1.91 CRUDE_W 4.14 DAX 9.61 DOW 7.25 DX 2.76 EUR 1.97 EURIBOR-ICE 13.45 EUROSTX 3.19 FEEDCOW 1.48 GASOIL 1.72 GASOLINE 1.31 GAS_US_mini 23.79 GBP 2.91 GOLD_micro 7.81 HEATOIL 1.22 JGB-SGX-mini 21.39 JPY 1.79 LEANHOG 5.85 LIVECOW 2.67 LUMBER-new 3.96 MILK 1.64 MXP 24.01 NASDAQ_micro 2.33 NIKKEI 9.32 NZD 2.79 OAT 3.19 OATIES 3.85 OJ 0.77 PALLAD 0.66 PLAT 1.91 REDWHEAT 1.33 RICE 3.62 ROBUSTA 0.73 RUSSELL 10.35 SHATZ 5.23 SILVER-mini 1.20 SMI 1.49 SOFR 18.43 SOYBEAN 0.66 SOYMEAL 0.88 SOYOIL 1.02 SP400 0.49 SP500_micro 4.64 SUGAR11 2.70 US10 1.47 US10U 1.06 US2 2.49 US20 0.72 US30 0.48 US5 2.23 VIX 11.37 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.9 1.6 2.2 6.0 6 BITCOIN -23.2 -25.8 -20.7 0.0 0 BOBL -1.2 -1.4 -1.0 0.0 0 BTP -0.9 -1.2 -0.6 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 -0.8 -0.4 0.0 0 CAD 1.7 1.3 2.2 0.0 0 CANOLA -9.1 -9.9 -8.3 -1.0 -1 CHF 0.6 0.5 0.8 5.0 5 COCOA 0.4 0.4 0.5 1.0 1 COFFEE 0.3 0.2 0.3 0.0 0 COPPER -0.6 -0.9 -0.3 0.0 0 CORN -7.4 -7.8 -7.0 -5.0 -5 COTTON2 -2.5 -2.7 -2.3 -5.0 -5 CRUDE_W 1.5 1.1 1.9 3.0 3 DAX 4.6 3.7 5.6 8.0 8 DOW 1.1 0.4 1.8 3.0 3 DX -3.3 -3.6 -3.0 0.0 0 EUR 2.0 1.8 2.2 3.0 3 EURIBOR-ICE 5.2 3.9 6.6 0.0 0 EUROSTX -0.3 -0.6 0.0 0.0 0 FEEDCOW -1.9 -2.1 -1.8 -2.0 -2 GASOIL -1.4 -1.5 -1.2 -1.0 -1 GASOLINE 0.2 0.0 0.3 0.0 0 GAS_US_mini -16.7 -19.1 -14.3 -11.0 -11 GBP 3.2 3.0 3.5 1.0 1 GOLD_micro 5.1 4.3 5.9 0.0 0 HEATOIL -1.7 -1.9 -1.6 -2.0 -2 JGB-SGX-mini 10.0 7.8 12.1 4.0 4 JPY 0.3 0.1 0.5 1.0 1 LEANHOG 4.1 3.5 4.7 3.0 3 LIVECOW 0.1 -0.1 0.4 2.0 2 LUMBER-new -2.2 -2.6 -1.8 -2.0 -2 MILK 1.5 1.3 1.6 NaN 0 MXP -12.1 -14.5 -9.7 -7.0 -7 NASDAQ_micro -1.4 -1.6 -1.2 0.0 0 NIKKEI -1.7 -2.7 -0.8 -1.0 -1 NZD 1.7 1.4 2.0 0.0 0 OAT -0.4 -0.7 -0.1 0.0 0 OATIES -2.0 -2.4 -1.6 NaN 0 OJ 0.8 0.8 0.9 1.0 1 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT -0.7 -0.9 -0.5 -1.0 -1 REDWHEAT -2.7 -2.8 -2.5 -2.0 -2 RICE -0.6 -1.0 -0.3 NaN 0 ROBUSTA 1.0 0.9 1.0 0.0 0 RUSSELL -0.3 -1.3 0.7 -14.0 -14 SHATZ -2.7 -3.2 -2.1 NaN 0 SILVER-mini 0.3 0.2 0.4 0.0 0 SMI 1.7 1.5 1.8 0.0 0 SOFR 15.5 13.6 17.3 NaN 0 SOYBEAN -1.1 -1.2 -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 -1.5 -0.6 -1.0 -1 SUGAR11 -1.0 -1.2 -0.7 0.0 0 US10 0.7 0.6 0.9 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 0.9 0.6 1.1 2.0 2 VIX -6.0 -7.2 -4.9 -4.0 -4 WHEAT -2.6 -2.7 -2.4 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.6 -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 0.2 0.4 -0.3 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 0.0 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 -0.3 -0.6 0.2 0.3 -0.3 -0.2 -0.1 0.0 BOBL -0.1 0.6 0.4 0.0 -0.0 0.1 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 0.0 -0.0 -0.1 0.1 0.6 0.0 -0.0 0.1 -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 0.0 0.4 0.1 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 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 0.0 0.6 -0.1 -0.6 -0.3 -0.6 -0.7 -0.5 -0.1 0.2 BUND -0.1 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 -0.0 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 -0.0 -0.1 0.0 -0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.2 -0.5 -0.4 -0.5 -0.7 -0.7 -0.3 -0.3 CAC 0.4 -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 0.1 -0.0 0.0 -1.2 -0.0 0.0 -0.1 0.0 0.0 0.0 0.3 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 0.1 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 0.1 -0.0 0.2 -0.1 0.1 -0.1 0.5 0.6 -0.1 -0.2 0.4 -0.2 0.1 -0.1 CANOLA -0.4 -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 -0.0 -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 -0.2 CHF 0.4 0.6 0.6 0.0 0.0 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 0.1 0.6 0.6 0.6 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 0.3 0.3 0.2 0.6 0.3 0.7 0.4 COFFEE 0.3 0.0 0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.4 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 0.3 0.5 0.6 0.6 0.6 -0.1 -0.3 0.1 -0.1 COPPER 0.3 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 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 -0.6 -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 -0.4 -0.4 -0.1 -0.3 -0.1 -0.0 COTTON2 0.5 0.1 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 0.1 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -2.7 -0.0 -0.0 -0.2 0.0 -0.1 0.0 -0.6 0.1 0.3 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 -0.1 -0.0 -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 0.6 0.2 0.2 0.0 -0.2 0.3 0.6 0.3 0.7 DAX 0.4 -0.3 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.2 0.4 0.1 0.0 -0.2 -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 0.3 0.2 -0.1 -0.5 0.4 0.1 -0.0 0.1 DOW 0.3 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 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.2 0.1 -1.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 0.0 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 -0.0 -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 0.5 0.5 0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 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 0.0 0.1 0.1 0.0 0.1 -0.4 -0.2 0.6 0.6 0.5 0.1 -0.6 -0.1 -0.6 EURIBOR-ICE 0.1 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 -0.1 0.1 -0.1 -0.7 -0.7 -0.1 0.1 EUROSTX 0.4 -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 0.0 0.2 0.0 0.2 0.1 0.2 -0.4 -0.6 0.1 0.0 -0.5 -0.1 FEEDCOW -0.6 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.2 -0.4 0.0 -0.2 -0.2 -0.2 -0.1 -0.3 -0.2 -0.9 -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 -0.1 -0.5 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 0.3 -0.2 -0.2 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.5 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -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 -0.1 -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 0.0 -0.1 0.1 -0.1 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 -0.1 -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 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 0.2 0.1 0.3 -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 0.1 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 0.1 0.1 0.1 0.2 0.5 0.2 0.6 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.4 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 0.2 0.1 0.4 0.1 -0.8 0.0 0.0 0.1 0.0 0.2 0.1 -0.7 0.1 0.5 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.1 -0.4 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 0.1 -0.2 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.2 -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 0.2 -0.0 -0.2 -0.2 -0.2 -0.2 0.3 JPY 0.3 0.6 0.6 0.0 0.0 0.0 0.0 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 0.3 0.6 0.1 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.4 0.5 -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 0.4 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 -0.4 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.2 0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 0.0 -0.0 -0.4 -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 0.1 0.5 0.0 0.1 -0.1 0.3 -0.0 MILK 0.4 0.2 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 -0.0 -0.2 0.2 0.1 0.1 0.1 0.2 2.0 0.0 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 0.1 -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 -0.6 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro 0.3 -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 0.0 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 -0.1 -0.5 -0.6 -0.4 0.3 -0.0 0.2 -0.1 NZD 0.6 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 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 0.3 0.6 -0.2 0.1 0.3 -0.2 0.2 -0.0 OAT 0.1 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 -0.2 -0.4 -0.2 -0.6 -0.5 -0.6 -0.1 -0.0 OATIES 0.2 -0.0 -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 0.3 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 0.2 0.1 0.0 -0.1 0.3 -0.0 0.7 0.3 OJ 0.3 -0.1 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.1 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 0.1 -2.7 0.0 -0.0 0.2 0.0 0.4 0.1 0.7 0.2 0.6 0.6 0.6 0.5 0.4 0.7 0.7 PALLAD 0.4 -0.0 0.2 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -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 0.1 0.1 -0.7 -0.7 -0.7 -0.7 PLAT 0.1 -0.4 -0.2 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -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 -0.3 -0.1 0.2 -0.2 -0.3 -0.2 0.1 REDWHEAT -0.0 -0.5 -0.6 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.5 -0.1 -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 -0.5 -0.2 -0.6 -0.3 -0.7 -0.7 -0.6 -0.7 RICE -0.2 -0.3 -0.3 -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 -0.2 -0.2 0.3 0.6 -0.7 -0.5 -0.7 -0.5 ROBUSTA 0.5 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 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.1 0.1 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.1 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 -0.0 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 0.3 -0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 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 0.2 -0.1 0.3 0.2 SMI 0.3 -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 0.0 0.2 0.1 0.5 -0.1 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 0.2 0.1 0.1 0.3 0.3 -0.4 0.7 0.2 SOYBEAN -0.2 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 0.0 -0.2 -0.1 -0.2 -0.2 -0.0 -0.3 -0.1 -2.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -0.3 -0.6 -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 0.0 -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 -2.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -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 0.1 -0.2 -0.3 -0.1 -0.1 -0.3 0.2 -0.1 SP400 0.2 0.0 -0.3 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 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.2 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 -0.2 -0.1 -0.7 SP500_micro 0.4 -0.6 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.1 0.4 0.1 0.1 -0.2 -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 -0.1 0.3 -0.1 0.2 0.3 0.1 -0.2 0.0 SUGAR11 0.2 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.2 -0.3 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 0.5 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 0.1 0.0 0.0 0.0 0.0 0.1 0.0 -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 0.1 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 0.0 0.0 0.1 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.1 -0.1 0.1 0.2 -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 0.1 0.3 0.2 0.1 0.1 -0.7 0.2 -0.4 US20 0.3 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.0 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 0.1 0.0 0.2 0.1 0.0 -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 0.1 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 0.0 -0.1 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.0 0.1 0.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 0.1 0.2 0.1 0.2 0.2 -0.7 0.6 -0.1 VIX -0.3 1.0 1.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.4 -0.1 -0.1 -0.2 -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 -0.0 -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 -0.1 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 20.0 -5.2 4.4 3.4 7.4 0.7 10.2 0.4 7.6 14.6 3.9 17.4 -1.8 12.0 7.8 -1.9 -2.6 -2.1 -2.3 7.2 3.2 20.0 0.3 16.3 2.7 2.7 5.9 1.1 9.1 0.4 6.7 -0.0 6.5 11.0 -8.1 2.3 10.9 -4.7 12.5 -0.6 BITCOIN -2.0 -5.0 -18.8 -2.8 0.0 -3.2 2.1 -1.7 0.3 0.6 1.9 2.0 7.3 -2.0 -5.6 -4.9 -6.9 -5.9 -6.5 -4.4 -0.5 0.5 7.2 -2.1 -20.0 -2.7 -2.2 0.5 -0.4 6.0 -1.9 -2.5 -10.6 -20.0 6.8 7.8 -8.7 -5.4 -3.4 0.1 BOBL -1.6 20.0 12.6 3.2 -0.3 2.1 0.9 0.6 2.6 -7.1 -1.2 -3.8 -4.2 7.1 8.1 -20.0 -17.8 -20.0 -20.0 8.8 4.5 -0.6 -2.0 5.8 4.4 3.0 -1.2 1.9 -0.3 0.2 1.9 -20.0 -7.7 -8.9 -4.7 -6.6 -20.0 -20.0 -7.8 -8.9 BTP 0.5 13.4 2.8 5.6 -0.6 3.7 1.7 1.0 4.6 -11.0 12.4 3.5 14.7 16.9 17.5 1.2 3.7 1.4 2.2 13.0 11.2 0.4 10.2 9.5 -20.0 6.0 -4.0 5.3 0.0 5.0 4.4 10.7 -4.7 -20.0 -8.7 -17.6 -20.0 -15.6 -2.2 5.0 BUND -1.7 17.8 10.4 3.5 -0.4 2.4 1.1 0.6 2.9 -8.0 0.4 -3.9 -0.9 8.3 9.2 7.0 1.8 4.9 2.5 8.9 5.3 -1.4 -0.4 5.6 1.1 3.4 -2.1 2.5 -0.6 0.9 2.1 8.6 -7.8 -11.3 -7.2 -8.5 -20.0 -20.0 -6.6 -8.1 BUXL -0.9 14.5 7.4 4.1 -0.5 2.8 1.2 0.7 3.4 -9.6 -0.6 -5.3 -0.5 8.3 8.7 -0.7 -2.3 -1.5 -2.3 7.4 3.8 -4.0 -2.0 4.3 -3.2 3.5 -4.3 2.6 -2.0 1.0 1.8 1.5 -9.9 -15.3 -12.4 -14.7 -20.0 -20.0 -9.6 -8.1 CAC 13.7 -11.1 -20.0 2.0 2.9 4.0 4.7 5.9 2.8 11.3 -8.3 16.3 3.0 3.4 -10.1 -4.7 -2.0 -4.9 -3.1 -10.6 -11.6 14.4 -0.7 4.0 -8.7 -3.5 2.8 -3.2 4.4 0.8 1.1 6.6 0.7 6.3 -15.2 -20.0 10.5 5.2 2.4 4.2 CAD 20.0 4.4 1.0 4.3 9.6 0.9 13.1 0.5 9.8 19.6 -10.6 20.0 -16.8 19.9 10.3 -5.0 -3.5 -4.7 -4.1 10.2 -2.1 20.0 -8.2 20.0 -1.4 4.2 13.8 -0.5 16.2 -2.4 11.3 -2.3 18.9 20.0 -4.5 -4.8 10.5 -6.0 2.1 -3.2 CANOLA -12.0 -6.4 -0.8 -2.1 1.8 -1.9 0.6 -1.3 -1.0 6.3 -5.2 -0.2 -6.5 -5.0 -5.6 -11.4 -10.4 -12.2 -12.7 -6.8 -6.0 1.8 -6.2 -4.6 -14.5 -2.1 2.5 -2.5 1.1 -3.0 -0.8 -20.0 2.6 -2.0 -1.7 -3.4 0.9 -10.9 10.1 -4.5 CHF 11.2 20.0 19.8 2.2 4.8 0.4 6.6 0.2 5.0 11.2 -0.1 11.9 -4.3 11.3 10.4 -14.2 -16.4 -15.7 -16.1 15.5 6.9 19.7 -0.1 19.3 3.5 4.1 3.7 2.1 4.4 0.4 4.7 -20.0 3.9 18.7 20.0 17.3 1.2 -10.7 -7.7 -11.9 COCOA 15.4 -1.9 7.2 -1.9 1.6 -1.7 0.5 -1.2 -0.9 2.7 2.2 5.1 3.3 4.4 -0.7 20.0 20.0 20.0 20.0 2.8 4.6 6.1 8.8 5.3 -20.0 1.7 0.5 4.4 2.4 9.2 2.2 20.0 5.3 10.0 8.2 4.9 19.1 7.7 20.0 11.8 COFFEE 9.6 0.5 7.6 -5.0 4.4 -4.6 1.4 -3.2 -2.5 16.3 15.8 17.2 15.4 14.8 15.6 3.9 6.2 4.1 5.3 15.7 17.8 20.0 17.7 17.8 -20.0 5.6 10.1 7.1 9.3 8.7 7.1 6.2 20.0 20.0 20.0 20.0 -2.9 -10.1 4.2 -3.6 COPPER 9.7 -20.0 -11.8 -2.1 0.0 -2.4 1.5 -1.3 0.2 0.4 -3.0 8.6 -0.0 -4.1 -7.8 -3.7 -2.8 -2.2 -2.1 -6.2 -2.9 5.0 2.7 -0.5 -13.0 -2.1 0.5 -1.0 1.5 1.0 -0.2 5.0 3.6 -0.5 -6.5 1.2 13.2 4.8 20.0 16.0 CORN 0.6 -11.9 -18.2 -3.5 3.0 -3.2 1.0 -2.2 -1.7 -4.4 -12.2 -8.4 -12.7 -11.0 -12.5 -20.0 -15.4 -20.0 -19.4 -16.3 -18.0 -7.4 -17.4 -11.0 -8.3 -4.3 -1.3 -4.7 -2.1 -4.4 -3.0 -20.0 -16.9 -6.3 -13.9 -12.7 -4.2 -7.7 -2.1 -0.8 COTTON2 15.4 2.2 -19.7 -4.4 3.9 -4.1 1.2 -2.8 -2.2 0.4 -16.1 4.9 -14.5 -4.8 -12.7 -10.7 -2.6 -9.1 -5.7 -10.8 -18.2 3.0 -17.2 -0.9 -20.0 -3.7 -2.2 -5.6 2.0 -3.6 0.4 -10.8 3.6 8.1 1.6 -6.4 -9.9 -10.0 0.8 -3.2 CRUDE_W 0.9 -15.9 -11.6 -5.1 -3.8 -3.2 -3.6 -0.4 -4.8 -0.1 -2.5 -2.1 10.1 -10.5 -9.3 12.5 12.7 13.2 13.1 -8.0 -3.6 -2.8 2.6 -7.3 -2.1 -5.3 -0.7 -4.2 -1.1 -0.6 -3.6 10.5 7.7 6.7 0.3 -6.5 9.0 17.8 10.0 20.0 DAX 13.7 -8.7 -19.4 1.7 2.5 3.5 4.1 5.1 2.5 15.0 5.5 15.7 11.6 8.5 0.8 -7.6 -10.5 -8.6 -9.6 1.5 2.3 20.0 9.0 11.5 9.8 0.1 6.8 1.5 7.2 5.0 3.5 -7.0 14.4 5.6 -4.3 -16.9 11.1 4.4 -0.3 2.9 DOW 9.3 1.0 -3.0 1.4 2.0 2.7 3.2 4.0 1.9 5.5 6.3 11.8 10.5 7.7 6.3 -8.7 -10.9 -9.8 -10.5 7.9 7.2 12.1 8.8 11.0 -9.2 3.2 1.9 3.5 4.0 4.6 3.8 -8.1 0.0 4.8 13.5 1.2 10.0 0.3 -0.8 -4.1 DX -17.9 -20.0 -12.6 2.7 5.9 0.5 8.1 0.3 6.1 -9.4 -2.6 -13.9 7.0 -15.1 -14.3 6.0 7.0 6.8 7.0 -17.3 -7.7 -20.0 -0.0 -20.0 -20.0 -5.1 -2.4 -2.3 -5.7 -0.1 -6.5 16.2 -20.0 -20.0 -20.0 -20.0 -4.9 5.4 -6.3 8.1 EUR 16.9 14.7 7.9 3.7 8.2 0.8 11.3 0.4 8.4 9.6 6.0 18.1 -5.7 19.7 18.9 -6.9 -7.2 -7.3 -7.2 18.7 8.8 20.0 1.3 20.0 20.0 6.8 1.7 3.6 7.6 1.4 9.0 -8.1 -9.7 20.0 20.0 14.3 2.3 -17.4 -2.4 -19.2 EURIBOR-ICE 2.1 20.0 12.3 2.7 -0.3 1.8 0.8 0.5 2.2 0.5 1.7 2.6 2.4 8.4 8.5 0.5 -3.7 -1.6 -2.7 11.4 7.5 3.0 3.0 9.0 12.5 3.0 -0.1 2.0 0.8 1.0 2.3 -0.1 -2.6 -4.6 2.0 -2.8 -20.0 -20.0 -3.0 1.6 EUROSTX 12.7 -14.2 -20.0 1.7 2.4 3.4 4.0 5.0 2.4 13.1 4.6 15.3 10.6 2.7 -2.6 -4.0 -2.9 -4.5 -4.1 -3.4 -1.1 12.8 7.8 5.6 -2.1 -1.5 3.1 0.4 4.4 4.7 1.6 4.6 2.6 4.8 -12.8 -20.0 3.8 0.9 -13.6 -2.3 FEEDCOW -20.0 -20.0 -14.9 -4.5 4.0 -4.2 1.3 -2.8 -2.3 1.9 -9.7 -10.4 -8.1 -13.9 -13.3 10.8 -19.5 2.4 -8.3 -20.0 -18.7 -10.1 -9.3 -20.0 -6.4 -5.1 1.4 -3.5 -1.9 -1.5 -4.8 -20.0 -20.0 -20.0 -20.0 -14.4 3.2 20.0 10.5 20.0 GASOIL -4.6 -14.7 -13.7 -4.7 -3.5 -3.0 -3.3 -0.4 -4.5 -12.5 -9.3 -11.1 7.4 -15.2 -13.9 2.3 9.5 1.4 3.9 -13.3 -8.3 -11.4 0.0 -13.9 4.0 -5.8 -4.9 -3.8 -4.7 -0.6 -5.9 0.1 -5.2 -6.8 -5.4 -1.8 -7.0 -13.0 -14.3 -20.0 GASOLINE -4.8 -12.6 -11.3 -4.8 -3.6 -3.0 -3.4 -0.4 -4.6 -6.6 -1.6 -9.5 8.1 -12.5 -11.3 20.0 20.0 20.0 20.0 -9.5 -4.2 -8.8 3.2 -11.0 -20.0 -5.5 -3.8 -3.6 -4.2 0.6 -5.5 20.0 0.9 -2.2 3.6 -4.2 18.3 20.0 20.0 20.0 GAS_US_mini 9.5 -11.4 -1.3 -3.4 -2.6 -2.2 -2.4 -0.3 -3.3 -10.5 -11.6 -6.0 -12.8 -9.3 -11.3 -20.0 -20.0 -20.0 -20.0 -9.8 -11.4 -8.9 -17.2 -7.8 20.0 -3.1 -5.4 -3.6 -4.5 -5.1 -3.2 -20.0 -3.2 6.9 3.0 10.6 -5.0 -13.7 -7.8 -18.8 GBP 13.9 5.4 6.9 3.9 8.7 0.8 11.9 0.4 8.9 15.4 16.5 20.0 10.6 18.4 17.9 -0.5 -0.7 -0.6 -0.7 19.2 12.9 20.0 9.0 20.0 -1.1 6.7 8.6 4.9 12.3 3.7 10.0 3.0 20.0 7.0 19.4 20.0 9.0 -20.0 9.4 -15.0 GOLD_micro 11.1 5.4 1.9 -2.6 0.0 -3.0 1.9 -1.6 0.3 7.9 12.7 12.3 12.4 12.5 11.1 -11.7 -13.2 -11.8 -12.3 13.2 14.1 11.2 15.0 13.9 -6.1 3.9 1.5 4.4 4.4 6.0 5.0 -12.7 5.0 14.0 20.0 19.1 10.9 -3.3 16.5 2.5 HEATOIL -4.2 -13.2 -11.1 -4.9 -3.7 -3.1 -3.5 -0.4 -4.7 -10.2 -12.5 -11.2 1.9 -15.4 -14.3 -5.5 6.5 -5.1 -1.2 -14.1 -10.2 -10.8 -3.3 -14.3 -20.0 -6.3 -4.1 -5.4 -4.0 -2.0 -5.6 -6.9 -4.5 -7.0 -6.7 -9.6 -4.8 5.3 -15.0 2.3 JGB-SGX-mini 11.5 20.0 5.6 2.0 -0.2 1.3 0.6 0.4 1.6 -4.5 0.0 2.1 0.2 3.1 2.8 12.2 17.3 15.1 16.2 4.5 1.8 0.2 0.1 4.0 -7.0 1.6 -0.4 0.5 0.3 -0.4 1.6 20.0 -3.4 6.0 -0.4 -7.3 -6.4 -5.0 -5.4 9.1 JPY 9.7 20.0 20.0 1.4 3.1 0.3 4.2 0.2 3.1 5.9 -0.4 5.8 -5.4 6.9 5.7 -11.5 -15.4 -13.2 -14.3 9.3 2.4 7.3 -4.7 10.5 20.0 2.2 0.7 0.6 1.5 -1.1 2.4 -20.0 -7.3 7.9 19.5 4.0 -20.0 -17.2 -20.0 -17.3 LEANHOG 11.9 15.1 -19.2 -3.6 3.1 -3.3 1.0 -2.2 -1.8 11.6 -6.8 11.3 -6.4 10.4 -4.0 20.0 13.8 20.0 20.0 -2.1 -8.9 13.5 -9.7 7.5 3.7 -0.6 6.1 -2.9 5.5 -3.0 3.1 20.0 17.2 13.2 12.6 -11.1 -0.1 -5.8 4.0 3.2 LIVECOW -20.0 -16.5 5.2 -5.2 4.5 -4.8 1.5 -3.3 -2.6 3.1 7.1 -8.5 6.5 -12.3 -1.4 20.0 12.0 18.4 16.5 -7.0 2.3 -6.8 5.7 -14.0 -11.8 -2.8 2.8 0.9 -2.5 3.2 -5.2 20.0 -20.0 -20.0 -11.2 20.0 -1.3 20.0 4.3 20.0 LUMBER-new 6.6 14.3 -5.5 -3.0 2.6 -2.8 0.8 -1.8 -1.5 -9.8 -7.0 -7.3 -8.0 3.4 -1.5 -17.8 -17.5 -17.5 -17.5 -1.8 -6.2 -7.1 -7.6 -1.6 NaN -0.5 -5.2 -3.1 -3.6 -4.0 -0.6 -20.0 -20.0 3.6 12.8 0.4 3.6 -2.9 8.3 -0.3 MILK 12.4 4.7 20.0 -3.8 3.3 -3.5 1.1 -2.4 -1.9 7.3 11.9 11.6 4.2 11.5 12.3 19.6 -20.0 -2.3 -12.3 14.3 12.2 15.6 4.7 15.8 15.1 4.6 3.6 3.9 5.2 1.2 5.2 -20.0 19.6 20.0 20.0 20.0 -3.0 -20.0 1.9 -20.0 MXP 3.6 -10.3 -20.0 1.6 3.5 0.3 4.9 0.2 3.6 -7.1 -6.2 -6.1 -1.6 -6.6 -7.3 9.6 14.3 10.8 12.2 -9.5 -7.5 -10.5 -2.1 -9.6 -20.0 -3.1 -3.0 -2.5 -2.9 -0.6 -2.9 20.0 -20.0 -20.0 -18.2 -20.0 16.6 12.4 20.0 18.9 NASDAQ_micro 9.8 -20.0 -13.0 1.0 1.5 2.0 2.4 3.0 1.4 -5.0 3.4 6.6 7.3 0.8 1.0 -7.0 -10.2 -8.7 -9.7 1.1 3.8 3.2 7.6 2.6 -16.4 0.3 -0.8 1.9 0.7 4.0 0.4 -6.7 -8.7 5.3 -12.7 3.8 1.7 5.0 -7.3 2.4 NIKKEI 3.9 -20.0 -20.0 0.7 1.1 1.5 1.7 2.2 1.0 4.2 1.7 5.5 3.9 1.1 0.3 7.3 9.9 9.4 9.4 -1.6 -0.2 2.8 2.4 0.4 -6.7 -1.6 0.1 -0.4 -0.4 1.0 -1.5 20.0 -4.8 -16.8 -17.2 -11.7 9.0 -0.7 5.6 -2.8 NZD 20.0 -1.5 3.0 2.4 5.4 0.5 7.4 0.3 5.5 12.0 0.2 13.4 -1.7 11.2 5.4 -0.2 0.1 -0.2 -0.1 6.0 1.1 20.0 -0.7 15.2 0.1 2.1 6.4 0.3 7.9 -0.1 5.7 4.2 10.8 17.3 -5.7 2.9 8.0 -4.8 5.9 -0.0 OAT 4.1 16.3 0.9 3.9 -0.4 2.6 1.2 0.7 3.2 -9.2 -3.4 -2.5 -2.4 10.8 10.2 0.0 3.4 0.5 1.6 7.0 1.7 -1.0 -3.0 6.2 2.8 3.3 -3.7 1.5 -0.7 0.1 2.7 9.9 -7.3 -13.0 -7.7 -17.5 -15.6 -18.5 -1.8 -0.4 OATIES 5.6 -0.9 -19.0 -3.4 3.0 -3.1 1.0 -2.1 -1.7 7.5 -11.2 2.4 -11.6 -6.0 -11.6 12.7 3.1 8.0 5.7 -8.7 -12.4 4.4 -12.1 -2.0 -20.0 -3.0 4.8 -3.8 2.0 -3.3 -0.6 3.2 6.7 3.1 0.3 -4.4 9.9 -0.8 20.0 8.7 OJ 8.7 -4.6 -5.9 -4.7 4.1 -4.3 1.3 -2.9 -2.3 -9.5 13.1 5.1 14.7 6.2 10.8 9.9 11.7 9.4 9.6 12.9 16.0 7.2 20.0 12.8 -20.0 4.5 -3.1 5.9 3.4 9.8 5.0 14.0 10.0 20.0 20.0 20.0 13.8 11.5 20.0 20.0 PALLAD 12.1 -1.5 4.9 -1.7 0.0 -2.0 1.3 -1.1 0.2 2.1 -5.3 7.5 -8.2 -0.3 -2.2 -1.8 -2.1 -1.8 -1.9 -1.0 -3.6 3.6 -7.7 2.1 14.8 -1.1 0.8 -2.7 2.2 -4.1 1.2 5.9 -4.2 1.4 4.6 3.8 -20.0 -20.0 -20.0 -20.0 PLAT 3.5 -11.9 -5.1 -2.2 0.0 -2.5 1.6 -1.4 0.3 -4.9 -4.6 1.9 -4.1 -5.0 -7.7 -4.5 -4.4 -4.8 -4.8 -3.6 -2.1 -1.2 -0.7 -1.9 5.4 -2.9 -3.0 -2.3 -0.7 -0.8 -1.4 1.3 -6.0 -9.3 -4.1 5.6 -7.2 -8.3 -5.0 1.7 REDWHEAT -1.5 -16.9 -19.9 -5.4 4.7 -5.0 1.5 -3.4 -2.7 4.1 -17.9 -10.7 -18.0 -17.0 -19.8 -10.7 -5.8 -10.5 -8.6 -20.0 -20.0 -8.8 -20.0 -17.6 -6.0 -6.2 1.9 -5.5 -2.7 -4.8 -5.0 -16.2 -20.0 -7.1 -18.4 -10.1 -20.0 -20.0 -17.4 -20.0 RICE -5.0 -9.1 -8.1 -4.8 4.2 -4.4 1.3 -3.0 -2.4 11.8 8.8 -1.3 12.0 1.1 -1.9 -8.6 20.0 20.0 20.0 -2.7 1.4 1.8 7.6 -2.0 -10.4 0.2 3.0 1.8 1.0 3.1 -0.5 20.0 -8.2 -5.2 9.0 19.7 -20.0 -15.5 -20.0 -14.9 ROBUSTA 16.8 3.6 10.5 -3.5 3.0 -3.2 1.0 -2.2 -1.7 11.4 12.2 12.4 12.2 11.6 11.8 20.0 20.0 20.0 20.0 19.8 20.0 20.0 20.0 20.0 -20.0 4.6 7.0 6.0 7.1 8.0 5.4 20.0 20.0 20.0 20.0 20.0 3.4 -5.4 10.3 1.9 RUSSELL -1.6 4.4 -1.4 1.1 1.5 2.1 2.5 3.1 1.5 4.0 3.6 5.0 6.8 2.0 1.9 -5.0 -6.5 -5.9 -6.3 3.6 3.9 6.8 3.9 4.7 -0.7 2.2 1.4 2.6 2.1 2.5 1.8 -0.6 1.1 -5.3 15.0 3.1 3.5 -16.8 -5.2 -20.0 SHATZ -0.2 20.0 20.0 2.5 -0.3 1.7 0.8 0.4 2.1 -0.0 -1.3 -1.2 -4.4 5.7 6.6 -20.0 -20.0 -20.0 -20.0 9.2 4.2 1.4 -3.8 6.6 7.0 2.5 -0.1 1.3 0.4 -0.4 1.8 -20.0 -3.9 -3.9 -0.7 -2.0 -20.0 -17.4 -16.4 -10.9 SILVER-mini 8.5 -15.9 -2.9 -2.1 0.0 -2.5 1.6 -1.3 0.3 3.8 3.9 9.3 5.2 0.1 -2.6 -5.6 -6.3 -5.7 -6.0 0.0 2.9 7.2 5.9 3.6 2.3 -1.1 0.6 -0.2 2.7 1.8 1.0 -1.3 9.6 1.9 2.4 9.2 4.5 -4.4 7.9 7.0 SMI 9.5 -11.4 3.4 1.5 2.2 3.0 3.5 4.5 2.1 7.8 11.3 13.1 12.4 10.3 10.2 -2.7 0.2 -2.9 -1.8 7.0 10.0 11.2 11.7 9.1 10.0 5.2 1.6 5.7 4.1 5.7 5.1 9.4 -3.7 20.0 16.7 15.6 1.9 1.3 -9.2 -2.3 SOFR 6.0 20.0 20.0 3.6 -0.4 2.4 1.1 0.6 2.9 10.0 8.3 9.7 3.5 11.6 12.1 1.1 -0.9 -0.2 -0.8 17.0 12.4 8.8 4.3 14.3 -4.4 4.4 1.1 3.5 2.2 1.9 3.6 4.1 6.9 3.7 2.1 8.7 9.6 -13.4 20.0 6.5 SOYBEAN -7.5 -16.8 -20.0 -2.6 2.2 -2.3 0.7 -1.6 -1.3 4.1 -8.9 -4.6 -7.7 -7.6 -8.8 -12.5 2.3 -7.7 -3.7 -14.6 -14.0 -3.6 -10.7 -10.4 -16.1 -3.2 0.1 -3.0 -0.8 -2.2 -2.3 -5.1 -2.5 -9.8 -17.8 -12.9 -3.2 -20.0 1.9 -17.9 SOYMEAL -3.9 -3.0 -13.4 -2.6 2.2 -2.4 0.7 -1.6 -1.3 3.4 -8.1 -4.0 -8.2 -5.0 -7.9 -3.4 4.8 0.2 1.8 -8.2 -9.0 -1.3 -8.1 -5.1 -17.7 -2.6 0.5 -2.5 -0.4 -1.9 -1.7 1.5 -0.7 -2.4 -6.9 -2.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -5.6 -16.8 -4.4 -2.4 2.1 -2.2 0.7 -1.5 -1.2 6.8 -7.6 0.3 -8.4 -6.8 -7.3 6.4 1.8 4.6 2.1 -8.9 -8.7 1.4 -8.7 -5.8 -18.8 -2.6 1.8 -2.6 0.6 -2.3 -1.5 -1.5 4.2 -5.0 -9.2 -3.2 -3.0 -9.6 5.8 -2.2 SP400 4.9 0.7 -10.1 1.2 1.8 2.5 2.9 3.7 1.7 3.6 5.5 7.8 8.7 4.3 2.5 -5.6 -5.8 -5.7 -5.8 3.7 3.9 8.9 5.7 6.6 -8.8 2.5 1.8 3.2 3.3 4.0 2.8 0.6 0.5 -1.4 12.1 -0.8 6.4 -7.5 -2.8 -20.0 SP500_micro 12.5 -20.0 -9.1 1.3 1.8 2.6 3.0 3.8 1.8 4.0 8.6 11.0 11.0 6.6 6.2 -9.0 -12.1 -11.1 -11.9 6.0 8.5 10.4 12.2 8.8 -15.0 1.9 1.0 3.8 2.9 6.0 2.2 -10.3 -2.5 8.9 -4.0 6.8 7.7 3.1 -5.2 0.2 SUGAR11 6.9 -2.8 0.7 -4.1 3.6 -3.8 1.2 -2.6 -2.1 12.8 -12.4 7.9 -11.6 -4.4 -7.9 -4.3 6.2 -3.2 0.4 -5.0 -9.8 18.6 -9.7 3.7 -20.0 -1.7 13.5 -4.0 8.4 -4.2 2.0 2.1 20.0 8.9 -1.7 3.3 -6.1 16.0 -2.7 19.0 US10 5.9 20.0 20.0 2.8 -0.3 1.9 0.8 0.5 2.3 3.5 5.5 4.1 -0.8 7.8 8.7 -6.8 -7.4 -7.2 -7.2 11.6 7.9 4.4 0.9 9.5 2.0 3.3 0.1 2.6 1.2 1.1 2.6 -7.0 2.4 3.1 0.9 5.1 4.6 -20.0 20.0 4.8 US10U 6.4 19.1 20.0 3.9 -0.4 2.6 1.2 0.7 3.2 -0.3 7.1 6.9 -1.5 11.3 12.2 -3.6 -3.0 -3.9 -3.8 14.4 9.4 5.3 0.3 12.1 -0.3 4.5 -0.3 3.5 1.6 1.4 3.7 -0.1 3.6 2.4 -2.2 4.6 5.0 -17.6 20.0 14.4 US2 5.0 20.0 20.0 2.3 -0.3 1.5 0.7 0.4 1.9 6.2 1.5 3.4 -3.7 5.9 6.5 -20.0 -20.0 -20.0 -20.0 10.0 5.7 5.0 -1.6 8.5 11.3 2.5 0.6 1.7 1.2 0.3 2.2 -20.0 2.8 9.1 7.5 4.5 1.5 -20.0 5.7 -10.9 US20 8.2 17.0 20.0 2.8 -0.3 1.9 0.8 0.5 2.3 -1.2 5.3 4.6 1.0 7.8 8.5 -1.3 -0.9 -1.1 -0.9 10.0 6.8 3.6 1.0 8.7 -1.9 3.3 -0.5 2.8 1.1 1.5 2.6 4.2 2.6 1.3 -3.3 3.9 5.2 -10.2 20.0 20.0 US30 7.7 14.4 18.4 3.3 -0.4 2.2 1.0 0.6 2.7 -2.7 5.1 4.9 -0.5 8.7 9.3 -4.7 -4.9 -4.5 -4.7 9.7 6.1 3.8 -0.4 8.8 -1.4 3.8 -0.5 3.1 1.3 1.4 3.2 -2.7 3.9 -0.6 -7.5 1.2 2.1 -9.4 18.8 20.0 US5 5.0 20.0 20.0 2.8 -0.3 1.8 0.8 0.5 2.3 7.2 4.8 3.9 -2.1 7.5 8.4 -13.6 -11.1 -12.5 -11.5 12.0 7.9 5.3 0.4 9.8 5.4 3.2 0.6 2.4 1.4 0.9 2.6 -13.7 2.8 4.8 3.5 5.7 5.1 -20.0 16.9 -1.8 VIX -5.5 20.0 20.0 1.3 -0.1 0.2 0.3 -1.0 1.3 -2.2 -4.6 -6.2 -6.7 -4.4 -4.1 -6.4 -20.0 -20.0 -20.0 0.4 -0.6 -1.9 -3.2 -0.8 NaN 1.5 -0.1 0.2 0.4 -1.2 1.4 NaN NaN NaN NaN NaN -11.9 -20.0 NaN NaN WHEAT 0.1 -18.8 -20.0 -3.8 3.3 -3.5 1.1 -2.4 -1.9 -2.2 -12.2 -8.0 -12.0 -12.1 -13.7 -18.7 -15.3 -17.4 -16.5 -17.1 -15.8 -9.2 -14.2 -13.2 2.5 -4.3 -0.5 -3.6 -2.7 -2.8 -3.6 -20.0 -20.0 -3.8 -14.5 -6.1 -18.8 -20.0 -16.8 -20.0 End of report for caleb_strategy_v3